EFTA01436668.pdf

2006 ISDA Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. EFTA01436668 Copyright © 2006 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. 360 Madison Avenue, 16th Floor New York, N.Y. 10017 EFTA01436669 TABLE OF CONTENTS INTRODUCTION TO THE 2006 ISDA DEFINITIONS ARTICLE 1 CERTAIN GENERAL DEFINITIONS SECTION 1.1. SECTION 1.2. SECTION 1.3. SECTION 1.4. SECTION 1.5. SECTION 1.6. SECTION 1.7. SECTION 1.8. SECTION 1.9. SECTION 1.10. SECTION 1.11. SECTION 1.12. Swap Transaction Confirmation Banking Day Business Day Financial Centers Certain Business Days Currencies TARGET Settlement Day New York Fed Business Day NYSE Business Day U.S. Government Securities Business Day EC Treaty ARTICLE 2 PARTIES EFTA01436670 SECTION 2.1. SECTION 2.2. Fixed Rate Payer; Fixed Amount Payer Floating Rate Payer; Floating Amount Payer ARTICLE 3 TERM AND DATES SECTION 3.1. SECTION 3.2. SECTION 3.3. SECTION 3.4. SECTION 3.5. SECTION 3.6. SECTION 3.7. Term Effective Date Termination Date Initial Exchange Date Interim Exchange Date; Periodic Exchange Date Final Exchange Date; Exchange Date; Maturity Date Trade Date ARTICLE 4 CERTAIN DEFINITIONS RELATING TO PAYMENTS SECTION 4.1. SECTION 4.2. SECTION 4.3. Initial Exchange Amount Interim Exchange Amount; Periodic Exchange Amount Final Exchange Amount; Exchange Amount i 7 7 7 6 7 EFTA01436671  EFTA01436672 a) ••••1 r•••• r••• f-••• ri CV rn rn MD MD MD MD 0- > SECTION 4.4. SECTION 4.5. SECTION 4.6. SECTION 4.7. SECTION 4.8. SECTION 4.9. SECTION 4.10. SECTION 4.11. SECTION 4.12. SECTION 4.13. SECTION 4.14. SECTION 4.15. SECTION 4.16. SECTION 4.17. Fixed Amount Floating Amount Currency Amount Notional Amount Calculation Amount. Payment Date 8 8 8 8 8 8 9 9 Period End Date FRN Convention; Eurodollar Convention Business Day Convention 10 Calculation Period 10 EFTA01436673 Calculation Agent 10 Calculation Date 11 Day Count Fraction 11 IMM Settlement Dates 13 ARTICLE 5 FIXED AMOUNTS SECTION 5.1. SECTION 5.2. Calculation of a Fixed Amount 13 Certain Definitions Relating to Fixed Amounts 14 ARTICLE 6 FLOATING AMOUNTS SECTION 6.1. SECTION 6.2. SECTION 6.3. SECTION 6.4. Calculation of a Floating Amount 14 Certain Definitions Relating to Floating Amounts 14 Certain Definitions Relating to Compounding 18 Negative Interest Rates 19 ARTICLE 7 CALCULATION OF RATES FOR CERTAIN FLOATING RATE OPTIONS SECTION 7.1. SECTION 7.2. SECTION 7.3. SECTION 7.4. SECTION 7.5. SECTION 7.6. Rate Options 20 Certain Published and Displayed Sources 77 Certain General Definitions Relating to Floating Rate Options 78 EFTA01436674 Price Source Conversion 82 Certain Definitions Relating to Price Source Conversion 83 Corrections to Published and Displayed Rates 83 ARTICLE 8 ROUNDING; INTERPOLATION; DISCOUNTING SECTION 8.1. SECTION 8.2. SECTION 8.3. SECTION 8.4. Rounding 83 Rounding of Currency Amounts 84 Interpolation 84 Discounting 84 ii EFTA01436675 ARTICLE 9 PAYMENTS SECTION 9.1. Relating Payments to Calculation Periods 86 ARTICLE 10 MARK-TO-MARKET CURRENCY SWAPS SECTION 10.1. SECTION 10.2. SECTION 10.3. SECTION 10.4. SECTION 10.5. Mark-to-market Currency Swap 87 General Terms Relating to Mark-to-market Currency Swaps 87 Application of ISDA MTM Matrix 88 ISDA MTM Matrix 88 MTM Amount 88 ARTICLE 11 OPTION TRANSACTION; SWAPTION; SWAPTION STRADDLE SECTION 11.1. SECTION 11.2. SECTION 11.3. Option Transaction 88 Swaption 88 Swaption Straddle 89 ARTICLE 12 CERTAIN DEFINITIONS AND PROVISIONS RELATING TO OPTION TRANSACTIONS SECTION 12.1. SECTION 12.2. SECTION 12.3. SECTION 12.4. SECTION 12.5. Parties 89 Option Style 90 Terms Relating to Premium EFTA01436676  90 Exercise Business Day 90 Notional Amount for Option Transactions 90 ARTICLE 13 EXERCISE OF OPTIONS SECTION 13.1. SECTION 13.2. SECTION 13.3. SECTION 13.4. SECTION 13.5. SECTION 13.6. SECTION 13.7. SECTION 13.8. SECTION 13.9. SECTION 13.10. General Terms Relating to Exercise 91 Procedure for Exercise 92 Partial Exercise 92 Multiple Exercise 92 Minimum Notional Amount 93 Maximum Notional Amount .... 93 Automatic Exercise 93 Fallback Exercise 93 Settlement Rate on Automatic Exercise or Fallback Exercise 94 Exercise of Swaption Straddles ... 94 iii EFTA01436677 ARTICLE 14 GENERAL TERMS AND PROVISIONS RELATING TO SETTLEMENT OF SWAPTIONS SECTION 14.1. PHYSICAL SETTLEMENT OF SWAPTIONS SECTION 15.1. Physical Settlement 95 ARTICLE 16 OPTIONAL EARLY TERMINATION SECTION 16.1. SECTION 16.2. Optional Early Termination 96 Optional Early Termination Date 96 ARTICLE 17 MANDATORY EARLY TERMINATION SECTION 17.1. SECTION 17.2. Mandatory Early Termination 96 Mandatory Early Termination Date 97 ARTICLE 18 CASH SETTLEMENT SECTION 18.1. SECTION 18.2. SECTION 18.3. SECTION 18.4. SECTION 18.5. SECTION 18.6. Cash Settlement 97 Certain Definitions Relating to Cash Settlement 97 Cash Settlement Methods 102 In-the- money 105 Out-of-the- money 105 Corrections to Published and Displayed Rates for Settlement Rate 105 ARTICLE 19 EFTA01436678 ISDA SETTLEMENT MATRIX SECTION 19.1. SECTION 19.2. EXHIBIT I EXHIBIT II A. B. Application of ISDA Settlement Matrix 105 ISDA Settlement Matrix 106 Sample Form of Confirmation 107 Sample Forms of Additional Provisions for Particular Types of Swap Transactions: Rate Swap Transaction or Cross-Currency Rate Swap Transaction 109 Rate Cap Transaction, Rate Floor Transaction or Rate Collar Transaction 113 iv Certain Definitions Relating to Settlement of Swaptions 95 ARTICLE 15 EFTA01436679 C. D. E. F. G. H. EXHIBIT III Forward Rate Agreement 115 Self-Compounding Overnight Interest Rate Swap Transaction 117 Swaption or Swaption Straddle 119 Swap Transaction to which Optional Early Termination applies 123 Swap Transaction to which Mandatory Early Termination applies 127 Mark-to-market Currency Swap ... 