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JPMorgan Chase & Co (0Q1F)

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Tuesday 28 June, 2011

JPMorgan Chase & Co

Notice re XS0252823538

RNS Number : 2818J
JPMorgan Chase & Co
28 June 2011
 



 

THIS NOTICE IS IMPORTANT AND REQUIRES YOUR IMMEDIATE ATTENTION

 

 

JPMorgan Chase & Co.

as Issuer

 

Issue of EUR 5,000,000 Callable Notes due 12 May 2021 and Credit Linked until 12 May 2016 under the U.S.$20,000,000,000 Euro Medium Term Note Programme

(the "Securities")

 

(ISIN: XS0252823538)

 

We refer to the Prospectus dated 12 May 2006 in respect of the Securities issued by The Bear Stearns Companies LLC (formerly The Bear Stearns Companies Inc.) ("TBSC") pursuant to its EUR 20,000,000,000 Euro Medium Term Note Programme. On February 27, 2009, JPMorgan Chase & Co. was substituted for, and assumed the obligations of, TBSC as issuer of the Securities

 

NOTICE IS HEREBY GIVEN that on 23 June 2011, the Prospectus was amended as follows:

 

1.          A new section entitled 'Important Notices' has been inserted at the start of the Prospectus as set out in Schedule 1 hereto;

 

2.          The section of the Prospectus entitled 'Incorporation by Reference' has been replaced in its entirety by the section entitled 'Documents incorporated by Reference' as set out in Schedule 2 hereto;

 

3.          The section of the Prospectus entitled 'Risk Factors' has been replaced in its entirety by the sections entitled 'Risk Factors' and 'Risk Factors specific to the Securities' as set out in Schedule 3 and 4 hereto;

 

4.          A new section entitled 'Conflicts of Interest' has been inserted into the Prospectus as set out in Schedule 5 hereto;

 

5.          The section of the Prospectus entitled  'Part A - Contractual Terms' and ' Terms of the Notes' have been replaced in their entirety by the section entitled 'Part A-Contractual Terms' as set in Schedule 6 hereto;

 

6.          The section of the Prospectus entitled 'Part B - Other Information' has been replaced in its entirety by the section entitled 'Part B - Other Information' as set out in Schedule 7 hereto;

 

7.          A new section entitled 'Part C - Other Applicable Terms' has been inserted into the Prospectus as set out in Schedule 8 hereto;

 

8.          The sections of the Prospectus entitled 'Schedule 1' and 'Schedule 2' have been replaced in their entirety by the sections entitled 'Annex A', 'Annex B', 'Annex C' and 'Annex D' as set out in Schedules 9, 10, 11 and 12 hereto; and

 

9.          A new section entitled 'General Information' has been inserted into the Prospectus as set out in Schedule 13 hereto.         

 

 

Dated: 28 June 2011


 

Contact:

Anthony Horan

Corporate Secretary

JPMorgan Chase & Co.

 

Telephone number : +001 212 270 6000

Fax number : +001 212 270 4240

Email : [email protected]


 

 

SCHEDULE 1

important notices

JPMorgan Chase & Co. (the "Responsible Person") accepts responsibility for the information given in this Prospectus as at the Restructuring Effective Date and confirms that, having taken all reasonable care to ensure that such is the case, the information contained in this Prospectus is, to the best of its knowledge, in accordance with the facts as at the Restructuring Effective Date and does not omit anything likely to affect its import. In respect of any information relating to the Securities prior to the Restructuring Effective Date, investors should refer to the Original Prospectus. The Issuer is not responsible for the Original Prospectus or any information contained therein.

Notwithstanding the above paragraph or anything else in this Prospectus, the Issuer will not accept responsibility for the information given in this Prospectus or the Contractual Terms in relation to offers of Securities made by an offeror not authorised by the Issuer to make such offers. Generally, each person named as "Dealer" or "Manager" and any party named as a "Distributor" (if any) or other "placer" (if any) in the Contractual Terms will be so authorised, but any other party generally will not. Investors should therefore enquire whether the relevant offeror is so authorised by the Issuer and, if it is not, the investor should be aware that the Issuer will not be responsible for this Prospectus or the Contractual Terms for the purposes of the relevant securities laws. Further, whether or not the relevant offeror has been so authorised, no person is authorised to give any information or to make any representation not contained in, or not consistent with, this Prospectus and, if given or made, such information or representation must not be relied upon as having been authorised by the Issuer. If an investor is in any doubt about whether it can rely on this Prospectus and the Contractual Terms and/or who is responsible for the contents thereof it should take legal advice.

An investment in Securities is subject to a very high degree of complex risks which may arise without warning. Securities may at times be volatile and losses may occur quickly and in unanticipated magnitude. Securities are extremely speculative and investors bear the risk that they could lose all of their investment. No person should acquire the Securities unless that person understands the nature of the relevant transaction and the extent of that person's exposure to potential loss and any investment in the Securities is consistent with such person's overall investment strategy. Each investor in the Securities should consider carefully whether the Securities it considers acquiring are suitable for it in the light of such investor's investment objectives, financial capabilities and expertise. Investors in the Securities should consult their own business, financial, investment, legal, accounting, regulatory, tax and other professional advisers to assist them in determining the suitability of the Securities for them as an investment. See the section entitled "Risk Factors".

No person has been authorised to give any information or to make any representation other than as contained in this Prospectus in connection with the Securities and, if given or made, such information or representation must not be relied upon as having been authorised by the Issuer or J.P. Morgan Securities Ltd. Neither the delivery of this Prospectus nor any sale made in connection herewith shall, under any circumstances, create any implication that there has been no change in the affairs of the Issuer since the date hereof or the date upon which this Prospectus has been most recently supplemented or that there has been no adverse change in the financial position of the Issuer, since the date hereof or the date upon which this Prospectus has been most recently supplemented or that any other information supplied in connection with the Programme is correct as of any time subsequent to the date on which it is supplied or, if different, the date indicated in the document containing the same.

The distribution of this Prospectus and the offering or sale of the Securities in certain jurisdictions may be restricted by law. Persons into whose possession this Prospectus comes are required by the Issuer and the Dealer to inform themselves about and to observe any such restriction. The publication of this Prospectus is not intended as an offer or solicitation for the purchase or sale of any financial instrument in any jurisdiction where such offer or solicitation would violate the laws of such jurisdiction.

This Prospectus has been produced solely to provide the information set out herein to existing investors in connection with the Restructuring and for no other purpose. Any person making or intending to make an offer in any Member State of the European Economic Area which has implemented Directive 2003/71/EC (such Directive, the "Prospectus Directive" and such Member State a "Relevant Member State") of Securities may only do so (i) in circumstances in which no obligation arises for the Issuer or the Dealer to publish a prospectus pursuant to Article 3 of the Prospectus Directive or supplement a prospectus pursuant to Article 16 of the Prospectus Directive, in each case, in relation to such offer, or (ii) if a prospectus for such offer has been approved by the competent authority in that Relevant Member State or, where appropriate, approved in another Relevant Member State and notified to the competent authority in that Relevant Member State and (in either case) published, all in accordance with the Prospectus Directive. Neither the Issuer nor the Dealer has authorised, nor do they authorise, the making of any offer of Securities in circumstances in which an obligation arises for the Issuer or the Dealer to publish or supplement a prospectus for such offer. See also "Subscription and Sale" in the Base Prospectus (defined below) incorporated by reference into this Prospectus.

 

The Dealer has not separately verified the information contained in this Prospectus. The Dealer does not make any representation, express or implied, or accept any responsibility, with respect to the accuracy or completeness of any of the information in this Prospectus. This Prospectus is not intended to provide the basis of any credit or other evaluation and should not be considered as a recommendation by the Issuer or the Dealer that any recipient of this Prospectus should invest in the Securities. Each investor in the Securities should determine for himself or herself the relevance of the information contained in this Prospectus and any investment in the Securities should be based upon such investigation as such investor deems necessary. The Dealer expressly does not undertake to review the financial condition or affairs of the Issuer during the life of the arrangements contemplated by this Prospectus nor to advise any purchaser or investor in the Securities of any information coming to the attention of the Dealer.

In particular, none of JPMorgan Chase & Co. or any of its consolidated subsidiaries (each a "J.P. Morgan affiliate") accepts responsibility in respect of the accuracy or completeness of the information set forth in the Contractual Terms concerning the Reference Entity or the Reference Asset or makes any representation that there has not occurred any event which would affect the accuracy or completeness of such information. Investors in the Securities are advised to consult their own legal, tax, accountancy and other professional advisers to assist them in determining the suitability of Securities for them as an investment. Each investor in the Securities should be fully aware of and understand the complexity and risks inherent in Securities before it makes its investment decision in accordance with the objectives of its business.

Neither the U.S. Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of the Securities or determined that this Prospectus is accurate or complete. Any representation to the contrary is a criminal offence.

The Jersey Financial Services Commission (the "Commission") has given, and has not withdrawn, its consent under Article 8 of the Control of Borrowing Order to the circulation in Jersey of an offer for subscription, sale or exchange of Securities by the Issuer. The Commission is protected by the Control of Borrowing (Jersey) Law 1947, as amended, against liability arising from the discharge of its functions under that law.

It must be distinctly understood that, in giving these consents, the Commission does not take any responsibility for the financial soundness of the Issuer or for the correctness of any statements made, or opinions expressed, with regard to them.

Capitalised terms used herein shall be as defined in "Contractual Terms" unless otherwise specified.

In this Prospectus, unless otherwise specified or the context otherwise requires, references to:

(i)         "U.S.$ ", "USD", "$" and "U.S. Dollars" are to United States dollars;

(ii)       "JPMorgan Chase" are to JPMorgan Chase & Co. and its consolidated subsidiaries; and

(iii)      "JPMorgan Chase Bank" are to JPMorgan Chase Bank, N.A. and its consolidated subsidiaries.


 

SCHEDULE 2

Documents Incorporated by Reference

This document should be read and construed in conjunction with the documents incorporated by reference into this Prospectus and each supplement to this Prospectus. The information contained in the following document(s) is hereby incorporated by reference into this Prospectus and deemed to form a part of this Prospectus:

(i)         the base prospectus dated 13 May 2011 relating to issues of non-equity securities under the Programme by J.P. Morgan Structured Products B.V., J.P. Morgan Bank Dublin plc, J.P. Morgan Indies SRL, JPMorgan Chase Bank, N.A. and JPMorgan Chase & Co. (the "Original Base Prospectus"); and

(ii)        the supplement to the Original Base Prospectus dated 14 June 2011 in respect of (i) the unaudited Consolidated Financial Statements of JPMorgan Chase Bank, N.A. for the quarter ended 31 March 2011, (ii) the addition of Polish clearing, settlement and listing capabilities, (iii) certain amendments to the Hong Kong, Indian, Israeli and Polish selling restrictions, (iv) certain amendments to the description of JPMorgan Chase & Co. and JPMorgan Chase Bank, N.A. and (v) the addition of a Polish taxation disclosure (the "14 June 2011 Supplement"),

 (and the Original Base Prospectus as so supplemented, the "Base Prospectus").

The table below sets out the relevant page references for the information incorporated into this Prospectus by reference. Any information not listed below but included in the documents incorporated by reference is given for information purposes only.

Information incorporated by reference

Page reference

 

 

From the Original Base Prospectus

 

 

 

Cautionary Note regarding Forward Looking Statements

Pages 6 to 7

Risk Factor 6, "Risk Factors that may affect the relevant Issuer's and Guarantor's (if any) ability to fulfil their respective obligations under the Securities"

Pages 23 to 57

Documents Incorporated by Reference

Pages 59 to 67

General Description of the Programme

Pages 68 to 74

Commonly Asked Questions

Pages 75 to 88

General Conditions

Pages 95 to 189

Use of Proceeds

Page 334

Form of JPMorgan Chase Bank, N.A. Guarantee

Pages 324 to 326

JPMorgan Chase & Co.

Pages 343 to 366

JPMorgan Chase Bank, N.A.

Pages 367 to 371

J.P. Morgan Structured Products B.V.

Pages 372 to 375

Book-Entry Clearing Systems

Pages 381 to 383

Subscription and Sale

Pages 384 to 409

Certain ERISA Considerations

Pages 430 to 434

Taxation

Pages 435 to 504

General Information

Pages 505 to 508

Guide to symbols which may appear on Final Terms

Pages 509 to 511

Index of Defined Terms

Pages 512 to 537

 

 

From the 14 June 2011 Supplement

 

 

 

Incorporation by reference

Page 4

Amendments to the Form of Final Terms for Securities other than German Securities

Page 4

Amendments to the section entitled "JPMorgan Chase & Co."

Page 5

Amendments to the section entitled "JPMorgan Chase Bank, N.A."

Page 5

Amendments to the section entitled "Book-Entry Clearing Systems"

Page 6

Amendments to the section entitled "Subscription and Sale"

Page 7

Amendments to the section entitled "Taxation"

Page 8

Investors who have not previously reviewed the information contained in the above documents should do so in connection with their evaluation of the Securities. Any statement contained in a document, all or the relevant portion of which is incorporated by reference into this Prospectus, shall be deemed to be modified or superseded for the purpose of this Prospectus to the extent that a statement contained in this Prospectus or in any supplement to this Prospectus filed under Article 16 of the Prospectus Directive, including any documents incorporated therein by reference, modifies or supersedes such earlier statement (whether expressly, by implication or otherwise).

JPMorgan Chase & Co.'s filings with the SEC are available to the public on the website maintained by the SEC at http://www.sec.gov. Such filings can also be inspected and printed or copied, for a fee, at the SEC's Office of Public Reference, 100 F Street N.E., Washington, D.C. 20549, U.S.A., or by contacting that office by phone: +001 202 942 8090, fax: +001 202 628 9001 or e-mail: [email protected] Investors may call the SEC at +001 800 732 0330 for further information on the public reference rooms. JPMorgan Chase & Co.'s SEC filings can also be viewed on JPMorgan Chase & Co.'s investor relations website at http://investor.shareholder.com/jpmorganchase. Unless specifically incorporated by reference into this Prospectus, JPMorgan Chase & Co.'s filings with the SEC shall not be deemed to be part of this Prospectus.

JPMorgan Chase Bank, N.A. also files Consolidated Reports of Condition and Income ("Call Reports") with its primary federal regulator, the U.S. Office of the Comptroller of the Currency ("OCC"). These Call Reports are publicly available upon written request to the FDIC at 550 17th Street, N.W., Washington D.C. 20429, Attention: Disclosure Group, Room F-518. The FDIC has a website where the Call Reports can be viewed, at http://www.fdic.gov. The Call Reports are prepared in accordance with regulatory instructions issued by the U.S. Federal Financial Institutions Examinations Council and not U.S. generally accepted accounting principles. The Call Reports are supervisory and regulatory documents; they are not primarily accounting documents, do not conform with U.S. generally accepted accounting principles and do not provide a complete range of financial disclosure about JPMorgan Chase Bank, N.A. Nevertheless, the Call Reports do provide important information concerning the financial condition of JPMorgan Chase Bank, N.A. The Call Reports are not incorporated by reference in, and shall not be deemed to be part of, this Prospectus.


SCHEDULE 3

Risk Factors

Capitalised terms used in this section and not defined herein shall have the respective meaning ascribed to each in the Contractual Terms of this Prospectus, or, if not defined in the Contractual Terms, the meaning ascribed to each in the Base Prospectus.

The risk factors set out below apply in respect of the Securities as at the Restructuring Effective Date. Investors should refer to the Original Prospectus and, in particular, the section headed "Risk Factors" therein in respect of the risk factors applicable to the Securities as at the Issue Date.

