2011 Equity Derivatives Master Confirmation Agreement

2011 EQUITY DERIVATIVES MASTER CONFIRMATION AGREEMENT

NOTE:

-THIS FORM OF MASTER CONFIRMATION AGREEMENT HAS BEEN PREPARED FOR ILLUSTRATIVE PURPOSES AND IS SOLELY MEANT TO ASSIST IN THE REVIEW OF THE DRAFT MATRICES BEING CIRCULATED IN CONNECTION WITH THE 7/29 DISTRIBUTION OF THE 2011 EQUITY DERIVATIVES DEFINITIONS MAIN BOOK AND APPENDIX.

-ISDA IS PROVIDING THIS DOCUMENT, BASED UPON THE 2011 EQUITY DERIVATIVES DEFINITIONS, OF THE MODEL TRADES TO FACILITATE THE ABILITY OF THE WORKING GROUP TO COMPARE HOW SIMILAR TERMS ARE APPLIED ACROSS BOTH THE 2002 EQUITY DERIVATIVES DEFINITIONS AND THE 2011 EQUITY DERIVATIVES DEFINITIONS.

-AS PREVIOUSLY NOTED, ISDA DOES NOT, AT THIS TIME, EXPECT TO PUBLISH FORMS OF MASTER CONFIRMATION AGREEMENT TO ACCOMPANY THE 2011 EQUITY DERIVATIVES DEFINITIONS.

This 2011 Equity Derivatives Master Confirmation Agreement (this “Master Confirmation Agreement”) is dated as of [____] between [______] (“Party A”) and [______] (“Party B”).

The parties have entered into an ISDA Master Agreement dated as of [______], as amended and supplemented from time to time (the “Master Agreement”) and wish to facilitate the process of entering into and confirming certain types of derivatives transactions and accordingly agree as follows:

1. Confirmation Process. The parties intend to enter into separate derivatives ED Transactions set out in an ED Transaction Supplement substantially in the form attached as an Annex specified in Exhibit I hereto relating to ED Transaction Types as defined in the Equity Definitions. The confirmation applicable to each ED Transaction, which shall constitute a “Confirmation” for the purposes of, and will supplement, form a part of, and be subject to, the Master Agreement, shall consist of this Master Confirmation Agreement as supplemented by the trade details applicable to such Transaction as set forth in the ED Transaction Supplement for that Transaction. The ED Transaction Supplement shall consist of two parts. The first, Relationship Level Terms, once Specified, shall be deemed to apply to any ED Transaction of the Specified ED Transaction Type. The second, Trade Level Terms, shall be Specified and exchanged between the Parties in relation to specific ED Transactions on a trade-by-trade basis.
2. Equity Derivatives Definitions. This Master Confirmation Agreement hereby incorporates by reference the 2011 ISDA Equity Derivatives Definitions as published by the International Swaps and Derivatives Association, Inc. (the “Equity Definitions”). Any capitalized term not otherwise defined herein shall have the meaning assigned to such term in the Equity Definitions. A summary of certain terms incorporated from the Equity Definitions has been attached hereto in respect of each ED Transaction Type covered by this Master Confirmation Agreement for convenience of reference only and shall not be considered by the Parties to constitute any part of the Confirmation or otherwise form a part of the Agreement (each summary, a “Confirmation Terms Table”).
3. Hierarchy of Terms. If in relation to any Transaction there is any inconsistency in terms or definitions, the following will prevail for purposes of such Transaction in the order of precedence indicated: (i) the Trade Level Terms of the ED Transaction Supplement; (ii) the Relationship Level Terms of the ED Transaction Supplement; (iii) the Master Confirmation Agreement; (iv) the Equity Definitions; (v) the Master Agreement.
4. Non-Exclusive. The parties acknowledge and agree that the execution of this Master Confirmation Agreement does not require them to document Transactions in accordance with this Master Confirmation Agreement.
5. Miscellaneous.

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

(b)Amendments. An amendment, modification or waiver in respect of this Master Confirmation Agreement will be effective only if in writing (including a writing evidenced by a facsimile transmission) and executed by each of the parties or confirmed by an exchange of telexes or by an exchange of electronic messages on an electronic messaging system.

