Classification: Public

 

 

LCH SA 

CDS Clearing Supplement 

14 December 2022[●]
LCH SA © 2022[●] Published on [●]12 December 2022

This document is for use with the clearing of index linked credit derivative transactions, single name

credit derivative transactions and swaption transactions in respect of index linked credit derivative

transactions. The CDS Clearing Supplement is split into three parts, Part A, Part B and Part C.  

Part A of the CDS Clearing Supplement shall only be used in connection with any single name credit

derivative transactions or components of index linked credit derivative transactions that incorporate

the 2003 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives

Association, Inc.  

Part B of the CDS Clearing Supplement shall only be used in connection with any single name credit

derivative transactions or components of index linked credit derivative transactions that incorporate

the 2014 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives

Association, Inc.  

Part C of the CDS Clearing Supplementshall only be used in connection with any swaption transactions,

which give to a buyer the right to enter into an index linked credit derivative transaction with a seller,

that incorporate the ISDA Swap Transaction Definitions (as such term is defined in Part C of the CDS

Clearing Supplement) and the 2014 ISDA Credit Derivatives Definitions, as published by the

International Swaps and Derivatives Association, Inc.   
LCH SA © [●] 2022 Published on [●]12 December 2022

PART A

CDS CLEARING SUPPLEMENT

FOR INDEX CLEARED TRANSACTIONS AND SINGLE NAME TRANSACTIONS INCORPORATING THE

2003 ISDA CREDIT DERIVATIVES DEFINITIONS

CONTENTS 

SECTION PAGE 

1. GENERAL PROVISIONS ............................................................................................................... 1 

2. TERMS OF CLEARED TRANSACTIONS ............................................................................................. 12 

3. PAYMENTS AND DELIVERIES ............................................................................................................ 20 

4. CREDIT EVENTS, SUCCESSION EVENTS AND RENAME EVENTS ............................................... 21 

5. RESTRUCTURING .................................................................................................................................. 25 

6. PHYSICAL SETTLEMENT ..................................................................................................................... 27 

7. DELIVERY OF NOTICES AND FALLBACKS ...................................................................................... 39 

8. MATCHED PAIR DESIGNATIONS AND NOTICES ............................................................................ 48 

9. SELF-REFERENCING TRANSACTIONS .............................................................................................. 52 

10. MANDATORY PROVISIONS FOR CCM CLIENT TRANSACTIONS ................................................ 56 

11. AMENDMENTS ....................................................................................................................................... 56 

12. FORMS OF NOTICES .............................................................................................................................. 56 

13. EXCLUSION OF LIABILITY .................................................................................................................. 57 

14. DISPUTE RESOLUTION ......................................................................................................................... 57 

15. GOVERNING LAW .................................................................................................................................. 57 
LCH SA  © 2022 1   Published on 12 December 2022

1. GENERAL PROVISIONS 

1.1 Incorporation of Defined Terms  

Capitalised terms used in this CDS Clearing Supplement and not otherwise defined herein

shall have the meaning given pursuant to the Index Cleared Transaction Confirmation, Single

Name Cleared Transaction Confirmation, the 2003 ISDA Credit Derivatives Definitions or the

CDS Clearing Rule Book, as applicable. In the case of any such terms defined in the CDS

Clearing Rule Book, such terms shall be interpreted in accordance with the governing law

specified therefore in the CDS Clearing Rule Book.  

1.2 Terms defined in the CDS Clearing Supplement

For the purposes of the CDS Clearing Documentation, the following capitalised terms shall,

unless otherwise specified, have the respective meanings set out below:  

2003 ISDA Credit Derivatives Definitions: The 2003 ISDA Credit Derivatives Definitions

published by ISDA as supplemented by the 2009 ISDA Credit Derivatives Determinations

Committees, Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit

Derivatives Definitions, including the DC Rules and Credit Derivatives Auction Settlement

Terms (each as defined therein).

2014 ISDA Credit Derivatives Definitions: The 2014 ISDA Credit Derivatives Definitions

published by ISDA.

Affected Cleared Transaction: Following a DC Credit Event Announcement or a publication

by the DC Secretary of:  

(a) a Succession Event Resolution; or

(b) a DC Resolution that a Substitute Reference Obligation has been determined,

a Cleared Transaction that references the affected Reference Entity and/or Reference

Obligation, as applicable.

Buy‐in Effective Date:  Asset out at Section 6.8 (Buy‐in of Bonds – Matched Seller has entered

into CCM Client Transaction).

CCM Client Cleared Transaction: A Cleared Transaction between a CCM and LCH SA

registered in a CCM Client Trade Account of a CCM.

CCM Client Transaction: A Transaction between a CCM and a CCM Client which is on the

same economic terms as its corresponding CCM Client Cleared Transaction.

CCM Client Transaction Documents: The documentation entered into by a CCM and its CCM

Client to document a CCM Client Transaction.

CDSClear Preferred Reference Obligation This term shall have the meaning set out in Section

4 of the Procedures.
LCH SA ©[●] 2022 2 Published on [●]12 December 2022

CDSClear Product Committee: A committee composed of representatives of LCH SA and

representatives of Clearing Members for the purposes of carrying‐out the tasks apportioned

to it by the CDS Clearing Documentation as further described in the terms of reference for

such committee, agreed in consultation with the Clearing Members and as may be amended

from time to time in consultation with the Clearing Members.   

CDS Clearing Rule Book:  The document entitled "CDS Clearing Rule Book" published by LCH

SA, as amended from time to time.

CDS Type:  A class of Cleared Transactions that are identical as to their terms, except that

they may differ as to:  

(a) the Trade Date;

(b) in respect of Index Cleared Transactions, the Original Notional Amount;

(c) in respect of Single Name Cleared Transactions, the Effective Date (provided that the

current and future Fixed Rate Payer Calculation Periods for such Single Name Cleared

Transactions are the same), the Floating Rate Payer Calculation Amount and the

Reference Obligation (provided that LCH SA determines that the Reference

Obligations of the Cleared Transactions are equivalent for the purposes of this CDS

Clearing Supplement);

(d) the Initial Payment Payer;  

(e) the Initial Payment Amount;  

(f) the Initial Payment Date; and

(g) the identity of the relevant Buyer and Seller.

CEN Triggering Period: In relation to any Restructuring Cleared Transaction, the period during

which the parties thereto may deliver a Restructuring Credit Event Notice in relation to all or

part of such Restructuring Cleared Transaction, such period starting at 9:00 a.m. on and

including the earlier to occur of:

(a) the Transaction Business Day following publication of the related Final List; and

(b) the tenth calendar day following the No Auction Announcement Date,

and ending on and including the Exercise Cut‐off Date.

Clearing Member Acknowledgement: As set out at Section 7.77.7 (Clearing Member

Acknowledgements).

Clearing Member Communications Failure Event: As set out at Section 7.47.4 (Notification

of DTCC Failure and Resolution).

Clearing Member Self Referencing Transaction: A Single Name Cleared Transaction which is

registered in the House Account Structure of the Clearing Member and in respect of which,
LCH SA ©[●] 2022 3 Published on [●]12 December 2022

the Reference Entity is either the relevant Clearing Member or an Affiliate of such Clearing

Member.  

Client Self Referencing Transaction: A Single Name Cleared Transaction (a) that is registered

in the Client Account Structure of a Clearing Member; and (b) in respect of which,   the

Reference Entity is either the relevant Client or an Affiliate of such Client.

Compression Cut‐off Date: The last date on which a Clearing Member or a Client, as

applicable, may submit a request for any Cleared Transaction to be compressed pursuant to

the ad hoc compression methodology and on which a daily automatic compression cycle will

be run by LCH SA, in each case in accordance with Chapter 3 (Compression) of Title III (Clearing

Operations) of the CDS Clearing Rule Book and Section 5 of the Procedures, being:

(a) in respect of any Index Cleared Transaction, the date falling one Transaction Business

Day prior to the Novation Cut‐off Date in respect of the relevant Eligible Index Version;

(b) in respect of any Single Name Cleared Transaction and:

(i) a Restructuring Credit Event, the earlier of (A) the date of publication of the

relevant Initial List (as defined in the DC Rules), (B) the date falling two

Transaction Business Days prior to the relevant date on which the related RMP

Notification Deadline falls and (C) such other date falling between the dates in

(A) and (B), as determined by LCH SA in consultation with the CDSClear Product

Committee and notified to the relevant Clearing Members prior to such date;

and

(ii) a Failure to Pay Credit Event or a Bankruptcy Credit Event, the date falling one

Transaction Business Day prior to the calendar day following the related

Auction Final Price Determination Date, Auction Cancellation Date or No

Auction Announcement Date;  

(iii) a Succession Event, a date determined by LCH SA in consultation with the

CDSClear Product Committee, which shall be not later that the Transaction

Business Day before the date on which DTCC will amend its records in respect

of such Single Name Cleared Transaction to take into account the occurrence

of such Succession Event, and notified to the relevant Clearing Members prior

to such date; and

(iv) a Rename Event, the Transaction Business Day before the date on which DTCC

will amend its records in respect of Single Name Cleared Transactions to take

into account the occurrence of such Rename Event.

For the avoidance of doubt, where a Clearing Member has specified automatic compression

on a weekly basis then the last such weekly automatic compression cycle performed by LCH

SA will be performed on the Clearing Day falling on the Thursday on or before the relevant

Compression Cut‐off Date.
LCH SA ©[●] 2022 4 Published on [●]12 December 2022

DC Restructuring Announcement Date: The date on which the DC Credit Event

Announcement of a Restructuring Credit Event is made, provided that where such DC Credit

Event Announcement is made after 6.30 p.m. on a Business Day or on a day which is not a

Business Day, the DC Restructuring Announcement Date will be the first following Business

Day.

DC Rules: This term shall have the meaning given to the term "Rules" in the 2003 ISDA Credit

Derivatives Definitions.

DC Secretary: This term shall have the meaning set out in the DC Rules.

Deemed Buy‐in Period: As set out at Section 6.86.8(b)(i).

Dispute: This term shall have the meaning set out in the CDS Dispute Resolution Protocol.

DTCC Failure Event: Asset out at Section 7.47.4 (Notification of DTCC Failure and Resolution).   

DTCC Failure Event Time: As set out at Section 7.47.4 (Notification of DTCC Failure and

Resolution).

DTCC Notice Facility: A facility made available pursuant to the DTCC Rules for the delivery of

Credit Event Notices relating to Restructuring Credit Events or Notices to Exercise Movement

Option.

DTCC Resolution Time: As set out at Section 7.47.4 (Notification of DTCC Failure and

Resolution).

DTCC Rules: The "Operating Procedures", as published by DTCC and as amended from time

to time.

Failed Amount: As set out at Section 6.106.10 (Failure to pay Physical Settlement Amount).   

First Novation Date: In respect of:  

(a) an Index Cleared Transaction, the first date on which LCH SA will accept Original

Transactions referencing the relevant Eligible Index Version for clearing pursuant to

the CDS Clearing Documentation, being, in the case of any such version published

pursuant to the occurrence of a Succession Event or Credit Event, the date on which

credit default swap transactions referencing such version of such index are accepted

for registration in the TIW in accordance with the DTCC Rules;  

(b) a Single Name Cleared Transaction in respect of which a Novation Cut‐off Date has

previously occurred pursuant to the occurrence of a Restructuring Credit Event in

respect of the relevant Reference Entity, the calendar day following the Transaction

Business Day following the latest possible Exercise Cut‐off Date for the relevant

Restructuring Credit Event or such other date on which LCH SA determines in

consultation with the CDSClear Product Committee that LCH SA will begin to again

accept Original Transactions referencing the relevant Reference Entity; and
LCH SA ©[●] 2022 5 Published on [●]12 December 2022

(c) a Single Name Cleared Transaction (other than in the circumstances set‐out in (b)(b)

above), the first date on which LCH SA determines in consultation with the CDSClear

Product Committee that LCH SA will accept or will begin to again accept (as applicable)

Original Transactions referencing the relevant Reference Entity.

Index Cleared Transaction: A Cleared Transaction which references a portfolio of Reference

Entities specified in a credit default swap index and consists of a Component Transaction (as

defined in the Index Cleared Transaction Confirmation) in respect of each such Reference

Entity, the terms of which are as evidenced by an Index Cleared Transaction Confirmation.

Index Cleared Transaction Confirmation: For

(a) any Index Cleared Transaction which references a Markit iTraxx® Europe Index Series

21 or below, the form of confirmation which incorporates the iTraxx® Europe Legacy

Untranched Standard Terms Supplement, each as published on 20 September 2014 by

Markit Group Limited; and

(b) any Index Cleared Transaction which references a Markit CDXTM Index Series 22 or

below, the form of confirmation which incorporates the CDX Legacy Untranched

Transactions Standard Terms Supplement, each as published on 22 September 2014

by Markit Group Limited,  

in each case as amended by this CDS Clearing Supplement and as completed by reference to

the relevant Transaction Data (or such other form of confirmation as may be adopted in

respect of any CDS Type in accordance with Section 1.2.2 (Modification) of the CDS Clearing

Rule Book).  

Index CCM Client Transaction: A CCM Client Transaction which references a portfolio of

Reference Entities specified in a credit default swap index and consists of a Component

Transaction (as defined in the Index Cleared Transaction Confirmation) in respect of each

such Reference Entity and which is on the same economic terms as an Index Cleared

Transaction registered in the CCM Client Trade Account in the name of such CCM for such

CCM Client.

Initial Re‐couponing Notice: As set‐out in Section 4.44.4 (Re‐couponing of Restructuring

Cleared Transactions).

Initial Single Name Cleared Transaction: A Cleared Transaction entered into following the

novation of an Original Transaction and which references a single Reference Entity, the terms

of which are evidenced by a Single Name Cleared Transaction Confirmation.  

Initial Single Name CCM Client Transaction: A CCM Client Transaction which references a

single Reference Entity and which is on the same economic terms as an Initial Single Name

Cleared Transaction registered in the CCM Client Trade Account in the name of such CCM for

such CCM Client.

ISDA: The International Swaps and Derivatives Association, Inc. and any successor thereto.
LCH SA ©[●] 2022 6 Published on [●]12 December 2022

Mandatory Provisions: As set‐out in Appendix XIII (CCM Client Transaction Requirements).

Matched Buyer: A CDS Buyer comprised in a Matched Pair.   

Matched Buyer Contract: A Cleared Transaction (or part thereof) between a Matched Buyer

and LCH SA which is the subject of a Matched Pair having the Restructuring Matched Pair

Amount or the Settlement Matched Pair Delivery Amount, as the case may be, relating to

that Matched Pair.

Matched Contract: A Matched Seller Contract or a Matched Buyer Contract, as applicable.

Matched Pair: A Restructuring Matched Pair or Settlement Matched Pair, as applicable.

Matched Seller: A CDS Seller comprised in a Matched Pair.   

Matched Seller Contract: A Cleared Transaction (or part thereof) between a Matched Seller

and LCH SA which is the subject of a Matched Pair having the Restructuring Matched Pair

Amount or the Settlement Matched Pair Delivery Amount, as the case may be, relating to

that Matched Pair.

Matching Information Notification Deadline: In respect of a Restructuring Cleared

Transaction, 9.00 a.m. on the first day of the CEN Triggering Period, provided that the

Matching Information Notification Deadline shall fall no earlier than the fifth Transaction

Business Day following the relevant DC Credit Event Announcement.

Matrix Re‐versioning Date: Asset‐out in Section 2.52.5 (Physical Settlement Matrix Updates).

NEMO Triggering Period: In relation to any Restructuring Cleared Transaction for which

either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or

"Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation

Applicable" is applicable, the period starting at 9:00 a.m. on the day falling two Transaction

Business Days prior to the relevant Movement Option Cut‐off Date for the relevant Credit

Event and ending at the last time for delivery of a valid Notice to Exercise Movement Option

under the terms of the relevant Cleared Transaction.

No Physical Settlement Confirmation:    As set out in Section 6.196.19 (Miscellaneous

Provisions relating to Physical Settlement).

No Physical Settlement Confirmation Deadline:    As set out in Section 6.196.19

(Miscellaneous Provisions relating to Physical Settlement).

Non‐Deliverable Obligation:  As set out at Section 6.126.12 (Fallback to Cash Settlement in

respect of Non‐Deliverable Obligations).

Non‐DVP Obligation: In respect of any Physically Settled Cleared Transaction, a Deliverable

Obligation validly specified in a Notice of Physical Settlement which does not, in accordance

with then current market standards, settle on a delivery‐versus‐payment basis through the

books and records of a central securities depository or securities settlement system.
LCH SA ©[●] 2022 7 Published on [●]12 December 2022

Notice Acknowledgement Deadline:    As set out in Section 7.77.7 (Clearing Member

Acknowledgements).

Notice Reconciliation Deadline:    As set out in Section 7.77.7 (Clearing Member

Acknowledgements).

Novation Cut‐off Date: The date with effect from which LCH SA will no longer accept Original

Transactions referencing an Eligible Index Version or Eligible Reference Entity for novation,

being:

(a) following the occurrence of a Restructuring Credit Event, the earlier of:  

(i) a date determined by LCH SA in consultation with the CDSClear Product

Committee, which shall not be earlier than the DC Restructuring

Announcement Date; and

(ii) the calendar day immediately following the No Auction Announcement Date,

provided that LCH SA in consultation with the CDSClear Product Committee may, but

is not required to, determine that the Novation Cut‐off Date for Index Cleared

Transactions and the Novation Cut‐off Date for Initial Single Name Cleared

Transactions are to occur on different days;

(b) following the occurrence of a Failure to Pay Credit Event or a Bankruptcy Credit Event,

the calendar day following the related Auction Final Price Determination Date, Auction

Cancellation Date or No Auction Announcement Date, as applicable;  

(c) following the occurrence of a Succession Event:  

(i) in respect of an Index Cleared Transaction, the date notified by DTCC to LCH SA

as being the date on which DTCC will amend its records in respect of such

Cleared Transaction to take into account a new version of such index published

by the relevant index publisher taking into account the occurrence of such

Succession Event; or

(ii) in respect of a Single Name Cleared Transaction, the day after the date on

which ISDA publicly announces that the relevant Determinations Committee

has resolved that a Succession Event has occurred;    

(d) following the occurrence of a Rename Event in respect of Single Name Cleared

Transactions, the date determined by LCH SA in consultation with the CDSClear

Product Committee, which such date shall not be later than the date on which DTCC

amendsitsrecordsin respect of Single Name Cleared Transactionsto take into account

the occurrence of such Rename Event; or

(e) otherwise, as determined by LCH SA in consultation with the CDSClear Product

Committee.   
LCH SA ©[●] 2022 8 Published on [●]12 December 2022

Partial Cash Settlement Terms: As set out in Section 9.8 (Partial Cash Settlement Terms) of

the 2003 ISDA Credit Derivatives Definitions, as amended by this CDS Clearing Supplement.  

Payer: As set out at Section 6.176.17 (Physical Settlement Costs).  

Physical Settlement Confirmation: As set out in Section 6.196.19 (Miscellaneous Provisions

relating to Physical Settlement).

Physical Settlement Confirmation Deadline:  As set out in Section 6.196.19 (Miscellaneous

Provisions relating to Physical Settlement).

Physically Settled Cleared Transaction: Asset out at Section 6.36.3 (Physically Settled Cleared

Transactions).

Physical Settlement Matrix: The Credit Derivatives Physical Settlement Matrix (as defined in

the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions published on

March 7 2005).

Recipient: As set out at Section 6.176.17 (Physical Settlement Costs).   

Re‐couponing Date: As set‐out in Section 4.44.4 (Re‐couponing of Restructuring Cleared

Transactions).

Re‐couponing Notice: As set‐out in Section 4.44.4 (Re‐couponing of Restructuring Cleared

Transactions).

Rename Event: As set out in Section 4.74.7 (Rename Events).

Restructuring Cleared Transaction:    A Cleared Transaction which references a single

Reference Entity and is created following the creation of Restructuring Matched Pairs

pursuant to Section 5.25.2 (Creation of Restructuring Cleared Transactions), the terms of

which are evidenced by a Single Name Cleared Transaction Confirmation.  

Restructuring CCM Client Transaction: A CCM Client Transaction between a CCM and a CCM

Client which references a single Reference Entity and which is on the same economic terms

as a Restructuring Cleared Transaction registered in the CCM Client Trade Account in the

name of such CCM for such CCM Client.

Restructuring Matched Pair: A pairing comprised of a Matched Buyer and a Matched Seller

in respect of Restructuring Cleared Transactions created by LCH SA for the purposes of

delivery of Credit Event Notices in respect of the relevant Restructuring Credit Event under

Section 5.15.1 (Creation and Notification of Restructuring Matched Pairs).

Restructuring Matched Pair Amount:  In respect of a Restructuring Matched Pair, the amount

of the Floating Rate Payer Calculation Amount in respect of the relevant Restructuring

Cleared Transactions allocated by LCH SA to such Restructuring Matched Pair under Section

8.18.1 (Creation of Matched Pairs).
LCH SA ©[●] 2022 9 Published on [●]12 December 2022

Resulting Single Name Cleared Transaction:  A Cleared Transaction which references a single

Reference Entity and is created following the termination of a Restructuring Cleared

Transaction pursuant to Section 5.15 (Recouponing) of the Procedures, the terms of which

are evidenced by a Single Name Cleared Transaction Confirmation.

RMP Notification Deadline:  In respect of a notification by LCH SA to the relevant Clearing

Members in relation to Restructuring Matched Pairs, 10.00 a.m. on the Transaction Business

Day immediately prior to the first day of the CEN Triggering Period provided that the RMP

Notification Deadline shall in no event fall prior to the second Transaction Business Day

following the occurrence of the related DC Credit Event Announcement.

Self Referencing Transaction: A Clearing Member Self Referencing Transaction or a Client Self

Referencing Transaction, as applicable.

Settlement Matched Pair: A pairing comprised of a Matched Buyer and a Matched Seller in

respect of Physically Settled Cleared Transactions deemed to have been created by LCH SA

under Section 6.2 (Creation and Notification of Settlement Matched Pairs).

Settlement Matched Pair Delivery Amount: In respect of a Settlement Matched Pair, the

amount of the Floating Rate Payer Calculation Amount in respect of the relevant Physically

Settled Cleared Transactions allocated by LCH SA to such Settlement Matched Pair under

Section 8.18.1 (Creation of Matched Pairs).

Single Name Cleared Transaction:   An Initial Single Name Cleared Transaction, a Spin‐off

Single Name Cleared Transaction, a Restructuring Cleared Transaction and a Resulting Single

Name Cleared Transaction.  

Single Name Cleared Transaction Confirmation: The form of confirmation for use with the

Physical Settlement Matrix that incorporates the 2003 ISDA Credit Derivatives Definitions, as

amended by this CDS Clearing Supplement and as completed by reference to:  

(a) in the case of an Initial Single Name Cleared Transaction, the relevant Transaction

Data; or  

(b) in the case of any other type of Single Name Cleared Transaction, the relevant Cleared

Transaction or Cleared Transactions that existed immediately prior to the relevant

event that resulted in the creation ofsuch Single Name Cleared Transaction (with such

amendments as are required pursuant to the terms of the CDS Clearing

Documentation),

or such other form of confirmation as may be adopted in respect of any CDS Type in

accordance with Section 1.2.2 (Modification) of the CDS Clearing Rule Book.

Single Name CCM Client Transaction: A CCM Client Transaction between a CCM and a CCM

Client which is on the same economic terms as a Single Name Cleared Transaction registered

in the CCM Client Trade Account in the name of such CCM for such CCM Client.
LCH SA ©[●] 2022 10 Published on [●]12 December 2022

SMP Notification Deadline: In respect of a notification by LCH SA to the relevant Clearing

Members in relation to Settlement Matched Pairs, noon on the Transaction Business Day

following the day on which the Fallback Settlement Method first becomes applicable.

Spin‐off Single Name Cleared Transaction:  The separate Single Name Cleared Transaction

formed in respect of a Reference Entity from a Component Transaction (as defined in the

Index Cleared Transaction Confirmation) of an Index Cleared Transaction following the

occurrence of a DC Credit Event Announcement in respect of a Restructuring Credit Event

with respect to the Reference Entity of such Component Transaction in accordance with the

terms of such Index Cleared Transaction, the terms of which are evidenced by a Single Name

Cleared Transaction Confirmation.

Transaction Business Day: A "Business Day", as defined in the Index Cleared Transaction

Confirmation or the Single Name Cleared Transaction Confirmation, as applicable.  

Transaction Data: In respect of an Original Transaction to be novated pursuant to Title III

(Clearing Operations) of the CDS Clearing Rule Book and cleared by LCH SA as an Index Cleared

Transaction or Initial Single Name Cleared Transaction, the data provided by an Approved

Trade Source System to LCH SA for such purposes, which includes, without limitation:

(a) in respect of an Index Cleared Transaction, the relevant index, including details of the

index name, series and version, the annex date, the Original Notional Amount and the

currency of the Original Notional Amount;  

(b) in respect of an Initial Single Name Cleared Transaction, the Reference Entity,

Reference Obligation, applicable Transaction Type, Floating Rate Payer Calculation

Amount, the currency of the Floating Rate Payer Calculation Amount and the Fixed

Rate;

(c) the Trade Date;

(d) the Scheduled Termination Date;

(e) the Floating Rate Payer;

(f) the Fixed Rate Payer;

(g) the Fixed Rate Payer Payment Dates;

(h) the Initial Payment Payer;  

(i) the Initial Payment Amount; and

(j) whether the 2003 Credit Derivatives Definitions or the 2014 Credit Derivatives

Definitions are applicable to such Original Transaction (or, in the case of an Index

Cleared Transaction, each component of such Original Transaction).
LCH SA ©[●] 2022 11 Published on [●]12 December 2022

1.3 Inconsistency

To the extent of any conflict between:  

(a) any definition or provision contained in Appendix 1 (CDS Default Management

Process) of the CDS Clearing Rule Book;  

(b) the remaining sections of the CDS Clearing Rule Book;  

(c) the CDS Admission Agreement;  

(d) this CDS Clearing Supplement;  

(e) an Index Cleared Transaction Confirmation or a Single Name Cleared Transaction

Confirmation;  

(f) the Procedures; or  

(g) any Clearing Notices,  

the first referenced document shall prevail except in relation to determining the existence

and amount of any payment and delivery obligations under any Cleared Transactions, in

respect of which this CDS Clearing Supplement, the Index Cleared Transaction Confirmation

orthe Single Name Cleared Transaction Confirmation, as applicable,shall prevail to the extent

permitted by law.

1.4 Timing

Pursuant to Article 1.2.8 (Time reference) of the CDS Clearing Rule Book, Aany reference to a

time of day herein shall be deemed to be a reference to the time zone as set out in Section

1.2.8 (Time reference) of the CDS Clearing Rule Book Central European Time unless otherwise

provided herein.

1.5 Third Party Rights

Unless otherwise provided in this CDS Clearing Supplement or in the CDS Clearing Rulebook,

a person who is not a party to a Cleared Transaction does not have any right under the

Contracts (Rights of Third Parties) Act 1999 to enforce any provision of such Cleared

Transaction or this CDS Clearing Supplement as it relates to such Cleared Transaction.

1.6 Recording of Conversations

Each of LCH SA and each Clearing Member consents to the recording of telephone

conversations between the trading, marketing and other relevant personnel of the parties in

connection with any Cleared Transaction and agrees to obtain any necessary consent of, and

give any necessary notice of such recording to, its relevant personnel and agrees, to the

extent permitted by applicable law, that such recordings may be submitted as evidence in

any related court or arbitral proceedings.   
LCH SA ©[●] 2022 12 Published on [●]12 December 2022

1.7 Application to FCM/BD Clearing Members

(a) Upon the taking of any action pursuant to this CDS Clearing Supplement by an

FCM/BD Clearing Member in respect of an FCM/BD Cleared Transaction entered into

as agent for the account of an FCM/BD Client (as described in FCM/BD CDS Clearing

Regulation 1(c)),such FCM/BD Clearing Membershall be deemed to represent to LCH

SA that it has the power and authority to, and has been duly authorised to, take such

action for the account of such FCM/BD Client.

(b) For purposes of this CDS Clearing Supplement, with regard to any Cleared Transaction

entered into by an FCM/BD Clearing Member acting as agent for the account of an

FCM/BD Client (as described in FCM/BD CDS Clearing Regulation 1(c)):

(i) references herein to “CDS Buyer” or “CDS Seller”, as the case may be, shall be

understood to be references to such FCM/BD Client (which shall not, for the

avoidance of doubt, prejudice LCH SA’s right to deal solely with the FCM/BD

Clearing Member pursuant to Article 6.1.1.3(vi) of the CDS Clearing Rule Book);

and

(ii) references herein to: (1) a Clearing Member entering into a Cleared Transaction

with LCH SA; and (2) a Clearing Member forming part of a Matched Pair, shall

each be understood as such FCM/BD Clearing Member acting as agent for the

account of such FCM/BD Client (as described in FCM/BD CDS Clearing

Regulation 1(c)).

2. TERMS OF CLEARED TRANSACTIONS 

2.1 General Terms of Cleared Transactions  

(a) Terms of Index Cleared Transactions and Initial Single Name Cleared Transactions

Upon novation of an Original Transaction at the Novation Time in accordance with

Title III (Clearing Operations) of the CDS Clearing Rule Book, each resulting Index

Cleared Transaction or Initial Single Name Cleared Transaction is entered into by LCH

SA and the relevant Clearing Member on the terms of the related Index Cleared

Transaction Confirmation or Single Name Cleared Transaction Confirmation (as

applicable).

(b) Terms of Spin‐off Single Name Cleared Transactions, Restructuring Cleared

Transactions and Resulting Single Name Cleared Transactions

If any Spin‐off Single Name Cleared Transaction is deemed to have been entered into

by the parties in accordance with the terms of any Index Cleared Transaction or if any

Restructuring Cleared Transaction is created pursuant to Section 5.25.2 (Creation of

Restructuring Cleared Transactions) or if any Resulting Single Name Cleared

Transaction is created pursuant to Section 5.15 (Recouponing) of the Procedures,such

Spin‐off Single Name Cleared Transaction, Restructuring Cleared Transaction or

Resulting Single Name Cleared Transaction is entered into by LCH SA and the relevant
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Clearing Member on the terms of the related Single Name Cleared Transaction

Confirmation.

(c) Trade Date of Cleared Transactions following Compression

Notwithstanding paragraphs (a)(a) and (b)(b) above, where Cleared Transactions are

subject to compression in accordance with Chapter 3 (Compression) of Title III

(Clearing Operations) of the CDS Clearing Rule Book, the Trade Date of any resulting

Cleared Transaction(s) shall be, in respect of any Cleared Transaction subject to:

(i) ad hoc compression (as described in Chapter 3 (Compression) of Title III

(Clearing Operations) of the CDS Clearing Rule Book), the date on which the

request for compression was effectively received and processed in accordance

with Section 5 of the Procedures, which shall be:  

(A) the Clearing Day on which such request is submitted and uploaded by

the relevant Clearing Member or Client, as applicable, provided that

such request for compression was received by LCH SA before 7.00 p.m.

on such Clearing Day (if such request is submitted and uploaded by the

relevant Clearing Member or Client, as applicable, via any means of

access specified in a Clearing Notice or 5.00 p.m. (if such request is not

submitted via any means of access specified in a Clearing Notice in the

case of a disruption of the relevant means of access);  

(B) the Clearing Day on which such request is submitted if such request is

not submitted via any means of access specified in a Clearing Notice in

the case of disruption of the relevant means of access and is submitted

after 5.00 p.m. but LCH SA, in its sole discretion, processes such request

on the Clearing Day on which such request is submitted; and  

(C) unless the relevant Clearing Member Member or Client, as applicable,

instructs the Operations Department to withdraw such request, the

Clearing Day following the Clearing Day on which such request is

submitted if such request is not submitted via any means of access

specified in a Clearing Notice in the case of disruption of the relevant

means of access and is submitted after 5.00 p.m. and LCH SA, in its sole

discretion, does not process such request on the Clearing Day on which

such request is submitted; or

(ii) automatic compression (as described in Chapter 3 (Compression) of Title III

(Clearing Operations) of the CDS Clearing Rule Book), the Clearing Day on which

such Cleared Transaction is automatically compressed by LCH SA in accordance

with Section 5 of the Procedures.
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2.2 Index Cleared Transaction Confirmation

The Index Cleared Transaction Confirmation is amended, supplemented and completed as

follows:

(d) (i) if the Index Cleared Transaction references a Markit iTraxx® Europe Index, by

deleting the words "between [] (Party A) and [] (Party B)" in the third line of the

first paragraph; and  

(ii) if the Index Cleared Transaction references a Markit CDXTM Index, by deleting the

words "between [Party A] ("Party A") and [counterparty's name] ("Party B")" in the

third and fourth lines of the first paragraph,

and in each case replacing them with:

"between LCH SA ("Party A") and Clearing Member, as identified in the relevant CDS

Admission Agreement between such Clearing Member and Party A ("Party B")";

(e) (i) if the Index Cleared Transaction references a Markit iTraxx® Europe Index, by

deleting the fifth paragraph thereof; and  

(ii) if the Index Cleared Transaction references a Markit CDXTM Index, by deleting the

third paragraph thereof,

in each case replacing it with the following:  

"This Confirmation supplements, forms a part of, and is subject to, the CDS Clearing

Documentation, as defined in the CDS Clearing Rule Book.";

(f) if the Index Cleared Transaction references a Markit iTraxx® Europe Index, by deleting

the sixth paragraph thereof and replacing it with the following:  

"The terms of the iTraxx® Master Transaction, which is an Index Cleared Transaction,

to which this Confirmation relates are as follows:";

(g) if the Index Cleared Transaction references a Markit CDXTM Index, by deleting the

fourth paragraph thereof and replacing it with the following:  

"The terms of the Master Transaction, which is an Index Cleared Transaction, to

which this Confirmation relates are as follows:";

(h) by specifying that the “Calculation Agent” is Party A;

(i) (i) if the Index Cleared Transaction references a Markit iTraxx® Europe Index, by

inserting the following “Additional terms”:  

"The Legacy Standard Terms Supplement is amended for the purposes of this

Transaction by deleting paragraph 5.4 (De Minimis Cash Settlement) of Section A in

its entirety": and
LCH SA ©[●] 2022 15 Published on [●]12 December 2022

(ii) if the Index Cleared Transaction references a Markit CDXTM Index, by inserting the

following “Additional terms”:  

"The CDX Legacy Standard Terms Supplement is amended for the purposes of this

Transaction by deleting paragraph 5.3 (De Minimis Cash Settlement) of Section A in

its entirety":  

(j) by deleting the contact details for notices and the account details; and

(k) by deleting the signature blocks.

2.3 Single Name Cleared Transaction Confirmation

The Single Name Cleared Transaction Confirmation is amended, supplemented and

completed as follows:

(a) by deleting the words "between us" from the first paragraph thereof and replacing

them with:

"between LCH SA ("Party A") and Clearing Member, as identified in the relevant CDS

Admission Agreement between Clearing Member and Party A ("Party B")";

(b) by deleting the words "as supplemented by each of the May 2003 Supplement and

the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions" in the

second paragraph thereof and replacing them with the words "as supplemented by

each of the 2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions

and the 2009 ISDA Credit Derivatives Determinations Committees, Auction

Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives

Definitions (published on July 14, 2009)";

(c) by deleting the third paragraph thereof and replacing it with the following:

"This Confirmation supplements, forms a part of and is subject to the CDS Clearing

Documentation, as defined in the CDS Clearing Rule Book.";

(d) by specifying the Matrix Publication Date as the date of publication of the Relevant

Physical Settlement Matrix;  

(e) by specifying that the “Calculation Agent” is Party A;

(f) notwithstanding the terms of the  relevant Original Transaction, by specifying that

the Reference Obligation is the CDSClear Preferred Reference Obligation;

(g) by deleting references to the Initial Payment Payer and the Initial Payment Amount

in part 2 in relation to Single Name Cleared Transactions in respect of which there is

no Initial Payment Payer and Initial Payment Amount;

(h) by deleting parts 4, 5, 6 and 7 in their entirety;
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(i) by inserting the following provision in the "Additional Terms" section of the

Confirmation:

"Section 2.31 (Merger of Reference Entity and Seller) of the Credit Derivatives

Definitions shall not apply."; and

(j) by deleting the signature blocks.

2.4 Amendments to 2003 ISDA Credit Derivatives Definitions

(a) For the purposes of this CDS Clearing Supplement, Section 9.2(c)(iv) of the 2003 ISDA

Credit Derivatives Definitions as incorporated in any Cleared Transaction shall be

amended such that, where LCH SA is the designator in relation to any Restructuring

Cleared Transaction or Physically Settled Cleared Transaction, as applicable, it is

permitted to designate any relevant CDS Buyer or CDS Seller, as applicable, in

accordance with Section 8 (Matched Pair Designations and Notices) as its designee,

notwithstanding that such relevant CDS Buyer or CDS Seller, as applicable, is not its

Affiliate and for the additional purposes of:

(i) delivering or receiving any Credit Event Notice relating to a Restructuring Credit

Event or Notice to Exercise Movement Option (in each case, to the extent not

delivered via a DTCC Notice Facility);

(ii) delivering or receiving any Notice of Physical Settlement or NOPS Amendment

Notice;  

(iii) making or receiving payment of any Physical Settlement Amount and any costs

and expenses of Physical Settlement; and

(iv) delivering or receiving any notice and otherwise exercising any rights or

performing any obligations of LCH SA for the purposes of Sections 9.9 (Buy‐in

of Bonds Not Delivered) or 9.10 (Alternative Procedures Relating to Loans Not

Delivered) of the 2003 ISDA Credit Derivatives Definitions.

(b) Section 9.1(c)(iii) of the 2003 ISDA Credit Derivatives Definitions is amended by

deleting both occurrences of the words "master agreement between Buyer and Seller

that governs the relevant Credit Derivative Transaction" and replacing each with the

words "CDS Clearing Documentation".   

(c) Section 9.2(a) of the 2003 ISDA Credit Derivatives Definitions is amended by deleting

the words "any master agreement governing the Credit Derivative Transaction" at the

end thereof and replacing them with the words "the CDS Clearing Documentation".

(d) Section 9.2(c)(ii) of the 2003 ISDA Credit Derivatives Definitions is amended by

deleting the words "any master agreement governing the Credit Derivative

Transaction" at the end of the third sentence thereof and replacing them with the

words "the CDS Clearing Documentation".
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(e) Section 9.2(c)(iii) of the 2003 ISDA Credit Derivatives Definitions is amended by

deleting both occurrences of the words "a master agreement governing the Credit

Derivative Transaction" and replacing each with the words "the CDS Clearing

Documentation".

(f) The Protocol Effectiveness Condition (as defined in the 2014 ISDA Credit Derivatives

Definitions Protocol published by ISDA on 21 August 2014 and supplemented by the

Supplement thereto published by ISDA on 15 September 2014 and as further

supplemented from time to time (the "2014 Protocol")) being satisfied, then from

and including the Implementation Date (as defined in the 2014 Protocol) the

amendments set forth in Part 1 (Global Amendments) of Schedule 1 (Amendments to

Protocol Covered Transactions) of the 2014 Protocol shall apply to each Cleared

Transaction which incorporatesthe 2003 ISDA Credit Derivatives Definitions and each

such Cleared Transaction shall be a Protocol Covered Transaction for the purposes of

the 2014 Protocol provided that:

(i) the First Novation Date in respect of such Cleared Transaction is prior to the

Implementation Date;

(ii) such Cleared Transaction is not an Excluded Transaction (as defined in the 2014

Protocol) provided that if such Cleared Transaction relates to more than one

Reference Entity and would otherwise be a Protocol Covered Transaction but

for the inclusion of any Affected Portion (as defined in the 2014 Protocol)

therein,such Affected Portion shall be excluded for the purposes of this Section

2.4(f) and the remaining portion of such Cleared Transaction shall be deemed

to be a Protocol Covered Transaction;

(iii) the Scheduled Termination Date in respect of such Cleared Transaction is on or

after the Implementation Date;

(iv) no Event Determination Date has occurred in respect of such Cleared

Transaction prior to the Implementation Date;

(v) from and including the Implementation Date the provisions of Part B of the CDS

Clearing Supplement shall apply to such Cleared Transaction or the portion of

such Cleared Transaction other than the Affected Portion, as applicable and

such Cleared Transaction shall be treated as if it had been entered into and is

subject to the 2014 ISDA Credit Derivatives Definitions.  In the event of any

inconsistency between the provisions of Part B of the CDS Clearing Supplement

and the amendments set forth in this paragraph 2.4, the provisions of Part B of

the CDS Clearing Supplement shall prevail.

2.5 Physical Settlement Matrix Updates

(a) Publication of Revised Matrix

Where ISDA publishes a new version (the "Revised Matrix") of the Physical Settlement

Matrix that is the Relevant Physical Settlement Matrix in respect of an Eligible
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Reference Entity (the "Existing Matrix"), LCH SA will, in consultation with the CDSClear

Product Committee, determine whether the Existing Matrix and the Revised Matrix

are fungible for the purposes of Single Name Cleared Transactions referencing such

Eligible Reference Entity.  

If there are any changes between the terms of the Revised Matrix and the Existing

Matrix that would apply to Single Name Cleared Transactions referencing the Eligible

Reference Entity and the Existing Matrix were they to reference the Revised Matrix

instead, then the Existing Matrix and the Revised Matrix shall be deemed not to be

fungible and paragraph (c)(c) below shall apply.

(b) Revised Matrix Fungible

If LCH SA determines in consultation with the CDSClear Product Committee that the

Existing Matrix and the Revised Matrix are fungible for the purposes of Single Name

Cleared Transactions referencing an Eligible Reference Entity (such date of

determination, a Matrix Re‐versioning Date), then:

(i) LCH SA will promptly notify all Clearing Members of such determination; and

(ii) each Single Name Cleared Transaction referencing such Eligible Reference

Entity and the Existing Matrix will, as of the close of business on the Matrix Re‐

versioning Date, be deemed to have been amended so as to reference the

Revised Matrix, which shall become the Relevant Physical Settlement Matrix in

respect of such Eligible Reference Entity.  

For the avoidance of doubt, following the publication of a Revised Matrix, there may

be different Matrix Re‐versioning Dates in respect of Single Name Cleared

Transactions referencing different Eligible Reference Entities.

(c) Revised Matrix not Fungible

If it is determined that the Revised Matrix and the Existing Matrix are not fungible for

the purposes of Single Name Cleared Transactions referencing an Eligible Reference

Entity, then existing Single Name Cleared Transactions referencing such Eligible

Reference Entity and the Existing Matrix shall continue to reference the Existing

Matrix.

(d) Original Transactions submitted prior to Matrix Re‐versioning Date

Pursuant to Section 2.32.3(d)(d) above, any Original Transaction referencing an

Eligible Reference Entity submitted for clearing after a Matrix Re‐versioning Date in

respect ofsuch Eligible Reference Entity and which referencesthe Existing Matrix prior

to such Matrix Re‐versioning Date will, following novation, result in an Initial Single

Name Cleared Transaction referencing the Revised Matrix.
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2.6 Terms of STM Cleared Transaction

The following terms of a registered STM Cleared Transaction are designated as the

“STM Cleared Terms”.

If a Cleared Transaction is designated as an STM Cleared Transaction in accordance

with Article 3.1.10.7 of the CDS Clearing Rule Book the terms of such Cleared

Transaction will automatically, and without any further action by either party, include

the STM Cleared Terms.  

(a) Net present value

(i) LCH SA shall, at least once per Cash Payment Day, determine the net present

value of this STM Cleared Transaction in such manner and at such times as may

be provided in Section 2 of the Procedures.  

(ii) Immediately upon LCH SA making such a determination of the net present

value of this STM Cleared Transaction:  

(A) An amount (determined in accordance with Section 2.14 (NPV Amount)

of the Procedures) of cash may become due and payable by the Clearing

Member or LCH SA (as applicable, and as determined in accordance with

Section 2.14 (NPV Amount) of the Procedures) under these STM Cleared

Terms; and  

(B) the net present value of this STM Cleared Transaction shall for all

purposes be reset to zero.  

(iii) The amount (if any) referred to in (ii)(A) above shall immediately become due

and payable by the relevant party under the STM Cleared Terms applicable to

this STM Cleared Transaction and shall be made in such manner and at such

times as may be provided in Section 2 of the Procedures.

(iv) In any circumstance preventing the NPV Payments or Variation Margin

Collateral Transfersfrom being performed in US Dollar, LCH SA shall be entitled

to convert any amount denominated in US Dollar into  Euro in accordance with

Article 4.2.3.2 of the CDS Clearing Rule Book.  

(b) Price Alignment Amount  

(i) LCH SA shall, at least once per Cash Payment Day, determine the Price

Alignment Amount in respect of this STM Cleared Transaction in such manner

and at such times as may be provided in Section 2 of the Procedures.  

(ii) Immediately upon LCH SA making such a determination of the Price Alignment

Amount in respect of this STM Cleared Transaction, an amount (determined in

accordance with Section 2.17 (Price Alignment Amount) of the Procedures) of

cash may become due and payable by the Clearing Member or LCH SA (as
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applicable, and as determined in accordance with Section 2.17 (Price Alignment

Amount) of the Procedures) under these STM Cleared Terms.  

(iii) The amount (if any) referred to in (ii) above shall immediately become due and

payable by the relevant party under the STM Cleared Terms applicable to this

STM Cleared Transaction and shall be made in such manner and at such times

as may be provided in Section 2 of the Procedures.

3. PAYMENTS AND DELIVERIES 

3.1 Obligation to pay and deliver

Each of LCH SA and each Clearing Member will make each payment or delivery specified

under the terms of each Cleared Transaction to be made by it, subject to the other provisions

of the CDS Clearing Documentation.   

Payments under any Cleared Transaction will be made on the due date for value on that date

in the place of the account specified for the relevant party in the CDS Admission Agreement

(or such other account as may be designated by it from time to time for such purpose in

accordance with the CDS Admissions Agreement and/or the Procedures, as applicable) and

otherwise in accordance with the CDS Clearing Documentation, in freely transferable funds

and in the manner customary for payments in the required currency.   

Deliveries under any Cleared Transaction will be made for receipt on the due date in the

manner customary for the relevant obligation unless otherwise specified in or pursuant to

the CDS Clearing Documentation.

3.2 Payments under Original Transactions

(a) If any Initial Payment Amount or Fixed Amount is due and payable under the terms of

an Original Transaction on or before the Clearing Day on which the related Cleared

Transactions are created by novation pursuant to Title III (Clearing Operations) of the

CDS Clearing Rule Book, such amount shall be payable under and in accordance with

the terms ofsuch Original Transaction. In such event, no corresponding Initial Payment

Amount or Fixed Amount shall be payable in respect of such Cleared Transactions.  

(b) If the Initial Payment Date of an Original Transaction is a date falling after the Clearing

Day on which the Cleared Transactions related to such Original Transaction are

created by novation pursuant to Title III (Clearing Operations) of the CDS Clearing Rule

Book then the corresponding Initial Payment Date for the related Cleared Transactions

shall occur on the Transaction Business Day which is also a Clearing Day immediately

following the Clearing Day on which such related Cleared Transactions are created.
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4. CREDIT EVENTS, SUCCESSION EVENTS AND RENAME EVENTS 

4.1 Determination of Credit Events and Succession Events

Notwithstanding any provision of any Cleared Transaction to the contrary:

(a) LCH SA (in its capacity as Calculation Agent with respect to such Cleared Transaction)

shall not make any determination in respect of any matter which is or may be subject

to resolution under Sections 3.5 (Succession Resolutions) or 3.6 (Substitute Reference

Obligation Resolutions) of the DC Rules; and

(b) neither LCH SA nor any Clearing Member shall be entitled to deliver a Succession

Event Notice or a Credit Event Notice (other than Credit Event Notices in relation to

a Restructuring Credit Event in accordance with the terms of any Restructuring

Cleared Transaction and, where applicable, the DTCC Rules and Section 7.87.8 (Failure

to notify Matched Pairs)).   

4.2 Credit Event Timeline

(a) Publication of Credit Event Timeline

Upon a DC Credit Event Announcement, LCH SA will publish and make available to

Clearing Members a timeline in respect of the relevant Credit Event and related

Affected Cleared Transactions, to notify, among other things, the relevant Novation

Cut‐off Date(s), Compression Cut‐off Date(s) and First Novation Date(s).

Any such timeline shall (i) be published and made available on the date of such DC

Credit Event Announcement or, if LCH SA determines that such publication on such

date is not practicably possible, assoon as practicable thereafter (but in no event later

than the Transaction Business Day before the earlier of the relevant Novation Cut‐off

Date and the relevant Compression Cut‐off Date) and (ii) in all cases be without

prejudice to and consistent with the terms of the CDS Clearing Documentation and

any relevant DC Resolutions.   

(b) Amendment of Credit Event Timeline

Any such timeline may be subject to subsequent amendment by LCH SA, by means of

a Clearing Notice to Clearing Members, only to reflect subsequent DC Resolutions,

timing provisions of any relevant Transaction Auction Settlement Terms and/or

actions of DTCC, or in each case any subsequent amendments thereto. Any such

amendment shall be made by LCH SA as soon as reasonably practicable following the

relevant event.  

4.3 Novation and Compression following Credit Events

Any Restructuring Cleared Transaction (or portion thereof) in respect of which a valid Credit

Event Notice is not delivered during the relevant CEN Triggering Period shall become eligible

for compression in accordance with Chapter 3 (Compression) of Title III (Clearing Operations)
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of the CDS Clearing Rule Book on the Transaction Business Day following the related Exercise

Cut‐off Date applicable to the relevant Buyer.

By way of clarification to Chapter 3 (Compression) of Title III (Clearing Operations) of the CDS

Clearing Rule Book, LCH SA shall effect compression of relevant Cleared Transactions if and

to the extent requested by a Clearing Member or a Client, as applicable.

4.4 Re‐couponing of Restructuring Cleared Transactions

Following a Restructuring Credit Event, LCH SA may perform re‐couponing in accordance with

Section 5 of the Procedures on any Restructuring Cleared Transaction (or portion thereof) in

respect of which a valid Credit Event Notice has not been delivered during the relevant CEN

Triggering Period, provided that:

(a) LCH SA notifies (such notice, the “Initial Re‐couponing Notice”) all of the relevant

Clearing Members of its intention to perform such re‐couponing and the intended

date of such re‐couponing (such date, the “Re‐Couponing Date”);

(b) the Re‐Couponing Date is no earlier than the later of (i) the end of the relevant CEN

Trigger Period; and (ii) eight Transaction Business Days after the effective date of the

Initial Re‐couponing Notice;

(c) all of the relevant Clearing Members have subsequently consented to the proposed

re‐couponing, subject to confirmation of the terms of such re‐couponing, within five

Transaction Business Days of the effective date of the Initial Re‐couponing Notice;

(d) after receiving consent from all relevant Clearing Members in accordance with

paragraph (c) above, LCH SA notifies (such notice, the “Re‐couponing Notice”) the

relevant Clearing Members, no later than three Transactions Business Days prior to

the Re‐Couponing Date, of the proposed terms of the Resulting Single Name Cleared

Transactions determined by LCH SA in accordance with Section 5 of the Procedures;

and

(e) all of the relevant Clearing Members have subsequently consented to the proposed

terms of such re‐couponing process as set out in the Re‐couponing Notice within two

Transaction Business Days of the effective date of the Re‐couponing Notice.

For the avoidance of doubt, if, in respect of a proposed re‐couponing process, LCH SA does

not obtain consent from all of the relevant Clearing Members in accordance with paragraphs

(c) or(e) above, then LCH SA may elect to propose a re‐couponing process again in accordance

with this Section 4.44.4 forso long as any relevant Restructuring Cleared Transactions remain

outstanding.

4.5 Succession Events and Cleared Transactions

If LCH SA determines that any Original Transaction submitted for novation or any Cleared

Transaction subject to compression would have been subject to a Succession Event but will

no longer be subject to such Succession Event upon novation or compression (as applicable)
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because of the Trade Date that would be specified with respect to the relevant Cleared

Transactions, LCH SA may take such action as it deems necessary to ensure that such

Succession Event is given effect with respect to such Cleared Transactions, including, without

limitation, specifying an alternate Trade Date for purposes of Section 2.1 (Reference Entity)

of the 2003 ISDA Credit Derivatives Definitions with respect to each relevant Cleared

Transaction or, where LCH SA determines that an alternative course of action is not

practicable, declining to accept such Original Transaction for novation or Cleared Transaction

for compression (as applicable).

4.6 Succession Event Timeline

(a) Publication of Succession Event Timeline

Following the publication of a resolution of a relevant Credit Derivatives

Determinations Committee to the effect that one or more Successors have been

identified with respect to any Reference Entity for the purposes of any Cleared

Transaction, LCH SA will publish and make available to Clearing Members a timeline in

respect of the relevant Succession Event and related Affected Cleared Transactions, to

notify, amongst other things, the relevant Novation Cut‐off Date(s), Compression Cut‐

off Date(s) and First Novation Date(s).   

Any such timeline shall be published and made available as soon as practicable (but in

no event later than the Transaction Business Day before the earlier of the relevant

Novation Cut‐off Date and the relevant Compression Cut‐off Date) and shall in all cases

be without prejudice to and consistent with the terms of the CDS Clearing

Documentation and any relevant DC Resolutions.   

(b) Amendment of Succession Event Timeline

Any such timeline may be subject to subsequent amendment by LCH SA, by means of

a Clearing Notice to Clearing Members, to reflect subsequent DC Resolutions and any

relevant actions of DTCC, or in each case any subsequent amendments thereto. Any

such amendment shall be made by LCH SA as soon as reasonably practicable following

the relevant event.

4.7 Rename Events

In respect of Single Name Cleared Transactions, if a Reference Entity changes its name (a

"Rename Event"), LCH SA will publish and make available to Clearing Members as soon as

practicable upon becoming aware of such Rename Event a timeline in respect of the relevant

Rename Event and related Affected Cleared Transactions, to notify, amongst other things,

the relevant Novation Cut‐off Date(s), Compression Cut‐off Date(s) and First Novation

Date(s).  

Any such timeline may be subject to subsequent amendment by LCH SA, by means of a

Clearing Notice to Clearing Members, to reflect any relevant actions of DTCC. Any such

amendmentshall be made by LCH SA assoon asreasonably practicable following the relevant

event.
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4.8 Updating Eligible Index Versions

(a) Publication of Revised Index

Where the Index Publisher of an Eligible Index Version publishes a revised version of

such index following:

(i) a DC Credit Event Announcement;  

(ii) a DC Resolution becoming effective which specifies that a Succession Event has

occurred; or  

(iii) the determination of a Substitute Reference Obligation,  

LCH SA will in consultation with the CDSClear Product Committee determine whether

such revised index version is fungible with the Eligible Index Version after taking

account of the relevant Credit Event, Succession Event or, as applicable, Substitute

Reference Obligation.  

(b) Index Version not Fungible

If LCH SA determines in consultation with the CDSClear Product Committee that such

revised index version is not fungible with the Eligible Index Version after taking

account of the relevant Credit Event, Succession Event or, as applicable, Substitute

Reference Obligation, it shall notify DTCC accordingly so that DTCC does not

automatically update the trade records for Index Cleared Transactions and Index CCM

Client Transactions referencing the relevant Eligible Index Version in the TIW.

(c) Index Fungible

Unless LCH SA has notified DTCC in accordance with paragraph (b)(b) above, following

confirmation from DTCC that the trade records for Cleared Transactions referencing

the relevant index have been updated in the TIW (such date a DTCC Re‐versioning

Date) so that such Cleared Transactions reference the revised index version (which

such revised index version shall become the Eligible Index Version), LCH SA will update

its corresponding records in the CDS Clearing System overnight following such DTCC

Re‐versioning Date. LCH SA will send the relevant reports referred to in Section 5 of

the Procedures to the relevant Clearing Members on the Transaction Business Day

following such DTCC Re‐versioning Date which will be updated so asto refer to Cleared

Transactions referencing the revised index version.

4.9 Reversal of DC Credit Event Announcements and Margining

If a DC Credit Event Announcement is reversed then, subject to Section 9.1(c)(iii)(B) of the

2003 ISDA Credit Derivatives Definitions, LCH SA shall be obliged in accordance with Section

3 of the Procedures to calculate and shall be entitled to call for Margin and/or be obliged to

return Margin with respect to each Clearing Member on the basis that the DC Credit Event

Announcement that is reversed had not been made.
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5. RESTRUCTURING 

5.1 Creation and Notification of Restructuring Matched Pairs

Following the occurrence of a Restructuring Credit Event, LCH SA will create (on one or, if the

Novation Cut‐off Date in respect of Index Cleared Transactions is prior to the Novation Cut‐

off Date in respect of Initial Single Name Cleared Transactions, two or more occasions)

Restructuring Matched Pairs in accordance with Section 8.18.1 (Creation of Matched Pairs).

Each such Restructuring Matched Pair shall be composed of two Restructuring Cleared

Transactions created at the same time as and as a result of the termination of the relevant

Single Name Cleared Transactions pursuant to Section 5.2 (Creation of Restructuring Cleared

Transactions) below.   

LCH SA shall notify the relevant Matched Buyer and Matched Seller comprised within each

Restructuring Matched Pair of:  

(a) the identity of the other Clearing Member (together with the address, fax number,

telephone number, email address and other applicable notice details of such other

Clearing Member) of such Matched Pair; and  

(b) the associated Restructuring Matched Pair Amount,  

as soon as reasonably practicable following the related Compression Cut‐off Date, but in any

event, at or prior to the RMP Notification Deadline.   

LCH SA will additionally provide to DTCC all relevant "Matching Information" (as defined in

the DTCC Rules) on or prior to the Matching Information Notification Deadline.   

5.2 Creation of Restructuring Cleared Transactions

Upon the notification to the relevant Clearing Members of Restructuring Matched Pairs, the

relevant Initial Single Name Cleared Transactions, Restructuring Cleared Transactions

(created following the occurrence of a previous Restructuring Credit Event), Spin‐off Single

Name Cleared Transactions and Resulting Single Name Cleared Transactions entered into by

each Clearing Member with LCH SA will be deemed terminated and new Restructuring

Cleared Transactions of the same CDS Type will be deemed to be entered into between each

such Clearing Member and LCH SA, with each such Restructuring Cleared Transaction having

a Floating Rate Payer Calculation Amount corresponding to the Restructuring Matched Pair

Amount of a Restructuring Matched Pair in which the relevant Clearing Member is comprised

as a Matched Buyer or a Matched Seller, as applicable.

5.3 Triggering of Restructuring Cleared Transactions

Subject as set out in Section 7 (Delivery of Notices and Fallbacks), and notwithstanding

anything to the contrary in the terms of any Cleared Transaction, Clearing Members may only

deliver Credit Event Notices in relation to a Restructuring Credit Event during the CEN

Triggering Period following notification of Restructuring Matched Pairs by LCH SA and subject
LCH SA ©[●] 2022 26 Published on [●]12 December 2022

always to the terms of the relevant Restructuring Cleared Transaction and, where applicable,

the DTCC Rules.

Any Credit Event Notice delivered in respect of a Restructuring Matched Pair for an amount

which is greater than the related Floating Rate Payer Calculation Amount shall be ineffective

as to such excess.

5.4 Notice to Exercise Movement Option

Subject asset out in Section 7 (Delivery of Notices and Fallbacks), Clearing Members may only

deliver a Notice to Exercise Movement Option during the NEMO Triggering Period, subject

always to the other terms of the relevant Restructuring Cleared Transaction and, where

applicable, the DTCC Rules.   

5.5 Reversal of DC Credit Event Announcements

If a DC Credit Event Announcement made in relation to a Restructuring Credit Event is

reversed then, subject to Section 9.1(c)(iii)(B) of the 2003 ISDA Credit Derivatives Definitions:

(a) LCH SA shall have no obligation to create Restructuring Matched Pairs in accordance

with Section 5.15.1 (Creation and Notification of Restructuring Matched Pairs), any

such Restructuring Matched Pairs so created shall be deemed not to have been

created and any Credit Event Notices delivered in connection with such Restructuring

Matched Pairs shall be deemed to be ineffective;  

(b) LCH SA shall, where applicable, make relevant registrations in the TIW in order to

reflect such reversal which shall also automatically result in such registrations being

made in respect of any related CCM Client Transactions; and

(c) Section 4.94.9 (Reversal of DC Credit Event Announcements and Margining) shall

apply.   

5.6 Reports

Without prejudice to the notification requirements set out elsewhere in the CDS Clearing

Documentation, LCH SA will communicate to the relevant Clearing Members, on the basis of

information received from DTCC or, as applicable, from Clearing Members, amongst other

things:

(a) the aggregate Floating Rate Payer Calculation Amounts of Restructuring Cleared

Transactions to which they are a party and which are the subject of Credit Event

Notices; and

(b) the results of the exercise of any Movement Option in relation to Cleared

Transactions to which they are a party,  

at or around 7.00 p.m. on each day during each CEN Triggering Period and NEMO Triggering

Period, as applicable, through the reports referred to in Section 5 of the Procedures.   
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For the avoidance of doubt, such communication shall not affect the validity or effectiveness

of any Credit Event Notice or Notice to Exercise Movement Option which shall be subject to

the terms of the relevant Restructuring Cleared Transaction.

6. PHYSICAL SETTLEMENT 

6.1 General Terms relating to Physical Settlement

Where Physical Settlement is applicable as the Fallback Settlement Method pursuant to

Section 12.1 (Auction Settlement) or 12.17 (Movement Option) of the 2003 ISDA Credit

Derivatives Definitions, each Cleared Transaction will be subject to settlement in accordance

with its terms and this Section 6 (Physical Settlement).

LCH SA hasimplemented a process, asset‐out in this Section 6 (Physical Settlement), pursuant

to which Clearing Members will manage the physical delivery process bilaterally in respect of

any Cleared Transactions for which Physical Settlement is applicable.  

Notwithstanding such process, LCH SA shall remain the legal counterparty for any such

Cleared Transactions for which Physical Settlement is applicable and shall continue to be

liable with respect to its obligations relating to such Physical Settlement, subject to its terms

and this Section 6 (Physical Settlement).

6.2 Creation and Notification of Settlement Matched Pairs

LCH SA will create Settlement Matched Pairs in accordance with Section 8.18.1 (Creation of

Matched Pairs) and notify Matched Buyer and Matched Seller comprised within each

Settlement Matched Pair of:  

(a) the identity of the other Clearing Member (together with the address, fax number,

telephone number, email address and other applicable notice details of each such

other Clearing Member); and  

(b) the associated Settlement Matched Pair Delivery Amount,  

at or prior to the SMP Notification Deadline.   

Notwithstanding the above, the Settlement Matched Pair for a Restructuring Cleared

Transaction shall be the Restructuring Matched Pair previously created by LCH SA in

accordance with Section 5.1 (Creation and Notification of Restructuring Matched Pairs) in

respect of such Restructuring Cleared Transaction.

6.3 Physically Settled Cleared Transactions

Following the actual or deemed creation of such Settlement Matched Pairs, the relevant

Cleared Transactions in respect of which the Fallback Settlement Method applies will be

construed as if they had been terminated and new Cleared Transactions of the same CDS

Type will be deemed to have been entered into between each such Clearing Member and

LCH SA (each such deemed Cleared Transaction being a "Physically Settled Cleared

Transaction").  
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Each such Physically Settled Cleared Transaction shall have a Floating Rate Payer Calculation

Amount corresponding to the Settlement Matched Pair Delivery Amount of a Settlement

Matched Pair in which the relevant Clearing Member is comprised as a Matched Buyer or a

Matched Seller, as applicable.   

6.4 Matched Seller Calculation Agent

Notwithstanding any provision to the contrary in a Physically Settled Cleared Transaction (but

subject as set out in Section 6.106.10 (Failure to pay Physical Settlement Amount), the

"Calculation Agent" for the purposes of Article VIII (Termsrelating to Physical Settlement) and

Section 9.8 (Partial Cash Settlement Terms) of the 2003 ISDA Credit Derivatives Definitions

shall be the relevant Matched Seller.

6.5 Notices of Physical Settlement

(a) No Notices of Physical Settlement until Notification of Settlement Matched Pairs  

Subject as set out at Section 7.87.8 (Failure to notify Matched Pairs) and

notwithstanding anything to the contrary in the terms of any Cleared Transaction,

Clearing Members may not deliver any Notices of Physical Settlement in respect of any

Affected Cleared Transactions until they have been notified of their Settlement

Matched Pairs.  

(b) Notice of Physical Settlement to contain Matched Buyer Account Information

Each Notice of Physical Settlement delivered by Matched Buyer shall contain, in

addition to the information required under the terms of the relevant Physically Settled

Cleared Transaction, Matched Buyer's account information.  

(c) LCH SA not Liable

LCH SA shall have no liability with respect to any loss, cost, damage or expense

suffered or incurred by a Matched Seller as a result of any error or inaccuracy in any

Notice of Physical Settlement or any NOPS Amendment Notice sent by a Matched

Buyer and shall have no duty to verify any such notice or the contents thereof.

6.6 Delivery of Non‐DVP Obligations

The following shall apply in relation to any Settlement Matched Pair where the relevant

Matched Buyer specifies a Non‐DVP Obligation in a Notice of Physical Settlement or NOPS

Amendment Notice:

(a) The relevant Matched Buyer shall notify LCH SA that it is ready to Deliver the relevant

Non‐DVP Obligation at or prior to 5.30 p.m. on the Transaction Business Day prior to

the date on which Delivery is scheduled to occur.    In such notice, the relevant

Matched Buyer shall also specify the amount of any expenses payable to it under

Section 9.2(c)(vi) of the 2003 ISDA Credit Derivatives Definitions.
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(b) LCH SA shall notify the relevant Matched Seller at or prior to 6.30 p.m. on the

Transaction Business Day prior to the date on which Delivery is scheduled to occur

that it is obligated to pay LCH SA the amount of the relevant Physical Settlement

Amount corresponding to the Outstanding Amount of such Non‐DVP Obligation and

any amounts in respect of expenses notified by the relevant Matched Buyer before

9.00 a.m. on the following Transaction Business Day.

(c) The relevant Matched Seller shall pay to LCH SA the amount(s) so requested on or

prior to 9.00 a.m. on the Transaction Business Day immediately following the date on

which the relevant Matched Buyer notified LCH SA of itsreadinessto Deliver provided

that the request for payment has been made in a timely manner as set out above.

(d) LCH SA shall notify the relevant Matched Buyer that it has received payment at or

prior to 5.30 p.m. on the Transaction Business Day in which LCH SA receives payment,

provided that payment is received by LCH SA at or prior to 9.00 a.m. on such

Transaction Business Day as set out above.

(e) The relevant Matched Seller shall notify LCH SA that Delivery has occurred by 5.30

p.m. on the Transaction Business Day on which Matched Seller receives Delivery of

the relevant Non‐DVP Obligations.  Notices received after 3.30 p.m. will be deemed

received on the next following Transaction Business Day, unless LCH SA agrees

otherwise.

(f) If and to the extent that LCH SA has received payment from the relevant Matched

Seller of the Physical Settlement Amount in full on a timely basis as set out above,

LCH SA shall pay the Physical Settlement Amount and any expenses due to the

relevant Matched Buyer under paragraph 9.2(c)(vi) of the 2003 ISDA Credit

Derivatives Definitions on or prior to 9.00 a.m. on the Transaction Business Day

following the Transaction Business Day on which LCH SA receives the notice referred

to in sub‐paragraph (e)(e) above from the relevant Matched Seller.

(g) If and to the extent that Delivery of the relevant Non‐DVP Obligations has not been

effected by the relevant Matched Buyer in accordance with terms of the relevant

Physically Settled Cleared Transaction as of the expiry of the third Transaction

Business Day following delivery of the relevant Matched Buyer's notice referred to

above, the relevant Matched Seller may request LCH SA to repay the Physical

Settlement Amount not earlier than the first Transaction Business Day following the

date on which such request is effectively delivered to LCH SA.

6.7 Alternative Delivery Procedure

A Matched Buyer and Matched Seller comprising a Settlement Matched Pair may elect to

exercise their rights against and perform obligations to LCH SA in relation to the Settlement

Matched Pair Delivery Amount (or any portion thereof) directly as between themselves.  To

exercise such option, the relevant Matched Buyer and Matched Seller must each notify LCH

SA accordingly (in the form set out in Appendix V hereto) specifying the relevant Matched

Contracts in respect of the related relevant Settlement Matched Pair Delivery Amounts and
LCH SA ©[●] 2022 30 Published on [●]12 December 2022

obtain the consent of LCH SA, which consent will not be unreasonably withheld or delayed

by more than one Transaction Business Day following receipt ofsuch notification by Matched

Buyer and Matched Seller.

With effect from the time that LCH SA confirms its consent, the Settlement Matched Pair

Delivery Amount will be reduced by the amount specified in the joint notice of the relevant

Matched Buyer and Matched Seller, and the relevant Matched Buyer and Matched Sellershall

each perform their obligations to each other and shall each acquire enforcement rights in

respect of the other party's obligationsto it pursuant to the Contracts(Rights of Third Parties)

Act 1999 in respect of any such reduction as agreed between them.

6.8 Buy‐in of Bonds – Matched Seller has entered into CCM Client Transaction

The following provisions shall solely be applicable to a Matched Seller that is a CCM in

respect of the Matched Contracts of the Settlement Matched Pair if such Matched Seller

notifies Matched Buyer and LCH SA that it has a CCM Client Transaction which corresponds

to the Matched Seller Contract:

(a) Buy‐in of Bonds – Settlement Matched Pair

Section 9.9 (Buy‐in of Bonds Not Delivered) of the 2003 ISDA Credit Derivatives

Definitions shall not apply in respect of the Matched Contracts of the Settlement

Matched Pair.