Investing in these Securities involves substantial risks

Investors should ensure that they understand the nature of the risks posed by, and the extent of their exposure under, the Securities. Investors should make all pertinent inquiries they deem necessary without relying on the Issuer or the Dealer. Investors should consider the suitability of the Securities as an investment in light of their own circumstances, investment objectives, tax position and financial condition. Investors should consider carefully all the information set forth in this Prospectus along with all the information incorporated by reference into this Prospectus, including, for the avoidance of doubt, the risk factors that may affect the relevant Issuer's ability to fulfil its obligations under the Securities, as specified in the table set out in the "Documents Incorporated by Reference" section.

1.          "Fundamental risks" of the potential loss of investment and potential lack of suitability in relation to a purchase of Securities

1.1        Investors in Securities may receive back less than the original invested amount

Investors in Securities may lose up to the entire value of their invested amount in the Securities as a result of the occurrence of any one or more of the following events:

(a)        the Issuer of the Securities is subject to insolvency proceedings or some other event impairing their ability to meet their obligations under the Securities;

(b)        the terms of the Securities do not provide for full repayment of the initial purchase price upon mandatory early redemption of such Securities;

(c)        the investor seeks to sell the Securities prior to their scheduled maturity, and the sale price of the Securities in the secondary market is less than the purchaser's initial invested amount; and

(d)        the Securities are subject to certain adjustments in accordance with the terms and conditions of such Securities that may result in the scheduled amount to be paid being reduced to or being valued at an amount less than a purchaser's initial invested amount.

The obligations of the Issuer of the Securities are not secured. Notwithstanding that the Securities may be linked to the performance of the Benchmark Obligations and/or other obligations of the Reference Entity (a "Reference Asset") and/or the creditworthiness of the Reference Entity, investors in the Securities do not have and shall not receive any rights in respect of the Reference Asset and/or any Reference Asset and shall have no right to call for the Reference Asset to be delivered to them. The Issuer of the Securities shall not be required to hold any Reference Asset.

1.2        The Securities may not be a suitable investment for all investors

Each investor in the Securities must determine the suitability of such investment in light of the investor's own circumstances. In particular, each investor should:

(a)        have sufficient knowledge and experience (if necessary, in consultation with the investor's own legal, tax, accountancy, regulatory, investment or other professional advisers) to evaluate the Securities, the merits and risks of investing in the Securities, all information contained or incorporated by reference into this Prospectus;

(b)        have access to, and knowledge of, appropriate analytical tools to evaluate, in the context of the investor's particular financial situation, an investment in the Securities and the impact the Securities will have on the investor's overall investment portfolio;

(c)        have sufficient financial resources and liquidity to bear all of the risks of an investment in the Securities, including where the settlement currency is different from the currency in which such investor's principal financial activities are principally denominated;

(d)        understand thoroughly (if necessary, in consultation with the investor's own legal, tax, accountancy, regulatory, investment or other professional advisers) the terms of the Securities and be familiar with any relevant financial markets;

(e)        understand thoroughly (if necessary, in consultation with the investor's own legal, tax, accountancy, regulatory, investment or other professional advisers) the nature of the Reference Entity and the Reference Asset and how the creditworthiness or performance thereof may affect the pay-out and value of the Securities; and

(f)         be able to evaluate (either alone or with the help of a financial adviser and/or other professional adviser) possible scenarios for economic, interest rate and other factors that may affect the investment and the investor's ability to bear the applicable risks.

The Securities are complex financial instruments and may include embedded derivatives. An investor should not invest in Securities unless it has the expertise (either alone or with a financial adviser) to evaluate how such Securities will perform under changing conditions, the resulting effects on the value of those Securities and the impact that such Securities will have on the investor's overall investment portfolio.

None of the Issuer, Dealer or any J.P. Morgan affiliate has given, and none of them will give, to any investor in the Securities (either directly or indirectly) any assurance or guarantee as to the merits, performance or suitability of such Securities to any investor, and the investor should be aware that the Issuer is acting as an arm's-length contractual counterparty and not as an advisor or fiduciary.

2.          Risk factors that are generic to Securities to be issued under the Programme

2.1        The Issue Price of the Securities may be more than the market value of such Securities as at the Issue Date and the price of the Securities in secondary market transactions

The Issue Price in respect of the Securities may be more than the market value of the Securities as at the Issue Date, and more than the price, if any, at which the Dealer or any other person is willing to purchase such Securities in secondary market transactions. In particular, the Issue Price in respect of the Securities may take into account amounts with respect to commissions relating to the issue and sale of such Securities and amounts relating to the hedging of the Issuer's obligations under such Securities.

2.2        The market value and the amount payable on redemption of the Securities may be adversely affected by a number of factors, and the price at which a Holder of such Securities may be able to sell such Securities prior to maturity may be at a substantial discount to the market value of such Securities on the Issue Date, and a Holder may suffer a loss of some or up to all of the entire invested amount of the Securities on redemption

(a)        The market value of the Securities at any time and/or the amount payable on redemption of the Securities is dependent on the performance of the underlying Reference Asset and/or creditworthiness of the Reference Entity

The Securities will represent an investment linked to the economic performance of the Reference Asset and/or the creditworthiness of the Reference Entity and investors should note that any return on their investment in such Securities will depend upon the performance of the Reference Asset and/or the creditworthiness of the Reference Entity. Investors should not purchase any Securities if they do not fully understand how the performance of the Reference Asset and/or the creditworthiness of the Reference Entity may affect the pay-out and value of the Securities, including (a) the potential to lose some or almost all of their investment, (b) any limit on potential profits and (c) the effects of any leverage.

As the amounts payable in respect of Securities are linked to the performance of the Reference Asset and/or the creditworthiness of the Reference Entity, an investor in such a Security must generally make correct predictions as to the direction, timing and magnitude of an anticipated change in the value of the Reference Asset and/or the creditworthiness of the Reference Entity or other basis which may be specified in this document. However, it is impossible to make such predictions with any degree of certainty, and investors in the Securities must be aware that the historical performance of the Reference Asset and/or the historical creditworthiness of the Reference Entity should not be taken as an indication of future performance of such Reference Asset and/or the historical creditworthiness of the Reference Entity during the term of such Security.

In contrast to a direct investment in any Reference Asset, Securities represent the right to receive payment of amounts which will be determined by reference to the performance of the Reference Asset and/or the creditworthiness of the Reference Entity. Investors should also note that whilst the market value of such Securities linked to such Reference Asset and/or Reference Entity will be influenced (positively or negatively) by such Reference Asset and/or Reference Entity, any change may not be comparable or directly proportionate to the change in value of such Reference Asset and/or creditworthiness of the Reference Entity.

INVESTORS MUST REVIEW THIS PROSPECTUS TO ASCERTAIN HOW THE PERFORMANCE OF THE REFERENCE ASSET WILL AFFECT THE AMOUNT PAYABLE ON THE SECURITIES.

(b)        The market value of the Securities is expected to be affected, in part, by the credit rating of JPMorgan Chase Bank, N.A. or JPMorgan Chase & Co.

The value of the Securities is expected to be affected, in part, by investors' general appraisal of the creditworthiness of JPMorgan Chase Bank, N.A. or JPMorgan Chase & Co. Such perceptions may be influenced by the ratings accorded to outstanding securities of JPMorgan Chase Bank, N.A. or JPMorgan Chase & Co. by well-recognised rating agencies, such as Moody's Investors Service Inc. and Standard & Poor's, a division of The McGraw-Hill Companies, Inc. A reduction in the rating, if any, accorded to outstanding securities of JPMorgan Chase Bank, N.A. or JPMorgan Chase & Co., by one of these rating agencies could result in a reduction in the trading value of the Securities.

(c)        The credit rating of JPMorgan Chase Bank, N.A. and JPMorgan Chase & Co. may move independently of each other

JPMorgan Chase & Co. is the holding company of JPMorgan Chase. As such, JPMorgan Chase & Co. and its subsidiaries (other than JPMorgan Chase Bank, N.A.) are generally permitted to undertake a wider range of activities than JPMorgan Chase Bank, N.A. and its subsidiaries. As a result, while the credit rating of JPMorgan Chase & Co. and JPMorgan Chase Bank, N.A. are closely related, those credit ratings are usually different and, in the event of any change in those credit ratings, those ratings may move independently of each other. JPMorgan Chase Bank, N.A. is likely to be rated more highly than JPMorgan Chase & Co. but investors should check the relevant rating at the time of considering any purchase of Securities.

(d)        The market value of the Securities at any time is dependent on other matters in addition to the credit risk of the Issuer and the performance of the Reference Asset and/or creditworthiness of the Reference Entity

The market value of the Securities at any time will be affected by a number of factors independent of the creditworthiness of the Issuer and the performance of the Reference Asset and/or the creditworthiness of the Reference Entity, including:

(i)         market interest and yield rates;

(ii)        the time remaining to the Redemption Date; and

(iii)       numerous other economic, political and other factors.

The amount payable in respect of Securities at any time prior to redemption is typically expected to be less than the trading price of such Securities at that time. The difference between the trading price and such amount will reflect, among other things, a "time value" for the Securities. The "time value" of the Securities will depend partly upon the length of the period remaining to final redemption and expectations concerning the value of the Reference Asset and/or the creditworthiness of the Reference Entity.

Before selling Securities, Holders should carefully consider, among other things, (a) the trading price of the Securities, (b) the value and volatility of the Reference Asset and/or the creditworthiness of the Reference Entity, (c) the time remaining to expiration, (d) the probable range of amounts payable on the Securities, (e) any changes in interim interest rates, (f) any changes in currency exchange rates, (g) the depth of the market or liquidity of the Reference Asset and (h) any related transaction costs.

(e)        The market value of Securities may be highly volatile

Holders of the Securities are exposed to the performance of the Reference Asset and/or the creditworthiness of the Reference Entity. The price, performance or investment return of the Reference Asset and/or the creditworthiness of the Reference Entity may be subject to sudden and large unpredictable changes over time and this degree of change is known as "volatility". The volatility of the Reference Asset and/or the Reference Entity may be affected by national and international financial, political, military or economic events, including governmental actions, or by the activities of participants in the relevant markets. Any of these events or activities could adversely affect the value of the Securities.

2.3        An active trading market for the Securities is not likely to develop

Unless otherwise communicated by the Issuer or any J.P. Morgan affiliate to the investor in the Securities, or to the extent that the rules of any stock exchange on which the Securities are listed and admitted to trading require the Issuer or any J.P. Morgan affiliate to provide liquidity in respect of such Securities, the Securities may have no liquidity or the market for such Securities may be limited and this may adversely impact their value or the ability of the investor in Securities to dispose of them. Subject to the rules of any relevant stock exchange, the Issuer may seek in its reasonable commercial discretion the delisting of any Securities without notice to the Holders of such Securities.

A secondary market is unlikely to develop and, even if a secondary market does develop, it is not possible to predict the price at which Securities will trade in such secondary market. Neither the Issuer nor any J.P. Morgan affiliate is under any obligation, and none of the Issuer or any J.P. Morgan affiliate makes any commitment, to make a market in or to repurchase the Securities. If the Issuer or any J.P. Morgan affiliate does make a market for the Securities, it may cease to do so at any time without notice.

2.4        There may be price discrepancies with respect to the Securities as between various dealers or other purchasers in the secondary market

If at any time a third party dealer quotes a price to purchase Securities or otherwise values Securities, that price may be significantly different (higher or lower) from any price quoted by any J.P. Morgan affiliate. Furthermore, if any Holder sells their Securities, the Holder will likely be charged a commission for secondary market transactions, or the price may reflect a dealer discount.

2.5        The Securities may be redeemed prior to their scheduled final maturity

In certain circumstances, the Early Payment Amount payable on the redemption of a Security prior to its scheduled maturity may be less than its original purchase price and could be as low as zero.

Following early redemption of Securities, the Holders of such Securities may not be able to reinvest the redemption proceeds at an effective interest rate as high as the interest rate or yield on the Securities being redeemed and may only be able to do so at a significantly lower rate. Investors in Securities should consider such reinvestment risk in light of other investments available at that time.

Securities may be redeemed prior to maturity for any of the following reasons:

(a)        the Issuer determines that its performance under any Security has become unlawful in whole or in part for any reason (see General Condition 17.1);

(b)        in certain circumstances where the relevant Issuer determines that it will become subject to withholding tax on payments made to it as a result of holders failing to provide information required by new U.S. tax legislation or that there is a substantial likelihood that it will otherwise violate any agreement it may reach with the U.S. taxing authority with respect to the Foreign Account Tax Compliance Provisions (see General Condition 17.2 (Tax Termination Event);

(c)        the occurrence of certain taxation events (see General Conditions 5.7 (Redemption for Taxation Reasons) and 12 (Early Termination of Warrants and Certificates for TaxationReasons ))); or

(d)        following an Event of Default (see General Condition 16).

With regard to early redemption due to any of the above events, including due to illegality or tax, the Early Payment Amount in respect of each Security shall (unless otherwise specified in this Prospectus) be an amount determined by the Calculation Agent as representing the fair market value of such Securities immediately prior (and ignoring the circumstances leading) to such early redemption, less all costs incurred by the Issuer or any affiliate in connection with such early redemption, including any costs to the Issuer associated with unwinding any funding relating to the Securities, any costs associated with unwinding any underlying related hedging arrangements, and all other expenses related thereto. An investor in Securities should be aware that this Early Payment Amount may be less than the investor's initial investment, and in such case see Risk Factor 1.1 (Investors in Securities may receive back less than the original invested amount).

2.6        JPMorgan Chase is subject to various potential conflicts of interest in respect of the Securities, which could have an adverse effect on the Securities

See "Conflicts of Interest" below.

2.7        Any consequential postponement of, or any alternative provisions for, valuation following a Market Disruption Event may have an adverse effect on the value of the Securities

If on any date, the Calculation Agent determines that a Market Disruption Event has occurred or exists on such date, any consequential postponement of, or any alternative provisions for, valuation provided in such Security may have an adverse effect on its value.

2.8        It may not be possible to use the Securities as a perfect hedge against the market risk associated with investing in a Reference Asset and/or the Reference Entity

Investors intending to invest in Securities to hedge against the market risk associated with investing in a Reference Asset and/or the Reference Entity should recognise the complexities of utilising Securities in this manner. For example, the value of the Securities may not exactly match the value of any Reference Asset. Due to fluctuating supply and demand for the Securities, there is no assurance that their value will match movements in the value of the Reference Asset. For these reasons, among others, it may not be possible to purchase or liquidate Securities in a portfolio at the prices used to calculate the value of a Reference Asset or the value of an investment in a Reference Entity.

2.9        There may be regulatory consequences to the Holder of holding Securities linked to a Reference Asset or the Reference Entity

There may be regulatory and other consequences associated with the ownership by certain investors in certain Securities linked to a Reference Asset or the Reference Entity. Each investor in Securities must conduct its own investigation into its regulatory position with respect to the potential purchase of Securities, and none of the Issuer or the Dealer assumes any obligation or liability whatsoever to such investor in such regard.

2.10      Securities may be amended without the consent of the Holders or with the consent of only some of the Holders binding all of the Holders of Securities

The terms and conditions of the Securities may be amended by the Issuer without the consent of the Holders if the amendment will not materially and adversely affect the interests of the Holders of the Securities or if the terms of the Securities contain an error or omission such that they do not represent the intended terms of the Securities on the basis of which the Securities were sold and have since traded.

