ANNEX IS
(Cash-settled Index Swap General Terms Confirmation)
[Insert Date]
Re:
Index Swap General Terms Confirmation1
Dear Sir/Madam:
The purpose of this Index Swap General Terms Confirmation (this “IS General Terms
Confirmation”) is to confirm certain general terms and conditions of accrual Index Swap
Transactions entered into between us under the 2007 European Master Equity Derivatives
Confirmation Agreement dated as of [Insert Date] (the “Master Confirmation Agreement”).
In the event of any inconsistency between this IS General Terms Confirmation and the
Definitions, this IS General Terms Confirmation shall govern.
All provisions contained in the Master Agreement govern each Confirmation (each as defined in
the Master Confirmation Agreement), except as expressly modified below or in the Transaction
Supplement.
The general terms of each Index Swap Transaction to which this IS General Terms Confirmation
relates are as follows, unless otherwise specified in, and as supplemented by, the Transaction
Supplement related to that Index Swap Transaction (for the avoidance of doubt, none of the
terms herein shall apply to any other Transaction, including Index Swap Transactions
documented under another form of Confirmation):
General Terms:
Trade Date:
As specified in the Transaction Supplement.
Effective Date:
One Settlement Cycle following either the Trade Date
or, if such a date is specified in the Transaction
Supplement, the Strike Date, unless otherwise specified
in the Transaction Supplement.2
Termination Date:
The final Cash Settlement Payment Date, unless
otherwise specified in the Transaction Supplement.3
Strike Date4:
The Trade Date, unless otherwise specified in the
Transaction Supplement, provided that if such date
is not a Scheduled Trading Day, the Strike Date
shall be the next following Scheduled Trading Day
1
EU WG (6/22/09): This is the client-facing form. A separate interdealer form will be published.
EU WG (7/16/09): Conformed to the last draft of the Interdealer Share Swap Annex.
3 [COMMENT: BNPP would like the following language added: “subject to any cancellation or early termination
provision set out herein in which case the cancellation or termination date shall be deemed to be the Termination
Date,”.]
4 [COMMENT: Citi would like “Start Date” to be used as strike implies an option. ISDA COMMENT: Please note that
we kept the language as originally proposed by the dealers that requested this feature as this is the term they use.]
2
GTC: IS-1
and provided further that [if such date is a Disrupted
Day, Section 6.6(a) of the Equity Definitions shall
apply.]5
Index:
As specified in the Transaction Supplement.
Number of Index Units:
As specified in the Transaction Supplement, subject
to adjustment for any applicable partial early
termination.
Index Unit:
Means a single unit out of the total Number of
Index Units.
Exchange(s):
As specified in the Transaction Supplement.
If the Multiple Exchange Index Annex applies to an
Index Swap Transaction, for each Component
Security (as defined in the Multiple Exchange Index
Annex) the Exchange is the stock exchange on
which that Component Security is principally
traded.
Multiple Exchange Index Annex:
The Multiple Exchange Index Annex shall apply in
the event that “Multiple Exchange” is specified in
the Transaction Supplement as the Exchange.
Related Exchange:
As specified in the Transaction Supplement.
Hedging Party:
Party A or its Affiliates6
Equity Amounts:
Equity Amount Payer:
As specified in the Transaction Supplement.
Equity Notional Amount:
As specified in the Transaction Supplement.
Equity Notional Reset:
If there is one Valuation Date, Not Applicable; if
there is more than one Valuation Date, Applicable,
unless otherwise specified in the Transaction
Supplement.
Type of Return:
As specified in the Transaction Supplement.
7
[COMMENT: BNP would like the following replacement language: “(i) if such date is a Disrupted Day, Section 6.6(a)
of the Equity Definitions shall apply and (ii) if adjustments are made to the Index, Section 6.7(e) of the Equity
Definitions shall apply mutatis mutandis as if such Strike Date were an Averaging Date.”]
6 EU WG (7/16/09): Per BNPP’s proposal. [COMMENT: Citi, SG and GS proposed “and its Affiliates.”]
5
GTC: IS-2
Initial Price:
As specified in the Transaction Supplement. In the
event that a Strike Date is specified8, the Initial
Price shall be as specified below:
(i) If the Initial Price Election is Strike Date
Valuation Time, the Initial Price shall be the level
of the Index as published by the Index Sponsor at
the Strike Date Valuation Time on the Strike Date
(or if no such level is published at such time, such
level as of the immediately preceding publication
time).9
(ii) If the Initial Price Election is Hedge Execution,
the effective level of the Index determined by the
Calculation Agent after taking into account the
trading activity that would be realised by a
Hypothetical Broker Dealer,10 acting in a
commercially reasonable manner, in establishing
Applicable Hedge Positions, as adjusted to account
for any factors (including the impact of any costs,
commissions or other fees in determining the level
of an index) that may be separately agreed between
the parties from time to time.
Initial Price Election:
Strike Date Valuation Time, unless Hedge
Execution is specified in the Transaction
Supplement.
Final Price:
In respect of any Valuation Date that is not the final
Valuation Date, Close. Unless otherwise specified
in the Transaction Supplement, in respect of the
final Valuation Date, [Hedge Execution] / [Close].
Close:
Where Futures Price Valuation is Not Applicable,
the official closing level of the Index as at the
Valuation Time on that Valuation Date, as
determined by the Calculation Agent, as adjusted to
7
EU WG (6/22/09): CS has suggested that language for Averaging Dates be included. We would appreciate any feedback you
may have on this proposal. [COMMENT: SG is fine with this. GS: Our view is that Hedge Execution arguably covers
Averaging as it is the Val Time is when Party A has completed unwinding its Hedge Positions. This could be done over a
number of days. Is Citi proposing to use wherer they are electing the Close?]
8 [COMMENT: GS proposed adding “and Close is specified as the Final Price default”.]
9 [COMMENT: GS states: “For forward starting swaps on client trades we need the option of the Initial Price being
Party A’s hedge initiation price.” and proposed the following language “If Hedge Execution is specified as the Final
Price default, the Initial Price shall be price as determined by Party A based on the price at which it enters into its
Applicable Hedge Positions on the Strike Date.” ISDA COMMENT: We added language in the approach taken in
the Interdealer Share Swap Annex.]
10 EU WG (7/16/09): Note that we are retaining this wording as used in Final Price. To the extent that we are viewing this
document as a companion to Annex EFS we are retaining similar language where possible. Please advise.
GTC: IS-3
account for any factors (including the impact of any
costs, commissions or other fees in determining the
level of an index) that may be separately agreed
between the parties from time to time.