(b) Deemed Buy‐in of Bonds resulting from CCM Client Transaction of Matched Seller that

is a CCM

Provided that Physical Settlement has not already occurred in respect of the Matched

Contracts of a Settlement Matched Pair, if:  

(i) the Matched Seller that is a CCM receives a Buy‐in Notice from its CCM Client

in respect of the CCM Client Transaction between such Matched Seller and its

CCM Client which is validly delivered pursuant to the terms of such CCM Client

Transaction (including the Mandatory Provisions), then such Matched Seller

shall notify Matched Buyer and LCH SA of its receipt of such Buy‐in Notice and

of the content thereof and Matched Buyer'sright to Deliver the Relevant Bonds

specified in the relevant Buy‐in Notice shall be suspended until the fourth

Business Day (inclusive) following the Buy‐In Date specified in the relevant Buy‐

In Notice (the "Deemed Buy‐in Period"); and

(ii) such Matched Seller notifies Matched Buyer and LCH SA that it has been

notified by its CCM Client pursuant to Section 9.9 (Buy‐in of Bonds Not

Delivered) of the 2003 ISDA Credit Derivatives Definitions that a Buy‐in Price

has been determined in respect of Relevant Bonds for the purposes of the CCM

Client Transaction between such Matched Seller and its CCM Client, then on

the third Business Day following receipt by Matched Seller of such notice from

its CCM Client (which such date Matched Seller shall specify) (the "Buy‐in

Effective Date"):  
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(A) Matched Buyer will be deemed to have Delivered to such Matched

Seller an Outstanding Principal Balance of the Deliverable Obligations

specified in the Notice of Physical Settlement or any NOPS Amendment

Notice, as applicable, for which a Buy‐in Price was determined by the

CCM Client; and

(B) the Physical Settlement Amount to be paid by such Matched Seller to

Matched Buyer in respect of the Matched Contracts of the Settlement

Matched Pair shall be reduced (but not below zero) by an amount equal

to the amount by which the Physical Settlement Amount to be paid to

such Matched Seller by its CCM Client in respect of the CCM Client

Transaction has been reduced pursuant to Section 9.9 (Buy‐in of Bonds

Not Delivered) of the 2003 ISDA Credit Derivatives Definitions.

Such Matched Seller shall notify Matched Buyer and LCH SA of the Outstanding

Principal Balance of the Deliverable Obligations and the Physical Settlement

Amount reduction determined in respect of its CCM Client Transaction for the

purposes of (A)(A) and (B)(B) above.

6.9 Alternative Proceduresrelating to Loans – Buyer Right to Deliver (Section 9.10(a) 2003 ISDA

Credit Derivatives Definitions)  

The following provision shallsolely be applicable in respect of the Matched Contracts of the

Settlement Matched Pair if a Matched Buyer that is a CCM notifies Matched Seller and LCH

SA that it has a CCM Client Transaction which corresponds to the Matched Buyer Contract:

If a Matched Buyer that is a CCM notifies Matched Seller and LCH SA that it has received a

Bond or Loan from its CCM Client in respect of its CCM Client Transaction pursuant to Section

9.10(a) (Alternative Procedures Relating to Loans Not Delivered) of the 2003 ISDA Credit

Derivatives Definitions, then such Bonds or Loans shall be deemed specified in the Notice of

Physical Settlement or any NOPS Amendment Notice for the purposes of the Matched

Contracts of the Settlement Matched Pair.

6.10 Failure to pay Physical Settlement Amount

If, in relation to any Settlement Matched Pair, a Matched Seller fails to pay all or part of the

Physical Settlement Amount (the Failed Amount) to the related Matched Buyer, as designee

for LCH SA, when due:

(a) the relevant Matched Buyer may and the relevant Matched Seller shall, as soon as

practicable, give notice in writing to LCH SA, giving all material details of the

Settlement Matched Pair involved, the relevant failure to pay and the Failed Amount;

(b) such failure to pay shall not constitute or be deemed to constitute a breach of

contract, event of default or failure to pay by LCH SA under the CDS Clearing

Documentation or otherwise (butsuch failure to pay may, for the avoidance of doubt,

constitute a breach of the CDS Clearing Documentation and/or a Payment Failure for
LCH SA ©[●] 2022 32 Published on [●]12 December 2022

the purposes of Article 4.3.1.1 of the CDS Clearing Rule Book by or with respect to the

relevant Clearing Member);

(c) if the relevant Matched Buyer elects to notify LCH SA of such failure to pay as

contemplated above, such Matched Buyer may give any such notice as soon as

reasonably practicable after the occurrence of such failure to pay by the relevant

Matched Seller;

(d) upon notice being given to LCH SA by the relevant Matched Buyer, "Cash Settlement"

between the relevant Matched Buyer and LCH SA and the relevant Matched Seller

and LCH SA pursuant to the Partial Cash Settlement Terms (set out in Section 9.8

(Partial Cash Settlement Terms) of the 2003 ISDA Credit Derivatives Definitions, as

amended by this CDS Clearing Supplement) shall be deemed to apply to the relevant

Physically Settled Cleared Transactions of the Settlement Matched Pair with respect

to the Deliverable Obligations corresponding to the Failed Amount as though:  

(i) the Deliverable Obligations not Delivered were Undeliverable Obligations;  

(ii) the Latest Permissible Physical Settlement Date were the date on which the

relevant Matched Buyer gave the relevant notice to LCH SA;  

(iii) Indicative Quotations were not applicable;   

(iv) the relevant Matched Buyer were the Calculation Agent in respect of the

Physically Settled Cleared Transaction of the Settlement Matched Pair to which

it is a direct party; and

(v) the Cash Settlement Amount determined in respect of the Physically Settled

Cleared Transaction between Matched Buyer and LCH SA is also the Cash

Settlement Amount in respect of the corresponding Physically Settled Cleared

Transaction of the Settlement Matched Pair; and

(e) LCH SA and the relevant Matched Buyer will settle the relevant Physically Settled

Cleared Transaction accordingly.

6.11 Partial Cash Settlement due to Impossibility or Illegality

Section 9.3 (Partial Cash Settlement due to Impossibility or Illegality) of the 2003 ISDA Credit

Derivatives Definitions shall apply to a Physically Settled Transaction in the circumstances

contemplated therein, provided that Matched Buyer or Matched Seller notifies the other

Clearing Member comprised in the relevant Settlement Matched Pair and LCH SA accordingly.   

In such case, the related Physically Settled Cleared Transaction entered into between LCH SA

and the other Clearing Member comprised in the relevant Settlement Matched Pair shall

likewise be subject to "Cash Settlement" pursuant to the Partial Cash Settlement Terms and

Section 6.146.14 (Consequences of Cash Settlement).    
LCH SA ©[●] 2022 33 Published on [●]12 December 2022

6.12 Fallback to Cash Settlement in respect of Non‐Deliverable Obligations

(a) If Matched Buyer is not permitted to Deliver one or more Deliverable Obligations

(such Deliverable Obligations, the Non‐Deliverable Obligations) specified in the

relevant Notice of Physical Settlement or NOPS Amendment Notice to Matched Seller

as designee for LCH SA in the relevant Matched Pair because:

(i) the amount of such Deliverable Obligation to be Delivered is less than the

relevant minimum denomination of such Deliverable Obligation; or

(ii) such Matched Seller is not a permitted transferee under such Deliverable

Obligation (and, in the case of this sub‐section (ii), such circumstance would

not constitute an illegality or impossibility outside the control of a relevant

party for the purposes of Section 9.3 (Partial Cash Settlement due to

Impossibility or Illegality) of the 2003 ISDA Credit Derivatives Definitions),

then it shall notify the relevant Matched Seller and LCH SA (in the form set out in

Appendix VI hereto) accordingly describing in reasonable detail the relevant

circumstances.   

With effect from such notification,such occurrence shall be treated, in relation to each

relevant Physically Settled Cleared Transaction, as an illegality or impossibility outside

the control of a relevant party for the purpose of Section 9.3 (Partial Cash Settlement

Due to Impossibility or Illegality) of the 2003 ISDA Credit Derivatives Definitions.   

(b) Upon notice being given to LCH SA by Matched Buyer under sub‐paragraph (a) of this

Section 6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations), "Cash Settlement" pursuant to the Partial Cash Settlement Terms shall

be deemed to apply to the Matched Contracts in respect of the relevant Settlement

Matched Pair with respect to the Non‐Deliverable Obligations as though the Non‐

Deliverable Obligations were Undeliverable Obligations and the provisions set out in

Section 6.146.14 (Consequences of Cash Settlement) of this CDS Clearing Supplement

shall apply.   

6.13 Cash Settlement Resulting from CCM Client Transaction of a Matched Buyer that is a CCM

The following provision shallsolely be applicable in respect of the Matched Contracts of the

Settlement Matched Pair if a Matched Buyer that is a CCM notifies Matched Seller and LCH

SA that it has a CCM Client Transaction which corresponds to the Matched Buyer Contract:

If a Matched Buyer that is a CCM notifies Matched Seller and LCH SA that the corresponding

CCM Client Transaction between such Matched Buyer and its CCM Client is to be settled (in

whole or in part) by Cash Settlement pursuant to Section 9.3 (Partial Cash Settlement Due to

Impossibility or Illegality) of the 2003 ISDA Credit Derivatives Definitions or Mandatory

Provision 7.27.2 (Fallback to Cash Settlement in respect of Non‐Deliverable Obligations), then:  
LCH SA ©[●] 2022 34 Published on [●]12 December 2022

(a) "Cash Settlement" shall be deemed to apply (in whole or in part, as applicable) to the

Matched Contracts of the Settlement Matched Pair pursuant to the Partial Cash

Settlement Terms and Section 6.146.14 (Consequences of Cash Settlement);   

(b) the 'Undeliverable Obligations' for the purposes of the Partial Cash Settlement Terms

shall be the Undeliverable Obligations or Non‐Deliverable Obligations in respect of

the corresponding CCM Client Transaction; and

(c) the Cash Settlement Amount and the Cash Settlement Date in respect of the Matched

Contracts of the Settlement Matched Pair shall be the same as the Cash Settlement

Amount and the Cash Settlement Date determined in respect of the corresponding

CCM Client Transaction.  

6.14 Consequences of Cash Settlement

If the circumstances set out in either Section 6.116.11 (Partial Cash Settlement Due to

Impossibility or Illegality) or paragraph (a) of Section 6.126.12 (Fallback to Cash Settlement in

respect of Non‐Deliverable Obligations) or Section 6.136.13 (Cash Settlement Resulting from

CCM Client Transaction of a Matched Buyer that is a CCM) apply, then:

(a) the Latest Permissible Physical Settlement Date in respect of the relevant Physically

Settled Cleared Transaction will be deemed to be the first date on which the relevant

Matched Buyer or Matched Seller effectively gave the relevant notice to both LCH SA

and the other Clearing Member as referred to in Section 6.116.11 (Partial Cash

Settlement Due to Impossibility or Illegality) or paragraph (a) of Section 6.126.12

(Fallback to Cash Settlement in respect of Non‐Deliverable Obligations) or Section

6.136.13 (Cash Settlement Resulting from CCM Client Transaction of a Matched Buyer

that is a CCM) above, as applicable, (and for these purposes, Section 9.7 (Latest

Permissible Physical Settlement Date) of the 2003 ISDA Credit Derivatives Definitions

shall not apply);

(b) the relevant Matched Buyer will be deemed to be the Calculation Agent;

(c) LCH SA and the relevant Matched Buyer will settle the applicable Matched Buyer

Contract, and LCH SA and the relevant Matched Seller will settle the applicable

Matched Seller Contract, accordingly; and

(d) where sub‐paragraph (a)(ii) of Section 6.126.12 (Fallback to Cash Settlement in

respect of Non‐Deliverable Obligations) applies, Indicative Quotations shall not be

applicable.

6.15 Amendments to Section 9.8(k) of 2003 ISDA Credit Derivatives Definitions

Solely for the purposes of Section 6.116.11 (Partial Cash Settlement due to Impossibility or

Illegality), Section 6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations), Section 6.136.13 (Cash Settlement Resulting from CCM Client Transaction of a

Matched Buyer that is a CCM) and Section 6.146.14 (Consequences of Cash Settlement) of this
LCH SA ©[●] 2022 35 Published on [●]12 December 2022

CDS Clearing Supplement, Section 9.8(k) of the 2003 ISDA Credit Derivatives Definitions is

amended by inserting the following at the beginning thereof:

"(A)   For the purposes hereof, in addition to the requirements of Section 7.10, each firm

Quotation shall:

(1) be for a transaction with Matched Buyer (or its designee) (the Relevant Buyer)

pursuant to which the Relevant Buyer agrees to Deliver the Deliverable

Obligations to the Dealer submitting the firm quotation (the Quoting Dealer),

which transaction shall be governed by documentation that is consistent with

market practice applicable to the sale and purchase of Deliverable Obligations

on the Valuation Date (which may be determined by the relevant Credit

Derivatives Determinations Committee), including, without limitation, a

representation that the Quoting Dealer has completed all "know your

customer" or similar requirements under all applicable laws, regulations and

internal compliance procedures relating to a transaction with the Relevant

Buyer and in respect of the Reference Entity;

(2) be capable of acceptance by the Relevant Buyer (for such purposes, each firm

Quotation must, inter alia, be obtained from a Dealer with whom the Relevant

Buyer, in its sole and absolute discretion, determines that it is able, in

accordance with all itsinternal compliance and policy requirements, to transact

and to Deliver the Deliverable Obligations) and be open for acceptance by the

relevant party for at least 30 minutes; and

(3) be obtained on the basis that if the Relevant Buyer agrees to Deliver the

Deliverable Obligations to such Quoting Dealer on the terms set forth herein,

such Quoting Dealer agrees to pay the settlement amount (calculated and

payable for this purpose in accordance with the relevant market standard

documentation and based on the price so quoted) that would be payable to

the Relevant Buyer for such Deliverable Obligations.

(B) Otherwise,".

6.16 Subsequent Determination by the Credit Derivatives Determinations Committee with

respect to an Auction

If the Fallback Settlement Method applies in respect of a Cleared Transaction and a

subsequent resolution of the Credit Derivatives Determinations Committee determines that

Transaction Auction Settlement Terms will be published, LCH SA shall have no obligation to

create Settlement Matched Pairsin accordance with Section 6.26.2 (Creation and Notification

of Settlement Matched Pairs).  

Unless settlement has occurred with respect to any Settlement Matched Pairs prior to such

determination, any such Settlement Matched Pairs so created shall be deemed not to have

been created and any notices delivered in connection with such Settlement Matched Pairs

shall be deemed to be ineffective.  
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LCH SA shall effect any relevant registrations in the TIW in order to reflect the application of

Auction Settlement as the Settlement Method in respect of the relevant Cleared

Transactions.

6.17 Physical Settlement Costs

If the Fallback Settlement Method applies in respect of a Cleared Transaction and any

amounts are payable in relation to any costs or expenses of Physical Settlement, then:

(a) where such amount would otherwise be payable by LCH SA to Matched Buyer or

Matched Seller (the Recipient), such amount shall be payable to the Recipient by the

other party to the Matched Contract who is not the Recipient, as designee to pay such

amount on behalf of LCH SA; and

(b) where such amount would otherwise be payable to LCH SA by Matched Buyer or

Matched Seller (the Payer), such amount shall be payable by the Payer to the other

party to the Matched Contract who is not the Payer, as designee to receive such

amount on behalf of LCH SA.  

Any Matched Seller or Matched Buyer who is required to make any payment as designee on

behalf of LCH SA pursuant to this Section 6.176.17 shall not be entitled to any reimbursement

from LCH SA in respect of such amount.

Any Matched Seller or Matched Buyer who receives any payment pursuant to this Section

6.176.17 shall not be obliged to remit to LCH SA any such amount so received (without

prejudice to any rights of LCH SA where there is a failure to Deliver).

LCH SA shall not be liable to a Matched Buyer or a Matched Seller for any of the costs and

expenses of Physical Settlement of any Cleared Transaction.

6.18 Representations and Agreements relating to Physical Settlement

(a) Claims by Matched Seller against LCH SA in respect of Obligations Delivered by

Physical Settlement

If a Matched Seller pursues a claim against LCH SA under Sections 9.2(a), (b), (c)(i) or

(c)(iv) of the 2003 ISDA Credit Derivatives Definitions in respect of any obligations

Delivered by way of Physical Settlement of any Matched Seller Contract, then:

(i) notwithstanding any provision of the 2003 ISDA Credit Derivatives Definitions

to the contrary, LCH SA shall only be liable to make payments to that Matched

Seller in respect of that claim to the extent of amounts recovered, including,

without limitation, any amounts recovered by way of set‐off or netting, by LCH

SA from or on behalf of the related Matched Buyer in respect of any

corresponding claims under or in connection with the Matched Buyer Contract

(including, without limitation, following the declaration of an Event of Default

in respect of such Matched Buyer) and after deducting any costs and expenses
LCH SA ©[●] 2022 37 Published on [●]12 December 2022

reasonably incurred by LCH SA in pursuing such corresponding claims for

recovery under or in connection with the Matched Buyer Contract;

(ii) LCH SA will use reasonable efforts to pursue any claim it may have against the

related Matched Buyer but, notwithstanding Section 6.186.18(a)(i) above, LCH

SA will, in the pursuit of such claims, act as though its liability to Matched Seller

under the Matched Seller Contract was not limited or restricted in any way; and

(iii) referencesto indemnity provisionsset out in Section 9.2(a), 9.2(b) and 9.2(c)(iv)

of the 2003 ISDA Credit Derivatives Definitions shall, in connection with a

Matched Buyer Contract, be interpreted without regard to the limitations to

Matched Seller's recourse to LCH SA under the corresponding Matched Seller

Contract imposed by the provisions of this Section 6.186.18(a) and such

limitations shall not restrict a Matched Seller from making a claim or raising a

Dispute.

(b) Right of Matched Seller to enforce against Matched Buyer

Without prejudice to paragraph (a) above, a Matched Sellershall be entitled to enforce

Sections 9.2(a), (b), (c)(i) and (c)(iv) of the 2003 ISDA Credit Derivatives Definitions

against the related Matched Buyer in respect of any obligations Delivered by way of

Physical Settlement of any Physically Settled Cleared Transaction under the Contracts

(Rights of Third Parties) Act 1999 as though Matched Seller were party to the relevant

Matched Buyer Contract in place of LCH SA.

(c) Satisfaction of Claim by Matched Buyer discharges Liabilities owed to and by LCH

SA

For the avoidance of doubt, if a Matched Buyer satisfies a claim made by a Matched

Seller directly against the relevant Matched Buyer under Sections 9.2(a), (b), (c)(i) or

(c)(iv) of the 2003 ISDA Credit Derivatives Definitions pursuant to the rights granted to

such Matched Seller under paragraph (b) above, such satisfaction shall also constitute

complete satisfaction and discharge of the corresponding liability of such Matched

Buyer to LCH SA and the corresponding liability of LCH SA to such Matched Seller in

respect of such claim.

(d) Effect of Illegality or Tax or other Expense resulting from Designation through

Creation of Matched Pairs

The last sentence of Section 9.2(c)(iv) of the 2003 ISDA Credit Derivatives Definitions

shall not operate so as to prevent LCH SA from creating any Matched Pair in

accordance with this CDS Clearing Supplement, and LCH SA shall have no obligation to

grant any indemnity with respect to any Tax, loss or cost to any Matched Buyer or

Matched Seller thereunder.   

If the circumstances contemplated at Section 9.2(c)(iv)(A) or (B) of the 2003 ISDA

Credit Derivatives Definitions apply in respect of any Physically Settled Cleared

Transaction and any related Settlement Matched Pair (in the case of (B), as notified by
LCH SA ©[●] 2022 38 Published on [●]12 December 2022

the Clearing Member which isthe non‐designating party forsuch purpose to the other

Clearing Member comprised in the relevant Settlement Matched Pair prior to the first

Delivery Date), then an impossibility shall be deemed to have occurred with respect

to Physical Settlement of the relevant Physically Settled Cleared Transactions, and

Section 9.3 (Partial Cash Settlement due to Impossibility or Illegality) of the 2003 ISDA

Credit Derivatives Definitions (as amended by this CDS Clearing Supplement) shall

apply.

6.19 Miscellaneous Provisions relating to Physical Settlement

(a) Margin

For the avoidance of doubt, LCH SA will continue to call all Margin and such Margin

will remain due in relation to any Cleared Transaction to which Physical Settlement

applies until:  

(i) LCH SA has received a Notice of Physical Settlement from each Clearing

Member;  

(ii) LCH SA has received a No Physical Settlement Confirmation from each Clearing

Member; or  

(iii) in each case, any related dispute is referred to and finally resolved by

arbitration or by litigation, as applicable, in accordance with the CDS Dispute

Resolution Protocol, subject to the provisions of Sections 8 and 9 of the

Procedures.

(b) Notification of Completion of Physical Settlement

Upon completion of Physical Settlement by the relevant Matched Pair of a Physically

Settled Cleared Transaction, Matched Buyer and Matched Seller shall inform LCH SA

as soon as reasonably practicable and in any event before the date falling two

Transaction Business Days following such completion (the Physical Settlement

Confirmation Deadline) by notice (a Physical Settlement Confirmation) in the form

set out at Appendix VII hereto.  

(c) Notification that Physical Settlement will not occur

If no Notice of Physical Settlement has been delivered within the relevant time period

permitted for such delivery in accordance with the terms of the relevant Physically

Settled Cleared Transaction and, accordingly, Physical Settlement will not, under the

terms of the relevant Physically Settled Cleared Transaction, occur, Matched Buyer

and Matched Seller shall inform LCH SA as soon as reasonably practicable thereafter

and in any event before the date falling two Transaction Business Days following the

relevant date after which delivery of a Notice of Physical Settlement is no longer

permitted in accordance with the terms of the relevant Physically Settled Cleared

Transaction (the No Physical Settlement Confirmation Deadline) by notice (a No

Physical Settlement Confirmation) in the form set out at Appendix VIII hereto.  
LCH SA ©[●] 2022 39 Published on [●]12 December 2022

(d) Dispute regarding Physical Settlement

If LCH SA receives a Physical Settlement Confirmation or No Physical Settlement

Confirmation from one relevant Matched Buyer or Matched Seller only at or prior to

the relevant Physical Settlement Confirmation Deadline or No Physical Settlement

Confirmation Deadline, asthe case may be, there shall be deemed to be a Dispute with

respect to the Physically Settled Cleared Transactions between LCH SA and each

relevant Clearing Member.

7. DELIVERY OF NOTICES AND FALLBACKS 

7.1 General Rules relating to Notices

(a) Methods of Delivery and deemed Time of Delivery

Subject to Section 7.27.2 (Oral Notices) and without prejudice to Section 1.10

(Requirements Regarding Notices) and the remaining provisions of the 2003 ISDA

Credit Derivatives Definitions (including, for the avoidance of doubt, in relation to

notices permitted to be given orally), any notice or other communication in respect of

any Cleared Transaction may be given in any manner described below and will be

deemed effective as indicated:

(i) if delivered in person or by courier, on the date and at the time it is delivered;

(ii) if sent by facsimile transmission, on the date it is received by a responsible

employee of the recipient in legible form (it being agreed that the burden of

proving receipt will be on the sender and will not be met by a transmission

report generated by the sender’s facsimile machine);

(iii) if sent by certified or registered mail (airmail, if overseas) or the equivalent

(return receipt requested), on the date it is delivered or its delivery is

attempted; or

(iv) if sent by electronic messaging system (including e‐mail or any other electronic

access solution established by LCH SA for such purpose), on the date it is

received,

unless the date of that delivery (or attempted delivery) or that receipt, as applicable,

is not a Transaction Business Day or that communication is delivered (or attempted)

or received, as applicable, pursuant to the above after 6.00 p.m. in the location of the

recipient on a Transaction Business Day, in which case that communication will be

deemed given and effective on the first following day that is a Transaction Business

Day.

(b) Notices from or to LCH SA

Any such notice or communication given by LCH SA to a Clearing Member or vice versa

shall (except where delivered via a relevant DTCC Notice Facility) be given to the
LCH SA ©[●] 2022 40 Published on [●]12 December 2022

address or number previously specified in or previously notified for the relevant

purpose in accordance with the CDS Admissions Agreement or the Procedures.

(c) Manual Notices between Clearing Members

Notices given by a Clearing Member to another Clearing Member comprised in a

relevant Matched Pair and which are not delivered via a relevant DTCC Notice Facility

shall be given to the address or number notified by LCH SA to the deliveror pursuant

to Sections 5.15.1 (Creation and Notification of Restructuring Matched Pairs) or 6.26.2

(Creation and Notification of Settlement Matched Pairs).   

Such notices shall only be deemed to be delivered effectively by LCH SA through the

relevant Clearing Member as its designee as against the recipient where the address

or number so notified by LCH SA corresponds in all material respects to the address or

number, as applicable, specified by such recipient in or pursuant to the CDS

Admissions Agreement.  

(d) No Obligation on LCH SA to verify Signatories

LCH SA shall have no obligation to verify the authority of any signatory of any notice

delivered by any Clearing Member directly pursuant to this Section 7 (Delivery of

Notices and Fallbacks).

7.2 Oral Notices  

Notwithstanding the provisions of the 2003 ISDA Credit Derivatives Definitions, where, by

way of exception as contemplated in this Section 7, Credit Event Notices and Notices to

Exercise Movement Option are to be delivered directly to LCH SA (and not via a relevant DTCC

Notice Facility), such notices may not be delivered by telephone.

7.3 Credit Event Notices and NEMOs  

(a) Credit Event Notices and NEMOs to be given via DTCC

Credit Event Notices and Notices to Exercise Movement Option shall be delivered by

way of the relevant DTCC Notice Facility,save if and as expressly stated to the contrary

in this Section 7 or expressly agreed by LCH SA.  The deemed time of delivery of any

such notices shall be as set out in the DTCC Rules from time to time.

(b) Credit Event Notices and NEMOs delivered in respect of CCM Client Transaction

If a Matched Buyer or a Matched Seller that is a CCM receives a valid Credit Event

Notice or Notice to Exercise Movement Option from its CCM Client in respect of a CCM

Client Transaction by way of the relevant DTCC Notice Facility, such notice shall be

deemed also to be a Credit Event Notice or Notice to Exercise Movement Option (as

applicable) for the purposes of the corresponding Matched Contracts of the

Restructuring Matched Pair.    
LCH SA ©[●] 2022 41 Published on [●]12 December 2022

7.4 Notification of DTCC Failure and Resolution

(a) LCH SA to notify Clearing Members of DTCC Failure Event

If DTCC notifies LCH SA or LCH SA otherwise becomes aware that the relevant DTCC

Notice Facility is or will be unavailable to process all or substantially all Credit Event

Notices or Notices to Exercise Movement Option, as applicable, with respect to a

Restructuring Credit Event in a timely manner (a DTCC Failure Event), then LCH SA will,

assoon asreasonably practicable and in any event within one hour ofsuch notification

or of LCH SA becoming aware of such non‐availability, as applicable, notify all relevant

Clearing Members of such occurrence, including the time at which such failure

occurred (or, if LCH SA is not notified of such time by or on behalf of DTCC, the time at

which LCH SA received the relevant notification from or on behalf of DTCC or becomes

aware of the relevant non‐availability) (the DTCC Failure Event Time). LCH SA shall also

publish such information on its Website as soon as reasonably practicable after

becoming aware of a DTCC Failure Event.

(b) LCH SA to notify Clearing Members of Resolution of DTCC Failure Event

If, subsequent to a DTCC Failure Event, DTCC (or a third party designated under the

DTCC Rules from time to time) notifies LCH SA that a DTCC Failure Event previously

notified to Clearing Members is no longer in effect, LCH SA will as soon as reasonably

practicable notify all relevant Clearing Members accordingly, including the time (the

DTCC Resolution Time) (which must be no earlier than 30 minutes following the time

of such notification) at which such DTCC Failure Event is deemed to have been

resolved and following which the relevant DTCC Notice Facility is operative for the

purposes of delivery of relevant notices relating to Restructuring Cleared Transactions

(including transactions in respect of which notices may have been delivered directly

pursuant to Section 7.57.5 (Consequences of DTCC failure).  LCH SA shall also publish

such information on its Website as soon as reasonably practicable after notifying

Clearing Members that the DTCC Failure Event is no longer in effect and of the DTCC

Resolution Time.

(c) Notices given prior to DTCC Resolution Time to be confirmed to DTCC

LCH SA and, to the extent so requested by LCH SA, each Clearing Member shall, as

soon as reasonably practicable and to the extent permitted by DTCC, provide or

confirm to DTCC details of any relevant notices (in the case of a Clearing Member,

being any relevant notices delivered directly by such Clearing Member) given in

respect of Cleared Transactions prior to the DTCC Resolution Time, so as to permit

delivery ofsubsequent noticesin respect ofsuch Cleared Transactions via the relevant

DTCC Notice Facility.
LCH SA ©[●] 2022 42 Published on [●]12 December 2022

7.5 Consequences of DTCC Failure

From (and including) the DTCC Failure Event Time to (but excluding) the DTCC Resolution

Time:

(a) Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to be given via DTCC) shall not

apply and accordingly Credit Event Notices and Noticesto Exercise Movement Option

shall be delivered directly (and not via the relevant DTCC Notice Facility);

(b) any notice delivered via the relevant DTCC Notice Facility prior to the DTCC Failure

Event Time will be valid and will not be affected by such DTCC Failure Event; and

(c) any notice delivered or purported to be delivered via the relevant DTCC Notice Facility

at or following the DTCC Failure Event Time but prior to the DTCC Resolution Time

will not be valid and effective.

Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to be given via DTCC) shall apply with

effect from the DTCC Resolution Time and, accordingly, any notice thereafter delivered or

purported to be delivered directly (and not via the relevant DTCC Notice Facility) will not be

valid and effective.  

7.6 Clearing Member Communications Failure Event  

(a) Right to deliver Notices manually following Clearing Member Communications

Failure Event

If a Clearing Member is affected by a significant communications or information

technology failure resulting in it being impossible or impractical for such Clearing

Member to deliver any Credit Event Notice in relation to a Restructuring Credit Event

or any Notice to Exercise Movement Option via a relevant DTCC Notice Facility (a

Clearing Member Communications Failure Event) it may, notwithstanding Section

7.37.3(a)(a) (Credit Event Notices and NEMOs to be given via DTCC) deliver Credit

Event Notices and Notices to Exercise Movement Option directly (and not via the

relevant DTCC Notice Facility).   

(b) Clearing Member to notify LCH SA of Occurrence of Clearing Member

Communications Failure Event

Following the occurrence of a Clearing Member Communications Failure Event, the

affected Clearing Member shall, within one hour of delivering any Credit Event Notice

or Notice to Exercise Movement Option directly, deliver to LCH SA a notice (in the form

set out at Appendix IX hereto) signed by a senior officer (such as a managing director

or equivalent) of such Clearing Member certifying that it is affected by a Clearing

Member Communications Failure Event (or, if such Clearing Member is unable to

deliver such notice in writing, orally by telephone).  

LCH SA shall notify all Clearing Members accordingly assoon asreasonably practicable

and in any event within one hour of receipt of any such notification.
LCH SA ©[●] 2022 43 Published on [●]12 December 2022

(c) Notices to Clearing Member affected by Clearing Member Communications Failure

Event

For the avoidance of doubt, Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to

be given via DTCC) shall continue to apply in respect of notices given to the affected

Clearing Member by Clearing Members comprised in any Matched Pair in respect of

which the affected Clearing Member is a Matched Buyer or Matched Seller.

(d) Notification of Resolution of Clearing Member Communications Failure Event

As soon as reasonably practicable upon a Clearing Member ceasing to be subject to a

Clearing Member Communications Failure Event, it shall notify LCH SA accordingly (in

the form set out at Appendix X hereto) and thereupon Section 7.37.3(a)(a) (Credit

Event Notices and NEMOsto be given via DTCC)shall apply and, accordingly, any Credit

Event Notice or Notice to Exercise Movement Option thereafter delivered or

purported to be delivered directly (and not via the relevant DTCC Notice Facility) will

not be valid and effective.

(e) Clearing Member Duty to Mitigate

A Clearing Member which is subject to a Clearing Member Communications Failure

Event shall use reasonable endeavours to mitigate the operational impact on other

Clearing Members and LCH SA of any Clearing Member Communications Failure Event,

to cure such Clearing Member Communications Failure Event as soon as possible and

to ensure that the circumstances giving rise to the relevant Clearing Member

Communications Failure Event do not recur.  

(f) Breach by Clearing Member does not Invalidate Valid Notices

Without prejudice to any other rights or remedy of LCH SA, any breach by a Clearing

Member of the provisions of this Section 7.67.6 shall not cause any Credit Event Notice

or Notice to Exercise Movement Option delivered otherwise than in accordance with

the relevant Restructuring Cleared Transaction, which would otherwise be valid and

effective, to be invalid or ineffective.

7.7 Clearing Member Acknowledgements

(a) Duty to deliver Clearing Member Acknowledgements

Each Clearing Member shall notify LCH SA or deliver a copy to LCH SA of any notice

delivered or received by such Clearing Member to or from another Clearing Member

comprised in a Matched Pair, including, without limitation, any Credit Event Notice or

Notice to Exercise Movement Option which was delivered or received directly (and

not via a DTCC Notice Facility) pursuant to Sections 7.57.5 (Consequences of DTCC

Failure) or 7.67.6 (Clearing Member Communications Failure Event), and which such

Clearing Member asserts or acknowledges was effective for the purposes of this CDS

Clearing Supplement and the relevant Cleared Transactions (such notification, or
LCH SA ©[●] 2022 44 Published on [●]12 December 2022

delivery of such copy, in respect of any relevant notice, a Clearing Member

Acknowledgement) by no later than 6.00 p.m. on:  

(i) in the case of a Notice of Physical Settlement or NOPS Amendment Notice, the

date falling two Transaction Business Days following the date on which such

notice was sent; or  

(ii) in the case of any other notice, on the last date on which such notice could

validly be sent,  

(in each case, the Notice Acknowledgement Deadline).

(b) Clearing Member Acknowledgement received from both Clearing Members

Where LCH SA receives a Clearing Member Acknowledgement in respect of any notice

from both relevant Clearing Members comprised in a Matched Pair at or prior to the

Notice Acknowledgement Deadline, LCH SA shall perform its obligations in respect of

the relevant Cleared Transactions in accordance with and subject to the remaining

provisions of the CDS Clearing Documentation.

(c) Clearing Member Acknowledgement received from one Clearing Member

Where LCH SA receives a Clearing Member Acknowledgement in respect of any notice

from one relevant Clearing Member only at or prior to the Notice Acknowledgement

Deadline, the provisions of Section 7.117.11 (Disputes as to Notices) shall apply and

LCH SA and each relevant Clearing Member shall perform their obligations in respect

of the relevant Cleared Transactions in accordance with and subject to the remaining

provisions of the CDS Clearing Documentation and the terms of any final resolution of

the relevant dispute, as agreed between the relevant parties or as determined by

arbitration or by litigation, as applicable, in accordance with the CDS Dispute

Resolution Protocol, subject to the provisions of Sections 8 and 9 of the Procedures.  

In such case, LCH SA shall notify the Clearing Member from which it has not received

a Clearing Member Acknowledgement of the asserted delivery or, as applicable,

receipt of the relevant notice (in the case of a Credit Event Notice or Notice to Exercise

Movement Option, through the reports referred to at Section 5.65.6 (Reports)).  

(d) No Clearing Member Acknowledgement received

Where LCH SA does not receive Clearing Member Acknowledgement or confirmation

of valid delivery in respect of any notice from either Clearing Member in the relevant

Matched Pair on or prior to the relevant Notice Acknowledgement Deadline, the rights

and obligations of LCH SA as against each relevant Clearing Member, and vice versa,

shall be construed as if no such notice had been given.   
LCH SA ©[●] 2022 45 Published on [●]12 December 2022

(e) Consequences of no Clearing Member Acknowledgement being received

Where sub‐section (d)(d) above is applicable, the following provisions shall apply:

(i) Notices other than Notices of Physical Settlement and NOPS Amendment

Notices  

Save in the case of a Notice of Physical Settlement or NOPS Amendment

Notices, an amount shall be payable between the Clearing Members equal to

the difference between the value of the Matched Buyer Contract had Clearing

Member Acknowledgement been given to LCH SA on a timely basis and the

value of such contract in the absence of such acknowledgement; such

difference in value shall be determined as of the earlier of the day on which

notice is given by any relevant Clearing Member that such amount is due and

payable and, in the case of a Credit Event Notice or Notice to Exercise

Movement Option, the eighth Transaction Business Day following the Auction

Settlement Date, no Auction Announcement Date or Auction Cancellation

Date, as applicable or otherwise the eighth Transaction Business Day following

the last day on which such notice would validly have been delivered, by

reference to the relevant Auction Settlement Amount or end of day

contributed prices, in each case if available.   

(ii) Notices of Physical Settlement and NOPS Amendment Notices

Where the relevant notice is a Notice of Physical Settlement or a NOPS

Amendment Notice, the relevant Clearing Members shall acquire rights as

against the other as though party to a bilateral credit default swap transaction

on the terms of the related Matched Buyer Contract (including, without

limitation, asto the satisfaction of the applicable Conditionsto Settlement) and

the Notice of Physical Settlement shall be deemed to have been given in

respect of such transaction.  Any resulting payment shall be due and payable

two Transaction Business Days following the giving of a notice that such

amount is due and payable.

In each case, the relevant Clearing Members shall have enforcement rights as against

each other pursuant to the Contracts (Rights of Third Parties) Act 1994 in respect of

any resulting payments and deliveries; LCH SA shall have no liability in respect thereof.

7.8 Failure to notify Matched Pairs

Notwithstanding Section 5.35.3 (Triggering of Restructuring Cleared Transactions) and 6.56.5

(Notices of Physical Settlement), if LCH SA does not notify the relevant Clearing Members of

Restructuring Matched Pairs created pursuant to Section 5.15.1 (Creation and Notification of

Restructuring Matched Pairs) on or prior to the RMP Notification Deadline or Settlement

Matched Pairs and related information specified in Section 6.26.2 (Creation and Notification

of Settlement Matched Pairs) by the SMP Notification Deadline, as applicable:  
LCH SA ©[●] 2022 46 Published on [●]12 December 2022

(a) the relevant Clearing Members may deliver Credit Event Notices, Notices to Exercise

Movement Option, Notices of Physical Settlement or NOPS Amendment Notices to

LCH SA, and vice versa;  

(b) the relevant Cleared Transactions shall be subject to Physical Settlement in

accordance with their terms; and  

(c) the provisions of Sections 2.42.4 (Amendments to 2003 ISDA Credit Derivatives

Definitions), 6 (Physical Settlement) and 8 (Matched Pair Designations and Notices)

shall not apply and the terms of this CDS Clearing Supplement shall be construed

accordingly.  

For such purpose, Section 7.3 (Credit Event Notices and NEMOs) shall not apply in respect of

notices given by the affected Clearing Members and accordingly Credit Event Notices and

Notices to Exercise Movement Option shall be delivered directly (and not via the relevant

DTCC Notice Facility).

7.9 Failure to notify Matching Information

If LCH SA notifies relevant Clearing Members of Restructuring Matched Pairs created

pursuant to Section 5.15.1 (Creation and Notification of Restructuring Matched Pairs) on or

prior to the RMP Notification Deadline, but does not notify DTCC of relevant Matching

Information on or prior to the RMP Notification Deadline, then Section 7.37.3(a)(a) (Credit

Event Notices and NEMOs to be given via DTCC) shall not apply in respect of notices to be

delivered by affected Clearing Members and accordingly Credit Event Notices and Notices to

Exercise Movement Option shall be delivered directly as between Clearing Members (as

designees of LCH SA) (and not via the relevant DTCC Notice Facility).

7.10 Uncertain Delivery

(a) Manual Notice permitted if Delivery of Notice in DTCC uncertain

Notwithstanding Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to be given via

DTCC), where such notices are permitted to be delivered by means other than the

relevant DTCC Notice Facility pursuant to this Section 7, and a Clearing Member is

uncertain as to whether or not a Credit Event Notice or Notice to Exercise Movement

Option (as applicable) it (or, in the case of a CCM, its CCM Client) attempted to deliver

via a DTCC Notice Facility has:  

(i) actually been delivered; or  

(ii) was delivered prior to the DTCC Failure Time,  

that Clearing Member shall be entitled to deliver such a notice directly to any Clearing

Member comprised in a relevant Matched Pair (as designee of LCH SA) specifying that

such notice is only to be effective to the extent that the other purported notice is not

effective.  
LCH SA ©[●] 2022 47 Published on [●]12 December 2022

(b) Details to be provided of Uncertain Notice

If a Clearing Member delivers a manual notice pursuant to sub‐section (a)(a) (Manual

Notice permitted if Delivery of Notice in DTCC uncertain) above,such Clearing Member

shall be required to provide (together with such notice) sufficient details of the notice

attempted to be given by way of the relevant DTCC Notice Facility so as to allow the

other Clearing Member and LCH SA to identify the communication concerned.  

(c) DTCC Notice delivered successfully  

If the first Credit Event Notice or Notice to Exercise Movement Option (as applicable)

to which the manual notice delivered pursuant to sub‐section (a)(a) (Manual Notice

permitted if Delivery of Notice in DTCC uncertain) above relates was actually delivered

successfully, any subsequent Credit Event Notice or Notice to Exercise Movement

Option delivered shall be deemed not to have been delivered.

7.11 Disputes as to Notices

If any Clearing Member comprised in a Matched Pair where one such party is acting as

designee of LCH SA disputes the effective delivery in accordance with the terms of the

relevant Cleared Transactions of any notice delivered directly (and not via a relevant DTCC

Notice Facility) in accordance with this Section 7 (Delivery of Notices and Fallbacks) (and for

such purposes, a dispute between the relevant Clearing Member and LCH SA shall be deemed

to have arisen if LCH SA receives a Clearing Member Acknowledgement from one relevant

Clearing Member only in respect of any such notice as contemplated at Section 7.77.7(c)(c)

(Clearing Member Acknowledgement received from one Clearing Member)):

(a) LCH SA shall be entitled in accordance with the Procedures to calculate and call for

Margin with respect to each such Clearing Member on the basis of the maximum

requirement for such Clearing Member that could result from any foreseeable

outcome of such dispute;

(b) following final resolution of such dispute by arbitration or by litigation, as applicable,

in accordance with the CDS Dispute Resolution Protocol, subject to the provisions of

Sections 8 and 9 of the Procedures, the Clearing Members comprised in the relevant

Matched Pair shall take such actions with respect to the Cleared Transactions the

subject of such dispute as LCH SA determines appropriate to give effect to any

relevant binding resolution; and

(c) without prejudice to its obligations upon final resolution of the dispute, pending final

resolution of any such dispute, LCH SA shall not be obliged to take any step pursuant

to the terms of the relevant Cleared Transactions which would be required to have

been taken by it had the relevant notice been validly delivered.

Each relevant Clearing Member must promptly notify LCH SA of any such disputes (in the

form set out at Appendix XI hereto).
LCH SA ©[●] 2022 48 Published on [●]12 December 2022

8. MATCHED PAIR DESIGNATIONS AND NOTICES 

8.1 Creation of Matched Pairs

LCH SA will create Matched Pairs where required to do so pursuant to Section 5.15.1 (Creation

and Notification of Restructuring Matched Pairs) or 6.26.2 (Creation and Notification of

Settlement Matched Pairs) using a matching procedure that matches CDS Sellers with CDS

Buyers pursuant to an algorithm incorporating the following principles:

(a) the procedure seeks to create Matched Pairs between the same Clearing Member to

the extent it is possible to do so before creating Matched Pairs between different

Clearing Members and, for this purpose, in the context of CCMs, the procedure will

create Matched Pairs separately for CCMs and their CCM Clients (individually where

the CCM Client is allocated to a single CCM Client Margin Account or together where

a set of CCM Clients is allocated to a single CCM Client Margin Account) and Clearing

Member will be construed accordingly;

(b) the procedure seeks to minimise the number of Matched Pairs (and accordingly,

largest positions will be matched first);

(c) each Matched Pair will, to the extent possible, have an aggregate Restructuring

Matched Pair Amount or, as applicable, Settlement Matched Pair Delivery Amount,

which meets the criteria as set out in a Clearing Notice; and

(d) LCH SA will allocate a Restructuring Matched Pair Amount or, as applicable,

Settlement Matched Pair Delivery Amount to each Matched Pair such that:

(i) the sum of all Restructuring Matched Pair Amounts or, as applicable,

Settlement Matched Pair Delivery Amounts, of each CDS Buyer is equal to

the aggregate Floating Rate Payer Calculation Amounts in respect of all (A)

Initial Single Name Cleared Transactions, Restructuring Cleared Transactions

(created following the occurrence of a previous Restructuring Credit Event),

Spin‐off Single Name Cleared Transactions and Resulting Single Name

Cleared Transactions or (B) Cleared Transactions in respect of which the

Fallback Settlement Method applies to the CDS Type for such Cleared

Transaction, as applicable, to which such CDS Buyer is a party; and  

(ii) the sum of all Restructuring Matched Pair Amounts or, as applicable,

Settlement Matched Pair Delivery Amounts, of each CDS Seller is equal to

the aggregate Floating Rate Payer Calculation Amounts in respect of (A)

Initial Single Name Cleared Transactions, Restructuring Cleared Transactions

(created following the occurrence of a previous Restructuring Credit Event),

Spin‐off Single Name Cleared Transactions and Resulting Single Name

Cleared Transactions or (B) Cleared Transactions in respect of which the

Fallback Settlement Method applies to the CDS Type for such Cleared

Transaction, as applicable, to which such CDS Seller is a party.
LCH SA ©[●] 2022 49 Published on [●]12 December 2022

Notwithstanding the above, if the Fallback Settlement Method appliesin relation to a Cleared

Transaction and a Restructuring Credit Event, the Restructuring Matched Pairs previously

created pursuant to Section 5.15.1 (Creation of Restructuring Matched Pairs) and this Section

8.18.1 shall be deemed to be Settlement Matched Pairs created in accordance with Section

6.26.2 (Creation and Notification of Settlement Matched Pairs) and LCH SA shall have no

obligation to create Settlement Matched Pairs in respect of such Cleared Transaction.

8.2 Registration of new Cleared Transactions and Removal of original Cleared Transactions

To the extent that any Cleared Transaction created pursuant to Section 5.25.2 (Creation of

Restructuring Cleared Transactions) or Section 6.36.3 (Physically Settled Cleared

Transactions) is not automatically registered in accordance with the DTCC Rules, LCH SA shall

register such new Cleared Transaction in the TIW in accordance with the DTCC Rules prior to

6.00 p.m. on the date on which the RMP Notification Deadline or SMP Notification Deadline

(as applicable) falls.  In respect of CCMs and CCM Clients only, such registration by LCH shall

also result in the automatic registration of any amendments made to the corresponding CCM

Client Transactions.   

In addition, LCH SA will, on behalf of the relevant Clearing Member, send an “Exit” message

to the TIW in accordance with the DTCC Rules to terminate and remove the corresponding

original Cleared Transaction(s) from the TIW prior to 6.00 p.m. on the date on which the RMP

Notification Deadline or SMP Notification Deadline (as applicable) falls.

8.3 Matched Buyer Contracts

In respect of each Matched Buyer Contract which is the subject of a Matched Pair, LCH SA,

pursuant to Section 9.2(c)(iv) of the 2003 ISDA Credit Derivatives Definitions (amended as set

out at Section 2.42.4 (Amendments to 2003 ISDA Credit Derivatives Definitions)), as

designator, shall be deemed to have designated Matched Seller in such Matched Pair as its

designee:

(a) to receive on its behalf from, and to deliver on its behalf to, Matched Buyer of the

Matched Pair any applicable notices or certifications in accordance with the terms of

the applicable Cleared Transaction (other than notices required to be delivered via a

DTCC Notice Facility);

(b) other than in respect of the Physical Settlement Amount relating to the settlement of

Non‐DVP Obligations as referred to in Section 6.66.6 (Delivery of Non‐DVP

Obligations), to pay on behalf of LCH SA any applicable Physical Settlement Amount

in accordance with the terms of the applicable Physically Settled Cleared Transaction,

and to pay to, and to receive from, Matched Buyer of the Matched Pair, in each case,

on behalf of LCH SA, any other amounts due and payable (including costs and

expenses of settlement due under the applicable Matched Buyer Contract); and

(c) to take Delivery, on behalf of LCH SA, of Deliverable Obligations from Matched Buyer

of the Settlement Matched Pair.
LCH SA ©[●] 2022 50 Published on [●]12 December 2022

The relevant Matched Seller shall be deemed to have accepted such designation upon

notification of the relevant Matched Pair created and notified in accordance with the

provisions of this CDS Clearing Supplement.

8.4 Matched Seller Contracts

In respect of each Matched Seller Contract which is the subject of a Matched Pair, LCH SA,

pursuant to Section 9.2(c)(iv) of the 2003 ISDA Credit Derivatives Definitions (as amended

pursuant to Section 2.42.4 (Amendments to 2003 ISDA Credit Derivatives Definitions) above),

as designator, shall be deemed to have designated Matched Buyer in such Matched Pair as

its designee:

(a) to receive on its behalf from, and to deliver on its behalf to, Matched Seller of the

Matched Pair any applicable notices or certifications in accordance with the terms of

the applicable Cleared Transaction (other than notices required to be delivered via a

DTCC Notice Facility);

(b) other than in respect of any Physical Settlement Amount relating to the settlement

of Non‐DVP Obligations as referred to in Section 6.66.6 (Delivery of Non‐DVP

Obligations), to receive on behalf of LCH SA the applicable Physical Settlement

Amount in accordance with the terms of any applicable Physically Settled Cleared

Transaction, and to pay to, and to receive from, Matched Seller of the Matched Pair,

in each case, on behalf of LCH SA, any other amounts due and payable (including costs

and expenses of settlement due under the Matched Seller Contract); and

(c) to Deliver, on behalf of LCH SA, the relevant Deliverable Obligationsto Matched Seller

of the Settlement Matched Pair.

The relevant Matched Buyer shall be deemed to have accepted such designation upon

notification of the relevant Matched Pair created and notified in accordance with the

provisions of this CDS Clearing Supplement.

8.5 Exercise of Rights

In relation to each Matched Pair:

(a) the exercise of any rights by Matched Buyer against LCH SA under a Matched Buyer

Contract (other than the right to give any notice via DTCC Notice Facility) shall be

deemed to constitute the exercise of equal and simultaneousrights by LCH SA against

Matched Seller under the Matched Seller Contract of the relevant Matched Pair; and

(b) the exercise of any rights by Matched Seller against LCH SA under a Matched Seller

Contract (other than a right to give notice under a DTCC Notice Facility) shall be

deemed to constitute the exercise of equal and simultaneousrights by LCH SA against

Matched Buyer under the Matched Buyer Contract of the relevant Matched Pair.
LCH SA ©[●] 2022 51 Published on [●]12 December 2022

8.6 Clearing Member matched with Itself

(a) Notices

In the event that:  

(i) Matched Buyer and Matched Seller of a Matched Pair pursuant to this Section

8 (Matched Pair Designations and Notices) is the same Clearing Member; and

(ii) notwithstanding Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to be

given via DTCC), a notice or certification is permitted to be delivered in respect

of one of the Cleared Transactionsforming part ofsuch Matched Pair by means

other than the relevant DTCC Notice Facility pursuant to Section 7 (Delivery of

Notices and Fallbacks),

such notice shall be deemed to be given upon such Clearing Member sending a

Clearing Member Acknowledgement to LCH SA pursuant to Section 7.77.7(a)(a) (Duty

to deliver Clearing Member Acknowledgements) above in respect of such notice and

Section 7.77.7(b)(b) (Clearing Member Acknowledgement received from both Clearing

Members) shall apply.

(b) Payments and Deliveries

In the event that:  

(iii) Matched Buyer and Matched Seller of a Matched Pair pursuant to this Section

8 (Matched Pair Designations and Notices) is the same Clearing Member; and

(iv) such Clearing Member is required to make a payment or delivery pursuant to

the terms of one of the Cleared Transactionsforming part ofsuch Matched Pair

as designate of LCH SA,

such payment or delivery shall be deemed to have been made upon such Clearing

Member giving notice to LCH SA in accordance with Section 7.17.1 (General Rules

relating to Notices) that such payment or delivery should be deemed to have been

made for the purposes of such Cleared Transaction.

8.7 Notices

In relation to each Matched Pair:

(a) where Matched Buyer validly delivers or serves any notice to Matched Seller as

designee of LCH SA in accordance with the terms of a relevant Matched Buyer

Contract,such notice shall additionally be effective as a notice given by such Matched

Buyer as designee of LCH SA to Matched Seller for the purposes of the relevant

Matched Seller Contract; and

(b) where Matched Seller validly delivers or serves any notice to Matched Buyer as

designee of LCH SA in accordance with the terms of a relevant Matched Seller
LCH SA ©[●] 2022 52 Published on [●]12 December 2022

Contract,such notice shall additionally be effective as a notice given by such Matched

Seller as designee of LCH SA to Matched Buyer for the purposes of the relevant

Matched Buyer Contract.

9. SELF-REFERENCING TRANSACTIONS 

9.1 Occurrence of Clearing Member Self Referencing Transaction   

(a) Duty to notify

In respect of a Single Name Cleared Transaction that is registered in the House

Account Structure of a Clearing Member, the relevant Clearing Member shall, unless

prohibited from so doing by applicable law or its internal policies, notify LCH SA as

soon as reasonably practicable if:

(i) such Clearing Member is or consolidates or amalgamates with, or merges into,

or transfers all or substantially all of its assets to, the Reference Entity in

relation to such Single Name Cleared Transaction, or entersinto any agreement

in respect of any of the foregoing;

(ii) such Clearing Member and the Reference Entity in relation to such Single Name

Cleared Transaction are or become Affiliates; or

(iii) in respect of a Restructuring Cleared Transaction, such Clearing Member is or

becomes the Reference Entity in relation to such Restructuring Cleared

Transaction as a result of the occurrence of the relevant Restructuring Credit

Event.

(b) Auction of Affected Transactions

Following receipt of any such notification or occurrence of a Clearing Member Self

Referencing Transaction due to a registration of Transfer Positions under Clause 6 of

the CDS Default Management Process or a transfer of Client  Cleared Transactions to

the House Trade Account under TITLE V, Chapter 4 or TITLE VI, Chapter 4 of the CDS

Clearing Rule Book, LCH SA will, unless otherwise agreed in consultation with the CDS

Default Management Group and the affected Clearing Member, and with the

assistance of the CDS Default Management Group, conduct an auction process to

liquidate the relevant Single Name Cleared Transaction and enter into an equivalent

Single Name Cleared Transaction with a Clearing Member other than the affected

Clearing Member.   

(c) Alternative Action

If LCH SA, after consultation with the CDS Default Management Group and the

affected Clearing Member, believes that the circumstances are such that an auction

may be inappropriate, LCH SA may take such other action in consultation with the Risk

Committee as it considers reasonably necessary to achieve its primary aim in these

circumstances of addressing the risks resulting from a Clearing Member being party
LCH SA ©[●] 2022 53 Published on [●]12 December 2022

to a Clearing Member Self Referencing Transaction, while endeavouring, as far as is

reasonably practicable in the circumstances without prejudicing the achievement of

the primary aim, to avoid materially and adversely affecting the relevant Clearing

Member.

(d) Compression of Affected Transactions prior to Auction

Prior to determining the Single Name Cleared Transactions to be subject to any

auction pursuant to paragraph (b)(b) above, where the affected Clearing Member acts

as CDS Buyer and CDS Seller in respect of fungible Single Name Cleared Transactions,

LCH SA shall, in consultation with the CDS Default Management Committee as to the

transaction sizes of resulting Single Name Cleared Transactions to be auctioned,

compresssuch Single Name Cleared Transactions up to the extent that, following such

compression, Single Name Cleared Transactions representing in aggregate the Open

Position of the affected Clearing Member in respect of such fungible Single Name

Cleared Transactions are recognised.  

For these purposes, LCH SA will provide the affected Clearing Member with a report

detailing the Single Name Cleared Transactions to be subject to such compression.  

The affected Clearing Member will be deemed to have submitted a request to LCH SA

prior to 5.00 p.m. on the day on which LCH SA carries out the compression for ad hoc

compression of such Single Name Cleared Transactions in accordance with Section 5

of the Procedures and such compression shall be carried out in accordance with

Section 5 of the Procedures on the basis of such deemed request for ad hoc

compression.

(e) Auction Terms

LCH SA shall determine the timing and other particular characteristics of each such

auction in consultation with the CDS Default Management Committee, including

determining the size of the bid/offer spread and/or of the Single Name Cleared

Transactions to be auctioned, whether one or more such auctions are to be held and

the timing and structure of such auctions (including the frequency at which firm bid

and firm offer quotations will be requested and the transaction size (that is, the

Floating Rate Payer Calculation Amount)).  

Clearing Members (excluding the affected Clearing Member) may be requested, and

will not be required, to submit actionable quotations in such an auction.

(f) Creation of New Transactions and Termination of Existing Transactions

LCH SA will enterinto Single Name Cleared Transactions with Clearing Members, other

than the affected Clearing Member, in the amount and at the prices determined

pursuant to such auction.  

At the time of entering into such Single Name Cleared Transactions, the corresponding

Single Name Cleared Transactions of the affected Clearing Member shall be
LCH SA ©[●] 2022 54 Published on [●]12 December 2022

terminated by reference to the prices at which LCH SA enters into such new Single

Name Cleared Transactions.  

The affected Clearing Member, LCH SA and the other Clearing Members, as applicable,

shall submit such information as is required in accordance with the DTCC Rules so as

to reflect the terms of any reduction to, termination of or entry into of any Single

Name Cleared Transaction as a result of any such auction(s).  

(g) Costs of LCH SA

The affected Clearing Member will bear the cost of the associated bid/offer spread

and any reasonable out‐of‐pocket costs and expenses of LCH SA in connection with

such auction(s) and its entering into such new Single Name Cleared Transactions.   

(h) LCH SA to determine Amounts Owed and Payable

Amounts owed by the affected Clearing Member to, or receivable by it from, LCH SA

in connection with any such auction shall be determined by LCH SA.  

In addition, any amounts payable (and the dates of settlement with respect thereto)

relating to any Single Name Cleared Transactions created, reduced or terminated

pursuant to any such auction shall be determined by LCH SA.

9.2 Occurrence of Client Self Referencing Transactions   

(a) Notification

In respect of a Single Name Cleared Transaction registered in the Client Account

Structure of a Clearing Member, the relevant Clearing Membershall, unless prohibited

from so doing by applicable law or its internal policies, notify LCH SA as soon as

reasonably practicable if it receives a notice from the relevant Client that:

(i) the Client is or has consolidated or amalgamated with, or merged into, or has

transferred all or substantially all of its assets to, the Reference Entity in

relation to such Single Name Cleared Transaction or entered into any

agreement in respect of any of the foregoing;

(ii) the Client and the Reference Entity in relation to such Single Name Cleared

Transaction are or have become Affiliates; or

(iii) in respect of a Restructuring Cleared Transaction, the Client is or has become

the Reference Entity in relation to such Restructuring Cleared Transaction as a

result of the occurrence of the relevant Restructuring Credit Event.
LCH SA ©[●] 2022 55 Published on [●]12 December 2022

(b) Auction Process

Following the giving of any such notification:  

(i) LCH SA will, unless otherwise agreed in consultation with the CDS Default

Management Group and the relevant Clearing Member, conduct an auction

process in consultation with the CDS Default Management Group and the

relevant Clearing Member, to liquidate the relevant Single Name Cleared

Transaction and enter into an equivalent Single Name Cleared Transaction with

another Clearing Member; and

(ii) the provisions of Section 9.1 (Occurrence of Clearing Member Self Referencing

Transaction) will apply mutatis mutandis, provided that:

(A) Section 9.1(a) (Duty to Notify) and 9.1(b) (Auction of Affected

Transactions) shall not apply;

(B) Section 9.1(d) (Compression of Affected Transactions prior to Auction) is

amended by deleting the words "to paragraph (b) above" and replacing

them with the words "as a result of Section 9.2 (Occurrence of Client Self

Referencing Transactions)";

(C) Section 9.1(d) (Compression of Affected Transactions prior to Auction) is

amended in the case of CCM Clients only by inserting the words "that

have a corresponding CCM Client Transaction with the affected CCM

Client" immediately after the words "in respect of fungible Single Name

Cleared Transactions";

(D) Section 9.1(e) (Auction Terms) is amended by deleting the words

“(excluding the affected Clearing Member)” in the final paragraph

thereof;

(E) Section 9.1(f) (Creation of New Transactions and Termination of Existing

Transactions) is amended by deleting the words "other than the

affected Clearing Member" in the first paragraph thereof; and

(F) Each reference to "affected Clearing Member" in Section 9.1

(Occurrence of Clearing Member Self Referencing Transaction) is deleted

and replaced with a reference to "relevant Clearing Member".

(c) Costs of LCH SA

The cost of the associated bid/offer spread and any reasonable out‐of‐pocket costs

and expenses of LCH SA in connection with such auction(s) or any alternative action

shall be allocated to the CCM Client Collateral Account or the FCM/BD Client Collateral

Account as applicable.
LCH SA ©[●] 2022 56 Published on [●]12 December 2022

10. MANDATORY PROVISIONS FOR CCM CLIENT TRANSACTIONS 

In Appendix XIII, certain provisions are set‐out (the "Mandatory Provisions") for

incorporation into a CCM Client Transaction between a CCM and its CCM Client that

corresponds to a CCM Client Cleared Transaction registered in the CCM Client Trade Account

in the name of such CCM for such CCM Client. The CDS Clearing Supplement and these

Mandatory Provisions have been drafted so as to complement each other.  

LCH SA shall not be responsible for any loss suffered or expense incurred by a CCM or any

CCM Client as a result of the inclusion or non‐inclusion of the Mandatory Provisions in the

CCM Client Transaction Documents.

11. AMENDMENTS 

LCH SA may amend the provisions of this CDS Clearing Supplement (including, without

limitation, the Mandatory Provisions) from time to time so as to comply with any legal or

regulatory developments or any recommendations adopted by the industry in respect of CDS

or Cleared Transactions or CCM Client Transactions, as applicable, or so as to reflect any

technological advancements, in each case in accordance with the provisions of Section 1.2.2

(Modification) of Chapter 2 (General Provisions) of the CDS Clearing Rule Book.          

12. FORMS OF NOTICES 

A form of Credit Event Notice, Notice to Exercise Movement Option, Notice of Physical

Settlement, NOPS Amendment Notice, notice to exercise alternative delivery procedure

pursuant to Section 6.7 (Alternative Delivery Procedure), notice to fallback to Cash

Settlement in respect of Non‐Deliverable Obligations pursuant to Section 6.12 (Fallback to

Cash Settlement in respect of Non‐Deliverable Obligations), Physical Settlement

Confirmation, No Physical Settlement Confirmation, notice of Clearing Member

Communications Failure Event and where no longer subject to a Clearing Member

Communications Failure Event, in each case pursuant to Section 7.6 (Clearing Member

Communications Failure Event), notice of dispute relating to any Matched Pair as

contemplated by Section 7 (Dispute as to Notices) and notice relating to Self‐Referencing

Transactions as contemplated by Section 9 (Self‐Referencing Transactions) is set out in

Appendix I, II, III, IV, V, VI, VII, VIII, IX, X, XI and XII respectively hereto.  

Any of the above referenced notices shall be delivered in substantially the form appended

hereto, provided, for the avoidance of doubt, that such notices may refer to multiple

transactions and may have certain firm‐specific variations.

For the avoidance of doubt, the above referenced noticesshall be governed by and construed

in accordance with English law.
LCH SA ©[●] 2022 57 Published on [●]12 December 2022

13. EXCLUSION OF LIABILITY 

Without prejudice to the provisions of Article 1.2.10.3 of the CDS Clearing Rule Book:

(a) No liability for Failure of Designee to perform in respect of Matched Pair

Without prejudice to its obligations under or in respect of a Cleared Transaction, LCH

SA shall not be liable for any loss or cost arising out of any failure of any Clearing

Member comprised in a Matched Pair to perform its obligations as designee of LCH SA

against a related Matched Buyer or Matched Seller, as applicable.  

(b) No liability for Fault of Third Party or Force Majeure

LCH SA shall have no liability to any person where Restructuring Cleared Transactions

are not or are improperly created, Restructuring Cleared Transactions are not or are

improperly terminated or the Movement Option process is not or is improperly

implemented, in each case for the purposes of the DTCC Rules, because of a third

party’s fault or a force majeure event. In particular, LCH SA shall not incur any liability

arising as a result of any action or omission of DTCC.  

(c) No Obligation to verify Notices received

LCH SA shall have no responsibility to verify the contents of any notice received by it

from any Clearing Member under the terms of any Cleared Transaction.   

14. DISPUTE RESOLUTION 

For the avoidance of doubt, all Disputesshall be referred to and finally resolved by arbitration

or by litigation, as applicable, in accordance with the CDS Dispute Resolution Protocol,subject

to the provisions of Sections 8 and 9 of the Procedures.

15. GOVERNING LAW 

For the avoidance of doubt, the governing law applicable to this CDS Clearing Supplement

(excluding the Mandatory Provisions to the extent that such terms are incorporated by

reference in the CCM Client Transaction Documents entered into between a CCM and its CCM

Client in respect of a CCM Client Transaction), the 2003 ISDA Credit Derivatives Definitions

and any Cleared Transactions (and any related definitions or Clearing Notices issued in

respect of the CDS Clearing Supplement, the 2003 ISDA Credit Derivatives Definitions or any

Cleared Transactions) and any non‐contractual obligations arising out of, relating to or having

any connection with them shall be as set out in Section 1.2.14 (Governing Law) of the CDS

Clearing Rule Book.
 

APPENDIX I: FORM OF CREDIT EVENT NOTICE

To: [Restructuring Matched Pair Counterparty Address and Contact Information]

[To/Copy to:]

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

CREDIT EVENT NOTICE:  

Credit Derivative Transaction Details:  As set out in the Schedule hereto1

.

Reference is made to the Credit Derivative Transaction[s] described in the Schedule hereto (the

Transaction[s]).    Capitalised terms used and not otherwise defined in this letter shall have the

meanings given them in the confirmation of the relevant Transaction.  

This letter is our Credit Event Notice to you that a [insert type] Credit Event occurred with respect to

[insert name of Reference Entity] on or about [insert date], when [describe Credit Event].

Nothing in this letter shall be construed of a waiver of any rights we may have with respect to the

Transaction.

Sincerely  

[Clearing Member]

________________________

Name:

Title:

1 A single Credit Event Notice may be submitted for multiple trades in respect of the same Counterparty 
 

SCHEDULE

Credit Derivative Transaction Details

[Clearing

Member] acting

as Seller/Buyer

Restructuring

Matched Pair ID

Trade ID Reference

Entity

Trade Date Effective

Date

Exercise

Amount2

[Seller]

[Buyer]

[] [] [] [] [] []

2 Where different to the outstanding Floating Rate Payer Calculation Amount 
 

APPENDIX II: FORM OF NOTICE TO EXERCISE MOVEMENT OPTION

To: [Restructuring Matched Pair Counterparty Address and Contact Information]

[To/Copy to:]

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Dear Sir/Madam  

Notice to Exercise Movement Option

Credit Derivative Transaction Details:  As set out in the Schedule hereto3

.

Reference is made to: (a) the Credit Derivative Transaction[s] described in the Schedule hereto (the

Transaction[s]) between [       ], as Seller, and [          ], as Buyer; (b) the Credit Event Notice dated insert

date], previously delivered to you on [insert date]; and (c) the occurrence of the No Auction

Announcement Date on [insert date] pursuant to Section 12.12(b) of the 2003 ISDA Credit Derivatives

Definitions, as supplemented by the 2009 ISDA Credit Derivatives Determinations Committees,

Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives Definitions

(published on July 14, 2009) (the Definitions).

This letter constitutes a Notice to Exercise Movement Option.  Any capitalised term not otherwise

defined in this letter will have the meaning, if any, assigned to such term in the confirmation of the

relevant Transaction or, if no meaning is specified therein, in the Definitions.

We hereby exercise the Movement Option, confirm that each Transaction will be settled in accordance

with the relevant Credit Derivatives Auction Settlement Terms specified in the column entitled

"Auction Settlement Terms" corresponding to such Transaction in the Schedule hereto and require

performance by you in accordance therewith.

Yours faithfully,

[Matched Buyer/Matched Seller]

________________________

Name:

Title:

3 A single Notice to Exercise Movement Option may be submitted for multiple trades in respect of the same 

Counterparty 
 

SCHEDULE

Credit Derivative Transaction Details

Restructuring

Matched Pair ID

Trade ID Reference

Entity

Trade Date Effective Date Auction

Settlement

Terms

[] [] [] [] [] []
 

APPENDIX III: FORM OF NOTICE OF PHYSICAL SETTLEMENT

To: Settlement Matched Pair Matched Seller Address and Contact Information

Copy to:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Notice of Physical Settlement

Credit Derivative Transaction Details: As set out in the Schedule hereto4

.

Reference is made to: (a) the Credit Derivative Transaction[s] described in the Schedule hereto (the

Transaction[s]) between [       ], as Seller, and [          ], as Buyer.  Reference is also made to the Credit

Event Notice [and Notice of Publicly Available Information] dated [insert date], previously delivered to

you on [insert date].

This letter constitutes a Notice of Physical Settlement.  Any capitalised term not otherwise defined in

this letter will have the meaning, if any, assigned to such term in the confirmation of the relevant

Transaction (the Relevant Confirmation) or, if no meaning is specified therein, in the 2003 ISDA Credit

Derivatives Definitions, as supplemented by the 2009 ISDA Credit Derivatives Determinations

Committees, Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives

Definitions (published on July 14, 2009) (the Definitions).

We hereby confirm that we will settle the Transaction[s] and require performance by you in

accordance with the provisions of the Relevant Confirmation and the Definitions relating to Physical

Settlement.  Subject to the terms of the relevant Transaction, we will Deliver to you on or before the

Physical Settlement Date, an amount of the Deliverable Obligation(s) described in the column entitled

"Deliverable Obligation(s)" in the Schedule hereto, corresponding to such Transaction:

[Further, in respect of each Transaction[s] we identify those Enabling Obligation(s) described in the

column entitled "Enabling Obligation(s)" in the Schedule hereto, corresponding to such Transaction:]

Yours faithfully,

[Matched Buyer]

________________________

Name:

Title:

4 A single Notice of Physical Settlement may be submitted for multiple trades in respect of the same Counterparty 
SCHEDULE

Credit Derivative Transaction Details

Settlement Matched

Pair ID

Trade ID Reference Entity Trade Date Effective Date De

Ob

[] [] [] [] [] [Cu

Pa

5 describe the Deliverable Obligation(s) to be Delivered, including the currency and Outstanding Principal Balanceor Due and P

Obligation and, if available and applicable, the CUSIP or ISIN number (or, if such identifying number is not available, the rate and te

6 describe each such Enabling Obligation, including the CUSIP or ISIN number, if available and applicable (or, if such identifying nu

such Enabling Obligation, or any other information necessary to establish that such obligation is an Enabling Obligation. 
 

APPENDIX IV: FORM OF NOPS AMENDMENT NOTICE

To: Settlement Matched Pair Matched Seller Address and Contact Information

Copy to:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Settlement Matched Pair ID: []

Trade ID: []

NOPS Amendment Notice

Credit Derivative Transaction Details: [Trade Date], [Effective Date], [Reference Entity]

Reference is made to the Credit Derivative Transaction described above (the Transaction) between [                    

], as Seller, and [                    ], as Buyer.  Reference is also made to the Notice of Physical Settlement]

NOPS Amendment Notice] dated [insert date], previously delivered to you on [insert date] dated

[insert date].