2.11      The Issuer of Securities may be substituted without the consent of the Holders

The Issuer of Securities may be substituted as obligor under such Securities in favour of any company from JPMorgan Chase & Co. and its consolidated subsidiaries. Whilst the new issuer will provide an indemnity in favour of the Holders of such Securities in relation to any additional tax or duties that become payable solely as a result of such substitution, Holders of the Securities will not have the right to object to such substitution. A notice of any substitution in accordance with General Condition 27 (Substitution) will be published in accordance with General Condition 26 (Notices).

3.          Risk factors that are generic to Securities that are linked to a Reference Asset

3.1        No rights of ownership in the Reference Asset

Investors in Securities should be aware that the Reference Asset will not be held by the Issuer for the benefit of the investors of such Securities, and as such, investors will not obtain any rights of ownership, including, without limitation, any voting rights, any rights to receive dividends or other distributions or any other rights with respect to the Reference Asset referenced by such Securities. For the avoidance of doubt, no J.P. Morgan affiliate is under any obligation whatsoever to acquire and hold the Reference Asset.

3.2        The Performance of the Securities is linked to the performance of the Reference Asset

As the Securities reference the Reference Asset, the investors in the Securities are exposed to the performance of the Reference Asset.

3.3        The past performance of the Reference Asset is not indicative of future performance

Any information about the past performance of the Reference Asset at the time of the issuance of the Security should not be regarded as indicative of the range of, or trends in, fluctuations in the Reference Asset that may occur in the future.

3.4        The Calculation Agent has broad discretion to make certain determinations and adjustments, to replace the original Reference Asset with another and/or to cause early redemption of the Securities, any of which may be adverse to Holders 

The Calculation Agent may in certain circumstances adjust the terms and conditions of the Securities (without the consent of the Holders) or may procure the early redemption of such Securities prior to their scheduled settlement date where particular adjustment events specified to be applicable to such Securities occur, in each case, in accordance with such terms and conditions. In the event of such early termination the Issuer will repay such Securities at an amount determined by the Calculation Agent equal to the fair market value of the Securities immediately prior to such termination (and ignoring, in the case of a Termination Event, such illegality or impracticality), adjusted to account fully for any reasonable expenses. Investors in the Securities should be aware that it is likely that such amount will be less than the investor's initial invested amount, and in such case see risk factor 1.1 (Investors in Securities may receive back less than the original invested amount) above. Following any such early redemption of Securities, the investors in such Securities will generally not be able to reinvest the redemption proceeds at an effective interest rate as high as the expected yield on the Securities being redeemed and may only be able to do so at a significantly lower rate. Investors in Securities should consider such reinvestment risk in light of other investments available at that time.

4.          Risk factors associated with Securities that include certain features

4.1        There are specific risks related to the structure of Credit Linked Notes

             In the event of the occurrence of certain circumstances specified in the relevant Final Terms, the Issuer's obligation to pay may cease to bear interest on or prior to the date of occurrence of such circumstances.  The value and return by way of interest to an investor in respect of such Notes may be affected by such credit linkage and/or the occurrence of a Credit Event in respect of any applicable Reference Entity.

             There may exist at times only small markets for the Credit Linked Notes and for any Reference Asset to which the Notes are linked, resulting in low or non-existent volumes of trading in the Notes and any such Reference Asset, and therefore a lack of liquidity and price volatility of the Notes and such Reference Asset.

             In making any selection in accordance with the terms of the Credit Linked Notes, the Calculation Agent is under no obligation to the Holders or any other person and provided that the relevant selection meets the criteria specified, the Calculation Agent will not be liable to account to the Holders or any other person for any profit or other benefit to it or any of its affiliates which may result directly or indirectly from any such selection.

             In addition, the Issuer and its affiliates may, for their own account and for the account of customers, engage in any kind of transactions and other business directly or indirectly involving a Reference Entity and may act with respect to such business in the same manner as it would if the Notes had not been issued, regardless of whether any such action might have an adverse effect directly or indirectly on a Reference Entity.  The Issuer and its affiliates may on the Issue Date of the Credit Linked Notes or at any time thereafter be in possession of information in relation to a Reference Entity that is or may be material in the context of the issue of Credit Linked Notes and that may not be publicly available or known to the investors. There is no obligation on the part of the Issuer or its affiliates to disclose to the Holders any such relationship or information.  See the section entitled "Conflicts of Interest".

5.          Risk factors that may affect the Issuer's ability to fulfil its obligations under the Securities

Investors are advised to review the information contained in the Original Base Prospectus Risk Factor 6, "Risk Factors that may affect the Issuer's and Guarantor's ability to fulfil their respective obligations under the Securities" that has been incorporated by reference into this Prospectus, together with the information in relation to the Issuer incorporated by reference below.



SCHEDULE 4

Risk Factors SPECIFIC TO THE SECURITIES

Terms used in these Risk Factors have the meanings assigned to them in Part A, Part C, Annex A and Annex B.

Purchase of the Securities involves substantial risks

Investors should ensure that they understand the nature of the risks posed by, and the extent of their exposure under, the Securities. Investors should make all pertinent inquiries they deem necessary without relying on the Issuer, or the Dealer. Investors should consider the suitability of the Securities as an investment in light of their own circumstances, investment objectives, tax position and financial condition. Investors should consider carefully all the information set forth in these Final Terms along with all the information set forth in the Base Prospectus. Investors should pay particular attention to the sections entitled "Risk Factors" and "Conflicts of Interest" in the Base Prospectus (pages 23 to 58 inclusive).

Principal and Interest Payments - Investors' Credit Risk Exposure

If an Event Determination Date occurs, interest on the Securities will stop accruing on the Interest Payment Date immediately preceding the Event Determination Date. If a Potential Credit Event (being a Potential Failure to Pay, or a Potential Repudiation/Moratorium (in each case, if applicable) or where a Credit Event Resolution Request Date has occurred and the Credit Derivatives Determinations Committee has not made its determination) occurs, interest will be suspended and if an Event Determination Date subsequently occurs, no interest will be payable following the Interest Payment Date immediately preceding the date on which such Potential Credit Event occurs. The Securities explicitly bear the credit risk of the Reference Entity and any Successor thereto identified by the Calculation Agent or the Credit Derivatives Determinations Committee, in accordance with "Terms relating to the determination of Successors" in the Credit Annex. Investment in the Securities is suitable only for investors who can bear the risks associated with lack of liquidity in the Securities and the financial, credit, interest rate and other risks associated with an investment in the Securities. The Securities are also subject to the risk of the Issuer's insolvency or default. Investors therefore risk losing all principal and interest due in respect of the Securities. If the Issuer becomes insolvent, Holders may lose their entire investment in the Securities.

Credit Risk of the Issuer

The Securities are subject to the credit risk of the Issuer. Fluctuations in the Issuer's credit ratings and credit spreads may adversely affect the market value of the Securities. Investors are dependent on the Issuer's ability to pay all amounts due on the Securities at maturity or on any other relevant payment dates, and therefore investors are subject to the Issuer's credit risk and to changes in the market's view of the Issuer's creditworthiness. The obligations are not insured by any government agency and the investor will have no recourse against any other member of the JPMorgan Chase & Co. group.

Interest Rate Risk

If interest rates increase to a point where the interest payable in respect of the Securities is less than the prevailing market rate of a similar investment, the mark to market value and or bid price in respect of the Securities would be adversely effected.

Reinvestment Risk

An increase in the level of EUR interest rates will have an adverse impact on the mark to market value of the Securities.

Limited Liquidity

There is no liquid market for the Securities; any early redemption requested by a Holder could only happen if and when agreed by the Issuer, and may result in a higher loss or significantly smaller gain for such Holder on its initial investment in the Securities, and may also result in significant unwind costs, and wide bid offer spreads. The Securities should be considered a "hold until maturity" product. 

Investors should note that under no circumstances will a Holder be permitted to redeem the Securities such that it holds a notional amount of Securities which is less than EUR 100,000 or its equivalent in another currency. This restriction is necessary to ensure compliance with the Prospectus Directive.

As there is no liquid market for the Securities, it may be difficult to obtain reliable information about the value of the Securities or the extent of the risks to which Holders are exposed.

Currency Risk

Where the Securities are in a currency other than an investor's reference currency, changes in rates of exchange may have an adverse effect on the value of the Securities.

No Gross Up

If a deduction or withholding is made in respect of a payment under the Securities on account of any present or future tax, assessment or other governmental charge, of whatever nature, the Issuer shall not be obliged to gross up such payments.

Potential Conflicts of Interest

JPMorgan Chase & Co. or any of its subsidiaries (collectively, "J.P. Morgan") and its affiliates may carry out hedging activities related to the Securities, including trading in any Reference Asset as well as in other instruments related to the Reference Entity. J.P. Morgan and its affiliates may also trade any Reference Asset and other financial instruments related to any Reference Asset on a regular basis as part of its general businesses.

The Calculation Agent acts in its sole discretion in determining when to notify the Issuer of the occurrence of a Credit Event by delivery of a Credit Event Notice, determining whether a Potential Credit Event exists, determining whether a Succession Event has occurred, in carrying out all other calculations and determinations with respect to the Securities. The Calculation Agent will also have the ability to choose, in its sole discretion whether or not to notify the Issuer of a Credit Event, which would create an Event Determination Date and, ultimately, a suspension of payments of interest could lead to a postponement of the date of redemption. Even if a Credit Event were to occur, an early redemption of the Securities will not follow. However, notwithstanding the foregoing, in circumstances where a Credit Derivatives Determinations Committee has resolved that a Credit Event, Potential Credit Event or a Succession Event has occurred, the Calculation Agent will also determine that a Credit Event, Potential Credit Event or a Succession Event, as the case may be, has occurred for the purposes of the Securities and deliver notice thereof to the Issuer as soon as reasonably practicable thereafter in which circumstances the payment of interest will be suspended. Whilst the Calculation Agent is usually obliged to follow affirmative determinations of a Credit Derivatives Determinations Committee, if a Credit Derivatives Determinations Committee is not convened to determine, or resolves not to determine, an issue (such as the occurrence or not of a Credit Event, Potential Credit Event or Succession Event) then the Calculation Agent may make a determination (in its sole and absolute discretion) in respect of such issue.

J.P. Morgan and its affiliates may currently or from time to time engage in commercial, investment banking or other business with the Reference Entity, and/or any affiliate of the Reference Entity, or any other person or entity having obligations relating to the Reference Entity, and may act with respect to such business in the same manner as if the Securities did not exist, regardless of whether any such action might have an adverse effect on the Reference Entity or the Holders or otherwise (including, without limitation, the acceptance of deposits and the extension of loans or credit and any action that might constitute or give rise to a Credit Event). In the course of this business, J.P. Morgan and its affiliates may acquire non-public information about the Reference Entity, and in addition, one or more of J.P. Morgan's affiliates may publish research reports about it. Prospective investors should undertake such independent investigation of the Reference Entity as in their judgment is appropriate to make an informed decision with respect to an investment in the Securities.

The Issuer and J.P. Morgan and its affiliates act in their sole discretion in determining whether to accept commitments to purchase the Securities, whether to accept offers of early tender of the Securities and in determining the terms of any such early tender of the Securities.

Holders (in their capacity as holders of the Securities) will not be able to refer questions to the Credit Derivatives Determinations Committees

The Holders, in their capacity as Holders will not have the ability to refer questions to a Credit Derivatives Determinations Committee since the Securities are not a credit default swap transaction and the Securities do not incorporate and are not deemed to have incorporated, the 2009 ISDA Credit Derivatives Determinations Committees and Auction Settlement Supplement to the 2003 ISDA Credit Derivatives Definitions (published on 12 March 2009) (the "March 2009 Supplement") or the 2009 ISDA Credit Derivatives Determinations Committees, Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives Definitions (published on 14 July 2009) (the "July 2009 Supplement"). As a result, Holders will be dependent on other market participants to refer specific questions to the Credit Derivatives Determinations Committees that may be relevant to the Holders. The Calculation Agent has no duty to the Holders to refer specific questions to the Credit Derivatives Determinations Committees.

Holders will have no role in the composition of the Credit Derivatives Determinations Committees

Separate criteria apply with respect to the selection of dealer and non-dealer institutions to serve on the Credit Derivatives Determinations Committees and the Holders will have no role in establishing such criteria. In addition, the composition of the Credit Derivatives Determinations Committees will change from time to time in accordance with the rules which govern the Credit Derivatives Determinations Committees from time to time, as the term of a member institution may expire or a member institution may be required to be replaced. The Holders will have no control over the process for selecting institutions to participate in the Credit Derivatives Determinations Committees and, to the extent provided for in the Securities, will be subject to the determinations made by such selected institutions in accordance with the Rules.

Potential conflicts of interest due to the involvement of the Calculation Agent with the Credit Derivatives Determinations Committees

The Calculation Agent (or one of its affiliates) is a voting member on each of the Credit Derivatives Determinations Committees and is a party to transactions which incorporate, or are deemed to incorporate, the March 2009 Supplement or July 2009 Supplement, it may take certain actions which may influence the process and outcome of decisions of the Credit Derivatives Determinations Committees. See "Ability of the Calculation Agent or its affiliates to influence the Credit Derivatives Determinations Committees" in Annex C. Such action may be adverse to the interests of the Holders and may result in an economic benefit accruing to the Calculation Agent. In taking any action relating to the Credit Derivatives Determinations Committees or performing any duty under the Rules, the Calculation Agent shall have no obligation to consider the interests of the Holders and may ignore any conflict of interest arising due to its responsibilities under the Securities.

Holders will have no recourse against either the institutions serving on the Credit Derivatives Determinations Committees or the external reviewers

Institutions serving on the Credit Derivatives Determinations Committees and the external reviewers, among others, disclaim any duty of care or liability arising in connection with the performance of duties or the provision of advice under the Rules, except in the case of gross negligence, fraud or wilful misconduct. Furthermore, the member institutions of the Credit Derivatives Determinations Committees from time to time will not owe any duty to the Holders, and the Holders, in their capacity as Holders, will be prevented from pursuing legal claims with respect to actions taken by such member institutions under the Rules.

Holders should also be aware that member institutions of the Credit Derivatives Determinations Committees have no duty to research or verify the veracity of information on which a specific determination is based. In addition, the Credit Derivatives Determinations Committees are not obligated to follow previous determinations and, therefore, could reach a conflicting determination for a similar set of facts.

Holders shall be responsible for obtaining information relating to deliberations of the Credit Derivatives Determinations Committees

Notices of questions referred to the Credit Derivatives Determinations Committees, meetings convened to deliberate such questions and the results of binding votes of the Credit Derivatives Determinations Committees will be published on the website of ISDA and neither the Issuer, the Calculation Agent nor any of their respective affiliates shall be obliged to inform the Holders of such information (other than as expressly provided in the terms of the Securities). Failure by the Holders to be aware of information relating to determinations of a Credit Derivatives Determinations Committee will have no effect under the Securities and Holders are solely responsible for obtaining any such information.

No Holder Rights with respect to the Reference Entity

J.P. Morgan and its affiliates have no ability to control or predict the actions of the Reference Entity, including actions that could affect the value of the Securities. None of the money J.P. Morgan receives from the Holders following their purchase of the Securities will be paid to the Reference Entity, the Reference Entity will not be involved in the offering of the Securities in any way, and the Reference Entity will not have any obligation to consider the interests of Holders in taking any actions that might affect the value of the Securities. Holders will not have voting rights, rights to receive distributions or any other rights with respect to the obligations of the Reference Entity.

Suitability

A prospective investor should ensure that it understands the nature of the Securities and the extent of its exposure to risk, that it has sufficient knowledge, experience and access to professional advisers to make its own legal, tax, accounting and financial evaluation of the merits and risks of an investment in the Securities and that it considers the suitability of the Securities as an investment in the light of its own circumstances and financial condition.