Where Futures Price Valuation is Applicable and
the election for Final Price is Close, the provisions
of Section 6.8 of the Equity Definitions shall apply
to determine the Final Price.11
Hedge Execution:
Where Futures Price Valuation is Not Applicable,
the effective level of the Index determined by the
Calculation Agent [after taking into account the
trading activity that would be realised by a
Hypothetical Broker Dealer]12, acting in a
commercially reasonable manner, in terminating or
liquidating Applicable Hedge Positions, as adjusted
to account for any factors (including the impact of
any costs, commissions or other fees in determining
the level of an index) that may be separately agreed
between the parties from time to time.13
Where Futures Price Valuation is Applicable and
the election for Final Price is Hedge Execution,
Futures Price Valuation shall be deemed to be Not
Applicable, regardless of the election for Futures
Price Valuation in the Transaction Supplement.14
Strike Date Valuation Time :
In respect of any Strike Date, if applicable:
[COMMENT: DTCC states “If I heard it right, I think people will put "Close" in T-supp when overwriting a default. I
don't think people will specify a certain time (for example, 3:30 pm London time, etc). Then, do we really need to
overwrite Valuation Time in a T-supp if Final Price can be specified in a T-supp as well ? I question this because
"Close/Hedge Execution" are choices under Final Price, and the related Valuation Time is already mapped to each
choice under Final Price in MCA level.” JPM: “All subject to change potentially and further comment from he
other houses, I would offer certain comments: Valuation Time: For the 'Close' election, this is likely to be the close
of exchange although the MCA draft is currently written as the time the sponsor publishes, it has been pointed out
that the sponsor's time could be well after close of exchange - this is an open issue but I believe that this may end up
as per historic practice and be the close of exchange for single jurisdiction indices and the time the sponsor published
for when the multiple exchange index annex applies. For feed purposes, I do not see a need to state this and therefore
we rely on the general terms from the MCA for both. JPM is currently considering not to use the 'Hedge' execution
election, however, I'm not sure the concept of Valuation Time exists as there is no market price grab nor Market
Disruption Event relevant here as the general terms go straight to the execution price.” GS: “Agree that the draft is
potentially subject to further change. From GS’s perspective however we don’t see the need for this field on the TS
as we will always hardcode it at the MCA level. Not sure why any bank would need to override the default for Val
Time at the tran supp level i.e it should always follow what you have elected for Final Price. We will feed this back to
ISDA.”]
12 [COMMENT: GS would like to remove this language and states “We are confirming this with our US lawyers however
our current view is that there isn’t the same risk of recharacterisation for US clients on index trades accordingly
Hypothetical Broker Dealer is not required. Also, trading activity is too broad and should be removed.”]
13 [COMMENT: GS states: “Our preference is to retain this broad language rather than specifying a particular
commission rate on the Tran Supp as proposed by CS.”]
14 [COMMENT: Citi states that for forward starting, HE and C should be available as pricing options]
11
GTC: IS-4
(i) If the Initial Price Election is Strike Date
Valuation Time, the time specified in the
Transaction Supplement or, if no time is specified,
the Scheduled Closing Time on the relevant
Exchange on the relevant Strike Date.15
(ii) If the Initial Price Election is Hedge Execution,
the Strike Date Valuation Time shall be each of the
times at which the Hedging Party, acting in good
faith and in a commercially reasonable manner,
would establish Hedge Positions for the purposes of
determining the relevant Initial Price.
Valuation Time:
Unless otherwise specified in the Transaction
Supplement:
(a)
where the election for Final Price is Close,
(i)
if Futures Price Valuation is Not
Applicable, then the Valuation Time shall be
the time at which the Index Sponsor
calculates and publishes the closing level of
the Index, and16
(ii)
if Futures Price Valuation is
Applicable, then notwithstanding the
provisions of the Multiple Exchange Index
Annex, the Valuation Time shall be the time
the Official Settlement Price of the
Exchange-traded Contract is determined;
and
15
EU WG (7/16/09): Conformed to the last draft of the Interdealer Share Swap Annex, with a correction to the incorrect use of
the term ‘Close.’ That correction will be reflected in the next draft of the Interdealer Share Swap Annex. [COMMENT:
DTCC proposes the following language for Strike Date Valuation Time:
“If an Index Transaction has more than one Exchange, then, unless the Exchange is specified in the Transaction
Supplement as “Multiple Exchange” and/or the Multiple Exchange Index Annex otherwise applies to the
relevant Transaction, the Strike Date Valuation Time (a) for the purposes of determining whether an Early
Closure has occurred in respect of (i) any security in the Index is the Scheduled Closing Time on the Exchange
in respect of such security, and (ii) options contracts or future contracts on the Index, is the close of trading on
the Related Exchange; and (b) for all other purposes, is the time at which the official closing level of the Index is
calculated and published by the Index Sponsor.”
If a Strike Date is specified in a Transaction Supplement for a Transaction in respect of which the Multiple
Exchange Index Annex does not apply, then Section 6.1 of the Equity Definitions shall be amended with respect
to such Transaction by including the words “, Strike Date” after each occurrence of the words “Valuation
Date”.”
DTCC states “Otherwise, such time in London specified in the Transaction Supplement.”
16
EU WG (6/22/09): CS suggested importing the Amendment to Valuation Time from the ISDA-published EU Variance Swap
form, to address the situation where the Index Sponsor publishes the Index significantly later than the close of the Exchange.
[COMMENT: Citi requested more details and GS doesn’t believe it is necessary. BNP and SG agree with CS.]
GTC: IS-5
(b)
where the election for Final Price is Hedge
Execution (regardless of whether Futures Price
Valuation applies), then notwithstanding the
provisions of the Multiple Exchange Index Annex,
the Valuation Time shall be each of the times at
which a Hypothetical Broker Dealer, acting in good
faith and in a commercially reasonable manner,
would terminate or liquidate Applicable Hedge
Positions for the purposes of determining the
relevant Final Price (as determined by the
Calculation Agent).
Valuation Date(s):
As specified in the Transaction Supplement.
Floating Amounts:
Floating Amount Payer:
As specified in the Transaction Supplement.
Notional Amount:
Unless otherwise specified in the Transaction
Supplement, the Equity Notional Amount.
Payment Date(s):
Unless otherwise specified in the Transaction
Supplement, each Cash Settlement Payment Date.
Business Days:
Unless otherwise specified in the Transaction
Supplement, [●].18 19 20
Business Day Convention:
Unless otherwise specified in the Transaction
Supplement, Modified Following.
Floating Rate Option:
As specified in the Transaction Supplement.
Designated Maturity:
As specified in the Transaction Supplement.
Spread:
As specified in the Transaction Supplement.
Linear Interpolation:
[Applicable] [Not Applicable]21, unless otherwise
specified in the Transaction Supplement.
If Applicable, it shall be applicable only [in respect
of the initial Calculation Period] [in respect of the
18
EU WG (6/22/09): DTCC suggested the Swap Definitions default outcome should apply when Business Days are not specified.
[COMMENT: GS is fine with this. BNP agrees but would prefer to specify Business Days.]
19 [COMMENT:
DTCC states “Business Days/Business Day Convention when the Payment Dates are the Cash
Settlement Payment Dates. In EUR draft, Payment Dates are defaulted to the Cash Settlement Payment Dates. I
think one of Citi's comments included Business Days definition not being completed. We could specify "Not
Applicable" for Business Days/Business Day Convention when default applies.”]
