[COUNTERPARTY] - Markit
Final Form dated 18th March 2005
iTraxx Swaption Confirmation (EUROPE)
[Dealer Letterhead]
CONFIRMATION
DATE: [Date]
TO: [Counterparty]
Telephone No.: [number]
Facsimile No.: [number]
Attention: [name]
FROM: [Dealer]
SUBJECT: Swaption Transaction on iTraxx® [insert name of Index] Series [(] Version [(]
REFERENCE NO.: [Reference number]
The purpose of this letter agreement (this "Confirmation") is to confirm the terms and conditions of the Swaption Transaction entered into between us on the Trade Date specified below.
The terms and provisions of the 2000 ISDA Definitions (the "2000 Definitions") and the 2003 Credit Derivatives Definitions (as supplemented by the May 2003 Supplement to the 2003 Credit Derivatives Definitions) (the "Credit Derivatives Definitions"), each as published by the International Swaps and Derivatives Association, Inc. are incorporated into this Confirmation. In the event of any inconsistency between the 2000 Definitions and the Credit Derivatives Definitions, the 2000 Definitions will prevail for the purposes of the Swaption Terms and the Credit Derivatives Definitions will prevail for the purposes of the Underlying Swap Transaction Terms.
This Confirmation constitutes a “Confirmation” as referred to in, and supplements, forms part of and is subject to, the ISDA Master Agreement dated as of [date], as amended and supplemented from time to time (the "Agreement"), between us. All provisions contained in the Agreement govern this Confirmation except as expressly modified below.
This Confirmation also references and relates to, the iTraxx® Master Credit Derivatives Confirmation Agreement relating to various iTraxx® Indices (the "iTraxx® Master Confirmation Agreement") between us dated as of [date].
The terms of the Swaption Transaction to which this Confirmation are as follows:
1. Swaption Terms:
|Trade Date: |[Date] |
| | |
|Option Style: |European |
| | |
|Swaption Seller: |[NAME] |
| | |
|Swaption Buyer: |[NAME] |
| | |
|Premium: |[EUR] [(] |
| | |
|Premium Payment Date: |The day falling three (3) Business Days after the Trade Date |
| | |
|Strike Price: |[(] per cent. per annum |
| | |
|Exercise Business Days: |[London] |
| | |
|Settlement Currency: |[EUR] |
| | |
|Business Days for Payments: |[London and TARGET Settlement Days] |
| | |
|Calculation Agent: |[Insert name of Dealer] / [The Calculation Agent specified in the iTraxx® |
| |Master Confirmation Agreement] |
2. Procedure for Exercise:
|Expiration Date: |[(] |
| | |
|Earliest Exercise Time: |[9.00 a.m. London time] |
| | |
|Latest Exercise Time: |[4.00 p.m. London time] |
| | |
|Automatic Exercise: |Inapplicable |
| | |
|Partial Exercise: |Inapplicable |
| | |
|Settlement Payment: |In the event that Swaption Buyer exercises this Swaption Transaction on the |
| |Expiration Date, then: |
| | |
| |not later than one (1) Exercise Business Day following the Expiration Date, |
| |the Calculation Agent shall determine the Settlement Payment and notify |
| |Swaption Buyer and Swaption Seller of the amount of such Settlement Payment |
| |(which notification may be oral including by telephone); and |
| | |
| |not later than three (3) Business Days for Payment following the Expiration |
| |Date, (i) if the Settlement Payment is a positive number, the buyer of |
| |protection identified in the Underlying Swap Transaction ("Protection Buyer")|
| |shall pay such Settlement Payment to the seller of protection identified in |
| |the Underlying Swap Transaction (“Protection Seller”) or (ii) if the |
| |Settlement Payment is a negative number, Protection Seller shall pay an |
| |amount equal to the absolute value of such Settlement Payment to Protection |
| |Buyer. |
| | |
| |“Settlement Payment” means an amount denominated in the Settlement Currency |
| |and determined by the Calculation Agent equal to the present value to the |
| |Protection Buyer as of the Expiration Date of paying the Fixed Rate specified|
| |for the Underlying Swap Transaction and receiving the Strike Price on the |
| |basis that: |
| | |
| |payments are made with the same frequency, on the same basis, on the same |
| |dates and for the same term as the Fixed Amounts payable with respect to the |
| |Underlying Swap Transaction; |
| | |
| |the Protection Buyer pays a Fixed Amount (calculated using the Fixed Rate |
| |specified for the Underlying Swap Transaction) for an initial Fixed Rate |