A prospective investor should only consider purchasing the Securities if it believes that the Reference Entity will not experience a Credit Event during the credit observation period.

No Replacement of the Reference Entity

Following the Trade Date specified pursuant to the Restructuring, the Issuer will not be able to replace the Reference Entity to avoid Credit Events or Succession Events. Consequently, the occurrence of Event Determination Dates may result in a reduction in the value of the Securities and the suspension of interest payments. Similarly, any Succession Event that occurs with respect to the Reference Entity or its Successor on or after the Succession Event Backstop Date may change the probability of the occurrence of a Credit Event and risk of a Holder's investment in the Securities. Therefore, prospective investors should not invest in the Securities unless they are comfortable with the creditworthiness of the Reference Entity and the likelihood of the occurrence of a Credit Event and/or Succession Event.

Succession Events with respect to the Reference Entity

The occurrence of Succession Events between the Reference Entity identified as such on the Trade Date specified pursuant to the Restructuring and another company or other corporate entity may expose Holders to new credit risks. Changes in the Reference Entity may change the probability of a Credit Event and consequently may adversely affect the Securities. Prospective investors should read the Credit Annex for more information on the effect of Succession Events on the Securities.

Lack of Liquidity; Secondary Market Risks

Even if there is a secondary market, it may not provide enough liquidity to allow Holders to trade or sell the Securities easily. Because other dealers are not likely to make a secondary market for the Securities, the price at which Holders may be able to trade their Securities is likely to depend on the price, if any, at which the Agent, the Issuer or any of their respective affiliates is willing to buy the Securities.

The price at which a Holder will be able to sell its Securities to J.P. Morgan or any of its affiliates prior to maturity, if at all, may be at a substantial discount from the principal amount of the Securities, even in cases where the credit spreads on the Reference Entity have tightened since the Trade Date specified pursuant to the Restructuring. The Securities are not designed to be short-term trading instruments.

The Issue Price may take into account amounts with respect to commissions as well as amounts relating to the hedging of the Issuer's obligations under the Securities. Assuming no change in market conditions or any other relevant factors, the price, if any, at which J.P. Morgan and its affiliates will be willing to purchase Securities from a Holder, if at all, will likely be lower than the Issue Price, because the Issue Price may take into account amounts with respect to commissions as well as amounts relating to the hedging of the Issuer's obligations under the Securities, which includes an estimated profit component. In addition, any such prices may differ from values determined by pricing models used by other market participants as a result of such compensation or other transaction costs.

Limited Provision of Information about the Reference Entity

As the occurrence of an Event Determination Date may result in the cessation of the accrual of interest on the Interest Payment Date immediately preceding such Event Determination Date or, if a Potential Credit Event results in an Event Determination Date, cessation of the accrual of interest on the Interest Payment Date immediately preceding the date on which the Potential Credit Event occurs, prospective investors should conduct their own investigation and analysis with respect to the creditworthiness of the Reference Entity and the likelihood of the occurrence of a Succession Event or Credit Event.

A Credit Event may occur at any time from and including the Credit Event Backstop Date to and including the Credit Observation End Date (or the Extension Date, if a Potential Credit Event occurs). An Event Determination Date will occur when the Calculation Agent delivers notice of a Credit Event Notice to the Issuer (or, in certain circumstances, an Event Determination Date will occur upon a DC Credit Event Announcement being made with no requirement for the delivery of notice of a Credit Event Notice). The Calculation Agent will notify the Issuer of its determination that a Credit Event has occurred at any time from and including the Trade Date to and including the date that is fourteen calendar days after the Credit Observation End Date (or the Extension Date, if a Potential Credit Event occurs). The Principal Programme Agent will then give notice to the Holders through the clearing system of the occurrence of an Event Determination Date. J.P. Morgan and its affiliates will not be liable for failure by the Principal Programme Agent or the clearing system to provide notice to the Holders. J.P. Morgan and its affiliates will have no obligation to keep Holders informed as to any matters with respect to the Reference Entity or any Reference Asset, including whether or not circumstances exist that give rise to the possibility of the occurrence of a Credit Event or a Succession Event with respect to the Reference Entity.

Holders will not have the right to inspect any records of J.P. Morgan or its affiliates. Except for the information contained in these Final Terms, neither J.P. Morgan nor any of its affiliates will have any obligation to disclose any information or evidence regarding the existence or terms of any Reference Asset or otherwise regarding such Reference Entity, any guarantor or any other person.

Further Risks

J.P. Morgan and its affiliates may trade instruments related to the Reference Entity on a regular basis, for their accounts and for other accounts under their management. J.P. Morgan and its affiliates may also issue or underwrite or assist unaffiliated entities in the issuance or underwriting of other securities or financial instruments with returns linked to the Reference Entity. To the extent that J.P. Morgan and its affiliates serve as issuer, arranger or dealer for such securities or financial instruments, its or their interests with respect to such products may be adverse to those of the holders of the Securities. Any of these trading activities could potentially affect the credit of the Reference Entity and, accordingly, could affect the value of the Securities, and the amount, if any, payable to Holders at maturity.

J.P. Morgan and its affiliates may currently or from time to time engage in business with the Reference Entity. In the course of this business, J.P. Morgan and its affiliates may acquire non-public information about the Reference Entity, and such information will not be disclosed to Holders. In addition, J.P. Morgan and its affiliates may publish research reports about the Reference Entity. Any prospective purchaser of Securities should undertake such independent investigation of the Reference Entity as to whether an investment in the Securities is appropriate in its judgement.

J.P. Morgan and its affiliates may serve as issuer, arranger or dealer for additional issuances of the Securities or securities with returns linked or related to the Reference Entity. By introducing competing products into the marketplace in this manner, J.P. Morgan and its affiliates could adversely affect the value of the Securities.

 


SCHEDULE 5

CONFLICTS OF INTEREST

JPMorgan Chase is subject to various potential conflicts of interest in respect of the Securities, which could have an adverse effect on the Securities

JPMorgan Chase affiliates may take positions in or deal with the Reference Asset

The Issuer and/or other JPMorgan Chase affiliates may:

·           in the ordinary course of business, effect transactions for their own account or for the account of their customers and hold long or short positions in the Reference Asset, the Reference Entity or related derivatives;

·           in connection with an offering of Securities, on, prior to or after the Issue Date have entered into one or more hedging transactions with respect to the Reference Asset, the Reference Entity or related derivatives;

·           in connection with such hedging or market-making activities or with respect to proprietary or other trading activities, enter into transactions in the Reference Asset, in respect of the Reference Entity or related derivatives which may adversely (or positively) affect the price, liquidity or value of the Securities and which could therefore be adverse to the interests of the Holders of the Securities; and/or

·           engage in trading, brokerage and financing activities, as well as providing investment banking and financial advisory services, may at any time hold long or short positions, and may trade or otherwise effect transactions, for its own account or the accounts of its customers.

The Calculation Agent of the Securities, which is a JPMorgan Chase affiliate, has broad discretionary powers which may not take into account the interests of the Holders

As the Calculation Agent is a JPMorgan Chase affiliate, potential conflicts of interest may exist between the Calculation Agent and the Holders of the Securities, including with respect to the exercise of the very broad discretionary powers of the Calculation Agent. For example, the Calculation Agent has the authority (i) to determine whether certain specified events and/or matters so specified in the conditions relating to a series of Securities have occurred and (ii) to determine any resulting adjustments and calculations or substitutions as described in such conditions. Investors should be aware that any determination made by the Calculation Agent may have an impact on the value and financial return of the Securities. Any such discretion exercised by, or any calculation made by, the Calculation Agent (in the absence of manifest or proven error) shall be binding on the Issuer and all Holders of the Securities.

JPMorgan Chase affiliates may have confidential information relating to the Reference Asset and/or the Reference Entity and the Securities

Certain JPMorgan Chase affiliates may from time to time, by virtue of their status as underwriter, advisor or otherwise, possess or have access to information relating to the Securities, the Reference Asset, the Reference Entity and any derivative securities referencing them. Such J.P.Morgan affiliates will not be obliged to disclose any such information to an investor in the Securities.

A JPMorgan Chase affiliate may act as a hedge counterparty to the Issuer's obligations under the Securities

Certain JPMorgan Chase affiliates may be the counterparty to the hedge of the relevant Issuer's obligations under an issue of Securities.  Accordingly, certain conflicts of interest may arise both among such affiliates and between the interests of such affiliates and the interests of purchasers of Securities.

 


SCHEDULE 6

PART A - CONTRACTUAL TERMS

With effect from 23 June 2011 (the "Restructuring Effective Date"), the Conditions of the Securities shall comprise the General Conditions (as completed and/or amended by the terms of the relevant Specific Product Provisions as specified to be applicable by these Contractual Terms) incorporated by reference herein (see "Documents Incorporated by Reference" above), as completed and/or amended by these Contractual Terms.

With effect from the Restructuring Effective Date, these Contractual Terms replace in their entirety, the Terms of the Securities set out in the prospectus dated 12 May 2006 in respect of the Securities issued by The Bear Stearns Companies LLC (formerly The Bear Stearns Companies Inc.), as substituted with JPMorgan Chase & Co., pursuant to its EUR 20,000,000,000 Euro Medium Term Note Programme (the "Original Programme").

1.

Issuer:

JPMorgan Chase & Co.

2.

(i)         Series Number:

2006-1437

For the avoidance of doubt, prior to the Restructuring Effective Date, under the Original Programme, the Series Number of the Securities was 1437

 

(ii)        Tranche Number:

1

3.

Specified Currency or Currencies:

Euro ("EUR")

4.

Notes, Warrants or Certificates:

Notes

5.

Aggregate Nominal Amount

 

 

(i)         Series:

EUR 5,000,000

 

(ii)        Tranche:

EUR 5,000,000

6.

Issue Price:

99.99 per cent. of the Aggregate Nominal Amount

 

 

The Issue Price specified above may be more than the market value of the Securities as at the Issue Date, and the price, if any, at which the Dealer or any other person is willing to purchase the Securities in secondary market transactions is likely to be lower than the Issue Price. In particular, the Issue Price may take into account amounts with respect to commissions relating to the issue and sale of the Securities as well as amounts relating to the hedging of the Issuer's obligations under the Securities and secondary market prices may exclude such amounts

 

 

If any commissions or fees relating to the issue and sale of the Securities have been paid or are payable by the Dealer to an intermediary, then such intermediary may be obliged to fully disclose to its clients the existence, nature and amount of any such commissions or fees (including, if applicable, by way of discount) as required in accordance with laws and regulations applicable to such intermediary, including any legislation, regulation and/or rule implementing the Markets in Financial Instruments Directive (Directive 2004/39/EC), or as otherwise may apply in any non-EEA jurisdictions

 

 

Investors in the Securities intending to invest in Securities through an intermediary (including by way of introducing broker) should request details of any such commission or fee payment from such intermediary before making any purchase hereof

 

(i)            Specified Denomination:

EUR 100,000 (prior to the Restructuring Effective Date, the Specified Denominations were EUR 50,000)

 

(ii)        Trading in Units (Notes):

Not Applicable

 

(iii)       Minimum trading size:

The Notes may be traded in a minimum amount of one Note (corresponding to an aggregate nominal amount of EUR 100,000)

7.

Issue Date:

12 May 2006

8.

Maturity Date:

"Maturity Date" means:

(i)     if the Reference Entity is not an Affected Reference Entity with respect to 12 May 2021 (the "Scheduled Maturity Date"), the Scheduled Maturity Date;

(ii)    if the Reference Entity is an Affected Reference Entity with respect to the Scheduled Maturity Date and an Event Determination Date occurs (and is not reversed by ISDA prior to the determination of the Final Price) and the Final Price has been determined, the day falling ten Payment Days following the Final Valuation Date; or

(iii)   if the Reference Entity is an Affected Reference Entity with respect to the Scheduled Maturity Date and no Event Determination Date occurs or an Event Determination Date occurs but does not result in the Final Price being determined, the day falling five Payment Days following the Determination Date in respect of the Reference Entity

If the Maturity Date falls after the Scheduled Maturity Date as a result of the application of sub-paragraphs (ii) or (iii) above, no additional amount shall be payable in respect of interest for the period from (and including) the Scheduled Maturity Date to (and including) the Maturity Date as a result thereof

PROVISIONS APPLICABLE TO NOTES

PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE

9.

Interest Commencement Date:

Issue Date

10.

Fixed Rate Note Provisions:

Applicable

 

(i)         Rate of Interest:

In respect of (i) each Interest Period, from and including the first Interest Period to, and including, the Interest Period ending on, but excluding, the Interest Payment Date falling in May 2011, 4.92 per cent. per annum and (ii) each subsequent Interest Period, 4.67 per cent. per annum, in each case, payable annually in arrear

 

(ii)        Interest Payment Date(s):

12 May in each year from and including 12 May 2007 to and including 12 May 2021, provided that if, in respect of any Interest Payment Date:

 

(i)         an Event Determination Date has occurred and the Final Price in respect of such Event Determination Date has been determined on or prior to the Cut-off Date preceding such Interest Payment Date; or

            

(ii)        the Reference Entity is an Affected Reference Entity in respect of an Interest Payment Date,

 

then no amount of interest otherwise payable on such Interest Payment Date in the absence of the occurrence of any such Event Determination Date or the Reference Entity being an Affected Reference Entity shall be due. Where the Reference Entity is an Affected Reference Entity in respect of an Interest Payment Date, in the event that a Determination Date occurs pursuant to either paragraph (i) or paragraph (ii)(b) of the definition of Determination Date, the amount of interest that would have been payable on the Interest Payment Date in the absence of the Reference Entity being an Affected Reference Entity shall be payable on the Deferred Interest Payment Date and no additional amount shall be due in respect of any such postponement. No interest shall be payable if an Applicable Event Determination Date occurs in respect of such Affected Reference Entity and a Determination Date occurs pursuant to paragraph (ii)(a) of the definition of Determination Date.

