:: credit derivatives definitions ::
We have put together a collection of common modification to the credit derivatives definitions for your convenience.
The collection is viewed by you subject to the terms and conditions for use.
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Fixed Rate Payer Calculation Period |
This provides for the final Fixed Rate Payer Calculation Period will end on the Event Determination Date or Scheduled Termination Date and should be amended in a basket CDS. ^ | |
Fixed Rate Payer Payment Date |
This provides for the end of the Fixed Rate Payer Payment Date upon the occurrence of an Event Determination Date and should be amended in a basket CDS. ^ | |
Merger of Reference Entity and Seller |
(a) Section 2.31 of the Credit Derivatives Definitions shall not apply to this Transaction. ^ | |
Restructuring Maturity Limitation and Fully Transferable Obligation |
(b) Section 2.32 of the Credit Derivatives Definitions shall be amended as follows: (i) Section 2.32 (a) shall be deleted in its entirety and replaced by the following: "If “Restructuring Maturity Limitation” and “Fully Transferable Obligation Applicable” are specified in a Confirmation and Restructuring is the only Credit Event specified in a Credit Event Notice delivered by the Buyer, then a Valuation Obligation may only be specified only if it: (i) is a Fully Transferable Obligation and, (ii) has a final maturity date not later than the Restructuring Maturity Limitation Date; (iii) the reference to the “ Delivery Date” in the second paragraph of section 2.32 (b) shall be deemed to be a reference to the Calculation Date.^ | |
Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation |
(c) Section 2.33 of the Credit Derivatives Definitions shall be amended as follows: (i) Section 2.33(a) shall be deleted in its entirety and replaced by the following: “If Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable” are specified in a Confirmation and Restructuring is the only Credit Event specified in a Credit Event Notice delivered by the Buyer, then a Valuation Obligation may only be specified if it (i) is a Conditionally Transferable Obligation and (ii) has a final maturity date no later than the applicable Modified Restructuring Maturity Limitation Date”; (ii) Section 2.33(b)(i) shall be deleted; and (iii) the reference to the “Delivery Date” in Section 2.33(b)(ii) shall be deemed to be a reference to the Calculation Date. ^ | |
Credit Event Notice after Restructuring |
(e) Section 3.9 of the Credit Derivatives Definitions is deleted and replaced in its entirety by the following: "Section 3.9 Credit Event Notice After Restructuring. (a) In the event that Restructuring is the only Credit Event specified in a Credit Event Notice, the Notifying Party shall specify the portion (an "Exercise Amount") of the Reference Entity Notional Amount in respect of which the Conditions to Settlement are being satisfied in such Credit Event Notice. Such Exercise Amount shall be determined in the sole discretion of the Notifying Party but shall be an amount that is at least 1,000,000 units of the currency (or, if Japanese Yen, 100,000,000 units of the currency) in which the Reference Entity Notional Amount is denominated or an integral multiple thereof or the entire then outstanding Reference Entity Notional Amount. In no case may the Exercise Amount exceed the Reference Entity Notional Amount. (b) For the purposes of Paragraph 5 (Settlement Terms) above, the Reference Entity Notional Amount of the relevant Reference Entity shall be deemed to be the Exercise Amount. (c) In the event that the Conditions to Settlement are satisfied with respect to any Reference Entity and the Exercise Amount is less than the relevant Reference Entity Notional Amount, that Reference Entity shall continue to be a Reference Entity for the purposes of the Transaction and: (i) shall have a Reference Entity Notional Amount equal to its Reference Entity Notional Amount immediately prior to the relevant Event Determination Date minus that Exercise Amount; and (ii) shall have a Reference Entity Credit Position equal to its Reference Entity Notional Amount (as determined pursuant to (i) above) divided by the Implicit Portfolio Size and such Reference Entity Credit Position shall be applicable for all purposes (including for any provision relating to Successors); and (iii) the Conditions to Settlement may be satisfied on one or more future occasions with respect to that Reference Entity (including without limitation, with respect to a Restructuring Credit Event in relation to which a Settlement Date has already occurred on one or more previous occasions), provided in each case that the Reference Entity Credit Position of that Reference Entity prior to such satisfaction is greater than zero". ^ | |
Cash Settlement Date |
The last sentence should be deleted in a basket CDS. ^ | |
Partial Cash Settlement due to Impossibility or Illegality |
(d) Sections 9.3, 9.4, 9.5, 9.6, 9.7, 9.8, 9.9, and 9.10 of the Credit Derivatives Definitions shall not apply to this transaction. ^ |
If you know any other common modification, please share with us by e-mail to main@derivativeslawyer.com.
contents
2.9
2.10
2.31
2.32
2.33
3.9
7.2
9.3
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