| |Payer Calculation Period commencing on and including the last Fixed Rate |
| |Payer Payment Date to occur prior to the Expiration Date and ending on but |
| |excluding the subsequent Fixed Rate Payer Payment Date; |
| | |
| |the Protection Buyer receives a Fixed Amount (calculated using the Strike |
| |Price) for an initial Fixed Rate Payer Calculation Period commencing on and |
| |including the Expiration Date and ending on but excluding the subsequent |
| |Fixed Rate Payer Payment Date; |
| | |
| |all cashflows are discounted by the Calculation Agent in a commercially |
| |reasonable manner using a discount rate which reflects the credit-contingent |
| |nature of payment of the Fixed Amounts, to be determined using the "JP Morgan|
| |Model" via the Bloomberg page CDSW (or any successor page thereto as |
| |determined by the Calculation Agent) and the rates displayed on the Reference|
| |Page; and |
| | |
| |calculations are to be made assuming (i) a flat par cds spread equal to the |
| |Strike Price and (ii) a fixed recovery following all Credit Events equal to |
| |Assumed Recovery. |
| | |
|Reference Page: |Reuters page ISDAFIX2 (or any successor rate thereto as determined by the |
| |Calculation Agent) at 11.00 a.m. London time two (2) London Business Days |
| |prior to the Expiration Date. |
| | |
|Assumed Recovery: |40%, unless the Underlying Swap Transaction relates to the iTraxx® Sub |
| |Financials index, in which case 20%. |
| | |
|Confirmation of Underlying Swap Transaction: |Upon exercise of this Swaption Transaction by Swaption Buyer, Swaption Buyer |
| |and Swaption Seller shall be deemed to have entered into a Transaction |
| |documented pursuant to the iTraxx® Master Confirmation Agreement with a |
| |Transaction Supplement in the form of the Transaction Supplement attached as |
| |Annex A hereto. [As soon as reasonably practicable following exercise, |
| |Swaption Buyer and Swaption Seller shall execute such Transaction |
| |Supplement.] |
3. Settlement Terms:
|Settlement: |Physical |
4. Underlying Swap Transaction Terms:
|Summary of terms: |The Transaction Supplement, attached hereto as Annex A, together with the |
| |relevant iTraxx® Master Confirmation Agreement and the other documents |
| |referred to therein, evidence the full terms of the Underlying Swap |
| |Transaction to which the Swaption Transaction relates. |
5. Other:
|Operation of Underlying Swap Transaction: |Each of Swaption Buyer and Swaption Seller acknowledge and agree that: the |
| |Protection Seller is subject to the risk of any Credit Event occurring with |
| |respect to a Reference Entity on or after the Effective Date specified in the|
| |iTraxx® Master Confirmation Agreement for the relevant Index in respect of |
| |the Underlying Swap Transaction. Therefore, if a Credit Event occurs with |
| |respect to a Reference Entity on or after the Effective Date of the |
| |Underlying Swap Transaction but prior to the exercise of this Swaption |
| |Transaction, then upon exercise by the Swaption Buyer, Protection Buyer or |
| |Protection Seller may deliver a Credit Event Notice and Notice of Publicly |
| |Available Information with respect to such Credit Event and the Physical |
| |Settlement provisions of the Underlying Swap Transaction shall apply in |
| |respect of such Credit Event. |
| | |
|Occurrence of Succession Events: |From time to time one or more Reference Entities may be subject to a |
| |Succession Event. The Reference Entities applicable with respect to the |
| |Underlying Swap Transaction shall be the Reference Entities as modified, if |
| |applicable, as a result of any Succession Events, regardless of whether such |
| |Succession Event(s) occurred before or after the Trade Date of the Underlying|
| |Swap Transaction. |
| | |
|Interpretation: |For the purposes of the 2000 Definitions, each reference herein to “Swaption |
| |Buyer” shall be deemed to be a reference to “Buyer” and each reference to |
| |“Swaption Seller” shall be deemed to be a reference to “Seller”. |
Notice and Account Details:
|Notice and Account Details for [Dealer]: | |
| | |
| | |
| | |
| | |
| | |
|Notice and Account Details of Counterparty: | |
| | |
| | |
| | |
| | |
Please confirm that the foregoing correctly sets forth the terms of our agreement by executing the copy of this Confirmation enclosed for that purpose and returning it to us.