20 [COMMENT: GS states “We are happy to either specify it at the T. Supp level or alternatively hardcode it at MCA
level that Bus Days will be the the currency business days of the Settlement Currency.”]
21 [COMMENT: BNP would like the ‘Not Applicable’ election removed.]
GTC: IS-6
initial and final Calculation Periods].
Linear
Interpolation shall be Not Applicable with respect
to any other Calculation Period, unless otherwise
agreed.
In respect of any Calculation Period to which Linear
Interpolation is Not Applicable, the Relevant Rate
for the Reset Date in respect of that Calculation
Period or any Compounding Period included in that
Calculation Period shall be determined by reference
to the Designated Maturity specified for the
Transaction, without any adjustment to account for
the length of the Calculation Period or
Compounding Period.
Reset Date(s):
The first day of each Calculation Period. [Where the
Designated Maturity is specified as daily, each Business
Day in each Calculation Period]22
Futures Price Valuation:23
Futures Price Valuation:
As specified in the Transaction Supplement;
provided, however, that where the Final Price is
Hedge Execution, Futures Price Valuation shall be
Not Applicable, notwithstanding any election in the
Transaction Supplement stating that Futures Price
Valuation shall be Applicable.
Exchange-traded Contract:
The Nearest Index Contract, unless otherwise
specified in the Transaction Supplement.
Nearest Index Contract:
The options or futures contract on the relevant
Index traded on the Related Exchange with an
expiry date (or the date which would have been the
expiry date but for that day being a Disrupted Day
or not being a Scheduled Trading Day) that matches
the final Valuation Date and that is most closely
equivalent to the terms of the Transaction.
Adjustment to Section 6.8 of the
Equity Definitions:
Sections 6.8(b)(ii) and 6.8(d) of the Equity
Definitions are amended by replacing the term
“Exchange” with the term “Related Exchange”.
[COMMENT: GS: “As we are using Daily Rates for some of our client trades we need to include this” and would like
to add the following language: “The following terms shall apply where the Designated Maturity is specified on the
Transaction Supplement as 1 day: Method of Calculation: Weighted Average; Reset Date(s): Each Business Day in
each Calculation Period]
23 [COMMENT: GS is fine with the wording. SG states “We are ok with the actual wording. But we don't agree with the
amendment to Section 6.8 of the Equity Definitions as proposed by CS. As discussed together some months ago, we
do not want to use the price of the exchange-traded contract, and prefer to reference index levels.”]
22
GTC: IS-7
Settlement Terms:
Cash Settlement:
Applicable
Cash Settlement Payment Date:
As provided in the Equity Definitions, unless
otherwise specified in the Transaction Supplement.
Settlement Currency:
As specified in the Transaction Supplement.
FX Provisions:24
If, with respect to a Transaction, the currency in
which any Relevant Dividend is denominated is
different from the Settlement Currency, the
Calculation Agent shall determine the value of that
amount in the Settlement Currency, taking into
consideration all available information that it
considers relevant, which information shall include
the rate(s) of exchange which it determines would
apply if that amount or price were converted into
the Settlement Currency by a Hypothetical Broker
Dealer acting in a commercially reasonable
manner.2526
Dividends (the following provisions shall apply if and only if the Type of Return is Total
Return):
For purposes of Article 10 of the Equity Definitions, references to “Shares” shall be
deemed to be references to shares within the Index.
Dividend Payment Date(s):27
As provided in the Equity Definitions, unless
otherwise specified in the Transaction Supplement,
[COMMENT: GS: “Our view is that on client trades we should retain the flexibility of the Calc Agent determining the
FX Rate and shouldn’t specify a source as per CS’s proposal. It is always open to parties to bilaterally agree a source
but we believe the default should be the rate determined by the Calc Agent.”]
25 [COMMENT: Citi states: “we were not saying that the possibility of converting the Final Price should be deleted. It
needs to be included but in a way which works with indices (eg by referencing differences between the Index base
currency and the Settlement Currency.” Also, “consideration needs to be given on when divs are FX'd (ex-date?
payment date?) - [suggest this be part of the election mechanic”.]
26 [COMMENT: Citi would like FX benchmark and timing in T-Supp (eg WM-data 4pm).]
27 [COMMENT: GS states “There is not one default for Div Pay Dates. We need the flexibility to hardcode Div Pay Dates
at the MCA level on a client by client basis.” and proposed the following replacement language:
24
“If “Dividend Payment Date(s)” is specified in the Transaction Supplement as:
(i) “Share Payment”, then the Dividend Payment Date in respect of a Dividend Amount shall fall on a date on or before
the date that is two (or any other number that is specified in the Transaction Supplement) Currency Business Days
following the day on which the Issuer of the Shares pays the relevant dividend to holders of record of the Shares;
(ii) “Cash Settlement Payment Date”, then the Dividend Payment Date in respect of a Dividend Amount shall be the Cash
Settlement Payment Date relating to the end of the Dividend Period during which the Shares commenced trading
“ex” the relevant dividend on the Exchange; or
GTC: IS-8
or if such date is not a Currency Business Day, the
next following Currency Business Day.
Dividend Period:
Second Period
Dividend Amount:28
In respect of each Dividend Period, an amount in
the Settlement Currency to be paid by the Equity
Amount Payer on the related Dividend Payment
Date, determined by the Calculation Agent in
accordance with the following formula:
Number of Index Units x

t
i
nit  d it
Dt
where:
“t” means each day (each a “Relevant Dayt”) in the
relevant Dividend Period;
“i” means, in respect of each Relevant Dayt, each
share (each, a “Sharei”) that is comprised in the
Index on such Relevant Dayt;
“ nit ” means, in respect of each Sharei and a
Relevant Dayt, the number of29 shares relating to
such Sharei comprised in the Index, as calculated
and published by the Index Sponsor (or if not
published directly, implied from information
published by the Index Sponsor as determined by
the Calculation Agent) on such Relevant Dayt,
subject to “Failure to Publish” below;
“ d it ” means, in respect of each Sharei and a
Relevant Dayt:
(a)
if an Ex-Dividend Date in respect of such
Sharei falls on such Relevant Dayt, an
amount equal to the Relevant Dividend in
respect of such Sharei and such Relevant
Dayt; or
(iii) “Floating Amount Payment Date”, then the Dividend Payment Date in respect of a Dividend Amount shall be the first
Payment Date falling at least one Settlement Cycle after the date that the Shares have commenced trading “ex” the
relevant dividend on the Exchange.
(iv) “Ex-Dividend Payment Date” then the Dividend Payment Date in respect of a Dividend Amount shall be the date on
which the Shares commence trading “ex” on the Exchange”]
28 [COMMENT: GS states “After further discussion internally we are happy to follow this approach subject to our
comment on non cash divs below.”]