 

As at the Restructuring Effective Date, no Event Determination Date has occurred in respect of the Reference Entity and the Reference Entity is not an Affected Reference Entity

 

Where:

 

"Affected Reference Entity" means, in respect of a Specified Payment Date, that the Reference Entity was a Non-Determined Reference Entity as of the Cut-off Date relating to that Specified Payment Date or that a Deferral Notice has been given to the Issuer after the Cut-off Date relating to that Specified Payment Date but on or prior to that Specified Payment Date (in each case determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time))

 

"Applicable Event Determination Date" means, in respect of a Specified Payment Date, an Event Determination Date that occurs on or before the Latest Potential Event Determination Date with respect to the Reference Entity and for which the related Credit Event occurred on or after the Credit Event Backstop Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and on or prior to the Specified Payment Extension Date relating to that Specified Payment Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time))

 

"Deferral Notice" means, with respect to the Reference Entity, a notice to the Issuer which may only be delivered after the Cut-off Date and on or prior to the related Interest Payment Date (including the Scheduled Maturity Date) and which states that in the opinion of the Calculation Agent (a) a Credit Event has or will occur in respect of the Reference Entity, (b) if Potential Failure to Pay is applicable to the Reference Entity, a Potential Failure to Pay has or will occur in respect of the Reference Entity, (c) if Potential Repudiation/Moratorium is applicable to the Reference Entity, a Potential Repudiation/Moratorium has or will occur in respect of the Reference Entity or (d) a request has been made to ISDA after the Cut-off Date to determine whether a Credit Event, Potential Failure to Pay (if applicable) or Potential Repudiation/Moratorium (if applicable) has occurred

 

"Deferred Interest Payment Date" means the day falling five Payment Days following the Determination Date determined pursuant to paragraphs (i) or (ii)(b) of the definition of "Determination Date"

 

"Determination Date" means, in respect of a Reference Entity that was an Affected Reference Entity in respect of a Specified Payment Date:

 

(i)         where no Applicable Event Determination Date has occurred, the Latest EDD Trigger Date, provided that at any time prior to the occurrence of an Applicable Event Determination Date the Issuer may designate a day falling prior to the Latest EDD Trigger Date as the Determination Date for purposes of this sub-paragraph (i); and

 

(ii)        where an Applicable Event Determination Date has occurred, the earlier of:

 

(a)        the date (if any) on which the Final Price is determined, provided that such date is not also a date on which ISDA makes a public announcement as described in sub-paragraph (b) below; and

 

(b)        the date (if any) on which ISDA subsequently makes a public announcement that either (i) an Applicable Resolution has resolved that the Credit Event to which such Event Determination Date relates has not occurred or (ii) the Applicable Resolution determines that a Credit Event has occurred but that the date of occurrence of such event was after the Specified Payment Extension Date relating to the Relevant Specified Payment Date

 

"Non-Determined Reference Entity" means, in respect of any day, the Reference Entity is a Reference Entity in respect of which (i) an Event Determination Date has occurred and been determined on or prior to that day (and such Event Determination Date has not, in accordance with the Credit Annex, been reversed or otherwise deemed not to have occurred, on or prior to such day) and no Final Price has been determined in respect of the relevant Credit Event, (ii) an Uncured Default in respect of a Potential Event applicable to that Reference Entity exists on that day where such Potential Event has occurred on or before the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) or (iii) an Applicable Request has been made for which there has not been an Applicable Resolution and, in each case, no Determination Date has occurred in respect thereof

 

"Potential Event" means (i) a Potential Failure to Pay or (ii) a Potential Repudiation/Moratorium

 

 

 

(iii)       Fixed Coupon Amount(s):

Subject to the provisions of item (ii) above, in respect of (i) each Interest Payment Date up to, and including, the Interest Payment Date scheduled to fall in May 2011, 2,460 per EUR 50,000 in nominal amount (such nominal amount being equal to the Specified Denomination applicable in respect of such Interest Payment Dates) and (ii) each subsequent Interest Payment Date, EUR 4,670 per EUR 100,000 in nominal amount (such nominal amount being equal to the Specified Denomination applicable in respect of such Interest Payment Dates)

 

(iv)          Broken Amount(s):

Not Applicable

 

(v)           Day Count Fraction (General Condition 4.1):

30/360

 

(vi)          Interest Determination Date(s):

Not Applicable

 

(vii)         Other terms relating to the method of calculating interest for Fixed Rate Notes:

Not Applicable

11.

Floating Rate Note Provisions:

Not Applicable

12.

Zero Coupon Note Provisions:

Not Applicable

13.

Variable Linked Interest Provisions:

Not Applicable

14.

Dual Currency Note Provisions:

Not Applicable

PROVISIONS RELATING TO REDEMPTION OF NOTES

15.

Call Option:

Not Applicable 

16.

Put Option:

Not Applicable

17.

Final Redemption Amount:

Irrespective as to whether the Maturity Date has been determined pursuant to items (i), (ii) or (iii) of the definition of Maturity Date, 100 per cent. of the Specified Denomination

18.

Early Payment Amount:

 

 

(i)            Early Payment Amount(s) payable on redemption for taxation reasons (General Condition 5.7), an event of default (General Condition 16) or termination events (General Condition 17) and/or the method of calculating the same (if required or if different from that set out in the General Conditions):

As set out in General Condition 31

 

(ii)           (If Interest Payment Dates are specified in these Final Terms) redemption for taxation reasons permitted only on Interest Payment Dates (General Condition 5.7):

No

19.

Credit Linked Note Provisions:

Applicable

 

(i)            Reference Entity (or Entities):

See Part C

 

(ii)           Credit Event(s):

See Annex B

 

(iii)          Calculation Agent responsible for determining the occurrence of a Credit Event(s) and amount payable/deliverable in the event of redemption resulting from such Credit Event(s):

See Annex A

 

(iv)         Relevant provisions on the occurrence of a Credit Event(s):

See Part C and Annex A

 

(v)          Other terms or special conditions

See Part C and Annex A and Annex B which form part of the Contractual Terms and the Contractual Terms shall be construed accordingly

20.

Details relating to Instalment Notes:

Not Applicable

21.

Talons for future Coupons or Receipts to be attached to Definitive Notes (and dates on which such Talons mature):

Not Applicable

22.

Details relating to Partly Paid Notes: amount of each payment comprising the Issue Price and date on which each payment is to be made and consequences (if any) of failure to pay, including any right of the Issuer to forfeit the Notes and interest due on late payment:

Not Applicable

PROVISIONS APPLICABLE TO WARRANTS

Paragraphs 23-34 are intentionally deleted

PROVISIONS APPLICABLE TO CERTIFICATES

Paragraphs 35-42 are intentionally deleted

CERTIFICATE COUPON PROVISIONS

43.

Certificate Coupon Provisions (General Condition 8):

Not Applicable

44.

Certificate Floating Rate Coupon Provisions (General Condition 8.3):

Not Applicable

SPECIFIC PRODUCT PROVISIONS APPLICABLE TO THE SECURITIES

SHARE LINKED PROVISIONS

45.

Share Linked Provisions:

Not Applicable

INDEX LINKED PROVISIONS

46.

Index Linked Provisions:

Not Applicable

COMMODITY LINKED PROVISIONS

47.

Commodity Linked Provisions:

Not Applicable

FX LINKED PROVISIONS

48.

FX Linked Provisions:

Not Applicable

MARKET ACCESS PARTICIPATION PROVISIONS

49.

Market Access Participation Provisions:

Not Applicable

LOW EXERCISE PRICE WARRANT PROVISIONS

50.

Low Exercise Price Warrant Provisions:

Not Applicable

GENERAL PROVISIONS APPLICABLE TO THE SECURITIES

51.

New Global Note:

No

52.

Form of Securities:

Bearer Securities

 

(i)            Temporary or Permanent Bearer Global Security / Registered Global Security:

Temporary Bearer Global Security exchangeable for a Permanent Bearer Global Security (or, at the request of a Holder, for Bearer Definitive Securities) which is exchangeable for Bearer Definitive Securities (i) automatically in the limited circumstances specified in the Permanent Bearer Global Security, (ii) at any time at the option of the Issuer by giving notice to the Holders and the Relevant Programme Agent of its intention to effect such exchange or (iii) at any time at the request of a Holder, in each case on the terms as set forth in the relevant Bearer Global Security

 

(ii)           Are the Notes to be issued in the form of obligations under French law?

No

 

(iii)          Name of Registration Agent:

Not Applicable

 

(iv)          Representation of holders of Notes/ Masse:

Not Applicable

 

(v)        Applicable TEFRA exemption:

TEFRA D Rules

 

(vi)       Regulation S/Rule 144A Warrants:

Applicable

53.

Record Date:

Not Applicable

54.

Additional Financial Centre(s) (General Condition 13.2) or other special provisions relating to payment dates:

London (and, for the avoidance of doubt, TARGET2 pursuant to General Condition 13.2)

55.

Payment Disruption Event (General Condition 14):

Not Applicable

56.

Physical Delivery:

Not Applicable

57.

Calculation Agent:

J.P. Morgan Securities Ltd.

58.

Redenomination, renominalisation and reconventioning provisions:

Not Applicable

59.

Gross Up (General Condition 18):

Not Applicable

60.

Rounding:

General Condition 22 applies

61.

Other final terms or special conditions:

Not Applicable

DISTRIBUTION

62.

If non-syndicated, name and address of Dealer:

J.P. Morgan Securities Ltd. of 125 London Wall, London EC2Y 5AJ

63.

Stabilising Manager(s) (if any):

Not Applicable

64.

Total commission and concession:

Not Applicable

65.

U.S. selling restrictions:

Regulation S

 

 

TEFRA D Rules. The Securities are for U.S. tax law purposes "bearer obligations" and will be issued in compliance with the TEFRA D Rules

ERISA Restrictions for all Securities (including Rule 144A Securities and Securities subject to Regulation S)

The Securities may not be acquired except subject to certain restrictions by, on behalf of, or with the assets of any plans subject to ERISA or Section 4975 of the U.S. Internal Revenue Code, as amended, subject to certain restrictions. See "Subscription and Sale   United States" and "Transfer Restrictions   ERISA Legends and ERISA Restrictions   (a) JPMorgan Chase Bank, N.A. or JPMorgan Chase & Co. issued Securities" in the Base Prospectus

66.

Non-exempt Offer:

Not Applicable

67.

Additional Selling Restrictions:

See Base Prospectus under "Subscription and Sale"

68.

Swiss Public Offer:

No

GENERAL

69.

The aggregate principal amount of Notes issued has been translated into U.S. dollars at the rate of €1 = U.S.$ 1.4485, producing a sum of (for Notes not denominated in U.S. dollars):

U.S.$ 7,242,500

 



SCHEDULE 7

PART B - OTHER INFORMATION

LISTING AND ADMISSION TO TRADING

The Securities are listed on the Official List and admitted to trading on the Regulated Market of London Stock Exchange plc.

The Issuer has no duty to maintain the listing (if any) of the Securities on the relevant stock exchange(s) over their entire lifetime. Securities may be suspended from trading and/or de-listed at any time in accordance with applicable rules and regulations of the relevant stock exchange(s).

RATINGS

Not Applicable

 

INTERESTS OF NATURAL AND LEGAL PERSONS INVOLVED IN THE ISSUE

Save as discussed in the section of the Base Prospectus entitled "Subscription and Sale", so far as the Issuer is aware, no person involved in the issue of the Securities has an interest material to the issue.

REASONS FOR THE OFFER, ESTIMATED NET PROCEEDS AND TOTAL EXPENSES

(i)         Reasons for the offer:

See "Use of Proceeds" in the Base Prospectus

(ii)        Estimated net proceeds:

EUR 5,000,000

  (iii)        Estimated total expenses related to the admission to trading:

Not Applicable

YIELD

 

Indication of yield:

Approximately 4.92 per cent. per annum up to, and including, the Interest Payment Date scheduled to fall in May 2011 (the "First Yield Period"). Thereafter, 4.67 per cent. per annum (the "Second Yield Period")

 

 

As set out above, the yield is calculated, in respect of the First Yield Period, at the Issue Date on the basis of the Issue Price and in respect of the Second Yield Period, at the Restructuring Effective Date on the basis of the Issue Price. It is not an indication of future yield

 

POST-ISSUANCE INFORMATION

The Issuer will not provide any post-issuance information with respect to the Reference Asset, unless required to do so by applicable law or regulation.

OPERATIONAL INFORMATION

Intended to be held in a manner which would allow Eurosystem eligibility:

 

No

ISIN:

 

XS0252823538

Common Code:

025282353

 

Relevant Clearing System(s) and the relevant identification number(s):

 

Euroclear/Clearstream, Luxembourg

Delivery:

Delivery against payment



SCHEDULE 8

PART C - OTHER APPLICABLE TERMS

1.         Additional Definitions

 

The following terms shall have the following meanings:

 

"Benchmark Obligation" means the obligation identified as follows:

 

Primary Obligor:

Crédit Agricole S.A.

Guarantor (if any):

None

Maturity:

10 August 2022

Coupon:

5.065%

ISIN:

XS0315528850

 

"Reference Entity" means Crédit Agricole S.A. (and its Successors, if any).

"Settlement Method" means Auction Settlement. For more information on Auction Settlement, see the Credit Annex attached hereto as Annex A.

 

"Trade Date" means 26 May 2011.

 

"Transaction Type" means European. For more information, please see the Credit Annex and Annex B attached hereto.

 


SCHEDULE 9

ANNEX A

CREDIT ANNEX

This Credit Annex is incorporated into, and forms part of, the Final Terms and sets forth important provisions relating to the contingent nature of the obligation on the Issuer with respect to the  Notes to which the Final Terms relate (the "Notes") to pay principal and interest on the Notes.  Unless otherwise defined herein, terms used in this Credit Annex shall have the meanings ascribed to them in the Final Terms.  To the extent any provision in this Credit Annex conflicts with any other provision in the Final Terms, the provision in the Final Terms will govern.

 

If this Credit Annex is incorporated into, and forms part of, Contractual Terms relating to Notes which are described in a Drawdown Prospectus then references in this Credit Annex to "Final Terms" (including in the preceding paragraph) shall be construed as references to "Contractual Terms".

 

ARTICLE I

CERTAIN GENERAL DEFINITIONS

Section 1.1. Credit Derivative Transaction.

N/A

Section 1.2. Confirmation.

N/A

Section 1.3. Term.

N/A

Section 1.4. Effective Date.

N/A

Section 1.5. Trade Date.

"Trade Date" means the date specified as such in the Final Terms.

Section 1.6. Scheduled Termination Date.

N/A

Section 1.7. Termination Date.

N/A

Section 1.8. Event Determination Date.

(a)     "Event Determination Date" means, with respect to a Reference Entity:

(i)      subject to Section 1.8(a)(ii), if neither a DC Credit Event Announcement nor a DC No Credit Event Announcement has occurred, the date on which the Calculation Agent delivers a Credit Event Notice to the Issuer, that is effective during either (A) the Notice Delivery Period or (B) the period (I) from, and including, the date on which ISDA publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved not to determine the matters described in Sections 1.24(a) and (b) (II) to, and including, the date that is fourteen calendar days thereafter (provided that the relevant Credit Event Resolution Request Date occurred on or prior to the end of the last day of the Notice Delivery Period (including prior to the Trade Date)); or

(ii)     notwithstanding Section 1.8(a)(i), if a DC Credit Event Announcement has occurred, either:

(I)        the Credit Event Resolution Request Date, if either:

(A)      the relevant Credit Event is not a Restructuring and either (1) if "Auction Settlement" is specified as the Settlement Method in the Notes, the Trade Date occurs on or prior to the Auction Final Price Determination Date, the Auction Cancellation Date or the date that is 21 calendar days following the No Auction Announcement Date, if any, as applicable, or (2) if "Auction Settlement" is not specified as the Settlement Method in the Notes, the Trade Date occurs on or prior to the relevant DC Credit Event Announcement; or

(B)       the relevant Credit Event is a Restructuring, and the Calculation Agent delivers a Credit Event Notice to the Issuer that is effective on or prior to the Exercise Cut-off Date; or

(II)       the first date on which the Calculation Agent delivers a Credit Event Notice to the Issuer that is effective during (A) the Notice Delivery Period or (B) the period from, and including, the date on which ISDA publicly announces the occurrence of the relevant DC Credit Event Announcement to, and including, the date that is fourteen calendar days thereafter (provided that the relevant Credit Event Resolution Request Date occurred on or prior to the end of the last day of the Notice Delivery Period (including prior to the Trade Date)), if:

(A)      the relevant Credit Event is not a Restructuring;

(B)       "Auction Settlement" is not specified as the Settlement Method in the Notes; and

(C)       the Trade Date occurs following the relevant DC Credit Event Announcement,

provided that, in the case of this Section 1.8(a)(ii):

(1)   no Maturity Date has occurred on or prior to the date on which the DC Credit Event Announcement occurs;

(2)   if any Valuation Date has occurred as of the date on which the DC Credit Event Announcement occurs, an Event Determination Date shall be deemed to have occurred only with respect to any Credit Position (or portion thereof) with respect to which no Valuation Date has occurred in respect of the relevant Reference Entity; and

(3)   no Credit Event Notice specifying a Restructuring as the only Credit Event has previously been delivered by the Calculation Agent, (aa) unless the Restructuring specified in such Credit Event Notice is also the subject of the notice to ISDA resulting in the occurrence of the Credit Event Resolution Request Date or (bb) unless, and to the extent that, the Exercise Amount specified in any such Credit Event Notice was less than the then outstanding Remaining Credit Position.