This letter constitutes a NOPS Amendment Notice.  Any capitalised term not otherwise defined in this

letter will have the meaning, if any, assigned to such term in the Confirmation of the Transaction or,

if no meaning is specified therein, in the CDS Clearing Supplement.

We hereby notify you that we are replacing the following Deliverable Obligation(s) specified in the

Notice of Physical Settlement] NOPS Amendment Notice] specified above with the following

Replacement Deliverable Obligation(s):

[describe the Deliverable Obligation(s) to be replaced, including the Replaced Deliverable Obligation

Outstanding Amount for each such Deliverable Obligation and, if available and applicable, the CUSIP

or ISIN number (or, if such identifying number is not available, the rate and tenor of the Deliverable

Obligation) and the Replacement Deliverable Obligation(s) for each Replaced Deliverable Obligation

Outstanding Amount so specified and, if available and applicable, the CUSIP or ISIN number (or, if such

identifying number is not available, the rate and tenor of the Replacement Deliverable Obligation)].

Yours faithfully,

[Matched Buyer]

________________________

Name:

Title:
 

APPENDIX V: FORM OF NOTICE TO EXERCISE ALTERNATIVE DELIVERY PROCEDURE PURSUANT TO

SECTION 6.76.7 (ALTERNATIVE DELIVERY PROCEDURE)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice to Exercise Alternative Delivery Procedure7

Reference is made to: the Settlement Matched Pairs described in the Schedule hereto, being the

Settlement Matched Pairs to which this notice relates and Section 6.76.7 (Alternative Delivery

Procedure) of the CDS Clearing Supplement.  Defined terms shall have the meanings assigned to them

in the CDS Clearing Supplement, unless otherwise defined herein.

The Settlement Matched Pair Delivery Amount relating to each Settlement Matched Pair is that

amount specified in the column entitled "Settlement Matched Pair Delivery Amount" in the Schedule

hereto, corresponding to such Settlement Matched Pair.

In respect of each Settlement Matched Pair and in accordance with Section 6.7 (Alternative Delivery

Procedure) we hereby elect to exercise our rights against and perform obligationsto you in accordance

with the alternative delivery procedure in relation to such percentage and amount of the Settlement

Matched Pair Delivery Amount as set out in the column entitled "Percentage and Amount of

Settlement Matched Pair Delivery Amount" in the Schedule hereto corresponding to such Settlement

Matched Pair.

This notice may be executed in any number of counterparts which togethershall constitute one notice.   

By countersigning this notice, you are deemed to have given your consent to the above in satisfaction

of the requirement to obtain your consent contained in Section 6.76.7 (Alternative Delivery Procedure)

of the CDS Clearing Supplement.

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer/ Matched Seller]

7 A single Notice to Exercise Alternative Delivery Procedure may be submitted for multiple trades in respect of the 

same Counterparty 
 

________________________

Name:

Title:

Countersigned by LCH SA

________________________

Name:

Title:
SCHEDULE

Credit Derivative Transaction Details

Settlement Matched

Pair ID

Trade ID Reference Entity Trade Date Effective Date Sett

Pair Amo

[] [] [] [] [] [] 
 

APPENDIX VI: FORM OF NOTICE OF FALLBACK TO CASH SETTLEMENT OF NON‐DELIVERABLE

OBLIGATIONS PURSUANT TO SECTION 6.126.12 (FALLBACK TO CASH SETTLEMENT IN RESPECT OF

NON‐DELIVERABLE OBLIGATIONS)

To: Settlement Matched Pair Matched Seller Address and Contact Information

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Settlement Matched Pair ID: []

Trade ID: []

Dear Sir/Madam  

Notice of fallback to Cash Settlement in respect of Non‐Deliverable Obligations pursuant to Section

6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable Obligations) of the CDS Clearing

Supplement

Reference is made to Section 6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations) of the CDS Clearing Supplement and [insert details of the relevant Settlement Matched

Pair(s)], being the Settlement Matched Pair[s] to which this notice relates and to the [Notice of

Physical Settlement][NOPS Amendment Notice] previously delivered to you on [insert date] dated

[insert date]. Defined termsshall have the meanings assigned to them in the CDS Clearing Supplement,

unless otherwise defined herein.

In accordance with Section 6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations) of the CDS Clearing Supplement we hereby notify you we are not permitted to Deliver

the Deliverable Obligations specified below (such Deliverable Obligations, the Non‐Deliverable

Obligations) as specified in the [Notice of Physical Settlement][NOPS Amendment Notice] specified

above for the following reasons:

[Insert details of the relevant Non‐Deliverable Obligations and reasonable detail of the relevant

circumstances, as described paragraphs (a)(i) and (a)(ii) of Section 6.126.12 of the CDS Clearing

Supplement].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,
 

[Matched Buyer]

________________________

Name:

Title:
 

APPENDIX VII: FORM OF PHYSICAL SETTLEMENT CONFIRMATION AS CONTEMPLATED BY SECTION

6.196.19 (MISCELLANEOUS PROVISIONS RELATING TO PHYSICAL SETTLEMENT)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Physical Settlement Confirmation

Reference is made to Section 6.196.19(b)(b) (Notification of Completion of Physical Settlement) of the

CDS Clearing Supplement and the Settlement Matched Pair[s] described in the Schedule hereto, being

the Settlement Matched Pair[s] to which this notice relates.  Defined terms shall have the meanings

assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 6.196.19(b)(b) (Notification of Completion of Physical Settlement) of the

CDS Clearing Supplement, we hereby notify you that we have completed Physical Settlement with

respect to such Settlement Matched Pair[s].

This notice is delivered in satisfaction of the requirement in Section 6.196.19(b)(b) (Notification of

Completion of Physical Settlement) of the CDS Clearing Supplement to inform you of such completion.

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer]/[Matched Seller]

________________________

Name:

Title:
 

SCHEDULE

Settlement Matched Pair Details

Settlement Matched

Pair ID

Trade ID Reference Entity Trade Date Effective Date

[] [] [] [] []
 

APPENDIX VIII: FORM OF NO PHYSICAL SETTLEMENT CONFIRMATION AS CONTEMPLATED BY

SECTION 6.196.19 (MISCELLANEOUS PROVISIONS RELATING TO PHYSICAL SETTLEMENT)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Settlement Matched Pair ID: []

Trade ID: []

Dear Sir/Madam  

No Physical Settlement Confirmation

Reference is made to Section 6.196.19(c)(c) (Notification that Physical Settlement will not occur) of

the CDS Clearing Supplement and the Settlement Matched Pair[s] described in the Schedule hereto,

being the Settlement Matched Pair[s] to which this notice relates.   Defined terms shall have the

meanings assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 6.196.19(c)(c) (Notification that Physical Settlement will not occur) of the

CDS Clearing Supplement, we hereby notify you that no Notice of Physical Settlement has been

delivered within the relevant time period permitted for such delivery in accordance with the terms of

the relevant Physically Settled Cleared Transactions and, accordingly, that Physical Settlement will not,

under the terms of such Physically Settled Cleared Transactions, occur.

This notice is delivered in satisfaction of the requirement in Section 6.196.19(c)(c) (Notification that

Physical Settlement will not occur) of the CDS Clearing Supplement to inform you of such completion.

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer]/[Matched Seller]

________________________

Name:

Title:
SCHEDULE

Settlement Matched Pair Details

Settlement Matched

Pair ID

Trade ID Reference Entity Trade Date Effective Date

[] [] [] [] []
APPENDIX IX: FORM OF NOTICE OF CLEARING MEMBER COMMUNICATIONS FAILURE EVENT

PURSUANT TO SECTION 7.67.6 (CLEARING MEMBER COMMUNICATIONS FAILURE EVENT)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice certifying occurrence of a Clearing Member Communications Failure Event

Reference is made to Section 7.67.6(b)(b) (Clearing Member to notify LCH SA of Occurrence of Clearing

Member Communications Failure Event) of the CDS Clearing Supplement.  Defined terms shall have

the meanings assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 7.67.6(b)(b) (Clearing Member to notify LCH SA of Occurrence of Clearing

Member Communications Failure Event) of the CDS Clearing Supplement, notice is hereby given that

we are affected by a Clearing Member Communications Failure Event [insert details of such failure].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Clearing Member]

________________________

Name:

Title:

[Signed by a senior officer (such as a managing director or equivalent) on behalf of the Clearing

Member]
APPENDIX X: FORM OF NOTICE FOR CEASING TO BE SUBJECT TO A CLEARING MEMBER

COMMUNICATIONS FAILURE EVENT PURSUANT TO SECTION 7.67.6 (CLEARING MEMBER

COMMUNICATIONS FAILURE EVENT)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice that a Clearing Member is no longer subject to Clearing Member Communications Failure

Event  

Reference is made to Section 7.67.6(d)(d) (Notification of Resolution of Clearing Member

Communications Failure Event) of the CDS Clearing Supplement and the notice certifying the

occurrence of a Clearing Member Communications Failure Event delivered by us to LCH SA on [] (the

Notice of Clearing Member Communications Failure Event).  Defined terms shall have the meanings

assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 7.67.6(d)(d) (Notification of Resolution of Clearing Member

Communications Failure Event) of the CDS Clearing Supplement, notice is hereby given that we are no

longersubject to the relevant Clearing Member Communications Failure Event described in the Notice

of Clearing Member Communications Failure Event.

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Clearing Member]

________________________

Name:

Title:
APPENDIX XI: FORM OF NOTICE OF DISPUTE RELATING TO ANY MATCHED PAIR

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

[Restructuring][Settlement] Matched Pair ID: []

Trade ID: []

Dear Sir/Madam  

Notice of dispute relating to [insert details of the relevant Matched Pairs subject to a dispute]

Reference is made to Section 7.117.11 (Disputes as to Notices) of the CDS Clearing Supplement.  

Defined terms shall have the meanings assigned to them in the CDS Clearing Supplement, unless

otherwise defined herein.

In accordance with Section 7.117.11 (Disputes as to Notices) of the CDS Clearing Supplement, notice

is hereby given of the following dispute(s):

[insert details of Matched Pair(s) affected and the relevant dispute].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer]/[Matched Seller]

________________________

Name:

Title:
APPENDIX XII: FORM OF NOTICE RELATING TO SELF‐REFERENCING TRANSACTIONS

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice relating to Self‐Referencing Transactions  

Credit Derivative Transaction Details:  As set out in the Schedule hereto8

.

Reference is made to the Credit Derivative Transaction[s] described in the Schedule hereto (the

Transaction[s]) between [], as Seller and [], as Buyer and to Section 9.19.1(a)(a) (Duty to notify) of

the CDS Clearing Supplement.  Defined terms shall have the meanings assigned to them in the CDS

Clearing Supplement, unless otherwise defined herein.

In accordance with Section 9.19.1(a)(a) (Duty to notify) of the CDS Clearing Supplement, notice is

hereby given of the following: [insert details of one or more of the relevant events, as set out in

paragraphs (i), (ii) and (iii) of Section 9.19.1(a)(a) (Duty to notify) of the CDS Clearing Supplement].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Clearing Member]

________________________

Name:

Title:

8 A single Credit Event Notice may be submitted for multiple trades in respect of the same Counterparty 
SCHEDULE

Credit Derivative Transaction Details

[Restructuring]

Matched Pair ID

Trade ID Reference Entity Trade Date Effective Date

[] [] [] [] []
APPENDIX XIII: CCM CLIENT TRANSACTION REQUIREMENTS

The following provisions (the "Mandatory Provisions") are to be incorporated into a CCM Client

Transaction between a CCM and its CCM Client that corresponds to a CCM Client Cleared Transaction

registered in the CCM Client Trade Account in the name of such CCM for such CCM Client. The terms

of the corresponding CCM Client Cleared Transaction will be governed by the CDS Clearing

Supplement. The CDS Clearing Supplement and these Mandatory Provisions have been drafted so as

to complement each other.

LCH SA shall not be responsible for any loss suffered or expense incurred by a CCM or any CCM Client

as a result of the inclusion in the CCM Client Transaction Documents of the requirements set‐out in

this Appendix XIII.

The Mandatory Provisions, when they are incorporated into any CCM Client Transaction Documents,

shall be governed by and construed in accordance with the governing law applicable to such CCM

Client Transaction Documents of which they form part, or if different and applicable, in accordance

with such CCM Client Transaction Documents, the governing law applicable to transactions entered

into undersuch CCM Client Transaction Documents. The Mandatory Provisionsshall be subject to such

dispute resolution mechanisms and procedures and such courts or other forum for hearing disputes

as are applicable in respect of such CCM Client Transaction Documents of which they form part.  Each

CCM and its CCM Client to which the Mandatory Provisions apply will waive any right to object to any

such choice of law or proceedings on the basis of forum non conveniens, that the governing law or

forum is not specified on the face of this document or otherwise.

In this Appendix XIII:

"CCM Client Buyer" means a CCM Client that is party to a CCM Client Transaction as protection buyer;  

"CCM Client Seller" means a CCM Client that is party to a CCM Client Transaction as protection seller;  

"CCM Buyer/Matched Seller" means a CCM that is party to a CCM Client Transaction as protection

buyer and to the corresponding CCM Client Cleared Transaction as protection seller; and

"CCM Seller/Matched Buyer" means a CCM that is party to a CCM Client Transaction as protection

seller and to the corresponding CCM Client Cleared Transaction as protection buyer.

1. Defined Terms

Terms used in the Mandatory Provisions and not otherwise defined herein or in the 2003

ISDA Credit Derivatives Definitions shall have the meanings given to them in the CDS Clearing

Supplement.

2. Terms of CCM Client Transactions

2.1 2003 ISDA Credit Derivatives Definitions

The definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions

published by the International Swaps and Derivatives Association as supplemented by the

2009 ISDA Credit Derivatives Determinations Committees, Auction Settlement and
Restructuring Supplement to the 2003 ISDA Credit Derivatives Definitions (the "2003 ISDA

Credit Derivatives Definitions"), are incorporated into each CCM Client Transaction.

2.2 Single Name CCM Client Transactions ‐ Reference Obligation

With effect from the date on which the CCM Client Cleared Transaction corresponding to a

Single Name CCM Client Transaction is registered in the TIW, such Single Name CCM Client

Transaction shall be deemed to reference the CDSClear Preferred Reference Obligation in

respect of the relevant Reference Entity.

2.3 Single Name CCM Client Transactions ‐ Updating Physical Settlement Matrix

With effect from the date on which the CCM Client Cleared Transaction corresponding to a

Single Name CCM Client Transaction is registered in the TIW, such Single Name CCM Client

Transaction shall be deemed to reference the Relevant Physical Settlement Matrix.

With effect from the close of business on any Matrix Re‐versioning Date, any Single Name

CCM Client Transaction referencing the Existing Matrix will be deemed to have been

amended so as to reference the Revised Matrix.  

2.4 Index CCM Client Transactions ‐ Updating Eligible Index Versions

Upon the occurrence of a DTCC Re‐versioning Date, any Index CCM Client Transaction shall

be automatically amended so as to reference the portfolio of Reference Entities specified in

the revised version of the index published by the Index Publisher and referenced in the TIW

with effect from such DTCC Re‐versioning Date.

2.5 Initial Payment Date

Notwithstanding anything to the contrary in the 2003 ISDA Credit Derivatives Definitions, if

the Initial Payment Date specified in the CCM Client Transaction Documents in respect of any

CCM Client Transaction is a date falling after the Clearing Day on which the Cleared

Transactionsrelated to such CCM Client Transaction are created by novation pursuant to Title

III (Clearing Operations) of the CDS Clearing Rule Book, the Initial Payment Date in respect of

such CCM Client Transaction shall be deemed to be the Transaction Business Day immediately

following the Clearing Day on which the Cleared Transactions relating to such CCM Client

Transaction are created.

2.6 2014 ISDA Credit Derivatives Definitions Protocol

The Protocol Effectiveness Condition (as defined in the 2014 ISDA Credit Derivatives

Definitions Protocol published by ISDA on 21 August 2014 and supplemented by the

Supplement thereto published by ISDA on 15 September 2014 and as further supplemented

from time to time (the "2014 Protocol")) being satisfied, then from and including the

Implementation Date (as defined in the 2014 Protocol) the amendments set forth in Part 1

(Global Amendments) of Schedule 1 (Amendments to Protocol Covered Transactions) of the

2014 Protocol shall apply to each Index CCM Client Transaction and each Single Name CCM

Client Transaction which incorporates the 2003 ISDA Credit Derivatives Definitions and each
such CCM Client Transaction shall be a Protocol Covered Transaction for the purposes of the

2014 Protocol provided that:

(i) the date on which the CCM Client Cleared Transaction corresponding to such CCM

Client Transaction is registered in the TIW is prior to the Implementation Date;

(ii) such CCM Client Transaction is not an Excluded Transaction (as defined in the 2014

Protocol) provided that if such CCM Client Transaction relates to more than one

Reference Entity and would otherwise be a Protocol Covered Transaction but for the

inclusion of any Affected Portion (as defined in the 2014 Protocol) therein, such

Affected Portion shall be exclude for the purposes of this Mandatory Provision 2.6(a)

and the remaining portion of such CCM Client Transaction shall be deemed to be a

Protocol Covered Transaction;

(iii) the Scheduled Termination Date in respect of such CCM Client Transaction is on or

after the Implementation Date;

(iv) no Event Determination Date has occurred in respect ofsuch CCM Client Transaction

prior to the Implementation Date;

(v) from and including the Implementation Date the provisions of Appendix XIII of Part

B of the CDS Clearing Supplement shall apply to such CCM Client Transaction or the

portion of such CCM Client Transaction other than the Affected Portion, as

applicable and the CCM Client Cleared Transaction corresponding thereto and such

CCM Client Transaction shall be treated as if it had been entered into and is subject

to the 2014 ISDA Credit Derivatives Definitions.  In the event of any inconsistency

between the provisions of Part B of the CDS Clearing Supplement and the

amendments set forth in this paragraph 2.6, the provisions of Appendix XIII of Part

B of the CDS Clearing Supplement shall prevail.

3. Additional CCM Client Transactions, Compression and Succession Events

3.1 Creation of Additional CCM Client Transactions

Immediately following:  

(a) the creation of Matched Pairs by LCH SA pursuant to Section 8.1 (Creation of Matched

Pairs) of the CDS Clearing Supplement; or

(b) the creation of Resulting Single Name Cleared Transactions pursuant to Section 4.44.4

(Re‐couponing of Restructuring Cleared Transactions) of the CDS Clearing

Supplement,  

if a CCM Client Transaction has been specified to have been split into or replaced by two or

more separate CCM Client Transactionsin the TIW as a result of the creation ofsuch Matched

Pairs or Resulting Single Name Cleared Transactions, such CCM Client Transaction shall be

split into or terminated and replaced by two or more (as applicable) corresponding CCM

Client Transactions. The Floating Rate Payer Calculation Amount and Fixed Rate of each such

CCM Client Transaction shall correspond to the Floating Rate Payer Calculation Amount and

Fixed Rate specified in TIW for such CCM Client Transaction.    In respect of CCM Client
Transactions created as a result of the creation of Resulting Single Name Cleared

Transactions, the Trade Date of such new CCM Client Transactions shall be the same as the

Trade Date of the equivalent Resulting Single Name Cleared Transactions. Otherwise, each

new CCM Client Transaction shall have the same terms asthe original CCM Client Transaction.

3.2 Reversal of Creation of Additional CCM Client Transactions

If a CCM Client Transaction has been split into two or more CCM Client Transactions pursuant

to Mandatory Provision 3.13.1 (Creation of Additional CCM Client Transactions) above and

the relevant DC Credit Event Announcement that led to the creation of the Matched Pairs is

reversed such that Section 5.55.5 (Reversal of DC Credit Event Announcements) of the CDS

Clearing Supplement applies, then, subject to Section 9.1(c)(iii)(B) of the 2003 ISDA Credit

Derivatives Definitions, any additional CCM Client Transactions created pursuant to

Mandatory Provision 3.13.1 (Creation of Additional CCM Client Transactions) above shall be

deemed not to have been created and any Credit Event Notices delivered in connection with

such CCM Client Transactions shall be deemed to be ineffective.   

3.3 Compression of CCM Client Transactions

If two or more CCM Client Transactions are specified in TIW to have been compressed into a

single CCM Client Transaction pursuant to Chapter 3 (Compression) of Title III (Clearing

Operations) of the CDS Clearing Rule Book,such CCM Client Transactionsshall be compressed

into a single CCM Client Transaction with a Floating Rate Payer Calculation Amount equal to

the aggregate Floating Rate Payer Calculation Amounts of the original CCM Client

Transactions.

3.4 Succession Events and Cleared Transactions

If LCH SA takes any action with respect to a CCM Client Cleared Transaction pursuant to

Section 4.54.5 (Succession Events and Cleared Transactions) of the CDS Clearing Supplement

so as to give effect to a Succession Event, such action shall also be deemed to have been

taken with respect to the corresponding CCM Client Transaction.

4. Notices

4.1 Validity of Notices

Save if and as expressly stated to the contrary in the Mandatory Provisions, any notice

delivered by a CCM Client to its CCM in respect of a CCM Client Transaction (including,

without limitation, a Credit Event Notice, Notice of Physical Settlement, Notice to Exercise

Movement Option or NOPS Amendment Notice) at a time or in a manner in which the CCM

would not be permitted to deliver such a notice to LCH SA (or to a relevant Matched Buyer

or Matched Seller as designee of LCH SA(as applicable)) in respect of the corresponding CCM

Client Cleared Transaction pursuant to the terms of the CDS Clearing Supplement shall be

deemed not to have been delivered.
4.2 Credit Event Notices and NEMOs given via DTCC

(a) Credit Event Notices and NEMOs to be given via DTCC

Credit Event Notices and Notices to Exercise Movement Option shall be delivered by

way of the relevant DTCC Notice Facility,save if and as expressly stated to the contrary

in the Mandatory Provisions or otherwise agreed between the parties to the CCM

Client Transaction.  The deemed time of delivery of any such noticesshall be asset out

in the DTCC Rules from time to time.

(b) Credit Event Notices and NEMOs delivered in respect of corresponding CCM Client

Cleared Transaction

In respect of a CCM Client Transaction, if:  

(i) CCM Seller/Matched Buyer or CCM Buyer/Matched Seller delivers a valid Credit

Event Notice or Notice to Exercise Movement Option in respect of the

corresponding CCM Client Cleared Transaction by way of the relevant DTCC

Notice Facility; or  

(ii) a Credit Event Notice or Notice to Exercise Movement Option is deemed to

have been delivered in respect of the corresponding CCM Client Cleared

Transaction pursuant to Section 7.37.3(b) (Credit Event Notices and NEMOs

delivered in respect of CCM Client Transaction) of the CDS Clearing Supplement

as a result of the receipt of a valid Credit Event Notice or Notice to Exercise

Movement Option (as applicable) by way of the relevant DTCC Notice Facility

in respect of the CCM Client Transaction between the other CCM of a Matched

Pair and its CCM Client,

and a Credit Event Notice or Notice to Exercise Movement Option (as applicable) has

not already been given in respect of such CCM Client Transaction in accordance with

Mandatory Provision 4.44.4 (Communications Failure Event) such notice (or deemed

notice) shall be deemed also to be a Credit Event Notice or Notice to Exercise

Movement Option (as applicable) for the purposes of such CCM Client Transaction.

4.3 Consequences of DTCC Failure

If a DTCC Failure Event occurs, from (and including) the DTCC Failure Event Time to (but

excluding) the DTCC Resolution Time:

(a) Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOs to be given via

DTCC) shall not apply and accordingly Credit Event Notices and Notices to Exercise

Movement Option shall be delivered directly (and not via the relevant DTCC Notice

Facility);

(b) any notice delivered via the relevant DTCC Notice Facility prior to the DTCC Failure

Event Time will be valid and will not be affected by such DTCC Failure Event; and
(c) any notice delivered or purported to be delivered via the relevant DTCC Notice Facility

at or following the DTCC Failure Event Time but prior to the DTCC Resolution Time

will not be valid and effective.

Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOsto be given via DTCC)shall

apply with effect from the DTCC Resolution Time and, accordingly, any notice thereafter

delivered or purported to be delivered directly (and not via the relevant DTCC Notice Facility)

will not be valid and effective.

4.4 Communications Failure Event

(a) Right to deliver Notices manually following Communications Failure Event

If a party is affected by a significant communications or information technology failure

resulting in it being impossible or impractical forsuch party to deliver any Credit Event

Notice in relation to a Restructuring Credit Event or any Notice to Exercise Movement

Option via a relevant DTCC Notice Facility (a "Communications Failure Event") it may,

notwithstanding Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOs

to be given via DTCC), deliver Credit Event Notices and Notices to Exercise Movement

Option directly (and not via the relevant DTCC Notice Facility).   

Such party shall deliver, together with any Credit Event Notice or Notice to Exercise

Movement Option delivered by it directly, a notice signed by a senior officer (such as

a managing director or equivalent) of such party certifying that it is affected by a

Communications Failure Event (or, if such party is unable to deliver such notice in

writing, orally by telephone).  

(b) Notices to party affected by Communications Failure Event

For the avoidance of doubt, Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices

and NEMOs to be given via DTCC) shall continue to apply in respect of notices given

by the party not affected by the Communications Failure Event to the party affected

by the Communications Failure Event.

(c) Notification of Resolution of Communications Failure Event

As soon as reasonably practicable upon a party ceasing to be subject to a

Communications Failure Event, it shall notify the other party accordingly and

thereupon Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOs to be

given via DTCC) shall apply and, accordingly, any notice thereafter delivered or

purported to be delivered directly (and not via the relevant DTCC Notice Facility) will

not be valid and effective.

(d) Duty to Mitigate

A party which is subject to a Communications Failure Event shall use reasonable

endeavours to mitigate the operational impact on the other party of any

Communications Failure Event, to cure such Communications Failure Event as soon as

possible and to ensure that the circumstances giving rise to the relevant

Communications Failure Event do not recur.
(e) Breach does not Invalidate Valid Notices

Without prejudice to any other rights or remedies of the parties, any breach by a party

of the provisions of this Mandatory Provision 4.44.4 shall not cause any Credit Event

Notice or Notice to Exercise Movement Option delivered otherwise than in

accordance with the terms of the relevant CCM Client Transaction, which would

otherwise be valid and effective, to be invalid or ineffective.

4.5 Uncertain Delivery

(a) Manual Notice permitted if Delivery of Notice in DTCC uncertain

Notwithstanding Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOs

to be given via DTCC), where such notices are permitted to be delivered by means

other than the relevant DTCC Notice Facility pursuant to this Mandatory Provision 4

(Notices), and a party is uncertain as to whether or not a Credit Event Notice or Notice

to Exercise Movement Option (as applicable) it attempted to deliver via a DTCC Notice

Facility has:  

(i) actually been delivered; or  

(ii) was delivered prior to the DTCC Failure Time,  

that party shall be entitled to deliversuch a notice directly to the other party specifying

that such notice is only to be effective to the extent that the other purported notice is

not effective.  

(b) Details to be provided of Uncertain Notice

If a party delivers a manual notice pursuant to Mandatory Provision (a)(a) (Manual

Notice permitted if Delivery of Notice in DTCC uncertain) above, such party shall be

required to provide (together with such notice) sufficient details of the notice

attempted to be given by way of the relevant DTCC Notice Facility so as to allow the

other party to identify the communication concerned.  

(c) DTCC Notice delivered successfully  

If the first Credit Event Notice or Notice to Exercise Movement Option (as applicable)

to which the manual notice delivered pursuant to Mandatory Provision (a)(a) (Manual

Notice permitted if Delivery of Notice in DTCC uncertain) above related was actually

delivered successfully, any subsequent Credit Event Notice or Notice to Exercise

Movement Option delivered shall be deemed not to have been delivered.

5. Determination of Credit Events and Succession Events

Notwithstanding any provision to the contrary:

(a) the Calculation Agent shall not make any determination in respect of any matter

which is or may be subject to resolution under Sections 3.5 (Succession Event

Resolutions) or 3.6 (Substitute Reference Obligation Resolutions) of the DC Rules; and
(b) neither party shall be entitled to deliver a Succession Event Notice or a Credit Event

Notice (other than Credit Event Notices in relation to a Restructuring Credit Event in

accordance with the terms of any Restructuring CCM Client Transaction (including the

Mandatory Provisions) and, where applicable, the DTCC Rules).

6. Timings for the Delivery of Manual Notices

The following provisions shall solely be applicable in respect of a CCM Client Transaction between a

CCM Client Buyer and its CCM Seller/Matched Buyer:

6.1 Delivery of Manual Notices by CCM Client Buyer

For the purposes of the delivery by CCM Client Buyer of any notice in respect of a CCM Client

Transaction which is permitted pursuant to the terms of such CCM Client Transaction

(including the Mandatory Provisions) to be delivered manually (rather than via the relevant

DTCC Notice Facility), Section 1.10 (Requirements Regarding Notices) of the 2003 ISDA Credit

Derivatives Definitions shall be amended so as to provide that, solely in respect of the final

day on which such manual notice could validly be delivered pursuant to the terms of such

CCM Client Transaction (including the Mandatory Provisions), any such notice shall be

required to be delivered on or prior to 2:00 p.m. (Calculation Agent City time) in order to be

effective.

A manual notice (including, without limitation, a Credit Event Notice or a Notice to Exercise

Movement Option) delivered after 2:00 p.m. (Calculation Agent City time) on the final day on

which such notice could validly be delivered pursuant to the terms of the relevant CCM Client

Transaction (including the Mandatory Provisions) shall be deemed not to have been

delivered.   

6.2 Onward Delivery of Certain Notices by CCM Seller/Matched Buyer to Matched Seller

Any Credit Event Notice, Notice to Exercise Movement Option, Notice of Physical Settlement,  

NOPS Amendment Notice, any notice given pursuant to Section 9.9 (Buy‐in of Bonds Not

Delivered) of the 2003 ISDA Credit Derivatives Definitions or any notice given pursuant to

Section 9.10 (Alternative Procedures Relating to Loans Not Delivered) of the 2003 ISDA Credit

Derivatives Definitions which is permitted to be and is delivered manually by CCM Client

Buyer to CCM Seller/Matched Buyer in respect of and pursuant to the terms of a CCM Client

Transaction (including the Mandatory Provisions) shall not be effective unless and until CCM

Seller/Matched Buyer effectively delivers the relevant equivalent notice to the relevant

Matched Seller in respect of and pursuant to the terms of the corresponding Restructuring

Cleared Transaction or Physically Settled Cleared Transaction, as applicable.

CCM Seller/Matched Buyer undertakesto deliversuch a notice to the relevant Matched Seller

within two hours of its receipt of the equivalent notice from CCM Client Buyer if such notice

is received between 9:00 a.m. (Calculation Agent City time) and 4:00 p.m. (Calculation Agent

City time) on a Calculation Agent City Business Day. Any such notice received by CCM

Seller/Matched Buyer after 4:00 p.m. (Calculation Agent City time) on a Calculation Agent

City Business Day shall be deemed to have been received at 9:00 a.m. (Calculation Agent City

time) on the following Calculation Agent City Business Day. Any such notice received by CCM

Seller/Matched Buyer before 9:00 a.m. (Calculation Agent City time) on a Calculation Agent
City Business Day shall be deemed to have been received at 9:00 a.m. (Calculation Agent City

time) on such Calculation Agent City Business Day.   Any such notice delivered on a day that

is not a Calculation Agent City Business Day shall be deemed to have been delivered at 9.00

a.m. (Calculation Agent City time) on the following Calculation Agent City Business Day.

The following provision shall solely be applicable in respect of a CCM Client Transaction between a

CCM Client Seller and its CCM Buyer/Matched Seller:  

6.3 Receipt of Certain Notices by CCM Buyer/Matched Seller deemed to be Receipt by CCM Client

Seller

Any Credit Event Notice, Notice to Exercise Movement Option, Notice of Physical Settlement,

NOPS Amendment Notice, any notice given pursuant to Section 9.9 (Buy‐in of Bonds Not

Delivered) of the 2003 ISDA Credit Derivatives Definitions or any notice given pursuant to

Section 9.10 (Alternative Procedures Relating to Loans Not Delivered) of the 2003 ISDA Credit

Derivatives Definitions which is permitted to be and is delivered manually by the relevant

Matched Buyer to CCM Buyer/Matched Seller in respect of and pursuant to the terms of a

Restructuring Cleared Transaction or Physically Settled Cleared Transaction (as applicable)

relating to a CCM Client Transaction between such CCM Buyer/Matched Seller and CCM

Client shall be deemed to constitute simultaneous delivery by CCM Buyer/Matched Seller to

CCM Client Seller of such notice in respect of such CCM Client Transaction.    

CCM Buyer/Matched Seller undertakes to deliver such a notice to CCM Client Seller within

two hours of its receipt of the equivalent notice from the relevant Matched Buyer if such

notice is received between 9:00 a.m. (Calculation Agent City time) and 4:00 p.m. (Calculation

Agent City time) on a Calculation Agent City Business Day. Any such notice received by CCM

Buyer/Matched Seller after 4:00 p.m. (Calculation Agent City time) on a Calculation Agent

City Business Day shall be deemed to have been received at 9:00 a.m. (Calculation Agent City

time) on the following Calculation Agent City Business Day. Any such notice received by CCM

Buyer/Matched Seller before 9:00 a.m. (Calculation Agent City time) on a Calculation Agent

City Business Day shall be deemed to have been received at 9:00 a.m. (Calculation Agent City

time) on such Calculation Agent City Business Day.  Any such notice delivered on a day that is

not a Calculation Agent City Business Day shall be deemed to have been delivered at 9.00

a.m. (Calculation Agent City time) on the following Calculation Agent City Business Day.

7. Physical Settlement

7.1 Fallback to Cash Settlement resulting from corresponding CCM Client Cleared Transaction

If a CCM notifies its CCM Client that the Physically Settled Cleared Transaction corresponding

to their CCM Client Transaction is to be settled (in whole or in part) by Cash Settlement

pursuant to Section 6 (Physical Settlement) of the CDS Clearing Supplement and such CCM

Client Transaction has not already been settled by Physical Settlement, such CCM Client

Transaction shall also be settled (in whole or in part, as applicable) by Cash Settlement and

the Cash Settlement Amount and the Cash Settlement Date shall be the same as the Cash

Settlement Amount and the Cash Settlement Date determined in respect of the

corresponding Physically Settled Cleared Transaction.
In respect of the CCM Client Transaction between CCM Client Buyer and CCM Seller/Matched

Buyer, If CCM Client Buyer has already Delivered the Deliverable Obligations to CCM

Seller/Matched Buyer, CCM Seller/Matched Buyer shall redeliver equivalent Deliverable

Obligationsto CCM Client Buyer in whole (if Cash Settlement applies) or in part (if Partial Cash

Settlement applies in which case CCM Seller/Matched Buyer shall retain a proportion of the

Deliverable Obligations equal to the proportion of the Transaction to be settled by Physical

Settlement).

7.2 Fallback to Cash Settlement in respect of Non‐Deliverable Obligations

If, in respect of a CCM Client Transaction, Buyer is not permitted to Deliver one or more

Deliverable Obligations (such Deliverable Obligations, the Non‐Deliverable Obligations)

specified in the relevant Notice of Physical Settlement or NOPS Amendment Notice to Seller

because:

(a) the amount of such Deliverable Obligation is less than the relevant minimum

denomination of such Deliverable Obligation; or

(b) Seller is not a permitted transferee under such Deliverable Obligation (and, in the

case of this sub‐section (ii), such circumstance would not constitute an illegality or

impossibility outside the control of a relevant party for the purposes of Section 9.3

(Partial Cash Settlement Due to Impossibility or Illegality) of the 2003 ISDA Credit

Derivatives Definitions),

then it shall notify Seller accordingly describing in reasonable detail the relevant

circumstances.   

With effect from such notification, such occurrence shall be treated, in relation to such CCM

Client Transaction, as an illegality or impossibility outside the control of a relevant party for

the purpose of Section 9.3 (Partial Cash Settlement Due to Impossibility or Illegality) of the

2003 ISDA Credit Derivatives Definitions and "Cash Settlement" pursuant to the Partial Cash

Settlement Terms shall be deemed to apply to such CCM Client Transaction with respect to

the Non‐Deliverable Obligations as though the Non‐Deliverable Obligations were

Undeliverable Obligations and the provisions set out in Mandatory Provision 7.37.3

(Consequences of Cash Settlement) below shall apply.   

7.3 Consequences of Cash Settlement

If the circumstances set out in either Section 9.3 (Partial Cash Settlement Due to Impossibility

or Illegality) of the 2003 ISDA Credit Derivatives Definitions or Mandatory Provision 7.27.2

(Fallback to Cash Settlement in respect of Non‐Deliverable Obligations) apply to a CCM Client

Transaction, then:

(a) the Latest Permissible Physical Settlement Date in respect of such CCM Client

Transaction will be deemed to be the first date on which the relevant Buyer or Seller

effectively gave the relevant notice to the other pursuant to either Section 9.3 (Partial

Cash Settlement Due to Impossibility or Illegality) of the 2003 ISDA Credit Derivatives

Definitions or Mandatory Provision 7.27.2 (Fallback to Cash Settlement in respect of

Non‐Deliverable Obligations) above, as applicable, (and for these purposes, Section
9.7 (Latest Permissible Physical Settlement Date) of the 2003 ISDA Credit Derivatives

Definitions shall not apply); and

(b) where sub‐paragraph (ii) of Mandatory Provision 7.27.2 (Fallback to Cash Settlement

in respect of Non‐Deliverable Obligations) applies, Indicative Quotations shall not be

applicable.    

The following provisions shall solely be applicable in respect of a CCM Client Transaction between a

CCM Client Buyer and its CCM Seller/Matched Buyer:

7.4 Delivery of Deliverable Obligations by CCM Client Buyer to CCM Seller/Matched Buyer

This Mandatory Provision 7.47.4 shall be applicable unless the CCM Client Buyer and CCM

Seller/Matched Buyer agree that it shall not apply in respect of a specific CCM Client

Transaction.

In respect of a CCM Client Transaction, the Delivery of any Deliverable Obligations to be

Delivered by CCM Client Buyer to CCM Seller/Matched Buyer shall be deemed not to have

occurred for the purposes of such CCM Client Transaction unless and until CCM

Seller/Matched Buyer Delivers equivalent Deliverable Obligations to Matched Seller

pursuant to the Physical Settlement of the corresponding Physically Settled Cleared

Transaction.

Unless in respect of the corresponding Physically Settled Cleared Transactions:  

(a) Cash Settlement is applicable (in whole or in part);  

(b) a Buy‐in Period is applicable or Buy‐in Price has been determined pursuant to Section

9.9 (Buy‐in of Bonds Not Delivered) of the 2003 ISDA Credit Derivatives Definitions;  

(c) a Deemed Buy‐in Period is applicable pursuant to Section 6.86.8(b)(i) of the CDS

Clearing Supplement or Section 6.86.8(b)(ii) of the CDS Clearing Supplement is

applicable; or  

(d) Section 9.10(a) of the 2003 ISDA Credit Derivatives Definitions is applicable or

Matched Seller has required Matched Buyer to Deliver a Bond or Loan pursuant to

Section 9.10(b) of the 2003 ISDA Credit Derivatives Definitions,  

(each such event, a "Non‐delivery Event"), CCM Seller/Matched Buyer undertakesto Deliver

the Deliverable Obligations (or such portion of the Deliverable Obligations not affected by a

Non‐delivery Event) to Matched Seller not later than the first Business Day after the day on

which a trade in such Deliverable Obligation would, if effected on the day on which CCM

Seller/Matched Buyer received the Deliverable Obligations from CCM Client Buyer or on

which the relevant Non‐delivery Event ceased to apply, as applicable, (or if such day is not a

Business Day, the following Business Day), be settled in accordance with then current market

practice of such Deliverable Obligation, as determined by the Calculation Agent after

consultation with the parties.

Forthe purposes of Article VIII (Termsrelating to Physical Settlement) of the 2003 ISDA Credit

Derivatives Definitions, the Physical Settlement Amount shall not be payable by CCM
Seller/Matched Buyer to CCM Client Buyer in respect of the CCM Client Transaction until the

Physical Settlement of the corresponding Physically Settled Cleared Transaction has

occurred.

7.5 Buy‐in of Bonds not Applicable

Section 9.9 (Buy‐in of Bonds Not Delivered) of the 2003 ISDA Credit Derivatives Definitions

shall not apply.

7.6 Buyer's Right to Deliver suspended during Buy‐in Period

If CCM Seller/Matched Buyer notifies CCM Client Buyer in respect of a CCM Client Transaction

that (i) it has received a Buy‐in Notice from Matched Seller in respect of the Matched

Contracts of the related Settlement Matched Pair or (ii) it has been notified by Matched Seller

in respect of the Matched Contracts of the related Settlement Matched Pair pursuant to

Section 6.86.8(b) (Deemed Buy‐in of Bonds resulting from CCM Client Transaction of Matched

Seller) of the CDS Clearing Supplement that such Matched Seller has received a Buy‐in Notice

from its CCM Client in respect of the CCM Client Transaction between such Matched Seller

and its CCM Client, such notice from CCM Seller/Matched Buyer specifying:

i) the Buy‐in Date;  

ii) the Relevant Bonds; and

iii) the Outstanding Principal Balance thereof sought to be bought‐in,

then CCM Client Buyer'sright to Deliver the specified Relevant Bondsshall be suspended until

the fourth Business Day (inclusive) following such Buy‐in Date.

7.7 Buy‐in of Bonds in respect of Matched Contracts of the Settlement Matched Pair

Provided that Physical Settlement has not already occurred in respect of a CCM Client

Transaction, if CCM Seller/Matched Buyer notifies CCM Client Buyer that a Buy‐in Price has

been (i) determined or (ii) deemed to be determined pursuant to Section 6.86.8(b) (Deemed

Buy‐in of Bonds resulting from CCM Client Transaction of Matched Seller) of the CDS Clearing

Supplement, in respect of Relevant Bonds for the purposes of the Matched Contracts of the

related Settlement Matched Pair, then on the Buy‐in Effective Date:  

i) CCM Client Buyer will be deemed to have Delivered to CCM Seller/Matched Buyer an

Outstanding Principal Balance of the Deliverable Obligations equal to the Outstanding

Principal Balance of the Deliverable Obligations Delivered or deemed to be Delivered

by CCM Seller/Matched Buyer to Matched Seller in respect of the Matched Contracts;

and

ii) the Physical Settlement Amount to be paid by CCM Seller/Matched Buyer to CCM

Client Buyer in respect of this CCM Client Transaction shall be reduced (but not below

zero) by an amount equal to the amount by which the Physical Settlement Amount

to be paid to CCM Seller/Matched Buyer by Matched Seller in respect of the Matched

Contracts is to be reduced.
CCM Seller/Matched Buyer shall notify CCM Client Buyer of such Outstanding Principal

Balance of the Deliverable Obligations and such Physical Settlement Amount reduction for

the purposes of i)i) and ii)ii) above and of the Buy‐in Effective Date.

If CCM Client Buyer has already Delivered Deliverable Obligations to CCM Seller/Matched

Buyer, CCM Seller/Matched Buyer shall redeliver equivalent Deliverable Obligations to CCM

Client Buyer and such equivalent Deliverable Obligations shall have an Outstanding Principal

Balance equal to the Outstanding Principal Balance of the Deliverable Obligation(s) specified

by CCM Seller/Matched Buyer in the above notice and deemed to have been Delivered by

CCM Client Buyer to CCM Seller/Matched Buyer pursuant to this Mandatory Provision 7.77.7.

7.8 Alternative Procedures relating to Loans – Seller Right to Select

Section 9.10(b) (Alternative Procedures Relating to Loans Not Delivered) of the 2003 ISDA

Credit Derivatives Definitions shall not apply.

7.9 Alternative Procedures relating to Loans – Seller designates alternative Loan or Bond

In respect of a CCM Client Transaction, CCM Seller/Matched Buyer shall notify CCM Client

Buyer if it has purchased Bond(s) and/or Loan(s) pursuant to Section 9.10(b) (Alternative

Procedures Relating to Loans Not Delivered) of the 2003 ISDA Credit Derivatives Definitions

on the instructions of the Matched Seller in respect of the corresponding CCM Client Cleared

Transaction.  

Following such notification, such Bond(s) and/or Loan(s) shall be deemed to have been

Delivered by CCM Client Buyer to CCM Seller/Matched Buyer in Physical Settlement of the

CCM Client Transaction and the Physical Settlement Amount payable by CCM Seller/Matched

Buyer to CCM Client Buyer shall be reduced (but not below zero) by an amount equal to the

price at which such Bond(s) and or Loan(s) were purchased.

CCM Seller/Matched Buyer shall provide CCM Client Buyer with details of such Bond(s)

and/or Loan(s) and the related purchase price(s) in such notice.

If CCM Client Buyer has already Delivered Deliverable Obligations to CCM Seller/Matched

Buyer, CCM Seller/Matched Buyer shall redeliver equivalent Deliverable Obligations to CCM

Client Buyer and such equivalent Deliverable Obligations shall have an Outstanding Principal

Balance equal to the Outstanding Principal Balance of the Bond(s) and/or Loan(s) specified

by CCM Seller/Matched Buyer in the above notice and deemed to have been Delivered by

CCM Client Buyer to CCM Seller/Matched Buyer pursuant to this Mandatory Provision 7.9.                                 

The following provisions shall solely be applicable in respect of a CCM Client Transaction between

CCM Client Seller and CCM Buyer/Matched Seller:

7.10 Delivery of Deliverable Obligations to CCM Client Seller

This Mandatory Provision 7.10 shall be applicable unless the CCM Client Seller and CCM

Buyer/Matched Seller agree that it shall not apply in respect of a specific CCM Client

Transaction.
Subject to the proviso below, in respect of a CCM Client Transaction, the Delivery of any

Deliverable Obligations to be Delivered by CCM Buyer/Matched Seller to CCM Client Seller

shall be deemed to have occurred for the purposes of such CCM Client Transaction upon

receipt by CCM Buyer/Matched Seller of the Deliverable Obligationsin respect of the Physical

Settlement of the related Physically Settled Cleared Transaction; provided, however, that if

the CCM Client Transaction is to be settled by Cash Settlement (in whole or in part) pursuant

to Section 9.3 (Partial Cash Settlement Due to Impossibility or Illegality) of the 2003 ISDA

Credit Derivatives Definitions or Mandatory Provision 7.27.2 (Fallback to Cash Settlement in

respect of Non‐Deliverable Obligations) then such portion of the CCM Client Transaction

which is to be settled by Cash Settlement shall not be deemed to be settled until such Cash

Settlement occurs.   

Provided that Cash Settlement is not applicable, CCM Buyer/Matched Seller undertakes to

Deliver the Deliverable Obligations to CCM Client Seller not later than the first Business Day

after the day on which a trade in such Deliverable Obligation would, if effected on the day on

which CCM Buyer/Matched Seller received the Deliverable Obligations from Matched Buyer

(or if such day is not a Business Day, the following Business Day), be settled in accordance

with then current market practice of such Deliverable Obligation, as determined by the

Calculation Agent after consultation with the parties.

7.11 Alternative Procedures relating to Loans – Seller Right to Select

Section 9.10(b) (Alternative Procedures Relating to Loans Not Delivered) of the 2003 ISDA

Credit Derivatives Definitions shall not apply.

7.12 Alternative Procedures relating to Loans in respect of Matched Contracts

In respect of a CCM Client Transaction, if CCM Buyer/Matched Seller notifies CCM Client Seller

that a deemed amendment has been made to the Notice of Physical Settlement or any NOPS

Amendment Notice in respect of the Matched Contracts of the Settlement Matched Pair that

corresponds to such CCM Client Transaction pursuant to (i) Section 9.10(a) or (b) of the 2003

ISDA Credit Derivatives Definitions or (ii) Section 6.96.9 (Alternative Procedures relating to

Loans – Buyer Right to Deliver (Section 9.10(a) 2003 ISDA Credit Derivatives Definitions) of the

CDS Clearing Supplement, then the Notice of Physical Settlement or any NOPS Amendment

Notice in respect of such CCM Client Transaction shall be deemed to have been amended by

the addition of the Bonds or Loans which have been deemed to be added to the Notice of

Physical Settlement or any NOPS Amendment Notice for the purposes of the Matched

Contracts of the related Settlement Matched Pair.
8. Self Referencing Transactions

8.1 Section 2.31 (Merger of Reference Entity and Seller) of the 2003 ISDA Credit Derivatives

Definitions  

Section 2.31 (Merger of Reference Entity and Seller) of the 2003 ISDA Credit Derivatives

Definitions shall not apply.

8.2 Notification of Self Referencing Transactions

In respect of any Single Name CCM Client Transaction, the CCM Client shall, unless prohibited

from so doing by applicable law, notify the CCM as soon as reasonably practicable if:

i) the CCM Client is or consolidates or amalgamates with, or merges into, or transfers

all or substantially all of its assets to, the Reference Entity in relation to such Single

Name CCM Client Transaction or enters into any agreement in respect of any of the

foregoing;

ii) the CCM Client and the Reference Entity in relation to such Single Name CCM Client

Transaction are or become Affiliates; or

iii) in respect of a Restructuring CCM Client Transaction, the CCM Client is or becomes

the Reference Entity in relation to such Restructuring CCM Client Transaction as a

result of the occurrence of the relevant Restructuring Credit Event.

8.3 Termination of Self Referencing Transactions

A CCM Client Transaction shall be terminated (unless it has already been terminated) at the

same time as the termination of the corresponding Single Name Cleared Transaction

pursuant to Section 9.2 (Occurrence of Client Self Referencing Transactions) of the CDS

Clearing Supplement and by reference to the price at which such Single Name Cleared

Transaction is terminated and an amount will be payable:

(a)  if the CCM receives an amount from LCH SA in relation to such Single Name Cleared

Transaction pursuant to Section 9.2 (Occurrence of Client Self Referencing Transactions),

by the CCM to the CCM Client equal to such amount and on the Business Day following

receipt by the CCM of such amount from LCH SA; and  

(b)  if the CCM is obliged to pay an amount to LCH SA in relation to such Single Name Cleared

Transaction pursuant to Section 9.2 (Occurrence of Client Self Referencing Transactions),

by the CCM Client to the CCM equal to such amount and on the later of (I) the Business

Day prior to the day on which the CCM is obliged to pay such amount to LCH SA and (II)

the Business Day following the Business Day on which the CCM gives notices to the CCM

Client of the relevant amount.

8.4 Costs of Terminating Self Referencing Transactions

Without prejudice to any other indemnity agreed between the CCM and the CCM Client in

relation to CCM Client Transactions, the CCM Client agrees to indemnify and hold harmless

the CCM from and against all costs and expenses that the CCM is obliged to bear pursuant to
Section 9.2 (Occurrence of Client Self Referencing Transactions) of the CDS Clearing

Supplement.

8.5 Compression of Self Referencing Transactions

Where the CCM acts as Matched Buyer and Matched Seller in respect of fungible Single Name

Cleared Transactions that have a corresponding CCM Client Transaction in respect of which

CCM Client has given notice to CCM pursuant to Mandatory Provision 8.28.2 (Notification of

Self Referencing Transactions) and the relevant Single Name Cleared Transactions are

compressed pursuant to Section 9.2 (Occurrence of Client Self Referencing Transactions) of

the CDS Clearing Supplement, the CCM Client will be deemed to have submitted to CCM a

request to compress the corresponding CCM Client Transactions.

9. Calculation Agent

9.1 Appointment of Calculation Agent

The Calculation Agent in respect of any CCM Client Transaction shall be the CCM.   

9.2 Calculations and Determinations of Calculation Agent

In the event that the Calculation Agent is entitled or required to make any calculation or

determination in respect of a CCM Client Transaction in respect of a matter that has already

been or will be determined in respect of and pursuant to the terms of the corresponding CCM

Client Cleared Transaction, the Calculation Agent in respect of the CCM Client Transaction

shall be obliged to make the same calculation or determination in respect of such CCM Client

Transaction as the determination in respect of the corresponding CCM Client Cleared

Transaction (including, without limitation, any determination of any Cash Settlement Amount

payable in respect of the CCM Client Transaction).      

10. Amendments

The Mandatory Provisions may be amended from time to time pursuant to Section 1111

(Amendments) of the CDS Clearing Supplement. The parties agree that any amendments

made to the Mandatory Provisions in accordance with Section 1111 (Amendments) of the

CDS Clearing Supplement shall be deemed to apply automatically to the CCM Client

Transaction(s) with effect from the date of such amendment to the Mandatory Provisions.
LCH SA © 2022        Published on 12 December 2022

PART B

CDS CLEARING SUPPLEMENT

FOR INDEX CLEARED TRANSACTIONS AND SINGLE NAME TRANSACTIONS INCORPORATING THE

2014 ISDA CREDIT DERIVATIVES DEFINITIONS

CONTENTS 

SECTION PAGE 

1. GENERAL PROVISIONS .......................................................................................................................... 1 

2. TERMS OF CLEARED TRANSACTIONS ............................................................................................. 13 

3. PAYMENTS AND DELIVERIES ........................................................................................................ 2221

4. CREDIT EVENTS, SUCCESSION EVENTS AND RENAME EVENTS ........................................... 2322

5. RESTRUCTURING .............................................................................................................................. 2726

6. PHYSICAL SETTLEMENT ................................................................................................................. 2928

7. DELIVERY OF NOTICES AND FALLBACKS .................................................................................. 4241

8. MATCHED PAIR DESIGNATIONS AND NOTICES ........................................................................ 5150

9. SELF-REFERENCING TRANSACTIONS .......................................................................................... 5554

10. MANDATORY PROVISIONS FOR CCM CLIENT TRANSACTIONS ............................................ 5857

11. AMENDMENTS ................................................................................................................................... 5958

12. FORMS OF NOTICES .......................................................................................................................... 5958

13. EXCLUSION OF LIABILITY .............................................................................................................. 5958

14. DISPUTE RESOLUTION ..................................................................................................................... 6059

15. GOVERNING LAW .............................................................................................................................. 6059
LCH SA © [●]2022 1     Published on [●]12 December 2022

 

1. GENERAL PROVISIONS 

1.1 Incorporation of Defined Terms  

Capitalised terms used in this CDS Clearing Supplement and not otherwise defined herein

shall have the meaning given pursuant to the Index Cleared Transaction Confirmation, Single

Name Cleared Transaction Confirmation, the 2014 ISDA Credit Derivatives Definitions or the

CDS Clearing Rule Book, as applicable. In the case of any such terms defined in the CDS

Clearing Rule Book, such terms shall be interpreted in accordance with the governing law

specified therefore in the CDS Clearing Rule Book.  

1.2 Terms defined in the CDS Clearing Supplement

For the purposes of the CDS Clearing Documentation, the following capitalised terms shall,

unless otherwise specified, have the respective meanings set out below:  

2003 ISDA Credit Derivatives Definitions: The 2003 ISDA Credit Derivatives Definitions

published by ISDA as supplemented by the 2009 ISDA Credit Derivatives Determinations

Committees, Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit

Derivatives Definitions, including the DC Rules and Credit Derivatives Auction Settlement

Terms (each as defined therein).

2014 ISDA Credit Derivatives Definitions: The 2014 ISDA Credit Derivatives Definitions

published by ISDA.

Affected Cleared Transaction: Following  

(i) a DC Credit Event Announcement or a publication by the DC Secretary of:  

(a) a Successor Resolution; or

(b) a DC Resolution that a Substitute Reference Obligation has been determined in

respect of a Non‐Standard Reference Obligation; or

(ii) publication of a revised SRO List,

a Cleared Transaction (or the relevant Component Transaction(s) of such Cleared

Transaction) that references the affected Reference Entity and also references a Transaction

Type and/or a Reference Obligation affected by the event in (i) or (ii) above, as applicable.

Asset Package Cash Settlement Amount:  In respect of an Asset Package, an amount in the

Settlement Currency of the Physically Settled Cleared Transaction to which such Asset

Package relates equal to the total amount of cash in such Settlement Currency  (whether

actual or deemed in accordance with Section 6.19(e) (Asset Package Delivery) comprising

such Asset Package.

Asset Package Notice:  A notice in the form set out in Appendix IVB.

Buy‐in Effective Date:  Asset out at Section 6.8 (Buy‐in of Bonds – Matched Seller has entered

into CCM Client Transaction).
LCH SA © [●]2022 2     Published on [●]12 December 2022

 

CCM Client Cleared Transaction: A Cleared Transaction between a CCM and LCH SA

registered in a CCM Client Trade Account of a CCM.

CCM Client Transaction: A Transaction between a CCM and a CCM Client which is on the

same economic terms as its corresponding CCM Client Cleared Transaction.

CCM Client Transaction Documents: The documentation entered into by a CCM and its CCM

Client to document a CCM Client Transaction.

CDSClear Preferred Reference Obligation: Thisterm shall have the meaning set out in Section

4 of the Procedures.

CDSClear Product Committee: A committee composed of representatives of LCH SA and

representatives of Clearing Members for the purposes of carrying‐out the tasks apportioned

to it by the CDS Clearing Documentation as further described in the terms of reference for

such committee, agreed in consultation with the Clearing Members and as may be amended

from time to time in consultation with the Clearing Members.   

CDS Clearing Rule Book:  The document entitled "CDS Clearing Rule Book" published by LCH

SA, as amended from time to time.

CDS Type:  A class of Cleared Transactionsthat are identical asto their terms, and, asthe case

may be, following the determination made by LCH SA in accordance with Section 2.6 (Markit

Standard Terms Supplement Updates), except that they may differ as to:  

(a) the Trade Date;

(b) in respect of Index Cleared Transactions, the Original Notional Amount;

(c) in respect of Single Name Cleared Transactions, the Effective Date (provided that the

current and future Fixed Rate Payer Calculation Periods for such Single Name Cleared

Transactions are the same), the Floating Rate Payer Calculation Amount and the

Reference Obligation (provided that LCH SA determines that the Reference

Obligations of the Cleared Transactions are equivalent for the purposes of this CDS

Clearing Supplement);

(d) the Initial Payment Payer;  

(e) the Initial Payment Amount;  

(f) the Initial Payment Date; and

(g) the identity of the relevant Buyer and Seller.

CEN Triggering Period: In relation to any Restructuring Cleared Transaction, the period during

which the parties thereto may deliver a Credit Event Notice in respect of an M(M)R

Restructuring in relation to all or part of such Restructuring Cleared Transaction, such period

starting at 9:00 a.m. on and including the earlier to occur of:

(a) the Transaction Business Day following publication of the related Final List; and
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(b) the fifth calendar day following the No Auction Announcement Date,

and ending on and including the Exercise Cut‐off Date.

Clearing Member Acknowledgement: As set out at Section 7.77.7 (Clearing Member

Acknowledgements).

Clearing Member Communications Failure Event: As set out at Section 7.47.4 (Notification

of DTCC Failure and Resolution).

Clearing Member Self Referencing Transaction: A Single Name Cleared Transaction which is

registered in the House Account Structure of the Clearing Member and in respect of which,

the Reference Entity is either the relevant Clearing Member or an Affiliate of such Clearing

Member.

Client Self Referencing Transaction: A Single Name Cleared Transaction (a) that is registered

in the Client Account Structure of a Clearing Member, and (b) in respect of which, the

Reference Entity is either the relevant Client or an Affiliate of such Client.

Component Transaction: As defined in the Index Cleared Transaction Confirmation.

Compression Cut‐off Date: The last date on which a Clearing Member or a Client, as

applicable, may submit a request for any Cleared Transaction to be compressed pursuant to

the ad hoc compression methodology and on which a daily automatic compression cycle will

be run by LCH SA, in each case in accordance with Chapter 3 (Compression) of Title III (Clearing

Operations) of the CDS Clearing Rule Book and Section 5 of the Procedures, being:

(a) in respect of any Index Cleared Transaction, the date falling one Transaction Business

Day prior to the Novation Cut‐off Date in respect of the relevant Eligible Index Version;

(b) in respect of any Single Name Cleared Transaction and:

(i) an M(M)R Restructuring, the earlier of (A) the date of publication of the

relevant Initial List (as defined in the DC Rules), (B) the date falling two

Transaction Business Days prior to the relevant date on which the related RMP

Notification Deadline falls and (C) such other date falling between the dates in

(A) and (B), as determined by LCH SA in consultation with the CDSClear Product

Committee and notified to the relevant Clearing Members prior to such date;

and

(ii) a Failure to Pay Credit Event, a Governmental Intervention Credit Event, a

Bankruptcy Credit Event, an Obligation Acceleration Credit Event, a

Repudiation/Moratorium Credit Event or a Restructuring Credit Event (other

than an M(M)R Restructuring), the date falling one Transaction Business Day

prior to the calendar day following the related Auction Final Price

Determination Date, Auction Cancellation Date or No Auction Announcement

Date;  
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(iii) a Succession Event, a date determined by LCH SA in consultation with the

CDSClear Product Committee, which shall be not later that the Transaction

Business Day before the date on which DTCC will amend its records in respect

of such Single Name Cleared Transaction to take into account the occurrence

of such Succession Event, and notified to the relevant Clearing Members prior

to such date; and

(iv) a Rename Event, the Transaction Business Day before the date on which DTCC

will amend its records in respect of Single Name Cleared Transactions to take

into account the occurrence of such Rename Event.

For the avoidance of doubt, where a Clearing Member has specified automatic compression

on a weekly basis then the last such weekly automatic compression cycle performed by LCH

SA will be performed on the Clearing Day falling on the Thursday on or before the relevant

Compression Cut‐off Date.

DC Restructuring Announcement Date: The date on which the DC Credit Event

Announcement of an M(M)R Restructuring is made, provided that where such DC Credit Event

Announcement is made after 6.30 p.m. on a Business Day or on a day which is not a Business

Day, the DC Restructuring Announcement Date will be the first following Business Day.

Deemed Buy‐in Period: As set out at Section 6.86.8(b)(i).

Dispute: This term shall have the meaning set out in the CDS Dispute Resolution Protocol.

DTCC Failure Event: Asset out at Section 7.47.4 (Notification of DTCC Failure and Resolution).   

DTCC Failure Event Time: As set out at Section 7.47.4 (Notification of DTCC Failure and

Resolution).

DTCC Notice Facility: A facility made available pursuant to the DTCC Rules for the delivery of

Credit Event Notices relating to M(M)R Restructurings or Notices to Exercise Movement

Option.

DTCC Resolution Time: As set out at Section 7.47.4 (Notification of DTCC Failure and

Resolution).

DTCC Rules: The "Operating Procedures", as published by DTCC and as amended from time

to time.

Failed Amount: As set out at Section 6.106.10 (Failure to pay Physical Settlement Amount).   

First Novation Date: In respect of:  

(a) an Index Cleared Transaction, the first date on which LCH SA will accept Original

Transactions referencing the relevant Eligible Index Version for clearing pursuant to

the CDS Clearing Documentation, being, in the case of any such version published

pursuant to the occurrence of a Succession Event or Credit Event, the date on which
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credit default swap transactions referencing such version of such index are accepted

for registration in the TIW in accordance with the DTCC Rules;  

(b) a Single Name Cleared Transaction in respect of which a Novation Cut‐off Date has

previously occurred pursuant to the occurrence of an M(M)R Restructuring which is

applicable to the relevant combination of Reference Entity, Transaction Type and

Reference Obligation, the calendar day following the Transaction Business Day

following the latest possible Exercise Cut‐off Date for the relevant M(M)R

Restructuring or such other date on which LCH SA determines in consultation with the

CDSClear Product Committee that LCH SA will begin to again accept Original

Transactions referencing the relevant combination  of Reference Entity, Transaction

Type and Reference Obligation; and

(c) a Single Name Cleared Transaction (other than in the circumstances set‐out in (b)(b)

above), the first date on which LCH SA determines in consultation with the CDSClear

Product Committee that LCH SA will accept or will begin to again accept (as applicable)

Original Transactions referencing the relevant combination of Reference Entity,

Transaction Type and Reference Obligation.

Index Cleared Transaction: A Cleared Transaction which references a portfolio of Reference

Entities specified in a credit default swap index and consists of a Component Transaction in

respect of each such Reference Entity, the terms of which are as evidenced by an Index

Cleared Transaction Confirmation.

Index Cleared Transaction Confirmation: For  

(a) any Index Cleared Transaction which references (i) a Markit iTraxx® Australia Index

Series 27 or above or (ii) a Markit iTraxx® Asia ex‐Japan Index Series 28 or above, the

form of confirmation which incorporatesthe iTraxx® Asia/Pacific Untranched Standard

Terms Supplement, each being the latest version in force, as published by Markit

Group Limited;

(b) any Index Cleared Transaction which references a Markit iTraxx® Europe Index Series

22 or above, the form of confirmation which incorporates the iTraxx® Europe

Untranched Standard Terms Supplement, each being the latest version in force as

published by Markit Group Limited or any affiliate of Markit Group Limited;

(c) any Index Cleared Transaction which references a Markit CDXTM Index Series 23 or

above, the form of confirmation which incorporatesthe CDX Untranched Transactions

Standard Terms Supplement, each being the latest version in force as published by

Markit North America, Inc. or any affiliate of Markit North America, Inc.;

(d) any Index Cleared Transaction which references a Markit CDXTM Emerging Markets

Index Series 28 or above, the form of confirmation which incorporates the CDX

Emerging Markets Untranched Transactions Standard Terms Supplement, each being

the latest version in force, as published by Markit North America, Inc.;
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(e) any Index Cleared Transaction which references a Markit iTraxx® Europe Index Series

21 or below, the form of confirmation which incorporates the iTraxx® Europe Legacy

Untranched Standard Terms Supplement, each being the latest version in force as

published by Markit Group Limited or any affiliate of Markit Group Limited; and

(f) any Index Cleared Transaction which references a Markit CDXTM Index Series 22 or

below, the form of confirmation which incorporates the CDX Legacy Untranched

Transactions Standard Terms Supplement, each being the latest version in force as

published by Markit North America, Inc. or any affiliate of Markit North America, Inc.,  

in each case as amended by this CDS Clearing Supplement and as completed by reference to

the relevant Transaction Data (or, in each case, such other form of confirmation as may be

adopted in respect of any CDS Type in accordance with Section 1.2.2 (Modification) of the

CDS Clearing Rule Book).

Index CCM Client Transaction: A CCM Client Transaction which references a portfolio of

Reference Entities specified in a credit default swap index and consists of a Component

Transaction in respect of each such Reference Entity and which is on the same economic

terms as an Index Cleared Transaction registered in the CCM Client Trade Account in the

name of such CCM for such CCM Client.

Initial Re‐couponing Notice: As set‐out in Section 4.44.4 (Re‐couponing of Restructuring

Cleared Transactions).

Initial Single Name Cleared Transaction: A Cleared Transaction entered into following the

novation of an Original Transaction and which references a single Reference Entity, the terms

of which are evidenced by a Single Name Cleared Transaction Confirmation.  

Initial Single Name CCM Client Transaction: A CCM Client Transaction which references a

single Reference Entity and which is on the same economic terms as an Initial Single Name

Cleared Transaction registered in the CCM Client Trade Account in the name of such CCM for

such CCM Client.

ISDA: The International Swaps and Derivatives Association, Inc. and any successor thereto.

Mandatory Provisions: As set‐out in Appendix XIII (CCM Client Transaction Requirements).

Markit Standard Terms Supplement: Any of the published Standard Terms Supplements as

referred to in the definition of “Index Cleared Transaction Confirmation” in this Section 1.2.

Matched Buyer: A CDS Buyer comprised in a Matched Pair.   

Matched Buyer Contract: A Cleared Transaction (or part thereof) between a Matched Buyer

and LCH SA which is the subject of a Matched Pair having the Restructuring Matched Pair

Amount or the Settlement Matched Pair Delivery Amount, as the case may be, relating to

that Matched Pair.

Matched Contract: A Matched Seller Contract or a Matched Buyer Contract, as applicable.
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Matched Pair: A Restructuring Matched Pair or Settlement Matched Pair, as applicable.

Matched Seller: A CDS Seller comprised in a Matched Pair.   

Matched Seller Contract: A Cleared Transaction (or part thereof) between a Matched Seller

and LCH SA which is the subject of a Matched Pair having the Restructuring Matched Pair

Amount or the Settlement Matched Pair Delivery Amount, as the case may be, relating to

that Matched Pair.

Matching Information Notification Deadline: In respect of a Restructuring Cleared

Transaction, 9.00 a.m. on the first day of the CEN Triggering Period, provided that the

Matching Information Notification Deadline shall fall no earlier than the fifth Transaction

Business Day following the relevant DC Credit Event Announcement.

Matrix Re‐versioning Date: Asset‐out in Section 2.52.5 (Physical Settlement Matrix Updates).

NEMO Triggering Period: In relation to any Restructuring Cleared Transaction, the period

starting at 9:00 a.m. on the day falling on the relevant Movement Option Cut‐off Date for the

relevant Credit Event and ending at the last time for delivery of a valid Notice to Exercise

Movement Option under the terms of the relevant Cleared Transaction.

No Physical Settlement Confirmation:    As set out in Section 6.196.19 (Miscellaneous

Provisions relating to Physical Settlement).

No Physical Settlement Confirmation Deadline:    As set out in Section 6.196.19

(Miscellaneous Provisions relating to Physical Settlement).

Non‐Deliverable Obligation:  As set out at Section 6.126.12 (Fallback to Cash Settlement in

respect of Non‐Deliverable Obligations).

Non‐DVP Asset Package Settlement Amount:  As set out in Section 6.6(b) (Delivery of Non‐

DVP Obligations).

Non‐DVP Obligation: In respect of any Physically Settled Cleared Transaction: (1) a

Deliverable Obligation, validly specified in a Notice of Physical Settlement, which does not, in

accordance with then current market standards, settle on a delivery‐versus‐payment basis

through the books and records of a central securities depository or securities settlement

system; or (2) any Asset forming part of an Asset Package validly specified in an Asset Package

Notice given in accordance with the final paragraph of Section 8.2 (Notice of Physical

Settlement) of the 2014 ISDA Credit Derivatives Definitions.

Notice Acknowledgement Deadline:    As set out in Section 7.77.7 (Clearing Member

Acknowledgements).

Notice Reconciliation Deadline:    As set out in Section 7.77.7 (Clearing Member

Acknowledgements).

