Master Credit Derivatives Iboxx Dow Jones Cdx

Form Dated October 30, 2003May [ ], 2004

MASTER CREDIT DERIVATIVES IBOXX DOW JONES CDX

INDEX CONFIRMATION AGREEMENT

This Master Credit Derivatives iBoxx Dow Jones CDX Index Confirmation Agreement (“Master Confirmation Agreement”) is dated as of [____] between [______] (“Party A”) and [______] (“Party B”).

The parties wish to facilitate the process of entering into and confirming certain Credit Derivative Transactions relating to iBoxx Dow Jones CDX indices and accordingly agree as follows:

1.Credit Derivatives Definitions. This Master Confirmation Agreement hereby incorporates by reference the definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions (together, the “Credit Derivatives Definitions”). Any capitalized term not otherwise defined herein shall have the meaning assigned to such term in the Credit Derivatives Definitions.

2.Confirmation Process. The parties intend to enter into separate Credit Derivative Transactions (each a “Transaction”) set out in a Transaction Supplement substantially in the form attached as Exhibit B hereto (a “Transaction Supplement”). The confirmation applicable to each Transaction, which shall constitute a “Confirmation” for the purposes of, and will supplement, form a part of, and be subject to, the ISDA Master Agreement between Party A and Party B dated as of [ ], as amended and supplemented from time to time (the “Master Agreement”), shall consist of this Master Confirmation Agreement, including the form of General Terms Confirmation attached as Exhibit A hereto (the “General Terms Confirmation”), as supplemented by the trade details applicable to such Transaction as set forth in the Transaction Supplement.

In the event of any inconsistency between (i) this Master Confirmation Agreement, including the form of General Terms Confirmation, and a Transaction Supplement and/or (ii) the Credit Derivatives Definitions and a Transaction Supplement, the Transaction Supplement shall govern for the purpose of the relevant Transaction. The Transaction Supplement shall set forth, at a minimum, all of the information set out in the applicable form of Transaction Supplement attached hereto as Exhibit B. [ACE1]

3.Non-Exclusive. The parties acknowledge and agree that the execution of this Master Confirmation Agreement does not require them to document Transactions in accordance with this Master Confirmation Agreement.

4.Preparation of Transaction Supplements. The preparation of a Transaction Supplement shall be the responsibility of the Seller in respect of the Transaction to which the relevant Transaction Supplement relates.

5.Miscellaneous.

(a)Entire Agreement. This Master Confirmation Agreement constitutes the entire agreement and understanding of the parties with respect to its subject matter and supersedes all oral communication and prior writings with respect specifically thereto.

(b)Amendments. An amendment, modification or waiver in respect of this Master Confirmation Agreement will only be effective if in writing (including a writing evidenced by a facsimile transmission) and executed by each of the parties or confirmed by an exchange of telexes or by an exchange of electronic messages on an electronic messaging system., provided, however, that any Annex not originally attached to the General Terms Confirmation or deemed a part of the General Forms Confirmation pursuant to this clause, shall be deemed a part of the General Terms Confirmation if it is first attached to a fully executed Transaction Supplement evidencing the Transaction to which it applies.[1].[ACE2]

(c)Counterparts. This Master Confirmation Agreement and each Transaction Supplement documented hereunder may be executed in counterparts, each of which will be deemed an original.

(d)Headings. The headings used in this Master Confirmation Agreement are for convenience of reference only and shall not affect the construction of or be taken into consideration in interpreting this Master Confirmation Agreement.

(e)Governing Law. This Master Confirmation Agreement and each Transaction confirmed by a Confirmation documented hereunder will be governed by and construed in accordance with the law specified in the Master Agreement.

[New York #1207933 v5] / 1

IN WITNESS WHEREOF the parties have executed this document with effect from the date specified on the first page of this document.

[______][______]

By:______By: ______

Name: Name:

Title:Title:

[New York #1207933 v5] / 1

EXHIBIT A

GENERAL TERMS CONFIRMATION

The purpose of this document (the “General Terms Confirmation”) is to set forth certain general terms and conditions of Credit Derivative Transactions entered into between us under the Master Credit Derivatives iBoxx Dow Jones CDX Index Confirmation Agreement between us, dated as of [], as amended and supplemented from time to time (the “Master Confirmation Agreement”).

This General Terms Confirmation incorporates by reference the definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions as supplemented by the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions (together, the “Credit Derivatives Definitions”), as published by the International Swaps and Derivatives Association, Inc. (“ISDA”). In the event of any inconsistency between this General Terms Confirmation and the Credit Derivatives Definitions, this General Terms Confirmation will govern.