129 Definitions of Specific Terms for Certain Euro Floating Rate Options 133 INDEX OF TERMS 135 EFTA01436680 INTRODUCTION TO THE 2006 ISDA DEFINITIONS The 2006 ISDA Definitions (the "2006 Definitions") are intended for use in confirmations of individual transactions ("Confirmations") governed by agreements such as the 1992 ISDA Master Agreements and the 2002 ISDA Master Agreement (the "ISDA Master Agreements") published by the International Swaps and Derivatives Association, Inc. ("ISDA"). Copies of the ISDA Master Agreements are available from the executive offices of ISDA and on the ISDA website, www.isda.org. A sample form of document constituting a Confirmation is attached as Exhibit I. Exhibits II-A to II-H set out sample forms of specific provisions for inclusion in a Confirmation to document particular types of transactions. The 2006 Definitions are an update of the 2000 ISDA Definitions (the "2000 Definitions"), which The 2006 Definitions can be incorporated into future Confirmations or other many parties to privately negotiated derivative transactions have incorporated into existing Confirmations or other documents. documents. Existing Confirmations or other documents that incorporate the 2000 Definitions will not, without further action by the parties, be affected by the use of the 2006 Definitions for subsequent transactions. The purpose of the 2006 Definitions is to provide the basic framework for the documentation of privately negotiated interest rate and currency derivative transactions. Although the 2006 Definitions were drafted with this purpose in mind, ISDA recognizes that parties documenting other types of privately negotiated derivative transactions might find it helpful to incorporate the 2006 Definitions into Confirmations for those transactions. For example, when documenting an equity swap transaction using the 2002 ISDA Equity Derivatives Definitions or a commodity swap using the 2005 ISDA Commodity Derivatives Definitions, parties may wish to incorporate the 2006 Definitions into the relevant Confirmation in order to document more easily floating or fixed payments arising under those transactions. As in the case of other product-specific sets of definitions published by ISDA, parties using the 2006 Definitions to document a transaction may adapt or supplement the standard provisions set out in the 2006 Definitions in accordance with the specific economic terms agreed between them. EFTA01436681 The 2006 Definitions may be updated in the future to include additional definitions and provisions, and it is anticipated that currency and floating rate option definitions (and related definitions and provisions) will be added or changed from time to time as transactions involving rates and currencies not included in the 2006 Definitions become more prevalent or as necessary to reflect market practice. ISDA anticipates that it will publish amendments and supplements to the 2006 Definitions from time to time (including on its website, www.isda.org). At any time a copy of the then-current version of the 2006 Definitions can be obtained from the executive offices of ISDA and also from the ISDA website. Unless otherwise agreed, where parties incorporate the 2006 Definitions into a Confirmation, they will incorporate the 2006 Definitions as amended and supplemented through the date on which they enter into the relevant transaction. Amendments and supplements to the 2006 Definitions will be deemed to have been made when published by ISDA. If parties want to exclude one or more amendments or supplements made to the 2006 Definitions, they should, in the relevant Confirmation, specify the amendment(s) or supplement(s) that they want to exclude or specify an "as amended and supplemented through" date (e.g., "as amended and supplemented through January 1, 2008"). vi EFTA01436682 ISDA has provided the 2006 Definitions to assist the smooth and efficient functioning of privately negotiated derivatives activity by providing a common set of terms for parties to use in preparing Confirmations. The precise documentation of each individual transaction remains, however, the responsibility of the parties concerned. ISDA does not assume any responsibility for any use to which the 2006 Definitions may be put, including, without limitation, any use of the 2006 Definitions in connection with any privately negotiated derivative transaction. Each party to a transaction evidenced by a Confirmation or other document referring to or incorporating the 2006 Definitions must satisfy itself that the 2006 Definitions are appropriate for the transaction, have been properly used or adapted in that Confirmation or other document and that the Confirmation or other document has generally been properly drafted, in each case to reflect the commercial intentions of the parties. ISDA has not undertaken to review all applicable laws and regulations of any jurisdiction in which the 2006 Definitions may be used or any jurisdiction the currency of which may be the subject of a privately negotiated derivative transaction, and therefore parties are advised to consider the application of any relevant jurisdiction's regulatory, tax, accounting, exchange or other requirements that may exist in connection with entering into and documenting such a transaction. vii EFTA01436683 CHANGES IN THE DEFINITIONS FROM THE 2000 DEFINITIONS The 2006 Definitions reflect a number of changes