Very truly yours,
[DEALER]
By: ________________________
Name:
Title:
Accepted and confirmed as of
the date first above written
[COUNTERPARTY]
By: _____________________
Name:
Title:
annex a
TRANSACTION SUPPLEMENT
This Transaction Supplement is entered into between [(] (Party A) and [(] (Party B) on the Trade Date specified below.
The purpose of this Transaction Supplement is to set forth the terms and conditions of the iTraxx® Master Transaction (as defined in the iTraxx® Master Confirmation Agreement defined below) entered into between Party A and Party B on the Trade Date specified below. This Transaction Supplement is entered into under the iTraxx® Master Credit Derivatives Confirmation Agreement between Party A and Party B dated as of [(] (the iTraxx® Master Confirmation Agreement) and, together with the iTraxx® Master Confirmation Agreement and the General Terms Confirmation (as defined in the iTraxx® Master Confirmation Agreement) as supplemented by the Applicable Convention Terms set out in Annex 3 to the iTraxx® Master Confirmation Agreement, constitutes a Confirmation as referred to in the Master Agreement (as defined in the iTraxx® Master Confirmation Agreement).
The terms of the iTraxx® Master Transaction (as defined in the iTraxx® Master Confirmation Agreement) to which this Transaction Supplement relates are as follows:
. Index: [Index name, series and version]
. Trade Date: [The Expiration Date]
. Scheduled Termination Date: [The fifth anniversary of the Effective Date]/[The tenth anniversary of the Effective Date]/[(]
. Original Notional Amount: EUR [(]
. Floating Rate Payer: [Party A/Party B]
. Fixed Rate Payer: [Party A/Party B]
. Additional Amount: Not applicable
. [Excluded Deliverable Obligations: [(]]
. [Excluded Reference Entities]: [ ]
|Additional Terms (including any |In the case of any Component Transaction where: |
|specific provisions relating to |(i) STMicroelectronics NV is the Reference Entity; |
|collateral.): |(ii) the Notice of Physical Settlement with respect to such Reference |
| |Entity specifies the USD1,217,000,000 Zero Coupon Senior Convertible |
| |Bond due 2013 issued by STMicroelectronics NV as a Deliverable |
| |Obligation; and |
| |(iii) such Deliverable Obligation is not immediately due and payable as |
| |of the Delivery Date, |
| |the outstanding principal balance of such Deliverable Obligation shall |
| |be deemed to be the amount payable on the scheduled maturity date of |
| |such Deliverable Obligation. |
| |[Insert further Additional Terms (including any specific provisions |
| |relating to collateral).] |
Please confirm your agreement to be bound by the terms of the foregoing by executing a copy of this Transaction Supplement and returning it to us.
| | |
|By:____________________________________ |By:____________________________________ |
|Name: |Name: |
|Title: |Title: |
|Date: |Date: |
iTraxx® is a registered trade mark of International Index Company Limited.
iTraxx® is a trade mark of International Index Company Limited and has been licensed for the use by [Name of Customer]. International Index Company Limited does not approve, endorse or recommend [Name of Customer] or iTraxx® derivatives products.
iTraxx® derivatives products are derived from a source considered reliable, but neither International Index Company Limited nor any of its employees, suppliers, subcontractors and agents (together iTraxx Associates) guarantees the veracity, completeness or accuracy of iTraxx® derivatives products or other information furnished in connection with iTraxx® derivatives products. No representation, warranty or condition, express or implied, statutory or otherwise, as to condition, satisfactory quality, performance, or fitness for purpose are given or assumed by International Index Company Limited or any of the iTraxx Associates in respect of iTraxx® derivatives products or any data included in such iTraxx® derivatives products or the use by any person or entity of iTraxx® derivatives products or that data and all those representations, warranties and conditions are excluded save to the extent that such exclusion is prohibited by law.
None of International Index Company Limited nor any of the iTraxx Associates shall have any liability or responsibility to any person or entity for any loss, damages, costs, charges, expenses or other liabilities whether caused by the negligence of International Index Company Limited or any of the iTraxx Associates or otherwise, arising in connection with the use of iTraxx® derivatives products or the iTraxx® indices.
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