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ISDA Conference: CDS Index Protocol by victor7

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									                                                               ctt~~rou$
2005 ISDAs Regional Member Conference

                      2005 CDS Index Protocol
                         Practice & Legacy
                                      September 2005
                                       Adam Bentch
                        Vice President & Assoc~ateGeneral Counsel
                                 Citigrorrp Global Markets


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                            2005 CDS Index Protocol

       Events & Timeline:

             Affected Entity e Collins & Aikman Products Co.
             Affected I n d b   Dow Jones CDX.NA.IiY 1 , 2 , 3 . 4
                                Dow Jones TRAC-X NA High Yield 1 , 2
             Mav 17.2005 e U.S. Chapter 11 filing
             Kay 26.2005 4 Protocol published
             May 26 - June 3.2005 CJ Adherence window
             June 14.2005 4 Auct~on 0.75% 201 1 bond)
                                     (1
                 2005 CDS Index Protocol

Mechanics:

    Applicability? 6 Index CDS + Single-Tranche CDS
                 *
    Adoption? Adherence letter to ISDA (448 adherents)
    Effect? C3    Multilateral amendment to CDS settlement terms
-   Auction Methodology? 6 - 13 CDX Members
                                  -Minimum 8 price submissions
                                  - Detail: Protocol Exhibit 3
    Index Funded-N~Q? C3 Final recovery value = weighted average
    price over 3 auction dates

                                                                  3




                                                        c~t~~roup?
                 2005 CDS Index Protocol
Legacy:

    Market Maturitv: participants constructively identify I respond
    to challenges
    Search for Efficiencies: dominant trend in CDS post-trade
    environment (NI3: confirming trades; novations etc.)
    Over-Leveraping: latent inhibitor of physical settlement as
    dominant CDS settlement method
    Valuation Transparencv/Obiectivity: application of fixings
    methodology beyond CDX
    3rdParty CDS Facilitators: value-added participation
    (Mark-it, Creditex, T-Zero, DTCC, Swapswire etc.)
                                                                  4
fl       2005 Delta & Northwest CDS Index Protocol
      Events & Timeline:
        Affected Entities CS Delta Air Lines, Inc.
                             Northwest Airlines, Inc.
        Affected I n d h CS Dow Jones CDX.NA.HY 1 , 2
        -
                             Dow Jones T M C - X NA High Yield 1 , 2
        September 14.2005 U.S. Chapter 1 l filing
        u m b e r 23,2005 + Protocol published
               September 23 - 30.2005 CS Adherence window            --.YL~   A   %a4

 4.            October 11. 2005 + Anticipated Auction




                                                                        c~t~cjroufi'
 2005 ISDABRegional Member Conference

                                2005 CDS Index Protocol
                                   Practice & Legacy
                                           September 2005
                                               Adam Rentch
                                Vice President & Associate Genera[ Cotinsel
                                         Citiprnrrp Glohal Markets



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