from the 2000 Definitions: • Consolidated Structure. Certain definitions and provisions of the 2000 Definitions (including the Rate Options and related provisions) that were anticipated to need periodic updating were published in the Annex to the 2000 Definitions. There is no Annex to the 2006 Definitions. All definitions and provisions of the 2006 Definitions, including the Rate Options and related provisions, are contained in a single document, the 2006 Definitions. • Day Count Fractions. In the course of developing the 2006 Definitions, ISDA surveyed its membership on usage of the day count fraction provisions in the 2000 Definitions with the goal of making them easier to use and to ensure that, as described, they are in accordance with market practice. In response to feedback received, the definition of the actual/- actual day count fraction contained in Section 4.16(b) has been modified to add "Actual/Actual (ISDA)" and "Act/Act (ISDA)" and to eliminate "Actual/365", "Act/365" and "A/365" as designations for that day count fraction. Feedback suggested that the former terms are commonly used, whereas the latter terms are now rarely used in the market. The substance of the definition for this day count fraction remains unchanged from the 2000 Definitions. A definition for an actual/actual day count fraction based on Rule 251 of the statutes, by-laws, rules and recommendations of the International Capital Market Association ("ICMA") has also been included as a new Section 4.16(c). This is based on the provision that was included in the Introduction to the 2000 Definitions as a suggested way in which parties could provide for such a day count fraction to apply to a transaction, an approach which appears to have been commonly adopted in the market. The 30/360 (or "Bond Basis") day count fraction in Section 4.16(f) is now expressed as a formula but has not been modified in substance. The formula is designed to yield the same results in practice as the previous version of this day count fraction included in the 2000 Definitions. In addition, the 2006 Definitions contain two alternative versions of the 30E/360 day count fraction. The 30E/360 (or "Eurobond Basis") day count fraction in Section 4.16(g) has been modified from the version of the day count fraction with that designation included in the 2000 Definitions to reflect the formulation of 30E/360 used by organizations such as ICMA and the Federation EFTA01436684 Bancaire Francaise, as well as in the Microsoft Excel spreadsheet software and by financial software vendors. count fraction in Section 4.16(h) of these 2006 Definitions, designated "30E/- 360 (ISDA)", The day is designed to yield the same results in practice as the version of the 30E/360 day count fraction included in the 2000 Definitions. Both versions of the 30E/360 day count fraction included in the 2006 Definitions are expressed as formulas. • Mark-to-Market Currency Swap Provisions. Article 10 of the 2006 Definitions provides definitions and provisions to enable parties to document mark-to-market currency swap transactions ("Mark-to-market Currency Swaps"). These transactions involve two currencies, with the Currency Amount in respect of one party being subject to periodic adjustment during the term of the transaction by reference to the then-prevailing currency exchange rate for the relevant currencies (the "Variable Currency Amount"), while the Currency Amount in respect of the other party remains constant (the "Constant Currency Amount"). Amounts, on each Payment Date an amount is payable by one party to the other on account of any such adjustment in the Variable Currency Amount (an "MTM Amount"). Additional Provisions for a Confirmation of a Swap Transaction that is a Mark-to-market Currency Swap. viii In addition to any payments of Fixed Amounts and/or Floating Exhibit II-H provides EFTA01436685 • Swaption Straddles. Supplement 14 to the 2000 Definitions provided market participants with definitions and provisions to enable them to document swaption straddle transactions under those Definitions. The 2006 Definitions include similar terms and Exhibit II-E now provides Additional Provisions for a Confirmation of a Swap Transaction that is a Swaption or Swaption Straddle. • Settlement Matrix and MTM Matrix. Users of the 2000 Definitions will probably already be familiar with the ISDA Settlement Matrix for Early Termination and Swaptions (the "Settlement Matrix"). Separately from the 2006 Definitions, ISDA will update the Settlement Matrix for use with the 2006 Definitions and publish a new matrix, the 2006 ISDA Definitions MTM Matrix for Mark-tomarket Currency Swaps (the "MTM Matrix"). As described in Article 19 of these 2006 Definitions, the Settlement Matrix is deemed to apply to (i) transactions that feature early termination provisions and (ii) swaptions, in each case where they involve a currency that is included in the Settlement Matrix. Similarly, as described in Article 10, the MTM Matrix is deemed to apply to Mark-to-market Currency Swaps that involve a currency pair that is included in the MTM Matrix. Neither matrix will apply to a transaction if the parties to that transaction specify accordingly in the related Confirmation. Where a matrix applies to a transaction, certain elections that the parties would otherwise have to make in the relevant Confirmation will be deemed to be made in accordance with the elections specified in the matrix, except to the extent that such elections are inconsistent with terms specified by the parties in the Confirmation. Each matrix