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

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

(e)Governing Law; Jurisdiction. This Master Confirmation Agreement and each Transaction confirmed by a Confirmation documented hereunder will be governed by and construed in accordance with the law specified in the Master Agreement and will be subject to the jurisdiction, service of process and waiver of immunities provisions of Section 13 of the Master Agreement.

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

[______][______]

By:______By:______

Name:Name:

Title:Title:

EXHIBIT I

ED TRANSACTION SUPPLEMENT TEMPLATES

Party A and Party B have agreed that the following forms of ED Transaction Supplements relating to the ED Transaction Types described below will be subject to this 2011 Equity Derivatives Master Confirmation Agreement, effective as of the MCA Effective Date set forth below:

Annex / MCA Effective Date
Annex USIVS1: Single–Exchange Index Variance Swap – OM1 – All Parties – Matrix 1 – ED Transaction Type
Annex USIVS2: Multiple–Exchange IndexVariance Swap – OM1 – All Parties – Matrix 1 – ED Transaction Type
Annex EUIVS1: Single–Exchange Index Variance Swap – OM4 – All Parties – Matrix 1 – ED Transaction Type
Annex EUIVS2: Multiple–Exchange Index Variance Swap – OM4 – All Parties – Matrix 1 – ED Transaction Type
Annex EUIVS3: Multiple–Exchange Index Variance Swap – OM4 – All Parties – Matrix 2 – ED Transaction Type

CONFIDENTIAL: DRAFT DOCUMENTS (For use in connection with Working Group deliberations - not for public dissemination)

MCA: 1

ANNEX USIVS1 (RTS)

ED Transaction SUPPLEMENT

SINGLE–EXCHANGE INDEX VARIANCE SWAP – OM1 – ALL PARTIES – MATRIX 1 – ED TRANSACTION TYPE

Part 1: Relationship Level Terms

This ED Transaction Supplement is entered into between the parties listed below on the Trade Date set forth below.

The purpose of this communication is to confirm terms and conditions relating to any ED Transactionsof the Specified ED Transaction Type entered into between PartyAand Party B, as Specified below.

This ED Transaction Supplement is entered into under the 2011 Equity Derivatives Master Confirmation Agreement dated as of [______] between us, as may be amended from time to time, andconstitutes a “Confirmation” as referred to in the Master Agreement between the parties, as amended and supplemented from time to time.

Transaction Type Terms:

Date of relevant ISDA Master Agreement:Agreed [Data] - Required ([•]) – Specify: [date] - RTS

Designated Entity Terms:

Party A:Agreed [Data] - Required ([•]) – Specify: [person] - RTS

Party B:Agreed [Data] - Required ([•]) – Specify: [person] - RTS

Calculation Agent:Agreed [Data] - Optional ([••]) – Specify: [person(s)] - RTS

ED Hedging Party:Agreed [Data] - Required ([•]) – Specify: [person] - RTS

ED Transaction Supplement Preparer:Agreed [Data] - Required ([•]) – Specify: [person] - RTS

Risk Allocation Terms:

Dispute Resolution Terms:

Dispute Resolution Election:Agreed [Data] - Optional ([•]) – Specify: [Dispute Resolution Available Election] - RTS

Dispute Notice Deadline:Agreed [Data] - Optional ([•]) – Specify: [Time Election] - RTS

Dispute Notice Deadline Date:Agreed [Data] - Optional ([•]) – Specify: [date] - RTS

Reference City:Agreed [Data] - Optional ([•]) – Specify: [city] - RTS

Specified Disregard Default Payment/Agreed [Data] - Optional ([•]) – Specify:

Delivery Obligations Election:[Disregard Default Payment/Delivery Obligations Available Election] - RTS

Dispute Resolution Payment Election:Agreed [Data] - Optional ([•]) – Specify:

[Dispute Resolution Payment Available Election] - RTS

Escrow of Disputed Amount Agreed [Data] - Optional ([•]) – Specify:

Alternative Available Election:[Resolution Process Available Election] - RTS –Precondition: Escrow of Disputed Amount

Resolution Process Election:Agreed [Data] - Optional ([•]) – Specify:

[Resolution Process Available Election] - RTS

Party Resolution Deadline:Agreed [Data] - Optional ([•]) – Specify:

[Time Election] - RTS

Party Resolution Deadline Date:Agreed [Data] - Optional ([•]) – Specify:

[date] - RTS

Selection Deadline:Agreed [Data] - Optional ([•]) – Specify:

[Time Election] - RTS

Selection Deadline Date:Agreed [Data] - Optional ([•]) – Specify:

[date] - RTS

Determination DeadlineAgreed [Data] - Optional ([•]) – Specify:

[Time Election] - RTS

Minimum Number of Responders Election:Agreed [Data] - Optional ([•]) – Specify:

[Minimum Number of Responders Available

Election] - RTS

Resolver Determination Election:Agreed [Data] - Optional ([•]) – Specify:

[Resolver Determination Available Election] - RTS

CDR Costs Allocation Election: Agreed [Data] - Optional ([•]) – Specify:

[CDR Costs Allocation Available Election] - RTS

Notice Terms:

Party A Notice CityAgreed [Data] - Optional ([•]) – Specify:

[city] - RTS

Party B Notice CityAgreed [Data] - Optional ([•]) – Specify:

[city] - RTS

Party A Notice Agent Notice CityAgreed [Data] - Optional ([•]) – Specify:

[city] - RTS

Party B Notice Agent Notice CityAgreed [Data] - Optional ([•]) – Specify:

[city] - RTS

ED Leg Settlement Terms:

Multi-Settlement System Settlement Cycle:Agreed [Data] - Optional ([•]) – Specify: [number of Specified Type of Day] - RTS

Settlement Cycle – Agreed:Not Relevant

Please confirm your agreement to be bound by the terms of the foregoing by executing a copy of this ED Transaction Supplement (Relationship Level Terms) and returning it to us [at the contact information listed above].

[______][______]

By: ______By: ______

Name:Name:

Title:Title:

CONFIDENTIAL: DRAFT DOCUMENTS (For use in connection with Working Group deliberations - not for public dissemination)

RTS: USIVS1 - 1

ANNEX USIVS1 (TTS)

ED Transaction SUPPLEMENT

SINGLE–EXCHANGE INDEX VARIANCE SWAP – OM1 – ALL PARTIES – MATRIX 1 – ED TRANSACTION TYPE

Part 2: TRADE Level Terms

This ED Transaction Supplement is entered into between the parties listed below on the Trade Date set forth below.

The purpose of this communication is to confirm the terms and conditions of an ED Transaction of the Specified ED Transaction Type entered into between PartyAand Party B, as Specified below, on the Specified Trade Date.

This ED Transaction Supplement is entered into under the 2011 Equity Derivatives Master Confirmation Agreement dated as of [______] between us, as may be amended from time to time, andconstitutes a “Confirmation” as referred to in the Master Agreement between the parties, as amended and supplemented from time to time.

Transaction Terms:

Trade Date:Agreed [Data] - Required ([•]) – Specify:

[date] - TTS

ED Leg Type Terms:

ED Leg Reference Underlier:Agreed [Data] - Required ([•]) – Specify:

[ED Leg Reference Underlier] - TTS

ED Transaction Settlement Terms:

Settlement Currency:Not Relevant

ED Leg Settlement Terms:

Valuation Feature:Agreed [Data] - Required([•]) – Specify:

[Valuation Feature Available Election] -

TTS

Equity Notional Amount:Agreed [Data] - Required ([•]) – Specify:

[amount] - TTS

NDIP:Agreed [Data] - Optional ([•]) –

Specify: [number of Pricing Days] - TTS

Volatility Cap Amount:Agreed [Data] - Optional ([•])– Specify:

[amount] - TTS – Precondition: Volatility Cap

Variance Buyer:Agreed [Data] - Required ([•]) – Specify:

[person] - TTS

Variance Seller:Agreed [Data] - Optional ([•]) – Specify:

[person] - TTS

Equity Valuation Date:Agreed [Data] - Required ([•]) – Specify:

[date] - TTS

ED Leg Pricing Terms:

Primary Securities Exchange:Agreed [Data] - Optional ([•]) – Specify:

[Securities Exchange] - TTS

Primary Derivatives Exchange:Not Relevant

Relevant Derivatives Contract:Agreed [Data] - Optional ([•]) – Specify:

[Derivatives Contract] - TTS

Pricing Election (Initial- ObservationAgreed [Data] - Optional ([•]) – Specify:

Date – Pt-1):[Pricing Election Available Election] - TTS

Agreed Price (Initial- ObservationAgreed [Data] - Required ([•]) – Specify:

Date – Pt-1):[Value] - TTS – Precondition: Agreed Index

Sponsor

Pricing Election (Equity Valuation Agreed [Data] - Optional ([•]) – Specify:

Date – Pt):[Pricing Election Available Election] - TTS

Agreed Price (Equity Valuation Date – Agreed [Data] - Required ([•]) – Specify:

Volatility Strike Price):[Value] - TTS

ED Leg Variance Swap Terms:

Observation Period Start Date:Agreed [Data] - Required ([•]) – Specify:

[Observation Period Start Date] - TTS

Please confirm your agreement to be bound by the terms of the foregoing by executing a copy of this ED Transaction Supplement (Trade Level Terms) and returning it to us [at the contact information listed above].

[______][______]

By: ______By: ______

Name:Name:

Title:Title:

CONFIDENTIAL: DRAFT DOCUMENTS (For use in connection with Working Group deliberations - not for public dissemination)

TTS: USIVS1 - 1

ANNEX USIVS1 (CTT)

SINGLE–EXCHANGE INDEX VARIANCE SWAP – OM1 – ALL PARTIES – MATRIX 1 – ED TRANSACTION TYPE

CONFIRMATION TERMS TABLE

ED Transaction Conventions:
ED Transaction Type: / Single–Exchange Index Variance Swap – OM1 – All Parties – Matrix 1 – ED Transaction Type
ED Transaction Supplement Convention: / Single–Exchange Index Variance Swap – OM1 – All Parties – Matrix 1 – ED Transaction Supplement Convention
ED Transaction Designated Entities Convention: / ED Transaction Designated Entities Convention 1 (Specified)
ED Transaction Additional Agreement System: / ED Transaction Additional Agreement System 1 (Index)
ED Transaction Risk Allocation Convention: / ED Transaction Risk Allocation Convention 1 (Index Variance Swap – OM1 – All Parties)
ED Transaction Dispute Resolution Convention: / ED Transaction Dispute Resolution Convention 1 (Specified)
ED Transaction Notice Convention: / ED Transaction Notice Convention 1 (Single Leg)
ED Leg Type: / Single–Exchange Index Variance Swap – OM1 – All Parties – Matrix 1 – ED Leg Type
ED Transaction Settlement Convention: / ED Transaction Settlement Convention 2 (USD)
Risk Allocation Conventions:
ED Transaction Risk Allocation Convention: / ED Transaction Risk Allocation Convention 1 (Index Variance Swap – OM1 – All Parties)
Extraordinary Event System: / EE System 1 (Index Variance Swap –OM1)
Avoidance System: / Not Relevant
Dispute Resolution:
ED Transaction Dispute Resolution Convention: / ED Transaction Dispute Resolution Convention 1 (Specified)
ED Transaction Dispute Resolution System: / ED Transaction Dispute Resolution System 1 (Specified)
ED Transaction Resolution Process System: / ED Transaction Resolution Process System 1 (Specified)
Notice Conventions
ED Transaction Notice Convention: / ED Transaction Notice Convention 1 (Single Leg)
Notice System: / Basic Notice System
Notice City and Party System: / Basic ED Transaction Notice City and Party System
ED Leg Conventions:
ED Leg Type: / Single–Exchange Index Variance Swap – OM1 – All Parties – Matrix 1 – ED Leg Type
Primary Feature: / Swap
Performance Feature: / Variance
ED Leg Reference Underlier Feature: / Single–Exchange Index
Market Feature: / OM1
Party Feature: / All Parties
Matrix Feature: / Matrix 1
EO Settlement Convention: / EO Settlement Convention 1 (Index Variance Swap)
ED Leg Pricing Convention: / ED Leg Pricing Convention 1 (Single–Exchange Index Variance Swap Leg – OM1 – All Parties – Matrix 1)
ED Leg Date Convention: / ED Leg Date Convention 1 (Index Variance Swap – OM 1 – Matrix 1)
ED Leg Designated Feature Convention: / ED Leg Designated Feature Convention 1 (Variance Swap)
Settlement Conventions:
ED Transaction Settlement Convention: / ED Transaction Settlement Convention 2 (USD)
Settlement Currency: / USD
Settlement Disruption Event System: / Cash Disruption Event System 1
Rounding Calculation System: / Not Relevant
EO Settlement Convention: / EO Settlement Convention 1 (Index Variance Swap)
Settlement Feature System: / Cash Settlement System 1
Valuation Feature System: / Valuation Feature System (VolCap)
Additional Obligation Feature System: / Not Relevant
EO System: / EO System 1 (Index Variance Swap)
Leg Notional/Number System: / Equity Notional Amount System 1 (Specified)
EO Settlement Cycle System: / Settlement Cycle System 1
Currency System: / US Currency System
Calculation Date System: / Calculation Date System 1
Pricing Conventions:
ED Leg Pricing Convention: / ED Leg Pricing Convention 1 (Single–Exchange Index Variance Swap Leg – OM1 – All Parties – Matrix 1)
Exchange System: / Exchange System (Single–Exchange Index – OM1– Matrix 1)
Derivatives Contract Selection System: / Derivatives Contract Selection System (Var Swap – OM1)
ED Leg Pricing System: / ED Leg Pricing System 1 (Single–Exchange Index Variance Swap Leg – OM1 – All Parties – Matrix 1)
Correction System: / Index Correction System 1
Date Conventions:
ED Leg Date Convention: / ED Leg Date Convention 1 (Index Variance Swap – OM 1 – Matrix 1)
Settlement Feature: / Cash Settlement
Eligible Day Adjustment System: / Eligible Day Adjustment System 1 (Index Variance Swap)
Type of Day Selection System: / Type of Day Selection System 1 (Index Variance Swap)
Date Selection System: / Date Selection System 1 (Index Variance Swap)
Designated Feature Conventions:
ED Leg Designated Feature Convention: / ED Leg Designated Feature Convention 1 (Variance Swap)
Observation Dates System: / Observation Dates System 1