29 EU WG (6/22/09): A similar change was made in the US Index Swap Working Group. [COMMENT: GS agrees.]
GTC: IS-9
(b)
otherwise, zero (0);
“Dt” means, in respect of each Relevant Dayt, the
Official Index Divisor, as calculated and published
by the Index Sponsor on such Relevant Dayt,
subject to “Failure to Publish” below; and
“Official Index Divisor” means the value,
calculated by the Index Sponsor, necessary to
ensure that the numerical value of the Index remains
unchanged after a change in the composition of the
Index. The value of the Index after any change in
its composition is divided by the Official Index
Divisor to ensure that the value of the Index returns
to its normalised value.30
31
Relevant Dividend:
In respect of each Sharei and each Relevant Dayt in
a Dividend Period:
(a) the Declared Cash Dividend Percentage
multiplied by any Declared Cash Dividend; and
(b) if Treatment of Non-cash Distributions is Cash
Equivalent, the Declared Cash Equivalent Dividend
Percentage multiplied by any Declared Cash
Equivalent Dividend;
excluding any dividends (or portion of such
dividends) that the Index has taken into account,
either through a change in the composition and/or
Official Index Divisor of the Index made by the
Index Sponsor, such that payment of a cash
equivalent of such dividend would have the effect
of accounting for such dividend (or portion of such
dividends) more than once.
“Declared Cash Dividend” means the gross cash
dividend per Sharei as declared by the issuer of such
EU WG (6/22/09): CS has suggested revising the Official Index Divisor definition to be “in respect of any Relevant Day t, the
divisor applied by the Index Sponsor in respect of the Index on such day.” [COMMENT: Citi does not want changes –
“The current wording may work even if the sponsor fails to publish on a particular day or makes an obvious error.” GS
and BNP also would like the wording within the current draft. SG is ok with CS’s revisions, but would like to add “(or if
there is a manifest error, the divisor determined by the Calculation Agent in respect of such Relevant Day).”]
31 EU WG (6/22/09): GS proposed to include a Potential Adjustment Event style mechanisms to adjust the Index for non-cash
distributions. We would appreciate any feedback you may have on this proposal. [COMMENT: Citi disagrees. “If the
sponsor doesn't adjust, the dividend should be accounted for.” BNP also disagrees. CS would value the distribution,
then pass it through as in Interdealer trades.]
30
GTC: IS-10
Sharei where the Ex-Dividend Date falls on a
Relevant Dayt, before the withholding or deduction
of taxes at source by or on behalf of any applicable
authority having power to tax in respect of such a
dividend (an “Applicable Authority”), and shall
exclude:
(a) any imputation or other credits, refunds or
deductions granted by an Applicable Authority
(together, the “Credits”); and
(b) any taxes, credits, refunds or benefits imposed,
withheld, assessed or levied on the Credits referred
to in (a) above.
“Declared Cash Equivalent Dividend”33 34 means
an amount per Sharei equal to the gross cash value
of any non-cash distribution declared by the issuer
of such Sharei where the Ex-Dividend Date falls on
a Relevant Dayt (or, if no cash value is declared by
the relevant issuer or is commercially impossible to
realise, the cash value of such non-cash distribution
as determined by the Calculation Agent, calculated
for any shares comprising such non-cash
distribution by reference to the closing price of such
shares on the last trading day immediately
preceding such Relevant Dayt,).35 [taking into
account (where such non-cash distribution consists
of the Shares) any diluting effect on the theoretical
value of the Shares resulting from such non-cash
distribution))].36
If holders of record of any Sharei may elect between
receiving a Declared Cash Dividend or a non-cash
distribution, the dividend shall be deemed to be a
Declared Cash Dividend for the purposes of the
Transaction.
33
EU WG (6/22/09): SocGen has suggested that rights dividends should be excluded from non-cash distributions. We would
appreciate any feedback you may have on this proposal. [COMMENT: Citi disagrees. “If it has value it should be paid
over. GS also disagrees: “Index Sponsor will normally adjust for rights issues however where they do not adjust we
believe the should be included within non-cash distributions.” BNP would like to discuss as it is not clear enough for
BNPP’s Trading. SG states that they were thinking about the open offer on the FTSE. The index was not readjusted
and they considered that the open offer should not be treated as a non-cash distribution and should not be paid by the
Equity Amount Payer. SG is interested to know how other members dealt with the open offer on Liberty.]
34 [COMMENT: GS states “We believe for client trades whatever this should be the price at which the Hedging Party
converts the non-cash to cash in line with what Citi proposed regardless of whether the Issuer declares a a cash
value.”]
35 EU WG (7/16/09): These are cleanup comments.
36 [COMMENT: Citi would like this language back in from the previous distribution to avoid miscalculation.]
GTC: IS-11
38
Ex-Dividend Date:
In respect of a Relevant Dividend, the date that
Sharesi are scheduled to commence trading exdividend on the primary exchange or quotation
system for such Sharesi, as determined by the
Calculation Agent.
Failure to Publish:
If, for the purposes of determining nit or Dt on any
Relevant Dayt, the Index Sponsor fails (for
whatever reason including without limitation, an
Index Disruption) to calculate and publish the
number of shares in respect of any Sharei or the
Official Index Divisor, then the Calculation Agent
shall determine the number of shares in respect of
such Sharei or the Official Index Divisor (as the
case may be) in respect of such Relevant Dayt.
In making any such determination, the Calculation
Agent may (but shall not be obliged to) make
reference to the formula for and method of
calculating the number of shares or the Official
Index Divisor (as the case may be) last in effect
prior to the failure by the Index Sponsor to make the
relevant calculation or publication.
Corrections39:
Further to Section 11.4 of the Equity Definitions, in
the event that an Official Index Divisor or number
of shares calculated and published by the Index
Sponsor (or determined by the Calculation Agent
pursuant to the provisions above relating to “Failure
to Publish”) and utilized for any calculation or
determination made under a Transaction is
subsequently corrected (or, where there has been a
Failure to Publish, published by the Index Sponsor)
and the correction is published (or, where there has
been a Failure to Publish, publication is made) by
the Index Sponsor within five Scheduled Trading
Days after the original publication, either party may
notify the other party of that correction and the
Calculation Agent will adjust the Dividend Amount,
as required, to take into account such correction,
38
EU WG (6/22/09): CS has provided language which would address withholding tax on dividends. We would appreciate any
feedback you may have on this proposal. [COMMENT: GS believes the draft is sufficient. ISDA also believes this draft
is sufficient.]
39 EU WG (6/22/09): CS proposed allowing corrections until 5 Scheduled Trading Days following the scheduled payment date
of the last dividend in the period. We would appreciate any feedback you may have on this proposal. [COMMENT: Citi
would like to discuss further. GS: “We think the current draft is sufficient but want to consider the point further before
giving our final determination.” BNPP agrees with CS SG is ok with the proposal as well.]
GTC: IS-12
provided that if such correction or subsequent
publication occurs after the relevant Dividend
Payment Date, the Calculation Agent may (but need
not) determine any appropriate payment to be made
by a party to account for such correction or
subsequent publication, as the case may be, and
determine the date any such repayment should be
made, together with interest on such repayment
amount as determined by the Calculation Agent.
The parties expressly acknowledge and agree that
the provisions of this section (Corrections) shall
apply and remain in full force and effect
notwithstanding that the Termination Date has
occurred.