Novation Cut‐off Date: The date with effect from which LCH SA will no longer accept Original

Transactions referencing an Eligible Index Version or Original Transactions referencing the
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relevant combination of Reference Entity, Transaction Type and Reference Obligation for

novation, being:

(a) following the occurrence of an M(M)R Restructuring, the earlier of:  

(i) a date determined by LCH SA in consultation with the CDSClear Product

Committee, which shall not be earlier than the DC Restructuring

Announcement Date; and

(ii) the calendar day immediately following the No Auction Announcement Date,

provided that LCH SA in consultation with the CDSClear Product Committee may, but

is not required to, determine that the Novation Cut‐off Date for Index Cleared

Transactions and the Novation Cut‐off Date for Initial Single Name Cleared

Transactions are to occur on different days;

(b) following the occurrence of a Failure to Pay Credit Event, a Bankruptcy Credit Event,

an Obligation Acceleration Credit Event, a Repudiation/Moratorium Credit Event, a

Governmental Intervention Credit Event or a Restructuring Credit Event (other than

an M(M)R Restructuring), the calendar day following the related Auction Final Price

Determination Date, Auction Cancellation Date or No Auction Announcement Date, as

applicable;  

(c) following the occurrence of a Succession Event:  

(i) in respect of an Index Cleared Transaction, the date notified by DTCC to LCH SA

as being the date on which DTCC will amend its records in respect of such

Cleared Transaction to take into account a new version of such index published

by the relevant index publisher taking into account the occurrence of such

Succession Event; or

(ii) in respect of a Single Name Cleared Transaction, the day after the date on

which the DC Secretary publicly announces a Succession Resolution in respect

of such Succession Event;    

(d) following the occurrence of a Rename Event in respect of Single Name Cleared

Transactions, the date determined by LCH SA in consultation with the CDSClear

Product Committee, which such date shall not be later than the date on which DTCC

amendsitsrecordsin respect of Single Name Cleared Transactionsto take into account

the occurrence of such Rename Event; or

(e) otherwise, as determined by LCH SA in consultation with the CDSClear Product

Committee.   

Partial Cash Settlement Terms: As set out in Section 9.6 (Partial Cash Settlement Terms) of

the 2014 ISDA Credit Derivatives Definitions, as amended by this CDS Clearing Supplement.  

Payer: As set out at Section 6.176.17 (Physical Settlement Costs).  
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Physical Settlement Confirmation: As set out in Section 6.196.19 (Miscellaneous Provisions

relating to Physical Settlement).

Physical Settlement Confirmation Deadline:  As set out in Section 6.196.19 (Miscellaneous

Provisions relating to Physical Settlement).

Physically Settled Cleared Transaction: Asset out at Section 6.36.3 (Physically Settled Cleared

Transactions).

Physical Settlement Matrix: The Credit Derivatives Physical Settlement Matrix (as defined in

Section 13.2 (Credit Derivatives Physical Settlement Matrix) of the 2014 ISDA Credit

Derivatives Definitions).

Recipient: As set out at Section 6.176.17 (Physical Settlement Costs).   

Re‐couponing Date: As set‐out in Section 4.44.4 (Re‐couponing of Restructuring Cleared

Transactions).

Re‐couponing Notice: As set‐out in Section 4.44.4 (Re‐couponing of Restructuring Cleared

Transactions).

Relevant Physical Settlement Matrix: As set out in Section 4.3 (Eligible Reference Entities) of

the Procedures.

Rename Event: As set out in Section 4.74.7 (Rename Events).

Restructuring Cleared Transaction:    A Cleared Transaction which references a single

Reference Entity and is created following the creation of Restructuring Matched Pairs

pursuant to Section 5.25.2 (Creation of Restructuring Cleared Transactions), the terms of

which are evidenced by a Single Name Cleared Transaction Confirmation.  

Restructuring CCM Client Transaction: A CCM Client Transaction between a CCM and a CCM

Client which references a single Reference Entity and which is on the same economic terms

as a Restructuring Cleared Transaction registered in the CCM Client Trade Account in the

name of such CCM for such CCM Client.

Restructuring Matched Pair: A pairing comprised of a Matched Buyer and a Matched Seller

in respect of Restructuring Cleared Transactions created by LCH SA for the purposes of

delivery of Credit Event Noticesin respect of the relevant M(M)R Restructuring under Section

5.15.1 (Creation and Notification of Restructuring Matched Pairs).

Restructuring Matched Pair Amount:  In respect of a Restructuring Matched Pair, the amount

of the Floating Rate Payer Calculation Amount in respect of the relevant Restructuring

Cleared Transactions allocated by LCH SA to such Restructuring Matched Pair under Section

8.18.1 (Creation of Matched Pairs).

Resulting Single Name Cleared Transaction:  A Cleared Transaction which references a single

Reference Entity and is created following the termination of a Restructuring Cleared
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Transaction pursuant to Section 5.15 (Recouponing) of the Procedures, the terms of which

are evidenced by a Single Name Cleared Transaction Confirmation.

RMP Notification Deadline:  In respect of a notification by LCH SA to the relevant Clearing

Members in relation to Restructuring Matched Pairs, 10.00 a.m. on the Transaction Business

Day immediately prior to the first day of the CEN Triggering Period provided that the RMP

Notification Deadline shall in no event fall prior to the second Transaction Business Day

following the occurrence of the related DC Credit Event Announcement.

Self Referencing Transaction: A Clearing Member Self Referencing Transaction or a Client Self

Referencing Transaction, as applicable.

Settlement Matched Pair: A pairing comprised of a Matched Buyer and a Matched Seller in

respect of Physically Settled Cleared Transactions deemed to have been created by LCH SA

under Section 6.26.2 (Creation and Notification of Settlement Matched Pairs).

Settlement Matched Pair Delivery Amount: In respect of a Settlement Matched Pair, the

amount of the Floating Rate Payer Calculation Amount in respect of the relevant Physically

Settled Cleared Transactions allocated by LCH SA to such Settlement Matched Pair under

Section 8.18.1 (Creation of Matched Pairs).

Single Name Cleared Transaction:   An Initial Single Name Cleared Transaction, a Spin‐off

Single Name Cleared Transaction, a Restructuring Cleared Transaction and a Resulting Single

Name Cleared Transaction.  

Single Name Cleared Transaction Confirmation: The form of confirmation for use with the

Physical Settlement Matrix that incorporates the 2014 ISDA Credit Derivatives Definitions, as

amended by this CDS Clearing Supplement and as completed by reference to:  

(a) in the case of an Initial Single Name Cleared Transaction, the relevant Transaction

Data; or  

(b) in the case of any other type of Single Name Cleared Transaction, the relevant Cleared

Transaction or Cleared Transactions that existed immediately prior to the relevant

event that resulted in the creation ofsuch Single Name Cleared Transaction (with such

amendments as are required pursuant to the terms of the CDS Clearing

Documentation),

or such other form of confirmation as may be adopted in respect of any CDS Type in

accordance with Section 1.2.2 (Modification) of the CDS Clearing Rule Book.

Single Name CCM Client Transaction: A CCM Client Transaction between a CCM and a CCM

Client which is on the same economic terms as a Single Name Cleared Transaction registered

in the CCM Client Trade Account in the name of such CCM for such CCM Client.

SMP Notification Deadline: In respect of a notification by LCH SA to the relevant Clearing

Members in relation to Settlement Matched Pairs, noon on the Transaction Business Day

following the day on which the Fallback Settlement Method first becomes applicable.
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Spin‐off Single Name Cleared Transaction:  The separate Single Name Cleared Transaction

formed in respect of a Reference Entity from a Component Transaction of an Index Cleared

Transaction following the occurrence of a DC Credit Event Announcement in respect of an

M(M)R Restructuring which is applicable to the combination of Reference Entity, Transaction

Type and Reference Obligation of such Component Transaction in accordance with the terms

ofsuch Index Cleared Transaction, the terms of which are evidenced by a Single Name Cleared

Transaction Confirmation.

Succession Event: An entity (or entities) constitute a successor or successors in respect of a

Reference Entity as determined pursuant to Section 2.2 (Provisions for Determining a

Successor) of the 2014 ISDA Credit Derivative Definitions.

Successor Resolution: This term shall have the meaning set out in the DC Rules.

Transaction Business Day: A "Business Day", as defined in the Index Cleared Transaction

Confirmation or the Single Name Cleared Transaction Confirmation, as applicable provided

that if the relevant Index Cleared Transaction Confirmation or Single Name Cleared

Transaction Confirmation defines such term differently depending upon its use, such

distinction shall also apply to the use of the term Transaction Business Day herein.

Transaction Data: In respect of an Original Transaction to be novated pursuant to Title III

(Clearing Operations) of the CDS Clearing Rule Book and cleared by LCH SA as an Index Cleared

Transaction or Initial Single Name Cleared Transaction, the data provided by an Approved

Trade Source System to LCH SA for such purposes, which includes, without limitation:

(a) in respect of an Index Cleared Transaction, the relevant index, including details of the

index name, series and version, the annex date, the Original Notional Amount and the

currency of the Original Notional Amount;  

(b) in respect of an Initial Single Name Cleared Transaction, the Reference Entity,

Reference Obligation, applicable Transaction Type, Floating Rate Payer Calculation

Amount, the currency of the Floating Rate Payer Calculation Amount and the Fixed

Rate;

(c) the Trade Date;

(d) the Scheduled Termination Date;

(e) the Floating Rate Payer;

(f) the Fixed Rate Payer;

(g) the Fixed Rate Payer Payment Dates;

(h) the Initial Payment Payer;  

(i) the Initial Payment Amount; and
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(j) whether the 2003 Credit Derivatives Definitions or the 2014 Credit Derivatives

Definitions are applicable to such Original Transaction (or, in the case of an Index

Cleared Transaction, each component of such Original Transaction).

1.3 Inconsistency

To the extent of any conflict between:  

(a) any definition or provision contained in Appendix 1 (CDS Default Management

Process) of the CDS Clearing Rule Book;  

(b) the remaining sections of the CDS Clearing Rule Book;  

(c) the CDS Admission Agreement;  

(d) this CDS Clearing Supplement;  

(e) an Index Cleared Transaction Confirmation or a Single Name Cleared Transaction

Confirmation;  

(f) the Procedures; or  

(g) any Clearing Notices,  

the first referenced document shall prevail except in relation to determining the existence

and amount of any payment and delivery obligations under any Cleared Transactions, in

respect of which this CDS Clearing Supplement, the Index Cleared Transaction Confirmation

orthe Single Name Cleared Transaction Confirmation, as applicable,shall prevail to the extent

permitted by law.

1.4 Timing

Pursuant to Article 1.2.8 (Time reference) of the CDS Clearing Rule Book, aAny reference to a

time of day herein shall be deemed to be a reference to the time zone as set out in Section  

1.2.8 (Time reference) of the CDS Clearing Rule Book Central European Time unless otherwise

provided herein.

1.5 Third Party Rights

Unless otherwise provided in this CDS Clearing Supplement or in the CDS Clearing Rulebook,

a person who is not a party to a Cleared Transaction does not have any right under the

Contracts (Rights of Third Parties) Act 1999 to enforce any provision of such Cleared

Transaction or this CDS Clearing Supplement as it relates to such Cleared Transaction.

1.6 Recording of Conversations

Each of LCH SA and each Clearing Member consents to the recording of telephone

conversations between the trading, marketing and other relevant personnel of the parties in

connection with any Cleared Transaction and agrees to obtain any necessary consent of, and

give any necessary notice of such recording to, its relevant personnel and agrees, to the
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extent permitted by applicable law, that such recordings may be submitted as evidence in

any related court or arbitral proceedings.   

1.7 Application to FCM/BD Clearing Members

(a) Upon the taking of any action pursuant to this CDS Clearing Supplement by an

FCM/BD Clearing Member in respect of an FCM/BD Cleared Transaction entered into

as agent for the account of an FCM/BD Client (as described in FCM/BD CDS Clearing

Regulation 1(c)),such FCM/BD Clearing Membershall be deemed to represent to LCH

SA that it has the power and authority to, and has been duly authorised to, take such

action for the account of such FCM/BD Client.

(b) For purposes of this CDS Clearing Supplement, with regard to any Cleared Transaction

entered into by an FCM/BD Clearing Member acting as agent for the account of an

FCM/BD Client (as described in FCM/BD CDS Clearing Regulation 1(c)):

(i) references herein to “CDS Buyer” or “CDS Seller”, as the case may be, shall be

understood to be references to such FCM/BD Client (which shall not, for the

avoidance of doubt, prejudice LCH SA’s right to deal solely with the FCM/BD

Clearing Member pursuant to Article 6.1.1.3(vi) of the CDS Clearing Rule Book);

and

(ii) references herein to: (1) a Clearing Member entering into a Cleared Transaction

with LCH SA; and (2) a Clearing Member forming part of a Matched Pair, shall

each be understood as such FCM/BD Clearing Member acting as agent for the

account of such FCM/BD Client (as described in FCM/BD CDS Clearing

Regulation 1(c)).

2. TERMS OF CLEARED TRANSACTIONS 

2.1 General Terms of Cleared Transactions  

(a) Terms of Index Cleared Transactions and Initial Single Name Cleared Transactions

(i) Upon novation of an Original Transaction at the Novation Time in accordance

with Title III (Clearing Operations) of the CDS Clearing Rule Book, each resulting

Index Cleared Transaction or Initial Single Name Cleared Transaction is entered

into by LCH SA and the relevant Clearing Member on the terms of the related

Index Cleared Transaction Confirmation or Single Name Cleared Transaction

Confirmation (as applicable);  

(ii) Each Component Transaction of an Index Cleared Transaction which references

a Markit iTraxx® Europe Index Series 21 or below or a Markit CDXTM Index Series

22 or below to which Section A of the relevant Index Cleared Transaction

Confirmation applies shall be subject to the terms of Part A of this CDS Clearing

Supplement; and

(iii) Each Component Transaction of an Index Cleared Transaction which references

a Markit iTraxx® Europe Index Series 21 or below or a Markit CDXTM Index Series
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22 or below to which Section B of the relevant Index Cleared Transaction

Confirmation applies shall be subject to the terms of Part B of this CDS Clearing

Supplement.

(b) Terms of Spin‐off Single Name Cleared Transactions, Restructuring Cleared

Transactions and Resulting Single Name Cleared Transactions

If any Spin‐off Single Name Cleared Transaction is deemed to have been entered into

by the parties in accordance with the terms of any Index Cleared Transaction or if any

Restructuring Cleared Transaction is created pursuant to Section 5.25.2 (Creation of

Restructuring Cleared Transactions) or if any Resulting Single Name Cleared

Transaction is created pursuant to Section 5.15 (Recouponing) of the Procedures,such

Spin‐off Single Name Cleared Transaction, Restructuring Cleared Transaction or

Resulting Single Name Cleared Transaction is entered into by LCH SA and the relevant

Clearing Member on the terms of the related Single Name Cleared Transaction

Confirmation.

(c) Trade Date of Cleared Transactions following Compression

Notwithstanding paragraphs (a)(a) and (b)(b) above, where Cleared Transactions are

subject to compression in accordance with Chapter 3 (Compression) of Title III

(Clearing Operations) of the CDS Clearing Rule Book, the Trade Date of any resulting

Cleared Transaction(s) shall be, in respect of any Cleared Transaction subject to:

(i) ad hoc compression (as described in Chapter 3 (Compression) of Title III

(Clearing Operations) of the CDS Clearing Rule Book), the date on which the

request for compression was effectively received and processed in accordance

with Section 5 of the Procedures, which shall be:  

(A) the Clearing Day on which such request is submitted and uploaded by

the relevant Clearing Member or Client, as applicable, provided that

such request for compression was received by LCH SA before 7.00 p.m.

on such Clearing Day (if such request is submitted and uploaded by the

relevant Clearing Member or Client, as applicable, via any means of

access specified in a Clearing Notice) or 5.00 p.m. (if such request is not

submitted via any means of access specified in a Clearing Notice in the

case of a disruption of the relevant means of access);  

(B) the Clearing Day on which such request is submitted if such request is

not submitted via any means of access specified in a Clearing Notice in

the case of disruption of the relevant means of access and is submitted

after 5.00 p.m. but LCH SA, in its sole discretion, processes such request

on the Clearing Day on which such request is submitted; and  

(C) unless the relevant Clearing Member or Client, as applicable, instructs

the Operations Department to withdraw such request, the Clearing Day

following the Clearing Day on which such request is submitted if such

request is not submitted via any means of access specified in a Clearing
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Notice in the case of disruption of the relevant means of access and is

submitted after 5.00 p.m. and LCH SA, in its sole discretion, does not

process such request on the Clearing Day on which such request is

submitted; or

(ii) automatic compression (as described in Chapter 3 (Compression) of Title III

(Clearing Operations) of the CDS Clearing Rule Book), the Clearing Day on which

such Cleared Transaction is automatically compressed by LCH SA in accordance

with Section 5 of the Procedures.

2.2 Index Cleared Transaction Confirmation

The Index Cleared Transaction Confirmation is amended, supplemented and completed as

follows:

(a) (i) if the Index Cleared Transaction references a Markit iTraxx® Australia Index, a

Markit iTraxx® Asia ex‐Japan Index or a Markit iTraxx® Europe Index, by deleting the

words "between [] (Party A) and [] (Party B)" in the third line of the first

paragraph; and

(ii) if the Index Cleared Transaction references a Markit CDXTM Index or a Markit CDXTM

Emerging Markets Index, by deleting the words "between [Party A] ("Party A") and

[counterparty's name] ("Party B")" in the third and fourth lines of the first paragraph,

and in each case replacing them with:

"between LCH SA ("Party A") and Clearing Member, as identified in the relevant CDS

Admission Agreement between such Clearing Member and Party A ("Party B")";

(b) (i) if the Index Cleared Transaction references a Markit iTraxx® Australia Index, a

Markit iTraxx® Asia ex‐Japan Index or a Markit iTraxx® Europe Index   Series 22 or

above, by deleting the fourth paragraph thereof (or, for Markit iTraxx® Europe Series

21 or below, the fifth paragraph thereof); and

(ii) if the Index Cleared Transaction references a Markit CDXTM Index or a Markit CDXTM

Emerging Markets Index, by deleting the third paragraph thereof,

and in each case replacing it with the following:  

"This Confirmation supplements, forms a part of, and is subject to, the CDS Clearing

Documentation, as defined in the CDS Clearing Rule Book.";

(c) if the Index Cleared Transaction references a Markit iTraxx® Australia Index, a Markit

iTraxx® Asia ex‐Japan Index or a Markit iTraxx® Europe Index Series 22 or above, by

deleting the fifth paragraph thereof (or, for Markit iTraxx® Europe Series 21 or below,

the sixth paragraph thereof) and replacing it with the following:

"The terms of the iTraxx® Master Transaction, which is an Index Cleared Transaction,

to which this Confirmation relates are as follows:";
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(d) if the Index Cleared Transaction references a Markit CDXTM Index or a Markit CDXTM

Emerging Markets Index, by deleting the fourth paragraph thereof and replacing it

with the following:  

"The terms of the Master Transaction, which is an Index Cleared Transaction, to which

this Confirmation relates are as follows:";

(e) by specifying that the “Calculation Agent” is Party A;

(f) by inserting the following “Additional terms”:  

(i) “The applicable Physical Settlement Matrix is the version of the Physical

Settlement Matrix which is in force on the Clearing Day on which the Index

Cleared Transaction is registered by LCH SA”;

(ii) if the Index Cleared Transaction references a Markit iTraxx® Australia Index, a

Markit iTraxx® Asia ex‐Japan Index or a Markit iTraxx® Europe Index Series 22

or above:

"The Standard Terms Supplement is amended for the purposes of this

Transaction:  

(a)   by deleting in its entirety the last paragraph of the definition of

"Reference Obligation", beginning "If there is no Standard Reference

Obligation and the Index Sponsor..." and deleting the words "and the

following paragraph:" from the first paragraph of the definition of

"Reference Obligation"; and  

(b)   by deleting paragraph 5.5 (De Minimis Cash Settlement) in its entirety";

(iii)   if the Index Cleared Transaction references a Markit iTraxx® Europe Index

Series 21 or below:

"The Legacy Standard Terms Supplement is amended for the purposes of this

Transaction by deleting paragraph 5.4 (De Minimis Cash Settlement) of Section

A and Section B in its entirety";

(iv)   if the Index Cleared Transaction references a Markit CDXTM Index Series 23 or

above:

"The CDX Untranched Terms is amended for the purposes of this Transaction

by deleting paragraph 5.6 (De Minimis Cash Settlement) in its entirety and by

deleting paragraph 5.2 (Monoline Insurer as Reference Entity) in its entirety and

replacing it with the following:

The “Additional Provisions for Monoline Insurer Reference Entities”, published

on September 15, 2014, are incorporated by reference herein and shall be

applicable to each Reference Entity that is identified as a “monoline” in the

Index Annex";
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(v)   if the Index Cleared Transaction references a Markit CDXTM Index Series 22 or

below:

"The CDX Legacy Untranched Terms is amended for the purposes of this

Transaction by deleting paragraph 5.3 (De Minimis Cash Settlement) of Section

A and Section B in its entirety and by deleting paragraph 5.1 (Monoline Insurer

as Reference Entity) of Section B in its entirety and replacing it with the

following:

The “Additional Provisions for Monoline Insurer Reference Entities”, published

on September 15, 2014, are incorporated by reference herein and shall be

applicable to each Reference Entity that is identified as a “monoline” in the

Index Annex.";

(vi)   if the Index Cleared Transaction references a Markit CDXTM Emerging Markets

Index:

"The CDX Untranched Terms is amended for the purposes of this Transaction

by deleting paragraph 5.6 (De Minimis Cash Settlement) in its entirety";

(g) by deleting the contact details for notices and the account details; and

(h) by deleting the signature blocks.

2.3 Single Name Cleared Transaction Confirmation

The Single Name Cleared Transaction Confirmation is amended, supplemented and

completed as follows:

(a) by deleting the words "between us" from the first paragraph thereof and replacing

them with:

"between LCH SA ("Party A") and Clearing Member, as identified in the relevant CDS

Admission Agreement between Clearing Member and Party A ("Party B")";

(b) by deleting the third paragraph thereof and replacing it with the following:

"This Confirmation supplements, forms a part of and is subject to the CDS Clearing

Documentation, as defined in the CDS Clearing Rule Book.";

(c) by specifying that the “Calculation Agent” is Party A;

(d) notwithstanding the terms of the relevant Original Transaction, Standard Reference

Obligation is applicable, provided that if there is no Standard Reference Obligation,

by specifying that the Reference Obligation is the CDSClear Preferred Reference

Obligation;

(e) by deleting references to the Initial Payment Payer and the Initial Payment Amount

in part 2 in relation to Single Name Cleared Transactions in respect of which there is

no Initial Payment Payer and Initial Payment Amount;
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(f) by deleting part 4 in its entirety unless the Transaction Type specified in respect of

the Single Name Cleared Transaction is "North American Corporate" or "Standard

North American Corporate", in which case part 4 shall be included and "Restructuring:

Not Applicable" shall be specified in part 4;  

(g) by deleting parts 5, 6, 7 and 8 in their entirety unless the Reference Entity specified

in respect of a Single Name Cleared Transaction is a monoline insurer, in which case

part 6 shall be included and “Additional Provisions for Monoline Insurer Reference

Entities (September 15, 2014): Applicable” shall be specified in part 6;

(h) by inserting the following provision in the "Additional Terms" section of the

Confirmation:

"Section 11.4 (Merger of Reference Entity and Seller) of the 2014 Definitions shall not

apply."; and

(i) by deleting the signature blocks.

2.4 Amendments to 2014 ISDA Credit Derivatives Definitions

(a) For the purposes of this CDS Clearing Supplement, Section 11.2(c)(iv) of the 2014 ISDA

Credit Derivatives Definitions as incorporated in any Cleared Transaction shall be

amended such that, where LCH SA is the designator in relation to any Restructuring

Cleared Transaction or Physically Settled Cleared Transaction, as applicable, it is

permitted to designate any relevant CDS Buyer or CDS Seller, as applicable, in

accordance with Section 8 (Matched Pair Designations and Notices) as its designee,

notwithstanding that such relevant CDS Buyer or CDS Seller, as applicable, is not its

Affiliate and for the additional purposes of:

(i) delivering or receiving any Credit Event Notice relating to an M(M)R

Restructuring or Notice to Exercise Movement Option (in each case, to the

extent not delivered via a DTCC Notice Facility);

(ii) delivering or receiving any Notice of Physical Settlement or NOPS Amendment

Notice or any Asset Package Notice pursuant to Section 8.2 (Notice of Physical

Settlement) of the 2014 ISDA Credit Derivatives Definitions;

(iii) making or receiving payment of any Physical Settlement Amount and any costs

and expenses of Physical Settlement; and

(iv) delivering or receiving any notice and otherwise exercising any rights or

performing any obligations of LCH SA for the purposes of Sections 9.7 (Buy‐in

of Bonds Not Delivered), 9.8 (Alternative Procedures Relating to Loans Not

Delivered) or 9.9 (Alternative Procedures Relating to Assets Not Delivered) of

the 2014 ISDA Credit Derivatives Definitions.

(b) Section 11.2(a) of the 2014 ISDA Credit Derivatives Definitionsis amended by deleting

the words "any master agreement governing the Credit Derivative Transaction" at the

end thereof and replacing them with the words "the CDS Clearing Documentation".
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(c) Section 11.2(c)(ii) of the 2014 ISDA Credit Derivatives Definitions is amended by

deleting the words "any master agreement governing the Credit Derivative

Transaction" in the second paragraph thereof and replacing them with the words "the

CDS Clearing Documentation".

(d) Section 11.2(c)(iii) of the 2014 ISDA Credit Derivatives Definitions is amended by

deleting both occurrences of the words "a master agreement governing the Credit

Derivative Transaction" and replacing each with the words "the CDS Clearing

Documentation".

(e) The Protocol Effectiveness Condition (as defined in the 2019 ISDA Narrowly Tailored

Credit Event Protocol published by ISDA on 27 August 2019 and as further

supplemented from time to time (the "2019 NTCE Protocol")) being satisfied, then

from and including the Implementation Date (as defined in the 2019 NTCE Protocol)

the amendments set forth in Schedule 1 (Amendments) of the 2019 NTCE Protocol

shall apply to each Cleared Transaction which incorporates the 2014 ISDA Credit

Derivatives Definitions and each such Cleared Transaction shall be a Protocol Covered

Transaction for the purposes of the 2019 NTCE Protocol provided that:

(i) the First Novation Date in respect of such Cleared Transaction is prior to the

Implementation Date;

(ii) such Cleared Transaction is not an Excluded Transaction (as defined in the 2019

NTCE Protocol) provided that if such Cleared Transaction relates to more than

one Reference Entity and would otherwise be a Protocol Covered Transaction

but for the inclusion of any Affected Portion (as defined in the 2019 NTCE

Protocol) therein, such Affected Portion shall be excluded for the purposes of

this Section 2.4(e) and the remaining portion of such Cleared Transaction shall

be deemed to be a Protocol Covered Transaction;

(iii) the Scheduled Termination Date in respect of such Cleared Transaction is on or

after the Implementation Date; and

(iv) no Event Determination Date has occurred in respect of such Cleared

Transaction prior to the Implementation Date.

2.5 Physical Settlement Matrix Updates

(a) Publication of Revised Matrix

If ISDA publishes a new version (the "Revised Matrix") of the Physical Settlement

Matrix that is a Relevant Physical Settlement Matrix in respect of a Reference Entity

(the "Existing Matrix"), LCH SA will, in consultation with the CDSClear Product

Committee, determine whether the Existing Matrix and the Revised Matrix are

fungible for the purposes of Single Name Cleared Transactions referencing the

relevant combination of Reference Entity, Transaction Type and Reference Obligation.  

If there are any changes between the terms of the Revised Matrix and the Existing

Matrix that would apply to Single Name Cleared Transactions referencing the relevant
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combination of Reference Entity, Transaction Type and Reference Obligation and the

Existing Matrix were they to reference the Revised Matrix instead, then the Existing

Matrix and the Revised Matrix shall be deemed not to be fungible and paragraph (c)(c)

below shall apply.

(b) Revised Matrix Fungible

If LCH SA determines in consultation with the CDSClear Product Committee that the

Existing Matrix and the Revised Matrix are fungible for the purposes of Single Name

Cleared Transactions referencing the relevant combination of Reference Entity,

Transaction Type and Reference Obligation (such date of determination, a Matrix Re‐

versioning Date), then:

(i) LCH SA will promptly notify all Clearing Members of such determination; and

(ii) each Single Name Cleared Transaction referencing the relevant combination of

Reference Entity, Transaction Type and Reference Obligation and the Existing

Matrix will, as of the close of business on the Matrix Re‐versioning Date, be

deemed to have been amended so as to reference the Revised Matrix, which

shall become the Relevant Physical Settlement Matrix for the Reference Entity

in respect of such combination of Transaction Type and Reference Obligation.  

For the avoidance of doubt, following the publication of a Revised Matrix, there may

be different Matrix Re‐versioning Dates in respect of (A) Single Name Cleared

Transactions referencing different Reference Entities and (B) Single Name Cleared

Transactions referencing the same Reference Entity but referencing a different

Transaction Type or Reference Obligation.

(c) Revised Matrix not Fungible

If it is determined that the Revised Matrix and the Existing Matrix are not fungible for

the purposes of Single Name Cleared Transactions referencing the relevant

combination of Reference Entity, Transaction Type and Reference Obligation, then

existing Single Name Cleared Transactions referencing such combination of Reference

Entity, Transaction Type and Reference Obligation and the Existing Matrix shall

continue to reference the Existing Matrix.

(d) Original Transactions submitted prior to Matrix Re‐versioning Date

Any Original Transaction referencing a combination of Reference Entity, Transaction

Type and Reference Obligation submitted for clearing after a Matrix Re‐versioning

Date in respect of the relevant combination of Reference Entity, Transaction Type and

Reference Obligation and which references the Existing Matrix prior to such Matrix

Re‐versioning Date will, following novation, result in an Initial Single Name Cleared

Transaction referencing the Revised Matrix.
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2.6 Markit Standard Terms Supplement Updates

If a new version (the "Revised Markit STS") of a Markit Standard Terms Supplement (the

"Existing Markit STS") is published, LCH SA will, in consultation with the CDSClear Product

Committee, determine whether, in respect of that Markit Standard Terms Supplement, Index

Cleared Transactions subject to the Existing Markit STS and Index Cleared Transactions

subject to the Revised Markit STS are fungible for compression purposes in accordance with

the CDS Clearing Documentation.  

If LCH SA determines in consultation with the CDSClear Product Committee that the relevant

Index Cleared Transactions are identical as to their terms, they will be considered as of the

same CDS Type.

2.7 Terms of STM Cleared Transaction

The following terms of a registered STM Cleared Transaction are designated as the

“STM Cleared Terms”.

If a Cleared Transaction is designated as an STM Cleared Transaction in accordance

with Article 3.1.10.7 of the CDS Clearing Rule Book the terms of such Cleared

Transaction will automatically, and without any further action by either party, include

the STM Cleared Terms.  

(a) Net present value

(i) LCH SA shall, at least once per Cash Payment Day, determine the net present

value of this STM Cleared Transaction in such manner and at such times as may

be provided in Section 2 of the Procedures.  

(ii) Immediately upon LCH SA making such a determination of the net present

value of this STM Cleared Transaction:  

(A) An amount (determined in accordance with Section 2.14 (NPV Amount)

of the Procedures) of cash may become due and payable by the Clearing

Member or LCH SA (as applicable, and as determined in accordance with

Section 2.14 (NPV Amount) of the Procedures) under these STM Cleared

Terms; and  

(B) the net present value of this STM Cleared Transaction shall for all

purposes be reset to zero.  

(iii) The amount (if any) referred to in (ii)(A) above shall immediately become due

and payable by the relevant party under the STM Cleared Terms applicable to

this STM Cleared Transaction and shall be made in such manner and at such

times as may be provided in Section 2 of the Procedures.

(iv) In any circumstance preventing the NPV Payments or Variation Margin

Collateral Transfersfrom being performed in US Dollar, LCH SA shall be entitled
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to convert any amount denominated in US Dollar into Euro in accordance with

Article 4.2.3.2 of the CDS Clearing Rule Book.  

(b) Price Alignment Amount  

(i) LCH SA shall, at least once per Cash Payment Day, determine the Price

Alignment Amount in respect of this STM Cleared Transaction in such manner

and at such times as may be provided in Section 2 of the Procedures.  

(ii) Immediately upon LCH SA making such a determination of the Price Alignment

Amount in respect of this STM Cleared Transaction, an amount (determined in

accordance with Section 2.17 (Price Alignment Amount) of the Procedures) of

cash may become due and payable by the Clearing Member or LCH SA (as

applicable, and as determined in accordance with Section 2.17 (Price Alignment

Amount) of the Procedures) under these STM Cleared Terms.  

(iii) The amount (if any) referred to in (ii) above shall immediately become due and

payable by the relevant party under the STM Cleared Terms applicable to this

STM Cleared Transaction and shall be made in such manner and at such times

as may be provided in Section 2 of the Procedures.

3. PAYMENTS AND DELIVERIES 

3.1 Obligation to pay and deliver

Each of LCH SA and each Clearing Member will make each payment or delivery specified

under the terms of each Cleared Transaction to be made by it, subject to the other provisions

of the CDS Clearing Documentation.   

Payments under any Cleared Transaction will be made on the due date for value on that date

in the place of the account specified for the relevant party in the CDS Admission Agreement

(or such other account as may be designated by it from time to time for such purpose in

accordance with the CDS Admissions Agreement and/or the Procedures, as applicable) and

otherwise in accordance with the CDS Clearing Documentation, in freely transferable funds

and in the manner customary for payments in the required currency.   

Deliveries under any Cleared Transaction will be made for receipt on the due date in the

manner customary for the relevant obligation unless otherwise specified in or pursuant to

the CDS Clearing Documentation.

3.2 Payments under Original Transactions

(a) If any Initial Payment Amount or Fixed Amount is due and payable under the terms of

an Original Transaction on or before the Clearing Day on which the related Cleared

Transactions are created by novation pursuant to Title III (Clearing Operations) of the

CDS Clearing Rule Book, such amount shall be payable under and in accordance with

the terms ofsuch Original Transaction. In such event, no corresponding Initial Payment

Amount or Fixed Amount shall be payable in respect of such Cleared Transactions.  
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(b) If the Initial Payment Date of an Original Transaction is a date falling after the Clearing

Day on which the Cleared Transactions related to such Original Transaction are

created by novation pursuant to Title III (Clearing Operations) of the CDS Clearing Rule

Book then the corresponding Initial Payment Date for the related Cleared Transactions

shall occur on the Transaction Business Day  which is also a Clearing Day immediately

following the Clearing Day on which such related Cleared Transactions are created.

4. CREDIT EVENTS, SUCCESSION EVENTS AND RENAME EVENTS 

4.1 Determination of Credit Events and Succession Events

Notwithstanding any provision of any Cleared Transaction to the contrary:

(a) LCH SA (in its capacity as Calculation Agent with respect to such Cleared Transaction)

shall not make any determination pursuant to Section 2.10 (Substitute Reference

Obligation) of the 2014 ISDA Credit Derivatives Definitions or in respect of any matter

which is or may be subject to resolution under Sections 3.5 (Successor Resolutions) or

3.6 (Substitute Reference Obligation Resolutions) of the DC Rules; and

(b) neither LCH SA nor any Clearing Member shall be entitled to deliver a Successor

Notice, a Repudiation/Moratorium Extension Notice or a Credit Event Notice (other

than Credit Event Notices in relation to an M(M)R Restructuring in accordance with

the terms of any Restructuring Cleared Transaction and, where applicable, the DTCC

Rules and Section 7.87.8 (Failure to notify Matched Pairs)).  

4.2 Credit Event Timeline

(a) Publication of Credit Event Timeline

Upon a DC Credit Event Announcement, LCH SA will publish and make available to

Clearing Members a timeline in respect of the relevant Credit Event and related

Affected Cleared Transactions, to notify, among other things, the relevant Novation

Cut‐off Date(s), Compression Cut‐off Date(s) and First Novation Date(s).

Any such timeline shall (i) be published and made available on the date of such DC

Credit Event Announcement or, if LCH SA determines that such publication on such

date is not practicably possible, assoon as practicable thereafter (but in no event later

than the Transaction Business Day before the earlier of the relevant Novation Cut‐off

Date and the relevant Compression Cut‐off Date) and (ii) in all cases be without

prejudice to and consistent with the terms of the CDS Clearing Documentation and

any relevant DC Resolutions.   

(b) Amendment of Credit Event Timeline

Any such timeline may be subject to subsequent amendment by LCH SA, by means of

a Clearing Notice to Clearing Members, only to reflect subsequent DC Resolutions,

timing provisions of any relevant Transaction Auction Settlement Terms and/or

actions of DTCC, or in each case any subsequent amendments thereto. Any such
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amendment shall be made by LCH SA as soon as reasonably practicable following the

relevant event.  

4.3 Novation and Compression following Credit Events

Any Restructuring Cleared Transaction (or portion thereof) in respect of which a valid Credit

Event Notice is not delivered in respect of the relevant M(M)R Restructuring during the

relevant CEN Triggering Period shall become eligible for compression in accordance with

Chapter 3 (Compression) of Title III (Clearing Operations) of the CDS Clearing Rule Book on

the Transaction Business Day following the related Exercise Cut‐off Date applicable to the

relevant Buyer.

By way of clarification to Chapter 3 (Compression) of Title III (Clearing Operations) of the CDS

Clearing Rule Book, LCH SA shall effect compression of relevant Cleared Transactions if and

to the extent requested by a Clearing Member or a Client, as applicable.

4.4 Re‐couponing of Restructuring Cleared Transactions

Following an M(M)R Restructuring, LCH SA may perform re‐couponing in accordance with

Section 5 of the Procedures on any Restructuring Cleared Transaction (or portion thereof) in

respect of which a valid Credit Event Notice has not been delivered during the relevant CEN

Triggering Period, provided that:

(a) LCH SA notifies (such notice, the “Initial Re‐couponing Notice”) all of the relevant

Clearing Members of its intention to perform such re‐couponing and the intended

date of such re‐couponing (such date, the “Re‐Couponing Date”);

(b) the Re‐Couponing Date is no earlier than the later of (i) the end of the relevant CEN

Trigger Period; and (ii) eight Transaction Business Days after the effective date of the

Initial Re‐couponing Notice;

(c) all of the relevant Clearing Members have subsequently consented to the proposed

re‐couponing, subject to confirmation of the terms of such re‐couponing, within five

Transaction Business Days of the effective date of the Initial Re‐couponing Notice;

(d) after receiving consent from all relevant Clearing Members in accordance with

paragraph (c) above, LCH SA notifies (such notice, the “Re‐couponing Notice”) the

relevant Clearing Members, no later than three Transactions Business Days prior to

the Re‐Couponing Date, of the proposed terms of the Resulting Single Name Cleared

Transactions determined by LCH SA in accordance with Section 5 of the Procedures;

and

(e) all of the relevant Clearing Members have subsequently consented to the proposed

terms of such re‐couponing process as set out in the Re‐couponing Notice within two

Transaction Business Days of the effective date of the Re‐couponing Notice.

For the avoidance of doubt, if, in respect of a proposed re‐couponing process, LCH SA does

not obtain consent from all of the relevant Clearing Members in accordance with paragraphs

(c) or(e) above, then LCH SA may elect to propose a re‐couponing process again in accordance
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with this Section 4.4 for so long as any relevant Restructuring Cleared Transactions remain

outstanding.

4.5 Succession Events and Cleared Transactions

If LCH SA determines that any Original Transaction submitted for novation or any Cleared

Transaction subject to compression would have been subject to a Succession Event but will

no longer be subject to such Succession Event upon novation or compression (as applicable)

because of the Trade Date that would be specified with respect to the relevant Cleared

Transactions, LCH SA may take such action as it deems necessary to ensure that such

Succession Event is given effect with respect to such Cleared Transactions, including, without

limitation, specifying an alternate Trade Date for purposes of Section 2.1 (Reference Entity)

of the 2014 ISDA Credit Derivatives Definitions with respect to each relevant Cleared

Transaction or, where LCH SA determines that an alternative course of action is not

practicable, declining to accept such Original Transaction for novation or Cleared Transaction

for compression (as applicable).

4.6 Succession Event Timeline

(a) Publication of Succession Event Timeline

Following the publication of a Successor Resolution, LCH SA will publish and make

available to Clearing Members a timeline in respect of the relevant Succession Event

and related Affected Cleared Transactions, to notify, amongst other things, the

relevant Novation Cut‐off Date(s), Compression Cut‐off Date(s) and First Novation

Date(s).   

Any such timeline shall be published and made available as soon as practicable (but in

no event later than the Transaction Business Day before the earlier of the relevant

Novation Cut‐off Date and the relevant Compression Cut‐off Date) and shall in all cases

be without prejudice to and consistent with the terms of the CDS Clearing

Documentation and any relevant DC Resolutions.   

(b) Amendment of Succession Event Timeline

Any such timeline may be subject to subsequent amendment by LCH SA, by means of

a Clearing Notice to Clearing Members, to reflect subsequent DC Resolutions and any

relevant actions of DTCC, or in each case any subsequent amendments thereto. Any

such amendment shall be made by LCH SA as soon as reasonably practicable following

the relevant event.

4.7 Rename Events

In respect of Single Name Cleared Transactions, if a Reference Entity changes its name (a

"Rename Event"), LCH SA will publish and make available to Clearing Members as soon as

practicable upon becoming aware of such Rename Event a timeline in respect of the relevant

Rename Event and related Affected Cleared Transactions, to notify, amongst other things,

the relevant Novation Cut‐off Date(s), Compression Cut‐off Date(s) and First Novation

Date(s).  
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Any such timeline may be subject to subsequent amendment by LCH SA, by means of a

Clearing Notice to Clearing Members, to reflect any relevant actions of DTCC. Any such

amendmentshall be made by LCH SA assoon asreasonably practicable following the relevant

event.

4.8 Updating Eligible Index Versions

(a) Publication of Revised Index

Where the Index Publisher of an Eligible Index Version publishes a revised version of

such index following:

(i) a DC Credit Event Announcement;  

(ii) a Successor Resolution;  

(iii) the determination of a Substitute Reference Obligation in respect of a Non‐

Standard Relevant Obligation; or

(iv) publication of a revised SRO List,

LCH SA will in consultation with the CDSClear Product Committee determine whether

such revised index version is fungible with the Eligible Index Version after taking

account of the relevant Credit Event, Succession Event or, as applicable, Substitute

Reference Obligation.  

(b) Index Version not Fungible

If LCH SA determines in consultation with the CDSClear Product Committee that such

revised index version is not fungible with the Eligible Index Version after taking

account of the relevant Credit Event, Succession Event or, as applicable, Substitute

Reference Obligation, it shall notify DTCC accordingly so that DTCC does not

automatically update the trade records for Index Cleared Transactions and Index CCM

Client Transactions referencing the relevant Eligible Index Version in the TIW.

(c) Index Fungible

Unless LCH SA has notified DTCC in accordance with paragraph (b)(b) above, following

confirmation from DTCC that the trade records for Cleared Transactions referencing

the relevant index have been updated in the TIW (such date a DTCC Re‐versioning

Date) so that such Cleared Transactions reference the revised index version (which

such revised index version shall become the Eligible Index Version), LCH SA will update

its corresponding records in the CDS Clearing System overnight following such DTCC

Re‐versioning Date. LCH SA will send the relevant reports referred to in Section 5 of

the Procedures to the relevant Clearing Members on the Transaction Business Day

following such DTCC Re‐versioning Date which will be updated so asto refer to Cleared

Transactions referencing the revised index version.
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4.9 Reversal of DC Credit Event Announcements and Margining

If a DC Credit Event Announcement is reversed then, subject to Section 10.2(a)(i) of the 2014

ISDA Credit Derivatives Definitions, LCH SA shall be obliged in accordance with Section 3 of

the Proceduresto calculate and shall be entitled to call for Margin and/or be obliged to return

Margin with respect to each Clearing Member on the basis that the DC Credit Event

Announcement that is reversed had not been made.

5. RESTRUCTURING 

5.1 Creation and Notification of Restructuring Matched Pairs

Following the occurrence of an M(M)R Restructuring, LCH SA will create (on one or, if the

Novation Cut‐off Date in respect of Index Cleared Transactions is prior to the Novation Cut‐

off Date in respect of Initial Single Name Cleared Transactions, two or more occasions)

Restructuring Matched Pairs in accordance with Section 8.18.1 (Creation of Matched Pairs).

Each such Restructuring Matched Pair shall be composed of two Restructuring Cleared

Transactions created at the same time as and as a result of the termination of the relevant

Single Name Cleared Transactions pursuant to Section 5.2 (Creation of Restructuring Cleared

Transactions) below.   

LCH SA shall notify the relevant Matched Buyer and Matched Seller comprised within each

Restructuring Matched Pair of:  

(a) the identity of the other Clearing Member (together with the address, fax number,

telephone number, email address and other applicable notice details of such other

Clearing Member) of such Matched Pair; and  

(b) the associated Restructuring Matched Pair Amount,  

as soon as reasonably practicable following the related Compression Cut‐off Date, but in any

event, at or prior to the RMP Notification Deadline.   

LCH SA will additionally provide to DTCC all relevant "Matching Information" (as defined in

the DTCC Rules) on or prior to the Matching Information Notification Deadline.   

5.2 Creation of Restructuring Cleared Transactions

Upon the notification to the relevant Clearing Members of Restructuring Matched Pairs, the

relevant Initial Single Name Cleared Transactions, Restructuring Cleared Transactions

(created following the occurrence of a previous M(M)R Restructuring), Spin‐off Single Name

Cleared Transactions and Resulting Single Name Cleared Transactions entered into by each

Clearing Member with LCH SA will be deemed terminated and new Restructuring Cleared

Transactions of the same CDS Type will be deemed to be entered into between each such

Clearing Member and LCH SA, with each such Restructuring Cleared Transaction having a

Floating Rate Payer Calculation Amount corresponding to the Restructuring Matched Pair

Amount of a Restructuring Matched Pair in which the relevant Clearing Member is comprised

as a Matched Buyer or a Matched Seller, as applicable.
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5.3 Triggering of Restructuring Cleared Transactions

Subject as set out in Section 7 (Delivery of Notices and Fallbacks), and notwithstanding

anything to the contrary in the terms of any Cleared Transaction, Clearing Members may only

deliver Credit Event Notices in relation to an M(M)R Restructuring during the CEN Triggering

Period following notification of Restructuring Matched Pairs by LCH SA and subject always to

the terms of the relevant Restructuring Cleared Transaction and, where applicable, the DTCC

Rules.

Any Credit Event Notice in respect of an M(M)R Restructuring delivered in respect of a

Restructuring Matched Pair for an amount which is greater than the related Floating Rate

Payer Calculation Amount shall be ineffective as to such excess.

5.4 Notice to Exercise Movement Option

Subject asset out in Section 7 (Delivery of Notices and Fallbacks), Clearing Members may only

deliver a Notice to Exercise Movement Option during the NEMO Triggering Period, subject

always to the other terms of the relevant Restructuring Cleared Transaction and, where

applicable, the DTCC Rules.   

5.5 Reversal of DC Credit Event Announcements

If a DC Credit Event Announcement made in relation to an M(M)R Restructuring is reversed

then, subject to Section 10.2(a)(i) of the 2014 ISDA Credit Derivatives Definitions:

(a) LCH SA shall have no obligation to create Restructuring Matched Pairs in accordance

with Section 5.15.1 (Creation and Notification of Restructuring Matched Pairs), any

such Restructuring Matched Pairs so created shall be deemed not to have been

created and any Credit Event Notices in respect of the relevant M(M)R Restructuring

delivered in connection with such Restructuring Matched Pairs shall be deemed to be

ineffective;  

(b) LCH SA shall, where applicable, make relevant registrations in the TIW in order to

reflect such reversal which shall also automatically result in such registrations being

made in respect of any related CCM Client Transactions; and

(c) Section 4.94.9 (Reversal of DC Credit Event Announcements and Margining) shall

apply.   

5.6 Reports

Without prejudice to the notification requirements set out elsewhere in the CDS Clearing

Documentation, LCH SA will communicate to the relevant Clearing Members, on the basis of

information received from DTCC or, as applicable, from Clearing Members, amongst other

things:

(a) the aggregate Floating Rate Payer Calculation Amounts of Restructuring Cleared

Transactions to which they are a party and which are the subject of Credit Event

Notices; and
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(b) the results of the exercise of any Movement Option in relation to Cleared

Transactions to which they are a party,  

at or around 7.00 p.m. on each day during each CEN Triggering Period and NEMO Triggering

Period, as applicable, through the reports referred to in Section 5 of the Procedures.   

For the avoidance of doubt, such communication shall not affect the validity or effectiveness

of any Credit Event Notice or Notice to Exercise Movement Option which shall be subject to

the terms of the relevant Restructuring Cleared Transaction.

6. PHYSICAL SETTLEMENT 

6.1 General Terms relating to Physical Settlement

Where Physical Settlement is applicable as the Fallback Settlement Method pursuant to

Section 6.1 (Auction Settlement) or 6.15 (Movement Option) of the 2014 ISDA Credit

Derivatives Definitions, each Cleared Transaction will be subject to settlement in accordance

with its terms and this Section 6 (Physical Settlement).

LCH SA hasimplemented a process, asset‐out in this Section 6 (Physical Settlement), pursuant

to which Clearing Members will manage the physical delivery process bilaterally in respect of

any Cleared Transactions for which Physical Settlement is applicable.  

Notwithstanding such process, LCH SA shall remain the legal counterparty for any such

Cleared Transactions for which Physical Settlement is applicable and shall continue to be

liable with respect to its obligations relating to such Physical Settlement, subject to its terms

and this Section 6 (Physical Settlement).

6.2 Creation and Notification of Settlement Matched Pairs

LCH SA will create Settlement Matched Pairs in accordance with Section 8.18.1 (Creation of

Matched Pairs) and notify Matched Buyer and Matched Seller comprised within each

Settlement Matched Pair of:  

(a) the identity of the other Clearing Member (together with the address, fax number,

telephone number, email address and other applicable notice details of each such

other Clearing Member); and  

(b) the associated Settlement Matched Pair Delivery Amount,  

at or prior to the SMP Notification Deadline.   

Notwithstanding the above, the Settlement Matched Pair for a Restructuring Cleared

Transaction shall be the Restructuring Matched Pair previously created by LCH SA in

accordance with Section 5.15.1 (Creation and Notification of Restructuring Matched Pairs) in

respect of such Restructuring Cleared Transaction.
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6.3 Physically Settled Cleared Transactions

Following the actual or deemed creation of such Settlement Matched Pairs, the relevant

Cleared Transactions in respect of which the Fallback Settlement Method applies will be

construed as if they had been terminated and new Cleared Transactions of the same CDS

Type will be deemed to have been entered into between each such Clearing Member and

LCH SA (each such deemed Cleared Transaction being a "Physically Settled Cleared

Transaction").  

Each such Physically Settled Cleared Transaction shall have a Floating Rate Payer Calculation

Amount corresponding to the Settlement Matched Pair Delivery Amount of a Settlement

Matched Pair in which the relevant Clearing Member is comprised as a Matched Buyer or a

Matched Seller, as applicable.   

6.4 Matched Seller Calculation Agent

Notwithstanding any provision to the contrary in a Physically Settled Cleared Transaction (but

subject as set out in Section 6.106.10 (Failure to pay Physical Settlement Amount), the

"Calculation Agent" for the purposes of Article VIII (Termsrelating to Physical Settlement) and

Section 9.6 (Partial Cash Settlement Terms) of the 2014 ISDA Credit Derivatives Definitions

shall be the relevant Matched Seller.

6.5 Notices of Physical Settlement

(a) No Notices of Physical Settlement until Notification of Settlement Matched Pairs  

Subject as set out at Section 7.87.8 (Failure to notify Matched Pairs) and

notwithstanding anything to the contrary in the terms of any Cleared Transaction,

Clearing Members may not deliver any Notices of Physical Settlement or Asset

Package Notices in respect of any Affected Cleared Transactions until they have been

notified of their Settlement Matched Pairs.  

(b) Notice of Physical Settlement and Asset Package Notice to contain Matched Buyer

Account Information

Each Notice of Physical Settlement and Asset Package Notice delivered by Matched

Buyer shall contain, in addition to the information required under the terms of the

relevant Physically Settled Cleared Transaction, Matched Buyer's account information.  

(c) Details of Asset Package

If Asset Package Delivery is applicable in respect of a Physically Settled Cleared

Transaction, the Matched Buyer shall on the NOPS Effective Date, or as soon as

reasonably practicable thereafter, deliver an Asset Package Notice to the Matched

Seller containing a detailed description of the Asset Package that the Matched Buyer

intends to deliver to Matched Seller in lieu of the Prior Deliverable Obligation or

Package Observable Bond that is specified in the Notice of Physical Settlement or

NOPS Amendment Notice, as applicable.
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(d) LCH SA not Liable

LCH SA shall have no liability with respect to any loss, cost, damage or expense

suffered or incurred by a Matched Seller as a result of any error or inaccuracy in any

Notice of Physical Settlement or any NOPS Amendment Notice or Asset Package

Notice sent by a Matched Buyer and shall have no duty to verify any such notice or the

contents thereof.

6.6 Delivery of Non‐DVP Obligations

The following shall apply in relation to any Settlement Matched Pair where: (1) the relevant

Matched Buyer specifies a Non‐DVP Obligation in a Notice of Physical Settlement or a NOPS

Amendment Notice, or (2) if Asset Package Delivery is applicable in respect of a Physically

Settled Cleared Transaction:

(a) The relevant Matched Buyer shall notify LCH SA that it is ready to Deliver the relevant

Non‐DVP Obligation (or if Asset Package Delivery is applicable, the Assets that are to

be delivered) at or prior to 5.30 p.m. on the Transaction Business Day prior to the

date on which Delivery is scheduled to occur.  In such notice, the relevant Matched

Buyer shall also specify the amount of any expenses payable to it under Section

11.2(c)(vi) of the 2014 ISDA Credit Derivatives Definitions.

(b) LCH SA shall notify the relevant Matched Seller at or prior to 6.30 p.m. on the

Transaction Business Day prior to the date on which Delivery is scheduled to occur

that it is obligated to pay LCH SA the amount of the relevant Physical Settlement

Amount corresponding to the Outstanding Amount of such Non‐DVP Obligation  or,

if Asset Package Delivery is applicable in respect ofsuch Settlement Matched Pair, the

amount of such Physical Settlement Amount which corresponds to the Outstanding

Amount of  the Deliverable Obligation(s) in lieu of which the Asset Package is being

Delivered less an amount equal to the Asset Package Cash Settlement Amount

determined in respect of such Asset Package (the "Non‐DVP Asset Package

Settlement Amount") and in each case any amounts in respect of expenses notified

by the relevant Matched Buyer before 9.00 a.m. on the following Transaction

Business Day.

(c) The relevant Matched Seller shall pay to LCH SA the amount(s) so requested on or

prior to 9.00 a.m. on the Transaction Business Day immediately following the date on

which the relevant Matched Buyer notified LCH SA of itsreadinessto Deliver provided

that the request for payment has been made in a timely manner as set out above.

(d) LCH SA shall notify the relevant Matched Buyer that it has received payment at or

prior to 5.30 p.m. on the Transaction Business Day in which LCH SA receives payment,

provided that payment is received by LCH SA at or prior to 9.00 a.m. on such

Transaction Business Day as set out above.

(e) The relevant Matched Buyer shall Deliver the relevant non‐DVP Obligations (or if

Asset Package Delivery is applicable, the Assets that are to be delivered) to the

relevant Matched Seller, provided that, if Asset Package Delivery is applicable the
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relevant Matched Buyer's obligation to deliver any Assets in the form of cash in the

Settlement Currency forming part of the relevant Asset Package will be automatically

satisfied and discharged.

(f) The relevant Matched Seller shall notify LCH SA that Delivery has occurred by 5.30

p.m. on the Transaction Business Day on which Matched Seller receives Delivery of

the relevant Non‐DVP Obligations (or if Asset Package Delivery is applicable, the

relevant Assets that are to be delivered pursuant to this Section 6.6 (Delivery of Non‐

DVP Obligations).  Notices received after 3.30 p.m. will be deemed received on the

next following Transaction Business Day, unless LCH SA agrees otherwise.

(g) If and to the extent that LCH SA has received payment from the relevant Matched

Seller of the Physical Settlement Amount or the Non‐DVP Asset Package Settlement

Amount, as applicable in full on a timely basis as set out above, LCH SA shall pay the

Physical Settlement Amount or the Non‐DVP Asset Package Settlement Amount, as

applicable and any expenses due to the relevant Matched Buyer under Section

11.2(c)(vi) of the 2014 ISDA Credit Derivatives Definitions on or prior to 9.00 a.m. on

the Transaction Business Day following the Transaction Business Day on which LCH

SA receives the notice referred to in sub‐paragraph (e)(e) above from the relevant

Matched Seller.

(h) If and to the extent that Delivery of the relevant Non‐DVP Obligations has not been

effected by the relevant Matched Buyer in accordance with terms of the relevant

Physically Settled Cleared Transaction as of the expiry of the third Transaction

Business Day following delivery of the relevant Matched Buyer's notice referred to

above, the relevant Matched Seller may request LCH SA to repay the Physical

Settlement Amount or the Non‐DVP Asset Package Settlement Amount, as applicable,

not earlier than the first Transaction Business Day following the date on which such

request is effectively delivered to LCH SA.

6.7 Alternative Delivery Procedure

A Matched Buyer and Matched Seller comprising a Settlement Matched Pair may elect to

exercise their rights against and perform obligations to LCH SA in relation to the Settlement

Matched Pair Delivery Amount (or any portion thereof) directly as between themselves.  To

exercise such option, the relevant Matched Buyer and Matched Seller must each notify LCH

SA accordingly (in the form set out in Appendix V hereto) specifying the relevant Matched

Contracts in respect of the related relevant Settlement Matched Pair Delivery Amounts and

obtain the consent of LCH SA, which consent will not be unreasonably withheld or delayed

by more than one Transaction Business Day following receipt ofsuch notification by Matched

Buyer and Matched Seller.

With effect from the time that LCH SA confirms its consent, the Settlement Matched Pair

Delivery Amount will be reduced by the amount specified in the joint notice of the relevant

Matched Buyer and Matched Seller, and the relevant Matched Buyer and Matched Sellershall

each perform their obligations to each other and shall each acquire enforcement rights in

respect of the other party's obligationsto it pursuant to the Contracts(Rights of Third Parties)

Act 1999 in respect of any such reduction as agreed between them.
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6.8 Buy‐in of Bonds – Matched Seller has entered into CCM Client Transaction

The following provisions shall solely be applicable to a Matched Seller that is a CCM in

respect of the Matched Contracts of the Settlement Matched Pair if such Matched Seller

notifies Matched Buyer and LCH SA that it has a CCM Client Transaction which corresponds

to the Matched Seller Contract:

(a) Buy‐in of Bonds – Settlement Matched Pair

Section 9.7 (Buy‐in of Bonds Not Delivered) of the 2014 ISDA Credit Derivatives

Definitions shall not apply in respect of the Matched Contracts of the Settlement

Matched Pair.

(b) Deemed Buy‐in of Bonds resulting from CCM Client Transaction of Matched Seller that

is a CCM

Provided that Physical Settlement has not already occurred in respect of the Matched

Contracts of a Settlement Matched Pair, if:  

(i) the Matched Seller that is a CCM receives a Buy‐in Notice from its CCM Client

in respect of the CCM Client Transaction between such Matched Seller and its

CCM Client which is validly delivered pursuant to the terms of such CCM Client

Transaction (including the Mandatory Provisions), then such Matched Seller

shall notify Matched Buyer and LCH.SA of its receipt of such Buy‐in Notice and

of the content thereof and Matched Buyer'sright to Deliver the Relevant Bonds

specified in the relevant Buy‐in Notice shall be suspended until the fourth

Business Day (inclusive) following the Buy‐In Date specified in the relevant Buy‐

In Notice (the "Deemed Buy‐in Period"); and

(ii) such Matched Seller notifies Matched Buyer and LCH SA that it has been

notified by its CCM Client pursuant to Section 9.7 (Buy‐in of Bonds Not

Delivered) of the 2014 ISDA Credit Derivatives Definitions that a Buy‐in Price

has been determined in respect of Relevant Bonds for the purposes of the CCM

Client Transaction between such Matched Seller and its CCM Client, then on

the third Business Day following receipt by Matched Seller of such notice from

its CCM Client (which such date Matched Seller shall specify) (the "Buy‐in

Effective Date"):  

(A) Matched Buyer will be deemed to have Delivered to such Matched

Seller an Outstanding Principal Balance of the Deliverable Obligations

specified in the Notice of Physical Settlement or any NOPS Amendment

Notice, as applicable, for which a Buy‐in Price was determined by the

CCM Client; and

(B) the Physical Settlement Amount to be paid by such Matched Seller to

Matched Buyer in respect of the Matched Contracts of the Settlement

Matched Pair shall be reduced (but not below zero) by an amount equal

to the amount by which the Physical Settlement Amount to be paid to
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such Matched Seller by its CCM Client in respect of the CCM Client

Transaction has been reduced pursuant to Section 9.7 (Buy‐in of Bonds

Not Delivered) of the 2014 ISDA Credit Derivatives Definitions.

Such Matched Seller shall notify Matched Buyer and LCH SA of the Outstanding

Principal Balance of the Deliverable Obligations and the Physical Settlement

Amount reduction determined in respect of its CCM Client Transaction for the

purposes of (A)(A) and (B)(B) above.

(c) Buy‐in of Bonds – Cap on Settlement

If "60 Business Day Cap on Settlement" is applicable to the Matched Contracts of the

Settlement Matched Pair, then the delivery of a valid notice of Buy‐in Price to Matched

Seller by the CCM Client under the CCM Client Transaction between them that results

in a Buy‐in Effective Date pursuant to sub‐paragraph Error! Reference source not

found.(b)Error! Reference source not found.(ii) above shall be deemed to be the 'valid

notice of Buy‐in Price' referred to in Section 9.10 (Cap on Settlement) of the 2014 ISDA

Credit Derivatives Definitions for the purposes of the Matched Contracts of the

Settlement Matched Pair.

6.9 Alternative Procedures relating to Loans – Buyer Right to Deliver  

The following provision shallsolely be applicable in respect of the Matched Contracts of the

Settlement Matched Pair if a Matched Buyer that is a CCM notifies Matched Seller and LCH

SA that it has a CCM Client Transaction which corresponds to the Matched Buyer Contract:

If a Matched Buyer that is a CCM notifies Matched Seller and LCH SA that it has received a

Bond or Loan from its CCM Client in respect of its CCM Client Transaction pursuant to Section

9.8(i) (Alternative Procedures Relating to Loans Not Delivered) of the 2014 ISDA Credit

Derivatives Definitions, then such Bonds or Loans shall be deemed specified in a NOPS

Amendment Notice for the purposes of the Matched Contracts of the Settlement Matched

Pair and such NOPS Amendment Notice will be effective notwithstanding the fact that it is

deemed specified after the Physical Settlement Date.

6.10 Failure to pay Physical Settlement Amount

If, in relation to any Settlement Matched Pair, a Matched Seller fails to pay all or part of the

Physical Settlement Amount (the Failed Amount) to the related Matched Buyer, as designee

for LCH SA, when due:

(a) the relevant Matched Buyer may and the relevant Matched Seller shall, as soon as

practicable, give notice in writing to LCH SA, giving all material details of the

Settlement Matched Pair involved, the relevant failure to pay and the Failed Amount;

(b) such failure to pay shall not constitute or be deemed to constitute a breach of

contract, event of default or failure to pay by LCH SA under the CDS Clearing

Documentation or otherwise (butsuch failure to pay may, for the avoidance of doubt,

constitute a breach of the CDS Clearing Documentation and/or a Payment Failure for
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the purposes of Article 4.3.1.1 of the CDS Clearing Rule Book by or with respect to the

relevant Clearing Member);

(c) if the relevant Matched Buyer elects to notify LCH SA of such failure to pay as

contemplated above, such Matched Buyer may give any such notice as soon as

reasonably practicable after the occurrence of such failure to pay by the relevant

Matched Seller;

(d) upon notice being given to LCH SA by the relevant Matched Buyer, "Cash Settlement"

between the relevant Matched Buyer and LCH SA and the relevant Matched Seller

and LCH SA pursuant to the Partial Cash Settlement Terms (set out in Section 9.6

(Partial Cash Settlement Terms) of the 2014 ISDA Credit Derivatives Definitions, as

amended by this CDS Clearing Supplement) shall be deemed to apply to the relevant

Physically Settled Cleared Transactions of the Settlement Matched Pair with respect

to the Deliverable Obligations corresponding to the Failed Amount as though:  

(i) the Deliverable Obligations not Delivered were Undeliverable Obligations;  

(ii) the Latest Permissible Physical Settlement Date were the date on which the

relevant Matched Buyer gave the relevant notice to LCH SA;  

(iii) Indicative Quotations were not applicable;   

(iv) the relevant Matched Buyer were the Calculation Agent in respect of the

Physically Settled Cleared Transaction of the Settlement Matched Pair to which

it is a direct party; and

(v) the Cash Settlement Amount determined in respect of the Physically Settled

Cleared Transaction between Matched Buyer and LCH SA is also the Cash

Settlement Amount in respect of the corresponding Physically Settled Cleared

Transaction of the Settlement Matched Pair; and

(e) LCH SA and the relevant Matched Buyer will settle the relevant Physically Settled

Cleared Transaction accordingly.

6.11 Partial Cash Settlement due to Impossibility or Illegality

Section 9.1 (Partial Cash Settlement Due to Impossibility or Illegality) of the 2014 ISDA Credit

Derivatives Definitions shall apply to a Physically Settled Transaction in the circumstances

contemplated therein, provided that Matched Buyer or Matched Seller notifies the other

Clearing Member comprised in the relevant Settlement Matched Pair and LCH SA accordingly.   

In such case, the related Physically Settled Cleared Transaction entered into between LCH SA

and the other Clearing Member comprised in the relevant Settlement Matched Pair shall

likewise be subject to "Cash Settlement" pursuant to the Partial Cash Settlement Terms and

Section 6.146.14 (Consequences of Cash Settlement).    
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6.12 Fallback to Cash Settlement in respect of Non‐Deliverable Obligations

(a) If Matched Buyer is not permitted to Deliver one or more Deliverable Obligations

(such Deliverable Obligations, the Non‐Deliverable Obligations) specified in the

relevant Notice of Physical Settlement or NOPS Amendment Notice to Matched Seller

as designee for LCH SA in the relevant Matched Pair because:

(i) the amount of such Deliverable Obligation to be Delivered is less than the

relevant minimum denomination of such Deliverable Obligation; or

(ii) such Matched Seller is not a permitted transferee under such Deliverable

Obligation (and, in the case of this sub‐section (ii), such circumstance would

not constitute an illegality or impossibility outside the control of a relevant

party for the purposes of Section 9.1 (Partial Cash Settlement Due to

Impossibility or Illegality) of the 2014 ISDA Credit Derivatives Definitions),

then it shall notify the relevant Matched Seller and LCH SA (in the form set out in

Appendix VI hereto) accordingly describing in reasonable detail the relevant

circumstances.   

With effect from such notification,such occurrence shall be treated, in relation to each

relevant Physically Settled Cleared Transaction, as an illegality or impossibility outside

the control of a relevant party for the purpose of Section 9.1 (Partial Cash Settlement

Due to Impossibility or Illegality) of the 2014 ISDA Credit Derivatives Definitions.   

(b) Upon notice being given to LCH SA by Matched Buyer under sub‐paragraph (a) of this

Section 6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations), "Cash Settlement" pursuant to the Partial Cash Settlement Terms shall

be deemed to apply to the Matched Contracts in respect of the relevant Settlement

Matched Pair with respect to the Non‐Deliverable Obligations as though the Non‐

Deliverable Obligations were Undeliverable Obligations and the provisions set out in

Section 6.146.14 (Consequences of Cash Settlement) of this CDS Clearing Supplement

shall apply.   

6.13 Cash Settlement Resulting from CCM Client Transaction of a Matched Buyer that is a CCM

The following provision shallsolely be applicable in respect of the Matched Contracts of the

Settlement Matched Pair if a Matched Buyer that is a CCM notifies Matched Seller and LCH

SA that it has a CCM Client Transaction which corresponds to the Matched Buyer Contract:

If a Matched Buyer that is a CCM notifies Matched Seller and LCH SA that the corresponding

CCM Client Transaction between such Matched Buyer and its CCM Client is to be settled (in

whole or in part) by Cash Settlement pursuant to Section 9.1 (Partial Cash Settlement Due to

Impossibility or Illegality) of the 2014 ISDA Credit Derivatives Definitions or Mandatory

Provision 7.27.2 (Fallback to Cash Settlement in respect of Non‐Deliverable Obligations), then:  

(a) "Cash Settlement" shall be deemed to apply (in whole or in part, as applicable) to the

Matched Contracts of the Settlement Matched Pair pursuant to the Partial Cash

Settlement Terms and Section 6.146.14 (Consequences of Cash Settlement);   
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(b) the 'Undeliverable Obligations' for the purposes of the Partial Cash Settlement Terms

shall be the Undeliverable Obligations or Non‐Deliverable Obligations in respect of

the corresponding CCM Client Transaction; and

(c) the Cash Settlement Amount and the Cash Settlement Date in respect of the Matched

Contracts of the Settlement Matched Pair shall be the same as the Cash Settlement

Amount and the Cash Settlement Date determined in respect of the corresponding

CCM Client Transaction.  

6.14 Consequences of Cash Settlement

If the circumstances set out in either Section 6.116.11 (Partial Cash Settlement Due to

Impossibility or Illegality) or paragraph (a) of Section 6.126.12 (Fallback to Cash Settlement in

respect of Non‐Deliverable Obligations) or Section 6.136.13 (Cash Settlement Resulting from

CCM Client Transaction of a Matched Buyer that is a CCM) apply, then:

(a) the Latest Permissible Physical Settlement Date in respect of the relevant Physically

Settled Cleared Transaction will be deemed to be the first date on which the relevant

Matched Buyer or Matched Seller effectively gave the relevant notice to both LCH SA

and the other Clearing Member as referred to in Section 6.116.11 (Partial Cash

Settlement Due to Impossibility or Illegality) or paragraph (a) of Section 6.126.12

(Fallback to Cash Settlement in respect of Non‐Deliverable Obligations) or Section

6.136.13 (Cash Settlement Resulting from CCM Client Transaction of a Matched Buyer

that is a CCM) above, as applicable, (and for these purposes, Section 9.5 (Latest

Permissible Physical Settlement Date) of the 2014 ISDA Credit Derivatives Definitions

shall not apply);

(b) the relevant Matched Buyer will be deemed to be the Calculation Agent;

(c) LCH SA and the relevant Matched Buyer will settle the applicable Matched Buyer

Contract, and LCH SA and the relevant Matched Seller will settle the applicable

Matched Seller Contract, accordingly; and

(d) where sub‐paragraph (a)(ii) of Section 6.126.12 (Fallback to Cash Settlement in

respect of Non‐Deliverable Obligations) applies, Indicative Quotations shall not be

applicable.