All provisions contained in, or incorporated by reference in, the Master Agreement shall govern each Confirmation (each as defined in the Master Confirmation Agreement) except as expressly modified below.

Each Transaction under this General Terms Confirmation relates to a basket of Reference Entities (as described below). For the avoidance of doubt, each such Transaction shall have the same economic effect as entering into a separate credit default swap transaction on each of the Reference Entities with a Floating Rate Payer Calculation Amount as specified below. Each settlement in respect of a Reference Entity that is a component of a Transaction following a Credit Event will terminate only the corresponding portion of such Transaction, as outlined below. Upon the termination of a portion of a Transaction due to such a settlement with respect to a Reference Entity, additional Credit Events with respect to that Reference Entity will not have any effect on such Transaction (i) unless that Reference Entity subsequently becomes a Successor to another Reference Entity in respect of which an Event Determination Date has not occurred and (ii) except as otherwise provided in the “Successors” provision below. Each Transaction under this General Terms Confirmation contemplates that there may be more than one Credit Event and accordingly more than one Event Determination Date, more than one Physical Settlement Amount and more than one Physical Settlement Date and that the Credit Derivatives Definitions (and in particular the definition of “Termination Date”) should, for the purposes of such Transaction, be interpreted accordingly.

The terms of each Transaction to which this General Terms Confirmation relates are as follows, as supplemented by the Transaction Supplement related to such Transaction:

1. General Terms:

Trade Date: / As shown in the Transaction Supplement
Effective Date: / As shown in the Transaction Supplement
Scheduled Termination Date: / As shown in the Transaction Supplement
Floating Rate Payer: / As shown in the Transaction Supplement (the “Seller”)
Fixed Rate Payer: / As shown in the Transaction Supplement (the “Buyer”)
Calculation Agent: / Seller
CalculationAgentCity: / New York
Business Day: / New York and London
Business Day Convention: / Following (which, subject to Sections 1.4 and 1.6 of the Credit Derivatives Definitions, shall apply to any date referred to in this General Terms Confirmation or in the related Transaction Supplement that falls on a day that is not a Business Day)
Index: / One or more of the Indices, each an Index aAs shown in the Transaction Supplement. A description of each Index is outlined in the relevant Annex (attached hereto) which corresponds to such Index, as amended from time to time.[ACE3]and set forth in the respective Annex to the General Terms Confirmation.
Index Sponsor: / CDS Indexco LLC
Reference Entities: / Each entity contained in the Index as of the Trade Date and listed on the relevant Annex A, to the General Terms Confirmation, as amended from time to time.[ACE4]
For the avoidance of doubt, where applicable the Guarantor of a Reference Obligation shall be deemed the Reference Entity.
Reference Obligation(s): / With respect to each Reference Entity, the obligation, if any, specified in the Index for the relevant Reference Entity as of the Trade Date and listed on the relevant Annex A, to the General Terms Confirmation, subject to Sections 2.2(d) and 2.30 of the Credit Derivatives Definitions and the following paragraphs. [ACE5]
If the Index Sponsor publishes a replacement Reference Obligation for a Reference Entity or one or more Reference Obligations for a Reference Entity as a result of a Succession Event, the Calculation Agent shall select such Reference Obligation(s) as the Reference Obligation(s) hereunder for such Reference Entity in lieu of applying the provisions of Sections 2.2(d) or 2.30 of the Credit Derivatives Definitions.
Where there would be more than one Reference Obligation for a Reference Entity as a result of a Succession Event, the Calculation Agent shall associate each Reference Obligation with the relevant portion of the aggregate Floating Rate Payer Calculation Amount for that entity as indicated by the Index Sponsor or, in the absence of such an indication, as the Calculation Agent determines appropriate to preserve the economic effects of the Credit Derivative Transaction prior to the Succession Event (considered in the aggregate).
Successors: / Section 2.2(a) of the Credit Derivatives Definitions is amended by deleting the words “for the entire Credit Derivative Transaction” from each of clauses (i) and (ii); and by deleting the words “for a New Credit Derivative Transaction” from each of clauses (iii) and (iv).
Section 2.2(d) of the Credit Derivatives Definitions is amended in clause (i) by replacing “a Credit Derivative Transaction” with “a Reference Entity”; and in the last line thereof by replacing “each relevant Credit Derivative Transaction” with “each relevant Reference Entity”.
Section 2.2(e) of the Credit Derivatives Definitions is amended to read as follows:
“Where, pursuant to Section 2.2(a)(iii) or (iv), more than one Successor for a Reference Entity has been identified, (i) the Reference Entity subject to the Succession Event will no longer be a Reference Entity for purposes of the Credit Derivative Transaction (unless it is a Successor as described in clause (ii) below), (ii) each Successor will be deemed a Reference Entity for purposes of the Credit Derivative Transaction, (iii) the Floating Rate Payer Calculation Amount for each such Successor Reference Entity will equal the Floating Rate Payer Calculation Amount for the Reference Entity subject to the Succession Event divided by the number of Successors, and (iv) the Calculation Agent may make any modifications to the terms of the Credit Derivative Transaction required to preserve the economic effects of the Credit Derivative Transaction prior to the Succession Event (considered in the aggregate).”
If a Successor already is a “Reference Entity” at the time Section 2.2 of the Credit Derivatives Definitions is applied (and is not itself the subject of the Succession Event), the Floating Rate Payer Calculation Amount with respect to that Reference Entity shall be equal to the sum of (i) the Floating Rate Payer Calculation Amount in respect of the Reference Entity immediately prior to the application of Section 2.2 of the Credit Derivative Definitions and (ii) the Floating Rate Payer Calculation Amount in respect of such Reference Entity as a result of the application of Section 2.2(e)(iii) of the Credit Derivatives Definitions (as amended hereby).
If, as a result of a Succession Event, a Reference Entity would have more than one Reference Obligation, (i) the immediately preceding paragraph shall not apply, (ii) there shall be deemed to be a separate Reference Entity hereunder associated with each such Reference Obligation, (iii) the Floating Rate Payer Calculation Amount of the Reference Entity corresponding to the entity that was a “Reference Entity” at the time Section 2.2 of the Credit Derivatives Definitions is applied shall equal the Floating Rate Payer Calculation Amount thereof immediately prior to such application, (iv) the Floating Rate Payer Calculation Amount of a Reference Entity corresponding to a Successor determined pursuant to Section 2.2 will equal the amount determined by application of Section 2.2(e)(iii) of the Credit Derivatives Definitions (as amended hereby) and (v) the Conditions to Settlement may be satisfied (and settlement with respect thereto may occur) separately for each such Reference Entity.
All Guarantees: / Not Applicable
Reference Price: / 100%