Declared Cash Dividend Percentage: As specified in the Transaction Supplement.
Declared Cash Equivalent Dividend
Percentage:
The Declared Cash Dividend Percentage, unless
otherwise specified in the Transaction Supplement.
Re-investment of Dividends:
Not Applicable
Dividend Recovery:
If:
(a) the amount actually paid or, in the case of a noncash dividend, delivered by an issuer in respect of
any Relevant Dividend declared by such issuer (a
“Declared Dividend”) to holders of record of such
Sharei is not equal to such Declared Dividend (a
“Dividend Mismatch Event”); or
(b) such issuer fails to make any payment or
delivery in respect of such Declared Dividend, by
the third Currency Business Day following the
relevant due date,40
then in either case the Calculation Agent may (but
shall not be obliged to) determine:
(i) any appropriate adjustment or repayment
to be made by a party to account for such
Dividend Mismatch Event or non-payment
or non-delivery, as the case may be;
40
[COMMENT: Citi would like this language back in to provide meaning to the new paragraph at the end. BNP: “We
consider that we need to have a date from which the Calculation Agent can decide any adjustment or repayment.”]
GTC: IS-13
(ii) the date any such repayment should be
made and the effective date of such
adjustment; and
(iii) any interest payable on such repayment
amount, if any.
The parties expressly acknowledge and agree that
the provisions of this section (Dividend Recovery)
shall apply and remain in full force and effect
notwithstanding that the Termination Date may
have occurred. The parties further agree that in the
event that an issuer makes a payment or delivery in
respect of a dividend that has already been the
subject of an adjustment or repayment per this
paragraph, the Calculation Agent shall determine
any appropriate adjustments or repayments to be
made (including interest, if applicable) in respect of
the Transaction in order to account for such
subsequent payment or delivery by the issuer
Index Adjustment Events:
Index Modification:
Cancellation and Payment41
Index Cancellation:
Cancellation and Payment
Index Disruption:
[Calculation Agent Adjustment] [Postponement]4344
[, regardless of whether the Multiple Exchange
Index Annex applies, unless otherwise specified in
the Transaction Supplement.]
[; provided, however, that if the Multiple Exchange
Index Annex applies, the consequence of Index
Disruption shall be Postponement, unless otherwise
specified in the Transaction Supplement.]45 46
“Postponement” means that a failure on any
Valuation Date by the Index Sponsor to calculate
[COMMENT: GS prefers Calc Agent Adjustment, but “understand that the majority may want to keep C+P. If this is
the case can this term be left bracketed to include the option to elect Calc Agent Adjustment”]
43 The parties must specify whether the default consequence of an Index Disruption will be Calculation Agent Adjustment or
Postponement. [COMMENT: GS is fine with this]
44 [COMMENT: DTCC states: “If I heard it right, I think DB/GS requested that we might want to put this in T-supp so
participants would be able to confirm this term on a trade by trade basis. I personally do not recommend this at all,
but if it's absolutely necessary, DTCC can support. However, in order for us to support it, I ask ISDA to list possible
choices for Index Disruption and define them in a MCA level. Then, all participants need to do in a T-supp is to
specify choice A or B (or C..)”]
45 The parties must specify whether the Multiple Exchange Index Annex, when applicable, will override the previous election.
46 [COMMENT: BNP would like to remove this language.]
41
GTC: IS-14
and publish the Index will not be treated as an Index
Disruption but will instead be deemed to be a
“Disrupted Day”.
Additional Disruption Events:
Change in Law:
Applicable
Section 12.9(a)(ii) of the Equity Definitions is
replaced in its entirety by the following:
“‘Change in Law’ means that, on or after the Trade
Date of the Transaction (A) due to the adoption of
or any change in any applicable law or regulation
(including, without limitation, any tax law), or (B)
due to the promulgation of or any change in the
interpretation by any court, tribunal or regulatory
authority with competent jurisdiction of any
applicable law or regulation (including any action
taken by a taxing authority), the Calculation Agent
determines that it has become illegal for a party to
the Transaction to hold, acquire or dispose of Hedge
Positions relating to the Transaction, provided that
this Section 12.9(a)(ii) shall not apply if the
Calculation Agent determines that such party could
have taken reasonable steps to avoid such
illegality.”
Section 12.9(b)(i) of the Equity Definitions shall be
amended to replace “Determining Party” with
“Calculation Agent”.
Hedging Disruption:
Applicable
Section 12.9(a)(v) of the Equity Definitions is
replaced with the following:
“(v) “Hedging Disruption” means that the Hedging
Party is unable, after using commercially reasonable
efforts, to (A) acquire, establish, re-establish,
substitute, maintain, unwind or dispose of any
transactions or assets (including, without limitation,
stock loans and other transactions that can be used
to create a long or short exposure to the Index) that
hedge, in a commercially reasonable manner, based
on prevailing circumstances applicable to the
Hedging Party, the equity price risk and dividend
risk of entering into and performing its obligations
with respect to the Transaction (any such
GTC: IS-15
transactions or assets, a “Hedging Party Hedge”)
or (B) realise, recover or remit the proceeds of a
Hedging Party Hedge. However, any such inability
that (1) occurs solely due to the deterioration of the
creditworthiness of the Hedging Party or (2) could
be avoided by the Hedging Party, acting in a
commercially reasonable manner based on
prevailing circumstances applicable to the Hedging
Party, shall not be a Hedging Disruption.”
Increased Cost of Hedging:
Applicable
Section 12.9(a)(vi) of the Equity Definitions is
replaced with the following:
“(vi) “Increased Cost of Hedging” means that the
Hedging Party would incur a materially increased
(as compared with the circumstances that existed on
the Trade Date) amount of tax, duty, expense or fee
(other than brokerage commissions) (which amount
of tax shall include, without limitation, any amount
of tax due to any increase in tax liability, decrease
in tax benefit or other adverse effect on its tax
position in relation to dividends) (a “Hedging
Cost”) to (A) acquire, establish, re-establish,
substitute, maintain, unwind or dispose of the
Hedging Party Hedge or (B) realise, recover or
remit the proceeds of the Hedging Party Hedge.
However, any such materially increased amount
that is (1) incurred solely as a result of the
deterioration of the creditworthiness of the Hedging
Party or (2) could be avoided by the Hedging Party,
acting in a commercially reasonable manner based
on prevailing circumstances applicable to the
Hedging Party, shall not be an Increased Cost of
Hedging.”47
Consequences of Hedging
Disruption or Increased
Cost of Hedging:
47
Section 12.9(b)(iii) of the Equity Definitions is
replaced with the following:
[COMMENT: GS: “Per Citi’s mark up we are happy to remove this however if the buy side want this language to
remain we are fine to keep.” ISDA COMMENT: Per the arrangement we had on Additional Disruption Events,
we’re retaining the language used in Annex EFS.]