6.15 Amendments to Section 9.6(k) of 2014 ISDA Credit Derivatives Definitions

Solely for the purposes of Section 6.116.11 (Partial Cash Settlement due to Impossibility or

Illegality), Section 6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations), Section 6.136.13 (Cash Settlement Resulting from CCM Client Transaction of a

Matched Buyer that is a CCM) and Section 6.146.14 (Consequences of Cash Settlement) of this

CDS Clearing Supplement, Section 9.6(k) of the 2014 ISDA Credit Derivatives Definitions is

amended by inserting the following at the beginning thereof:

"(A)   For the purposes hereof, in addition to the requirements of Section 7.10, each firm

Quotation shall:
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(1) be for a transaction with Matched Buyer (or its designee) (the Relevant Buyer)

pursuant to which the Relevant Buyer agrees to Deliver the Deliverable

Obligations to the Dealer submitting the firm quotation (the Quoting Dealer),

which transaction shall be governed by documentation that is consistent with

market practice applicable to the sale and purchase of Deliverable Obligations

on the Valuation Date (which may be determined by the relevant Credit

Derivatives Determinations Committee), including, without limitation, a

representation that the Quoting Dealer has completed all "know your

customer" or similar requirements under all applicable laws, regulations and

internal compliance procedures relating to a transaction with the Relevant

Buyer and in respect of the Reference Entity;

(2) be capable of acceptance by the Relevant Buyer (for such purposes, each firm

Quotation must, inter alia, be obtained from a Dealer with whom the Relevant

Buyer, in its sole and absolute discretion, determines that it is able, in

accordance with all itsinternal compliance and policy requirements, to transact

and to Deliver the Deliverable Obligations) and be open for acceptance by the

relevant party for at least 30 minutes; and

(3) be obtained on the basis that if the Relevant Buyer agrees to Deliver the

Deliverable Obligations to such Quoting Dealer on the terms set forth herein,

such Quoting Dealer agrees to pay the settlement amount (calculated and

payable for this purpose in accordance with the relevant market standard

documentation and based on the price so quoted) that would be payable to

the Relevant Buyer for such Deliverable Obligations.

(B) Otherwise,".

6.16 Subsequent Determination by the Credit Derivatives Determinations Committee with

respect to an Auction

If the Fallback Settlement Method applies in respect of a Cleared Transaction and a

subsequent resolution of the Credit Derivatives Determinations Committee determines that

Transaction Auction Settlement Terms will be published, LCH SA shall have no obligation to

create Settlement Matched Pairsin accordance with Section 6.26.2 (Creation and Notification

of Settlement Matched Pairs).  

Unless settlement has occurred with respect to any Settlement Matched Pairs prior to such

determination, any such Settlement Matched Pairs so created shall be deemed not to have

been created and any notices delivered in connection with such Settlement Matched Pairs

shall be deemed to be ineffective.  

LCH SA shall effect any relevant registrations in the TIW in order to reflect the application of

Auction Settlement as the Settlement Method in respect of the relevant Cleared

Transactions.
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6.17 Physical Settlement Costs

If the Fallback Settlement Method applies in respect of a Cleared Transaction and any

amounts are payable in relation to any costs or expenses of Physical Settlement (including

any costs or expensesrelating to the delivery of any Assets forming part of an Asset Package),

then:

(a) where such amount would otherwise be payable by LCH SA to Matched Buyer or

Matched Seller (the Recipient), such amount shall be payable to the Recipient by the

other party to the Matched Contract who is not the Recipient, as designee to pay such

amount on behalf of LCH SA; and

(b) where such amount would otherwise be payable to LCH SA by Matched Buyer or

Matched Seller (the Payer), such amount shall be payable by the Payer to the other

party to the Matched Contract who is not the Payer, as designee to receive such

amount on behalf of LCH SA.  

Any Matched Seller or Matched Buyer who is required to make any payment as designee on

behalf of LCH SA pursuant to this Section 6.176.17 shall not be entitled to any reimbursement

from LCH SA in respect of such amount.

Any Matched Seller or Matched Buyer who receives any payment pursuant to this Section

6.176.17 shall not be obliged to remit to LCH SA any such amount so received (without

prejudice to any rights of LCH SA where there is a failure to Deliver).

LCH SA shall not be liable to a Matched Buyer or a Matched Seller for any of the costs and

expenses of Physical Settlement of any Cleared Transaction.

6.18 Representations and Agreements relating to Physical Settlement

(a) Claims by Matched Seller against LCH SA in respect of Obligations Delivered by

Physical Settlement

If a Matched Seller pursues a claim against LCH SA under Sections 11.2(a), (b), (c)(i) or

(c)(iv) of the 2014 ISDA Credit Derivatives Definitions in respect of any obligations

Delivered by way of Physical Settlement of any Matched Seller Contract, then:

(i) notwithstanding any provision of the 2014 ISDA Credit Derivatives Definitions

to the contrary, LCH SA shall only be liable to make payments to that Matched

Seller in respect of that claim to the extent of amounts recovered, including,

without limitation, any amounts recovered by way of set‐off or netting, by LCH

SA from or on behalf of the related Matched Buyer in respect of any

corresponding claims under or in connection with the Matched Buyer Contract

(including, without limitation, following the declaration of an Event of Default

in respect of such Matched Buyer) and after deducting any costs and expenses

reasonably incurred by LCH SA in pursuing such corresponding claims for

recovery under or in connection with the Matched Buyer Contract;
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(ii) LCH SA will use reasonable efforts to pursue any claim it may have against the

related Matched Buyer but, notwithstanding Section 6.186.18(a)(i) above, LCH

SA will, in the pursuit of such claims, act as though its liability to Matched Seller

under the Matched Seller Contract was not limited or restricted in any way; and

(iii) references to indemnity provisions set out in Section 11.2(a), 11.2(b) and

11.2(c)(iv) of the 2014 ISDA Credit Derivatives Definitions shall, in connection

with a Matched Buyer Contract, be interpreted without regard to the

limitations to Matched Seller's recourse to LCH SA under the corresponding

Matched Seller Contract imposed by the provisions of this Section 6.186.18(a)

and such limitations shall not restrict a Matched Seller from making a claim or

raising a Dispute.

(b) Right of Matched Seller to enforce against Matched Buyer

Without prejudice to paragraph (a) above, a Matched Sellershall be entitled to enforce

Sections 11.2(a), (b), (c)(i) and (c)(iv) of the 2014 ISDA Credit Derivatives Definitions

against the related Matched Buyer in respect of any obligations Delivered by way of

Physical Settlement of any Physically Settled Cleared Transaction under the Contracts

(Rights of Third Parties) Act 1999 as though Matched Seller were party to the relevant

Matched Buyer Contract in place of LCH SA.

(c) Satisfaction of Claim by Matched Buyer discharges Liabilities owed to and by LCH

SA

For the avoidance of doubt, if a Matched Buyer satisfies a claim made by a Matched

Seller directly against the relevant Matched Buyer under Sections 11.2(a), (b), (c)(i) or

(c)(iv) of the 2014 ISDA Credit Derivatives Definitions pursuant to the rights granted to

such Matched Seller under paragraph (b) above, such satisfaction shall also constitute

complete satisfaction and discharge of the corresponding liability of such Matched

Buyer to LCH SA and the corresponding liability of LCH SA to such Matched Seller in

respect of such claim.

(d) Effect of Illegality or Tax or other Expense resulting from Designation through

Creation of Matched Pairs

The last sentence of Section 11.2(c)(iv) of the 2014 ISDA Credit Derivatives Definitions

shall not operate so as to prevent LCH SA from creating any Matched Pair in

accordance with this CDS Clearing Supplement, and LCH SA shall have no obligation to

grant any indemnity with respect to any Tax, loss or cost to any Matched Buyer or

Matched Seller thereunder.   

If the circumstances contemplated at Section 11.2(c)(iv)(A) or (B) of the 2014 ISDA

Credit Derivatives Definitions apply in respect of any Physically Settled Cleared

Transaction and any related Settlement Matched Pair (in the case of (B), as notified by

the Clearing Member which isthe non‐designating party forsuch purpose to the other

Clearing Member comprised in the relevant Settlement Matched Pair prior to the first

Delivery Date), then an impossibility shall be deemed to have occurred with respect
LCH SA © [●]2022 41     Published on [●]12 December 2022

 

to Physical Settlement of the relevant Physically Settled Cleared Transactions, and

Section 9.1 (Partial Cash Settlement Due to Impossibility or Illegality) of the 2014 ISDA

Credit Derivatives Definitions (as amended by this CDS Clearing Supplement) shall

apply.

6.19 Miscellaneous Provisions relating to Physical Settlement

(a) Margin

For the avoidance of doubt, LCH SA will continue to call all Margin and such Margin

will remain due in relation to any Cleared Transaction to which Physical Settlement

applies until:  

(i) LCH SA has received a Notice of Physical Settlement from each Clearing

Member;  

(ii) LCH SA has received a No Physical Settlement Confirmation from each Clearing

Member; or  

(iii) in each case, any related dispute is referred to and finally resolved by

arbitration or by litigation, as applicable, in accordance with the CDS Dispute

Resolution Protocol, subject to the provisions of Sections 8 and 9 of the

Procedures.

(b) Notification of Completion of Physical Settlement

Upon completion of Physical Settlement by the relevant Matched Pair of a Physically

Settled Cleared Transaction, Matched Buyer and Matched Seller shall inform LCH SA

as soon as reasonably practicable and in any event before the date falling two

Transaction Business Days following such completion (the Physical Settlement

Confirmation Deadline) by notice (a Physical Settlement Confirmation) in the form

set out at Appendix VII hereto.  

(c) Notification that Physical Settlement will not occur

If no Notice of Physical Settlement has been delivered within the relevant time period

permitted for such delivery in accordance with the terms of the relevant Physically

Settled Cleared Transaction and, accordingly, Physical Settlement will not, under the

terms of the relevant Physically Settled Cleared Transaction, occur, Matched Buyer

and Matched Seller shall inform LCH SA as soon as reasonably practicable thereafter

and in any event before the date falling two Transaction Business Days following the

relevant date after which delivery of a Notice of Physical Settlement is no longer

permitted in accordance with the terms of the relevant Physically Settled Cleared

Transaction (the No Physical Settlement Confirmation Deadline) by notice (a No

Physical Settlement Confirmation) in the form set out at Appendix VIII hereto.  
LCH SA © [●]2022 42     Published on [●]12 December 2022

 

(d) Dispute regarding Physical Settlement

If LCH SA receives a Physical Settlement Confirmation or No Physical Settlement

Confirmation from one relevant Matched Buyer or Matched Seller only at or prior to

the relevant Physical Settlement Confirmation Deadline or No Physical Settlement

Confirmation Deadline, asthe case may be, there shall be deemed to be a Dispute with

respect to the Physically Settled Cleared Transactions between LCH SA and each

relevant Clearing Member.

(e) Asset Package Delivery

If Asset Package Delivery is applicable in respect of a Physically Settled Cleared

Transaction and an Asset to be delivered is a Non‐Transferable Instrument or Non‐

Financial Instrument, then the Asset shall be deemed to be an amount of cash equal

to the value determined by the CDSClear Product Committee (which, notwithstanding

anything to the contrary, shall be the "Calculation Agent" for the purposes of Section

8.15 (Asset Market Value) of the 2014 ISDA Credit Derivatives Definitions).  

7. DELIVERY OF NOTICES AND FALLBACKS 

7.1 General Rules relating to Notices

(a) Methods of Delivery and deemed Time of Delivery

Subject to Section 7.27.2 (Oral Notices) and without prejudice to Section 1.38

(Requirements Regarding Notices) of the 2014 ISDA Credit Derivatives Definitions and

the remaining provisions of the 2014 ISDA Credit Derivatives Definitions(including, for

the avoidance of doubt, in relation to notices permitted to be given orally), any notice

or other communication in respect of any Cleared Transaction may be given in any

manner described below and will be deemed effective as indicated:

(i) if delivered in person or by courier, on the date and at the time it is delivered;

(ii) if sent by facsimile transmission, on the date it is received by a responsible

employee of the recipient in legible form (it being agreed that the burden of

proving receipt will be on the sender and will not be met by a transmission

report generated by the sender’s facsimile machine);

(iii) if sent by certified or registered mail (airmail, if overseas) or the equivalent

(return receipt requested), on the date it is delivered or its delivery is

attempted; or

(iv) if sent by electronic messaging system (including e‐mail or any other electronic

access solution established by LCH SA for such purpose), on the date it is

received,

unless the date of that delivery (or attempted delivery) or that receipt, as applicable,

is not a Transaction Business Day or that communication is delivered (or attempted)

or received, as applicable, pursuant to the above after 6.00 p.m. in the location of the
LCH SA © [●]2022 43     Published on [●]12 December 2022

 

recipient on a Transaction Business Day, in which case that communication will be

deemed given and effective on the first following day that is a Transaction Business

Day.

(b) Notices from or to LCH SA

Any such notice or communication given by LCH SA to a Clearing Member or vice versa

shall (except where delivered via a relevant DTCC Notice Facility) be given to the

address or number previously specified in or previously notified for the relevant

purpose in accordance with the CDS Admissions Agreement or the Procedures.

(c) Manual Notices between Clearing Members

Notices given by a Clearing Member to another Clearing Member comprised in a

relevant Matched Pair and which are not delivered via a relevant DTCC Notice Facility

shall be given to the address or number notified by LCH SA to the deliveror pursuant

to Sections 5.15.1 (Creation and Notification of Restructuring Matched Pairs) or 6.26.2

(Creation and Notification of Settlement Matched Pairs).   

Such notices shall only be deemed to be delivered effectively by LCH SA through the

relevant Clearing Member as its designee as against the recipient where the address

or number so notified by LCH SA corresponds in all material respects to the address or

number, as applicable, specified by such recipient in or pursuant to the CDS

Admissions Agreement.  

(d) No Obligation on LCH SA to verify Signatories

LCH SA shall have no obligation to verify the authority of any signatory of any notice

delivered by any Clearing Member directly pursuant to this Section 7 (Delivery of

Notices and Fallbacks).

7.2 Oral Notices  

Notwithstanding the provisions of the 2014 ISDA Credit Derivatives Definitions, where, by

way of exception as contemplated in this Section 7, Credit Event Notices and Notices to

Exercise Movement Option are to be delivered directly to LCH SA (and not via a relevant DTCC

Notice Facility), such notices may not be delivered by telephone.

7.3 Credit Event Notices and NEMOs  

(a) Credit Event Notices and NEMOs to be given via DTCC

Credit Event Notices and Notices to Exercise Movement Option shall be delivered by

way of the relevant DTCC Notice Facility,save if and as expressly stated to the contrary

in this Section 7 or expressly agreed by LCH SA.  The deemed time of delivery of any

such notices shall be as set out in the DTCC Rules from time to time.

(b) Credit Event Notices and NEMOs delivered in respect of CCM Client Transaction
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If a Matched Buyer or a Matched Seller that is a CCM receives a valid Credit Event

Notice or Notice to Exercise Movement Option from its CCM Client in respect of a CCM

Client Transaction by way of the relevant DTCC Notice Facility, such notice shall be

deemed also to be a Credit Event Notice or Notice to Exercise Movement Option (as

applicable) for the purposes of the corresponding Matched Contracts of the

Restructuring Matched Pair.    

7.4 Notification of DTCC Failure and Resolution

(a) LCH SA to notify Clearing Members of DTCC Failure Event

If DTCC notifies LCH SA or LCH SA otherwise becomes aware that the relevant DTCC

Notice Facility is or will be unavailable to process all or substantially all Credit Event

Notices or Notices to Exercise Movement Option, as applicable, with respect to an

M(M)R Restructuring in a timely manner (a DTCC Failure Event), then LCH SA will, as

soon as reasonably practicable and in any event within one hour of such notification

or of LCH SA becoming aware of such non‐availability, as applicable, notify all relevant

Clearing Members of such occurrence, including the time at which such failure

occurred (or, if LCH SA is not notified of such time by or on behalf of DTCC, the time at

which LCH SA received the relevant notification from or on behalf of DTCC or becomes

aware of the relevant non‐availability) (the DTCC Failure Event Time). LCH SA shall also

publish such information on its Website as soon as reasonably practicable after

becoming aware of a DTCC Failure Event.

(b) LCH SA to notify Clearing Members of Resolution of DTCC Failure Event

If, subsequent to a DTCC Failure Event, DTCC (or a third party designated under the

DTCC Rules from time to time) notifies LCH SA that a DTCC Failure Event previously

notified to Clearing Members is no longer in effect, LCH SA will as soon as reasonably

practicable notify all relevant Clearing Members accordingly, including the time (the

DTCC Resolution Time) (which must be no earlier than 30 minutes following the time

of such notification) at which such DTCC Failure Event is deemed to have been

resolved and following which the relevant DTCC Notice Facility is operative for the

purposes of delivery of relevant notices relating to Restructuring Cleared Transactions

(including transactions in respect of which notices may have been delivered directly

pursuant to Section 7.57.5 (Consequences of DTCC failure).  LCH SA shall also publish

such information on its Website as soon as reasonably practicable after notifying

Clearing Members that the DTCC Failure Event is no longer in effect and of the DTCC

Resolution Time.

(c) Notices given prior to DTCC Resolution Time to be confirmed to DTCC

LCH SA and, to the extent so requested by LCH SA, each Clearing Member shall, as

soon as reasonably practicable and to the extent permitted by DTCC, provide or

confirm to DTCC details of any relevant notices (in the case of a Clearing Member,

being any relevant notices delivered directly by such Clearing Member) given in

respect of Cleared Transactions prior to the DTCC Resolution Time, so as to permit
LCH SA © [●]2022 45     Published on [●]12 December 2022

 

delivery ofsubsequent noticesin respect ofsuch Cleared Transactions via the relevant

DTCC Notice Facility.

7.5 Consequences of DTCC Failure

From (and including) the DTCC Failure Event Time to (but excluding) the DTCC Resolution

Time:

(a) Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to be given via DTCC) shall not

apply and accordingly Credit Event Notices and Noticesto Exercise Movement Option

shall be delivered directly (and not via the relevant DTCC Notice Facility);

(b) any notice delivered via the relevant DTCC Notice Facility prior to the DTCC Failure

Event Time will be valid and will not be affected by such DTCC Failure Event; and

(c) any notice delivered or purported to be delivered via the relevant DTCC Notice Facility

at or following the DTCC Failure Event Time but prior to the DTCC Resolution Time

will not be valid and effective.

Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to be given via DTCC) shall apply with

effect from the DTCC Resolution Time and, accordingly, any notice thereafter delivered or

purported to be delivered directly (and not via the relevant DTCC Notice Facility) will not be

valid and effective.  

7.6 Clearing Member Communications Failure Event  

(a) Right to deliver Notices manually following Clearing Member Communications

Failure Event

If a Clearing Member is affected by a significant communications or information

technology failure resulting in it being impossible or impractical for such Clearing

Member to deliver any Credit Event Notice in relation to an M(M)R Restructuring or

any Notice to Exercise MovementOption via a relevant DTCC Notice Facility (a Clearing

Member Communications Failure Event) it may, notwithstanding Section 7.37.3(a)(a)

(Credit Event Notices and NEMOs to be given via DTCC) deliver Credit Event Notices

and Notices to Exercise Movement Option directly (and not via the relevant DTCC

Notice Facility).   

(b) Clearing Member to notify LCH SA of Occurrence of Clearing Member

Communications Failure Event

Following the occurrence of a Clearing Member Communications Failure Event, the

affected Clearing Member shall, within one hour of delivering any Credit Event Notice

or Notice to Exercise Movement Option directly, deliver to LCH SA a notice (in the form

set out at Appendix IX hereto) signed by a senior officer (such as a managing director

or equivalent) of such Clearing Member certifying that it is affected by a Clearing

Member Communications Failure Event (or, if such Clearing Member is unable to

deliver such notice in writing, orally by telephone).  
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LCH SA shall notify all Clearing Members accordingly assoon asreasonably practicable

and in any event within one hour of receipt of any such notification.

(c) Notices to Clearing Member affected by Clearing Member Communications Failure

Event

For the avoidance of doubt, Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to

be given via DTCC) shall continue to apply in respect of notices given to the affected

Clearing Member by Clearing Members comprised in any Matched Pair in respect of

which the affected Clearing Member is a Matched Buyer or Matched Seller.

(d) Notification of Resolution of Clearing Member Communications Failure Event

As soon as reasonably practicable upon a Clearing Member ceasing to be subject to a

Clearing Member Communications Failure Event, it shall notify LCH SA accordingly (in

the form set out at Appendix X hereto) and thereupon Section 7.37.3(a)(a) (Credit

Event Notices and NEMOsto be given via DTCC)shall apply and, accordingly, any Credit

Event Notice or Notice to Exercise Movement Option thereafter delivered or

purported to be delivered directly (and not via the relevant DTCC Notice Facility) will

not be valid and effective.

(e) Clearing Member Duty to Mitigate

A Clearing Member which is subject to a Clearing Member Communications Failure

Event shall use reasonable endeavours to mitigate the operational impact on other

Clearing Members and LCH SA of any Clearing Member Communications Failure Event,

to cure such Clearing Member Communications Failure Event as soon as possible and

to ensure that the circumstances giving rise to the relevant Clearing Member

Communications Failure Event do not recur.  

(f) Breach by Clearing Member does not Invalidate Valid Notices

Without prejudice to any other rights or remedy of LCH SA, any breach by a Clearing

Member of the provisions of this Section 7.67.6 shall not cause any Credit Event Notice

or Notice to Exercise Movement Option delivered otherwise than in accordance with

the relevant Restructuring Cleared Transaction, which would otherwise be valid and

effective, to be invalid or ineffective.

7.7 Clearing Member Acknowledgements

(a) Duty to deliver Clearing Member Acknowledgements

Each Clearing Member shall notify LCH SA or deliver a copy to LCH SA of any notice

delivered or received by such Clearing Member to or from another Clearing Member

comprised in a Matched Pair, including, without limitation, any Credit Event Notice or

Notice to Exercise Movement Option which was delivered or received directly (and

not via a DTCC Notice Facility) pursuant to Sections 7.57.5 (Consequences of DTCC

Failure) or 7.67.6 (Clearing Member Communications Failure Event), and which such

Clearing Member asserts or acknowledges was effective for the purposes of this CDS
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Clearing Supplement and the relevant Cleared Transactions (such notification, or

delivery of such copy, in respect of any relevant notice, a Clearing Member

Acknowledgement) by no later than 6.00 p.m. on:  

(i) in the case of a Notice of Physical Settlement or NOPS Amendment Notice or

Asset Package Notice, the date falling two Transaction Business Days following

the date on which such notice was sent; or  

(ii) in the case of any other notice, on the last date on which such notice could

validly be sent,  

(in each case, the Notice Acknowledgement Deadline).

(b) Clearing Member Acknowledgement received from both Clearing Members

Where LCH SA receives a Clearing Member Acknowledgement in respect of any notice

from both relevant Clearing Members comprised in a Matched Pair at or prior to the

Notice Acknowledgement Deadline, LCH SA shall perform its obligations in respect of

the relevant Cleared Transactions in accordance with and subject to the remaining

provisions of the CDS Clearing Documentation.

(c) Clearing Member Acknowledgement received from one Clearing Member

Where LCH SA receives a Clearing Member Acknowledgement in respect of any notice

from one relevant Clearing Member only at or prior to the Notice Acknowledgement

Deadline, the provisions of Section 7.117.11 (Disputes as to Notices) shall apply and

LCH SA and each relevant Clearing Member shall perform their obligations in respect

of the relevant Cleared Transactions in accordance with and subject to the remaining

provisions of the CDS Clearing Documentation and the terms of any final resolution of

the relevant dispute, as agreed between the relevant parties or as determined by

arbitration or by litigation, as applicable, in accordance with the CDS Dispute

Resolution Protocol, subject to the provisions of Sections 8 and 9 of the Procedures.  

In such case, LCH SA shall notify the Clearing Member from which it has not received

a Clearing Member Acknowledgement of the asserted delivery or, as applicable,

receipt of the relevant notice (in the case of a Credit Event Notice or Notice to Exercise

Movement Option, through the reports referred to at Section 5.65.6 (Reports)).  

(d) No Clearing Member Acknowledgement received

Where LCH SA does not receive Clearing Member Acknowledgement or confirmation

of valid delivery in respect of any notice from either Clearing Member in the relevant

Matched Pair on or prior to the relevant Notice Acknowledgement Deadline, the rights

and obligations of LCH SA as against each relevant Clearing Member, and vice versa,

shall be construed as if no such notice had been given.   
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(e) Consequences of no Clearing Member Acknowledgement being received

Where sub‐section (d)(d) above is applicable, the following provisions shall apply:

(i) Notices other than Notices of Physical Settlement, NOPS Amendment Notices

and Asset Package Notices

Save in the case of a Notice of Physical Settlement, a NOPS Amendment Notice

or an Asset Package Notice, an amount shall be payable between the Clearing

Members equal to the difference between the value of the Matched Buyer

Contract had Clearing Member Acknowledgement been given to LCH SA on a

timely basis and the value of such contract in the absence of such

acknowledgement; such difference in value shall be determined as of the

earlier of the day on which notice is given by any relevant Clearing Member

that such amount is due and payable and, in the case of a Credit Event Notice

or Notice to Exercise Movement Option, the eighth Transaction Business Day

following the Auction Settlement Date, no Auction Announcement Date or

Auction Cancellation Date, as applicable or otherwise the eighth Transaction

Business Day following the last day on which such notice would validly have

been delivered, by reference to the relevant Auction Settlement Amount or

end of day contributed prices, in each case if available.   

(ii) Notices of Physical Settlement,  NOPS Amendment Notices and Asset Package

Notices

Where the relevant notice is a Notice of Physical Settlement, a NOPS

Amendment Notice or an Asset Package Notice, the relevant Clearing Members

shall acquire rights as against the other as though party to a bilateral credit

default swap transaction on the terms of the related Matched Buyer Contract

(including, without limitation, as to the occurrence of an Event Determination

Date) and the Notice of Physical Settlement, NOPS Amendment Notice or Asset

Package Notice, as applicable shall be deemed to have been given in respect of

such transaction.    Any resulting payment shall be due and payable two

Transaction Business Days following the giving of a notice that such amount is

due and payable.

In each case, the relevant Clearing Members shall have enforcement rights as against

each other pursuant to the Contracts (Rights of Third Parties) Act 1994 in respect of

any resulting payments and deliveries; LCH SA shall have no liability in respect thereof.

7.8 Failure to notify Matched Pairs

Notwithstanding Section 5.35.3 (Triggering of Restructuring Cleared Transactions) and 6.56.5

(Notices of Physical Settlement), if LCH SA does not notify the relevant Clearing Members of

Restructuring Matched Pairs created pursuant to Section 5.15.1 (Creation and Notification of

Restructuring Matched Pairs) on or prior to the RMP Notification Deadline or Settlement
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Matched Pairs and related information specified in Section 6.26.2 (Creation and Notification

of Settlement Matched Pairs) by the SMP Notification Deadline, as applicable:  

(a) the relevant Clearing Members may deliver Credit Event Notices, Notices to Exercise

Movement Option, Notices of Physical Settlement or NOPS Amendment Notices to

LCH SA, and vice versa;  

(b) the relevant Cleared Transactions shall be subject to Physical Settlement in

accordance with their terms; and  

(c) the provisions of Sections 2.42.4 (Amendments to 2014 ISDA Credit Derivatives

Definitions), 6 (Physical Settlement) and 8 (Matched Pair Designations and Notices)

shall not apply and the terms of this CDS Clearing Supplement shall be construed

accordingly.  

For such purpose, Section 7.37.3 (Credit Event Notices and NEMOs) shall not apply in respect

of notices given by the affected Clearing Members and accordingly Credit Event Notices and

Notices to Exercise Movement Option shall be delivered directly (and not via the relevant

DTCC Notice Facility).

7.9 Failure to notify Matching Information

If LCH SA notifies relevant Clearing Members of Restructuring Matched Pairs created

pursuant to Section 5.15.1 (Creation and Notification of Restructuring Matched Pairs) on or

prior to the RMP Notification Deadline, but does not notify DTCC of relevant Matching

Information on or prior to the RMP Notification Deadline, then Section 7.37.3(a)(a) (Credit

Event Notices and NEMOs to be given via DTCC) shall not apply in respect of notices to be

delivered by affected Clearing Members and accordingly Credit Event Notices and Notices to

Exercise Movement Option shall be delivered directly as between Clearing Members (as

designees of LCH SA) (and not via the relevant DTCC Notice Facility).

7.10 Uncertain Delivery

(a) Manual Notice permitted if Delivery of Notice in DTCC uncertain

Notwithstanding Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to be given via

DTCC), where such notices are permitted to be delivered by means other than the

relevant DTCC Notice Facility pursuant to this Section 7, and a Clearing Member is

uncertain as to whether or not a Credit Event Notice or Notice to Exercise Movement

Option (as applicable) it (or, in the case of a CCM, its CCM Client) attempted to deliver

via a DTCC Notice Facility has:  

(i) actually been delivered; or  

(ii) was delivered prior to the DTCC Failure Time,  

that Clearing Member shall be entitled to deliver such a notice directly to any Clearing

Member comprised in a relevant Matched Pair (as designee of LCH SA) specifying that
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such notice is only to be effective to the extent that the other purported notice is not

effective.  

(b) Details to be provided of Uncertain Notice

If a Clearing Member delivers a manual notice pursuant to sub‐section (a)(a) (Manual

Notice permitted if Delivery of Notice in DTCC uncertain) above,such Clearing Member

shall be required to provide (together with such notice) sufficient details of the notice

attempted to be given by way of the relevant DTCC Notice Facility so as to allow the

other Clearing Member and LCH SA to identify the communication concerned.  

(c) DTCC Notice delivered successfully  

If the first Credit Event Notice or Notice to Exercise Movement Option (as applicable)

to which the manual notice delivered pursuant to sub‐section (a)(a) (Manual Notice

permitted if Delivery of Notice in DTCC uncertain) above relates was actually delivered

successfully, any subsequent Credit Event Notice or Notice to Exercise Movement

Option delivered shall be deemed not to have been delivered.

7.11 Disputes as to Notices

If any Clearing Member comprised in a Matched Pair where one such party is acting as

designee of LCH SA disputes the effective delivery in accordance with the terms of the

relevant Cleared Transactions of any notice delivered directly (and not via a relevant DTCC

Notice Facility) in accordance with this Section 7 (and for such purposes, a dispute between

the relevant Clearing Member and LCH SA shall be deemed to have arisen if LCH SA receives

a Clearing Member Acknowledgement from one relevant Clearing Member only in respect of

any such notice as contemplated at Section 7.77.7(c)(c) (Clearing Member Acknowledgement

received from one Clearing Member)):

(a) LCH SA shall be entitled in accordance with the Procedures to calculate and call for

Margin with respect to each such Clearing Member on the basis of the maximum

requirement for such Clearing Member that could result from any foreseeable

outcome of such dispute;

(b) following final resolution of such dispute by arbitration or by litigation, as applicable,

in accordance with the CDS Dispute Resolution Protocol, subject to the provisions of

Sections 8 and 9 of the Procedures, the Clearing Members comprised in the relevant

Matched Pair shall take such actions with respect to the Cleared Transactions the

subject of such dispute as LCH SA determines appropriate to give effect to any

relevant binding resolution; and

(c) without prejudice to its obligations upon final resolution of the dispute, pending final

resolution of any such dispute, LCH SA shall not be obliged to take any step pursuant

to the terms of the relevant Cleared Transactions which would be required to have

been taken by it had the relevant notice been validly delivered.

Each relevant Clearing Member must promptly notify LCH SA of any such disputes (in the

form set out at Appendix XI hereto).
LCH SA © [●]2022 51     Published on [●]12 December 2022

 

8. MATCHED PAIR DESIGNATIONS AND NOTICES 

8.1 Creation of Matched Pairs

LCH SA will create Matched Pairs where required to do so pursuant to Section 5.15.1 (Creation

and Notification of Restructuring Matched Pairs) or 6.26.2 (Creation and Notification of

Settlement Matched Pairs) using a matching procedure that matches CDS Sellers with CDS

Buyers pursuant to an algorithm incorporating the following principles:

(a) the procedure seeks to create Matched Pairs between the same Clearing Member to

the extent it is possible to do so before creating Matched Pairs between different

Clearing Members and, for this purpose, in the context of CCMs, the procedure will

create Matched Pairs separately  for CCMs and their CCM Clients (individually where

the CCM Client is allocated to a single CCM Client Margin Account or together where

a set of CCM Clients is allocated to a single CCM Client Margin Account) and Clearing

Member will be construed accordingly;

(b) the procedure seeks to minimise the number of Matched Pairs (and accordingly,

largest positions will be matched first);

(c) each Matched Pair will, to the extent possible, have an aggregate Restructuring

Matched Pair Amount or, as applicable, Settlement Matched Pair Delivery Amount,

which meets the criteria as set out in a Clearing Notice; and

(d) LCH SA will allocate a Restructuring Matched Pair Amount or, as applicable,

Settlement Matched Pair Delivery Amount to each Matched Pair such that:

(i) the sum of all Restructuring Matched Pair Amounts or, as applicable,

Settlement Matched Pair Delivery Amounts, of each CDS Buyer is equal to

the aggregate Floating Rate Payer Calculation Amounts in respect of all (A)

Initial Single Name Cleared Transactions, Restructuring Cleared Transactions

(created following the occurrence of a previous M(M)R Restructuring), Spin‐

off Single Name Cleared Transactions and Resulting Single Name Cleared

Transactions or (B) Cleared Transactions in respect of which the Fallback

Settlement Method applies to the CDS Type for such Cleared Transaction, as

applicable, to which such CDS Buyer is a party; and  

(ii) the sum of all Restructuring Matched Pair Amounts or, as applicable,

Settlement Matched Pair Delivery Amounts, of each CDS Seller is equal to

the aggregate Floating Rate Payer Calculation Amounts in respect of (A)

Initial Single Name Cleared Transactions, Restructuring Cleared Transactions

(created following the occurrence of a previous M(M)R Restructuring), Spin‐

off Single Name Cleared Transactions and Resulting Single Name Cleared

Transactions or (B) Cleared Transactions in respect of which the Fallback

Settlement Method applies to the CDS Type for such Cleared Transaction, as

applicable, to which such CDS Seller is a party.

Notwithstanding the above, if the Fallback Settlement Method appliesin relation to a Cleared

Transaction and an M(M)R Restructuring, the Restructuring Matched Pairs previously created
LCH SA © [●]2022 52     Published on [●]12 December 2022

 

pursuant to Section 5.15.1 (Creation of Restructuring Matched Pairs) and this Section 8.18.1

shall be deemed to be Settlement Matched Pairs created in accordance with Section 6.26.2

(Creation and Notification of Settlement Matched Pairs) and LCH SA shall have no obligation

to create Settlement Matched Pairs in respect of such Cleared Transaction.

8.2 Registration of new Cleared Transactions and Removal of original Cleared Transactions

To the extent that any Cleared Transaction created pursuant to Section 5.25.2 (Creation of

Restructuring Cleared Transactions) or Section 6.36.3 (Physically Settled Cleared

Transactions) is not automatically registered in accordance with the DTCC Rules, LCH SA shall

register such new Cleared Transaction in the TIW in accordance with the DTCC Rules prior to

6.00 p.m. on the date on which the RMP Notification Deadline or SMP Notification Deadline

(as applicable) falls.  In respect of CCMs and CCM Clients only, such registration by LCH SA

shall also result in the automatic registration of any amendments made to the corresponding

CCM Client Transactions.   

In addition, LCH SA will, on behalf of the relevant Clearing Member, send an “Exit” message

to the TIW in accordance with the DTCC Rules to terminate and remove the corresponding

original Cleared Transaction(s) from the TIW prior to 6.00 p.m. on the date on which the RMP

Notification Deadline or SMP Notification Deadline (as applicable) falls.

8.3 Matched Buyer Contracts

In respect of each Matched Buyer Contract which is the subject of a Matched Pair, LCH SA,

pursuant to Section 11.2(c)(iv) of the 2014 ISDA Credit Derivatives Definitions (amended as

set out at Section 2.42.4 (Amendments to 2014 ISDA Credit Derivatives Definitions)), as

designator, shall be deemed to have designated Matched Seller in such Matched Pair as its

designee:

(a) to receive on its behalf from, and to deliver on its behalf to, Matched Buyer of the

Matched Pair any applicable notices or certifications in accordance with the terms of

the applicable Cleared Transaction (other than notices required to be delivered via a

DTCC Notice Facility);

(b) other than in respect of the Physical Settlement Amount relating to the settlement of

Non‐DVP Obligations as referred to in Section 6.66.6 (Delivery of Non‐DVP

Obligations), to pay on behalf of LCH SA any applicable Physical Settlement Amount

in accordance with the terms of the applicable Physically Settled Cleared Transaction,

and to pay to, and to receive from, Matched Buyer of the Matched Pair, in each case,

on behalf of LCH SA, any other amounts due and payable (including costs and

expenses of settlement due under the applicable Matched Buyer Contract); and

(c) to take Delivery, on behalf of LCH SA, of Deliverable Obligations from Matched Buyer

of the Settlement Matched Pair.

The relevant Matched Seller shall be deemed to have accepted such designation upon

notification of the relevant Matched Pair created and notified in accordance with the

provisions of this CDS Clearing Supplement.
LCH SA © [●]2022 53     Published on [●]12 December 2022

 

8.4 Matched Seller Contracts

In respect of each Matched Seller Contract which is the subject of a Matched Pair, LCH SA,

pursuant to Section 11.2(c)(iv) of the 2014 ISDA Credit Derivatives Definitions (as amended

pursuant to Section 2.42.4 (Amendments to 2014 ISDA Credit Derivatives Definitions) above),

as designator, shall be deemed to have designated Matched Buyer in such Matched Pair as

its designee:

(a) to receive on its behalf from, and to deliver on its behalf to, Matched Seller of the

Matched Pair any applicable notices or certifications in accordance with the terms of

the applicable Cleared Transaction (other than notices required to be delivered via a

DTCC Notice Facility);

(b) other than in respect of any Physical Settlement Amount relating to the settlement

of Non‐DVP Obligations as referred to in Section 6.66.6 (Delivery of Non‐DVP

Obligations), to receive on behalf of LCH SA the applicable Physical Settlement

Amount in accordance with the terms of any applicable Physically Settled Cleared

Transaction, and to pay to, and to receive from, Matched Seller of the Matched Pair,

in each case, on behalf of LCH SA, any other amounts due and payable (including costs

and expenses of settlement due under the Matched Seller Contract); and

(c) to Deliver, on behalf of LCH SA, the relevant Deliverable Obligationsto Matched Seller

of the Settlement Matched Pair.

The relevant Matched Buyer shall be deemed to have accepted such designation upon

notification of the relevant Matched Pair created and notified in accordance with the

provisions of this CDS Clearing Supplement.

8.5 Exercise of Rights

In relation to each Matched Pair:

(a) the exercise of any rights by Matched Buyer against LCH SA under a Matched Buyer

Contract (other than the right to give any notice via DTCC Notice Facility) shall be

deemed to constitute the exercise of equal and simultaneousrights by LCH SA against

Matched Seller under the Matched Seller Contract of the relevant Matched Pair; and

(b) the exercise of any rights by Matched Seller against LCH SA under a Matched Seller

Contract (other than a right to give notice under a DTCC Notice Facility) shall be

deemed to constitute the exercise of equal and simultaneousrights by LCH SA against

Matched Buyer under the Matched Buyer Contract of the relevant Matched Pair.
LCH SA © [●]2022 54     Published on [●]12 December 2022

 

8.6 Clearing Member matched with Itself

(a) Notices

In the event that:  

(i) Matched Buyer and Matched Seller of a Matched Pair pursuant to this Section

8 (Matched Pair Designations and Notices) is the same Clearing Member; and

(ii) notwithstanding Section 7.37.3(a)(a) (Credit Event Notices and NEMOs to be

given via DTCC), a notice or certification is permitted to be delivered in respect

of one of the Cleared Transactions forming part ofsuch Matched Pair by means

other than the relevant DTCC Notice Facility pursuant to Section 7 (Delivery of

Notices and Fallbacks),

such notice shall be deemed to be given upon such Clearing Member sending a

Clearing Member Acknowledgement to LCH SA pursuant to Section 7.77.7(a)(a) (Duty

to deliver Clearing Member Acknowledgements) above in respect of such notice and

Section 7.77.7(b)(b) (Clearing Member Acknowledgement received from both Clearing

Members) shall apply.

(b) Payments and Deliveries

In the event that:  

(i) Matched Buyer and Matched Seller of a Matched Pair pursuant to this Section

8 (Matched Pair Designations and Notices) is the same Clearing Member; and

(ii) such Clearing Member is required to make a payment or delivery pursuant to

the terms of one of the Cleared Transactionsforming part ofsuch Matched Pair

as designate of LCH SA,

such payment or delivery shall be deemed to have been made upon such Clearing

Member giving notice to LCH SA in accordance with Section 7.17.1 (General Rules

relating to Notices) that such payment or delivery should be deemed to have been

made for the purposes of such Cleared Transaction.

8.7 Notices

In relation to each Matched Pair:

(a) where Matched Buyer validly delivers or serves any notice to Matched Seller as

designee of LCH SA in accordance with the terms of a relevant Matched Buyer

Contract,such notice shall additionally be effective as a notice given by such Matched

Buyer as designee of LCH SA to Matched Seller for the purposes of the relevant

Matched Seller Contract; and

(b) where Matched Seller validly delivers or serves any notice to Matched Buyer as

designee of LCH SA in accordance with the terms of a relevant Matched Seller

Contract,such notice shall additionally be effective as a notice given by such Matched
LCH SA © [●]2022 55     Published on [●]12 December 2022

 

Seller as designee of LCH SA to Matched Buyer for the purposes of the relevant

Matched Buyer Contract.

9. SELF-REFERENCING TRANSACTIONS 

9.1 Occurrence of Clearing Member Self Referencing Transaction   

(a) Duty to notify

In respect of a Single Name Cleared Transaction that is registered in the House

Account Structure of a Clearing Member, the relevant Clearing Member shall, unless

prohibited from so doing by applicable law or its internal policies, notify LCH SA as

soon as reasonably practicable if:

(i) such Clearing Member is or consolidates or amalgamates with, or merges into,

or transfers all or substantially all of its assets to, the Reference Entity in

relation to such Single Name Cleared Transaction, or entersinto any agreement

in respect of any of the foregoing;

(ii) such Clearing Member and the Reference Entity in relation to such Single Name

Cleared Transaction are or become Affiliates; or

(iii) in respect of a Restructuring Cleared Transaction, such Clearing Member is or

becomes the Reference Entity in relation to such Restructuring Cleared

Transaction as a result of the occurrence of the relevant M(M)R Restructuring.

(b) Auction of Affected Transactions

Following receipt of any such notification or occurrence of a Clearing Member Self

Referencing Transaction due to a registration of Transfer Positions under Clause 6 of

the CDS Default Management Process or a transfer of Client  Cleared Transactions to

the House Trade Account under TITLE V, Chapter 4 or TITLE VI, Chapter 4 of the CDS

Clearing Rule Book, LCH SA will, unless otherwise agreed in consultation with the CDS

Default Management Group and the affected Clearing Member, and with the

assistance of the CDS Default Management Group, conduct an auction process to

liquidate the relevant Single Name Cleared Transaction and enter into an equivalent

Single Name Cleared Transaction with a Clearing Member other than the affected

Clearing Member.   

(c) Alternative Action

If LCH SA, after consultation with the CDS Default Management Group and the

affected Clearing Member, believes that the circumstances are such that an auction

may be inappropriate, LCH SA may take such other action in consultation with the Risk

Committee as it considers reasonably necessary to achieve its primary aim in these

circumstances of addressing the risks resulting from a Clearing Member being party

to a Clearing Member Self Referencing Transaction, while endeavouring, as far as is

reasonably practicable in the circumstances without prejudicing the achievement of
LCH SA © [●]2022 56     Published on [●]12 December 2022

 

the primary aim, to avoid materially and adversely affecting the relevant Clearing

Member.

(d) Compression of Affected Transactions prior to Auction

Prior to determining the Single Name Cleared Transactions to be subject to any

auction pursuant to paragraph (b)(b) above, where the affected Clearing Member acts

as CDS Buyer and CDS Seller in respect of fungible Single Name Cleared Transactions,

LCH SA shall, in consultation with the CDS Default Management Committee as to the

transaction sizes of resulting Single Name Cleared Transactions to be auctioned,

compresssuch Single Name Cleared Transactions up to the extent that, following such

compression, Single Name Cleared Transactions representing in aggregate the Open

Position of the affected Clearing Member in respect of such fungible Single Name

Cleared Transactions are recognised.  

For these purposes, LCH SA will provide the affected Clearing Member with a report

detailing the Single Name Cleared Transactions to be subject to such compression.  

The affected Clearing Member will be deemed to have submitted a request to LCH SA

prior to 5.00 p.m. on the day on which LCH SA carries out the compression for ad hoc

compression of such Single Name Cleared Transactions in accordance with Section 5

of the Procedures and such compression shall be carried out in accordance with

Section 5 of the Procedures on the basis of such deemed request for ad hoc

compression.

(e) Auction Terms

LCH SA shall determine the timing and other particular characteristics of each such

auction in consultation with the CDS Default Management Committee, including

determining the size of the bid/offer spread and/or of the Single Name Cleared

Transactions to be auctioned, whether one or more such auctions are to be held and

the timing and structure of such auctions (including the frequency at which firm bid

and firm offer quotations will be requested and the transaction size (that is, the

Floating Rate Payer Calculation Amount)).  

Clearing Members (excluding the affected Clearing Member) may be requested, and

will not be required, to submit actionable quotations in such an auction.

(f) Creation of New Transactions and Termination of Existing Transactions

LCH SA will enterinto Single Name Cleared Transactions with Clearing Members, other

than the affected Clearing Member, in the amount and at the prices determined

pursuant to such auction.  

At the time of entering into such Single Name Cleared Transactions, the corresponding

Single Name Cleared Transactions of the affected Clearing Member shall be

terminated by reference to the prices at which LCH SA enters into such new Single

Name Cleared Transactions.  
LCH SA © [●]2022 57     Published on [●]12 December 2022

 

The affected Clearing Member, LCH SA and the other Clearing Members, as applicable,

shall submit such information as is required in accordance with the DTCC Rules so as

to reflect the terms of any reduction to, termination of or entry into of any Single

Name Cleared Transaction as a result of any such auction(s).  

(g) Costs of LCH SA

The affected Clearing Member will bear the cost of the associated bid/offer spread

and any reasonable out‐of‐pocket costs and expenses of LCH SA in connection with

such auction(s) and its entering into such new Single Name Cleared Transactions.   

(h) LCH SA to determine Amounts Owed and Payable

Amounts owed by the affected Clearing Member to, or receivable by it from, LCH SA

in connection with any such auction shall be determined by LCH SA.  

In addition, any amounts payable (and the dates of settlement with respect thereto)

relating to any Single Name Cleared Transactions created, reduced or terminated

pursuant to any such auction shall be determined by LCH SA.

9.2 Occurrence of Client Self Referencing Transactions   

(a) Notification

In respect of a Single Name Cleared Transaction registered in the Client Account

Structure of a Clearing Member, the relevant Clearing Member, as applicable, shall,

unless prohibited from so doing by applicable law or its internal policies, notify LCH

SA as soon as reasonably practicable if it receives a notice from the Client that:

(i) the Client is or has consolidated or amalgamated with, or merged into, or has

transferred all or substantially all of its assets to, the Reference Entity in

relation to such Single Name Cleared Transaction or entered into any

agreement in respect of any of the foregoing;

(ii) the Client and the Reference Entity in relation to such Single Name Cleared

Transaction are or have become Affiliates; or

(iii) in respect of a Restructuring Cleared Transaction, the Client is or has become

the Reference Entity in relation to such Restructuring Cleared Transaction as a

result of the occurrence of the relevant M(M)R Restructuring.

(b) Auction Process

Following the giving of any such notification:  

(i) LCH SA will, unless otherwise agreed in consultation with the CDS Default

Management Group and the relevant Clearing Member, conduct an auction

process in consultation with the CDS Default Management Group and the

relevant Clearing Member, to liquidate the relevant Single Name Cleared
LCH SA © [●]2022 58     Published on [●]12 December 2022

 

Transaction and enter into an equivalent Single Name Cleared Transaction with

another Clearing Member; and

(ii) the provisions of Section 9.1. (Occurrence of Clearing Member Self Referencing

Transaction) will apply mutatis mutandis, provided that:

(A) Section 9.1(a) (Duty to Notify) and 9.1(b) (Auction of Affected

Transactions) shall not apply;

(B) Section 9.1(d) (Compression of Affected Transactions prior to Auction) is

amended by deleting the words "to paragraph (b) above" and replacing

them with the words "as a result of Section 9.2 (Occurrence of Client Self

Referencing Transactions)";

(C) Section 9.1(d) (Compression of Affected Transactions prior to Auction) is

amended in the case of CCM Clients only by inserting the words "that

have a corresponding CCM Client Transaction with the affected CCM

Client" immediately after the words "in respect of fungible Single Name

Cleared Transactions";

(D) Section 9.1(e) (Auction Terms) is amended by deleting the words  

“(excluding the affected Clearing Member)” in the final paragraph

thereof;

(E) Section 9.1(f) (Creation of New Transactions and Termination of Existing

Transactions) is amended by deleting the words    "other than the

affected Clearing Member" in the first paragraph thereof; and

(F) Each reference to "affected Clearing Member" in Section 9.1

(Occurrence of Clearing Member Self Referencing Transaction) is deleted

and replaced with a reference to "relevant Clearing Member".

(c) Costs of LCH SA

The cost of the associated bid/offer spread and any reasonable out‐of‐pocket costs

and expenses of LCH SA in connection with such auction(s) or any alternative action

shall be allocated to the CCM Client Collateral Account or the FCM/BD Client Collateral

Account as applicable.

10. MANDATORY PROVISIONS FOR CCM CLIENT TRANSACTIONS 

In Appendix XIII, certain provisions are set‐out (the "Mandatory Provisions") for

incorporation into a CCM Client Transaction between a CCM and its CCM Client that

corresponds to a CCM Client Cleared Transaction registered in the CCM Client Trade Account

in the name of such CCM for such CCM Client. The CDS Clearing Supplement and these

Mandatory Provisions have been drafted so as to complement each other.  
LCH SA © [●]2022 59     Published on [●]12 December 2022

 

LCH SA shall not be responsible for any loss suffered or expense incurred by a CCM or any

CCM Client as a result of the inclusion or non‐inclusion of the Mandatory Provisions in the

CCM Client Transaction Documents.

11. AMENDMENTS 

LCH SA may amend the provisions of this CDS Clearing Supplement (including, without

limitation, the Mandatory Provisions) from time to time so as to comply with any legal or

regulatory developments or any recommendations adopted by the industry in respect of CDS

or Cleared Transactions or CCM Client Transactions, as applicable, or so as to reflect any

technological advancements, in each case in accordance with the provisions of Section 1.2.2

(Modification) of Chapter 2 (General Provisions) of the CDS Clearing Rule Book.          

12. FORMS OF NOTICES 

A form of Credit Event Notice, Notice to Exercise Movement Option, Notice of Physical

Settlement, NOPS Amendment Notice, Asset Package Notice,  notice to exercise alternative

delivery procedure pursuant to Section 6.76.7 (Alternative Delivery Procedure), notice to

fallback to Cash Settlement in respect of Non‐Deliverable Obligations pursuant to Section

6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable Obligations), Physical

Settlement Confirmation, No Physical Settlement Confirmation, notice of Clearing Member

Communications Failure Event and where no longer subject to a Clearing Member

Communications Failure Event, in each case pursuant to Section 7.67.6 (Clearing Member

Communications Failure Event), notice of dispute relating to any Matched Pair as

contemplated by Section 7.117.11 (Dispute as to Notices) and notice relating to Self‐

Referencing Transactions as contemplated by Section 9 (Self‐Referencing Transactions) is set

out in Appendix I, II, III, IVA, IVB, V, VI, VII, VIII, IX, X, XI and XII respectively hereto.  

Any of the above referenced notices shall be delivered in substantially the form appended

hereto, provided, for the avoidance of doubt, that such notices may refer to multiple

transactions and may have certain firm‐specific variations.

For the avoidance of doubt, the above referenced noticesshall be governed by and construed

in accordance with English law.

13. EXCLUSION OF LIABILITY 

Without prejudice to the provisions of Article 1.2.10.3 of the CDS Clearing Rule Book:

(a) No liability for Failure of Designee to perform in respect of Matched Pair

Without prejudice to its obligations under or in respect of a Cleared Transaction, LCH

SA shall not be liable for any loss or cost arising out of any failure of any Clearing

Member comprised in a Matched Pair to perform its obligations as designee of LCH SA

against a related Matched Buyer or Matched Seller, as applicable.  
LCH SA © [●]2022 60     Published on [●]12 December 2022

 

(b) No liability for Fault of Third Party or Force Majeure

LCH SA shall have no liability to any person where Restructuring Cleared Transactions

are not or are improperly created, Restructuring Cleared Transactions are not or are

improperly terminated or the Movement Option process is not or is improperly

implemented, in each case for the purposes of the DTCC Rules, because of a third

party’s fault or a force majeure event. In particular, LCH SA shall not incur any liability

arising as a result of any action or omission of DTCC.  

(c) No Obligation to verify Notices received

LCH SA shall have no responsibility to verify the contents of any notice received by it

from any Clearing Member under the terms of any Cleared Transaction.   

14. DISPUTE RESOLUTION 

For the avoidance of doubt, all Disputesshall be referred to and finally resolved by arbitration

or by litigation, as applicable, in accordance with the CDS Dispute Resolution Protocol,subject

to the provisions of Sections 8 and 9 of the Procedures.

15. GOVERNING LAW 

For the avoidance of doubt, the governing law applicable to this CDS Clearing Supplement

(excluding the Mandatory Provisions to the extent that such terms are incorporated by

reference in the CCM Client Transaction Documents entered into between a CCM and its CCM

Client in respect of a CCM Client Transaction), the 2014 ISDA Credit Derivatives Definitions

and any Cleared Transactions (and any related definitions or Clearing Notices issued in

respect of the CDS Clearing Supplement, the 2014 ISDA Credit Derivatives Definitions or any

Cleared Transactions) and any non‐contractual obligations arising out of, relating to or having

any connection with them shall be as set out in Section 1.2.14 (Governing Law) of the CDS

Clearing Rule Book.
APPENDIX I: FORM OF CREDIT EVENT NOTICE

To: [Restructuring Matched Pair Counterparty Address and Contact Information]

[To/Copy to:]

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

CREDIT EVENT NOTICE:  

Credit Derivative Transaction Details:  As set out in the Schedule hereto2.

Reference is made to the Credit Derivative Transaction[s] described in the Schedule hereto (the

Transaction[s]).    Capitalised terms used and not otherwise defined in this letter shall have the

meanings given them in the confirmation of the relevant Transaction.  

This letter is our Credit Event Notice to you that a [insert type] Credit Event occurred with respect to

[insert name of Reference Entity] on or about [insert date], when [describe Credit Event].

Nothing in this letter shall be construed of a waiver of any rights we may have with respect to the

Transaction.

Sincerely  

[Clearing Member]

________________________

Name:

Title:

2 A single Credit Event Notice may be submitted for multiple trades in respect of the same Counterparty
SCHEDULE

Credit Derivative Transaction Details

[Clearing

Member] acting

as Seller/Buyer

Restructuring

Matched Pair ID

Trade ID Reference

Entity

Trade Date Effective

Date

Exercise

Amount3

[Seller]

[Buyer]

[] [] [] [] [] []

3 Where different to the outstanding Floating Rate Payer Calculation Amount
APPENDIX II: FORM OF NOTICE TO EXERCISE MOVEMENT OPTION

To: [Restructuring Matched Pair Counterparty Address and Contact Information]

[To/Copy to:]

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Dear Sir/Madam  

Notice to Exercise Movement Option

Credit Derivative Transaction Details:  As set out in the Schedule hereto4.

Reference is made to: (a) the Credit Derivative Transaction[s] described in the Schedule hereto (the

Transaction[s]) between [       ], as Seller, and [          ], as Buyer; (b) the Credit Event Notice dated insert

date], previously delivered to you on [insert date]; and (c) the occurrence of the No Auction

Announcement Date on [insert date] pursuant to Section 6.11(b) or Section 6.11(c)(ii) of the 2014 ISDA

Credit Derivatives Definitions (the Definitions).

This letter constitutes a Notice to Exercise Movement Option.  Any capitalised term not otherwise

defined in this letter will have the meaning, if any, assigned to such term in the confirmation of the

relevant Transaction or, if no meaning is specified therein, in the Definitions.

We hereby exercise the Movement Option, confirm that each Transaction will be settled in accordance

with the relevant Credit Derivatives Auction Settlement Terms specified in the column entitled

"Auction Settlement Terms" corresponding to such Transaction in the Schedule hereto and require

performance by you in accordance therewith.

Yours faithfully,

[Matched Buyer/Matched Seller]

________________________

Name:

Title:

4 A single Notice to Exercise Movement Option may be submitted for multiple trades in respect of the same 

Counterparty
SCHEDULE

Credit Derivative Transaction Details

Restructuring

Matched Pair ID

Trade ID Reference

Entity

Trade Date Effective Date Auction

Settlement

Terms

[] [] [] [] [] []
APPENDIX III: FORM OF NOTICE OF PHYSICAL SETTLEMENT

To: Settlement Matched Pair Matched Seller Address and Contact Information

Copy to:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Notice of Physical Settlement

Credit Derivative Transaction Details: As set out in the Schedule hereto5.

Reference is made to: (a) the Credit Derivative Transaction[s] described in the Schedule hereto (the

Transaction[s]) between [       ], as Seller, and [          ], as Buyer.  Reference is also made to the Credit

Event Notice [and Notice of Publicly Available Information] dated [insert date], previously delivered to

you on [insert date].

This letter constitutes a Notice of Physical Settlement.  Any capitalised term not otherwise defined in

this letter will have the meaning, if any, assigned to such term in the confirmation of the relevant

Transaction (the Relevant Confirmation) or, if no meaning is specified therein, in the 2014 ISDA Credit

Derivatives Definitions (the Definitions).

We hereby confirm that we will settle the Transaction[s] and require performance by you in

accordance with the provisions of the Relevant Confirmation and the Definitions relating to Physical

Settlement.  Subject to the terms of the relevant Transaction, we will Deliver to you on or before the

Physical Settlement Date, an amount of the Deliverable Obligation(s) described in the column entitled

"Deliverable Obligation(s)" in the Schedule hereto, corresponding to such Transaction:

Yours faithfully,

[Matched Buyer]

________________________

Name:

Title:

5 A single Notice of Physical Settlement may be submitted for multiple trades in respect of the same Counterparty
SCHEDULE

Credit Derivative Transaction Details

Settlement Matched

Pair ID

Trade ID Reference Entity Trade Date Effective Date De

Ob

[] [] [] [] [] [Cu

Pa

6 Describe the Deliverable Obligation(s) to be Delivered, including the currency and Outstanding Principal Balance or Due and P

Obligation and, if available and applicable, the CUSIP or ISIN number (or, if such identifying number is not available, the ra
APPENDIX IVA: FORM OF NOPS AMENDMENT NOTICE

To: Settlement Matched Pair Matched Seller Address and Contact Information

Copy to:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Settlement Matched Pair ID: []

Trade ID: []

NOPS Amendment Notice

Credit Derivative Transaction Details: [Trade Date], [Effective Date], [Reference Entity]

Reference is made to the Credit Derivative Transaction described above (the Transaction) between [                    

], as Seller, and [                    ], as Buyer.  Reference is also made to the Notice of Physical Settlement]

NOPS Amendment Notice] dated [insert date], previously delivered to you on [insert date] dated

[insert date].

This letter constitutes a NOPS Amendment Notice.  Any capitalised term not otherwise defined in this

letter will have the meaning, if any, assigned to such term in the Confirmation of the Transaction or,

if no meaning is specified therein, in the CDS Clearing Supplement.

We hereby notify you that we are replacing the following Deliverable Obligation(s) specified in the

Notice of Physical Settlement] NOPS Amendment Notice] specified above with the following

Replacement Deliverable Obligation(s):

[describe the Deliverable Obligation(s) to be replaced, including the Replaced Deliverable Obligation

Outstanding Amount for each such Deliverable Obligation and, if available and applicable, the CUSIP

or ISIN number (or, if such identifying number is not available, the rate and tenor of the Deliverable

Obligation) and the Replacement Deliverable Obligation(s) for each Replaced Deliverable Obligation

Outstanding Amount so specified and, if available and applicable, the CUSIP or ISIN number (or, if such

identifying number is not available, the rate and tenor of the Replacement Deliverable Obligation)].

Yours faithfully,

[Matched Buyer]

________________________

Name:

Title:
APPENDIX IVB: FORM OF ASSET PACKAGE NOTICE

To: Settlement Matched Pair Matched Seller Address and Contact Information

Copy to:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Settlement Matched Pair ID: []

Trade ID: []

Asset Package Notice

Credit Derivative Transaction Details: [Trade Date], [Effective Date], [Reference Entity]

Reference is made to the Credit Derivative Transaction described above (the Transaction) between [                    

], as Seller, and [                    ], as Buyer.  Reference is also made to the Notice of Physical Settlement]

[NOPS Amendment Notice] dated [insert date], previously delivered to you on [insert date] dated

[insert date].

This letter constitutes an Asset Package Notice.  Any capitalised term not otherwise defined in this

letter will have the meaning, if any, assigned to such term in the Confirmation of the Transaction or,

if no meaning is specified therein, in the CDS Clearing Supplement.

We hereby notify you that our obligation to Deliver the following Deliverable Obligation(s) specified

in the Notice of Physical Settlement] NOPS Amendment Notice] specified above shall be satisfied by

Delivery of the following Asset Package:

[describe the Deliverable Obligation(s) to which the Asset Package relates, including the Deliverable

Obligation Amount for each such Deliverable Obligation and, if available and applicable, the CUSIP or

ISIN number (or, if such identifying number is not available, the rate and tenor of the Deliverable

Obligation) and the Assets comprising the Asset Package for each such Deliverable Obligation(s) and,

if available and applicable, the CUSIP or ISIN number (or, if such identifying number is not available,

the rate and tenor of the Asset, if applicable)].

Yours faithfully,

[Matched Buyer]

________________________

Name:

Title:
APPENDIX V: FORM OF NOTICE TO EXERCISE ALTERNATIVE DELIVERY PROCEDURE PURSUANT TO

SECTION 6.76.7 (ALTERNATIVE DELIVERY PROCEDURE)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice to Exercise Alternative Delivery Procedure7

Reference is made to: the Settlement Matched Pairs described in the Schedule hereto, being the

Settlement Matched Pairs to which this notice relates and Section 6.76.7 (Alternative Delivery

Procedure) of the CDS Clearing Supplement.  Defined terms shall have the meanings assigned to them

in the CDS Clearing Supplement, unless otherwise defined herein.

The Settlement Matched Pair Delivery Amount relating to each Settlement Matched Pair is that

amount specified in the column entitled "Settlement Matched Pair Delivery Amount" in the Schedule

hereto, corresponding to such Settlement Matched Pair.

In respect of each Settlement Matched Pair and in accordance with Section 6.7 (Alternative Delivery

Procedure) we hereby elect to exercise our rights against and perform obligationsto you in accordance

with the alternative delivery procedure in relation to such percentage and amount of the Settlement

Matched Pair Delivery Amount as set out in the column entitled "Percentage and Amount of

Settlement Matched Pair Delivery Amount" in the Schedule hereto corresponding to such Settlement

Matched Pair.

This notice may be executed in any number of counterparts which togethershall constitute one notice.   

By countersigning this notice, you are deemed to have given your consent to the above in satisfaction

of the requirement to obtain your consent contained in Section 6.76.7 (Alternative Delivery Procedure)

of the CDS Clearing Supplement.

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer/ Matched Seller]

7 A single Notice to Exercise Alternative Delivery Procedure may be submitted for multiple trades in respect of the 

same Counterparty
________________________

Name:

Title:

Countersigned by LCH SA

________________________

Name:

Title:
SCHEDULE

Credit Derivative Transaction Details

Settlement Matched

Pair ID

Trade ID Reference Entity Trade Date Effective Date Sett

Pair Amo

[] [] [] [] [] [] 
APPENDIX VI: FORM OF NOTICE OF FALLBACK TO CASH SETTLEMENT OF NON‐DELIVERABLE

OBLIGATIONS PURSUANT TO SECTION 6.126.12 (FALLBACK TO CASH SETTLEMENT IN RESPECT OF

NON‐DELIVERABLE OBLIGATIONS)

To: Settlement Matched Pair Matched Seller Address and Contact Information

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

Settlement Matched Pair ID: []

Trade ID: []

Dear Sir/Madam  

Notice of fallback to Cash Settlement in respect of Non‐Deliverable Obligations pursuant to Section

6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable Obligations) of the CDS Clearing

Supplement

Reference is made to Section 6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations) of the CDS Clearing Supplement and [insert details of the relevant Settlement Matched

Pair(s)], being the Settlement Matched Pair[s] to which this notice relates and to the [Notice of

Physical Settlement][NOPS Amendment Notice] previously delivered to you on [insert date] dated

[insert date]. Defined termsshall have the meanings assigned to them in the CDS Clearing Supplement,

unless otherwise defined herein.

In accordance with Section 6.126.12 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations) of the CDS Clearing Supplement we hereby notify you we are not permitted to Deliver

the Deliverable Obligations specified below (such Deliverable Obligations, the Non‐Deliverable

Obligations) as specified in the [Notice of Physical Settlement][NOPS Amendment Notice] specified

above for the following reasons:

[Insert details of the relevant Non‐Deliverable Obligations and reasonable detail of the relevant

circumstances, as described paragraphs (a)(i) and (a)(ii) of Section 6.126.12 of the CDS Clearing

Supplement].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,
[Matched Buyer]

________________________

Name:

Title:
APPENDIX VII: FORM OF PHYSICAL SETTLEMENT CONFIRMATION AS CONTEMPLATED BY SECTION

6.196.19 (MISCELLANEOUS PROVISIONS RELATING TO PHYSICAL SETTLEMENT)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Physical Settlement Confirmation

Reference is made to Section 6.196.19(b)(b) (Notification of Completion of Physical Settlement) of the

CDS Clearing Supplement and the Settlement Matched Pair[s] described in the Schedule hereto, being

the Settlement Matched Pair[s] to which this notice relates.  Defined terms shall have the meanings

assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 6.196.19(b)(b) (Notification of Completion of Physical Settlement) of the

CDS Clearing Supplement, we hereby notify you that we have completed Physical Settlement with

respect to such Settlement Matched Pair[s].

This notice is delivered in satisfaction of the requirement in Section 6.196.19(b)(b) (Notification of

Completion of Physical Settlement) of the CDS Clearing Supplement to inform you of such completion.

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer]/[Matched Seller]

________________________

Name:

Title:
SCHEDULE

Settlement Matched Pair Details

Settlement Matched

Pair ID

Trade ID Reference Entity Trade Date Effective Date

[] [] [] [] []
APPENDIX VIII: FORM OF NO PHYSICAL SETTLEMENT CONFIRMATION AS CONTEMPLATED BY

SECTION 6.196.19 (MISCELLANEOUS PROVISIONS RELATING TO PHYSICAL SETTLEMENT)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Settlement Matched Pair ID: []

Trade ID: []

Dear Sir/Madam  

No Physical Settlement Confirmation

Reference is made to Section 6.196.19(c)(c) (Notification that Physical Settlement will not occur) of

the CDS Clearing Supplement and the Settlement Matched Pair[s] described in the Schedule hereto,

being the Settlement Matched Pair[s] to which this notice relates.   Defined terms shall have the

meanings assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 6.196.19(c)(c) (Notification that Physical Settlement will not occur) of the

CDS Clearing Supplement, we hereby notify you that no Notice of Physical Settlement has been

delivered within the relevant time period permitted for such delivery in accordance with the terms of

the relevant Physically Settled Cleared Transactions and, accordingly, that Physical Settlement will not,

under the terms of such Physically Settled Cleared Transactions, occur.

This notice is delivered in satisfaction of the requirement in Section 6.196.19(c)(c) (Notification that

Physical Settlement will not occur) of the CDS Clearing Supplement to inform you of such completion.

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer]/[Matched Seller]

________________________

Name:

Title:
SCHEDULE

Settlement Matched Pair Details

Settlement Matched

Pair ID

Trade ID Reference Entity Trade Date Effective Date

[] [] [] [] []
APPENDIX IX: FORM OF NOTICE OF CLEARING MEMBER COMMUNICATIONS FAILURE EVENT

PURSUANT TO SECTION 7.67.6 (CLEARING MEMBER COMMUNICATIONS FAILURE EVENT)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice certifying occurrence of a Clearing Member Communications Failure Event

Reference is made to Section 7.67.6(b)(b) (Clearing Member to notify LCH SA of Occurrence of Clearing

Member Communications Failure Event) of the CDS Clearing Supplement.  Defined terms shall have

the meanings assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 7.67.6(b)(b) (Clearing Member to notify LCH SA of Occurrence of Clearing

Member Communications Failure Event) of the CDS Clearing Supplement, notice is hereby given that

we are affected by a Clearing Member Communications Failure Event [insert details of such failure].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Clearing Member]

________________________

Name:

Title:

[Signed by a senior officer (such as a managing director or equivalent) on behalf of the Clearing

Member]
APPENDIX X: FORM OF NOTICE FOR CEASING TO BE SUBJECT TO A CLEARING MEMBER

COMMUNICATIONS FAILURE EVENT PURSUANT TO SECTION 7.67.6 (CLEARING MEMBER

COMMUNICATIONS FAILURE EVENT)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice that a Clearing Member is no longer subject to Clearing Member Communications Failure

Event  

Reference is made to Section 7.67.6(d)(d) (Notification of Resolution of Clearing Member

Communications Failure Event) of the CDS Clearing Supplement and the notice certifying the

occurrence of a Clearing Member Communications Failure Event delivered by us to LCH SA on [] (the

Notice of Clearing Member Communications Failure Event).  Defined terms shall have the meanings

assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 7.67.6(d)(d) (Notification of Resolution of Clearing Member

Communications Failure Event) of the CDS Clearing Supplement, notice is hereby given that we are no

longersubject to the relevant Clearing Member Communications Failure Event described in the Notice

of Clearing Member Communications Failure Event.