2. Initial Payment:

Initial Payment: / On the date that is three Business Days following the Trade Date, the Initial Payment Payer shall pay to the other party an amount equal to the Initial Payment Amount.
Initial Payment Payer: / As shown in the Transaction Supplement
Initial Payment Amount: / As shown in the Transaction Supplement

3. Fixed Payments:

Fixed Rate Payer Calculation Amount: / An amount equal to (i) the sum of the Floating Rate Payer Calculation Amounts for each Reference Entity on each day in the relevant Fixed Rate Payer Calculation Period, subject to Section 7(e) below, excluding Reference Entities for which an Event Determination Date has occurred on or prior to the relevant day, dividedby (ii) the actual number of days in such Fixed Rate Payer Calculation Period.[ACE6][ACE7]
Fixed Rate Payer Payment Dates: / Each March 20, June 20, September 20 and December 20
Section 2.10 of the Credit Derivative Definitions is amended by deleting the entire clause beginning with “, provided”.
Fixed Rate Payer Calculation Period: / Section 2.9 of the Credit Derivatives Definitions is amended by replacing the words “the Effective Date” with “the later to occur of (i) the Effective Date and (ii) the March 20, June 20, September 20 or December 20 occurring on or immediately prior to the Trade Date” and by replacing the words “the earlier to occur of the Scheduled Termination Date and the Event Determination Date” with “the Scheduled Termination Date”.
Section 5.4 of the Credit Derivatives Definitions is amended by replacing the words “the earlier to occur of the Scheduled Termination Date and the Event Determination Date” with “the Scheduled Termination Date”.
Fixed Rate: / As shown in the Transaction Supplement
Fixed Rate Day Count Fraction: / Actual/360

4. Floating Payments:

Floating Rate Payer Calculation Amount: / With respect to each Reference Entity of the Index[ACE8][ACE9], the amount shown in the Transaction Supplement, divided by the number of Reference Entities in the Index,[ACE10]divided by the number of Reference Entities in the Index [ACE11]subject to adjustment as provided in Section 2.2 of the Credit Derivatives Definitions, as modified by the “Successors” provision above.
Conditions to Settlement: / Credit Event Notice
Notifying Party: Buyer or Seller
Notice of Physical Settlement
Notice of Publicly Available Information:
Applicable
Credit Events: / The following Credit Event(s) shall apply to this Transaction:
Bankruptcy
Failure to Pay
Grace Period Extension: Not Applicable
Payment Requirement: USD 1,000,000 (or its equivalent in the Obligation Currency as of the occurrence of the relevant Failure to Pay)
Obligation(s):
Obligation Category / Obligation Characteristics
Borrowed Money / None
Excluded Obligations: / None