(b)      N/A

(c)      Notwithstanding the above, no Event Determination Date will occur, and any Event Determination Date previously determined with respect to an event shall be deemed not to have occurred, if, or to the extent that, prior to the Auction Final Price Determination Date, a Valuation Date or the Maturity Date, as applicable, a DC No Credit Event Announcement Date occurs with respect to the relevant Reference Entity or Obligation thereof.

(d)      N/A

Section 1.9. Notice Delivery Period. "Notice Delivery Period" means, with respect to a Reference Entity, the period from and including the Trade Date to and including the date that is fourteen calendar days after the Extension Date.

Section 1.10. Requirements Regarding Notices. A notice delivered on or prior to 4.00 p.m. Greenwich Mean Time on any day will be effective on such day. A notice delivered after 4.00 p.m. Greenwich Mean Time on any day will be deemed effective on the next following day, regardless of the form in which it is delivered. For purposes of the two preceding sentences, a notice given by telephone will be deemed to have been delivered at the time the telephone conversation takes place. If the notice is delivered by telephone, a written confirmation will be executed and delivered confirming the substance of that notice within one Business Day of that notice. Failure to provide that written confirmation will not affect the effectiveness of that telephonic notice.

Section 1.11. Grace Period Extension Date. "Grace Period Extension Date" means, with respect to a Reference Entity, if (a) Potential Failure to Pay is applicable and (b) a Potential Failure to Pay occurs on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)), the date that is the number of days in the Grace Period after the date of such Potential Failure to Pay.

Section 1.12. Grace Period; Grace Period Business Day.

(a)        "Grace Period" means:

(i)      subject to clauses (ii), (iii) and (iv), the applicable grace period with respect to payments under the relevant Obligation under the terms of such Obligation in effect as of the date as of which such Obligation is issued or incurred;

(ii)     if with respect to a Reference Entity in respect of which Potential Failure to Pay applies, a Potential Failure to Pay has occurred on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and the applicable grace period cannot, by its terms, expire on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)), the Grace Period shall be deemed to be the lesser of such grace period and the period specified as such in the relevant Standard or, if no period is specified, thirty calendar days;

(iii)    if, as of the date as of which an Obligation is issued or incurred, no grace period with respect to payments or a grace period with respect to payments of less than three Grace Period Business Days is applicable under the terms of such Obligation, a Grace Period of three Grace Period Business Days shall be deemed to apply to such Obligation; provided that, unless the Reference Entity is one in respect of which Potential Failure to Pay applies, such deemed Grace Period shall expire no later than the Credit Observation End Date; and

(iv)   in the event that the Calculation Agent is not able to ascertain the Grace Period applicable with respect to any Obligation, it shall be deemed that the Grace Period with respect to that Obligation is thirty calendar days. If the terms of the relevant Obligation are not publicly available such that the length of any grace period, conditions precedent to the commencement of any such grace period or whether any such conditions are satisfied cannot be established, it shall be deemed that the Grace Period is a period of thirty calendar days from the due date for payment and all conditions precedent to the commencement thereof were satisfied on such due date.

(b)     "Grace Period Business Day" means a day on which commercial banks and foreign exchange markets are generally open to settle payments in the place or places and on the days specified for that purpose in the relevant Obligation and if a place or places are not so specified, in the jurisdiction of the Obligation Currency.

Section 1.13. Potential Failure to Pay. "Potential Failure to Pay" means, with respect to a Reference Entity in respect of which Potential Failure to Pay is applicable, the failure on or before the Credit Observation End Date by a Reference Entity to make, when and where due, any payments in an aggregate amount of not less than the Payment Requirement under one or more Obligations, without regard to any grace period or any conditions precedent to the commencement of any grace period applicable to such Obligations, in accordance with the terms of such Obligations at the time of such failure.

Section 1.14. Calculation Agent.

N/A

Section 1.15. Calculation Agent City.

N/A

Section 1.16. Valuation Business Day. "Valuation Business Day" means a day on which commercial banks and foreign exchange markets are generally open to settle payments in London and New York and in any additional location that is specified as being applicable in the relevant Standard and a day on which TARGET2 (the Trans-European Automated Real-time Gross settlement Express Transfer system) (or any successor thereto) is open.

Section 1.17. Calculation Agent City Business Day.

N/A

Section 1.18. Affiliate. "Affiliate" means, in relation to any person, any entity controlled, directly or indirectly, by the person, any entity that controls, directly or indirectly, the person or any entity, directly or indirectly, under common control with the person. For this purpose, "control" of any entity or person means ownership of a majority of the voting power of the entity or person.

Section 1.19. Buyer.

N/A

Section 1.20. Seller.

N/A

Section 1.21. TARGET Settlement Day.

N/A

Section 1.22. Credit Derivatives Determinations Committees. "Credit Derivatives Determinations Committee" means, with respect to a Reference Entity or an Obligation thereof, the relevant committee (if any) established by ISDA for purposes of reaching certain DC Resolutions in connection with credit derivative transactions referencing such Reference Entity.

Section 1.23. Credit Event Backstop Date.  "Credit Event Backstop Date" means, with respect to a Reference Entity or an Obligation thereof:

(a)     for purposes of any event that constitutes a Credit Event (or with respect to Repudiation/Moratorium, the event described in Section 4.6(a)(ii)), as determined by an Applicable Resolution, the date that is 60 calendar days prior to the Credit Event Resolution Request Date; or

(b)     otherwise, the date that is 60 calendar days prior to the earlier of:

(i)      the first date on which the Credit Event Notice is delivered by the Calculation Agent to the Issuer and is effective during the Notice Delivery Period; and

(ii)     in circumstances where (A) the conditions to convening a Credit Derivatives Determinations Committee to Resolve the matters described in Sections 1.24(a) and (b) are satisfied in accordance with the Rules, (B) the relevant Credit Derivatives Determinations Committee has Resolved not to determine such matters, and (C) the Credit Event Notice is delivered by the Calculation Agent to the Issuer and is effective not more than fourteen calendar days after the date on which ISDA publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved not to determine such matters, the Credit Event Resolution Request Date.

The Credit Event Backstop Date shall not be subject to adjustment in accordance with any Business Day Conventions.

Section 1.24. Credit Event Resolution Request Date.  "Credit Event Resolution Request Date" means, with respect to a notice to ISDA, delivered in accordance with the Rules, requesting that a Credit Derivatives Determinations Committee be convened to Resolve:

(a)     whether an event that constitutes a Credit Event has occurred with respect to the relevant Reference Entity or Obligation thereof; and

(b)     if the relevant Credit Derivatives Determinations Committee Resolves that such event has occurred, the date of the occurrence of such event,

the date, as publicly announced by ISDA, that the relevant Credit Derivatives Determinations Committee Resolves to be the first date on which such notice was effective and on which the relevant Credit Derivatives Determinations Committee was in possession, in accordance with the Rules, of Publicly Available Information with respect to the Applicable Resolutions referred to in Sections 1.24(a) and (b) above.

Section 1.25. Extension Date.  "Extension Date" means, with respect to a Reference Entity, the latest of (a) the Credit Observation End Date, (b) the Grace Period Extension Date if (i) Potential Failure to Pay is applicable to that Reference Entity, (ii) the Credit Event that is the subject of the Credit Event Notice or the notice to ISDA resulting in the occurrence of the Credit Event Resolution Request Date, as applicable, is a Failure to Pay that occurs after the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and (iii) the Potential Failure to Pay with respect to such Failure to Pay occurs on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and (c) the Repudiation/Moratorium Evaluation Date if (i) Potential Repudiation/Moratorium is stated to be applicable with respect to that Reference Entity, (ii) the Credit Event that is the subject of the Credit Event Notice or the notice to ISDA resulting in the occurrence of the Credit Event Resolution Request Date, as applicable, is a Repudiation/Moratorium for which the event described in Section 4.6(a)(ii) occurs after the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)), (iii) the Potential Repudiation/Moratorium with respect to such Repudiation/Moratorium occurs on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and (iv) the Repudiation/Moratorium Extension Condition is satisfied.

Section 1.26. Exercise Cut-off Date. "Exercise Cut-off Date" means, with respect to a Credit Event:

(a)     if such Credit Event is a Restructuring with respect to a Reference Entity for which neither "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" nor "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard, either (i) the Relevant City Business Day prior to the Auction Final Price Determination Date, if any; (ii) the Relevant City Business Day prior to the Auction Cancellation Date, if any; or (iii) the date that is 21 calendar days following the No Auction Announcement Date, if any, as applicable; or

(b)     if such Credit Event is a Restructuring with respect to a Reference Entity for which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and:

(i)      the relevant Credit Derivatives Determinations Committee has Resolved that Credit Derivatives Auction Settlement Terms may be published, the date that is five Relevant City Business Days following the date on which ISDA publishes the Final List applicable to such Credit Derivatives Auction Settlement Terms in accordance with the Rules, provided that the Calculation Agent determines that such Credit Derivatives Auction Settlement Terms constitute Applicable Transaction Auction Settlement Terms or, as the case may be, Parallel Auction Settlement Terms; or

(ii)     a No Auction Announcement Date occurs pursuant to Section 12.12(a), the date that is 21 calendar days following such No Auction Announcement Date.

Section 1.27.  DC Party.

N/A

Section 1.28.  Resolve. "Resolve" has the meaning given to that term in the Rules, and "Resolved" and "Resolves" shall be interpreted accordingly.

Section 1.29.  DC Resolution. "DC Resolution" has the meaning given to that term in the Rules.

Section 1.30.  DC Credit Event Announcement.  "DC Credit Event Announcement" means, with respect to a Reference Entity, a public announcement by ISDA that the relevant Credit Derivatives Determinations Committee has Resolved that (a) an event that constitutes a Credit Event has occurred with respect to such Reference Entity (or an Obligation thereof) and (b) such event occurred on or after the Credit Event Backstop Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and on or prior to the Extension Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)). A DC Credit Event Announcement will be deemed not to have occurred with respect to a Reference Entity unless (i) the Credit Event Resolution Request Date with respect to such Credit Event occurred on or prior to the end of the last day of the Notice Delivery Period (including prior to the Trade Date) and (ii) the Trade Date occurs on or prior to the Auction Final Price Determination Date, the Auction Cancellation Date, or the date that is 21 calendar days following the No Auction Announcement Date, if any, as applicable.

Section 1.31.  DC No Credit Event Announcement.  "DC No Credit Event Announcement" means, with respect to a Reference Entity, a public announcement by ISDA that the relevant Credit Derivatives Determinations Committee has Resolved, following a Credit Event Resolution Request Date, that the event that is the subject of the notice to ISDA resulting in the occurrence of such Credit Event Resolution Request Date does not constitute a Credit Event with respect to such Reference Entity (or an Obligation thereof).

Section 1.32.  Relevant City Business Day.  "Relevant City Business Day" has the meaning given to that term in the Rules.

Section 1.33.  Final List.  "Final List" has the meaning given to that term in the Rules.

ARTICLE II

GENERAL TERMS RELATING TO CREDIT DERIVATIVE TRANSACTIONS

Section 2.1. Reference Entity. "Reference Entity" means each of the entities specified in the Final Terms and any Successors.

Section 2.2. Provisions for Determining a Successor.

(a)     "Successor" means, in relation to a Reference Entity that is not a Sovereign (for which purpose, Section 2.2(i) applies), the entity or entities, if any, determined as set forth below:

(i)      if one entity directly or indirectly succeeds to seventy five per cent. or more of the Relevant Obligations of the Reference Entity by way of a Succession Event, that entity will be the sole Successor.

(ii)     if only one entity directly or indirectly succeeds to more than twenty five per cent. (but less than seventy five per cent.) of the Relevant Obligations of the Reference Entity by way of a Succession Event and not more than twenty five per cent. of the Relevant Obligations of the Reference Entity remain with the Reference Entity, the entity that succeeds to more than twenty five per cent. of the Relevant Obligations will be the sole Successor.

(iii)    if more than one entity each directly or indirectly succeeds to more than twenty five per cent. of the Relevant Obligations of the Reference Entity by way of a Succession Event, and not more than twenty five per cent. of the Relevant Obligations of the Reference Entity remain with the Reference Entity, the entities that succeed to more than twenty five per cent. of the Relevant Obligations will each be a Successor and the Credit Position will be divided and the terms of the Notes, if any, will be amended in accordance with the provisions of paragraph (b) below.

(iv)   if one or more entities each directly or indirectly succeeds to more than twenty five per cent. of the Relevant Obligations of the Reference Entity by way of a Succession Event, and more than twenty five per cent. of the Relevant Obligations of the Reference Entity remain with the Reference Entity, each such entity and the Reference Entity will each be a Successor and the Credit Position will be divided and the terms of the Notes, if any, will be amended in accordance with the provisions of paragraph (b) below.

(v)    if one or more entities directly or indirectly succeed to a portion of the Relevant Obligations of the Reference Entity by way of a Succession Event, but no entity succeeds to more than twenty five per cent. of the Relevant Obligations of the Reference Entity and the Reference Entity continues to exist, there will be no Successor and the Reference Entity and the Credit Position will not be changed in any way as a result of the Succession Event.

(vi)   if one or more entities directly or indirectly succeed to a portion of the Relevant Obligations of the Reference Entity by way of a Succession Event, but no entity succeeds to more than twenty five per cent. of the Relevant Obligations of the Reference Entity and the Reference Entity ceases to exist, the entity which succeeds to the greatest percentage of Relevant Obligations (or, if two or more entities succeed to an equal percentage of Relevant Obligations, the entity from among those entities which succeeds to the greatest percentage of obligations) of the Reference Entity will be the sole Successor.

The Calculation Agent will be responsible for determining, as soon as reasonably practicable after it becomes aware of the relevant Succession Event with respect to a Reference Entity that is not a Sovereign (but no earlier than fourteen calendar days after the legally effective date of the relevant Succession Event), and with effect from the legally effective date of the Succession Event, whether the relevant thresholds set forth above have been met, or which entity qualifies under Section 2.2(a)(vi), as applicable, provided that the Calculation Agent will not make such determination if, at such time, either (A) ISDA has publicly announced that the conditions to convening a Credit Derivatives Determinations Committee to Resolve the matters described in Sections 2.2(a), (k)(i) and (k)(ii)(A) are satisfied in accordance with the Rules (until such time, if any, as ISDA subsequently publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved not to determine a Successor) or (B) ISDA has publicly announced that the relevant Credit Derivatives Determinations Committee has Resolved that no event that constitutes a Succession Event has occurred. In calculating the percentages used to determine whether the relevant thresholds set forth above have been met, or which entity qualifies under Section 2.2(a)(vi), as applicable, the Calculation Agent shall use, with respect to each applicable Relevant Obligation included in such calculation, the amount of the liability with respect to such Relevant Obligation listed in "Best Available Information" below.

In the event that ISDA publicly announces, on or following the Trade Date, an Applicable Resolution that one or more successors exist with respect to a Reference Entity, each such successor entity will be treated as a Successor for purposes of Section 2.2(b).