will be updated and/or expanded from time to time, with each new version published on ISDA's website, www.isda.org. Where parties enter into a transaction to which a matrix applies, the version of the matrix that will be deemed to apply will be the most recently published version of the matrix as of the date on which they enter into that transaction. If parties wish to apply the terms of an earlier version of the matrix, they can specify the version of the matrix that they want to apply in their Confirmation. • Rate Options. Many of the rate option definitions contained in Section 7.1 of the 2006 Definitions have been amended, and various additional definitions have been included. In definitions of individual rate options that reference screen-based rate sources, the 2006 EFTA01436686 Definitions refer to only one Information Vendor due to the need to provide for one authoritative source in the event of a dispute. However, in response to requests from market participants and where warranted by market usage, the 2006 Definitions include multiple rate option definitions for certain floating rates, with each one referencing a different Information Vendor (e.g., separate CAD-LIBOR-BBA rate options reference Reuters, Bloomberg and SwapMarker sources). ISDA wishes to make clear that users of the 2006 Definitions are free, as a matter of operational convenience, to obtain rate information from sources other than the one listed in a specific rate option (including from other Information Vendors), bearing in mind that in the event of a discrepancy between the source actually used and the source referred to in the rate option definition, the latter will prevail. PRACTICE NOTES • Information Vendors. Apart from certain arrangements with ICAP plc and Reuters in relation to collecting information for publication on certain Reuters ISDAFIX pages, and the fact that certain relevant organizations may be associate members of ISDA, ISDA has no relationship with, is not affiliated with and has not received compensation from any of the organizations ("Information Vendors") that have created or publish or provide the information that serves as a basis for the rates referred to in the 2006 Definitions. ISDA does not assume any responsibility for the non-availability or miscalculation of, or any error or omission in, any of the rates referred to in the 2006 Definitions ix EFTA01436687 and does not assume any responsibility for any use of any rate, price or published index in connection with a Swap Transaction or in connection with any other transaction. x EFTA01436688 2006 ISDA DEFINITIONS Any or all of the following definitions and provisions may be incorporated into a document (including in electronic form) by wording in the document indicating that, or the extent to which, the document is subject to the 2006 ISDA Definitions (the "2006 Definitions"), as published by the International Swaps and Derivatives Association, Inc. ("ISDA"). Unless otherwise agreed, where parties incorporate the 2006 Definitions into a document (including in electronic form), they will incorporate the 2006 Definitions as amended and supplemented through the date on which they enter into the relevant transaction or agreement. If parties want to exclude one or more amendments or supplements made to the 2006 Definitions, they should, in the relevant Confirmation, specify the amendment(s) or supplement(s) they wish to exclude or specify an "as amended and supplemented through" date. All definitions and provisions so incorporated in a document will be applicable to that document unless otherwise provided in that document, and all terms defined in these 2006 Definitions and used in any definition or provision that is incorporated by reference in a document will have the respective meanings set forth in these 2006 Definitions unless otherwise provided in that document. Any term used in a document will, when combined with the name of a party, have meaning in respect of the named party only. ARTICLE 1 CERTAIN GENERAL DEFINITIONS Section 1.1. Swap Transaction. "Swap Transaction" means (a) any transaction which is a rate swap transaction, basis swap, forward rate transaction, interest rate cap transaction, interest rate floor transaction, interest rate collar transaction, currency swap transaction, cross-currency rate swap transaction, or any other similar transaction, including an Option Transaction, (b) any combination of these transactions, (c) any transaction evidenced by a document (including a message in electronic form) that incorporates these 2006 Definitions and (d) any other transaction identified as a Swap Transaction in the related Confirmation. Section 1.2. Confirmation. "Confirmation" means, with respect to a Swap Transaction, one or more documents or other confirming evidence exchanged between the parties (including by means of an electronic messaging system or e-mail) or otherwise effective which, taken together, confirm all of the terms of that Swap Transaction. EFTA01436689 Section 1.3. Banking Day. "Banking Day" means, in respect of any city, any day on which commercial banks are open for general business (including dealings in foreign exchange and foreign currency deposits) in that city. Section 1.4. Business Day. "Business Day" means, in respect of any date that is specified in these 2006 Definitions or in a Confirmation to be subject to adjustment in accordance with any applicable Business Day Convention, a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in the place(s) and on the days specified for that purpose in the related