5. Settlement Terms:

Settlement Method: / Physical Settlement shall apply separately in respect of each Reference Entity for which a Credit Event has occurred and the Conditions to Settlement have been satisfied. Accordingly, Section 3.1 of the Credit Derivative Definitions is amended by replacing the words “Credit Derivative Transaction” with “Reference Entity” each time they occur.
Settlement Currency: / The currency of denomination of the Floating Rate Payer Calculation Amount
Terms Relating to Physical Settlement:
Physical Settlement Period: / As defined in Section 8.6 of the Credit Derivatives Definitions, provided that such period shall not exceed 30 Business Days
Deliverable Obligations: / Exclude Accrued Interest
Deliverable Obligations:
Deliverable Obligation Category / Deliverable Obligation Characteristics
Bond or Loan / Not Subordinated
Specified Currency:
Standard Specified Currencies
Not Contingent
Assignable Loan
Consent Required Loan
Transferable
Maximum Maturity: 30 years
Not Bearer
Excluded Deliverable Obligations: / None
Partial Cash Settlement of Consent Required Loans: /
Not Applicable
Partial Cash Settlement of Assignable Loans: /
Not Applicable
Partial Cash Settlement of Participations: / Not Applicable
Escrow: / Applicable

6. Election with respect to a Reference Entity that has been removed from the Index by the Index Sponsor:

If, following the Trade Date, the Index Sponsor removes a Reference Entity from the Index, either party may elect, by notice to the other party, to deem the portion of this Transaction relating to such Reference Entity to be documented on a stand alone basis. Upon such election, such Reference Entity shall be deemed removed from the Confirmation for this Transaction and documented by a stand alone Confirmation effective as of the Fixed Rate Payer Payment Date immediately preceding such election (or, if none, the later to occur of (i) the Effective Date and (ii) the March 20, June 20, September 20 or December 20 occurring on or immediately prior to the Trade Date), with a Floating Rate Payer Calculation Amount and a Fixed Rate Payer Calculation Amount equal to the Floating Rate Payer Calculation Amount applicable to such Reference Entity and all other terms of this Transaction (including, without limitation, the Fixed Rate) replicated except to the extent that modification is required, as determined by the Calculation Agent (in consultation with the parties), to preserve the economic effects of the Confirmation for this Transaction and the deemed stand alone Confirmation (considered in the aggregate).

7. Additional Provisions:

(a)The Index referenced herein is the property of the Index Sponsor. Each party acknowledges and agrees that the transaction hereunder is not sponsored, endorsed or promoted by the Index Sponsor or any members of the Index Sponsor (the Index Sponsor, together with its members, the “Index Parties”). The Index Parties make no representation whatsoever, whether express or implied, and hereby expressly disclaim all warranties (including, without limitation, those of merchantability or fitness for a particular purpose or use), with respect to the Index or any data included therein or relating thereto, and in particular disclaim any warranty either as to the quality, accuracy and/or completeness of the Index or any data included therein, the results obtained from the use of the Index, the composition of the Index at any particular time on any particular date or otherwise, and/or the creditworthiness of, or likelihood of the occurrence of a Credit Event with respect to, any entity in the Index at any particular time on any particular date or otherwise. The Index Parties shall not be liable (whether in negligence or otherwise) to the parties or any other person for any error in the Index, and the Index Parties are under no obligation to advise the parties or any person of any error therein. The Index Parties make no representation whatsoever, whether express or implied, as to the advisability of entering into the transaction hereunder, the ability of the Index to track relevant markets’ performances, or otherwise relating to the Index or any transaction or product with respect thereto or of assuming any risks in connection therewith. The Index Parties have no obligation to take the needs of any party into consideration in determining, composing or calculating the Index. Neither party to this transaction, nor any Index Party, shall have any liability to any party for any act or failure to act by the Index Parties in connection with the determination, adjustment or maintenance of the Index. Although the Calculation Agent will obtain information concerning the Index from sources it believes reliable, it will not independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made, and no responsibility is accepted by either party, its Affiliates or the Calculation Agent, as to the accuracy, completeness or timeliness of information concerning the Index. Each party acknowledges that the other party or one of its Affiliates may be, or may be affiliated with, an Index Party and, as such, may be able to affect or influence the determination, adjustment or maintenance of the Index. For purposes of Sections 9.1(b)(iii) and (iv) of the Credit Derivatives Definitions, references to “each party” therein shall be deemed to include each Index Party.