(b)     Where pursuant to Section 2.2(a) above or Section 2.2(i) below, one or more Successors have been identified, the following provisions will apply with effect from the Succession Date in respect of the Notes:

(I)     except in the case of (IV) below, each Successor shall be a Reference Entity for the purposes of the terms and conditions of the Notes;

(II)    except in the case of (IV) below, the Credit Position of each such Successor shall be equal to the Credit Position of the Reference Entity to which that Successor relates, divided by the number of Successors (including that Original Reference Entity if applicable) to that Reference Entity, provided that if any Successor was a Reference Entity immediately prior to the relevant Succession Event, the Credit Position determined in accordance with the previous sentence shall be added to the existing Credit Position of that Reference Entity;

(III)   if the Notes are linked to a single Reference Entity and there is more than one Successor to that Reference Entity:

(A)   The Notes will not redeem or settle in whole following the occurrence of an Event Determination Date in respect of a Successor but an Instalment Amount shall be payable following each occurrence of an Event Determination Date in respect of any such Successor which shall be calculated in the same way as the Final Redemption Amount payable following the occurrence of an Event Determination Date in respect of the Original Reference Entity except that the Credit Position shall be the Credit Position of the relevant Successor. The Instalment Date for any such Instalment Amount shall be determined in accordance with the provisions for determining the Maturity Date following an Event Determination Date. In addition, if no Event Determination Date occurs with respect to one or more Successors, unless specified otherwise in the Final Terms, an Instalment Amount will be due in respect of each such Successor on the Scheduled Maturity Date or, if the Maturity Date is postponed beyond the Scheduled Maturity Date (assuming for this purpose that the provisions in the definition of "Maturity Date" referring to the Reference Entity instead refer to the Successor), the Maturity Date, equivalent to the Credit Position of the relevant Successor. More than one Instalment Amount may be payable on the same day in respect of different Successors. There shall be no Receipt in respect of any such Instalment Amount and, accordingly, such Instalment Amounts (other than any Instalment Amount payable on the Maturity Date) shall not be treated as Instalment Amounts for purposes of General Condition 6.1(a) but as other payments of principal.

(B)    The amount of interest accruing and payable in respect of the Notes will be reduced with effect from the date on which it would have been reduced upon the occurrence of an Event Determination Date in respect of the Original Reference Entity but the balance on which interest is calculated shall only be reduced by the Credit Position of the Successor in respect of which the relevant Event Determination Date occurred.

(C)    Subject as provided in Section 4.1, more than one Event Determination Date may occur but not more than one Event Determination Date may occur with respect to a single Successor.

(D)    N/A

(E)    N/A

Upon the identification of more than one Successor, the Calculation Agent acting in good faith shall revise the terms and conditions of the Notes to reflect the above provisions and preserve as far as possible the economic effects of the original Notes and the Issuer will cause such revised terms and conditions of the Notes to be substituted for the original terms and conditions of the Notes and such revised terms and conditions of the Notes shall, in the absence of manifest error, be binding on the Holders, the Couponholders and the agents appointed under the Agency Agreement.

(IV)   If the Notes are linked to more than one Reference Entity and the Notes are issued on the basis that they will be redeemed in whole following the occurrence of an Event Determination Date in respect of a single Reference Entity, then:

(A)   if there is more than one Successor to the relevant Reference Entity and such Successors do not include any Reference Entity (other than the Original Reference Entity), the Calculation Agent has the right to select one of the Successors (including the Original Reference Entity) to be the Reference Entity in place of such Reference Entity and that Successor shall become a Reference Entity under the Notes; or

(B)    if there is one or more Successors and such Successor or Successors include one or more Reference Entities (other than the Original Reference Entity) then (x) each of those Reference Entities (other than the Original Reference Entity, if the Original Reference Entity is a Successor), shall continue to be Reference Entities; and (y) the Calculation Agent shall, in its sole discretion, select a Replacement Entity to replace the Original Reference Entity. Such entity shall be deemed to be the sole Successor on and with effect from the date of the Succession Event (if the entity selected was a Successor) or from the date of notification to the Issuer, in any other case.

Such selection shall be final and binding in respect of the Notes, on the Issuer, the Holders, the Couponholders and the agents appointed under the Agency Agreement. The Calculation Agent shall give notice to the Issuer of the Replacement Entity so selected as soon as reasonably practicable after making such selection.

"Geographical Area" means North America, Europe or Asia Pacific, as the case may be.

"Original Reference Entity" means the Reference Entity which has been subject to the Succession Event.

"Replacement Entity" means an entity which is either:

(1)     one of the Successors to the Original Reference Entity (including, if applicable, the Original Reference Entity); or

(2)     an entity that is incorporated within the same Geographical Area as the Original Reference Entity and which is of a similar or better credit quality than the Original Reference Entity, as measured by Standard & Poor's, a division of The McGraw-Hill Companies, Inc., and/or by Moody's Investors Service, at the date of the relevant Succession Event.

Notwithstanding, inter alia, its geographical location or type, any Successor to a Reference Entity to which a particular Standard applies shall be treated as a Reference Entity to which the same Standard applies. If (i) Reference Entities to which more than one Standard applies have the same Successor, or (ii) a Reference Entity to which one Standard applies is the Successor to a Reference Entity to which a different Standard applies then (a) for all purposes the provisions relating to the Successor shall be applied separately to each category of Reference Entity to which a particular Standard applies and which is affected by the relevant Succession Event and (b) each relevant Successor and each entity involved shall be treated as a separate and distinct entity as it affects any category of Reference Entity to which a particular Standard applies from the same entity as it affects any other category of Reference Entity and (c) all provisions relating to the Successor will be applied separately to any affected category of Reference Entity to which a particular Standard applies in respect of their respective Credit Positions (which, in the case of any Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard and in respect of which an Event Determination Date relating only to a Restructuring has occurred shall be its Remaining Credit Position) and in no event shall such Credit Positions be combined.

In selecting any Successor under Section 2.2(b)(IV) above, the Calculation Agent is under no obligation to the Holders, the Couponholders or any other person and, provided that the Successor selected meets the criteria specified above, is entitled, and indeed will endeavour, to select the least creditworthy of the Successors. In making any selection, the Calculation Agent will not be liable to account to the Holders, the Couponholders, the Issuer or any other person for any profit or other benefit to it or any of its Affiliates which may result directly or indirectly from any such selection.

(c)     "Succession Event" means (i) with respect to a Reference Entity that is not a Sovereign, an event such as a merger, consolidation, amalgamation, transfer of assets or liabilities, demerger, spin-off or other similar event in which one entity succeeds to the obligations of another entity, whether by operation of law or pursuant to any agreement or (ii) with respect to a Reference Entity that is a Sovereign, an event such as an annexation, unification, secession, partition, dissolution, consolidation, reconstitution or other event that results in any direct or indirect successor(s) to such Reference Entity. Notwithstanding the foregoing, "Succession Event" shall not include an event (A) in which the holders of obligations of the Reference Entity exchange such obligations for the obligations of another entity, unless such exchange occurs in connection with a merger, consolidation, amalgamation, transfer of assets or liabilities, demerger, spin-off or other similar event or (B) with respect to which the legally effective date (or, in the case of a Reference Entity that is a Sovereign, the date of occurrence) has occurred prior to the Succession Event Backstop Date applicable to the relevant Reference Entity (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)).

(d)     For purposes of Section 2.2, "succeed" means, with respect to a Reference Entity and its Relevant Obligations (or, as applicable, obligations), that a party other than such Reference Entity (i) assumes or becomes liable for such Relevant Obligations (or, as applicable, obligations) whether by operation of law or pursuant to any agreement or (ii) issues Bonds that are exchanged for Relevant Obligations (or, as applicable, obligations), and in either case such Reference Entity is no longer an obligor (primarily or secondarily) or guarantor or insurer with respect to such Relevant Obligations (or, as applicable, obligations). The determinations required pursuant to Section 2.2(a) shall be made, in the case of an exchange offer, on the basis of the outstanding principal balance of Relevant Obligations tendered and accepted in the exchange and not on the basis of the outstanding principal balance of Bonds for which Relevant Obligations have been exchanged.

(e)     Where:

(i)      a Benchmark Obligation has been specified with respect to a Reference Entity,

(ii)     one or more Successors to the Reference Entity have been identified by the Calculation Agent, and

(iii)    any one or more such Successors have not assumed the Benchmark Obligation,

the Calculation Agent may identify a Benchmark Obligation for any or all of the Successor Reference Entities in accordance with the provisions of Section 2.30.

If the Original Reference Entity is not identified as a Successor Reference Entity no further rights or obligations shall exist in relation to a Credit Event occurring with respect to that Original Reference Entity unless, with respect to a Credit Event, notwithstanding that any action in connection with the relevant Event Determination Date was taken, or the Publicly Available Information is dated, on or after the relevant Succession Date, the relevant Failure to Pay, Repudiation/Moratorium, Restructuring, Obligation Acceleration or Bankruptcy (as applicable) occurred on or prior to the Succession Date, in which case the relevant Event Determination Date will still be capable of occurring with respect to the relevant event notwithstanding that the Reference Entity is, after the Succession Date, not a Reference Entity.

In respect of each Successor Reference Entity, any Failure to Pay, Repudiation/Moratorium, Restructuring, Obligation Acceleration or Bankruptcy (as applicable) which occurs prior to the Succession Event Backstop Date shall not constitute a Credit Event, but without prejudice to any subsequent such event which occurs on or after the Succession Event Backstop Date (whether or not related to an earlier event) being a Credit Event, including a Failure to Pay which occurs on or after the Succession Event Backstop Date in respect of a Potential Failure to Pay which occurs prior to the Succession Event Backstop Date.

"Succession Date" means the legally effective date (or, in the case of Reference Entity that is a Sovereign, the date of occurrence) of the Succession Event or where Section 2.2(b)(IV) applies and the Replacement Entity is not a Successor, the date on which the Calculation Agent gives notice to the Issuer of its selection.

(f)      N/A

(g)     "Relevant Obligations" means the Obligations constituting Bonds and Loans of the Reference Entity outstanding immediately prior to the effective date of the Succession Event, excluding any debt obligations outstanding between the Reference Entity and any of its Affiliates, as determined by the Calculation Agent. The Calculation Agent will determine the entity which succeeds to such Relevant Obligations on the basis of the Best Available Information. If the date on which the Best Available Information becomes available or is filed precedes the legally effective date of the relevant Succession Event, any assumptions as to the allocation of obligations between or among entities contained in the Best Available Information will be deemed to have been fulfilled as of the legally effective date of the Succession Event, whether or not this is in fact the case.

(h)     "Best Available Information" means:

(i)      in the case of a Reference Entity which files information with its primary securities regulator or primary stock exchange that includes unconsolidated, pro forma financial information which assumes that the relevant Succession Event has occurred or which provides such information to its shareholders, creditors or other persons whose approval of the Succession Event is required, that unconsolidated, pro forma financial information and, if provided subsequently to the provision of unconsolidated, pro forma financial information but before the Calculation Agent makes its determination for purposes of this Section 2.2, other relevant information that is contained in any written communication provided by the Reference Entity to its primary securities regulator, primary stock exchange, shareholders, creditors or other persons whose approval of the Succession Event is required; or

(ii)     in the case of a Reference Entity which does not file with its primary securities regulator or primary stock exchange, and which does not provide to shareholders, creditors or other persons whose approval of the Succession Event is required, the information contemplated in (i) above, the best publicly available information at the disposal of the Calculation Agent to allow it to make a determination for purposes of this Section 2.2.

Information which is made available more than fourteen calendar days after the legally effective date of the Succession Event shall not constitute Best Available Information.

(i)      With respect to a Sovereign Reference Entity, "Successor" means each entity which becomes a direct or indirect successor to such Reference Entity by way of a Succession Event, irrespective of whether any such successor assumes any of the obligations of such Reference Entity.

The Calculation Agent will be responsible for determining, as soon as reasonably practicable after it becomes aware of the relevant Succession Event with respect to a Reference Entity that is a Sovereign (but no earlier than fourteen calendar days after the date of the occurrence of the relevant Succession Event), and with effect from the date of the occurrence of the Succession Event, each Sovereign and/or entity, if any, that qualifies under this Section 2.2(i), provided that the Calculation Agent will not make such determination if, at such time, either (A) ISDA has publicly announced that the conditions to convening a Credit Derivatives Determinations Committee to Resolve the matters described in Sections 2.2(i), k(i) and k(ii)(B) are satisfied in accordance with the Rules (until such time, if any, as ISDA subsequently publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved not to determine a Successor) or (B) ISDA has publicly announced that the relevant Credit Derivatives Determinations Committee has Resolved that no event that constitutes a Succession Event for purposes of the relevant Reference Entity has occurred.

In the event that ISDA publicly announces, on or following the Trade Date, an Applicable Resolution that one or more successors exist with respect to such Reference Entity, each such successor entity will be treated as a Successor for purposes of Section 2.2(b).

(j)      "Succession Event Backstop Date" means, with respect to a Reference Entity:

(i)     for purposes of any event that constitutes a Succession Event, as determined by an Applicable Resolution, the date that is 90 calendar days prior to the Succession Event Resolution Request Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)); or

(ii)    otherwise, the date that is 90 calendar days prior to the earlier of:

(A)   the date on which the Succession Event Notice is effective; or

(B)    in circumstances where (I) the conditions to convening a Credit Derivatives Determinations Committee to Resolve the matters described in Sections 2.2(k)(i) and (ii) are satisfied in accordance with the Rules, (II) the relevant Credit Derivatives Determinations Committee has Resolved not to determine such matters and (III) the Succession Event Notice is delivered by the Calculation Agent to the Issuer not more than fourteen calendar days after the date on which ISDA publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved not to determine such matters, the Succession Event Resolution Request Date.

The Succession Event Backstop Date shall not be subject to adjustment in accordance with any Business Day Convention unless specified in the Final Terms of the Notes that the Succession Event Backstop Date will be adjusted in accordance with a specified Business Day Convention.

(k)     "Succession Event Resolution Request Date" means, with respect to a notice to ISDA, delivered in accordance with the Rules, requesting that a Credit Derivatives Determinations Committee be convened to Resolve:

(i)      whether an event that constitutes a Succession Event has occurred with respect to the relevant Reference Entity; and

(ii)     if the relevant Credit Derivatives Determinations Committee Resolves that such event has occurred, (A) with respect to a Reference Entity that is not a Sovereign, the legally effective date of such event or (B) with respect to a Reference Entity that is a Sovereign, the date of the occurrence of such event,

the date, as publicly announced by ISDA, that the relevant Credit Derivatives Determinations Committee Resolves to be the date on which such notice is effective.

(l)      "Succession Event Notice" means, with respect to a Reference Entity, an irrevocable notice from the Calculation Agent to the Issuer (which may be in writing (including by facsimile and/or e-mail) and/or by telephone) that describes a Succession Event that occurred on or after the Succession Event Backstop Date with respect to that Reference Entity (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)). A Succession Event Notice shall be subject to the requirements regarding notices set forth in Section 1.10.

Section 2.3. Benchmark Obligation. "Benchmark Obligation" means, with respect to the relevant Reference Entity, the Benchmark Obligation specified in the Final Terms or such Obligation as may replace such Benchmark Obligation in accordance with the provisions of Section 2.30.

Section 2.4. Reference Price.

N/A

Section 2.5. Fixed Amount.

N/A

Section 2.6. Fixed Rate Payer.

N/A

Section 2.7. Fixed Rate Payer Calculation Amount.

N/A

Section 2.8. Fixed Rate Payer Period End Date.

N/A

Section 2.9. Fixed Rate Payer Calculation Period.