CONFIDENTIAL: DRAFT DOCUMENTS (For use in connection with Working Group deliberations - not for public dissemination)

CTT: USIVS1 - 1

ANNEX USIVS2 (RTS)

ED Transaction SUPPLEMENT

MULTIPLE–EXCHANGE INDEX VARIANCE SWAP – OM1 – ALL PARTIES – MATRIX 1 – ED TRANSACTION TYPE

Part 1: Relationship Level Terms

This ED Transaction Supplement is entered into between the parties listed below on the Trade Date set forth below.

The purpose of this communication is to confirm terms and conditions relating to any ED Transactionsof the Specified ED Transaction Type entered into between PartyAand Party B, as Specified below.

This ED Transaction Supplement is entered into under the 2011 Equity Derivatives Master Confirmation Agreement dated as of [______] between us, as may be amended from time to time, andconstitutes a “Confirmation” as referred to in the Master Agreement between the parties, as amended and supplemented from time to time.

Transaction Type Terms:

Date of relevant ISDA Master Agreement:Agreed [Data] - Required ([•]) – Specify: [date] - RTS

Designated Entity Terms:

Party A:Agreed [Data] - Required ([•]) – Specify: [person] - RTS

Party B:Agreed [Data] - Required ([•]) – Specify: [person] - RTS

Calculation Agent:Agreed [Data] - Optional ([••]) – Specify: [person(s)] - RTS

ED Hedging Party:Agreed [Data] - Optional ([••]) – Specify: [person(s)] - RTS

ED Transaction Supplement Preparer:Agreed [Data] - Required ([•]) – Specify: [person] - RTS

Risk Allocation Terms:

Dispute Resolution Terms:

Dispute Resolution Election:Agreed [Data] - Optional ([•]) – Specify: [Dispute Resolution Available Election] - RTS

Dispute Notice Deadline:Agreed [Data] - Optional ([•]) – Specify: [Time Election] - RTS

Dispute Notice Deadline Date:Agreed [Data] - Optional ([•]) – Specify: [date] - RTS

Reference City:Agreed [Data] - Optional ([•]) – Specify: [city] - RTS

Specified Disregard Default Payment/Agreed [Data] - Optional ([•]) – Specify:

Delivery Obligations Election:[Disregard Default Payment/Delivery Obligations Available Election] - RTS

Dispute Resolution Payment Election:Agreed [Data] - Optional ([•]) – Specify:

[Dispute Resolution Payment Available Election] - RTS

Escrow of Disputed Amount Agreed [Data] - Optional ([•]) – Specify:

Alternative Available Election:[Resolution Process Available Election] - RTS –Precondition: Escrow of Disputed Amount