GTC: IS-16
“(iii) Upon the occurrence of a Hedging Disruption
or an Increased Cost of Hedging, the Hedging Party
may promptly give a notice (a “Hedging Impact
Notice”) that a Hedging Disruption or, as the case
may be, an Increased Cost of Hedging has occurred
(which notice shall specify the proportion of the
Equity Notional Amount in respect of which the
Hedging Disruption or, as the case may be, the
Increased Cost of Hedging has occurred) to the
Non-Hedging Party, which may elect, by notice (a
“Hedging Impact Response Notice”) to the
Hedging Party, to:
(A) terminate the Transaction (in whole or, as the
case may be, in part), as of the date on which a
Hypothetical Broker Dealer, acting in a
commercially reasonable manner, would terminate
or liquidate any Applicable Hedge Positions (or the
relevant part of them), as determined by the
Calculation Agent, in an amount equal to the
proportion of the Equity Notional Amount in
respect of which the Hedging Disruption or, as the
case may be, Increased Cost of Hedging has
occurred (but, in the case of an Increased Cost of
Hedging, only if the Hedging Party determines that
such termination would mean that, after such
termination, the Hedging Cost would return to a
level not exceeding the level prevailing on the
Trade Date);
(B) in the case of an Increased Cost of Hedging,
require the terms of the Transaction to be amended
by a Price Adjustment determined by the
Calculation Agent to be necessary to reflect the
increased Hedging Cost (in which event, the terms
of the Transaction shall be deemed to have been
amended upon the making of such determination);
or
(C) in the case of an Increased Cost of Hedging, pay
the Hedging Party an amount determined by the
Calculation Agent to be necessary to reflect the
increased Hedging Cost (such payment to be made
on the Currency Business Day after the later of the
date that the Calculation Agent notifies the NonHedging Party of its determination and the date that
the Non-Hedging Party makes its election).
GTC: IS-17
If the Non-Hedging Party fails to give a Hedging
Impact Response Notice by the end of the second
Scheduled Trading Day following its receipt of the
Hedging Impact Notice, then the Hedging Party
may elect (by notice to the Non-Hedging Party) to
terminate the Transaction (in whole or, as the case
may be, in part) in respect of the proportion of the
Equity Notional Amount for which the Hedging
Disruption or, as the case may be, Increased Cost of
Hedging has occurred. Such notice shall specify the
date on which such termination shall take place,
which may be the day on which the notice of
termination is effective.
Any determinations by the Hedging Party shall be
made in good faith and in a commercially
reasonable manner.
If either party elects to terminate the Transaction in
whole or in part pursuant to this Section 12.9(b)(iii),
the Calculation Agent shall determine the
Cancellation Amount, which shall be payable by the
party specified by the Calculation Agent to the other
party.
Where the Transaction (or any part of it) is
terminated, pursuant to the foregoing provisions, the
Non-Hedging Party shall pay the Hedging Party the
amount determined by the Calculation Agent to be
necessary to reflect any materially increased
Hedging Cost suffered by the Hedging Party from
the date on which the Hedging Impact Notice was
given to and including the date of the termination of
the Hedge Positions (such payment to be made on
the Currency Business Day after the Calculation
Agent notifies the Non-Hedging Party of its
determination).”
Section 12.9(b)(vi) of the Equity Definitions shall
not apply.
Loss of Stock Borrow:
Not Applicable
Increased Cost of Stock Borrow:
Not Applicable
Additional Representations, Agreements and Acknowledgments:
Non-Reliance:
Applicable
GTC: IS-18
Agreements and Acknowledgements
Regarding Hedging Activities:
Applicable
Additional Acknowledgements:
Applicable
Index Disclaimer:
Applicable
Additional Provisions:
Applicable Hedge Positions:
Hedge Positions that the Hedging Party determines
that a Hypothetical Broker Dealer, acting in a
commercially reasonable manner, would consider
necessary to hedge the equity price risk and
dividend risk of entering into and performing its
obligations with respect to the Transaction at any
time; provided, however, that in relation to a partial
optional early termination, Applicable Hedge
Positions shall refer to the relevant pro rata portion
of such Hedge Positions.
Cancellation Amount:
Insofar as they apply to a Transaction to which this
IS General Terms Confirmation relates, the
following changes shall apply to Sections 12.7 and
12.8 of the Equity Definitions:
(A) Section 12.7 of the Equity Definitions shall be
replaced with the following:
“Section 12.7. Payment upon Certain Extraordinary
Events.
If, in respect of an Extraordinary Event,
“Cancellation and Payment” applies or is deemed to
apply to the Transaction (or part of it), then the
Cancellation Amount shall be paid by one party to
the other, determined as provided in Section 12.8.
Such payment shall be made not later than three
Currency Business Days following the date that
notice of the determination by the Calculation
Agent of such Cancellation Amount, and the party
by which it is payable, is effective. Such notice
shall be provided promptly following the
determination.”
(B) Section 12.8 of the Equity Definitions shall be
replaced with the following:
“Section 12.8. Cancellation Amount.
GTC: IS-19
”Cancellation Amount” means the amount that
would be payable by one party to the other,
determined by the Calculation Agent as being
an amount equal to the difference between:
(a) the Equity Amount, the Floating Amount
and the Dividend Amount that would be
payable, on the basis that:
(i) subject to (ii) below, the first day on
which a Hypothetical Broker Dealer, acting
in a commercially reasonable manner, would
terminate or liquidate any Applicable Hedge
Positions (or the relevant part of them) as a
result of the termination, or the cancellation,
of the Transaction (or the relevant part of it),
as determined by the Calculation Agent, is
deemed to be the final Valuation Date, the
final Period End Date and the final day of
the final Dividend Period in respect of the
Transaction (or, as the case may be, the part
of it that has been terminated or cancelled);
and
(ii) if the Transaction is not terminated or
cancelled in full, then the proportion of the
Equity Notional Amount for the purposes of
determining the Cancellation Amount shall
equal the proportion of the Equity Notional
Amount in respect of which the Transaction
is terminated or is cancelled and the
Transaction shall continue unaffected by the
partial termination or cancellation, but only
in relation to a proportion of Equity
Notional Amount equal to (a) the Equity
Notional Amount immediately prior to the
partial termination or cancellation less (b)
the proportion of the Equity Notional
Amount in respect of which the Transaction
is terminated or cancelled;
and
(b) if the election for Final Price is Close, an
amount (which may be a negative amount)
equal to the difference between (i) the amount
determined in accordance with (a) above, and
(ii) the amount determined in accordance with
(a) above calculated with the Final Price being
deemed to be Hedge Execution; provided that
GTC: IS-20
the Calculation Agent determines it is
commercially reasonable to include such
amount in the Cancellation Amount and
without duplication to any amounts calculated
or determined in accordance with (a) above.
For the purposes of this Section 12.8, the
definition of Applicable Hedge Positions shall
be amended by the addition of the following at
the end thereof:
“(or, in relation to the determination of any
partial Cancellation Amount a pro rata portion
of such Hedge Positions)”.”
Calculation Agent:
[●]. The Calculation Agent is responsible for
making all determinations under each Transaction
that are not expressed to be the responsibility of an
identified party.