Confirmation, a TARGET Settlement Day (if "TARGET" or "TARGET Settlement Day" is specified for that purpose in the related Confirmation), a New York Fed Business Day (if "Federal Reserve", "New York Fed" or "New York Fed Business Day" is specified for that purpose in the related Confirmation), a NYSE Business Day (if "New York Stock Exchange", "NYSE" or "NYSE Business Day" is specified for that purpose in the related Confirmation) and, if place(s) and days, or such terms, are not so specified, a day: 1 EFTA01436690 (a) on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in the same currency as the payment obligation that is payable on or calculated by reference to that date in: (i) the financial center(s) indicated for such currency in Section 1.5 (Financial Centers); (ii) the financial center(s) indicated for such currency in Section 1.6 (Certain Business Days); and (iii) the principal financial center of such currency, if the currency is other than those currencies specified in Section 1.7 (Currencies); and (b) that is a TARGET Settlement Day, if the currency of the payment obligation that is payable on or calculated by reference to that date is the euro; and (c) that is a Business Day or TARGET Settlement Day, as the case may be, in respect of each relevant currency, where the payment obligations that are payable on or calculated by reference to that date are denominated in different currencies. Section 1.5. Financial Centers. For purposes of Section 1.4(a)(i), Section 12.4(a) or Section 18.2(m)(i)(A), the financial center(s) for each of the following currencies is indicated below: Currency Financial Center(s) Argentine Peso Australian Dollar Brazilian Real Chilean Peso Chinese Renminbi Czech Koruna Danish Krone Estonian Kroon Hong Kong Dollar Hungarian Forint Indian Rupee Indonesian Rupiah Israeli Shekel Korean Won Lebanese Pound Malaysian Ringgit Mexican Peso New Zealand Dollar Norwegian Krone Pakistani Rupee Philippine Peso EFTA01436691 Polish Zloty Romanian Leu Russian Ruble 2 Buenos Aires Sydney Sao Paulo Santiago Beijing Prague Copenhagen Tallinn Hong Kong Budapest Mumbai Jakarta Tel Aviv Seoul Beirut Kuala Lumpur Mexico City Wellington and Auckland Oslo Karachi Manila Warsaw Bucharest Moscow EFTA01436692 Saudi Arabian Riyal Singapore Dollar Riyadh Slovak Koruna South African Rand Sri Lankan Rupee Swiss Franc Taiwanese Dollar Thai Baht Turkish Lira Vietnamese Dong Singapore Bratislava Johannesburg Colombo Sterling London Swedish Krona Taipei Bangkok Istanbul Hanoi Section 1.6. Certain Business Days. For purposes of Section 1.4(a)(ii), the relevant financial center(s) will be: (a) Toronto and London, if the currency is the Canadian Dollar and either (i) the payment obligation is calculated by reference to any "LIBOR" Floating Rate Option or (ii) the payment obligations of the other party to the Swap Transaction are payable in the Canadian Dollar and are calculated by reference to any "LIBOR" Floating Rate Option; (b) Toronto, if the currency is the Canadian Dollar and neither subsection (a)(i) nor (a)(ii) above is applicable; (c) New York and London, if the currency is the U.S. Dollar and either (i) the payment obligation is calculated by reference to any "LIBOR" Floating Rate Option or (ii) the payment obligations of the other party to the Swap Transaction are payable in the U.S. Dollar and are calculated by reference to any "LIBOR" Floating Rate Option; (d) New York, if the currency is the U.S. Dollar and neither subsection (c)- (i) nor (c)(ii) above is applicable; (e) Tokyo and London, if the currency is the Japanese Yen and either (i) the payment obligation is calculated by reference to any "LIBOR" Floating Rate Option or (ii) the payment obligations of the other party to the Swap Transaction are payable in the Japanese Yen and are calculated by reference to any "LIBOR" Floating Rate Option; and EFTA01436693 (f) Tokyo, if the currency is the Japanese Yen and neither subsection (e)(i) nor (e)(ii) above is applicable. Section 1.7. Currencies. (a) Argentine Republic. (b) currency of Australia. (c) Argentine Peso. "Argentine Peso" and "ARS" each means the lawful currency of the Australian Dollar. "Australian Dollar", "As" and "AUD" each means the lawful Brazilian Real. "Brazilian Real", "Brazilian Reais" and "BRL" each means the lawful currency of the Federative Republic of Brazil. 3 Stockholm Zurich EFTA01436694 (d) of Canada. (e) Canadian Dollar. "Canadian Dollar", "C$" and "CAD" each means the lawful currency Chilean Peso. "Chilean Peso" and "CLP" each means the lawful currency of the Republic of Chile. (f) Czech Republic. (h) Chinese Renminbi. "Chinese Renminbi", "CNY" and "RMB" each means the lawful currency of the People's Republic of China. (g) Czech Koruna. "Czech Koruna" and "CZK" each means the lawful currency of the Danish Krone. "Danish Krone", "DKr" and "DKK" each means the lawful currency of the Kingdom of Denmark. (i) Republic of Estonia. (1) Estonian Kroon. "Estonian Kroon" and "EEK" each means the lawful currency of the Euro. "Euro", "euro", "€" and "EUR" each means the lawful currency of the member states of the European Union that adopt the single currency in accordance with the EC Treaty. (k) currency of Hong Kong. (1) the Republic of Hungary. (m) (n) of Israel. (p) of Japan. (q) Korean Won. "Korean Won" and "KRW" each means the lawful currency of the Republic of Korea. (r) Lebanese Pound. "Lebanese Pound" and "LBP" each means the lawful currency of the Republic of Lebanon. (s) Malaysian Ringgit. "Malaysian Ringgit" and "MYR" each means the lawful currency of the