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Clearing Member]

________________________

Name:

Title:
APPENDIX XI: FORM OF NOTICE OF DISPUTE RELATING TO ANY MATCHED PAIR

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

[Restructuring][Settlement] Matched Pair ID: []

Trade ID: []

Dear Sir/Madam  

Notice of dispute relating to [insert details of the relevant Matched Pairs subject to a dispute]

Reference is made to Section 7.117.11 (Disputes as to Notices) of the CDS Clearing Supplement.  

Defined terms shall have the meanings assigned to them in the CDS Clearing Supplement, unless

otherwise defined herein.

In accordance with Section 7.117.11 (Disputes as to Notices) of the CDS Clearing Supplement, notice

is hereby given of the following dispute(s):

[insert details of Matched Pair(s) affected and the relevant dispute].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer]/[Matched Seller]

________________________

Name:

Title:
APPENDIX XII: FORM OF NOTICE RELATING TO SELF‐REFERENCING TRANSACTIONS

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice relating to Self‐Referencing Transactions  

Credit Derivative Transaction Details:  As set out in the Schedule hereto8.

Reference is made to the Credit Derivative Transaction[s] described in the Schedule hereto (the

Transaction[s]) between [], as Seller and [], as Buyer and to Section 9.19.1(a)(a) (Duty to notify) of

the CDS Clearing Supplement.  Defined terms shall have the meanings assigned to them in the CDS

Clearing Supplement, unless otherwise defined herein.

In accordance with Section 9.19.1(a)(a) (Duty to notify) of the CDS Clearing Supplement, notice is

hereby given of the following: [insert details of one or more of the relevant events, as set out in

paragraphs (i), (ii) and (iii) of Section 9.19.1(a)(a) (Duty to notify) of the CDS Clearing Supplement].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Clearing Member]

________________________

Name:

Title:

8 A single Credit Event Notice may be submitted for multiple trades in respect of the same Counterparty
SCHEDULE

Credit Derivative Transaction Details

[Restructuring]

Matched Pair ID

Trade ID Reference Entity Trade Date Effective Date

[] [] [] [] []
          

APPENDIX XIII: CCM CLIENT TRANSACTION REQUIREMENTS

The following provisions (the "Mandatory Provisions") are to be incorporated into a CCM Client

Transaction between a CCM and its CCM Client that corresponds to a CCM Client Cleared Transaction

registered in the CCM Client Trade Account in the name of such CCM for such CCM Client. The terms

of the corresponding CCM Client Cleared Transaction will be governed by the CDS Clearing

Supplement. The CDS Clearing Supplement and these Mandatory Provisions have been drafted so as

to complement each other.

LCH SA shall not be responsible for any loss suffered or expense incurred by a CCM or any CCM Client

as a result of the inclusion in the CCM Client Transaction Documents of the requirements set‐out in

this Appendix XIII.

The Mandatory Provisions, when they are incorporated into any CCM Client Transaction Documents,

shall be governed by and construed in accordance with the governing law applicable to such CCM

Client Transaction Documents of which they form part, or if different and applicable, in accordance

with such CCM Client Transaction Documents, the governing law applicable to transactions entered

into undersuch CCM Client Transaction Documents. The Mandatory Provisionsshall be subject to such

dispute resolution mechanisms and procedures and such courts or other forum for hearing disputes

as are applicable in respect of such CCM Client Transaction Documents of which they form part.  Each

CCM and its CCM Client to which the Mandatory Provisions apply will waive any right to object to any

such choice of law or proceedings on the basis of forum non conveniens, that the governing law or

forum is not specified on the face of this document or otherwise.

In this Appendix XIII:

"CCM Client Buyer" means a CCM Client that is party to a CCM Client Transaction as protection buyer;  

"CCM Client Seller" means a CCM Client that is party to a CCM Client Transaction as protection seller;  

"CCM Buyer/Matched Seller" means a CCM that is party to a CCM Client Transaction as protection

buyer and to the corresponding CCM Client Cleared Transaction as protection seller; and

"CCM Seller/Matched Buyer" means a CCM that is party to a CCM Client Transaction as protection

seller and to the corresponding CCM Client Cleared Transaction as protection buyer.

1. Defined Terms

Terms used in the Mandatory Provisions and not otherwise defined herein or in the 2014

ISDA Credit Derivatives Definitions shall have the meanings given to them in the CDS Clearing

Supplement.

2. Terms of CCM Client Transactions

2.1 2014 ISDA Credit Derivatives Definitions

The definitions and provisions contained in the 2014 ISDA Credit Derivatives Definitions

published by the International Swaps and Derivatives Association (“ISDA”) (the "2014 ISDA

Credit Derivatives Definitions"), are incorporated into each CCM Client Transaction.
          

2.2 Single Name CCM Client Transactions ‐ Reference Obligation

With effect from the date on which the CCM Client Cleared Transaction corresponding to a

Single Name CCM Client Transaction is registered in the TIW, such Single Name CCM Client

Transaction shall be deemed to reference the Standard Reference Obligation, provided that

if there is no Standard Reference Obligation, such Single Name CCM Client Transaction shall

be deemed to reference the CDSClear Preferred Reference Obligation.

2.3 Single Name CCM Client Transactions ‐ Updating Physical Settlement Matrix

With effect from the date on which the CCM Client Cleared Transaction corresponding to a

Single Name CCM Client Transaction is registered in the TIW, such Single Name CCM Client

Transaction shall be deemed to reference the Relevant Physical Settlement Matrix.

With effect from the close of business on any Matrix Re‐versioning Date, any Single Name

CCM Client Transaction referencing the Existing Matrix will be deemed to have been

amended so as to reference the Revised Matrix.  

2.4 Index CCM Client Transactions ‐ Updating Eligible Index Versions

Upon the occurrence of a DTCC Re‐versioning Date, any Index CCM Client Transaction shall

be automatically amended so as to reference the portfolio of Reference Entities specified in

the revised version of the index published by the Index Publisher and referenced in the TIW

with effect from such DTCC Re‐versioning Date.

2.5 Initial Payment Date

Notwithstanding anything to the contrary in the 2014 ISDA Credit Derivatives Definitions, if

the Initial Payment Date specified in the CCM Client Transaction Documents in respect of any

CCM Client Transaction is a date falling after the Clearing Day on which the Cleared

Transactionsrelated to such CCM Client Transaction are created by novation pursuant to Title

III (Clearing Operations) of the CDS Clearing Rule Book, the Initial Payment Date in respect of

such CCM Client Transaction shall be deemed to be the Transaction Business Day immediately

following the Clearing Day on which the Cleared Transactions relating to such CCM Client

Transaction are created.

2.6 ISDA 2019 NTCE Protocol

The Protocol Effectiveness Condition (as defined in the ISDA 2019 NTCE Protocol published

by ISDA on 27 August 2019 and as further supplemented from time to time (the "2019 NTCE

Protocol")) being satisfied, then from and including the Implementation Date (as defined in

the 2019 Protocol) the amendments set forth in Schedule 1 (Amendments) of the 2019 NTCE

Protocol shall apply to each Index CCM Client Transaction and each Single Name CCM Client

Transaction which incorporates the 2014 ISDA Credit Derivatives Definitions and each such

CCM Client Transaction shall be a Protocol Covered Transaction for the purposes of the 2019

NTCE Protocol provided that:

(i) the date on which the CCM Client Cleared Transaction corresponding to such CCM

Client Transaction is registered in the TIW is prior to the Implementation Date;
          

(ii) such CCM Client Transaction is not an Excluded Transaction (as defined in the 2019

NTCE Protocol) provided that if such CCM Client Transaction relates to more than one

Reference Entity and would otherwise be a Protocol Covered Transaction but for the

inclusion of any Affected Portion (as defined in the 2019 NTCE Protocol) therein, such

Affected Portion shall be excluded for the purposes of this Mandatory Provision 2.6

and the remaining portion of such CCM Client Transaction shall be deemed to be a

Protocol Covered Transaction;

(iii) the Scheduled Termination Date in respect of such CCM Client Transaction is on or

after the Implementation Date; and

(iv) no Event Determination Date has occurred in respect of such CCM Client Transaction

prior to the Implementation Date.

3. Additional CCM Client Transactions, Compression and Succession Events

3.1 Creation of Additional CCM Client Transactions

Immediately following:  

(a) the creation of Matched Pairs by LCH SA pursuant to Section 8.1 (Creation of Matched

Pairs) of the CDS Clearing Supplement; or

(b) the creation of Resulting Single Name Cleared Transactions pursuant to Section 4.44.4

(Re‐couponing of Restructuring Cleared Transactions) of the CDS Clearing

Supplement,  

if a CCM Client Transaction has been specified to have been split into or replaced by two or

more separate CCM Client Transactionsin the TIW as a result of the creation ofsuch Matched

Pairs or Resulting Single Name Cleared Transactions, such CCM Client Transaction shall be

split into or terminated and replaced by two or more (as applicable) corresponding CCM

Client Transactions. The Floating Rate Payer Calculation Amount and Fixed Rate of each such

CCM Client Transaction shall correspond to the Floating Rate Payer Calculation Amount and

Fixed Rate specified in TIW for such CCM Client Transaction.    In respect of CCM Client

Transactions created as a result of the creation of Resulting Single Name Cleared

Transactions, the Trade Date of such new CCM Client Transactions shall be the same as the

Trade Date of the equivalent Resulting Single Name Cleared Transactions. Otherwise, each

new CCM Client Transaction shall have the same terms asthe original CCM Client Transaction.

3.2 Reversal of Creation of Additional CCM Client Transactions

If a CCM Client Transaction has been split into two or more CCM Client Transactions pursuant

to Mandatory Provision 3.13.1 (Creation of Additional CCM Client Transactions) above and

the relevant DC Credit Event Announcement that led to the creation of the Matched Pairs is

reversed such that Section 5.55.5 (Reversal of DC Credit Event Announcements) of the CDS

Clearing Supplement applies, then, subject to Section 10.2(a)(i) of the 2014 ISDA Credit

Derivatives Definitions, any additional CCM Client Transactions created pursuant to

Mandatory Provision 3.13.1 (Creation of Additional CCM Client Transactions) above shall be
          

deemed not to have been created and any Credit Event Notices delivered in connection with

such CCM Client Transactions shall be deemed to be ineffective.   

3.3 Compression of CCM Client Transactions

If two or more CCM Client Transactions are specified in TIW to have been compressed into a

single CCM Client Transaction pursuant to Chapter 3 (Compression) of Title III (Clearing

Operations) of the CDS Clearing Rule Book,such CCM Client Transactionsshall be compressed

into a single CCM Client Transaction with a Floating Rate Payer Calculation Amount equal to

the aggregate Floating Rate Payer Calculation Amounts of the original CCM Client

Transactions.

3.4 Succession Events and Cleared Transactions

If LCH SA takes any action with respect to a CCM Client Cleared Transaction pursuant to

Section 4.54.5 (Succession Events and Cleared Transactions) of the CDS Clearing Supplement

so as to give effect to a Succession Event, such action shall also be deemed to have been

taken with respect to the corresponding CCM Client Transaction.

4. Notices

4.1 Validity of Notices

Save if and as expressly stated to the contrary in the Mandatory Provisions, any notice

delivered by a CCM Client to its CCM in respect of a CCM Client Transaction (including,

without limitation, a Credit Event Notice, Notice of Physical Settlement, Notice to Exercise

Movement Option or NOPS Amendment Notice) at a time or in a manner in which the CCM

would not be permitted to deliver such a notice to LCH SA (or to a relevant Matched Buyer

or Matched Seller as designee of LCH SA (as applicable)) in respect of the corresponding CCM

Client Cleared Transaction pursuant to the terms of the CDS Clearing Supplement shall be

deemed not to have been delivered.

4.2 Credit Event Notices and NEMOs given via DTCC

(a) Credit Event Notices and NEMOs to be given via DTCC

Credit Event Notices and Notices to Exercise Movement Option shall be delivered by

way of the relevant DTCC Notice Facility,save if and as expressly stated to the contrary

in the Mandatory Provisions or otherwise agreed between the parties to the CCM

Client Transaction.  The deemed time of delivery of any such noticesshall be asset out

in the DTCC Rules from time to time.

(b) Credit Event Notices and NEMOs delivered in respect of corresponding CCM Client

Cleared Transaction

In respect of a CCM Client Transaction, if:  

(i) CCM Seller/Matched Buyer or CCM Buyer/Matched Seller delivers a valid Credit

Event Notice or Notice to Exercise Movement Option in respect of the
          

corresponding CCM Client Cleared Transaction by way of the relevant DTCC

Notice Facility; or  

(ii) a Credit Event Notice or Notice to Exercise Movement Option is deemed to

have been delivered in respect of the corresponding CCM Client Cleared

Transaction pursuant to Section 7.37.3(b)(b) (Credit Event Notices and NEMOs

delivered in respect of CCM Client Transaction) of the CDS Clearing Supplement

as a result of the receipt of a valid Credit Event Notice or Notice to Exercise

Movement Option (as applicable) by way of the relevant DTCC Notice Facility

in respect of the CCM Client Transaction between the other CCM of a Matched

Pair and its CCM Client,

and a Credit Event Notice or Notice to Exercise Movement Option (as applicable) has

not already been given in respect of such CCM Client Transaction in accordance with

Mandatory Provision 4.44.4 (Communications Failure Event) such notice (or deemed

notice) shall be deemed also to be a Credit Event Notice or Notice to Exercise

Movement Option (as applicable) for the purposes of such CCM Client Transaction.

4.3 Consequences of DTCC Failure

If a DTCC Failure Event occurs, from (and including) the DTCC Failure Event Time to (but

excluding) the DTCC Resolution Time:

(a) Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOs to be given via

DTCC) shall not apply and accordingly Credit Event Notices and Notices to Exercise

Movement Option shall be delivered directly (and not via the relevant DTCC Notice

Facility);

(b) any notice delivered via the relevant DTCC Notice Facility prior to the DTCC Failure

Event Time will be valid and will not be affected by such DTCC Failure Event; and

(c) any notice delivered or purported to be delivered via the relevant DTCC Notice Facility

at or following the DTCC Failure Event Time but prior to the DTCC Resolution Time

will not be valid and effective.

Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOsto be given via DTCC)shall

apply with effect from the DTCC Resolution Time and, accordingly, any notice thereafter

delivered or purported to be delivered directly (and not via the relevant DTCC Notice Facility)

will not be valid and effective.

4.4 Communications Failure Event

(a) Right to deliver Notices manually following Communications Failure Event

If a party is affected by a significant communications or information technology failure

resulting in it being impossible or impractical forsuch party to deliver any Credit Event

Notice in relation to an M(M)R Restructuring or any Notice to Exercise Movement

Option via a relevant DTCC Notice Facility (a "Communications Failure Event") it may,

notwithstanding Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOs
          

to be given via DTCC), deliver Credit Event Notices and Notices to Exercise Movement

Option directly (and not via the relevant DTCC Notice Facility).   

Such party shall deliver, together with any Credit Event Notice or Notice to Exercise

Movement Option delivered by it directly, a notice signed by a senior officer (such as

a managing director or equivalent) of such party certifying that it is affected by a

Communications Failure Event (or, if such party is unable to deliver such notice in

writing, orally by telephone).  

(b) Notices to party affected by Communications Failure Event

For the avoidance of doubt, Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices

and NEMOs to be given via DTCC) shall continue to apply in respect of notices given

by the party not affected by the Communications Failure Event to the party affected

by the Communications Failure Event.

(c) Notification of Resolution of Communications Failure Event

As soon as reasonably practicable upon a party ceasing to be subject to a

Communications Failure Event, it shall notify the other party accordingly and

thereupon Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOs to be

given via DTCC) shall apply and, accordingly, any notice thereafter delivered or

purported to be delivered directly (and not via the relevant DTCC Notice Facility) will

not be valid and effective.

(d) Duty to Mitigate

A party which is subject to a Communications Failure Event shall use reasonable

endeavours to mitigate the operational impact on the other party of any

Communications Failure Event, to cure such Communications Failure Event as soon as

possible and to ensure that the circumstances giving rise to the relevant

Communications Failure Event do not recur.

(e) Breach does not Invalidate Valid Notices

Without prejudice to any other rights or remedies of the parties, any breach by a party

of the provisions of this Mandatory Provision 4.44.4 shall not cause any Credit Event

Notice or Notice to Exercise Movement Option delivered otherwise than in

accordance with the terms of the relevant CCM Client Transaction, which would

otherwise be valid and effective, to be invalid or ineffective.

4.5 Uncertain Delivery

(a) Manual Notice permitted if Delivery of Notice in DTCC uncertain

Notwithstanding Mandatory Provision 4.2(a)4.2(a) (Credit Event Notices and NEMOs

to be given via DTCC), where such notices are permitted to be delivered by means

other than the relevant DTCC Notice Facility pursuant to this Mandatory Provision 4

(Notices), and a party is uncertain as to whether or not a Credit Event Notice or Notice
          

to Exercise Movement Option (as applicable) it attempted to deliver via a DTCC Notice

Facility has:  

(i) actually been delivered; or  

(ii) was delivered prior to the DTCC Failure Time,  

that party shall be entitled to deliversuch a notice directly to the other party specifying

that such notice is only to be effective to the extent that the other purported notice is

not effective.  

(b) Details to be provided of Uncertain Notice

If a party delivers a manual notice pursuant to Mandatory Provision 4.54.5(a)(a)

(Manual Notice permitted if Delivery of Notice in DTCC uncertain) above, such party

shall be required to provide (together with such notice) sufficient details of the notice

attempted to be given by way of the relevant DTCC Notice Facility so as to allow the

other party to identify the communication concerned.  

(c) DTCC Notice delivered successfully  

If the first Credit Event Notice or Notice to Exercise Movement Option (as applicable)

to which the manual notice delivered pursuant to Mandatory Provision 4.54.5(a)(a)

(Manual Notice permitted if Delivery of Notice in DTCC uncertain) above related was

actually delivered successfully, any subsequent Credit Event Notice or Notice to

Exercise Movement Option delivered shall be deemed not to have been delivered.

5. Determination of Credit Events and Succession Events

Notwithstanding any provision to the contrary:

(a) the Calculation Agent shall not make any determination in respect of any matter

which is or may be subject to resolution under Sections 3.5 (Successor Resolutions) or

3.6 (Substitute Reference Obligation Resolutions) of the DC Rules; and

(b) neither party shall be entitled to deliver a Successor Notice, a Credit Event Notice or

a Repudiation/Moratorium Extension Notice (other than Credit Event Notices in

relation to an M(M)R Restructuring in accordance with the terms of any Restructuring

CCM Client Transaction (including the Mandatory Provisions) and, where applicable,

the DTCC Rules).

6. Timings for the Delivery of Manual Notices

The following provisions shall solely be applicable in respect of a CCM Client Transaction between a

CCM Client Buyer and its CCM Seller/Matched Buyer:

6.1 Delivery of Manual Notices by CCM Client Buyer

For the purposes of the delivery by CCM Client Buyer of any notice in respect of a CCM Client

Transaction which is permitted pursuant to the terms of such CCM Client Transaction

(including the Mandatory Provisions) to be delivered manually (rather than via the relevant
          

DTCC Notice Facility), Section 1.38 (Requirements Regarding Notices) of the 2014 ISDA Credit

Derivatives Definitions shall be amended so as to provide that, solely in respect of the final

day on which such manual notice could validly be delivered pursuant to the terms of such

CCM Client Transaction (including the Mandatory Provisions), any such notice shall be

required to be delivered on or prior to 2:00 p.m. (Calculation Agent City time) in order to be

effective.

A manual notice (including, without limitation, a Credit Event Notice or a Notice to Exercise

Movement Option) delivered after 2:00 p.m. (Calculation Agent City time) on the final day on

which such notice could validly be delivered pursuant to the terms of the relevant CCM Client

Transaction (including the Mandatory Provisions) shall be deemed not to have been

delivered.   

6.2 Onward Delivery of Certain Notices by CCM Seller/Matched Buyer to Matched Seller

Any Credit Event Notice, Notice to Exercise Movement Option, Notice of Physical Settlement,

NOPS Amendment Notice, any notice given pursuant to Section 8.2 (Notice of Physical

Settlement) of the 2014 ISDA Credit Derivatives Definitions in respect of any Asset or Asset

Package, any notice given pursuant to Section 9.7 (Buy‐in of Bonds Not Delivered) of the 2014

ISDA Credit Derivatives Definitions or any notice given pursuant to Section 9.8 (Alternative

Procedures Relating to Loans Not Delivered) of the 2014 ISDA Credit Derivatives Definitions

which is permitted to be and is delivered manually by CCM Client Buyer to CCM

Seller/Matched Buyer in respect of and pursuant to the terms of a CCM Client Transaction

(including the Mandatory Provisions) shall not be effective unless and until CCM

Seller/Matched Buyer effectively delivers the relevant equivalent notice to the relevant

Matched Seller in respect of and pursuant to the terms of the corresponding Restructuring

Cleared Transaction or Physically Settled Cleared Transaction, as applicable.

CCM Seller/Matched Buyer undertakesto deliversuch a notice to the relevant Matched Seller

within two hours of its receipt of the equivalent notice from CCM Client Buyer if such notice

is received between 9:00 a.m. (Calculation Agent City time) and 4:00 p.m. (Calculation Agent

City time) on a Calculation Agent City Business Day. Any such notice received by CCM

Seller/Matched Buyer after 4:00 p.m. (Calculation Agent City time) on a Calculation Agent

City Business Day shall be deemed to have been received at 9:00 a.m. (Calculation Agent City

time) on the following Calculation Agent City Business Day. Any such notice received by CCM

Seller/Matched Buyer before 9:00 a.m. (Calculation Agent City time) on a Calculation Agent

City Business Day shall be deemed to have been received at 9:00 a.m. (Calculation Agent City

time) on such Calculation Agent City Business Day.   Any such notice delivered on a day that

is not a Calculation Agent City Business Day shall be deemed to have been delivered at 9.00

a.m. (Calculation Agent City time) on the following Calculation Agent City Business Day.

The following provision shall solely be applicable in respect of a CCM Client Transaction between a

CCM Client Seller and its CCM Buyer/Matched Seller:  

6.3 Receipt of Certain Notices by CCM Buyer/Matched Seller deemed to be Receipt by CCM Client

Seller

Any Credit Event Notice, Notice to Exercise Movement Option, Notice of Physical Settlement,

NOPS Amendment Notice, any notice given pursuant to Section 8.2 (Notice of Physical
          

Settlement) of the 2014 ISDA Credit Derivatives Definitions in respect of any Asset or Asset

Package, any notice given pursuant to Section 9.7 (Buy‐in of Bonds Not Delivered) of the 2014

ISDA Credit Derivatives Definitions or any notice given pursuant to Section 9.8 (Alternative

Procedures Relating to Loans Not Delivered) of the 2014 ISDA Credit Derivatives Definitions

which is permitted to be and is delivered manually by the relevant Matched Buyer to CCM

Buyer/Matched Seller in respect of and pursuant to the terms of a Restructuring Cleared

Transaction or Physically Settled Cleared Transaction (as applicable) relating to a CCM Client

Transaction between such CCM Buyer/Matched Seller and CCM Client shall be deemed to

constitute simultaneous delivery by CCM Buyer/Matched Seller to CCM Client Seller of such

notice in respect of such CCM Client Transaction.    

CCM Buyer/Matched Seller undertakes to deliver such a notice to CCM Client Seller within

two hours of its receipt of the equivalent notice from the relevant Matched Buyer if such

notice is received between 9:00 a.m. (Calculation Agent City time) and 4:00 p.m. (Calculation

Agent City time) on a Calculation Agent City Business Day. Any such notice received by CCM

Buyer/Matched Seller after 4:00 p.m. (Calculation Agent City time) on a Calculation Agent

City Business Day shall be deemed to have been received at 9:00 a.m. (Calculation Agent City

time) on the following Calculation Agent City Business Day. Any such notice received by CCM

Buyer/Matched Seller before 9:00 a.m. (Calculation Agent City time) on a Calculation Agent

City Business Day shall be deemed to have been received at 9:00 a.m. (Calculation Agent City

time) on such Calculation Agent City Business Day.  Any such notice delivered on a day that is

not a Calculation Agent City Business Day shall be deemed to have been delivered at 9.00

a.m. (Calculation Agent City time) on the following Calculation Agent City Business Day.

7. Physical Settlement

7.1 Fallback to Cash Settlement resulting from corresponding CCM Client Cleared Transaction

If a CCM notifies its CCM Client that the Physically Settled Cleared Transaction corresponding

to their CCM Client Transaction is to be settled (in whole or in part) by Cash Settlement

pursuant to Section 6 (Physical Settlement) of the CDS Clearing Supplement and such CCM

Client Transaction has not already been settled by Physical Settlement, such CCM Client

Transaction shall also be settled (in whole or in part, as applicable) by Cash Settlement and

the Cash Settlement Amount and the Cash Settlement Date shall be the same as the Cash

Settlement Amount and the Cash Settlement Date determined in respect of the

corresponding Physically Settled Cleared Transaction.

In respect of the CCM Client Transaction between CCM Client Buyer and CCM Seller/Matched

Buyer, if CCM Client Buyer has already Delivered the Deliverable Obligations to CCM

Seller/Matched Buyer, CCM Seller/Matched Buyer shall redeliver equivalent Deliverable

Obligationsto CCM Client Buyer in whole (if Cash Settlement applies) or in part (if Partial Cash

Settlement applies in which case CCM Seller/Matched Buyer shall retain a proportion of the

Deliverable Obligations equal to the proportion of the Transaction to be settled by Physical

Settlement).

7.2 Fallback to Cash Settlement in respect of Non‐Deliverable Obligations

If, in respect of a CCM Client Transaction, Buyer is not permitted to Deliver one or more

Deliverable Obligations (such Deliverable Obligations, the Non‐Deliverable Obligations)
          

specified in the relevant Notice of Physical Settlement or NOPS Amendment Notice to Seller

because:

(a) the amount of such Deliverable Obligation is less than the relevant minimum

denomination of such Deliverable Obligation; or

(b) Seller is not a permitted transferee under such Deliverable Obligation (and, in the

case of this sub‐section (ii), such circumstance would not constitute an illegality or

impossibility outside the control of a relevant party for the purposes of Section 9.1

(Partial Cash Settlement Due to Impossibility or Illegality) of the 2014 ISDA Credit

Derivatives Definitions),

then it shall notify Seller accordingly describing in reasonable detail the relevant

circumstances.   

With effect from such notification, such occurrence shall be treated, in relation to such CCM

Client Transaction, as an illegality or impossibility outside the control of a relevant party for

the purpose of Section 9.1 (Partial Cash Settlement Due to Impossibility or Illegality) of the

2014 ISDA Credit Derivatives Definitions and "Cash Settlement" pursuant to the Partial Cash

Settlement Terms shall be deemed to apply to such CCM Client Transaction with respect to

the Non‐Deliverable Obligations as though the Non‐Deliverable Obligations were

Undeliverable Obligations and the provisions set out in Mandatory Provision 7.37.3

(Consequences of Cash Settlement) below shall apply.   

7.3 Consequences of Cash Settlement

If the circumstances set out in either Section 9.1 (Partial Cash Settlement Due to Impossibility

or Illegality) of the 2014 ISDA Credit Derivatives Definitions or Mandatory Provision 7.27.2

(Fallback to Cash Settlement in respect of Non‐Deliverable Obligations) apply to a CCM Client

Transaction, then:

(a) the Latest Permissible Physical Settlement Date in respect of such CCM Client

Transaction will be deemed to be the first date on which the relevant Buyer or Seller

effectively gave the relevant notice to the other pursuant to either Section 9.1 (Partial

Cash Settlement Due to Impossibility or Illegality) of the 2014 ISDA Credit Derivatives

Definitions or Mandatory Provision 7.27.2 (Fallback to Cash Settlement in respect of

Non‐Deliverable Obligations) above, as applicable, (and for these purposes, Section

9.5 (Latest Permissible Physical Settlement Date) of the 2014 ISDA Credit Derivatives

Definitions shall not apply); and

(b) where sub‐paragraph (ii) of Mandatory Provision 7.27.2 (Fallback to Cash Settlement

in respect of Non‐Deliverable Obligations) applies, Indicative Quotations shall not be

applicable.    

7.4 Asset Package Delivery

If Asset Package Delivery is applicable in respect of a Physically Settled Cleared Transaction

and an Asset to be delivered is a Non‐Transferable Instrument or Non‐Financial Instrument,

then the Asset shall be deemed to be an amount of cash equal to the value determined by the
          

CDSClear Product Committee (which, notwithstanding anything to the contrary shall be the

"Calculation Agent" for the purposes of Section 8.15 (Asset Market Value) of the 2014 IDSA

Credit Derivatives Definitions).

If a CCM notifies its CCM Client that Asset Package Delivery is applicable in respect of  the

Physically Settled Cleared Transaction corresponding to their CCM Client Transaction and such

CCM Client Transaction has not already been settled by Physical Settlement and the relevant

Asset Package comprises Assets in the form of cash in the Settlement Currency (whether

pursuant to Section 8.12(b)(v) of the 2014 ISDA Credit Derivatives Definitions or otherwise)

then Asset Package Delivery shall also apply in respect of such CCM Client Transaction and

(i) the Physical Settlement Amount in respect of such CCM Client Transaction shall be an

amount equal to the Physical Settlement Amount minus the Asset Package Cash

Settlement Amount determined in respect of the corresponding Physically Settled

Cleared Transaction; and

(ii) the only Assets to be Delivered in respect of such CCM Client Transaction shall be such

Assets as are Delivered in respect of the corresponding Physically Settled Cleared

Transaction.

The following provisions shall solely be applicable in respect of a CCM Client Transaction between a

CCM Client Buyer and its CCM Seller/Matched Buyer:

7.5 Delivery of Deliverable Obligations by CCM Client Buyer to CCM Seller/Matched Buyer

This Mandatory Provision 7.57.5 shall be applicable unless the CCM Client Buyer and CCM

Seller/Matched Buyer agree that it shall not apply in respect of a specific CCM Client

Transaction.

In respect of a CCM Client Transaction, the Delivery of any Deliverable Obligations(or if Asset

Package Delivery is applicable, the Assets) to be Delivered by CCM Client Buyer to CCM

Seller/Matched Buyer shall be deemed not to have occurred for the purposes of such CCM

Client Transaction unless and until CCM Seller/Matched Buyer Delivers equivalent

Deliverable Obligations or Assets to Matched Seller pursuant to the Physical Settlement of

the corresponding Physically Settled Cleared Transaction.

Unless in respect of the corresponding Physically Settled Cleared Transactions:  

(a) Cash Settlement is applicable (in whole or in part);  

(b) a Buy‐in Period is applicable or Buy‐in Price has been determined pursuant to Section

9.7 (Buy‐in of Bonds Not Delivered) of the 2014 ISDA Credit Derivatives Definitions;  

(c) a Deemed Buy‐in Period is applicable pursuant to Section 6.86.8(b)(b)(i) of the CDS

Clearing Supplement or Section 6.86.8(b)(b)(ii) of the CDS Clearing Supplement is

applicable;  

(d) Section 9.8(i) of the 2014 ISDA Credit Derivatives Definitions is applicable or Matched

Seller has required Matched Buyer to Deliver a Bond or Loan pursuant to Section

9.8(ii) of the 2014 ISDA Credit Derivatives Definitions; or
          

(e) Matched Seller has required Matched Buyer to Deliver a Deliverable Obligation

pursuant to Section 9.9 (Alternative Procedures Relating to Assets Not Delivered) of

the 2014 ISDA Credit Derivatives Definitions,  

(each such event, a "Non‐delivery Event"), CCM Seller/Matched Buyer undertakesto Deliver

the Deliverable Obligations (or such portion of the Deliverable Obligations not affected by a

Non‐delivery Event) or, if Asset Package Delivery is applicable, the Assets, to Matched Seller

not later than the first Business Day after the day on which a trade in such Deliverable

Obligation(s) or Assets would, if effected on the day on which CCM Seller/Matched Buyer

received the Deliverable Obligations or Assets from CCM Client Buyer or on which the

relevant Non‐delivery Event ceased to apply, as applicable, (or if such day is not a Business

Day, the following Business Day), be settled in accordance with then current market practice

of such Deliverable Obligations or Assets, as the case may be, as determined by the

Calculation Agent after consultation with the parties.

Forthe purposes of Article VIII (Termsrelating to Physical Settlement) of the 2014 ISDA Credit

Derivatives Definitions, the Physical Settlement Amount shall not be payable by CCM

Seller/Matched Buyer to CCM Client Buyer in respect of the CCM Client Transaction until the

Physical Settlement of the corresponding Physically Settled Cleared Transaction has

occurred.

7.6 Buy‐in of Bonds not Applicable

Section 9.7 (Buy‐in of Bonds Not Delivered) of the 2014 ISDA Credit Derivatives Definitions

shall not apply.

7.7 Buyer's Right to Deliver suspended during Buy‐in Period

If CCM Seller/Matched Buyer notifies CCM Client Buyer in respect of a CCM Client Transaction

that (i) it has received a Buy‐in Notice from Matched Seller in respect of the Matched

Contracts of the related Settlement Matched Pair or (ii) it has been notified by Matched Seller

in respect of the Matched Contracts of the related Settlement Matched Pair pursuant to

Section 6.86.8(b)(b) (Deemed Buy‐in of Bonds resulting from CCM Client Transaction of

Matched Seller) of the CDS Clearing Supplement thatsuch Matched Seller hasreceived a Buy‐

in Notice from its CCM Client in respect of the CCM Client Transaction between such Matched

Seller and its CCM Client, such notice from CCM Seller/Matched Buyer specifying:

i) the Buy‐in Date;  

ii) the Relevant Bonds; and

iii) the Outstanding Principal Balance thereof sought to be bought‐in,

then CCM Client Buyer'sright to Deliver the specified Relevant Bondsshall be suspended until

the fourth Business Day (inclusive) following such Buy‐in Date.

7.8 Buy‐in of Bonds in respect of Matched Contracts of the Settlement Matched Pair

Provided that Physical Settlement has not already occurred in respect of a CCM Client

Transaction, if CCM Seller/Matched Buyer notifies CCM Client Buyer that a Buy‐in Price has
          

been (i) determined or (ii) deemed to be determined pursuant to Section 6.86.8(b)(b)

(Deemed Buy‐in of Bonds resulting from CCM Client Transaction of Matched Seller) of the CDS

Clearing Supplement, in respect of Relevant Bondsfor the purposes of the Matched Contracts

of the related Settlement Matched Pair, then on the Buy‐in Effective Date:  

i) CCM Client Buyer will be deemed to have Delivered to CCM Seller/Matched Buyer an

Outstanding Principal Balance of the Deliverable Obligations equal to the Outstanding

Principal Balance of the Deliverable Obligations Delivered or deemed to be Delivered

by CCM Seller/Matched Buyer to Matched Seller in respect of the Matched Contracts;

and

ii) the Physical Settlement Amount to be paid by CCM Seller/Matched Buyer to CCM

Client Buyer in respect of this CCM Client Transaction shall be reduced (but not below

zero) by an amount equal to the amount by which the Physical Settlement Amount

to be paid to CCM Seller/Matched Buyer by Matched Seller in respect of the Matched

Contracts is to be reduced.

CCM Seller/Matched Buyer shall notify CCM Client Buyer of such Outstanding Principal

Balance of the Deliverable Obligations and such Physical Settlement Amount reduction for

the purposes of i)i) and ii)ii) above and of the Buy‐in Effective Date.

If CCM Client Buyer has already Delivered Deliverable Obligations to CCM Seller/Matched

Buyer, CCM Seller/Matched Buyer shall redeliver equivalent Deliverable Obligations to CCM

Client Buyer and such equivalent Deliverable Obligations shall have an Outstanding Principal

Balance equal to the Outstanding Principal Balance of the Deliverable Obligation(s) specified

by CCM Seller/Matched Buyer in the above notice and deemed to have been Delivered by

CCM Client Buyer to CCM Seller/Matched Buyer pursuant to this Mandatory Provision 7.87.8.

If "60 Business Day Cap on Settlement" is applicable to the CCM Client Transaction and the

Termination Date of the Affected Portion of the Matched Contracts of the Settlement

Matched Pair that corresponds to such CCM Client Transaction is deferred pursuant to

Section 9.10(a) (Cap on Settlement) of the 2014 ISDA Credit Derivatives Definitions and

Section 6.8(c) of the CDS Clearing Supplement then the Termination Date of an equal portion

of the CCM Client Transaction shall be deferred until the same date.

7.9 Alternative Procedures relating to Loans – Seller Right to Select

Section 9.8(ii) of the 2014 ISDA Credit Derivatives Definitions shall not apply.

7.10 Alternative Procedures relating to Loans – Seller designates alternative Loan or Bond

In respect of a CCM Client Transaction, CCM Seller/Matched Buyer shall notify CCM Client

Buyer if it has purchased Bond(s) and/or Loan(s) pursuant to Section 9.8(ii) of the 2014 ISDA

Credit Derivatives Definitions on the instructions of the Matched Seller in respect of the

corresponding CCM Client Cleared Transaction.  

Following such notification, such Bond(s) and/or Loan(s) shall be deemed to have been

Delivered by CCM Client Buyer to CCM Seller/Matched Buyer in Physical Settlement of the

CCM Client Transaction and the Physical Settlement Amount payable by CCM Seller/Matched
          

Buyer to CCM Client Buyer shall be reduced (but not below zero) by an amount equal to the

price at which such Bond(s) and or Loan(s) were purchased.

CCM Seller/Matched Buyer shall provide CCM Client Buyer with details of such Bond(s)

and/or Loan(s) and the related purchase price(s) in such notice.

If CCM Client Buyer has already Delivered Deliverable Obligations to CCM Seller/Matched

Buyer, CCM Seller/Matched Buyer shall redeliver equivalent Deliverable Obligations to CCM

Client Buyer and such equivalent Deliverable Obligations shall have an Outstanding Principal

Balance equal to the Outstanding Principal Balance of the Bond(s) and/or Loan(s) specified

by CCM Seller/Matched Buyer in the above notice and deemed to have been Delivered by

CCM Client Buyer to CCM Seller/Matched Buyer pursuant to this Mandatory Provision

7.107.10.    

7.11 Alternative Procedures relating to Assets Not Delivered

Section 9.9 (Alternative Procedures Relating to Assets Not Delivered) of the 2014 ISDA Credit

Derivatives Definitions shall not apply.

7.12 Alternative Procedures relating to Assets Not Delivered – Seller designates alternative

Deliverable Obligation(s)      

In respect of a CCM Client Transaction, CCM Seller/Matched Buyer shall notify CCM Client

Buyer if it has purchased one or more Deliverable Obligations pursuant to Section 9.9

(Alternative Procedures Relating to Assets Not Delivered) of the 2014 ISDA Credit Derivatives

on the instructions of the Matched Seller in respect of the corresponding CCM Client Cleared

Transaction.

Following such notification, such Deliverable Obligations shall be deemed to have been

Delivered by CCM Client Buyer to CCM Seller/Matched Buyer in Physical Settlement of the

CCM Client Transaction and the Physical Settlement Amount payable by CCM Seller/Matched

Buyer to CCM Client Buyer shall be reduced (but not below zero) by an amount equal to the

price at which such Deliverable Obligations were purchased.

CCM Seller/Matched Buyer shall provide CCM Client Buyer with details of such Deliverable

Obligation(s) and the related purchase price(s) in such notice.

If CCM Client Buyer has already Delivered Deliverable Obligations to CCM Seller/Matched

Buyer, CCM Seller/Matched Buyer shall redeliver equivalent Deliverable Obligations to CCM

Client Buyer and such equivalent Deliverable Obligations shall have an Outstanding Principal

Balance equal to the Outstanding Principal Balance of the Deliverable Obligation(s) specified

by CCM Seller/Matched Buyer in the above notice and deemed to have been Delivered by

CCM Client Buyer to CCM Seller/Matched Buyer pursuant to this Mandatory Provision 7.12.    

                        
          

The following provisions shall solely be applicable in respect of a CCM Client Transaction between

CCM Client Seller and CCM Buyer/Matched Seller:

7.13 Delivery of Deliverable Obligations to CCM Client Seller

This Mandatory Provision 7.137.13 shall be applicable unlessthe CCM Client Seller and CCM

Buyer/Matched Seller agree that it shall not apply in respect of a specific CCM Client

Transaction.

Subject to the proviso below, in respect of a CCM Client Transaction, the Delivery of any

Deliverable Obligations (or if Asset Package Delivery is applicable, the Assets) to be Delivered

by CCM Buyer/Matched Seller to CCM Client Seller shall be deemed to have occurred for the

purposes of such CCM Client Transaction upon receipt by CCM Buyer/Matched Seller of the

Deliverable Obligations or Assets in respect of the Physical Settlement of the related

Physically Settled Cleared Transaction; provided, however, that if the CCM Client Transaction

is to be settled by Cash Settlement (in whole or in part) pursuant to Section 9.1 (Partial Cash

Settlement Due to Impossibility or Illegality) of the 2014 ISDA Credit Derivatives Definitions

or Mandatory Provision 7.27.2 (Fallback to Cash Settlement in respect of Non‐Deliverable

Obligations) then such portion of the CCM Client Transaction which is to be settled by Cash

Settlement shall not be deemed to be settled until such Cash Settlement occurs.   

Provided that Cash Settlement is not applicable, CCM Buyer/Matched Seller undertakes to

Deliver the Deliverable Obligations or Assets to CCM Client Seller not later than the first

Business Day after the day on which a trade in such Deliverable Obligations or Assets would,

if effected on the day on which CCM Buyer/Matched Seller received the Deliverable

Obligations or Assets from Matched Buyer (or if such day is not a Business Day, the following

Business Day), be settled in accordance with then current market practice ofsuch Deliverable

Obligations or Assets, as the case may be, as determined by the Calculation Agent after

consultation with the parties.

7.14 Alternative Procedures relating to Loans – Seller Right to Select

Section 9.8(ii) of the 2014 ISDA Credit Derivatives Definitions shall not apply.

7.15 Alternative Procedures relating to Loans in respect of Matched Contracts

In respect of a CCM Client Transaction, if CCM Buyer/Matched Seller notifies CCM Client Seller

that a Bond or Loan has been deemed specified in a NOPS Amendment Notice in respect of

the Matched Contracts of the Settlement Matched Pair that corresponds to such CCM Client

Transaction pursuant to (i) Sections 9.8(i) or(ii) of the 2014 ISDA Credit Derivatives Definitions

or (ii) Section 6.96.9 (Alternative Procedures Relating to Loans Not Delivered – Buyer Right to

Deliver) of the CDS Clearing Supplement, then such Bond or Loan shall be deemed to have

been specified in a NOPS Amendment Notice in respect of such CCM Client Transaction and

such NOPS Amendment Notice will be effective notwithstanding the fact that it is deemed

specified after the Physical Settlement Date.
          

7.16 Alternative Procedures relating to Assets Not Delivered

Section 9.9 (Alternative Procedures relating to Assets Not Delivered) of the 2014 ISDA Credit

Derivatives Definitions shall not apply.

7.17 Alternative Procedures relating to Assets Not Delivered

In respect of a CCM Client Transaction, if CCM Buyer / Matched Seller notifies CCM Client

Seller that a Deliverable Obligation has been deemed specified in a NOPS Amendment Notice

in respect of the Matched Contracts of the Settlement Matched Pair that correspondsto such

CCM Client Transaction pursuant to Section 9.9 (Alternative Procedures Relating to Assets Not

Delivered) of the 2014 ISDA Credit Derivatives Definitions then such Deliverable Obligation

shall be deemed to have been specified in a NOPS Amendment Notice in respect ofsuch CCM

Client Transaction and such NOPS Amendment Notice will be effective notwithstanding the

fact that it is deemed specified after the Physical Settlement Date.

7.18 Alternative Procedures and Cap on Settlement

If "60 Business Day Cap on Settlement" is applicable to the CCM Client Transaction and the

Termination Date of the Affected Portion of each of the Matched Contracts of the Settlement

Matched Pair that corresponds to such CCM Client Transaction is deferred pursuant to

Section 9.10(b) (Cap on Settlement) of the 2014 ISDA Credit Derivatives Definitions then the

Termination Date of an equal portion of the CCM Client Transaction shall be deferred until

the same date.

8. Self Referencing Transactions

8.1 Section 11.4 (Merger of Reference Entity and Seller) of the 2014 ISDA Credit Derivatives

Definitions  

Section 11.4 (Merger of Reference Entity and Seller) of the 2014 ISDA Credit Derivatives

Definitions shall not apply.

8.2 Notification of Self Referencing Transactions

In respect of any Single Name CCM Client Transaction, the CCM Client shall, unless prohibited

from so doing by applicable law, notify the CCM as soon as reasonably practicable if:

i) the CCM Client is or consolidates or amalgamates with, or merges into, or transfers

all or substantially all of its assets to, the Reference Entity in relation to such Single

Name CCM Client Transaction or enters into any agreement in respect of any of the

foregoing;

ii) the CCM Client and the Reference Entity in relation to such Single Name CCM Client

Transaction are or become Affiliates; or

iii) in respect of a Restructuring CCM Client Transaction, the CCM Client is or becomes

the Reference Entity in relation to such Restructuring CCM Client Transaction as a

result of the occurrence of the relevant M(M)R Restructuring.
          

8.3 Termination of Self Referencing Transactions

A CCM Client Transaction shall be terminated (unless it has already been terminated) at the

same time as the termination of the corresponding Single Name Cleared Transaction

pursuant to Section 9.2 (Occurrence of Client Self Referencing Transactions) of the CDS

Clearing Supplement and by reference to the price at which such Single Name Cleared

Transaction is terminated and an amount will be payable:

(a)  if the CCM receives an amount from LCH SA in relation to such Single Name Cleared

Transaction pursuant to Section 9.2 (Occurrence of Client Self Referencing Transactions),

by the CCM to the CCM Client equal to such amount and on the Business Day following

receipt by the CCM of such amount from LCH SA; and  

(b)  if the CCM is obliged to pay an amount to LCH SA in relation to such Single Name Cleared

Transaction pursuant to Section 9.2 (Occurrence of Client Self Referencing Transactions ),

by the CCM Client to the CCM equal to such amount and on the later of (I) the Business

Day prior to the day on which the CCM is obliged to pay such amount to LCH SA and (II)

the Business Day following the Business Day on which the CCM gives notices to the CCM

Client of the relevant amount.

8.4 Costs of Terminating Self Referencing Transactions

Without prejudice to any other indemnity agreed between the CCM and the CCM Client in

relation to CCM Client Transactions, the CCM Client agrees to indemnify and hold harmless

the CCM from and against all costs and expenses that the CCM is obliged to bear pursuant to  

Section 9.2 (Occurrence of Client Self Referencing Transactions) of the CDS Clearing

Supplement.

8.5 Compression of Self Referencing Transactions

Where the CCM acts as Matched Buyer and Matched Seller in respect of fungible Single Name

Cleared Transactions that have a corresponding CCM Client Transaction in respect of which

CCM Client has given notice to CCM pursuant to Mandatory Provision 8.28.2 (Notification of

Self Referencing Transactions) and the relevant Single Name Cleared Transactions are

compressed pursuant to Section 9.29.2 (Occurrence of Client Self Referencing Transactions)

of the CDS Clearing Supplement, the CCM Client will be deemed to have submitted to CCM a

request to compress the corresponding CCM Client Transactions.

9. Calculation Agent

9.1 Appointment of Calculation Agent

The Calculation Agent in respect of any CCM Client Transaction shall be the CCM.   

9.2 Calculations and Determinations of Calculation Agent

In the event that the Calculation Agent is entitled or required to make any calculation or

determination in respect of a CCM Client Transaction in respect of a matter that has already

been or will be determined in respect of and pursuant to the terms of the corresponding CCM

Client Cleared Transaction, the Calculation Agent in respect of the CCM Client Transaction
          

shall be obliged to make the same calculation or determination in respect of such CCM Client

Transaction as the determination in respect of the corresponding CCM Client Cleared

Transaction (including, without limitation, any determination of any Cash Settlement Amount

payable in respect of the CCM Client Transaction).      

10. Amendments

The Mandatory Provisions may be amended from time to time pursuant to Section 1111

(Amendments) of the CDS Clearing Supplement. The parties agree that any amendments

made to the Mandatory Provisions in accordance with Section 1111 (Amendments) of the

CDS Clearing Supplement shall be deemed to apply automatically to the CCM Client

Transaction(s) with effect from the date of such amendment to the Mandatory Provisions.
LCH SA © 2022 Published on 12 December 2022

PART C

CDS CLEARING SUPPLEMENT

FOR CREDIT INDEX SWAPTIONS  

CONTENTS 

SECTION PAGE 

1. GENERAL PROVISIONS .......................................................................................................................... 1 

2. TERMS OF CLEARED TRANSACTIONS ............................................................................................. 13 

3. PAYMENTS .............................................................................................................................................. 18 

4. CREDIT EVENTS AND SUCCESSION EVENTS .................................................................................. 18 

5. RESTRUCTURING .................................................................................................................................. 19 

6. EXERCISE MATCHED PAIRS ............................................................................................................... 26 

7. SETTLEMENT .......................................................................................................................................... 28 

8. DELIVERY OF NOTICES ........................................................................................................................ 40 

9. MATCHED PAIR DESIGNATIONS ....................................................................................................... 40 

10. MANDATORY PROVISIONS FOR CCM CLIENT TRANSACTIONS ................................................ 45 

11. AMENDMENTS ....................................................................................................................................... 46 

12. FORMS OF NOTICES .............................................................................................................................. 46 

13. EXCLUSION OF LIABILITY .................................................................................................................. 46 

14. DISPUTE RESOLUTION ......................................................................................................................... 47 

15. GOVERNING LAW .................................................................................................................................. 47 
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1. GENERAL PROVISIONS 

1.1 Incorporation of Defined Terms  

Capitalised terms used in this CDS Clearing Supplement and not otherwise defined herein

shall have the meaning given pursuant to the Index Swaption Cleared Transaction

Confirmation, the 2014 ISDA Credit Derivatives Definitions, the ISDA Swap Transaction

Definitions or the CDS Clearing Rule Book, as applicable.  In the case of any such terms defined

in the CDS Clearing Rule Book, such terms shall be interpreted in accordance with the

governing law specified therefor in the CDS Clearing Rule Book.  

1.2 Terms defined in the CDS Clearing Supplement

For the purposes of the CDS Clearing Documentation, the following capitalised terms shall,

unless otherwise specified, have the respective meanings set out below:  

2006 Definitions: The 2006 ISDA Definitions published by ISDA.  

2021 Definitions: The 2021 ISDA Interest Rate Derivatives Definitions published by ISDA.

2014 ISDA Credit Derivatives Definitions: The 2014 ISDA Credit Derivatives Definitions

published by ISDA.

Abandon: The Abandonment of an Exercise Cleared Transaction.

Abandonment: The delivery of a valid Abandonment Notice by Swaption Buyer (or deemed

delivery pursuant to Section 6.36.3 (Exercise and Abandonment by way of EEP) or Section 6.4

(Delegation by Clearing Members to Clients) below) in respect of the Exercise Cleared

Transactions of an Exercise Matched Pair.

Abandonment Notice: The notice of abandonment given by Swaption Buyer to Swaption

Seller in accordance with Section 6.66.6 (Abandonment of Exercise Cleared Transactions).

CCM Client Cleared Transaction: A Cleared Transaction between a CCM and LCH SA

registered in a CCM Client Trade Account of a CCM.

CCM Client Communications Failure Event: As set out at Mandatory Provision 5.7(b) (CCM

Client Communications Failure Event).  

CCM Client Transaction: A Transaction between a CCM and a CCM Client which is on the

same economic terms as its corresponding CCM Client Cleared Transaction.

CCM Client Transaction Documents: The documentation entered into by a CCM and its CCM

Client to document a CCM Client Transaction.

CDS Buyer: The Fixed Rate Payer under the relevant Underlying Index Transaction.

CDSClear Preferred Reference Obligation: Thisterm shall have the meaning set out in Section

4 of the Procedures.
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CDSClear Product Committee: A committee composed of representatives of LCH SA and

representatives of Clearing Members for the purposes of carrying‐out the tasks apportioned

to it by the CDS Clearing Documentation as further described in the terms of reference for

such committee, agreed in consultation with the Clearing Members and as may be amended

from time to time in consultation with the Clearing Members.  

CDS Clearing Rule Book: The document entitled "CDS Clearing Rule Book" published by LCH

SA, as amended from time to time.

CDS Seller: The Floating Rate Payer under the relevant Underlying Index Transaction.

CDX Swaption Standard Terms Supplement: The latest version of the CDX Untranched

Transactions Swaption Standard Terms Supplement in force, as published by Markit North

America, Inc. or any affiliate of Markit North America, Inc. and as amended by this CDS

Clearing Supplement.

CEN Triggering Period: In relation to any M(M)R Restructuring, the period during which the

parties to the Swaption Restructuring Cleared Transaction of a Swaption Restructuring

Matched Pair may deliver a Credit Event Notice in relation to the relevant M(M)R

Restructuring, such period starting at 9:00 a.m. on and including the earlier to occur of:

(a) the Relevant City Business Day following publication of the related Final List; and

(b) the fifth calendar day following the No Auction Announcement Date,

and ending on and including the Exercise Cut‐off Date applicable to CDS Buyer or CDS Seller

(as applicable).  

Clearing Member Communications Failure Event: As set out at 6.10 (Clearing Member

Communications Failure Event).

Clearing Member Notice: A Swaption Clearing Member Notice or a Swaption Restructuring

Clearing Member Notice.

Clearing Member Portal Account: The account of a Clearing Member established in the LCH

Portal for, amongst other things, the purposes of the Exercise and Abandonment of Exercise

Cleared Transactions.

Client Portal Account: The account of a Client established in the LCH Portal for the purposes

of, amongst other things, the Exercise and Abandonment of Exercise Cleared Transactions.

Client Portal Account Number: The unique account number assigned by LCH SA to a Client

Portal Account.

Component Transaction: As defined in the Index Cleared Transaction Confirmation.

Compression Cut‐off Date: The last date on which a Clearing Member or a Client, as

applicable, may submit a request for an Index Swaption Cleared Transaction to be

compressed pursuant to the ad hoc compression methodology and on which a daily

automatic compression cycle will be run by LCH SA, in each case in accordance with Chapter
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3 (Compression) of Title III (Clearing Operations) of the CDS Clearing Rule Book and Section 5

of the Procedures, being:

(a) the date falling one Transaction Business Day prior to the Novation Cut‐off Date in

respect of the relevant Eligible Underlying Index Transaction Version; or

(b) following the occurrence of DC Credit Event Announcement of an M(M)R

Restructuring (and prior to the creation of Swaption Restructuring Matched Pairs

pursuant to Section 5.1 (Creation and Notification of Swaption Restructuring Matched

Pairs)), the earlier of (A) the date of publication of the relevant Initial List (as defined

in the DC Rules), (B) the date falling two Transaction Business Days prior to the

relevant date on which the related SRMP Notification Deadline falls and (C)such other

date falling between the dates in (A) and (B), as determined by LCH SA in consultation

with the CDSClear Product Committee and notified to the relevant Clearing Members

prior to such date.

For the avoidance of doubt, where a Clearing Member has specified automatic compression

on a weekly basis then the last such weekly automatic compression cycle performed by LCH

SA will be performed on the Clearing Day falling on the Thursday on or before the relevant

Compression Cut‐off Date.

DC Restructuring Announcement Date: The date on which the DC Credit Event

Announcement of an M(M)R Restructuring is made, provided that where such DC Credit Event

Announcement is made after 6.30 p.m. on a Transaction Business Day or on a day which is

not a Transaction Business Day, the DC Restructuring Announcement Date will be the first

following Transaction Business Day.

Dispute: This term shall have the meaning set out in the CDS Dispute Resolution Protocol.

DTCC Rules: The "Operating Procedures", as published by DTCC and as amended from time

to time.

EEP Controls: As set out at Section 6.36.3 (Exercise and Abandonment by way of EEPExercise

and Abandonment by way of EEP).

EEP Failure Event: As set out at Section 6.56.5 (Notification of EEP Failure and Resolution).   

EEP Failure Event Time: As set out at Section 6.56.5 (Notification of EEP Failure and

Resolution).

EEP Resolution Time: Asset out at Section 6.56.5 (Notification of EEP Failure and Resolution).

Electronic Exercise Platform or EEP: A platform made available by LCH SA for the Exercise

and Abandonment of Exercise Cleared Transactions through the submission of Option

Intents.

Eligible Underlying Index Transaction Version: This term shall have the meaning set out in

Section 4 of the Procedures.
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EMP Creation Period: The period from (and including) the final Transaction Business Day of

the calendar week immediately preceding the week in which the Expiration Date falls to (but

excluding) the Transaction Business Day immediately preceding the Expiration Date.

EMP Notification Deadline: In respect of a notification by LCH SA to the relevant Clearing

Members in relation to Exercise Matched Pairs, 10.00 p.m. on the Transaction Business Day

immediately prior to the relevant Expiration Date.

Exercise: The delivery of a valid Exercise Notice by Swaption Buyer (or deemed delivery

pursuant to Section 6.36.3 (Exercise and Abandonment by way of EEP) or Section 6.4

(Delegation by Clearing Members to Clients) below) in respect of the Exercise Cleared

Transactions of an Exercise Matched Pair.

Exercise Cleared Transaction: Each Index Swaption Cleared Transaction (including each

Swaption Restructuring Cleared Transaction, as applicable) forming part of an Exercise

Matched Pair pursuant to Section 6.26.2 (Creation of Exercise Cleared Transactions).

Exercise Delegation Beneficiary: A Client of a Clearing Member designated by such Clearing

Member pursuant to Section 6.46.4 (Delegation by Clearing Members to Clients) below as

being entitled to Exercise and Abandon Exercise Cleared Transactions on such Clearing

Member's behalf.  

Exercise Matched Pair: A pairing comprised of a Matched Buyer and a Matched Seller in

respect of Exercise Cleared Transactions created by LCH SA under Section 6.16.1 (Creation

and Notification of Exercise Matched Pairs) for the purposes of the exercise (or non‐exercise)

by Swaption Buyer of the relevant Exercise Cleared Transactions.

Exercise Matched Pair Amount: In respect of an Exercise Matched Pair, the amount of the

Swaption Notional Amount(s) of the relevant Index Swaption Cleared Transactions (or

Swaption Restructuring Cleared Transactions) from which the Exercise Matched Pair (and the

Exercise Cleared Transactions of such Exercise Matched Pair) are created which is allocated

by LCH SA to such Exercise Matched Pair under Section 6.16.1 (Creation and Notification of

Exercise Matched Pairs).

Exercise Notice: The notice of exercise (in whole or in part) given by Swaption Buyer to

Swaption Seller in accordance with:

(a) Section 13.2 (Procedure for Exercise) of the 2006 Definitions, provided that the 2006

Definitions are incorporated by reference in the relevant Markit Standard Terms

Supplement; or

(b) Section 12.6.1(i) (Notice of Exercise) of the 2021 Definitions, provided that the 2021

Definitions are incorporated by reference in the relevant Markit Standard Terms

Supplement.

Exercise Percentage: The amount (expressed as a percentage) of the Swaption Notional

Amount of an Exercise Cleared Transaction that is exercised on the Expiration Date of an

Exercise Cleared Transaction.

First Novation Date: In respect of:
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(a)   an Original Transaction of a Swaption Type for which a Novation Cut‐off Date has

previously occurred as a result of a DC Credit Event Announcement of an M(M)R

Restructuring which is applicable to a Component Transaction of the relevant

Underlying Index Transaction for such Swaption Type, the Transaction Business Day

following the latest possible Exercise Cut‐off Date for the relevant M(M)R

Restructuring or such other date on which LCH SA determines in consultation with the

CDSClear Product Committee that LCH SA will begin to again accept Original

Transactions in respect of which the Underlying Index Transaction references the

relevant Eligible Underlying Index Transaction Version for clearing pursuant to the CDS

Clearing Documentation; and  

(b)   an Original Transaction (other than in the circumstances set‐out in (a) above), the first

date on which LCH SA will accept Original Transactions in respect of which the

Underlying Index Transaction references the relevant Eligible Underlying Index

Transaction Version for clearing pursuant to the CDS Clearing Documentation.

First Restructuring: As set out at Section 5.15.1 (Creation and Notification of Swaption

Restructuring Matched Pairs).

Force Submission: This term shall have the meaning set out in Section 5 of the Procedures.

Index Cleared Transaction: As set out in Part B of the CDS Clearing Supplement.

Index Cleared Transaction Confirmation: Asset out in Part B of the CDS Clearing Supplement.

Index Swaption Cleared Transaction: A Cleared Transaction, the terms of which are as

evidenced by an Index Swaption Cleared Transaction Confirmation, which gives Swaption

Buyer the right to enter into a specified Underlying Index Transaction with Swaption Seller.

Index Swaption Cleared Transaction Confirmation: For:

(a) any Index Swaption Cleared Transaction in respect of which the Underlying Index

Transaction references a Markit iTraxx® Europe Index Series, the latest version of form

of confirmation in force which incorporates the iTraxx® Swaption Standard Terms

Supplement; and

(b) any Index Swaption Cleared Transaction in respect of which the Underlying Index

Transaction references a Markit CDXTM Index Series, the latest version of form of

confirmation in force which incorporates the CDX Swaption Standard Terms

Supplement,

as completed by reference to the relevant Transaction Data (or, in each case,such other form

of confirmation as may be adopted in respect of any Swaption Type in accordance with

Section 1.2.2 (Modification) of the CDS Clearing Rule Book).

ISDA: The International Swaps and Derivatives Association, Inc. and any successor thereto.

ISDA Swap Transaction Definitions: The 2006 Definitions or the 2021 Definitions which are

incorporated by reference in the Markit Standard Terms Supplement.
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iTraxx® Swaption Standard Terms Supplement: The latest version of the iTraxx® Europe

Untranched Transactions Swaption Standard Terms Supplement in force, as published by

Markit Indices GmbH or any affiliate of Markit Indices GmbH and as amended by this CDS

Clearing Supplement.

LCH Portal: As set out in Section 5 of the Procedures.

Mandatory Provisions: As set‐out in Appendix VIII (CCM Client Transaction Requirements).

Markit Standard Terms Supplement: The iTraxx® Swaption Standard Terms Supplement

and/or the CDX Swaption Standard Terms Supplement, as the context requires.

Matched Buyer: A Swaption Buyer comprised in a Swaption Restructuring Matched Pair or

an Exercise Matched Pair (as applicable).

Matched Buyer Contract: A Swaption Restructuring Cleared Transaction or an Exercise

Cleared Transaction (as applicable) between a Matched Buyer and LCH SA which isthe subject

of a Matched Pair having the Swaption Restructuring Matched Pair Amount or the Exercise

Matched Pair Amount, as the case may be, relating to that Matched Pair.

Matched Contract: A Matched Seller Contract or a Matched Buyer Contract, as applicable.

Matched Pair: An Exercise Matched Pair or a Swaption Restructuring Matched Pair (as

applicable).

Matched Pair Amount: An Exercise Matched Pair Amount or a Swaption Restructuring

Matched Pair Amount (as applicable).

Matched Seller: A Swaption Seller comprised in a Swaption Restructuring Matched Pair or an

Exercise Matched Pair (as applicable).  

Matched Seller Contract: A Swaption Restructuring Cleared Transaction or an Exercise

Cleared Transaction between a Matched Seller and LCH SA which is the subject of a Matched

Pair having the Swaption Restructuring Matched Pair Amount or the Exercise Matched Pair

Amount, as the case may be, relating to that Matched Pair.

NEMO Triggering Period: The period starting at 9:00 a.m. on the date that is the Movement

Option Cut‐off Date for the relevant M(M)R Restructuring and ending at the last time for

delivery of a valid Notice to Exercise Movement Option under the terms of the 2014 ISDA

Credit Derivatives Definitions.

Notification Deadline: In respect of an Exercise Matched Pair, the EMP Notification Deadline

and in respect of a Swaption Restructuring Matched Pair, the SRMP Notification Deadline.
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Novation Cut‐off Date: The date with effect from which LCH SA will no longer accept for

novation Original Transactions in respect of which the Underlying Index Transaction

references a particular Eligible Underlying Index Transaction Version, being:

(a) following the occurrence of a DC Credit Event Announcement in respect of an M(M)R

Restructuring which would be applicable to a Component Transaction of such

Underlying Index Transaction, the earlier of:  

(i) a date determined by LCH SA in consultation with the CDSClear Product

Committee, which shall not be earlier than the DC Restructuring

Announcement Date; and

(ii) the calendar day immediately following the No Auction Announcement Date;

(b) following the occurrence of a DC Credit Event Announcement in respect of a Credit

Event (other than an M(M)R Restructuring) which would be applicable to a

Component Transaction of such Underlying Index Transaction, the calendar day

following the DC Announcement Coverage Cut‐off Date;

(c) the date falling 1 (one) Transaction Business Day prior to the Expiration Date for the

Original Transaction; or

(d) otherwise, as determined by LCH SA in consultation with the CDSClear Product

Committee.  

Option Intent: The election of Matched Buyer (or its Exercise Delegation Beneficiary if

applicable) in the EEP to Exercise (in whole or in part) or Abandon an Exercise Cleared

Transaction.     

Protected Exercise Matched Pair Report: As set out in Section 6.16.1 (Creation and

Notification of Exercise Matched Pairs).

Restructuring Delegation Beneficiary: A Client of a Clearing Member designated by such

Clearing Member pursuant to Section 5.7 (Delegation by Clearing Members to Clients) below

as being entitled to send and receive Credit Event Notices and Notices to Exercise Movement

Option in respect of the relevant Swaption Restructuring Cleared Transactions on such

Clearing Member's behalf.  

SRMP Notification Deadline: In respect of a notification by LCH SA to the relevant Clearing

Members in relation to Swaption Restructuring Matched Pairs, 10.00 a.m. on the Relevant

City Business Day immediately prior to the first day of the CEN Triggering Period provided

that the SRMP Notification Deadline shall in no event fall prior to the second Relevant City

Business Day following the occurrence of the related DC Credit Event Announcement.

SRMP Triggerable Amount: An amount equal to the Swaption Notional Amount of the

Swaption Restructuring Cleared Transactions of a Swaption Restructuring Matched Pair

multiplied by the 'Reference Entity Weighting' (under the Underlying Index Transaction

referenced by such Swaption Restructuring Cleared Transaction) of the Reference Entity in

respect of which an M(M)R Restructuring has occurred.
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Submission Deadline: In respect of:

(a) an Index Swaption Cleared Transaction in respect of which the Underlying Index

Transaction references a Markit iTraxx® Europe Index Series:  the Latest Exercice Time

as defined in the iTraxx® Swaption Standard Terms Supplement; or

(b) an Index Swaption Cleared Transaction in respect of which the Underlying Index

Transaction references a Markit CDXTM Index Series: the Expiration Time as defined in

the CDX Swaption Standard Terms Supplement.

Submission Time: As set out at Section 6.36.3 (Exercise and Abandonment by way of

EEPExercise and Abandonment by way of EEP).  

Subsequent Restructuring: Asset out at Section 5.15.1 (Creation and Notification of Swaption

Restructuring Matched Pairs).

Succession Event: An entity (or entities) constitute a successor or successors in respect of a

Reference Entity as determined pursuant to Section 2.2 (Provisions for Determining a

Successor) of the 2014 ISDA Credit Derivatives Definitions.

Successor Resolution: This term shall have the meaning set out in the DC Rules.

Swaption CCM Client Notice: Asset out at Mandatory Provision 5.5 (Duty to Deliver Swaption

CCM Client Notice).

Swaption CCM Client Notice Deadline: Asset out at Mandatory Provision 5.5 (Duty to Deliver

Swaption CCM Client Notice).

Swaption Clearing Member Notice: As set out in Section 6.56.5(c) (Duty to deliver Swaption

Clearing Member Notices).

Swaption Clearing Member Notice Deadline: As set out in Section 6.56.5(c) (Duty to deliver

Swaption Clearing Member Notices).

Swaption Notice: An Exercise Notice or Abandonment Notice.

Swaption Restructuring CCM Client Notice: As set out at Mandatory Provision 7.3 (Duty to

Deliver Swaption Restructuring CCM Client Notice).

Swaption Restructuring Cleared Transaction: Each Index Swaption Cleared Transaction

forming part of a Swaption Restructuring Matched Pair pursuant to Section 5.2 (Creation of

Swaption Restructuring Cleared Transactions).

Swaption Restructuring Clearing Member Notice: As set out at Section 5.8 (Swaption

Restructuring Clearing Member Notices).

Swaption Restructuring Clearing Member Notice Deadline: As set out in Section 5.8

(Swaption Restructuring Clearing Member Notices).

Swaption Restructuring Matched Pair: A pairing comprised of a Matched Buyer and a

Matched Seller in respect of Swaption Restructuring Cleared Transactions created by LCH SA
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under Section 5.15.1 (Creation and Notification of Swaption Restructuring Matched Pairs) or

Section 5.45.4 (Partial triggering of a Swaption Restructuring Cleared Transaction) for the

purposes of the delivery of Credit Event Notices and Notices to Exercise Movement Option

as applicable.

Swaption Restructuring Matched Pair Amount: In respect of a Swaption Restructuring

Matched Pair, the amount of the Swaption Notional Amount(s) of the relevant Index

Swaption Cleared Transactionsfrom which the Swaption Restructuring Matched Pair (and the

Swaption Restructuring Cleared Transactions of such Swaption Restructuring Matched Pair)

are created which is allocated by LCH SA to such Swaption Restructuring Matched Pair under

Section 5.15.1 (Creation and Notification of Swaption Restructuring Matched Pairs) or Section

5.45.4 (Partial triggering of a Swaption Restructuring Cleared Transaction).  

Swaption Type: A class of Index Swaption Cleared Transactions that are identical as to their

terms (including, without limitation, as to the terms of the Underlying Index Transaction to

which such Index Swaption Cleared Transactions relate), and, as the case may be, following

the determination made by LCH SA in accordance with Section 2.4 (Markit Standard Terms

Supplement Updates), except that they may differ as to:  

(a) the Swaption Trade Date;

(b) the Swaption Notional Amount;

(c) the Premium;  

(d) the Premium Payment Date; and  

(e) the identity of the relevant Swaption Buyer and Swaption Seller.  

Transaction Business Day: A day determined as follows:

(a) in respect of any date to be determined or time period to be determined which is

referenced in the ISDA Swap Transaction Definitions:

(i) a day that would be a 'Business Day' (where this would be the applicable term

under the ISDA Swap Transaction Definitions for the purpose of the

determination of such date or time period); or

(ii) a day that would be an 'Exercise Business Day' (where this would be the

applicable term under the ISDA Swap Transaction Definitions for the purpose

of the determination of such date or time period),

pursuant to the business day elections made in the Index Swaption Cleared

Transaction Confirmation; or
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(b) in respect of any date to be determined or time period to be determined which is

referenced in the 2014 ISDA Credit Derivatives Definitions:

(i) a day that would be a 'Business Day' (where this would be the applicable term

under the 2014 ISDA Credit Derivatives Definitions for the purpose of the

determination of such date or time period); or

(ii) a day that would be a 'Calculation Agent City Business Day', 'Grace Period

Business Day' or 'Relevant City Business Day', as applicable (where this would

be the applicable term under the 2014 ISDA Credit Derivatives Definitions for

the purpose of the determination of such date or time period); or

(c) for any other purpose, a day that would be a 'Business Day' as defined in the CDS

Clearing Rule Book.