Hypothetical Broker Dealer:
A hypothetical broker dealer subject to the same
securities laws and rules and regulations of any
securities regulators, exchanges and self-regulating
organisations as apply to the Hedging Party or any
Affiliate(s) designated by it.
Exchange Business Day48:
Any Scheduled Trading Day on which: (i) the Index
Sponsor publishes the level of the Index; and (ii)
each Related Exchange is open for trading during its
48
EU WG (6/22/09): Citi proposed that for a day to qualify as an Exchange Business Day or Scheduled Trading Day, either
every Exchange and Related Exchange should be open, or a percentage of such exchanges. We would appreciate any
feedback you may have on this proposal. [COMMENT: BNPP would like to discuss and agrees for a percentage of such
exchanges.]
Separately, it has been suggested to roll back these changes and rely on the Equity Definitions for Exchange Business Day and
Scheduled Trading Day. [COMMENT: GS: “We do not agree with using the wording from the BRIC 40 template.
This was only agreed to as it didn’t make a difference given the components of the Index. Where there is no Related
Exchange specified both Exchange Business Day or Scheduled Trading Day should provide that all Exchanges need
to be open.”]
As an alternative, please see the following language, from the BRIC 40 template under discussion:
Scheduled Trading Day: Any day on which (i) the Index Sponsor is scheduled to publish the level of the Index
and (ii) Exchange(s) relating to Component Securities which cumulatively comprise(s) 80% or more in the level of the
Index is(are) scheduled to be open for its(their) regular trading session(s).
Exchange Business Day: Any Scheduled Trading Day on which Exchange(s) relating to Component Securities
which cumulatively comprise(s) 80% or more in the level of the Index is(are) open for its(their) regular trading
session(s), notwithstanding any such Exchange closing prior to its Scheduled Closing Time.
For the purposes of determining whether a day is a Scheduled Trading Day or an Exchange Business Day, the
relevant percentage contribution of a Component Security to the level of the Index shall be based on a comparison of
(x) the portion of the level of the Index attributable to that Component Security to (y) the overall level of the Index, in
each case based on the official opening weightings as published by the Sponsor as part of the market "opening data" on
such date, or if no opening data is available for such date, the percentage contribution of that Component Security as of
the Valuation Time for that Component Security on the Exchange Business Day immediately prior to such date.
[COMMENT: Citi states: “split between trades where hedging in the futures contract is relied upon and where it is not
relied upon. If the former (eg MEIA trades), STD and EBD should be as per the MEIA Annex (ie Exchanges not
referenced) but a party should not be able to OET on a day which is not a good day for the underlying exchanges
even though it is a STD. For the latter, the Exchanges need to be open. Happy to discuss further.”]
GTC: IS-21
regular trading session, notwithstanding any Related
Exchange closing prior to its Scheduled Closing
Time.
Scheduled Trading Day:
Any day on which: (i) the Index Sponsor is
scheduled to publish the level of the Index; and (ii)
each Related Exchange is scheduled to be open for
trading for its regular trading session.49
Optional Early Termination:
The following optional early termination provision will apply to the Non-Hedging Party and
[will] [will not]50 apply to the Hedging Party, unless otherwise specified in the Transaction
Supplement:51
Break Funding Recovery:
[Applicable] [Not Applicable], unless otherwise
specified in the Transaction Supplement.53 54
49
EU WG (6/22/09): During the previous call, SG noted that the MEIA was designed with a multiple exchange index hedged
with a liquid futures contract in mind. Would the definitions in the MEIA for Scheduled Trading Day and Exchange
Business Day need revision if the index were hedged with shares of the component stocks? [COMMENT: BNP believes so
and would like to discuss.]
50
The parties must specify whether or not the Optional Early Termination provision applies to the Hedging Party.
51 [COMMENT: BNP does not want the option to elect in the T-Supp.]
53
The parties must specify whether or not Break Funding Recovering will apply.
54 EU WG (7/16/09): Should we add language similar to the following to the Break Funding Recovery Section in OET so that
specific mechanics are available to the parties?
Break Fee:
[Not Applicable] [If Optional Early Termination is Not
Applicable, Not Applicable.
If Optional Early Termination is Applicable, the party
delivering a Termination Notice (the “Break Fee
Payer”) shall pay to the other party (the “Break Fee
Receiver”) an amount equal to the [Flat Fee] [Amortized
Fee] [Funding Fee] on the relevant Early Termination
Date;
“Flat Fee” means the product of the Break Fee specified
in the Transaction Supplement multiplied by the Equity
Notional Amount corresponding to the Early
Termination Portion.
“Amortized Fee” means the product of the Break Fee
specified in the Transaction Supplement multiplied by
the Equity Notional Amount corresponding to the Early
Termination Portion multiplied by the number of days
from (and including) the Early Termination Date to (but
excluding) the later of, if specified, the Termination Date
specified in the Transaction Supplement or the Cash
Settlement Payment Date corresponding to the latest
Valuation Date specified in the Transaction Supplement.
GTC: IS-22
(a)
If this provision applies to a party (the “OET Electing Party”), the OET Electing Party
may elect to terminate the Transaction in whole or in part on any Exchange Business
Day55 prior to the final Valuation Date by giving the other party notice orally or in
writing (a “Termination Notice”) specifying the Number of Index Units in respect of
which it wishes to terminate the Transaction (the “Terminated Number of Units”) and
the proposed early termination date (which, if earlier than the date the Termination
Notice is given, shall be deemed to be the date the Termination Notice is given). If the
Termination Notice is given after 10 a.m.56, then the Termination Notice shall be deemed
to have been given at the opening of business on the next Exchange Business Day.
(b)
The “Optional Early Termination Date” shall be:
(c)
(i)
if the election for Final Price is Hedge Execution, then the first day falling on or
after such proposed early termination date on which a Hypothetical Broker
Dealer, acting in a commercially reasonable manner, would terminate or liquidate
Applicable Hedge Positions (as determined by the Calculation Agent), and the
Calculation Agent shall notify the parties of such Optional Early Termination
Date as soon as reasonably practicable; and
(ii)
if the election for Final Price is Close, then the proposed early termination date
(or, if the Calculation Agent determines that the Termination Notice is not given
in sufficient time to enable the recipient, acting with reasonable expediency, to
execute an order on the relevant exchange on the proposed early termination date,
the following Exchange Business Day).
If a Termination Notice is given, subject to (d), (e) and (f) below, as applicable, the
Equity Amount, the Floating Amount and the Dividend Amount shall be determined as
provided in accordance with the terms set forth herein but on the basis that, if the
Terminated Number of Units is less than the Number of Index Units, references to the
“Number of Index Units” shall be deemed to be references to the Terminated Number of
Units for purposes of these calculations only. Further, the Optional Early Termination
“Funding Fee” means the product of the Equity
Notional Amount corresponding to the Early
Termination Portion multiplied by the Break Funding
Rate multiplied by the number of days from (and
including) the Early Termination Date to (but excluding)
the next scheduled Valuation Date divided by a number
equivalent to the denominator of the Day Count Fraction
applicable to the Floating Rate Option. The “Break
Funding Rate” is the rate equal to the difference
between the Floating Rate as of the most recent Period
End Date, or if no such date has occurred, the Effective
Date, less the Floating Rate as of the Early Termination
Date.