Federation of Malaysia. (t) the United Mexican States. Mexican Peso. "Mexican Peso", "MXN" and "MXP" each means the lawful currency of Japanese Yen. "Japanese Yen", "Yen", "Y" and "JPY" each means the lawful EFTA01436695 currency Hong Kong Dollar. "Hong Kong Dollar", "HK$" and "HKD" each means the lawful Hungarian Forint. "Hungarian Forint" and "HUF" each means the lawful currency of Indian Rupee. "Indian Rupee" and "INR" each means the lawful currency of India. Indonesian Rupiah. "Indonesian Rupiah" and "IDR" each means the lawful currency of the Republic of Indonesia. (o) Israeli Shekel. "Israeli Shekel" and "ILS" each means the lawful currency of the State 4 EFTA01436696 (u) New Zealand Dollar. "New Zealand Dollar", "NZ$" and "NZD" each means the lawful currency of New Zealand. (v) Norwegian Krone. "Norwegian Krone", "NKr" and "NOK" each means the lawful currency of the Kingdom of Norway. (w) Islamic Republic of Pakistan. (x) Republic of the Philippines. (Y) of Poland. (z) Romania. (aa) Russian Ruble. "Russian Ruble", "Russian Rouble", "RUR" and "RUB" each means the lawful currency of the Russian Federation. (ab) Saudi Arabian Riyal. "Saudi Arabian Riyal", "Saudi Riyal", "Saudi Arabian Rial", "SAR" and "Riyal" each means the lawful currency of the Kingdom of Saudi Arabia. (ac) of the Republic of Singapore (ad) Singapore Dollar. "Singapore Dollar", "S$" and "SGD" each means the lawful currency Slovak Koruna. "Slovak Koruna" and "SKK" each means the lawful currency of the Slovak Republic. (ae) South African Rand. "South African Rand", "Rand", and "ZAR" each means the lawful currency of the Republic of South Africa. (af) Sri Lankan Rupee. "Sri Lankan Rupee" and "LKR" each means the lawful currency of the Democratic Socialist Republic of Sri Lanka. (ag) of the Kingdom of Sweden. (ai) of Switzerland. (aj) Thailand. 5 Sterling. "Sterling", "E", "GBP" and "STG" each means the lawful currency of the United Kingdom. (ah) Swedish Krona. "Swedish Krona", "SKr" and "SEK" each means the lawful currency Swiss Franc. "Swiss Franc", "Sfr", "CHF" and "SWF" each means the lawful currency Taiwanese Dollar. "Taiwanese Dollar", "New Taiwanese Dollar" and "TWD" each EFTA01436697 means the lawful currency of the Republic of China. (ak) Thai Baht. "Thai Baht" and "THB" each means the lawful currency of the Kingdom of Pakistani Rupee. "Pakistani Rupee" and "PKR" each means the lawful currency of the Philippine Peso. "Philippine Peso" and "PHP" each means the lawful currency of the Polish Zloty. "Polish Zloty" and "PLN" each means the lawful currency of the Republic Romanian Leu. "Romanian Leu" and "RON" each means the lawful currency of EFTA01436698 (al) Turkish Lira. "Turkish Lira" and "TRY" each means the lawful currency of the Republic of Turkey. "New Turkish Lira" means, in respect of a Swap Transaction with a Trade Date prior to the date upon which the Republic of Turkey ceases officially to use the prefix "New" in relation to the currency introduced on 1 January 2005, the lawful currency of the Republic of Turkey. (am) U.S. Dollar. "U.S. Dollar", "Dollar", "U.S.$", "$" and "USD" each means the lawful currency of the United States of America. (an) the Socialist Republic of Vietnam. Section 1.8. TARGET Settlement Day. "TARGET Settlement Day" means any day on which TARGET (the Trans-European Automated Real-time Gross settlement Express Transfer system) is open. Section 1.9. New York Fed Business Day. "New York Fed Business Day" means any day except for a Saturday, Sunday or a day on which the Federal Reserve Bank of New York is closed. Section 1.10. NYSE Business Day. "NYSE Business Day" means any day on which the New York Stock Exchange is open for business Section 1.11. U.S. Government Securities Business Day. "U.S. Government Securities Business Day" means any day except for a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities. Section 1.12. EC Treaty. "EC Treaty" means the Treaty establishing the European Community (signed in Rome on March 25, 1957), as amended by the Treaty on European Union (signed in Maastricht on February 7, 1992), the Treaty of Amsterdam (signed in Amsterdam on October 2, 1997) and the Treaty of Nice (signed in Nice on February 26, 2001). ARTICLE 2 PARTIES Section 2.1. Fixed Rate Payer; Fixed Amount Payer. "Fixed Rate Payer" or "Fixed Amount Payer" means, in respect of a Swap Transaction, a party obligated to make payments from time to time during the Term of the Swap Transaction of amounts calculated by reference to a fixed per annum rate or to make one or more payments of a Fixed Amount. Section 2.2. Floating Rate Payer; Floating Amount Payer. "Floating Rate Payer" or "Floating Amount Payer" means, in respect of a Swap Transaction, a party obligated to EFTA01436699 make payments from time to time during the Term of the Swap Transaction of amounts calculated by reference to a floating per annum rate or to make one or more payments of a Floating Amount. ARTICLE 3 TERM AND DATES Section 3.1. Term. "Term" means the period commencing on the Effective Date of a Swap Transaction and ending on the Termination Date of the Swap Transaction. 