Transaction Data: In respect of an Original Transaction to be novated pursuant to Title III

(Clearing Operations) of the CDS Clearing Rule Book and cleared by LCH SA as an Index

Swaption Cleared Transaction, the data provided by an Approved Trade Source System to LCH

SA for such purposes, which includes, without limitation:

(a) in respect of the Index Swaption Cleared Transaction:  

(i) the Swaption Trade Date;

(ii) the Swaption Seller;

(iii) the Swaption Buyer;

(iv) the Option Type (if applicable);  

(v) the Quoting Style (if applicable);

(vi) the Premium;

(vii) the Strike Price; and

(viii) the Expiration Date; and

(b) in respect of the Underlying Index Transaction to which such Index Swaption Cleared

Transaction relates:  

(i) the relevant index, including details of the index name, series and version, the

annex date;  

(ii) the Original Notional Amount and the currency of the Original Notional

Amount;  

(iii) the Scheduled Termination Date;

(iv) the Floating Rate Payer;

(v) the Fixed Rate Payer; and
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(vi) the Fixed Rate Payer Payment Dates.

Triggered Amount: This term shall have the meaning given to the term "Exercise Amount" in

the 2014 ISDA Credit Derivatives Definitions.

Underlying Index Transaction: means, in respect of an Index Swaption, the Index Cleared

Transaction which Swaption Buyer has the right to enter into with Swaption Seller, the terms

of which are specified in the Index Swaption Cleared Transaction Confirmation and which

references a portfolio of Reference Entities specified in a credit default swap index.  

1.3 Inconsistency

To the extent of any conflict between:  

(a) any definition or provision contained in Appendix 1 (CDS Default Management

Process) of the CDS Clearing Rule Book;  

(b) the remaining sections of the CDS Clearing Rule Book;  

(c) the CDS Admission Agreement;  

(d) this CDS Clearing Supplement;  

(e) an Index Swaption Cleared Transaction Confirmation;  

(f) the Procedures; or  

(g) any Clearing Notices,  

the first referenced document shall prevail except in relation to determining the existence

and amount of any payment and delivery obligations under any Cleared Transactions, in

respect of which this CDS Clearing Supplement or the Index Swaption Cleared Transaction

Confirmation, as applicable, shall prevail to the extent permitted by law.

1.4 Timing

Pursuant to Article 1.2.8 (Time reference) of the CDS Clearing Rule Book, aAny reference to a

time of day herein shall be deemed to be a reference to the time zone as set out in Section

1.2.8 (Time reference) of the CDS Clearing Rule BookCentral European Time unless otherwise

provided herein.

1.5 Third Party Rights

Unless otherwise provided in this CDS Clearing Supplement or in the CDS Clearing Rulebook,

a person who is not a party to a Cleared Transaction does not have any right under the

Contracts (Rights of Third Parties) Act 1999 to enforce any provision of such Cleared

Transaction or this CDS Clearing Supplement as it relates to such Cleared Transaction.
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1.6 Recording of Conversations

Each of LCH SA and each Clearing Member consents to the recording of telephone

conversations between the trading, marketing and other relevant personnel of the parties in

connection with any Cleared Transaction and agrees to obtain any necessary consent of, and

give any necessary notice of such recording to, its relevant personnel and agrees, to the

extent permitted by applicable law, that such recordings may be submitted as evidence in

any related court or arbitral proceedings.  

1.7 Application to FCM/BD Clearing Members

(a) Upon the taking of any action pursuant to this CDS Clearing Supplement by an

FCM/BD Clearing Member in respect of an FCM/BD Cleared Transaction entered into

as agent for the account of an FCM/BD Client (as described in FCM/BD CDS Clearing

Regulation 1(c)),such FCM/BD Clearing Membershall be deemed to represent to LCH

SA that it has the power and authority to, and has been duly authorised to, take such

action for the account of such FCM/BD Client.

(b) For purposes of this CDS Clearing Supplement, with regard to any Cleared Transaction

entered into by an FCM/BD Clearing Member acting as agent for the account of an

FCM/BD Client (as described in FCM/BD CDS Clearing Regulation 1(c)):

(i) references herein to “Swaption Buyer”, “Swaption Seller”, "CDS Buyer" or "CDS

Seller", as the case may be, shall be understood to be references to such

FCM/BD Client (which shall not, for the avoidance of doubt, prejudice LCH SA’s

right to deal solely with the FCM/BD Clearing Member pursuant to Article

6.1.1.3(vi) of the CDS Clearing Rule Book); and

(ii) references herein to: (1) a Clearing Member entering into a Cleared Transaction

with LCH SA; and (2) a Clearing Member forming part of a Matched Pair, shall

each be understood as such FCM/BD Clearing Member acting as agent for the

account of such FCM/BD Client (as described in FCM/BD CDS Clearing

Regulation 1(c)).

(c) Notwithstanding and without prejudice to sub‐paragraph (b)(i) above:

(i) an FCM/BD Clearing Member (acting as agent for the account of its FCM/BD

Client) shall designate such FCM/BD Client to Exercise and Abandon Exercise

Cleared Transactions on its behalf as its Exercise Delegation Beneficiary

(including, without limitation, by means of submitting Option Intents in the

EEP) in accordance with Section 6.4 (Delegation by Clearing Members to

Clients); and

(ii) an FCM/BD Clearing Member (acting as agent for the account of its FCM/BD

Client) shall designate such FCM/BD Client to send and receive Credit Event

Notices or Notices to Exercise Movement Option in respect of the Swaption

Restructuring Cleared Transactions on its behalf asits Restructuring Delegation

Beneficiary in accordance with Section 5.7 (Delegation by Clearing Members to

Clients).
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2. TERMS OF CLEARED TRANSACTIONS 

2.1 General Terms of Cleared Transactions  

(a) Terms of Index Swaption Cleared Transactions, Swaption Restructuring Cleared

Transactions and Exercise Cleared Transactions

Upon novation of an Original Transaction which is an Index Swaption at the Novation

Time in accordance with Title III (Clearing Operations) of the CDS Clearing Rule Book

or the creation of a Swaption Restructuring Cleared Transaction in accordance with

Section 5.25.2 (Creation of Swaption Restructuring Cleared Transactions) or an

Exercise Cleared Transaction in accordance with Section 6.26.2 (Creation of Exercise

Cleared Transactions), each resulting Index Swaption Cleared Transaction and each

such Swaption Restructuring Cleared Transaction and Exercise Cleared Transaction is

entered into by LCH SA and the relevant Clearing Member on the terms of the related

Index Swaption Cleared Transaction Confirmation.  

(b) Swaption Trade Date of Index Swaption Cleared Transactions following

Compression

Notwithstanding paragraph (a)(a) above and subject to paragraph (c)(c) below, where

Index Swaption Cleared Transactions are subject to compression in accordance with

Chapter 3 (Compression) of Title III (Clearing Operations) of the CDS Clearing Rule

Book, the Swaption Trade Date of any resulting Index Swaption Cleared Transaction(s)

shall be, in respect of any Index Swaption Cleared Transaction subject to:

(i) ad hoc compression (as described in Chapter 3 (Compression) of Title III

(Clearing Operations) of the CDS Clearing Rule Book), the date on which the

request for compression was effectively received and processed in accordance

with Section 5 of the Procedures, which shall be:  

(A) the Clearing Day on which such request is submitted and uploaded by

the relevant Clearing Member or Client, as applicable, provided that

such request for compression was received by LCH SA before 7.00 p.m.

on such Clearing Day (if such request is submitted and uploaded by the

relevant Clearing Member or Client, as applicable, via any means of

access specified in a Clearing Notice) or 5.00 p.m. (if such request is not

submitted via any means of access specified in a Clearing Notice in the

case of a disruption of the relevant means of access);  

(B) the Clearing Day on which such request is submitted if such request is

not submitted via any means of access specified in a Clearing Notice in

the case of disruption of the relevant means of access and is submitted

after 5.00 p.m. but LCH SA, in its sole discretion, processes such request

on the Clearing Day on which such request is submitted; and  
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(C) unless the relevant Clearing Member or Client, as applicable, instructs

the Operations Department to withdraw such request, the Clearing Day

following the Clearing Day on which such request is submitted if such

request is not submitted via any means of access specified in a Clearing

Notice in the case of disruption of the relevant means of access and is

submitted after 5.00 p.m. and LCH SA, in its sole discretion, does not

process such request on the Clearing Day on which such request is

submitted; or

(ii) automatic compression (as described in Chapter 3 (Compression) of Title III

(Clearing Operations) of the CDS Clearing Rule Book), the Clearing Day on which

such Index Swaption Cleared Transaction is automatically compressed by LCH

SA in accordance with Section 5 of the Procedures.

(c) Resetting of Swaption Trade Date following Compression

If LCH SA determines that the Swaption Trade Date for a Cleared Transaction

following compression would be after a DC Announcement Coverage Cut‐off Date

whereas the Swaption Trade Date for the Cleared Transactions from which it was

created would have been prior to such DC Announcement Coverage Cut‐off Date had

the Cleared Transaction not been compressed, LCH SA shall take such action as it

deems necessary to ensure that such DC Credit Event Announcement is applicable to

such Cleared Transaction, including, without limitation,specifying an earlier Swaption

Trade Date for such Cleared Transaction.

(d) Compression Cut‐off Date

An Index Swaption Cleared Transaction (or a Swaption Restructuring Cleared

Transaction or Exercise Cleared Transaction created from such an Index Swaption

Cleared Transaction) may not be subject to compression (in accordance with Chapter

3 (Compression) of Title III (Clearing Operations) of the CDS Clearing Rule Book and

Section 5 of the Procedures) after the Compression Cut‐off Date applicable to such

Index Swaption Cleared Transaction.

2.2 Index Swaption Cleared Transaction Confirmation

The Index Swaption Cleared Transaction Confirmation is amended, supplemented and

completed as follows:

(a) by deleting the words "between [] (Party A) and [] (Party B)" in the second and

third line of the first paragraph and replacing them with:

"between LCH SA ("Party A") and Clearing Member, as identified in the relevant CDS

Admission Agreement between such Clearing Member and Party A ("Party B")";

(b) by deleting the third paragraph thereof and replacing it with the following:  

"This Confirmation supplements, forms a part of, and is subject to, the CDS Clearing

Documentation, as defined in the CDS Clearing Rule Book.";
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(c) by deleting the fourth paragraph thereof and replacing it with the following:

"The terms of the Swaption Transaction, which is an Index Swaption Cleared

Transaction, to which this Confirmation relates are as follows:";

(d) by specifying that “Standard Terms Date” is:

(i) if the Index Swaption Cleared Transaction in respect of which the Underlying

Index Transaction references a Markit iTraxx® Europe Index Series:

“the most recent iTraxx® Europe Untranched Standard Terms Supplement

published prior to the Swaption Trade Date”;

(ii) if the Index Swaption Cleared Transaction in respect of which the Underlying

Index Transaction references a Markit CDXTM Index Series:

“the most recent CDX Untranched Transactions Standard Terms Supplement

published prior to the Swaption Trade Date”;

(e) by specifying that the “Calculation Agent” is Party A;

(f) by inserting the following under “Additional terms”:  

"On the Expiration Date, Swaption Buyer may notify Swaption Seller (which such

notification may be given orally, including by telephone) that the Swaption

Transaction specified in such notice shall be terminated in whole and that no further

amounts shall become due and payable by Swaption Buyer to Swaption Seller or vice

versa in respect of such Swaption Transaction and that notice will be deemed to be

irrevocable. Swaption Buyer will execute and deliver to Swaption Seller a written

confirmation confirming the substance of any telephonic notice within one Exercise

Business Day of that notice. Failure to provide that written confirmation will not affect

the validity of the telephonic notice.";  

(g) by deleting the contact details for notices and the account details;  

(h) by specifying that the "Specified Derivatives Clearing Organization" is LCH SA (subject

to the terms of Part C of the CDS Clearing Supplement); and  

(i) by deleting the signature blocks.

2.3 Amendments to 2014 ISDA Credit Derivatives Definitions  

(a) For the purposes of this Part C of the CDS Clearing Supplement, Section 11.2(c)(iv) of

the 2014 ISDA Credit Derivatives Definitions as incorporated in any Index Cleared

Transaction shall be deemed to be amended so as to enable LCH SA to designate a

designee for the additional purposes of delivering or receiving any Credit Event Notice

or Notice to Exercise Movement Option relating to an M(M)R Restructuring and such

that, where LCH SA isthe designator in relation to any Swaption Restructuring Cleared

Transaction or Exercise Cleared Transaction, as applicable, it is permitted to designate

any relevant Matched Buyer or Matched Seller, as applicable, in accordance with
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Section 9 (Matched Pair Designations) as its designee, notwithstanding that such

relevant Matched Buyer or Matched Seller, as applicable, is not its Affiliate.

(b) The Protocol Effectiveness Condition (as defined in the 2019 ISDA Narrowly Tailored

Credit Event Protocol published by ISDA on 27 August 2019 and as further

supplemented from time to time (the "2019 NTCE Protocol")) being satisfied, then

from and including the Implementation Date (as defined in the 2019 NTCE Protocol)

the amendments set forth in Schedule 1 (Amendments) of the 2019 NTCE Protocol

shall apply to each Index Swaption Cleared Transaction which incorporates the 2014

ISDA Credit Derivatives Definitions and each such Index Swaption Cleared Transaction

shall be a Protocol Covered Transaction for the purposes of the 2019 NTCE Protocol

provided that:

(i) the First Novation Date in respect of such Index Swaption Cleared Transaction

is prior to the Implementation Date;

(ii) such Index Swaption Cleared Transaction is not an Excluded Transaction (as

defined in the 2019 NTCE Protocol) provided that if the Underlying Index

Transaction of such Index Swaption Cleared Transaction relates to more than

one Reference Entity and would otherwise be a Protocol Covered Transaction

but for the inclusion of any Affected Portion (as defined in the 2019 NTCE

Protocol) therein, such Affected Portion shall be excluded for the purposes of

this Section 2.3(b) and the remaining portion of such Index Swaption Cleared

Transaction shall be deemed to be a Protocol Covered Transaction;

(iii) the Expiration Date in respect of such Index Swaption Cleared Transaction is on

or after the Implementation Date; and

(iv) no Event Determination Date has occurred in respect of the Underlying Index

Transaction of such Index Swaption Cleared Transaction prior to the

Implementation Date.

2.4 Markit Standard Terms Supplement Updates

If a new version (the "Revised Markit STS") of a Markit Standard Terms Supplement (the

"Existing Markit STS") is published, LCH SA will, in consultation with the CDSClear Product

Committee, determine whether, in respect of that Markit Standard Terms Supplement, Index

Swaption Cleared Transactions subject to the Existing Markit STS and Index Swaption Cleared

Transactions subject to the Revised Markit STS are fungible for compression purposes in

accordance with the CDS Clearing Documentation.  

If LCH SA determines in consultation with the CDSClear Product Committee that the relevant

Index Swaption Cleared Transactions are identical as to their terms, they will be considered

as of the same Swaption Type.

2.5 Terms of STM Cleared Transaction

The following terms of a registered STM Cleared Transaction are designated as the “STM

Cleared Terms”.
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If a Cleared Transaction is designated as an STM Cleared Transaction in accordance with

Article 3.1.10.7 of the CDS Clearing Rule Book the terms of such Cleared Transaction will

automatically, and without any further action by either party, include the STM Cleared

Terms.   

(a) Net present value

(i) LCH SA shall, at least once per Cash Payment Day, determine the net present

value of this STM Cleared Transaction in such manner and at such times as may

be provided in Section 2 of the Procedures.  

(ii) Immediately upon LCH SA making such a determination of the net present

value of this STM Cleared Transaction:  

(A) An amount (determined in accordance with Section 2.14 (NPV Amount)

of the Procedures) of cash may become due and payable by the Clearing

Member or LCH SA (as applicable, and as determined in accordance with

Section 2.14 (NPV Amount) of the Procedures) under these STM Cleared

Terms; and  

(B) the net present value of this STM Cleared Transaction shall for all

purposes be reset to zero.  

(iii) The amount (if any) referred to in (ii)(A) above shall immediately become due

and payable by the relevant party under the STM Cleared Terms applicable to

this STM Cleared Transaction and shall be made in such manner and at such

times as may be provided in Section 2 of the Procedures.

(iv) In any circumstance preventing the NPV Payments or Variation Margin

Collateral Transfersfrom being performed in US Dollar, LCH SA shall be entitled

to convert any amount denominated in US Dollar into Euro in accordance with

Article 4.2.3.2 of the CDS Clearing Rule Book.  

(b) Price Alignment Amount  

(i) LCH SA shall, at least once per Cash Payment Day, determine the Price

Alignment Amount in respect of this STM Cleared Transaction in such manner

and at such times as may be provided in Section 2 of the Procedures.  

(ii) Immediately upon LCH SA making such a determination of the Price Alignment

Amount in respect of this STM Cleared Transaction, an amount (determined in

accordance with Section 2.17 (Price Alignment Amount) of the Procedures) of

cash may become due and payable by the Clearing Member or LCH SA (as

applicable, and as determined in accordance with Section 2.17 (Price Alignment

Amount) of the Procedures) under these STM Cleared Terms.  

(iii) The amount (if any) referred to in (ii) above shall immediately become due and

payable by the relevant party under the STM Cleared Terms applicable to this

STM Cleared Transaction and shall be made in such manner and at such times

as may be provided in Section 2 of the Procedures.
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3. PAYMENTS 

3.1 Obligation to pay  

Each of LCH SA and each Clearing Member will make each paymentspecified under the terms

of each Cleared Transaction to be made by it, subject to the other provisions of the CDS

Clearing Documentation.  

Payments under any Cleared Transaction will be made on the due date for value on that date

in the place of the account specified for the relevant party in the CDS Admission Agreement

(or such other account as may be designated by it from time to time for such purpose in

accordance with the CDS Admission Agreement and/or the Procedures, as applicable) and

otherwise in accordance with the CDS Clearing Documentation, in freely transferable funds

and in the manner customary for payments in the required currency.  

3.2 Payment of Premium under Original Transactions

(a) If the Premium is due and payable under the terms of an Original Transaction on or

before the Clearing Day on which the related Index Swaption Cleared Transactions are

created by novation pursuant to Title III (Clearing Operations) of the CDS Clearing Rule

Book, such amount shall be payable under and in accordance with the terms of such

Original Transaction.  In such event, no corresponding Premium shall be payable in

respect of such Index Swaption Cleared Transactions.  

(b) If the Premium Payment Date of an Original Transaction would be a date falling after

the Clearing Day on which the Index Swaption Cleared Transactions related to such

Original Transaction are created by novation pursuant to Title III (Clearing Operations)

of the CDS Clearing Rule Book then the corresponding Premium Payment Date for the

related Index Swaption Cleared Transactions shall occur on the Transaction Business

Day which is also a Clearing Day immediately following the Clearing Day on which such

related Index Swaption Cleared Transactions are created and the Index Swaption

Cleared Transaction Confirmation shall be deemed to have been amended

accordingly.

4. CREDIT EVENTS AND SUCCESSION EVENTS 

4.1 Determination of Credit Events and Succession Events

Notwithstanding any provision of any Cleared Transaction to the contrary:

(a) LCH SA (in its capacity as Calculation Agent with respect to such Cleared Transaction)

shall not make any determination pursuant to Section 2.10 (Substitute Reference

Obligation) of the 2014 ISDA Credit Derivatives Definitions or in respect of any matter

which is or may be subject to resolution under Sections 3.5 (Successor Resolutions) or

3.6 (Substitute Reference Obligation Resolutions) of the DC Rules; and

(b) neither LCH SA nor any Clearing Member shall be entitled to deliver a Successor

Notice or a Credit Event Notice (other than Credit Event Notices in relation to an

M(M)R Restructuring in accordance with Section 5.35.3 (Triggering of Swaption

Restructuring Cleared Transactions)).
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4.2 M(M)R Restructuring Timeline

(a) Publication of Credit Event Timeline

Upon a DC Credit Event Announcement of an M(M)R Restructuring, LCH SA will publish

and make available to Clearing Members a timeline in respect of the relevant M(M)R

Restructuring and related Cleared Transactions for which a Component Transaction of

the Underlying Index Transaction references the relevant combination of Reference

Entity, Transaction Type and Reference Obligation to which such M(M)R Restructuring

applies, to notify, among other things, the relevant Novation Cut‐off Date,

Compression Cut‐off Date and First Novation Date.

Any such timeline shall (i) be published and made available on the date of such DC

Credit Event Announcement or, if LCH SA determines that such publication on such

date is not practicably possible, assoon as practicable thereafter (but in no event later

than the Transaction Business Day before the earlier of the relevant Novation Cut‐off

Date and the relevant Compression Cut‐off Date) and (ii) in all cases be without

prejudice to and consistent with the terms of the CDS Clearing Documentation and

any relevant DC Resolutions.  

(b) Amendment of Credit Event Timeline

Any such timeline may be subject to subsequent amendment by LCH SA, by means of

a Clearing Notice to Clearing Members, only to reflect subsequent DC Resolutions,

timing provisions of any relevant Transaction Auction Settlement Terms, or in each

case any subsequent amendments thereto. Any such amendment shall be made by

LCH SA as soon as reasonably practicable following the relevant event.

4.3 Reversal of DC Credit Event Announcements and Margining

If a DC Credit Event Announcement is reversed then, subject to Section 10.2(a)(i) of the 2014

ISDA Credit Derivatives Definitions, LCH SA shall be obliged in accordance with Section 3 of

the Proceduresto calculate and shall be entitled to call for Margin and/or be obliged to return

Margin with respect to each Clearing Member on the basis that the DC Credit Event

Announcement that is reversed had not been made.

5. RESTRUCTURING 

5.1 Creation and Notification of Swaption Restructuring Matched Pairs

Following the occurrence of a DC Credit Event Announcement in respect of an M(M)R

Restructuring which would be applicable to a Component Transaction of the Underlying Index

Transaction to which a set of Index Swaption Cleared Transactions of the same Swaption Type

relates, LCH SA will create (on one or more occasions) Swaption Restructuring Matched Pairs

in accordance with Section 9.1 (Creation of Matched Pairs). Each such Swaption Restructuring

Matched Pair shall be composed of two Swaption Restructuring Cleared Transactions.  

If a DC Credit Event Announcement occurs in respect of an M(M)R Restructuring in respect of

a further Reference Entity (a "Subsequent Restructuring") which would be applicable to

another Component Transaction of the Underlying Index Transaction of a Swaption
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Restructuring Cleared Transaction prior to the expiry of the CEN Triggering Period for the first

Reference Entity in respect of which an M(M)R Restructuring occurred (the "First

Restructuring") and the CEN Triggering Period for such Subsequent Restructuring

commences prior to the Expiration Date, any Swaption Restructuring Matched Pairs for the

First Restructuring shall also be Swaption Restructuring Matched Pairs in respect of the

Subsequent Restructuring.    The same shall apply to any further relevant DC Credit Event

Announcements in respect of M(M)R Restructurings in respect of further Reference Entities

during this period and the terms 'First Restructuring' and 'Subsequent Restructuring' in this

Section 5 shall be interpreted accordingly.  

LCH SA shall notify the relevant Matched Buyer and Matched Seller (and any Restructuring

Delegation Beneficiary thereof) comprised within each Swaption Restructuring Matched Pair

of:  

(a) the identity of the other Clearing Member (or its Restructuring Delegation Beneficiary

if applicable) (together with the address, fax number, telephone number, contact

email address and other applicable notice details of such other Clearing Member (or

its Restructuring Delegation Beneficiary if applicable)) of such Matched Pair;  

(b) the associated Swaption Restructuring Matched Pair Amount; and

(c) the associated SRMP Triggerable Amount,  

as soon as reasonably practicable following the related Compression Cut‐off Date, but in any

event, at or prior to the SRMP Notification Deadline.  

Any Clearing Member expressly and irrevocably consents to the disclosure of information by

LCH SA pursuant to and in accordance with the provisions of this Section to the relevant

Clearing Member or, if applicable, any relevant Restructuring Delegation Beneficiary.

5.2 Creation of Swaption Restructuring Cleared Transactions

Upon the notification to the relevant Clearing Members of Swaption Restructuring Matched

Pairs, where two or more Index Swaption Cleared Transactions have been combined into a

single transaction as part of the matching process and/or where any Index Swaption Cleared

Transaction has been split into two or more separate transactions as part of the matching

process, the relevant original Index Swaption Cleared Transactions entered into by each

Clearing Member with LCH SA will be deemed terminated and new Swaption Restructuring

Cleared Transactions of the same Swaption Type will be deemed to be entered into between

each such Clearing Member and LCH SA, with each such Swaption Restructuring Cleared

Transaction having a Swaption Notional Amount (and with the Underlying Index Transaction

in respect of each such Swaption Restructuring Cleared Transaction having an Original

Notional Amount) corresponding to the Swaption Restructuring Matched Pair Amount of the

Swaption Restructuring Matched Pair in which the relevant Clearing Member is comprised as

a Matched Buyer or a Matched Seller, as applicable. Subject to Section 9.39.3 (Resetting of

Swaption Trade Date) below, the Swaption Trade Date of such Swaption Restructuring

Cleared Transactions shall be the date of such notification.    
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With effect from the notification of the Swaption Restructuring Matched Pairs, any Index

Swaption Cleared Transaction forming part of a Swaption Restructuring Matched Pair shall

henceforth constitute a Swaption Restructuring Cleared Transaction for the purposes of this

CDS Clearing Supplement and the Swaption Notional Amount of such Swaption Restructuring

Cleared Transactions shall be the Swaption Restructuring Matched Pair Amount.

5.3 Triggering of Swaption Restructuring Cleared Transactions

Subject as set out in Section 8 (Delivery of Notices), and notwithstanding anything to the

contrary in the terms of any Cleared Transaction, Clearing Members (or its Restructuring

Delegation Beneficiary on its behalf, if applicable) may only deliver Credit Event Notices (as

CDS Buyer or CDS Seller) in relation to an M(M)R Restructuring during the CEN Triggering

Period following notification of Swaption Restructuring Matched Pairs by LCH SA and subject

always to the terms of the relevant Swaption Restructuring Cleared Transaction.

For the purposes of the delivery of Credit Event Notices in respect of an M(M)R Restructuring

and the Swaption Restructuring Cleared Transactions of a Swaption Restructuring Matched

Pair, the Floating Rate Payer Calculation Amount by reference to which a Credit Event Notice

may be delivered shall be an amount equal to the applicable SRMP Triggerable Amount.

Any Credit Event Notice delivered in respect of a Swaption Restructuring Matched Pair for an

amount which is greater than the relevant SRMP Triggerable Amount shall be ineffective as

to such excess.

5.4 Partial triggering of a Swaption Restructuring Cleared Transaction  

If a Notifying Party has delivered a valid Credit Event Notice during the CEN Triggering Period

applicable to it that specifies a Triggered Amount that is less than the SRMP Triggerable

Amount, following the expiry of the CEN Triggering Period, each Swaption Restructuring

Cleared Transaction (an "Original Swaption Restructuring Cleared Transaction") of the

relevant Swaption Restructuring Matched Pair shall be split into two separate Swaption

Restructuring Cleared Transactions:  

(a) one of such Swaption Restructuring Cleared Transactions:  

(i) shall have an SRMP Triggerable Amount equal to the Triggered Amount; and

(ii) shall have a Swaption Notional Amount equal to (x) the Swaption Notional

Amount of the Original Swaption Restructuring Cleared Transaction divided by

(y) the SRMP Triggerable Amount of the Original Swaption Restructuring

Cleared Transaction multiplied by (z) the Triggered Amount specified in the

Credit Event Notice,  

and will be deemed to have been triggered in whole by the relevant Credit Event

Notice (a "Triggered Cleared Transaction"); and  

(b) the other of such Swaption Restructuring Cleared Transactions (the "Remaining

Untriggered Cleared Transaction"):  
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(i) shall have an SRMP Triggerable Amount equal to the SRMP Triggerable Amount

of the Original Swaption Restructuring Cleared Transaction minusthe Triggered

Amount; and  

(ii) shall have a Swaption Notional Amount equal to (x) the Swaption Notional

Amount of the Original Swaption Restructuring Cleared Transaction less (y) the

Swaption Notional Amount determined in accordance with sub‐paragraph

(a)(ii)(a)(ii) above,  

and no Credit Event Notice will be deemed to have been delivered in respect of such

Remaining Untriggered Cleared Transaction.  

In the event that more than one Credit Event Notice is delivered during the CEN Triggering

Period, the process set‐out above shall be applied to the Credit Event Notice which was

validly delivered first; provided, however, that for this purpose any Credit Event Notice(s)

delivered by CDS Seller on or prior to the Exercise Cut‐off Date applicable to CDS Seller shall

be deemed to have been delivered prior to any Credit Event Notice(s) delivered by CDS Buyer

on or prior to the Exercise Cut‐off Date applicable to CDS Buyer.  Each subsequent Credit

Event Notice shall then be applied to the Remaining Untriggered Cleared Transaction (and

each subsequent Remaining Untriggered Cleared Transaction) until either no further Credit

Event Notices remain or the SRMP Triggerable Amount has been reduced to zero.  

Section 1.33(b) of the 2014 ISDA Credit Derivatives Definitions shall not apply.  

In the event that a Credit Event Notice has been validly delivered in respect of a Subsequent

Restructuring prior to the expiry of the CEN Triggering Period for the First Restructuring,such

Credit Event Notice shall be split between each Triggered Cleared Transaction and Remaining

Untriggered Cleared Transaction created pursuant to this Section 5.45.4 on a proportionate

basis and a Credit Event Notice shall consequently be deemed to have been delivered in

respect of each such Triggered Cleared Transaction and Remaining Untriggered Cleared

Transaction.

5.5 Notice to Exercise Movement Option

Subject as set out in Section 8 (Delivery of Notices), Clearing Members (or any Restructuring

Delegation Beneficiary, if applicable) may only deliver a Notice to Exercise Movement Option

during the NEMO Triggering Period.

5.6 Delivery of Credit Event Notices and Notices to Exercise Movement Option  

Credit Event Notices and Notices to Exercise Movement Option shall be delivered between

Matched Buyer (or in respect of the relevant Client Cleared Transactions, its Restructuring

Delegation Beneficiary on its behalf in accordance with Section 5.7 (Delegation by Clearing

Members to Clients), if applicable) and Matched Seller (or in respect of the relevant Client

Cleared Transactions, its Restructuring Delegation Beneficiary on its behalf in accordance

with Section 5.7 (Delegation by Clearing Members to Clients), if applicable) of a Swaption

Restructuring Matched Pair in accordance with Section 8.18.1 (General Rules relating to

Notices) below and the terms of the Swaption Restructuring Cleared Transactions, in each

case acting in its own name in respect of the House Cleared Transaction, or in the name of
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Clearing Member in respect of the Client Cleared Transaction, of the Swaption Restructuring

Matched Pair to which the relevant Clearing Member is a party and as designee of LCH SA in

respect of the other Swaption Restructuring Cleared Transaction of the Swaption

Restructuring Matched Pair.

5.7 Delegation by Clearing Members to Clients

In respect of the Swaption Restructuring Cleared Transactions of a Swaption Restructuring

Matched Pair which are Client Cleared Transactions, Matched Buyer and/or Matched Seller

shall designate its relevant Client to send and receive Credit Event Notices and Notices to

Exercise Movement Option on its behalf in accordance with this Section 5. Any such

designation will take effect assoon as reasonably practicable (but not later than five Business

Days) following receipt by LCH SA of a duly completed and signed Delegation Form in

accordance with Section 5 of the Procedures. Such designation may be withdrawn provided

that there is no Swaption Restructuring Cleared Transaction registered in the Client Trade

Account of the relevant Client and in accordance with the conditions set out in Section 5 of

the Procedures.   

Where a Client is designated by its Clearing Member in accordance with the preceding

paragraph, any delivery or receipt of a Credit Event Notice and/or Notice to Exercise

Movement Option by that Client pursuant to this Section 5 and Section 8.18.1 (General Rules

relating to Notices) shall be deemed to constitute the delivery or receipt by its Clearing

Member of a valid Credit Event Notice and/or Notice to Exercise Movement Option for the

purposes of the terms of each of the Swaption Restructuring Cleared Transactions of the

Swaption Restructuring Matched Pair in accordance with this Section 5.   

Where a Client has been designated by its Clearing Member pursuant to this Section 6.4 for

the purposes of delivering and receiving Credit Event Notices and Notices to Exercise

Movement Option in respect of Swaption Restructuring Cleared Transactions, any reference

in this CDS Clearing Supplement to a Credit Event Notice or Notice to Exercise Movement

Option being delivered to or by a Clearing Member shall be interpreted accordingly.

5.8 Swaption Restructuring Clearing Member Notices

(a) Duty to deliver Swaption Restructuring Clearing Member Notices

Each Clearing Member shall notify LCH SA or deliver a copy to LCH SA of any notice

delivered or received by such Clearing Member to or from another Clearing Member

comprised in a Swaption Restructuring Matched Pair, including, without limitation,

any Credit Event Notice or Notice to Exercise Movement Option which was delivered

in accordance with Section 5.65.6 (Delivery of Credit Event Notices and Notices to

Exercise Movement Option) above and which such Clearing Member asserts or

acknowledges was effective for the purposes of this CDS Clearing Supplement and the

relevant Swaption Restructuring Cleared Transactions(such notification, or delivery of

such copy, in respect of any relevant notice, a Swaption Restructuring Clearing

Member Notice) by no later than 5.00 p.m. on the last date on which such notice could

validly be sent (in each case, the Swaption Restructuring Clearing Member Notice

Deadline).   
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If a Clearing Member has designated its Client as its Restructuring Delegation

Beneficiary pursuant to Section 5.7 (Delegation by Clearing Members to Clients)

above, a Swaption Restructuring Clearing Member Notice may be sent on its behalf by

such Client.   

(b) No Swaption Restructuring Clearing Member Notice or Swaption Restructuring CCM

Client Notice received

Where LCH SA does not receive a Swaption Restructuring Clearing Member Notice in

respect of a Credit Event Notice or a Notice to Exercise Movement Option from both

Clearing Members(or their Restructuring Delegation Beneficiaries, if applicable) in the

relevant Swaption Restructuring Matched Pair on or prior to the relevant Swaption

Restructuring Clearing Member Notice Deadline, LCH SA shall, subject to Section 5.8

(c) (Consequences of no Swaption Restructuring Clearing Member Notice or Swaption

Restructuring CCM Client Notice being received by LCH SA) below, take no action in

respect of the relevant Swaption Restructuring Matched Pair.  

(c) Consequences of no Swaption Restructuring Clearing Member Notice or Swaption

Restructuring CCM Client Notice being received by LCH SA

If LCH SA determines in its sole discretion that, notwithstanding the fact that no

Swaption Restructuring Clearing Member Notice (or Swaption Restructuring CCM

Client Notice, if applicable) has been received by LCH SA in respect of any Credit Event

Notice or Notice to Exercise Movement Option by the relevant Swaption Restructuring

Clearing Member Notice Deadline, such notice was in fact delivered or received

directly by a Clearing Member (or its Restructuring Delegation Beneficiary, if

applicable) and would have been effective for the purposes of this CDS Clearing

Supplement, LCH SA shall use commercially reasonable efforts to give effect to the

terms of such Credit Event Notice or Notice to Exercise Movement Option, as the case

may be.  If LCH SA gives effect to the terms of such notice pursuant to this Section 5.8

(c) then the provisions of this Part C of the CDS Clearing Supplement shall apply as if

LCH SA had received a Swaption Restructuring Clearing Member Notice (or Swaption

Restructuring CCM Client Notice, if applicable) in respect of the relevant notice prior

to the Swaption Restructuring Clearing Member Notice Deadline.

If LCH SA determines in its sole discretion that it is not possible to give effect to the

terms of any such Credit Event Notice or Notice to Exercise Movement Option in

respect of which no Swaption Restructuring Clearing Member Notice (or Swaption

Restructuring CCM Client Notice, if applicable) was received by LCH SA by the relevant

Swaption Restructuring Clearing Member Notice Deadline then, following Exercise, an

amount shall be payable between the Clearing Members equal to the difference

between the value of the Matched Buyer Contract had the Swaption Restructuring

Clearing Member Notice (or Swaption Restructuring CCM Client Notice, if applicable)

been given to LCH SA prior to the Swaption Restructuring Clearing Member Notice

Deadline and the value ofsuch contract in the absence ofsuch Swaption Restructuring

Clearing Member Notice (or Swaption Restructuring CCM Client Notice, if applicable)

having been given. Such difference in value shall be determined as of the earlier of the

day on which notice is given by any relevant Clearing Member (or Restructuring
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Delegation Beneficiary, if applicable) that such amount is due and payable and the

eighth Transaction Business Day following the Auction Settlement Date, No Auction

Announcement Date or Auction Cancellation Date, as applicable, by reference to the

relevant Auction Settlement Amount or end of day contributed prices, in each case if

available. In each case, the relevant Clearing Members (or their Restructuring

Delegation Beneficiaries, as applicable) shall have enforcement rights as against each

other pursuant to the Contracts (Rights of Third Parties) Act 1999 in respect of any

resulting payments and deliveries; LCH SA shall have no liability in respect thereof.

5.9 Effect of Credit Event Notices and Notices to Exercise Movement Option

Notwithstanding any other provision hereof or of the 2014 ISDA Credit Derivatives

Definitions, Matched Buyer and Matched Sellershall have no payment or delivery obligations

in respect of the M(M)R Restructuring as a result of the delivery of a Credit Event Notice or

Notice to Exercise Movement Option.  Such payment and delivery obligations shall instead

arise under the Restructuring Cleared Transactions created pursuant to Section 7.3 (Creation

of Restructuring Cleared Transactions for Triggering and/or Settlement purposes) following

exercise (if applicable).  

5.10 Reversal of DC Credit Event Announcements

If a DC Credit Event Announcement made in respect of an M(M)R Restructuring is reversed

then, subject to Section 10.2(a)(i) of the 2014 ISDA Credit Derivatives Definitions:

(a) LCH SA shall have no obligation to create Swaption Restructuring Matched Pairs in

accordance with Section 5.15.1 (Creation and Notification of Swaption Restructuring

Matched Pairs);  

(b) provided that no Subsequent Restructuring has occurred, any Swaption Restructuring

Matched Pairs so created (or created pursuant to Section 5.45.4 (Partial triggering of

a Swaption Restructuring Cleared Transaction)) shall be deemed not to have been

created;  

(c) any Credit Event Notices delivered in connection with such M(M)R Restructuring shall

be deemed to be ineffective;  

(d) LCH SA shall, where applicable, make relevant registrations in the TIW in order to

reflect such reversal which shall also automatically result in such registrations being

made in respect of any related CCM Client Transactions; and

(e) Section 4.3 (Reversal of DC Credit Event Announcements and Margining) shall apply.  

5.11 Reports

Without prejudice to the notification requirements set out elsewhere in the CDS Clearing

Documentation, LCH SA will communicate to the relevant Clearing Members, on the basis of

information received from Clearing Members, amongst other things:

(a) the aggregate Triggered Amounts of Swaption Restructuring Cleared Transactions to

which they are a party; and
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(b) the results of the exercise of any Movement Option in relation to Swaption

Restructuring Cleared Transactions to which they are a party,  

at or around 7.00 p.m. on each day during each CEN Triggering Period and NEMO Triggering

Period, as applicable, through the reports referred to in Section 5 of the Procedures.  

For the avoidance of doubt, such communication shall not affect the validity or effectiveness

of any Credit Event Notice or Notice to Exercise Movement Option which shall be subject to

the terms of the relevant Swaption Restructuring Cleared Transaction.

5.12 Expiry of CEN Triggering Period

Upon the expiry of the CEN Triggering Period (or, if a Subsequent Restructuring has occurred,

after the expiry of the CEN Triggering Period for such Subsequent Restructuring) and, if

applicable, subsequent to the application of any valid Credit Event Notices delivered during

the CEN Triggering Period pursuant to Section 5.45.4 (Partial triggering of a Swaption

Restructuring Cleared Transaction), the Swaption Restructuring Cleared Transactions of any

Swaption Restructuring Matched Pairs (including, without limitation any Swaption

Restructuring Matched Pairs composed of Remaining Untriggered Cleared Transactions

created pursuant to Section 5.45.4 (Partial triggering of a Swaption Restructuring Cleared

Transaction)) in respect of which no valid Credit Event Notice in respect of an M(M)R

Restructuring has been delivered shall cease to be paired together and shall instead

constitute Index Swaption Cleared Transactions for the purposes of this CDS Clearing

Supplement and the Swaption Restructuring Matched Pair Amount of such Swaption

Restructuring Cleared Transactions shall become the Swaption Notional Amount of such

Index Swaption Cleared Transactions.  

6. EXERCISE MATCHED PAIRS 

6.1 Creation and Notification of Exercise Matched Pairs

Subject to Section 5.12 (Expiry of CEN Triggering Period) above, if Swaption Restructuring

Matched Pairs have previously been created pursuant to Section 5.15.1 (Creation and

Notification of Swaption Restructuring Matched Pairs) or Section 5.45.4 (Partial triggering of

a Swaption Restructuring Cleared Transaction), such Swaption Restructuring Matched Pairs

and the Swaption Restructuring Cleared Transactions from which they are formed shall also

automatically constitute Exercise Matched Pairs and Exercise Cleared Transactions (in

addition to being Swaption Restructuring Matched Pairs and Swaption Restructuring Cleared

Transactions) for the purposes of this CDS Clearing Supplement.

Notwithstanding the above, if the CEN Triggering Period for an M(M)R Restructuring ends on

a date falling during the EMP Creation Period, the relevant Swaption Restructuring Matched

Pairs created in respect of such M(M)R Restructuring shall not become Exercise Matched

Pairs pursuant to the above until after the expiry of the CEN Triggering Period and subject to

the prior application of Sections 5.45.4 (Partial triggering of a Swaption Restructuring Cleared

Transaction) and 5.12 (Expiry of CEN Triggering Period) above, if applicable.

On each Transaction Business Day during the EMP Creation Period, LCH SA will create Exercise

Matched Pairs in accordance with Section 9.1 (Creation of Matched Pairs) for a set of Index
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Swaption Cleared Transactions of the same Swaption Type.  Each such Exercise Matched Pair

shall be composed of two Exercise Cleared Transactions.  

Upon the creation of an Exercise Matched Pair, LCH SA shall:  

(a) notify the relevant Matched Buyer and Matched Seller comprised within each

Exercise Matched Pair (and any Exercise Delegation Beneficiary thereof) of the

creation of such Exercise Matched Pair,; and

(b) provide the relevant Matched Buyer and Matched Seller comprised within each

Exercise Matched Pair (and any Exercise Delegation Beneficiary thereof) with a report

the access to which will be restricted (a “Protected Exercise Matched Pair Report”)

and which contains information on:  

(i) the identity of the other Clearing Member (or its Exercise Delegation

Beneficiary if applicable) of the Exercise Matched Pair; and  

(ii) the associated Exercise Matched Pair Amount,  

as soon as reasonably practicable following the related Compression Cut‐off Date, but in any

event, at or prior to the EMP Notification Deadline.  

LCH SA will provide the Protected Exercise Matched Pair Report in a manner such that the

relevant Matched Buyer and Matched Seller or, if applicable, any relevant Exercise Delegation

Beneficiaries, may access the information contained in the Protected Exercise Matched Pair

Reports and the contact details only upon occurrence of an EEP Failure Event, in accordance

with Section 6.56.5(a)(ii)(a)(ii) (Access to the Protected Exercise Matched Pair Report and

other information) below.  

Any Clearing Member expressly and irrevocably consents to the disclosure of information by

LCH SA pursuant to and in accordance with the provisions of this Section and Section

6.56.5(a)(ii) (Access to the Protected Exercise Matched Pair Report and other information) to

the relevant Clearing Member or, if applicable, any relevant Exercise Delegation Beneficiary.

6.2 Creation of Exercise Cleared Transactions

Upon the creation of Exercise Matched Pairs, where two or more Index Swaption Cleared

Transactions have been combined into a single transaction as part of the matching process

and/or where any Index Swaption Cleared Transaction has been split into two or more

separate transactions as part of the matching process, the relevant original Index Swaption

Cleared Transactions entered into by each Clearing Member with LCH SA will be deemed

terminated and new Exercise Cleared Transactions of the same Swaption Type will be

deemed to be entered into between each such Clearing Member and LCH SA, with each such

Exercise Cleared Transaction having a Swaption Notional Amount (and with the Underlying

Index Transaction in respect of each such Exercise Cleared Transaction having an Original

Notional Amount) corresponding to the Exercise Matched Pair Amount of the Exercise

Matched Pair in which the relevant Clearing Member is comprised as a Matched Buyer or a

Matched Seller, as applicable.  Subject to Section 9.39.3 (Resetting of Swaption Trade Date)
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below, the Swaption Trade Date of such Exercise Cleared Transactions shall be the date of

such creation.  

With effect from the creation of Exercised Matched Pairs, any Index Swaption Cleared

Transaction forming part of an Exercised Matched Pairshall henceforth constitute an Exercise

Cleared Transaction for the purposes of this CDS Clearing Supplement and the Swaption

Notional Amount of such Index Swaption Cleared Transactions shall be the Exercise Matched

Pair Amount.

6.3 Exercise and Abandonment by way of EEP

The Exercise (in whole or in part) and Abandonment of Exercise Cleared Transactions shall be

conducted by way of the submission of Options Intents in the EEP only, save in the

circumstances specified in Section 6.56.5(b)(b) (Consequences of EEP Failure) below.

An Option Intent submitted by Matched Buyer (or its Exercise Delegation Beneficiary on its

behalf, if applicable) via the EEP shall be deemed to constitute the delivery by Matched Buyer

of a valid Swaption Notice for the purposes of each of the Exercise Cleared Transactions of

the Exercise Matched Pair (in its own name in respect of the Exercise Cleared Transaction of

the Exercise Matched Pair to which it is a party and as designee of LCH SA in respect of the

other Exercise Cleared Transaction of the Exercise Matched Pair) if (a) the Submission Time

forsuch Option Intent is prior to the Submission Deadline and (b) LCH SA has completed those

steps necessary to make such Option Intent available for viewing in the EEP, including

validation of the EEP Controls.

As used herein, (i) the “Submission Time” for an Option Intent will be the time, as recorded

by LCH SA, as of which such Option Intent is submitted via the EEP by the relevant Matched

Buyer (or its Exercise Delegation Beneficiary on its behalf, if applicable) and (ii) “EEP Controls”

meansthe controlsspecified in Section 5 of the Procedures performed by LCH SA immediately

following the Submission Time.   

An Option Intent shall become irrevocable by the Swaption Buyer as from the Submission

Time.

For the avoidance of doubt, a Matched Buyer (or its Exercise Delegation Beneficiary if

applicable) shall not be able to require a Force Submission after the Submission Deadline,

including if the relevant Option Intent is deemed illogical further to EEP Controls carried out

at or after the Submission Deadline.

The deemed time of delivery of the Swaption Notice in respect of the relevant Exercise

Cleared Transaction shall be the Submission Time specified by the EEP in respect of such

Option Intent.   

The Exercise (in whole or in part) or Abandonment of the Exercise Cleared Transaction of the

Exercise Matched Pair to which Matched Seller is a party will become accessible in the

Clearing Member Portal Account of Matched Seller (and in the Client Portal Account of its

Exercise Delegation Beneficiary if applicable) as soon as reasonably practicable following the
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registration of such Exercise or Abandonment by Matched Buyer (or its Exercise Delegation

Beneficiary) in the EEP.    

6.4 Delegation by Clearing Members to Clients

Solely in respect of the Exercise and Abandonment of the Exercise Cleared Transactions of an

Exercise Matched Pair which are Client Cleared Transactions, Matched Buyer and/or Matched

Seller shall designate its relevant Client to act on its behalf in accordance with this Section 6.

Any such designation will take effect assoon asreasonably practicable (but not later than five

Business Days) following receipt by LCH SA of a duly completed and signed Delegation Form

(as defined in Section 5 of the Procedures). Such designation may be withdrawn provided

that there is no Exercise Cleared Transaction registered in the Client Trade Account of the

relevant Client and in accordance with the conditions set out in Section 5 of the Procedures.   

Where Matched Buyer designates its Client in accordance with the above, any submission of

an Option Intent by the Client of Matched Buyer via its Client Portal Account in the EEP prior

to the Submission Deadline on the Expiration Date shall be deemed to constitute the delivery

by Matched Buyer of a valid Exercise Notice or Abandonment Notice (as applicable) for the

purposes of the terms of each of the Exercise Cleared Transactions of the Exercise Matched

Pair in accordance with Section 6.36.3 (Exercise and Abandonment by way of EEP) above.   

Where a Client has been designated by its Clearing Member pursuant to this Section 6.4 for

purposes of the Exercise and Abandonment of Exercise Cleared Transactions, any reference

in this CDS Clearing Supplement to a Swaption Notice being delivered to or by a Clearing

Member, to the submission of Option Intents or the Exercise or Abandonment of an Exercise

Cleared Transaction by a Clearing Member shall be interpreted accordingly.

6.5 EEP failure and resolution

(a) Notification of EEP Failure and Resolution

(i) LCH SA to notify Clearing Members and Exercise Delegation Beneficiaries of EEP

Failure Event

If LCH SA becomes aware that the EEP is or will be unavailable for the

submission or receipt of Option Intents with respect to an Expiration Date in a

timely manner (an EEP Failure Event), then LCH SA will, as soon as reasonably

practicable and in any case within one hour after the occurrence of the EEP

Failure Event, notify all relevant Clearing Members (and any Exercise

Delegation Beneficiary thereof) ofsuch occurrence, including the time at which

such failure occurred (the EEP Failure Event Time).

(ii) Access to the Protected Exercise Matched Pair Report and other information

As soon as possible following the occurrence of an EEP Failure Event, LCH will

authorise Clearing Members or their Exercise Delegation Beneficiaries, as

applicable (by any communication method including, without limitation,

phone, email or any electronic messaging system) to access the information

contained in the Protected Exercise Matched Pair Report.  
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LCH SA shall notify the relevant Clearing Members(and any Exercise Delegation

Beneficiary thereof) comprised within each Exercise Matched Pair of the

address, fax number, telephone number, contact email address and other

applicable notice details of the other Clearing Member (or its Exercise

Delegation Beneficiary if applicable) of such Matched Pair.

(iii) LCH SA to notify Clearing Members of Resolution of EEP Failure Event

If, subsequent to an EEP Failure Event, LCH SA determines that an EEP Failure

Event previously notified to Clearing Membersis no longer in effect, LCH SA will

as soon as reasonably practicable notify all relevant Clearing Members and

Exercise Delegation Beneficiaries accordingly, including the time (the EEP

Resolution Time) at which such EEP Failure Event is deemed to have been

resolved and following which the EEP is operative for the purposes of the

submission of Option Intents in respect of Exercise Cleared Transactions.   

(b) Consequences of EEP Failure

From (and including) the EEP Failure Event Time to (but excluding) the EEP Resolution

Time:

(i) Section 6.36.3 (Exercise and Abandonment by way of EEP) shall not apply and

accordingly Swaption Notices shall be delivered in accordance with the

provisions for the delivery of notices at Section 8 (Delivery of Notices) hereof

and the terms of the relevant Exercise Cleared Transaction (and not via the

EEP);

(ii) if Matched Buyer has designated its Client asits Exercise Delegation Beneficiary

pursuant to Section 6.46.4 (Delegation by Clearing Members to Clients) above,

such Exercise Delegation Beneficiary shall be entitled to send a Swaption Notice

to Matched Seller as designee of Matched Buyer in accordance with Section 8

(Delivery of Notices) hereof using the notice details provided by LCH SA and

such Swaption Notice shall be copied to Matched Buyer (provided that failure

to provide such copy shall not affect the validity of the relevant Swaption

Notice);

(iii) if Matched Seller has designated its Client asits Exercise Delegation Beneficiary,

Swaption Notices shall be sent by Matched Buyer (or its Client as its Exercise

Delegation Beneficiary if applicable) to the Client of Matched Seller as its

Exercise Delegation Beneficiary in accordance with Section 8 (Delivery of

Notices) hereof using the notices details provided by LCH SA and shall be copied

to Matched Seller and, where the Swaption Notice is sent by the Client of

Matched Buyer as its Exercise Delegation Beneficiary, shall be copied to

Matched Buyer (provided in each case that failure to provide such copy shall

not affect the validity of the relevant Swaption Notice);
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(iv) subject to Section 8.38.3 (Oral Notices) below in respect of Abandonment

Notices delivered to LCH SA, an Abandonment Notice given in accordance with

this Section 6.56.5(b)(b) may be given orally, including by telephone.  Matched

Buyer (or its Exercise Delegation Beneficiary if such Exercise Delegation

Beneficiary gives an Abandonment Notice orally) will execute and deliver to

Matched Seller (and the Exercise Delegation Beneficiary of Matched Seller if

applicable) a written confirmation confirming the substance of any telephonic

notice within one Transaction Business Day of the telephonic notice.  Without

prejudice to Section 6.86.8 (Consequences of no Swaption Clearing Member

Notice being received by LCH SA) below, failure to provide that written

confirmation will not affect the validity of the telephonic notice;

(v) any Exercise Notice delivered in respect of an Exercise Matched Pair for an

amount which is greater than the related Exercise Matched Pair Notional

Amount shall be ineffective as to such excess;

(vi) any Swaption Notice delivered via the EEP prior to the EEP Failure Event Time

will be valid and will not be affected by such EEP Failure Event; and

(vii) any Swaption Notice delivered or purported to be delivered via the EEP at or

following the EEP Failure Event Time but prior to the EEP Resolution Time will

not be valid and effective.

Section 6.36.3 (Exercise and Abandonment by way of EEP) shall apply with effect from

the EEP Resolution Time and, accordingly, any Swaption Notice thereafter delivered

or purported to be delivered directly pursuant to this Section 6.56.5(b)(b) will not be

valid and effective.

(c) Duty to deliver Swaption Clearing Member Notices

Each Clearing Member shall notify LCH SA or deliver a copy to LCH SA of any Swaption

Notice delivered by such Clearing Member to another Clearing Member comprised in

an Exercise Matched Pair pursuant to Section 6.56.5(b)(b) (Consequences of EEP

Failure) above which such Clearing Member asserts or acknowledges was effective for

the purposes of this CDS Clearing Supplement and the relevant Exercise Cleared

Transactions (such notification, or delivery of such copy, in respect of any relevant

Swaption Notice, a Swaption Clearing Member Notice) by no later than the

Submission Deadline on the Expiration Date (the Swaption Clearing Member Notice

Deadline).   

If a Clearing Member has designated its Client as being entitled to send and receive

Swaption Notices on its behalf pursuant to Section 6.46.4 (Delegation by Clearing

Members to Clients) above, a Swaption Clearing Member Notice in respect of a

Swaption Notice delivered pursuant to Section 6.56.5(b)(b) (Consequences of EEP

Failure) may be sent on its behalf by its Client as its Exercise Delegation Beneficiary.   
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6.6 Abandonment of Exercise Cleared Transactions

If, on the Expiration Date, Swaption Buyer elects to Abandon the Exercise Cleared

Transactions of the Exercise Matched Pair, each Exercise Cleared Transaction shall be

terminated in whole.   

6.7 Termination of Exercise Cleared Transactions

If:  

(a) no Option Intent is submitted pursuant to Section 6.36.3 (Exercise and Abandonment

by way of EEP) or Section 6.4 (Delegation by Clearing Members to Clients) above in

respect of the Exercise Cleared Transactions of an Exercise Matched Pair; and

(b) where Section 6.56.5(b)(b) (Consequences of EEP Failure) (or, in respect of a CCM

Client Cleared Transaction, Mandatory Provision 5.4 (Consequences of EEP Failure)) is

applicable for some or all of the Exercise Period, LCH SA does not receive a Swaption

Clearing Member Notice (or Swaption CCM Client Notice) in respect of an Exercise

Notice or an Abandonment Notice from Swaption Buyer (or its Exercise Delegation

Beneficiary, as applicable) of the relevant Exercised Matched Pair on or prior to the

Swaption Clearing Member Notice Deadline (or Swaption CCM Client Notice

Deadline, as applicable),

then, subject to Section 6.8 (Consequences of no Swaption Clearing Member Notice being

received by LCH SA) below (or, in the case of a CCM Client Cleared Transaction, Mandatory

Provision 5.5 (Duty to Deliver Swaption CCM Client Notice), LCH SA shall terminate the

Exercise Cleared Transactions of the relevant Exercised Matched Pair.

6.8 Consequences of no Swaption Clearing Member Notice or Swaption CCM Client Notice

being received by LCH SA

If Section 6.56.5(b)(b) (Consequences of EEP Failure) is applicable for some or all of the

Exercise Period and LCH SA determines in its sole discretion that, notwithstanding the fact

that no Swaption Clearing Member Notice has been received by LCH SA in respect of an

Exercise Notice by the Swaption Clearing Member Notice Deadline (or, in the case of a CCM

Client Cleared Transaction, that no Swaption CCM Client Notice has been received by LCH SA

in respect of an Exercise Notice by the Swaption CCM Client Notice Deadline), an Exercise

Notice was in fact delivered by a Clearing Member (or its Exercise Delegation Beneficiary)

pursuant to Section 6.56.5(b)(b) (Consequences of EEP Failure) (or, in the case of a CCM Client

Cleared Transaction, pursuant to Mandatory Provision 5.4(a) (Consequences of EEP Failure))

and would have been effective for the purposes of this CDS Clearing Supplement, LCH SA shall

use commercially reasonable efforts to give effect to the terms of such Exercise Notice.  If

LCH SA gives effect to the terms of such Exercise Notice pursuant to this Section 6.86.8 then

the provisions of this Part C of the CDS Clearing Supplement shall apply as if LCH SA had

received a Swaption Clearing Member Notice in respect of the relevant Exercise Notice by

the Swaption Clearing Member Notice Deadline (or, in the case of a CCM Client Cleared

Transaction, had received a Swaption CCM Client Notice in respect of the relevant Exercise

Notice by the Swaption CCM Client Notice Deadline).
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If LCH SA determines in its sole discretion that it is not possible to give effect to the terms of

any such Exercise Notice in respect of which no Swaption Clearing Member Notice was

received by LCH SA by the Swaption Clearing Member Notice Deadline (or, in the case of a

CCM Client Cleared Transaction, no Swaption CCM Client Notice was received by LCH SA by

the Swaption CCM Client Notice Deadline), the relevant Clearing Members (or their Exercise

Delegation Beneficiaries, as applicable), as identified in the Protected Exercise Matched Pair

Report, shall acquire rights as against each other as though party to a bilateral credit default

swap transaction on the terms of the relevant Underlying Index Transaction.  The Settlement

Payment shall be due and payable two Transaction Business Days following the giving of a

notice thatsuch amount is due and payable.  The relevant Clearing Members(ortheir Exercise

Delegation Beneficiaries, as applicable) shall have enforcement rights as against each other

pursuant to the Contracts (Rights of Third Parties) Act 1999 in respect of any resulting

payments and deliveries; LCH SA shall have no liability in respect thereof.

If the Clearing Members have entered into such a transaction following the delivery of an

Exercise Notice and those Clearing Members wish to clear such transaction through LCH SA,

those Clearing Members will each need to submit such transaction for clearing as an Index

Cleared Transaction pursuant to Part B of this CDS Clearing Supplement.  

6.9 Cleared Transaction Exercise Reports

Without prejudice to the notification requirements set out elsewhere in the CDS Clearing

Documentation, LCH SA will communicate to the relevant Clearing Members, on the basis of

information received from Clearing Members the aggregate Swaption Notional Amounts of

Exercise Cleared Transactionsto which they are a party as Swaption Buyer in respect of which

Exercise Notices and Abandonment Notices have been delivered and the aggregate Swaption

Notional Amounts of Exercise Cleared Transactions to which they are a party as Swaption

Seller in respect of which Exercise Notices and Abandonment Notices have been delivered, in

each case on an ongoing basis on the Expiration Date, through the reports referred to in

Section 5 of the Procedures with the final report being published as soon as practicable after

LCH SA has confirmed with the relevant Clearing Members that all Exercise Notices and

Abandonment Notices have been identified.  

For the avoidance of doubt, such communication shall not affect the validity or effectiveness

of any Exercise or Abandonment which shall be subject to the terms of the relevant Exercise

Cleared Transaction and the ISDA Swap Transaction Definitions.

6.10 Clearing Member Communications Failure Event and CCM Client Communications Failure

Event

(a) Right to deliver Swaption Notices manually following Clearing Member

Communications Failure Event

If a Clearing Member or its Exercise Delegation Beneficiary is affected by a significant

communications or information technology failure resulting in it being impossible or

impractical for such Clearing Member or Exercise Delegation Beneficiary to deliver or

receive any Exercise Notice or Abandonment Notice in relation to an Expiration Date

via the EEP (a Clearing Member Communications Failure Event) it shall,

notwithstanding Section 6.36.3 (Exercise and Abandonment by way of EEP), deliver
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and receive Swaption Notices to and from LCH SA in accordance with the provisions

for the delivery of notices at Section 8 (Delivery of Notices) hereof and the terms of

the relevant Exercise Cleared Transaction (and, in the case of a CCM Client Cleared

Transaction, in accordance with Mandatory Provision 5.7 (CCM Client Communications

Failure Event)) and not via the EEP.

(b) Processing of Swaption Notices by LCH SA in case of Clearing Member

Communications Failure Event or CCM Client Communications Failure Event

(i) In case of Clearing Member Communications Failure Event or CCM Client

Communications Failure Event affecting a Matched Buyer

Upon receipt of a Swaption Notice delivered by a Clearing Member (or its

Exercise Delegation Beneficiary) in accordance with Section 6.106.10(a)(a)

above or (in respect of a CCM Client Cleared Transaction) a Swaption Notice

delivered by a CCM Client in accordance with Mandatory Provision 5.7 (CCM

Client Communications Failure Event), LCH SA shall, as soon as reasonably

practicable, submit via the EEP, on behalf of such Clearing Member or Exercise

Delegation Beneficiary, an Option Intent conforming to such Swaption Notice.

Provided that (A) the Submission Time for such Option Intent is prior to the

Submission Deadline and (B) LCH SA has completed those steps necessary to

make such Option Intent available for viewing in the EEP, including validation

of the EEP Controls, such Option Intent shall be deemed to constitute the

delivery by the relevant Clearing Member or Exercise Delegation Beneficiary

(as applicable) of a valid Exercise Notice or Abandonment Notice (as

applicable). The deemed time of delivery of the relevant Swaption Notice shall

be the Submission Time specified by the EEP in respect of such Option Intent.  

Notwithstanding the above, in respect of any Swaption Notice delivered

pursuant to Section 6.106.10(a)(a) above or (in the case of a CCM Client Cleared

Transaction) pursuant to Mandatory Provision 5.7 (CCM Client Communications

Failure Event), LCH SA may determine in its sole discretion that it is not able to

submit the relevant Option Intent in the relevant system prior to the

Submission Deadline on the Expiration Date. In such case, LCH SA will inform

the relevant Clearing Member or Exercise Delegation Beneficiary and such

Clearing Member or Exercise Delegation Beneficiary will be deemed not to have

submitted an Option Intent in respect of the relevant Exercise Cleared

Transaction and the provisions of Sections 6.76.7 and 6.86.8 shall apply.  

In respect of any Swaption Notice delivered pursuant to Section 6.10(a) above

or (in the case of a CCM Client Cleared Transaction) pursuant to Mandatory

Provision 5.7 (CCM Client Communications Failure Event), LCH SA may, in its

sole discretion, elect to register the Exercise or Abandonment of an Exercise

Cleared Transaction in an alternative internal system of LCH SA in which case
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the terms 'EEP', 'Option Intent', 'Submission Time' and 'EEP Controls' shall be

interpreted accordingly mutatis mutandis.

(ii) In case of Clearing Member Communications Failure Event or CCM Client

Communications Failure Event affecting a Matched Seller

If a Clearing Member (or its FCM/BD Client as Exercise Delegation Beneficiary)

is subject to a Clearing Member Communications Failure Event duly notified to

LCH SA in accordance with Section 6.106.10(c)(c) below, or (in respect of a CCM

Client Cleared Transaction) CCM Client as Exercise Delegation Beneficiary is

subject to a CCM Client Communications Failure Event duly notified to LCH SA

in accordance with Mandatory Provision 5.7(b) (Client to notify LCH SA of

occurrence of CCM Client Communications Failure Event), any Exercise (in

whole or in part) or Abandonment of an Exercise Cleared Transaction of an

Exercise Matched Pair to which such Clearing Member is a party as Matched

Seller shall be notified to such Matched Seller (and its Exercise Delegation

Beneficiary if applicable) by LCH SA as soon as reasonably practicable in

accordance with the provisions for the delivery of notices at Section 8 (Delivery

of Notices) hereof.

(c) Clearing Member or Exercise Delegation Beneficiary to notify LCH SA of Occurrence

of Clearing Member Communications Failure Event

Following the occurrence of a Clearing Member Communications Failure Event (or, in

respect of a CCM Client Cleared Transaction, a CCM Client Communications Failure

Event), the affected Clearing Member or Exercise Delegation Beneficiary shall, as soon

as reasonably practicable and, in any event, prior to or at the same time as delivering

any Swaption Notice to LCH SA in accordance with Section 6.10(a)(a) above, deliver to

LCH SA a notice (in the form set out at Appendix VI hereto) signed by an authorised

signatory of such Clearing Member (or its Exercise Delegation Beneficiary) certifying

that such Clearing Member (or Exercise Delegation Beneficiary) is affected by a

Clearing Member Communications Failure Event or CCM Client Communications

Failure Event (or, if such Clearing Member or Exercise Delegation Beneficiary is unable

to deliver such notice in writing, orally by telephone).

(d) Notification of Resolution of Clearing Member Communications Failure Event

As soon as reasonably practicable upon a Clearing Member (or its FCM/BD Client as

Exercise Delegation Beneficiary, if applicable) ceasing to be subject to a Clearing

Member Communications Failure Event (or, in respect of a CCM Client as Exercise

Delegation Beneficiary, a CCM Client Communications Failure Event), it shall notify

LCH SA accordingly in the form set out at Appendix VII hereto,such notice to be signed

by an authorised signatory (or, if such Clearing Member or Exercise Delegation

Beneficiary is unable to deliver such notice in writing, orally by telephone) and

thereupon Section 6.36.3 (Exercise and Abandonment by way of EEP) shall apply and,

accordingly, any Swaption Notice thereafter delivered or purported to be delivered by
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such Clearing Member (or its Exercise Delegation Beneficiary) directly (and not via the

EEP) will not be valid and effective.

(e) Clearing Member Duty to Mitigate

A Clearing Member which is subject to a Clearing Member Communications Failure

Event shall use reasonable endeavours to mitigate the operational impact on other

Clearing Members and LCH SA of any Clearing Member Communications Failure Event,

to cure such Clearing Member Communications Failure Event as soon as reasonably

practicable and to ensure that the circumstances giving rise to the relevant Clearing

Member Communications Failure Event do not recur.

7. SETTLEMENT 

7.1 Creation of Index Cleared Transactions

Notwithstanding and in addition to any Initial Single Name Cleared Transaction(s) or

Restructuring Cleared Transaction(s) created pursuant to Section 7.27.2 (Creation of Initial

Single Name Cleared Transactions for Settlement purposes in respect of Credit Events other

than M(M)R Restructuring), Section 7.3 (Creation of Restructuring Cleared Transactions for

Triggering and/or Settlement purposes) or Section 7.4 (Creation of Initial Single Name Cleared

Transactions in respect of untriggered M(M)R Restructuring) below, following Exercise an

Index Cleared Transaction shall be deemed to have been entered into between each Clearing

Member and LCH SA on the terms of the Underlying Index Transaction to which the relevant

Exercise Cleared Transactions relate. Such Index Cleared Transaction shall reference the

currently Eligible Underlying Index Transaction Version as of the Expiration Date of the index

referenced by the relevant Underlying Index Transaction. Subject to the below, such Index

Cleared Transaction shall be entered into by LCH SA and the relevant Clearing Member on

the terms of the Index Cleared Transaction Confirmation (as defined in Part B of the CDS

Clearing Supplement).

Each such Index Cleared Transaction shall have a Floating Rate Payer Calculation Amount

equal to:  

(a) subject to (b) below, the Swaption Notional Amount of the Exercise Cleared

Transaction from which such Index Cleared Transaction resulted; or  

(b) if the Exercise Cleared Transaction from which such Index Cleared Transaction

resulted was exercised in part, the portion of the Swaption Notional Amount of the

Exercise Cleared Transaction that was exercised.

The provisions of this Part C of the CDS Clearing Supplementshall cease to apply to such Index

Cleared Transaction upon its creation and such Index Cleared Transaction shall instead be

subject to and cleared in accordance with Part B of this CDS Clearing Supplement; provided,

however, that:  

(i) an Initial Payment Amount shall be payable under such Index Cleared Transaction which

shall be an amount equal to, and payable by the party that would be required to pay, the

Settlement Payment (or the absolute value thereof, as applicable) that would be
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determined in respect of the Exercise Cleared Transaction from which such Index Cleared

Transaction is created in accordance with the provisions of the Exercise Cleared

Transaction (as amended by Section 2.22.2 (Index Swaption Cleared Transaction

Confirmation) hereof).    The Initial Payment Date in respect of such Initial Payment

Amount shall be the Transaction Business Day (determined pursuant to paragraph

(a)(i)(a)(i) of the definition of Transaction Business Day as if such payment were the

Settlement Payment) immediately following the Expiration Date; and  

(ii) the paragraph entitled 'Successors' of the iTraxx® Swaption Standard Terms Supplement

shall continue to apply to such Index Cleared Transaction.

Following the creation of such Index Cleared Transaction and any Initial Single Name Cleared

Transaction(s) and Restructuring Cleared Transaction(s) created pursuant to Section 7.27.2

(Creation of Initial Single Name Cleared Transactions for Settlement purposes in respect of

Credit Events other than M(M)R Restructuring), Section 7.3 (Creation of Restructuring Cleared

Transactions for Triggering and/or Settlement purposes) and Section 7.4 (Creation of Initial

Single Name Cleared Transactions in respect of untriggered M(M)R Restructuring) below, the

Exercise Cleared Transaction from which it was created shall be terminated.