[COMMENT: DTCC: “Will you please confirm if we are using Exchange Business Day instead of Scheduled Trading
Day in EUR Index Swap ? I ask because we've been asked to support a new field which specifies when to terminate.
In the existing ISDA MCAs, they all use Scheduled Trading Day.”]
56 [COMMENT: SG is fine with the 10am London Time deadline.]
55
GTC: IS-23
Date shall be deemed to be the final Valuation Date and the final day of the final
Dividend Period, and the corresponding Cash Settlement Payment Date shall be deemed
to be the final Period End Date.
(d)
If a Termination Notice is given in respect of which the Terminated Number of Units is
less than the Number of Index Units, the Transaction shall continue in effect, but only in
relation to a Number of Index Units equal to (a) the Number of Index Units immediately
prior to the Optional Early Termination Date less (b) the Terminated Number of Units.
(e)
If the OET Electing Party is the Hedging Party, the Final Price shall not be adjusted to
account for any factors (including the impact of any costs, commissions or other fees in
determining the level of an index) that may have been separately agreed between the
parties.
(f)
If the OET Electing Party is the Non-Hedging Party and Break Funding Recovery is
Applicable, the Floating Amount shall be adjusted to account for any break funding costs
of the Hedging Party, as determined by the Calculation Agent. If the OET Electing Party
is the Hedging Party no such adjustment shall be made.
[Insert any alternative or additional Optional Early Termination provisions.]
GTC: IS-24
TRANSACTION SUPPLEMENT IS
(Cash-settled Index Swap Transaction)
INDEX SWAP TRANSACTION SUPPLEMENT
This Transaction Supplement is entered into between the Equity Amount Payer and Floating
Amount Payer listed below on the Trade Date set forth below.
The purpose of this communication is to confirm the terms and conditions of the Index Swap
Transaction entered into between [Insert full legal name of Party A] (“Party A”) and [Insert
full legal name of Party B] (“Party B”) on the Trade Date specified below (the “Transaction”).
This Transaction Supplement supplements, forms part of and is subject to the 2007 European
Master Equity Derivatives Confirmation Agreement dated as of [Insert Date] between us, as
may be amended and supplemented from time to time, and, together with the IS General Terms
Confirmation attached thereto, constitutes a “Confirmation” as referred to in the Master
Agreement between us, as amended and supplemented from time to time.
The terms of the Index Swap Transaction to which this Transaction Supplement relates are as
follows:
General Terms:
Trade Date:
Effective Date:
[Termination Date:
[Strike Date:
Index:
Number of Index Units:
Exchange(s):
Related Exchange:
[●]
[●]
[●]]1
[●]]
[●]
[●]2
[●] [Multiple Exchange]
[●]3
Equity Amounts:
Equity Amount Payer:
Equity Notional Amount:
[Equity Notional Reset:
Type of Return:
Initial Price:
[Initial Price Election:
[Party A] [Party B]
[●]4
[Applicable] / [Not Applicable]]1
[Total Return] / [Price Return]5 6
[●] [Strike Date]
Hedge Execution]1
1
Insert if an override of the position set out in the GTC is required.
For the avoidance of doubt, the Number of Index Units should be the Equity Notional Amount (as of the Trade Date) divided by
the Initial Price (as of the Trade Date).
3 If Futures Price Valuation is Applicable, the mechanics of the Confirmation contemplate that the parties will designate the
specific exchange on which the Exchange-traded Contract is traded (e.g., not ‘All Exchanges’).
4 For the avoidance of doubt, the Equity Notional Amount should be the product of the Initial Price multiplied by the Number of
Index Units.
5 If the underlying Index is a total return index, then Price Return should be elected to avoid double counting dividends.
6 [COMMENT: GS: “Following on from Citi’s comments our preference is to always state this on a transaction by
transaction basis to avoid any confusion.”]
2
TS: IS-1
[Strike Date Valuation Time:
[Final Price:
[Valuation Time:
Valuation Date(s):
[●]7 8
[Hedge Execution] / [Close]] 19
[●]]1 10
[●]
Floating Amounts:
Floating Amount Payer:
[Notional Amount:
[Payment Date(s):
[Business Days:
[Business Day Convention:
Floating Rate Option:
[Floating Rate Day Count Fraction:
Designated Maturity:
Spread:
[Linear Interpolation:
Futures Price Valuation:
Futures Price Valuation:
[Exchange-traded Contract:
[Party A] [Party B]
[●]]1
[●]]1
[●]]1
[●]]1
[●]
[●]]1
[●]
[●]
[Not Applicable] [Applicable]]111
[Applicable] [Not Applicable]
[●]]1
Settlement Terms:
[Cash Settlement Payment Date(s): [●] Currency Business Days following the relevant
Valuation Date, or if such date is not a Currency
Business Day, the next following Currency
Business Day.]1
Settlement Currency:
[●]
Dividends (Applicable only when Total Return is Applicable):
[Dividend Payment Date(s):
[Declared Cash Dividend Percentage:
[Declared Cash Equivalent Dividend Percentage:
[●]]12
[●] per cent]
[●] per cent]
Index Adjustment Events
7
Insert if Strike Date is Applicable
[COMMENT: GS believes this should be hardcoded at the MCA level.]
9 EU WG (7/16/09): Should we conform to the approach taken in the Interdealer Share Swap Annex on this election – “Final
Price Election” – or vice versa. Please advise. [COMMENT: Citi would like this election in the GTC because it is more
relationship than trade specific.]
10 [COMMENT:
GS: “This is unnecessary as will follow the election for Final Price.” DTCC: “I've asked
BNP/JPM/DB/GS as to how they anticipate overwriting this field in T-supp. As per GS, they don't plan to overwrite,
or at least, selecting a relevant choice under Final Price will suffice. I received a similar response from JPM. As long
as participants' choices are "Close" or "Hedge Execution", I don't see any requirement to support this field in Tsupp because Valuation Time is mapped to a relevant Final Price choice.”]
11 [COMMENT: Citi would like this election in the GTC because it is more relationship than trade specific.]
12 This election is for use when the parties have chosen not to have the Dividend Payment Date fall on the Cash Settlement
Payment Date per the Equity Definitions.
8
TS: IS-2
[Index Disruption:
[Calculation Agent Adjustment] [Postponement]]1
Optional Early Termination:
[Optional Early Termination:
[Break Funding Recovery:
[Applicable] [Not Applicable]]13
[Applicable] [Not Applicable]]14
15
[Insert full legal name of Party A]
[Insert full legal name of Party B]
By: ______________________________
Name:
Title:
Date:
By: ______________________________
Name:
Title:
Date:
13
[COMMENT: Citi would like this election in the GTC because it is more relationship than trade specific. BNPP
agrees.]
14 [COMMENT: Citi would like this election in the GTC because it is more relationship than trade specific.]
15 [COMMENT: BNP would like a Break Fee line here.]
TS: IS-3