6 Vietnamese Dong. "Vietnamese Dong" and "VND" each means the lawful currency of EFTA01436700 Section 3.2. Effective Date. "Effective Date" means, in respect of a Swap Transaction, the date specified as such in the related Confirmation, which date is the first day of the Term of the Swap Transaction. The Effective Date shall not be subject to adjustment in accordance with any Business Day Convention unless the parties specify in the related Confirmation that the Effective Date will be adjusted in accordance with a specified Business Day Convention. Section 3.3. Termination Date. "Termination Date" means, in respect of a Swap Transaction, the date specified as such in the related Confirmation, which date is the last day of the Term of the Swap Transaction. The Termination Date shall not be subject to adjustment in accordance with any Business Day Convention unless the parties specify in the related Confirmation that the Termination Date will be adjusted in accordance with a specified Business Day Convention. Section 3.4. Initial Exchange Date. "Initial Exchange Date" means, in respect of a Swap Transaction and a party, the date specified as such in the related Confirmation or, if a date is not so specified and an Initial Exchange Amount is specified, the Effective Date, which Initial Exchange Date shall be subject to adjustment in accordance with the Following Business Day Convention unless otherwise specified in the related Confirmation. Section 3.5. Interim Exchange Date; Periodic Exchange Date. "Interim Exchange Date" or "Periodic Exchange Date" means, in respect of a Swap Transaction and a party, each date specified as such in the related Confirmation (or determined pursuant to a method specified for such purpose), which date shall be subject to adjustment in accordance with the Modified Following Business Day Convention unless otherwise specified in the related Confirmation. Section 3.6. Final Exchange Date; Exchange Date; Maturity Date. "Final Exchange Date", "Exchange Date" or "Maturity Date" means, in respect of a Swap Transaction and a party, each date specified as such in the related Confirmation or, if a date is not so specified and a Final Exchange Amount or an Exchange Amount is specified, the Termination Date, which date shall be subject to adjustment in accordance with the Modified Following Business Day Convention unless otherwise specified in the related Confirmation. Section 3.7. Trade Date. "Trade Date" means, in respect of a Swap Transaction, the date on which the parties enter into the Swap Transaction. ARTICLE 4 EFTA01436701 CERTAIN DEFINITIONS RELATING TO PAYMENTS Section 4.1. Initial Exchange Amount. "Initial Exchange Amount" means, in respect of a Swap Transaction and a party, an amount that is specified as such (or determined pursuant to a method specified for such purpose) for that party and, subject to any other applicable provisions, is payable by that party on the Initial Exchange Date. Section 4.2. Interim Exchange Amount; Periodic Exchange Amount. "Interim Exchange Amount" or "Periodic Exchange Amount" means, in respect of a Swap Transaction and a party, an amount that is specified as such (or determined pursuant to a method specified for such purpose) for that party and, subject to any other applicable provisions, is payable by that party on an applicable Interim Exchange Date. Section 4.3. Final Exchange Amount; Exchange Amount. "Final Exchange Amount" or "Exchange Amount" means, in respect of a Swap Transaction and a party, an amount that is specified as 7 EFTA01436702 such (or determined pursuant to a method specified for such purpose) for that party and, subject to any other applicable provisions, is payable by that party on an applicable Final Exchange Date. Section 4.4. Fixed Amount. "Fixed Amount" means, in respect of a Swap Transaction and a Fixed Rate Payer, an amount that, subject to any other applicable provisions, is payable by that Fixed Rate Payer on an applicable Payment Date and is specified in the related Confirmation or is determined as provided in Article 5 of these 2006 Definitions or as provided in the related Confirmation. Section 4.5. Floating Amount. "Floating Amount" means, in respect of a Swap Transaction and a Floating Rate Payer, an amount that, subject to any other applicable provisions, is payable by that Floating Rate Payer on an applicable Payment Date and is determined by reference to a Floating Rate Option as provided in Article 6 of these 2006 Definitions or pursuant to a method specified in the related Confirmation. Section 4.6. Currency Amount. "Currency Amount" means, in respect of a party and any Calculation Period for a Swap Transaction involving more than one currency, the amount specified as such for the Swap Transaction or that party. Section 4.7. Notional Amount. "Notional Amount": (a) means, in respect of a party and any Calculation Period for a Swap Transaction involving one currency other than an Option Transaction, the amount specified as such for the Swap Transaction; and (b) in respect of any Option Transaction, has the meaning set forth in Section 12.5 (Notional Amount for Option Transactions). Section 4.8. Calculation Amount. "Calculation Amount" means, in respect of a Swap Transaction and a party, the applicable Notional Amount or Currency Amount, as the case may be. Section 4.9. Payment Date. "Payment Date" means, in respect of a Swap Transaction and a party: (a) if "Delayed Payment" or "Early Payment" is not specified for the Swap Transaction or that party and Payment Dates are specified or otherwise predetermined for the Swap Transaction or that party, each day during the Term of the Swap Transaction so specified or predetermined and the Termination Date; (b) if "Delayed Payment" or "Early Payment" is not specified for the Swap Transaction or EFTA01436703 that party and the parties specify that Payment Dates for the Swap Transaction or that party will occur in accordance with the FRN Convention at a specified interval of calendar months, each day during