7.2 Creation of Initial Single Name Cleared Transactions for Settlement purposes in respect of

Credit Events other than M(M)R Restructuring  

If a DC Credit Event Announcement has been made on or after the Credit Event Backstop Date

which would be applicable to a Component Transaction of the Underlying Index Transaction

of an Exercise Cleared Transaction (other than in respect of an M(M)R Restructuring and

subject to the operation of the paragraph entitled 'Operation of each Underlying Swap

Transaction' or, where relevant, ‘Operation of each Underlying Transaction’, of the iTraxx®

Swaption Standard Terms Supplement or, as the case may be, of the paragraph entitled

'Operation of Underlying Swap Transaction' or, where relevant, ‘Operation of Underlying

Transaction’, of the CDX Swaption Standard Terms Supplement) and the Auction Final Price

Determination Date that would have been applicable to such Credit Event fell prior to the

Expiration Date, then following Exercise an Initial Single Name Cleared Transaction (as

defined in Part B of this CDS Clearing Supplement)shall be deemed to have been entered into

on the Expiration Date between each Clearing Member and LCH SA on the terms of the

Component Transaction (subject as set out below) in respect of the relevant Reference Entity

of the Underlying Index Transaction.  Subject to the below, such Initial Single Name Cleared

Transaction shall be entered into by LCH SA and the relevant Clearing Member on the terms

of the Single Name Cleared Transaction Confirmation (as defined in Part B of the CDS Clearing

Supplement).

Each such Initial Single Name Cleared Transaction shall have a Floating Rate Payer Calculation

Amount equal to:  

(a) the Swaption Notional Amount of the Exercise Cleared Transaction from which such

Initial Single Name Cleared Transaction resulted multiplied by the 'Reference Entity

Weighting' (under the Underlying Index Transaction referenced by such Exercise

Cleared Transaction) of the relevant Reference Entity; multiplied by  

(b) the Exercise Percentage.
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The provisions of this Part C of the CDS Clearing Supplementshall cease to apply to such Initial

Single Name Cleared Transaction upon its creation and such Initial Single Name Cleared

Transaction shall instead be subject to and cleared in accordance with Part B of this CDS

Clearing Supplement; provided, however, that:  

(i)   the paragraph entitled 'Operation of each Underlying Swap Transaction' or, where

relevant, ‘Operation of each Underlying Transaction’, and the paragraph entitled

'Successors' of the iTraxx® Swaption Standard Terms Supplement  or, as the case may

be, the paragraph entitled 'Operation of Underlying Swap Transaction' or, where

relevant, ‘Operation of Underlying Transaction’, of the CDX Swaption Standard Terms

Supplementshall continue to apply to such Initial Single Name Cleared Transaction; and  

(ii)   notwithstanding (i) above, the Auction Settlement Date in respect of such Initial Single

Name Cleared Transaction shall be the later of (x) the Auction Settlement Date that

would be determined in accordance with Section 6.3 of the 2014 ISDA Credit Derivatives

Definitions and (y) the first Transaction Business Day following the Expiration Date.  

7.3 Creation of Restructuring Cleared Transactions for Triggering and/or Settlement purposes

If:  

(a) a DC Credit Event Announcement has been made on or after the Credit Event

Backstop Date in respect of an M(M)R Restructuring which would be applicable to a

Component Transaction of the Underlying Index Transaction of an Exercise Cleared

Transaction (subject to the operation of the paragraph entitled 'Operation of each

Underlying Swap Transaction' or, where relevant, ‘Operation of each Underlying

Transaction’, of the iTraxx® Swaption Standard Terms Supplement); and

(b) either the CEN Triggering Period has not expired or, if the CEN Triggering Period has

expired, a valid Credit Event Notice was delivered in respect of such M(M)R

Restructuring prior to its expiry,  

then following Exercise a Restructuring Cleared Transaction (as defined in Part B of this CDS

Clearing Supplement) shall be deemed to have been entered into on the Expiration Date

between each Clearing Member and LCH SA on the terms of the Component Transaction

(subject as set out below) in respect of the relevant Reference Entity of the Underlying Index

Transaction and any Credit Event Notice or Notice to Exercise Movement Option validly

delivered in respect of the Swaption Restructuring Cleared Transaction from which such

Restructuring Cleared Transaction is created shall be deemed to have been validly delivered

in respect of such Restructuring Cleared Transaction by CDS Buyer and/or CDS Seller (as

applicable). Subject to the below, such Restructuring Cleared Transaction shall be entered

into by LCH SA and the relevant Clearing Member on the terms of the Single Name Cleared

Transaction Confirmation (as defined in Part B of the CDS Clearing Supplement).

Such Restructuring Cleared Transaction shall have a Floating Rate Payer Calculation Amount

equal to (x) the SRMP Triggerable Amount (for the relevant M(M)R Restructuring) of the

Swaption Restructuring Cleared Transaction from which such Restructuring Cleared

Transaction is created multiplied by (y) the Exercise Percentage.  
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The provisions of this Part C of the CDS Clearing Supplement shall cease to apply to such

Restructuring Cleared Transaction upon its creation and such Restructuring Cleared

Transaction shall instead be subject to and cleared in accordance with Part B of this CDS

Clearing Supplement; provided, however, that:  

(i) the paragraph entitled 'Operation of each Underlying Swap Transaction' or, where

relevant, ‘Operation of each Underlying Transaction’, and the paragraph entitled

'Successors' of the iTraxx® Swaption Standard Terms Supplement shall continue to apply

to such Restructuring Cleared Transaction; and  

(ii) notwithstanding (i) above, the Auction Settlement Date in respect of such Restructuring

Cleared Transaction (if a valid Credit Event Notice is delivered or deemed to be delivered

in respect of such Restructuring Cleared Transaction) shall be the later of (x) the Auction

Settlement Date applicable to such Restructuring Cleared Transaction pursuant to Part B

of the CDS Clearing Supplement and (y) the first Transaction Business Day following the

Expiration Date.

7.4 Creation of Initial Single Name Cleared Transactions in respect of untriggered M(M)R

Restructuring  

If:  

(a) a DC Credit Event Announcement has been made that an M(M)R Restructuring Credit

Event occurred on or after the Credit Event Backstop Date which would be applicable

to a Component Transaction of the Underlying Index Transaction of an Exercise

Cleared Transaction (subject to the operation of the paragraph entitled 'Operation of

each Underlying Swap Transaction' or, where relevant, ‘Operation of each Underlying

Transaction’, of the iTraxx® Swaption Standard Terms Supplement); and  

(b) no valid Credit Event Notice was delivered in respect of such M(M)R Restructuring

prior to the expiry of the applicable CEN Triggering Period,  

then following Exercise, an Initial Single Name Cleared Transaction (as defined in Part B of

this CDS Clearing Supplement) shall be deemed to have been entered into on the Expiration

Date between each Clearing Member and LCH SA on the terms of the Component Transaction

(subject as set out below) in respect of the relevant Reference Entity of the Underlying Index

Transaction. Subject to the below, such Initial Single Name Cleared Transaction shall be

entered into by LCH SA and the relevant Clearing Member on the terms of the Single Name

Cleared Transaction Confirmation (as defined in Part B of the CDS Clearing Supplement).  

Each such Initial Single Name Cleared Transaction shall have a Floating Rate Payer Calculation

Amount equal to:  

(a) the Swaption Notional Amount of the Exercise Cleared Transaction from which such

Initial Single Name Cleared Transaction resulted multiplied by the 'Reference Entity

Weighting' (under the Underlying Index Transaction referenced by such Exercise

Cleared Transaction) of the relevant Reference Entity; multiplied by  

(b) the Exercise Percentage.
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The provisions of this Part C of the CDS Clearing Supplementshall cease to apply to such Initial

Single Name Cleared Transaction upon its creation and such Initial Single Name Cleared

Transaction shall instead be subject to and cleared in accordance with Part B of this CDS

Clearing Supplement; provided, however, that the paragraph entitled 'Successors' of the

iTraxx® Swaption Standard Terms Supplement shall continue to apply to such Initial Single

Name Cleared Transaction.  

8. DELIVERY OF NOTICES 

8.1 General Rules relating to Notices

(a) Methods of Delivery and deemed Time of Delivery

Subject to Sections 6.3 (Exercise and Abandonment by way of EEP) and

6.56.5(b)(b)(b)(iv) and without prejudice to Section 1.38 (Requirements Regarding

Notices) of the 2014 ISDA Credit Derivatives Definitions and the remaining provisions

of the 2014 ISDA Credit Derivatives Definitions and of the ISDA Swap Transaction

Definitions (including, for the avoidance of doubt, in relation to notices permitted to

be given orally), any notice or other communication in respect of any Cleared

Transaction may be given in any manner described below and will be deemed effective

as indicated:

(i) if delivered in person or by courier, on the date and at the time it is delivered;

(ii) if sent by facsimile transmission, on the date it is received by a responsible

employee of the recipient in legible form (it being agreed that the burden of

proving receipt will be on the sender and will not be met by a transmission

report generated by the sender’s facsimile machine);

(iii) if sent by certified or registered mail (airmail, if overseas) or the equivalent

(return receipt requested), on the date it is delivered or its delivery is

attempted; or

(iv) if sent by electronic messaging system (including e‐mail or any other electronic

access solution established by LCH SA for such purpose), on the date it is

received,

unless the date of that delivery (or attempted delivery) or that receipt, as applicable,

is not a Transaction Business Day or that communication is delivered (or attempted)

or received, as applicable, pursuant to the above after 6.00 p.m. in the location of the

recipient on a Transaction Business Day, in which case that communication will be

deemed given and effective on the first following day that is a Transaction Business

Day.

(b) Notices from or to LCH SA

Any such notice or communication given by LCH SA to a Clearing Member or vice versa

shall (except where given via the EEP in accordance with Section 6.36.3 (Exercise and

Abandonment by way of EEP)) be given to the address or number previously specified
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in or previously notified for the relevant purpose in accordance with the CDS

Admission Agreement or the Procedures.

Any notice or communication given by LCH SA to a Client of a Clearing Member as its

Exercise Delegation Beneficiary or Restructuring Delegation Beneficiary or vice versa

shall be given to the address or number provided by such Client or its Clearing

Member to LCH SA and vice versa when the relevant Clearing Memberregistered such

Client for the clearing of Index Swaption Cleared Transactions, or any other address

or number duly notified thereafter by such Client to LCH SA or vice versa.

(c) Notices between Clearing Members

Notices given by a Clearing Member to another Clearing Member (or their respective

Exercise Delegation Beneficiaries or Restructuring Delegation Beneficiairies)

comprised in a relevant Matched Pairshall be given to the address or number notified

by LCH SA to the deliver or pursuant to Section 5.1 (Creation and Notification of

Swaption Restructuring Matched Pairs) or pursuant to Section 6.16.1 (Creation and

Notification of Exercise Matched Pairs)and Section 6.56.5(a)(ii) (Access to the

Protected Exercise Matched Pair Report and other information), as applicable.  

Such notices shall only be deemed to be delivered effectively by LCH SA through the

relevant Clearing Member as its designee (acting itself or through the Exercise

Delegation Beneficiary or Restructuring Delegation Beneficiary of such Clearing

Member, if applicable) as against the recipient where the address or number so

notified by LCH SA corresponds in all material respects to the address or number, as

applicable, specified by such recipient in or pursuant to the CDS Admission

Agreement.

(d) No Obligation on LCH SA to verify Signatories

LCH SA shall have no obligation to verify the authority of any signatory of any notice

delivered by any Clearing Member pursuant to this Section 8 (Delivery of Notices).

8.2 Failure to notify Matched Pairs

Notwithstanding Section 5.35.3 (Triggering of Swaption Restructuring Cleared Transactions)

or Section 6.5(b) (Consequences of EEP Failure), if LCH SA does not notify the relevant Clearing

Members of Swaption Restructuring Matched Pairs (or their Restructuring Delegation

Beneficiaries, if applicable) and related information specified in Section 5.1 (Creation and

Notification of Swaption Restructuring Matched Pairs) by the SRMP Notification Deadline or

does not notify the relevant Clearing Members of Exercise Matched Pairs (or their Exercise

Delegation Beneficiaries, if applicable) and related information specified in Section 6.1.

(Creation and Notification of Exercise Matched Pairs) and in Section 6.56.5(a)(ii) (Access to

the Protected Exercise Matched Pair Report and other information) and provide the Protected

Exercise Matched Pair Report by the EMP Notification Deadline (as applicable) (or, where

Section 6.56.5(b)(b) (Consequences of EEP Failure) is applicable as a result of the occurrence

of an EEP Failure Event that occurs after the EMP Notification Deadline, from the time ofsuch

EEP Failure Event until such time as LCH SA provides the Protected Exercise Matched Pair

Report and related information in accordance with Section 6.1 (Creation and Notification of
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Exercise Matched Pairs) and Section 6.56.5(a)(ii) (Access to the Protected Exercise Matched

Pair Report and other information)):   

(a) the relevant Clearing Members (or their Restructuring Delegation Beneficiaries as

their designees if applicable) may deliver Credit Event Notices and Notices to

Exercise Movement Options in respect of their Swaption Restructuring Cleared

Transaction to LCH SA and vice versa;  

(b) if Section 6.56.5(b)(b) (Consequences of EEP Failure) is applicable as a result of the

occurrence of an EEP Failure Event, the relevant Clearing Members (or their Exercise

Delegation Beneficiaries as their designees if applicable) may deliver Swaption

Notices in respect of their Exercise Cleared Transaction to LCH SA, and vice versa;

and  

(c) the provisions of Section 9 (Matched Pair Designations) shall not apply and the terms

of this CDS Clearing Supplement shall be construed accordingly.  

8.3 Oral Notices

Notwithstanding the provisions of the ISDA Swap Transaction Definitions and of the 2014

ISDA Credit Derivatives Definitions and any other provision hereof, where Swaption Notices,

Credit Event Notices and Notices to Exercise Movement Option are to be delivered directly

to LCH SA, such notices may not be delivered orally or by telephone.

8.4 Disputes as to Notices

If any Clearing Member comprised in a Matched Pair where one such party is acting as

designee of LCH SA disputes the effective delivery in accordance with the terms of the

relevant Cleared Transactions of any notice delivered directly between Clearing Members

pursuant to Section 5 (Restructuring) or Section 6.56.5(b)(b) (Consequences of EEP Failure):

(a) LCH SA shall be entitled in accordance with the Procedures to calculate and call for

Margin with respect to each such Clearing Member on the basis of the maximum

requirement for such Clearing Member that could result from any foreseeable

outcome of such dispute;

(b) following final resolution of such dispute by arbitration or by litigation, as applicable,

in accordance with the CDS Dispute Resolution Protocol, subject to the provisions of

Sections 8 and 9 of the Procedures, the Clearing Members comprised in the relevant

Matched Pair shall take such actions with respect to the affected Exercise Cleared

Transactions or Swaption Restructuring Cleared Transactions, asthe case may be, the

subject of such dispute as LCH SA determines appropriate to give effect to any

relevant binding resolution; and

(c) without prejudice to its obligations upon final resolution of the dispute, pending final

resolution of any such dispute, LCH SA shall not be obliged to take any step pursuant

to the terms of the relevant Exercise Cleared Transactions or Swaption Restructuring

Cleared Transactions which would be required to have been taken by it had the

relevant notice been validly delivered.
LCH SA © [●]2022 43 Published on [●]12 December

2022

Each relevant Clearing Member must promptly notify LCH SA of any such disputes (in the

form set out at Appendix V hereto).

9. MATCHED PAIR DESIGNATIONS 

9.1 Creation of Matched Pairs

LCH SA will create Matched Pairs where required to do so pursuant to Section 5.15.1 (Creation

and Notification of Swaption Restructuring Matched Pairs) and Section 6.16.1 (Creation and

Notification of Exercise Matched Pairs) using a matching procedure that matches Swaption

Sellers with Swaption Buyers pursuant to an algorithm incorporating the following principles:

(a) the procedure seeks to create Matched Pairs between the same Clearing Member to

the extent it is possible to do so before creating Matched Pairs between different

Clearing Members and, for this purpose, in the context of CCMs, the procedure will

create Matched Pairs separately for CCMs and their CCM Clients (individually where

the CCM Client is allocated to a single CCM Client Margin Account or together where

a set of CCM Clients is allocated to a single CCM Client Margin Account) and Clearing

Member will be construed accordingly;

(b) the procedure seeks to minimise the number of Matched Pairs (and accordingly,

largest positions will be matched first);

(c) each Matched Pair will, to the extent possible, have an aggregate Swaption

Restructuring Matched Pair Amount or Exercise Matched Pair Amount (as applicable),

which meets the criteria as set out in a Clearing Notice; and

(d) LCH SA will allocate a Matched Pair Amount to each Matched Pair such that:

(i) the sum of all Swaption Restructuring Matched Pair Amounts or Exercise

Matched Pair Amounts (as applicable) of each Swaption Buyer under the

Swaption Restructuring Cleared Transactions or Exercise Cleared

Transactions matched on the relevant date pursuant to this Section 9.1 is

equal to the aggregate of the Swaption Notional Amounts of the Index

Swaption Cleared Transactions to which such Swaption Buyer is a party

which are to be matched on such date pursuant to this Section 9.1; and  

(ii) the sum of all Swaption Restructuring Matched Pair Amounts or Exercise

Matched Pair Amounts (as applicable) of each Swaption Seller under the

Swaption Restructuring Cleared Transactions or Exercise Cleared

Transactions matched on the relevant date pursuant to this Section 9.1 is

equal to the aggregate of the Swaption Notional Amounts of the Index

Swaption Cleared Transactions to which such Swaption Seller is a party

which are to be matched on such date pursuant to this Section 9.1.

9.2 Registration of new Swaption Restructuring Cleared Transactions and Exercise Cleared

Transactions and Removal of original Index Swaption Cleared Transactions  

To the extent that any Swaption Restructuring Cleared Transaction created pursuant to

Section 5.25.2 (Creation of Swaption Restructuring Cleared Transaction) or any Exercise
LCH SA © [●]2022 44 Published on [●]12 December

2022

Cleared Transaction created pursuant to Section 6.26.2 (Creation of Exercise Cleared

Transactions) is not automatically registered in accordance with the DTCC Rules, LCH SA shall

register such new Swaption Restructuring Cleared Transaction or Exercise Cleared

Transaction (as applicable) in the TIW in accordance with the DTCC Rules prior to 6.00 p.m.

on the date on which the SRMP Notification Deadline or EMP Notification Deadline (as

applicable) falls. In respect of CCMs and CCM Clients only, such registration by LCH SA shall

also result in the automatic registration of any amendments made to the corresponding CCM

Client Transactions.  

In addition, LCH SA will, on behalf of the relevant Clearing Member, send an “Exit” message

to the TIW in accordance with the DTCC Rules to terminate and remove the corresponding

original Index Swaption Cleared Transactions from which such Swaption Restructuring

Cleared Transactions or Exercise Cleared Transactions were created from the TIW prior to

10.00 p.m. on the date on which the SRMP Notification Deadline or EMP Notification Deadline

(as applicable) falls.  

9.3 Resetting of Swaption Trade Date

If LCH SA determines in respect of any Swaption Restructuring Cleared Transaction created

pursuant to Section 5.25.2 (Creation of Swaption Restructuring Cleared Transactions) or any

Exercise Cleared Transaction created pursuant to Section 6.26.2 (Creation of Exercise Cleared

Transactions) that the Swaption Trade Date for such Swaption Restructuring Cleared

Transaction or Exercise Cleared Transaction would be after a DC Announcement Coverage

Cut‐off Date whereas the Swaption Trade Date for the Cleared Transaction(s) from which

such Swaption Restructuring Cleared Transaction or Exercise Cleared Transaction was created

would have been prior to such DC Announcement Coverage Cut‐off Date, LCH SA shall take

such action as it deems necessary to ensure that such DC Credit Event Announcement is

applicable to such Swaption Restructuring Cleared Transaction or Exercise Cleared

Transaction, including, without limitation, specifying an earlier Swaption Trade Date for such

Swaption Restructuring Cleared Transaction or Exercise Cleared Transaction.

9.4 Matched Buyer and Seller Contracts

(a) In respect of each Matched Buyer Contract which is the subject of a Matched Pair,

LCH SA, pursuant to Section 11.2(c)(iv) of the 2014 ISDA Credit Derivatives Definitions

(amended as set out at Section 2.32.3 (Amendments to 2014 ISDA Credit Derivatives

Definitions)), as designator, shall be deemed to have designated Matched Seller in

such Matched Pair as its designee to receive on its behalf from, and to deliver on its

behalf to, Matched Buyer of the Matched Pair any applicable notices or certifications)

in accordance with the terms of the applicable Cleared Transaction (including,

without limitation, Exercise Notices and Abandonment Notices).

(b) In respect of each Matched Seller Contract which is the subject of a Matched Pair,

LCH SA, pursuant to Section 11.2(c)(iv) of the 2014 ISDA Credit Derivatives Definitions

(as amended pursuant to Section 2.32.3 (Amendmentsto 2014 ISDA Credit Derivatives

Definitions) above), as designator, shall be deemed to have designated Matched

Buyer in such Matched Pair asits designee to receive on its behalf from, and to deliver

on its behalf to, Matched Seller of the Matched Pair any applicable notices or
LCH SA © [●]2022 45 Published on [●]12 December

2022

certifications) in accordance with the terms of the applicable Cleared Transaction

(including, without limitation, Exercise Notices and Abandonment Notices).

9.5 Exercise of Rights

In relation to each Matched Pair:

(a) the exercise of any rights by Matched Buyer against LCH SA under a Matched Buyer

Contract shall be deemed to constitute the exercise of equal and simultaneous rights

by LCH SA against Matched Seller under the Matched Seller Contract of the relevant

Matched Pair; and

(b) the exercise of any rights by Matched Seller against LCH SA under a Matched Seller

Contract shall be deemed to constitute the exercise of equal and simultaneous rights

by LCH SA against Matched Buyer under the Matched Buyer Contract of the relevant

Matched Pair.

9.6 Clearing Member matched with Itself

In the event that Matched Buyer and Matched Seller of a Matched Pair pursuant to this

Section 9 (Matched Pair Designations) is the same Clearing Member, such Clearing Member

shall be deemed to have sent a notice from itself in its role as Matched Buyer to itself in its

role as Matched Seller (and vice versa) upon such Clearing Member sending a Clearing

Member Notice to LCH SA pursuant to Section 5.8 (a) (Duty to deliver Swaption Restructuring

Clearing Member Notices) or Section 6.5(c) (Duty to deliver Swaption Clearing Member

Notices) above in respect of such notice.

9.7 Notices

In relation to each Matched Pair:

(a) where Matched Buyer validly delivers or serves any notice to Matched Seller as

designee of LCH SA in accordance with the terms of a relevant Matched Buyer

Contract,such notice shall additionally be effective as a notice given by such Matched

Buyer as designee of LCH SA to Matched Seller for the purposes of the relevant

Matched Seller Contract; and

(b) where Matched Seller validly delivers or serves any notice to Matched Buyer as

designee of LCH SA in accordance with the terms of a relevant Matched Seller

Contract,such notice shall additionally be effective as a notice given by such Matched

Seller as designee of LCH SA to Matched Buyer for the purposes of the relevant

Matched Buyer Contract.

10. MANDATORY PROVISIONS FOR CCM CLIENT TRANSACTIONS 

In Appendix VIII, certain provisions are set‐out (the "Mandatory Provisions") for

incorporation into a CCM Client Transaction between a CCM and its CCM Client that

corresponds to a CCM Client Cleared Transaction registered in the CCM Client Trade Account

in the name of such CCM for such CCM Client. The CDS Clearing Supplement and these

Mandatory Provisions have been drafted so as to complement each other.  
LCH SA © [●]2022 46 Published on [●]12 December

2022

LCH SA shall not be responsible for any loss suffered or expense incurred by a CCM or any

CCM Client as a result of the inclusion or non‐inclusion of the Mandatory Provisions in the

CCM Client Transaction Documents.

11. AMENDMENTS 

LCH SA may amend the provisions of this CDS Clearing Supplement (including, without

limitation, the Mandatory Provisions) from time to time so as to comply with any legal or

regulatory developments or any recommendations adopted by the industry in respect of

CDS, Swaptions or Cleared Transactions or CCM Client Transactions, as applicable, or so as to

reflect any technological advancements, in each case in accordance with the provisions of

Section 1.2.2 (Modification) of Chapter 2 (General Provisions) of the CDS Clearing Rule Book.  

12. FORMS OF NOTICES 

A form of Exercise Notice, Abandonment Notice, Credit Event Notice, Notice to Exercise

Movement Option, notice of dispute relating to any Matched Pair as contemplated by Section

8.4 (Disputes as to Notices) is set out in Appendix I, II, III, IV and V respectively hereto.  

Any of the above referenced notices shall be delivered in substantially the form appended

hereto, provided, for the avoidance of doubt, that such notices may refer to multiple

transactions and may have certain firm‐specific variations.

For the avoidance of doubt, the above referenced noticesshall be governed by and construed

in accordance with English law.

13. EXCLUSION OF LIABILITY 

Without prejudice to the provisions of Article 1.2.10.3 of the CDS Clearing Rule Book:

(a) No liability for Failure of Designee to perform in respect of Matched Pair

Without prejudice to its obligations under or in respect of a Cleared Transaction, LCH

SA shall not be liable for any loss or cost arising out of any failure of any Clearing

Member comprised in a Matched Pair to perform its obligations as designee of LCH SA

against a related Matched Buyer or Matched Seller, as applicable.  

(b) No liability for Exercise or Abandonment by Exercise Delegation Beneficiary

LCH SA shall have no liability to a Clearing Member which has delegated to an Exercise

Delegation Beneficiary its power to Exercise or Abandon Exercise Cleared Transactions

in accordance with Section 6.46.4 (Delegation by Clearing Members to

ClientsDelegation by Clearing Members to Clients) above for any loss, cost or expense

arising out of any failure of such Exercise Delegation Beneficiary to perform its

obligations in relation to such delegation or in connection with or arising from the

Exercise or Abandonment (or attempted Exercise or Abandonment) of an Exercise

Cleared Transaction by such Exercise Delegation Beneficiary.  
LCH SA © [●]2022 47 Published on [●]12 December

2022

(c) No liability for sending any Credit Event Notice or Notice to Exercise Movement

Option

LCH SA shall have no liability to a Clearing Member which has delegated to a

Restructuring Delegation Beneficiary its power to send Credit Event Notices and

Notices to Exercise Movement Option on its behalf in accordance with Section 5.7

(Delegation by Clearing Membersto Clients) above for any loss, cost or expense arising

out of any failure of such Restructuring Delegation Beneficiary to perform its

obligations in relation to such delegation or in connection with or arising from the

delivery of Credit Event Notices and Notices to Exercise Movement Option (or

attempted delivery) in respect of a Swaption Restructuring Cleared Transaction by

such Restructuring Delegation Beneficiary.  

(d) No liability for Fault of Third Party or Force Majeure

LCH SA shall have no liability to any person where Swaption Restructuring Cleared

Transactions or Exercise Cleared Transactions are not or are improperly created, Index

Swaption Cleared Transactions, Swaption Restructuring Cleared Transactions or

Exercise Cleared Transactions are not or are improperly terminated or where the

Exercise process or the Movement Option process is not or is improperly

implemented, because of a third party’s fault or a force majeure event.  In particular,

LCH SA shall not incur any liability arising as a result of any action or omission of DTCC.  

(e) No Obligation to verify Notices received

LCH SA shall have no responsibility to verify the contents of any notice received by it

from any Clearing Member (or from an Exercise Delegation Beneficiary or a

Restructuring Delegation Beneficiary of a Clearing Member) under the terms of any

Cleared Transaction.  

14. DISPUTE RESOLUTION 

For the avoidance of doubt, all Disputesshall be referred to and finally resolved by arbitration

or by litigation, as applicable, in accordance with the CDS Dispute Resolution Protocol,subject

to the provisions of Sections 8 and 9 of the Procedures.

15. GOVERNING LAW 

For the avoidance of doubt, the governing law applicable to this CDS Clearing Supplement

(excluding the Mandatory Provisions to the extent that such terms are incorporated by

reference in the CCM Client Transaction Documents entered into between a CCM and its CCM

Client in respect of a CCM Client Transaction), the 2014 ISDA Credit Derivatives Definitions,

the ISDA Swap Transaction Definitions and any Cleared Transactions (and any related

definitions or Clearing Notices issued in respect of the CDS Clearing Supplement, the 2014

ISDA Credit Derivatives Definitions, the ISDA Swap Transaction Definitions or any Cleared

Transactions) and any non‐contractual obligations arising out of, relating to or having any

connection with them shall be asset out in Section 1.2.14 (Governing Law) of the CDS Clearing

Rule Book.
APPENDIX I: FORM OF EXERCISE NOTICE

To: [Exercise Matched Pair Counterparty Address and Contact Information]

[To/Copy to:]

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[Date]

EXERCISE NOTICE:  

Exercise Cleared Transaction Details: As set out in the Schedule hereto1

.

Reference is made to the Exercise Cleared Transaction[s] described in the Schedule hereto (the

Transaction[s]).    Capitalised terms used and not otherwise defined in this letter shall have the

meanings given them in the confirmation of the relevant Transaction and in the CDS Clearing

Documentation (as defined in such confirmation).  

This letter is our Exercise Notice to you to confirm [our telephonic notice to you today] that we have

elected to exercise our rights under the Transaction[s] as set out in the Schedule hereto.  

Sincerely  

[Clearing Member]

________________________

Name:

Title:

1 A single Exercise Notice may be submitted for multiple trades in respect of the same Counterparty
SCHEDULE

Exercise Cleared Transaction Details

Exercise

Matched Pair ID

Underlying

Index

Swaption

Type

Expiration

Date

Swaption

Notional

Amount /

Original

Notional

Amount

Amount of

Original

Notional

Amount

exercised

[] iTraxx®

Europe

[index name]

Series []

Version []  

[Payer /

Receiver]

[] [] []

[] CDX [index

name] Series

[] Version [

]  

[Payer /

Receiver]

[] [] []

The Underlying Index, Swaption Type and Swaption Notional Amount/Original Notional Amount for

the Transaction[s] have been included in this Exercise Notice for identification purposes only. Any

error in such items shall not invalidate this Exercise Notice and the Transaction[s] shall be exercised in

the amount specified above notwithstanding any such error.

   
APPENDIX II: FORM OF ABANDONMENT NOTICE

To: [Exercise Matched Pair Counterparty Address and Contact Information]

[To/Copy to:]

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[Date]

ABANDONMENT NOTICE:  

Exercise Cleared Transaction Details: As set out in the Schedule hereto2

.

Reference is made to the Exercise Cleared Transaction[s] described in the Schedule hereto (the

Transaction[s]).    Capitalised terms used and not otherwise defined in this letter shall have the

meanings given them in the confirmation of the relevant Transaction and in the CDS Clearing

Documentation (as defined in such confirmation).  

This letter is our Abandonment Notice to you to confirm [our telephonic notice to you today] that we

have elected not to exercise our rights under the Transaction[s] and that the Transaction[s] shall

instead be terminated in whole.  

Sincerely  

[Clearing Member]

________________________

Name:

Title:

2 A single Abandonment Notice may be submitted for multiple trades in respect of the same Counterparty
SCHEDULE

Exercise Cleared Transaction Details

Exercise

Matched Pair ID

Underlying

Index

Swaption

Type

Expiration

Date

Swaption

Notional

Amount /

Original

Notional

Amount

[] iTraxx®

Europe

[index name]

Series []

Version []  

[Payer /

Receiver]

[] []

[] CDX

[index

name]

Series [

] Version

[]  

[Payer /

Receiver

]

[] []

The Underlying Index, Swaption Type and Swaption Notional Amount/Original Notional Amount for

the Transaction[s] have been included in this Exercise Notice for identification purposes only. Any

error in such items shall not invalidate this Abandonment Notice and the Transaction[s] shall be

terminated pursuant to this Abandonment Notice notwithstanding any such error.
APPENDIX III: FORM OF CREDIT EVENT NOTICE

To: [Swaption Restructuring Matched Pair Counterparty Address and Contact Information]

[To/Copy to:]

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[Date]

CREDIT EVENT NOTICE:  

Swaption Restructuring Cleared Transaction Details: As set out in the Schedule hereto3.

Reference is made to the Swaption Restructuring Cleared Transaction[s] described in the Schedule

hereto (the Transaction[s]).  Capitalised terms used and not otherwise defined in this letter shall have

the meanings given them in the confirmation of the relevant Transaction and in the CDS Clearing

Documentation (as defined in such confirmation).  

This letter is our Credit Event Notice to you that an M(M)R Restructuring occurred with respect to

[insert name of Reference Entity] on or about [insert date], when [describe Credit Event].

Nothing in this letter shall be construed of a waiver of any rights we may have with respect to the

Transaction.

Sincerely  

[Clearing Member]

________________________

Name:

Title:

3 A single Credit Event Notice may be submitted for multiple trades in respect of the same Counterparty
SCHEDULE

Swaption Restructuring Cleared Transaction Details

[Clearing

Member] acting

as CDS

Seller/Buyer

Swaption

Restructuring

Matched Pair ID

Reference

Entity

Swaption

Trade Date

Triggered

Amount4

[Seller]

[Buyer]

[] [] [] []

4 Where different to the relevant SRMP Triggerable Amount
APPENDIX IV: FORM OF NOTICE TO EXERCISE MOVEMENT OPTION

To: [Swaption Restructuring Matched Pair Counterparty Address and Contact Information]

[To/Copy to:]

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[Date]

Dear Sir/Madam  

Notice to Exercise Movement Option

Swaption Restructuring Cleared Transaction Details: As set out in the Schedule hereto5.

Reference is made to: (a) the Swaption Restructuring Cleared Transaction[s] described in the Schedule

hereto (the Transaction[s]) between [       ], as Matched Seller, and [          ], as Matched Buyer; (b) the

Credit Event Notice previously delivered to you on [insert date]; and (c) the occurrence of the No

Auction Announcement Date on [insert date] pursuant to Section 6.11(b) or Section 6.11(c)(ii) of the

2014 ISDA Credit Derivatives Definitions (the Definitions).

This letter constitutes a Notice to Exercise Movement Option.  Any capitalised term not otherwise

defined in this letter will have the meaning, if any, assigned to such term in the confirmation of the

relevant Transaction and in the CDS Clearing Documentation (as defined in such confirmation) or, if

no meaning is specified therein, in the Definitions.

We hereby exercise the Movement Option, confirm that the relevant transaction created from [each

/ the] Transaction[s] pursuant to Section 7 (Settlement) of Part C of the CDS Clearing Supplement

following exercise of the Transaction will be settled in accordance with the relevant Credit Derivatives

Auction Settlement Termsspecified in the column entitled "Auction Settlement Terms" corresponding

to such Transaction in the Schedule hereto and require performance by you in accordance therewith.

Yours faithfully,

[Matched Buyer/Matched Seller]

________________________

Name:

5 A single Notice to Exercise Movement Option may be submitted for multiple trades in respect of the same 

Counterparty
Title:
SCHEDULE

Swaption Restructuring Cleared Transaction Details

Swaption

Restructuring

Matched Pair ID

Reference

Entity

Swaption

Trade Date

Auction

Settlement

Terms

[] [] [] []

   
APPENDIX V: FORM OF NOTICE OF DISPUTE RELATING TO ANY SWAPTION RESTRUCTURING /

EXERCISE MATCHED PAIR

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[Date]

[Exercise Matched Pair ID: []] / [Swaption Restructuring Matched Pair ID: []]

Trade ID: []

Dear Sir/Madam  

Notice of dispute relating to [insert details of the relevant Exercise Matched Pairs / Swaption

Restructuring Matched Pairs subject to a dispute]

Reference is made to Section 8.4 (Disputes as to Notices) of Part C of the CDS Clearing Supplement.  

Defined terms shall have the meanings assigned to them in Part C of the CDS Clearing Supplement,

unless otherwise defined herein.

In accordance with Section 8.4 (Disputes as to Notices) of Part C of the CDS Clearing Supplement,

notice is hereby given of the following dispute(s):

[insert details of Exercise Matched Pair(s) / Swaption Restructuring Matched Pair(s) affected and the

relevant dispute].

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Matched Buyer]/[Matched Seller]

________________________

Name:

Title:
APPENDIX VI: FORM OF NOTICE OF CLEARING MEMBER COMMUNICATIONS FAILURE EVENT

PURSUANT TO SECTION 6.106.10 (Clearing Member Communications Failure Event) OR CCM

CLIENT COMMUNICATIONS FAILURE EVENT PURSUANT TO MANDATORY PROVISION 5.7 (CCM

Client Communications Failure Event)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam  

Notice certifying occurrence of a [Clearing Member Communications Failure Event] [CCM Client

Communications Failure Event]

Reference is made to [Section 6.10(c)(c) (Clearing Member or Exercise Delegation Beneficiary to notify

LCH SA of Occurrence of Clearing Member Communications Failure Event) of the CDS Clearing

Supplement] [Mandatory Provision 5.7(b) (Client to notify LCH SA of occurrence of CCM Client

Communications Failure Event) in respect of the CDS Clearing Supplement].  Defined terms shall have

the meanings assigned to them in the CDS Clearing Supplement, unless otherwise defined herein.

In accordance with Section 6.10(c) (Clearing Member or Exercise Delegation Beneficiary to notify LCH

SA of Occurrence of Clearing Member Communications Failure Event) of the CDS Clearing Supplement,

notice is hereby given that we are affected by a Clearing Member Communications Failure Event

[insert details of such failure].]

[In accordance with Mandatory Provision 5.7(b) (Client to notify LCH SA of occurrence of CCM Client

Communications Failure Event) in respect of the CDS Clearing Supplement, notice is hereby given that

we are affected by a CCM Client Communications Failure Event [insert details of such failure].]

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Clearing Member / Exercise Delegation Beneficiary]

________________________
Name:

Title:

[Signed by a senior officer (such as a managing director or equivalent) on behalf of the Clearing

Member / Exercise Delegation Beneficiary]
APPENDIX VII: FORM OF NOTICE FOR CEASING TO BE SUBJECT TO A CLEARING MEMBER

COMMUNICATIONS FAILURE EVENT PURSUANT TO SECTION 6.106.10 (Clearing Member

Communications Failure Event) OR CCM CLIENT COMMUNICATIONS FAILURE EVENT PURSUANT TO

MANDATORY PROVISION 5.7 (CCM Client Communications Failure Event)

To:

LCH SA

18, rue du Quatre Septembre

75002 Paris

France

[Contact details]

[date]

Dear Sir/Madam

  

Notice of cessation of [Clearing Member Communications Failure Event] [CCM Client

Communications Failure Event]

Reference is made to Section 6.106.10(d) (Notification of Resolution of Clearing Member

Communications Failure Event) of the CDS Clearing Supplement and the notice certifying the

occurrence of a Clearing Member Communications Failure Event delivered by us to LCH SA on [] (the

Notice of Clearing Member Communications Failure Event).] [Reference is made to Mandatory

Provison 5.7(c) (Notification of Resolution of CCM Client Communications Failure Event) in respect of

the CDS Clearing Supplement and the notice certifying the occurrence of a CCM Client

Communications Failure Event delivered by us to LCH SA on [] (the Notice of CCM Client

Communications Failure Event). Defined terms shall have the meanings assigned to them in the CDS

Clearing Supplement, unless otherwise defined herein.

In accordance with Section 6.106.10(d) (Notification of Resolution of Clearing Member

Communications Failure Event) of the CDS Clearing Supplement, notice is hereby given that we are no

longersubject to the relevant Clearing Member Communications Failure Event described in the Notice

of Clearing Member Communications Failure Event.

[In accordance with Mandatory Provision 5.7(c) (Notification of Resolution of CCM Client

Communications Failure Event) in respect of the CDS Clearing Supplement, notice is hereby given that

we are no longer subject to the relevant CCM Client Communications Failure Event described in the

Notice of CCM Client Communications Failure Event.]

This notice (and any dispute, controversy, proceedings or claim of whatever nature arising out of or in

any way relating to this agreement or its formation) shall be governed by and construed in accordance

with English law.

Yours faithfully,

[Clearing Member / Exercise Delegation Beneficiary]
________________________

Name:

Title:
APPENDIX VIII: CCM CLIENT TRANSACTION REQUIREMENTS

The following provisions (the "Mandatory Provisions") are to be incorporated into a CCM Client

Transaction between a CCM and its CCM Client that corresponds to a CCM Client Cleared Transaction

(which is an Index Swaption Cleared Transaction, a Swaption Restructuring Cleared Transaction or an

Exercise Cleared Transaction) registered in the CCM Client Trade Account in the name of such CCM for

such CCM Client. The terms of the corresponding CCM Client Cleared Transaction will be governed by

Part C of the CDS Clearing Supplement. Part C of the CDS Clearing Supplement and these Mandatory

Provisions have been drafted so as to complement each other.

LCH SA shall not be responsible for any loss suffered or expense incurred by a CCM or any CCM Client

as a result of the inclusion in the CCM Client Transaction Documents of the requirements set‐out in

this Appendix VIII.

The Mandatory Provisions, when they are incorporated into any CCM Client Transaction Documents,

shall be governed by and construed in accordance with the governing law applicable to such CCM

Client Transaction Documents of which they form part, or if different and applicable, in accordance

with such CCM Client Transaction Documents, the governing law applicable to transactions entered

into undersuch CCM Client Transaction Documents. The Mandatory Provisionsshall be subject to such

dispute resolution mechanisms and procedures and such courts or other forum for hearing disputes

as are applicable in respect of such CCM Client Transaction Documents of which they form part.  Each

CCM and its CCM Client to which the Mandatory Provisions apply will waive any right to object to any

such choice of law or proceedings on the basis of forum non conveniens, that the governing law or

forum is not specified on the face of this document or otherwise.

1. Defined Terms

Terms used in the Mandatory Provisions and not otherwise defined herein or in the iTraxx®

Swaption Standard Terms Supplement or, as the case may be, the CDX Swaption Standard

Terms Supplement, the ISDA Swap Transaction Definitions or in the 2014 ISDA Credit

Derivatives Definitions shall have the meanings given to them in Part C of the CDS Clearing

Supplement.

2. Terms of CCM Client Transactions

2.1 ISDA Swap Transaction Definitions and 2014 ISDA Credit Derivatives Definitions

The definitions and provisions contained in the ISDA Swap Transaction Definitions and in the

2014 ISDA Credit Derivatives Definitions are incorporated into each CCM Client Transaction.

2.2 Premium Payment Date

Notwithstanding anything to the contrary in the ISDA Swap Transaction Definitions, if the

Premium Payment Date specified in the CCM Client Transaction Documents in respect of any

CCM Client Transaction is a date falling after the Clearing Day on which the Cleared

Transactions related to such CCM Client Transaction are created by novation pursuant to

Title III (Clearing Operations) of the CDS Clearing Rule Book, the Premium Payment Date in

respect of such CCM Client Transaction shall be deemed to be the Transaction Business Day
which is also a Clearing Day immediately following the Clearing Day on which the Cleared

Transactions relating to such CCM Client Transaction are created.

2.3 Abandonment Notices

On the Expiration Date, Swaption Buyer may notify Swaption Seller (which such notification

may be given orally, including by telephone, if notices may generally be given orally pursuant

to the terms of the CCM Client Transaction) that the CCM Client Transaction specified in such

notice shall be terminated in whole and that no further amounts shall become due and

payable by Swaption Buyer to Swaption Seller or vice versa in respect of such CCM Client

Transaction and that notice will be deemed to be irrevocable (such notice, an "Abandonment

Notice"). If applicable, Swaption Buyer will execute and deliver to Swaption Seller a written

confirmation confirming the substance of any telephonic notice within one Exercise Business

Day of that notice. Failure to provide that written confirmation will not affect the validity of

the telephonic notice.

2.4 ISDA 2019 NTCE Protocol

The Protocol Effectiveness Condition (as defined in the 2019 NTCE Protocol) being satisfied,

then from and including the Implementation Date (as defined in the 2019 NTCE Protocol) the

amendments set forth in Schedule 1 (Amendments) of the 2019 NTCE Protocol shall apply to

each CCM Client Transaction which incorporates the 2014 ISDA Credit Derivatives Definitions

and each such CCM Client Transaction shall be a Protocol Covered Transaction for the

purposes of the 2019 NTCE Protocol provided that:

(a) the date on which the Index Swaption CCM Client Cleared Transaction corresponding

to such CCM Client Transaction is registered in the TIW is prior to the Implementation

Date;

(b) such CCM Client Transaction is not an Excluded Transaction (as defined in the 2019

NTCE Protocol) provided that if the Underlying Swap Transaction or, as the case may

be, the Underlying Transaction of such CCM Client Transaction relates to more than

one Reference Entity and would otherwise be a Protocol Covered Transaction but for

the inclusion of any Affected Portion (as defined in the 2019 NTCE Protocol) therein,

such Affected Portion shall be exclude for the purposes of this Mandatory Provision

2.4 and the remaining portion of such CCM Client Transaction shall be deemed to be

a Protocol Covered Transaction;

(c) the Expiration Date in respect of such CCM Client Transaction is on or after the

Implementation Date; and

(d) no Event Determination Date has occurred in respect of the Underlying Swap

Transaction or, as the case may be, the Underlying Transaction of such CCM Client

Transaction prior to the Implementation Date.
3. Additional CCM Client Transactions, Compression and Succession Events

3.1 Creation of Additional CCM Client Transactions

Immediately following the creation of Matched Pairs by LCH SA pursuant to Section

9.1 (Creation of Matched Pairs) of the CDS Clearing Supplement, if a CCM Client Transaction

has been specified to have been split into or replaced by two or more separate CCM Client

Transactions in the TIW as a result of the creation of such Matched Pairs, such CCM Client

Transaction shall be split into or terminated and replaced by two or more (as applicable)

corresponding CCM Client Transactions. The Swaption Notional Amount of each such CCM

Client Transaction (and the Original Notional Amount for the relevant Underlying Swap

Transaction or, as the case may be, the Underlying Transaction) shall correspond to the

Swaption Notional Amount (and the Original Notional Amount)specified in TIW forsuch CCM

Client Transaction.  

3.2 Reversal of Creation of Additional CCM Client Transactions

If a CCM Client Transaction has been split into two or more CCM Client Transactions pursuant

to Mandatory Provision 3.13.1 (Creation of Additional CCM Client Transactions) above and

the relevant DC Credit Event Announcement in respect of a Restructuring Credit Event that

led to the creation of the Matched Pairs is reversed such that Section 5.10 (Reversal of DC

Credit Event Announcements) of Part C of the CDS Clearing Supplement applies, then, subject

to Section 10.2(a)(i) of the 2014 ISDA Credit Derivatives Definitions and provided that no

Subsequent Restructuring has occurred, any additional CCM Client Transactions created

pursuant to Mandatory Provision 3.13.1 (Creation of Additional CCM Client Transactions)

above shall be deemed not to have been created. Any Credit Event Notices delivered in

connection with such CCM Client Transactions in relation to such Restructuring Credit Event

shall be deemed to be ineffective.   

3.3 Compression of CCM Client Transactions

If two or more CCM Client Transactions are specified in TIW to have been compressed into a

single CCM Client Transaction pursuant to Chapter 3 (Compression) of Title III (Clearing

Operations) of the CDS Clearing Rule Book,such CCM Client Transactionsshall be compressed

into a single CCM Client Transaction with a Swaption Notional Amount (and an Original

Notional Amount for the relevant Underlying Swap Transaction or, as the case may be, the

Underlying Transaction) equal to the aggregate Swaption Notional Amounts of the original

CCM Client Transactions.

4. Validity of Notices

Save if and as expressly stated to the contrary in the Mandatory Provisions, any notice

delivered by a CCM Client to its CCM in respect of a CCM Client Transaction at a time or in a

manner in which the CCM would not be permitted to deliver such a notice to LCH SA (or to a

relevant Matched Buyer or Matched Seller as designee of LCH SA (as applicable)) in respect

of the corresponding CCM Client Cleared Transaction pursuant to the terms of Part C of the

CDS Clearing Supplement shall be deemed not to have been delivered.
5. Designation of CCM Client by CCM for Exercise or Abandonment of Exercise Cleared

Transactions

5.1 Designation by CCM

CCM and CCM Client hereby agree that CCM shall designate the CCM Client as its Exercise

Delegation Beneficiary in respect of the CCM Client Cleared Transaction(s) relating to the

CCM Client Transaction(s) between CCM and CCM Client pursuant to Section 6.4 (Delegation

by Clearing Members to CCM Clients) of Part C of the CDS Clearing Supplement for the

purpose of the Exercise (in whole or in part) or Abandonment of such CCM Client Cleared

Transaction(s) and receipt of Swaption Notices on its behalf.   

5.2 Exercise Notices and Abandonment Notices delivered in respect of CCM Client Cleared

Transaction  

Neither the CCM nor CCM Client may deliver Swaption Notices in relation to the CCM Client

Transaction corresponding to a CCM Client Cleared Transaction in respect of which CCM

Client has been designated by the CCM as its Exercise Delegation Beneficiary in accordance

with Mandatory Provision 5.15.1 (Designation by CCM) above.    Instead, if CCM Client as

Exercise Delegation Beneficiary of the CCM delivers or receives (or is deemed to deliver or

receive) a valid Swaption Notice in respect of the CCM Client Cleared Transaction

corresponding to such CCM Client Transaction, such notice shall be deemed also to be a valid

Swaption Notice for the purposes of such CCM Client Transaction.

5.3 Exercise and Abandonment by way of EEP

Subject to Mandatory Provision 5.45.4 (Consequences of EEP Failure) and Mandatory

Provision 5.7 (CCM Client Communications Failure Event) below, any submission of an Option

Intent by CCM Client in respect of a CCM Client Cleared Transaction in respect of which such

CCM Client has been designated as Exercise Delegation Beneficiary shall be made via its Client

Portal Account in the EEP. If (i) the CCM Client submits such an Option Intent via its Client

Portal Account (ii) the Submission Time of such Option Intent is prior to the Submission

Deadline on the Expiration Date and (iii) LCH SA has completed those steps necessary to make

such Option Intent available for viewing in the EEP, including validation of the EEP Controls,

such submission shall be deemed to constitute the delivery by the CCM (as Matched Buyer)

of a valid Exercise Notice or Abandonment Notice (as applicable) in respect of the CCM Client

Cleared Transactions pursuant to Section 6.4 (Delegation by Clearing Members to CCM

Clients) of Part C of the CDS Clearing Supplement.  An Option Intent shall become irrevocable

by CCM Client as from the Submission Time. For the avoidance of doubt, CCM Client shall not

be able to require a Force Submission in accordance with Section 5 of the Procedures after

the Submission Deadline, including if the relevant Option Intent is deemed illogical further to

EEP Controls carried out at or after the Submission Deadline. The deemed time of delivery of

such Swaption Notice shall be the Submission Time specified by the EEP in respect of such

Option Intent.  
5.4 Consequences of EEP Failure

If an EEP Failure Event occurs, from (and including) the EEP Failure Event Time to (but

excluding) the EEP Resolution Time:

(a) Mandatory Provision 5.35.3 (Exercise and Abandonment by way of EEP) shall not

apply and CCM Client shall deliver Swaption Notices directly to the Matched Seller or

its relevant Exercise Delegation Beneficiary (with a copy to the Matched Seller), as

applicable, in accordance with Section 6.5(b) (Consequences of EEP Failure) and

Section 8 (Delivery of Notices) of Part C of the CDS Clearing Supplement using the

notice details provided by LCH SA pursuant to Section 6.16.1 (Creation and

Notification of Exercise Matched Pairs) and Section 6.5(a)(ii) (Access to the Protected

Exercise Matched Pair ReportAccess to the Protected Exercise Matched Pair Report

and other information) of Part C of the CDS Clearing Supplement;

(b) If LCH SA does not provide the notice details pursuant to Section 6.1 (Creation and

Notification of Exercise Matched Pairs) and Section 6.56.510(a)(ii) (Access to the

Protected Exercise Matched Pair Report and other information) and the Protected

Exercise Matched Pair Report by the EMP Notification Deadline (or, where an EEP

Failure Event occurs after the EMP Notification Deadline, from the time of such EEP

Failure Event until such time as LCH provides the notice details pursuant to Section

6.1 (Creation and Notification of Exercise Matched Pairs) and Section 6.56.510(a)(ii)

(Access to the Protected Exercise Matched Pair Report and other information) and the

Protected Exercise Matched Pair Report), Mandatory Provision 5.25.2 (Exercise

Notices and Abandonment Notices delivered in respect of CCM Client Cleared

Transaction) and Mandatory Provision 5.35.3 (Exercise and Abandonment by way of

EEP) and paragraph (a)(a) above shall not apply and accordingly CCM Client shall

deliver Swaption Notices to LCH SA on behalf of the CCM;

(c) any notice delivered via the EEP prior to the EEP Failure Event Time will be valid and

will not be affected by such EEP Failure Event; and

(d) any notice delivered or purported to be delivered via the EEP at or following the EEP

Failure Event Time but prior to the EEP Resolution Time will not be valid and effective.

Mandatory Provision 5.25.2 (Exercise Notices and Abandonment Notices delivered in respect

of CCM Client Cleared Transaction) and Mandatory Provision 5.35.3 (Exercise and

Abandonment by way of EEP) shall apply with effect from the EEP Resolution Time.   

5.5 Duty to Deliver Swaption CCM Client Notice

CCM Client shall notify LCH SA and its CCM or deliver a copy to LCH SA and its CCM of any

Swaption Notice delivered by it (as Exercise Delegation Beneficiary of Matched Buyer) to

Matched Seller (or to the Client of Matched Seller as Exercise Delegation Beneficiary of

Matched Seller on its behalf) in accordance with Mandatory Provision 5.45.4 (Consequences

of EEP Failure) which such CCM Client asserts was effective (such notification, or delivery of

such copy, in respect of any relevant notice, a Swaption CCM Client Notice) by no later than

the Submission Deadline on the Expiration Date (the Swaption CCM Client Notice Deadline).  

If no Swaption CCM Client Notice is delivered by CCM Client prior to the Swaption CCM Client
Notice Deadline, any Exercise Notice sent by CCM Client pursuant to Mandatory Provision

5.45.4 (Consequences of EEP Failure) shall, subject to Section 6.8 (Consequences of no

Swaption Clearing Member Notice or Swaption CCM Client Notice being received by LCH SA)

of Part C of the CDS Clearing Supplement, be deemed to be invalid for the purposes of

Mandatory Provision 5.25.2 (Exercise Notices and Abandonment Notices delivered in respect

of CCM Client Cleared Transaction).   

Notwithstanding the above:  

(a) if LCH SA elects to give effect to an Exercise Notice in respect of a Swaption CCM

Client Notice that it determines to have been delivered pursuant to Section 6.8

(Consequences of no Swaption Clearing Member Notice or Swaption CCM Client

Notice being received by LCH SA) of Part C of the CDS Clearing Supplement, then Part

C of the CDS Clearing Supplement shall apply as if LCH SA had received a Swaption

CCM Client Notice in respect of the relevant Exercise Notice by the Swaption CCM

Client Notice Deadline; and  

(b) if LCH SA determines that it is not possible to give effect to the terms of any such

Exercise Notice in respect of which no Swaption CCM Client Notice was received by

LCH SA by the Swaption CCM Client Notice Deadline, the relevant Clearing Members

(or their Exercise Delegation Beneficiaries, as applicable), as identified in the

Protected Exercise Matched Pair Report, shall acquire rights as against each other as

though party to a bilateral credit default swap transaction on the terms of the

relevant Underlying Index Transaction. The Settlement Payment shall be due and

payable two Transaction Business Days following the giving of a notice that such

amount is due and payable.    The relevant Clearing Members (or their Exercise

Delegation Beneficiaries, as applicable) shall have enforcement rights as against each

other pursuant to the Contracts (Rights of Third Parties) Act 1999 in respect of any

resulting payments and deliveries; LCH SA shall have no liability in respect thereof.  

5.6 Delivery of notices to and from LCH SA in case of EEP Failure Event

In the case of the occurrence of an EEP Failure Event, any notice or communication given by

LCH SA to the CCM Client or vice versa shall be given to the address or number provided by

the CCM Client or its CCM to LCH SA and vice versa when the relevant CCM registered such

CCM Client for the clearing of Index Swaption Cleared Transactions, or any other address or

number duly notified thereafter by such CCM Client or its CCM to LCH SA or vice versa.  

5.7 CCM Client Communications Failure Event

(a) Right to deliver Notices manually following CCM Client Communications Failure Event

If CCM Client is affected by a significant communications or information technology

failure resulting in it being impossible or impractical for it to deliver a Swaption Notice

via the EEP (a "CCM Client Communications Failure Event") it may, notwithstanding

Mandatory Provision 5.35.3 (Exercise and Abandonment by way of EEP) above, deliver

Swaption Notices in respect of the CCM Client Cleared Transaction to LCH SA in

accordance with Section 6.106.10(a)(a) of Part C of the CDS Clearing Supplement and

any Option Intent submitted by LCH SA in the EEP (or an alternative internal system of
LCH SA) in respect of such Swaption Notice pursuant to Section 6.10(b) of Part C of the

CDS Clearing Supplement with a Submission Time prior to the Submission Deadline

shall be deemed to have been submitted by CCM Client for the purposes of Mandatory

Provision 5.35.3 (Exercise and Abandonment by way of EEP) above.   

In respect of any Swaption Notice delivered pursuant to this Mandatory Provision 5.7,

LCH SA may determine in its sole discretion that it is not able to submit the relevant

Option Intent in the relevant system with a Submission Time prior to the Submission

Deadline on the Expiration Date. In such case, LCH SA will inform the CCM Client and,

subject to Mandatory Provision 5.55.5 above, such CCM Client will be deemed not to

have submitted an Option Intent in respect of the relevant Exercise Cleared

Transaction.  

(b) Client to notify LCH SA of occurrence of CCM Client Communications Failure Event

Following the occurrence of a CCM Client Communications Failure Event, the CCM

Client shall, prior to or at the same time as delivering any Swaption Notice to LCH SA

pursuant to sub‐paragraph (a)(a) above, deliver to LCH SA a notice (in the form set out

at Appendix VI to Part C of the CDS Clearing Supplement) signed by an authorised

signatory certifying that it is affected by a CCM Client Communications Failure Event

(or, if CCM Client is unable to deliver such notice in writing, orally by telephone).

(c) Notification of Resolution of CCM Client Communications Failure Event

As soon as reasonably practicable upon CCM Client ceasing to be subject to a CCM

Client Communications Failure Event, it shall notify LCH SA accordingly (in the form set

out at Appendix VII to Part C of the CDS Clearing Supplement) and thereupon sub‐

paragraph (a)(a) above shall cease to apply.

(d) Duty to Mitigate

If CCM Client is subject to a CCM Client Communications Failure Event, it shall use

reasonable endeavours to mitigate the operational impact of any CCM Client

Communications Failure Event, to cure such CCM Client Communications Failure Event

as soon as reasonably practicable and to ensure that the circumstances giving rise to

the relevant CCM Client Communications Failure Event do not recur.

5.8 Confidentiality Waiver

CCM Client hereby agrees and consents to the disclosure of its address, fax number,

telephone number, contact email address (and any other applicable notice details provided

by it) by CCM to LCH SA and by LCH SA in accordance with Section 6.16.1 (Creation and

Notification of Exercise Matched Pairs) and Section 6.5(a)(ii) (Access to the Protected Exercise

Matched Pair Report) of Part C of the CDS Clearing Supplement.  
6. Determination of Credit Events and Succession Events

Notwithstanding any provision to the contrary:

(a) the Calculation Agent shall not make any determination in respect of any matter

which is or may be subject to resolution under Sections 3.5 (Successor Resolutions) or

3.6 (Substitute Reference Obligation Resolutions) of the DC Rules; and

(b) neither party shall be entitled to deliver a Successor Notice or a Credit Event Notice

(other than Credit Event Notices in relation to a Restructuring Credit Event in

accordance with the terms of any CCM Client Transaction (including the Mandatory

Provisions)).

7. Designation of CCM Client as a Restructuring Delegation Beneficiary by CCM

7.1 Designation by CCM

CCM and CCM Client hereby agree that CCM shall designate the CCM Client as its

Restructuring Delegation Beneficiary in respect of the CCM Client Cleared Transaction(s)

relating to the CCM Client Transaction(s) between CCM and CCM Client pursuant to Section

5.7 (Delegation by Clearing Members to CCM Clients) of Part C of the CDS Clearing

Supplement for the purpose of the delivery or receipt of Credit Event Notices and  Notices to

Exercise Movement Option of such CCM Client Cleared Transaction(s).   

7.2 Credit Event Notices and Notices to Exercise Movement Option delivered in respect of CCM

Client Cleared Transactions

Neither the CCM nor CCM Client may deliver Credit Event Notices and Notices to Exercise

Movement Option in relation to the CCM Client Transaction corresponding to a CCM Client

Cleared Transaction in respect of which CCM Client has been designated by the CCM as its

Restructuring Delegation Beneficiary in accordance with Mandatory Provision 7.1

(Designation by CCM) above.  Instead, if CCM Client as Restructuring Delegation Beneficiary

of the CCM delivers or receives(or is deemed to deliver or receive) a valid Credit Event Notice

or Notice to Exercise Movement Option in respect of the CCM Client Cleared Transaction

corresponding to such CCM Client Transaction, such notice shall be deemed also to be a valid

Credit Event Notice or Notice to Exercise Movement Option for the purposes of such CCM

Client Transaction.

CCM Client as Restructuring Delegation Beneficiary shall deliver Credit Event Notices or

Notices to Exercise Movement Option directly to the Matched Seller or Matched Buyer or its

relevant Restructuring Delegation Beneficiary, as applicable, in accordance with Section 5

(Restructuring) and Section 8 (Delivery of Notices) of Part C of the CDS Clearing Supplement

using the notice details provided by LCH SA pursuant to Section 5.1 (Creation and Notification

of Swaption Restructuring Matched Pairs) of Part C of the CDS Clearing Supplement.

7.3 Duty to Deliver Swaption Restructuring CCM Client Notice

CCM Client shall notify LCH SA and its CCM or deliver a copy to LCH SA and its CCM of any

Credit Event Notice or Notice to Exercise Movement Option delivered by it (as Restructuring

Delegation Beneficiary of Matched Buyer or Matched Seller) to Matched Buyer or Matched
Seller (or to the Client of Matched Buyer or Matched Seller as Restructuring Delegation

Beneficiary of such Matched Buyer or Matched Seller on its behalf) in accordance with

Mandatory Provision 7.2 (Credit Event Notices and Notices to Exercise Movement Option

delivered in respect of CCM Client Cleared Transactions) which such CCM Client asserts was

effective (such notification, or delivery of such copy, in respect of any relevant notice, a

Swaption Restructuring CCM Client Notice) by no later than the Swaption Restructuring

Clearing Member Notice Deadline. If no Swaption Restructuring CCM Client Notice is

delivered by CCM Client prior to the Swaption Restructuring Clearing Member Notice

Deadline, any Credit Event Notice or Notice to Exercise Movement Option Notice sent by CCM

Client pursuant to Mandatory Provision 7.2 (Credit Event Notices and Notices to Exercise

Movement Option delivered in respect of CCM Client Cleared Transactions) shall, subject to

Section 5.8 (c) (Consequences of no Swaption Restructuring Clearing Member Notice or

Swaption Restructuring CCM Client Notice being received by LCH SA) of Part C of the CDS

Clearing Supplement, be deemed to be invalid for the purposes of Mandatory Provision 7.2

(Credit Event Notices and Notices to Exercise Movement Option delivered in respect of CCM

Client Cleared Transactions).   

Notwithstanding the above:  

(a) if LCH SA electsto give effect to a Credit Event Notice or Notice to Exercise Movement

Option in respect of a Swaption Restructuring CCM Client Notice that it determines

to have been delivered pursuant to Section 5.8 (c) (Consequences of no Swaption

Restructuring Clearing Member Notice or Swaption Restructuring CCM Client Notice

being received by LCH SA) of Part C of the CDS Clearing Supplement, then Part C of

the CDS Clearing Supplement shall apply as if LCH SA had received a Swaption

Restructuring CCM Client Notice in respect of the relevant Credit Event Notice or

Notice to Exercise Movement Option by the Swaption Restructuring Clearing Member

Notice Deadline; and  

(b) if LCH SA determines that it is not possible to give effect to the terms of any such

Credit Event Notice or Notice to Exercise Movement Option in respect of which no

Swaption Restructuring CCM Client Notice was received by LCH SA by the relevant

Swaption Restructuring Clearing Member Notice Deadline, then, following Exercise,

an amount shall be payable between the Clearing Members equal to the difference

between the value of the Matched Buyer Contract had the Swaption Restructuring

CCM Client Notice been given to LCH SA prior to the Swaption Restructuring Clearing

Member Notice Deadline and the value of such contract in the absence of such

Swaption Restructuring CCM Client Notice having been given. Such difference in value

shall be determined as of the earlier of the day on which notice is given by any

relevant Clearing Member (or Restructuring Delegation Beneficiary, if applicable) that

such amount is due and payable and the eighth Transaction Business Day following

the Auction Settlement Date, No Auction Announcement Date or Auction

Cancellation Date, as applicable, by reference to the relevant Auction Settlement

Amount or end of day contributed prices, in each case if available.  In each case, the

relevant Clearing Members (or their Restructuring Delegation Beneficiaries, as

applicable) shall have enforcement rights as against each other pursuant to the

Contracts (Rights of Third Parties) Act 1999 in respect of any resulting payments and

deliveries; LCH SA shall have no liability in respect thereof.  
7.4 Delivery of notices to and from LCH SA  

Any notice or communication given by LCH SA to the CCM Client or vice versa shall be given to the

address or number provided by the CCM Client or its CCM to LCH SA and vice versa when the relevant

CCM registered such CCM Client for the clearing of Index Swaption Cleared Transactions, or any other

address or number duly notified thereafter by such CCM Client or its CCM to LCH SA or vice versa.

7.5 Confidentiality Waiver

CCM Client hereby agrees and consents to the disclosure of its address, fax number,

telephone number, contact email address (and any other applicable notice details provided

by it) by CCM to LCH SA and by LCH SA in accordance with Section 5.1 (Creation and

Notification of Swaption Restructuring Matched Pairs) of Part C of the CDS Clearing

Supplement.  

8. Settlement

8.1 Creation of Underlying Swap Transaction or of Underlying Transaction

Following exercise of the CCM Client Transaction (and the related CCM Client Cleared

Transaction) and upon creation of the Underlying Swap Transaction or, as the case may be,

the Underlying Transaction, such Underlying Swap Transaction or, as the case may be, the

Underlying Transaction shall constitute a CCM Client Transaction between the CCM and its

CCM Client for the purposes of Part B of the CDS Clearing Supplement corresponding to the

CCM Client Cleared Transaction registered in the CCM Client Trade Account in the name of

the CCM for the CCM Client created pursuant to Section 7.17.1 (Creation of Index Cleared

Transactions) of Part C of the CDS Clearing Supplement and governed following creation by

Part B of the CDS Clearing Supplement. The provisions of Appendix XIII (CCM Client

Transaction Requirements) of Part B of the CDS Clearing Supplement shall be deemed to be

incorporated into the new CCM Client Transaction.  

8.2 Creation of Restructuring Single Name Transaction

Following exercise of the CCM Client Transaction (and the related CCM Client Cleared

Transaction), if any 'New Trade' is created pursuant to the provisions of sub‐paragraph 5.2(b)

(Transfer and termination of Component Transactions) of the Relevant Standard Terms

Supplement (as defined in the iTraxx® Swaption Standard Terms Supplement) as a result of

the occurrence of an M(M)R Restructuring, such 'New Trade' shall constitute a CCM Client

Transaction for the purposes of Part B of the CDS Clearing Supplement corresponding to the

CCM Client Cleared Transaction registered in the CCM Client Trade Account in the name of

the CCM forthe CCM Client created pursuant to Section 7.3 (Creation of Restructuring Cleared

Transactions for Triggering and/or Settlement purposes) or Section 7.4 (Creation of Initial

Single Name Cleared Transactionsin respect of untriggered M(M)R Restructuring) of Part C of

the CDS Clearing Supplement and governed following creation by Part B of the CDS Clearing

Supplement. The provisions of Appendix XIII (CCM Client Transaction Requirements) of Part B

of the CDS Clearing Supplement shall be deemed to be incorporated into the new CCM Client

Transaction.  
8.3 Auction Settlement Date

If an Event Determination Date has occurred in respect of a Credit Event for a Reference Entity

referenced by the Underlying Swap Transaction or, as the case may be, the Underlying

Transaction in accordance with the 'Operation of each Underlying Swap Transaction' or,

where relevant, ‘Operation of each Underlying Transaction’ section of Part 4 (Underlying

Swap Transaction Terms, or where relevant, Underlying Transaction Terms) of the iTraxx®

Swaption Standard Terms Supplement or, as the case may be, section 5.2 (Operation of

Underlying Swap Transaction, or where relevant, Operation of Underlying Transaction) of the

CDX Swaption Standard Terms Supplement, notwithstanding anything to the contrary in the

iTraxx® Swaption Standard Terms Supplement or, as the case may be, the CDX Swaption

Standard Terms Supplement, the Auction Settlement Date for any such Event Determination

Date will be deemed to be the later of (i) the Auction Settlement Date that would be

determined in accordance with Section 6.3 of the 2014 Credit Derivatives Definitions and (ii)

the Transaction Business Day immediately following the Expiration Date.

8.4 Settlement Payment   

Notwithstanding anything to the contrary in the iTraxx® Swaption Standard Terms

Supplement or, as the case may be, the CDX Swaption Standard Terms Supplement, the

Settlement Payment (or the absolute value thereof, as applicable) shall be payable on the

Transaction Business Day immediately following the Expiration Date.

9. Calculation Agent

9.1 Appointment of Calculation Agent

The Calculation Agent in respect of any CCM Client Transaction shall be the CCM.   

9.2 Calculations and Determinations of Calculation Agent

In the event that the Calculation Agent is entitled or required to make any calculation or

determination in respect of a CCM Client Transaction in respect of a matter that has already

been or will be determined in respect of and pursuant to the terms of the corresponding CCM

Client Cleared Transaction, the Calculation Agent in respect of the CCM Client Transaction

shall be obliged to make the same calculation or determination in respect of such CCM Client

Transaction as the determination in respect of the corresponding CCM Client Cleared

Transaction.

10. Amendments

The Mandatory Provisions may be amended from time to time pursuant to Section 1111

(Amendments) of Part C of the CDS Clearing Supplement. The parties agree that any

amendments made to the Mandatory Provisions in accordance with Section 1111

(Amendments) of Part C of the CDS Clearing Supplement shall be deemed to apply
automatically to the CCM Client Transaction(s) with effect from the date of such amendment

to the Mandatory Provisions.