the Term of the Swap Transaction at the specified interval, determined in accordance with the FRN Convention, and the Termination Date; (c) if "Delayed Payment" and a period of days are specified for the Swap Transaction or that party and Period End Dates are established for the Swap Transaction or that party, each day that is the specified number of days after an applicable Period End Date or after the Termination Date; or (d) if "Early Payment" and a period of days are specified for the Swap Transaction or that party and Period End Dates are established for the Swap Transaction or that party, each day that is the specified number of days before an applicable Period End Date or before the Termination Date; 8 EFTA01436704 except that (i) in the case of subsections (a), (c) and (d) above, each Payment Date shall be subject to adjustment in accordance with the Modified Following Business Day Convention unless another Business Day Convention is specified to be applicable to Payment Dates in respect of the Swap Transaction or that party and (ii) in the case of subsection (a) above, a Payment Date in respect of a Fixed Rate Payer may be a specified day prior to the Effective Date where the Floating Amounts payable by the Floating Rate Payer are calculated by reference to a Cap Rate or Floor Rate. Section 4.10. Period End Date. "Period End Date" means, in respect of a Swap Transaction and a party: (a) if Period End Dates are not specified or otherwise predetermined for the Swap Transaction or that party, each Payment Date of that party during the Term of the Swap Transaction; (b) if Period End Dates are specified or otherwise predetermined for the Swap Transaction or that party, each day during the Term so specified or predetermined; or (c) if it is specified for the Swap Transaction or that party that Period End Dates will occur in accordance with the FRN Convention and an interval of calendar months is specified, and if "Delayed Payment" or "Early Payment" is specified for the Swap Transaction or that party, each day during the Term at the specified interval, determined in accordance with the FRN Convention; except that, in the case of subsection (b) above, each Period End Date shall be subject to adjustment in accordance with the Modified Following Business Day Convention unless (i) another Business Day Convention is specified to be applicable to Period End Dates in respect of the Swap Transaction or that party, in which case an adjustment will be made in accordance with that Business Day Convention or (ii) "No Adjustment" is specified in connection with Period End Dates for the Swap Transaction or that party, in which case no adjustment will be made, notwithstanding that the Period End Date occurs on a day that is not a Business Day. Section 4.11. FRN Convention; Eurodollar Convention. "FRN Convention" or "Eurodollar Convention" means, in respect of either Payment Dates or Period End Dates for a Swap Transaction and a party, that the Payment Dates or Period End Dates of that party will be each day during the Term of the Swap Transaction that numerically corresponds to the preceding applicable Payment Date or Period End Date, as the case may be, of that party in the calendar month that is the EFTA01436705 specified number of months after the month in which the preceding applicable Payment Date or Period End Date occurred (or, in the case of the first applicable Payment Date or the Period End Date, the day that numerically corresponds to the Effective Date in the calendar month that is the specified number of months after the month in which the Effective Date occurred), except that (a) if there is not any such numerically corresponding day in the calendar month in which a Payment Date or Period End Date, as the case may be, of that party should occur, then the Payment Date or Period End Date will be the last day that is a Business Day in that month, (b) if a Payment Date or Period End Date, as the case may be, of the party would otherwise fall on a day that is not a Business Day, then the Payment Date or Period End Date will be the first following day that is a Business Day unless that day falls in the next calendar month, in which case the Payment Date or Period End Date will be the first preceding day that is a Business Day and (c) if the preceding applicable Payment Date or Period End Date, as the case may be, of that party occurred on the last day in a calendar month that was a Business Day, then all subsequent applicable Payment Dates or Period End Dates, as the case may be, of that party prior to the Termination Date will be the last day that is a Business Day in the month that is the specified number of months after the month in which the preceding applicable Payment Date or Period End Date occurred. 9 EFTA01436706 Section 4.12. Business Day Convention. (a) "Business Day Convention" means the convention for adjusting any relevant date if it would otherwise fall on a day that is not a Business Day. The following terms, when used in conjunction with the term "Business Day Convention" and a date, shall mean that an adjustment will be made if that date would otherwise fall on a day that is not a Business Day so that: (i) if "Following" is specified, that date will be the first following day that is a Business Day; (ii) if "Modified Following" or "Modified" is specified, that date will be the first following day that is a Business Day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a Business Day; and (iii) if "Preceding" is specified, that date will be the first preceding day that is a Busines