N/A

Section 2.10. Fixed Rate Payer Payment Date.

N/A

Section 2.11. Business Day Convention. 

N/A

Section 2.12. Floating Rate Payer.

N/A

Section 2.13. Floating Rate Payer Calculation Amount.

N/A

Section 2.14. Obligation. "Obligation" means (a) each obligation of the relevant Reference Entity (either directly or (i) in respect of a Reference Entity in respect of which "All Guarantees" is specified as being applicable in the relevant Standard, as provider of any Qualifying Guarantee, (ii) in respect of a Reference Entity in respect of which "All Guarantees" is specified as not being applicable, as provider of any Qualifying Affiliate Guarantee or (iii) in respect of a Reference Entity that is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees or in respect of which any supplement or provisions relating to monoline insurance companies are specified as being applicable in the relevant Standard, as provider of any Qualifying Policy) determined pursuant to the method described in Section 2.19 (but excluding any Excluded Obligation); and (b) each Benchmark Obligation, unless specified in the Final Terms as an Excluded Obligation.

Section 2.15. Reference Obligation. Where Cash Settlement applies for purposes of Section 7.4, "Reference Obligation" means, in respect of each Reference Entity, subject to Sections 2.32(a) and 2.33(a), an obligation as selected by the Calculation Agent in its sole discretion on or before the relevant Valuation Date, which is either:

(a)     an obligation of the Reference Entity (either directly or (i) in respect of a Reference Entity in respect of which "All Guarantees" is specified as being applicable in the relevant Standard, as provider of any Qualifying Guarantee and (ii) in respect of a Reference Entity in respect of which "All Guarantees" is specified as not being applicable in the relevant Standard, as provider of any Qualifying Affiliate Guarantee or, in respect of a Reference Entity that is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees or in respect of which any supplement or provisions relating to monoline insurance companies are specified as being applicable in the relevant Standard, as provider of any Qualifying Policy) determined pursuant to the method described in Section 2.20 (but excluding any Excluded Reference Obligation) that (i) is payable in an amount equal to its outstanding principal balance or Due and Payable Amount, as applicable, (ii) is not subject to any counterclaim, defence (other than a counterclaim or defence based on the factors set forth in (a) to (d) of Section 4.1 below) or right of set off by or of a Reference Entity or, as applicable, an Underlying Obligor or Insured Obligor, as the case may be and (iii) in the case of a Qualifying Guarantee other than a Qualifying Affiliate Guarantee is capable, at the relevant Relevant Date, of immediate assertion or demand by or on behalf of the holder or holders against the Reference Entity for an amount at least equal to the outstanding principal balance or Due and Payable Amount being valued or delivered apart from the giving of any notice of non-payment or similar procedural requirement, it being understood that acceleration of an Underlying Obligation shall not be considered a procedural requirement;

(b)     the Benchmark Obligation (if any) for such Reference Entity; or

(c)     solely in relation to a Restructuring applicable to a Sovereign Reference Entity, any Sovereign Restructured Deliverable Obligation (but excluding any Excluded Reference Obligation) that (i) is payable in an amount equal to its outstanding principal balance or Due and Payable Amount, as applicable, (ii) is not subject to any counterclaim, defence (other than a counterclaim or defence based on the factors set forth in (a) to (d) of Section 4.1 below) or right of set off by or of a Reference Entity or, as applicable, an Underlying Obligor and (iii) in the case of a Qualifying Guarantee other than a Qualifying Affiliate Guarantee, is capable, at the relevant Relevant Date, of immediate assertion or demand by or on behalf of the holder or holders against the Reference Entity for an amount at least equal to the outstanding principal balance or Due and Payable Amount being valued or delivered apart from the giving of any notice of non-payment or similar procedural requirement, it being understood that acceleration of an Underlying Obligation shall not be considered a procedural requirement.

Where Auction Settlement applies for purposes of Section 7.4, "Reference Obligation" means any obligation that is capable of constituting a deliverable obligation in accordance with the Applicable Credit Derivatives Auction Settlement Terms.

Section 2.16. Sovereign Restructured Deliverable Obligation. "Sovereign Restructured Deliverable Obligation" means an Obligation of a Sovereign Reference Entity (a) in respect of which a Restructuring has occurred and (b) described by the Reference Obligation Category specified in the relevant Standard, and subject to Section 2.21(c), having each of the Reference Obligation Characteristics, if any, specified in the relevant Standard, in each case, immediately preceding the date on which such Restructuring is legally effective in accordance with the terms of the documentation governing such Restructuring without regard to whether the Obligation would satisfy such Reference Obligation Category or Reference Obligation Characteristics after such Restructuring.

Section 2.17. Excluded Obligation. "Excluded Obligation" means any obligation of a Reference Entity specified as such or of a type described in the relevant Standard.

Section 2.18. Excluded Reference Obligation. "Excluded Reference Obligation" means any obligation of a Reference Entity specified as such or of a type described in the relevant Standard.

Section 2.19. Method for Determining Obligations. For the purposes of Section 2.14(a), the term "Obligation" may be defined as each obligation of each Reference Entity described by the Obligation Category specified as being applicable in the relevant Standard and having each of the Obligation Characteristics, if any, specified as being applicable in the relevant Standard, in each case, as of the date which constitutes the Credit Event which is the subject of either the Credit Event Notice or the notice to ISDA resulting in the occurrence of the Credit Event Resolution Request Date, as applicable. The following terms shall have the following meanings:

(a)     "Obligation Category" means Payment, Borrowed Money, Reference Obligations Only, Bond, Loan, or Bond or Loan, only one of which shall be specified in the relevant Standard and:

(i)      "Payment" means any obligation (whether present or future, contingent or otherwise) for the payment or repayment of money, including without limitation, "Borrowed Money";

(ii)     "Borrowed Money" means any obligation (excluding an obligation under a revolving credit arrangement for which there are no outstanding, unpaid drawings in respect of principal) for the payment or repayment of borrowed money (which term shall include, without limitation, deposits and reimbursement obligations arising from drawings pursuant to letters of credit);

(iii)    "Reference Obligations Only" means any obligation that is a Benchmark Obligation only and no Obligation Characteristics shall be applicable to Reference Obligations Only;

(iv)   "Bond" means any obligation of a type included in the "Borrowed Money" Obligation Category that is in the form of, or represented by, a bond, note (other than notes delivered pursuant to Loans), certificated debt security or other debt security and shall not include any other type of "Borrowed Money";

(v)    "Loan" means any obligation of a type included in the "Borrowed Money" Obligation Category that is documented by a term loan agreement, revolving loan agreement or other similar credit agreement and shall not include any other type of "Borrowed Money"; and

(vi)   "Bond or Loan" means any obligation that is either a Bond or a Loan.

(b)     "Obligation Characteristics" means any one or more of Not Subordinated, Specified Currency - Standard Specified Currencies, Not Sovereign Lender, Not Domestic Currency, Not Domestic Law, Listed and Not Domestic Issuance, and:

(i)      (A)   "Not Subordinated" means an obligation that is not Subordinated to (I) the most senior Benchmark Obligation in priority of payment or (II) if no Benchmark Obligation is specified with respect to the relevant Reference Entity in the Final Terms, any unsubordinated Borrowed Money obligation of the Reference Entity; provided that, if any of the events set forth under Section 2.30(a) has occurred with respect to all of the Benchmark Obligations or if Section 2.2(e) is applicable with respect to the Benchmark Obligation (each, in each case, a "Prior Benchmark Obligation") and no substitute Benchmark Obligation has been identified for any of the Prior Benchmark Obligations at the time of the determination of whether an obligation satisfies the "Not Subordinated" Obligation Characteristic or Reference Obligation Characteristic, as applicable, "Not Subordinated" shall mean an obligation that would not have been Subordinated to the most senior such Prior Benchmark Obligation in priority of payment. For purposes of determining whether an obligation satisfies the "Not Subordinated" Obligation Characteristic or Reference Obligation Characteristic, the ranking in priority of payment of each Benchmark Obligation or each Prior Benchmark Obligation, as applicable, shall be determined as of the date as of which the relevant Benchmark Obligation or Prior Benchmark Obligation, as applicable, was issued or incurred and shall not reflect any change to such ranking in priority of payment after such date.

(B)    "Subordination" means, with respect to an obligation (the "Subordinated Obligation") and another obligation of the Reference Entity to which such obligation is being compared (the "Senior Obligation"), a contractual, trust or similar arrangement providing that (i) upon the liquidation, dissolution, reorganisation or winding up of the Reference Entity, claims of the holders of the Senior Obligation will be satisfied prior to the claims of the holders of the Subordinated Obligation or (ii) the holders of the Subordinated Obligation will not be entitled to receive or retain payments in respect of their claims against the Reference Entity at any time that the Reference Entity is in payment arrears or is otherwise in default under the Senior Obligation. "Subordinated" will be construed accordingly. For purposes of determining whether Subordination exists or whether an obligation is Subordinated with respect to another obligation to which it is being compared, the existence of preferred creditors arising by operation of law or of collateral, credit support or other credit enhancement arrangements shall not be taken into account, except that, notwithstanding the foregoing, priorities arising by operation of law shall be taken into account where the Reference Entity is a Sovereign.

(ii)     "Specified Currency - Standard Specified Currencies" means an obligation that is payable in any of the lawful currencies of Canada, Japan, Switzerland, the United Kingdom and the United States of America or the euro (or any successor currency to any of the aforementioned currencies) or any currency specified in addition thereto in the relevant Standard.

(iii)    "Not Sovereign Lender" means any obligation that is not primarily owed to a Sovereign or Supranational Organisation, including, without limitation, obligations generally referred to as "Paris Club debt".

(iv)   "Not Domestic Currency" means any obligation that is payable in any currency other than the Domestic Currency.

(v)    "Not Domestic Law" means any obligation that is not governed by the laws of (A) the relevant Reference Entity, if such Reference Entity is a Sovereign, or (B) the jurisdiction of organisation of the relevant Reference Entity, if such Reference Entity is not a Sovereign.

(vi)   "Listed" means an obligation that is quoted, listed or ordinarily purchased and sold on an exchange.

(vii)  "Not Domestic Issuance" means any obligation other than an obligation that was, at the time the relevant obligation was issued (or reissued, as the case may be) or incurred, intended to be offered for sale primarily in the domestic market of the relevant Reference Entity. Any obligation that is registered or qualified for sale outside the domestic market of the relevant Reference Entity (regardless of whether such obligation is also registered or qualified for sale within the domestic market of the relevant Reference Entity) shall be deemed not to be intended for sale primarily in the domestic market of the Reference Entity.

Section 2.20. Method for Determining Reference Obligations. For purposes of Section 2.15, where Cash Settlement applies for purposes of Section 7.4, the term "Reference Obligation" may be defined as each obligation of each Reference Entity described by the Reference Obligation Category specified as being applicable in the relevant Standard, and, subject to Section 2.21(c), having each of the Reference Obligation Characteristics, if any, specified as being applicable in the relevant Standard, in each case, as of the relevant Relevant Date. The following terms shall have the following meanings:

(a)     "Reference Obligation Category" means one of Payment, Borrowed Money, Reference Obligations Only, Bond, Loan, or Bond or Loan (each as defined in Section 2.19(a), except that, for the purpose of determining Reference Obligations, Section 2.19(a)(iii) (Reference Obligations Only) shall be amended to state that no Reference Obligation Characteristics shall be applicable to Reference Obligations Only).

(b)     "Reference Obligation Characteristics" means any one or more of Not Subordinated, Specified Currency, Not Sovereign Lender, Not Domestic Currency, Not Domestic Law, Listed, Not Contingent, Not Domestic Issuance, Assignable Loan, Consent Required Loan, Direct Loan Participation, Transferable, Maximum Maturity, Accelerated or Matured and Not Bearer.

(i)      "Not Contingent" means any obligation having as of the relevant Relevant Date and all times thereafter an outstanding principal balance or, in the case of obligations that are not Borrowed Money, a Due and Payable Amount, that pursuant to the terms of such obligation may not be reduced as a result of the occurrence or non-occurrence of an event or circumstance (other than payment). A Convertible Obligation, an Exchangeable Obligation and an Accreting Obligation shall satisfy the "Not Contingent" Reference Obligation Characteristic if such Convertible Obligation, Exchangeable Obligation or Accreting Obligation otherwise meets the requirements of the preceding sentence so long as, in the case of a Convertible Obligation or an Exchangeable Obligation, the right (A) to convert or exchange such obligation or (B) to require the issuer to purchase or redeem such obligation (if the issuer has exercised or may exercise the right to pay the purchase or redemption price, in whole or in part, in Equity Securities) has not been exercised (or such exercise has been effectively rescinded) on or before the relevant Relevant Date. If a Reference Obligation is a Convertible Obligation or an Exchangeable Obligation, then (subject to Section 7.4 hereof) such Reference Obligation may be included as a Reference Obligation only if the rights referred to in clauses (A) and (B) of this Section 2.20(b)(i) have not been exercised (or such exercise has been effectively rescinded) on or before the relevant Relevant Date. An Insured Instrument will not be regarded as failing to satisfy the "Not Contingent" Reference Obligation Characteristic solely because such Insured Instrument is subject to provisions limiting recourse in respect of such Insured Instrument to the proceeds of specified assets (including proceeds subject to a priority of payments) or reducing the amount of any Instrument Payments owing under such Insured Instrument, provided that such provisions are not applicable to the Qualifying Policy by the terms thereof and the Qualifying Policy continues to guarantee or insure, as applicable, the Instrument Payments that would have been required to be made absent any such limitation or reduction.

(ii)     "Assignable Loan" means a Loan that is capable of being assigned or novated to, at a minimum, commercial banks or financial institutions (irrespective of their jurisdiction of organisation) that are not then a lender or a member of the relevant lending syndicate, without the consent of the relevant Reference Entity or the guarantor, if any, of such Loan (or the consent of the applicable borrower if a Reference Entity is guaranteeing such Loan) or any agent.

(iii)    "Consent Required Loan" means a Loan that is, as of the relevant Relevant Date, capable of being assigned or novated with the consent of the relevant Reference Entity or the guarantor, if any, of such Loan (or the consent of the relevant borrower if a Reference Entity is guaranteeing such Loan) or any agent.

(iv)   "Direct Loan Participation" means a Loan in respect of which, pursuant to a participation agreement, the Issuer is capable of creating, or procuring the creation of, a contractual right in favour of a notional protection seller that provides such notional protection seller with recourse to the participation seller over a specified share in any payments due under the relevant Loan which are received by such participation seller, any such agreement to be entered into between such seller and either (A) the Issuer (to the extent the Issuer was then a lender or a member of the relevant lending syndicate) or (B) a Qualifying Participation Seller (if any) (to the extent such Qualifying Participation Seller is then a lender or a member of the relevant lending syndicate).

For such purposes, "Qualifying Participation Seller" means any participation seller that meets the requirements specified in the relevant Standard and if no such requirements are specified there shall be no Qualifying Participation Seller.

(v)    "Transferable" means an obligation that is transferable to institutional investors without any contractual, statutory or regulatory restriction, provided that none of the following shall be considered contractual, statutory or regulatory restrictions:

(A)   contractual, statutory or regulatory restrictions that provide for eligibility for resale pursuant to Rule 144A or Regulation S promulgated under the United States Securities Act of 1933, as amended (and any contractual, statutory or regulatory restrictions promulgated under the laws of any jurisdiction having a similar effect in relation to the eligibility for resale of an obligation); or

(B)    restrictions on permitted investments such as statutory or regulatory investment restrictions on insurance companies and pension funds,

and if specified as being applicable to a Reference Obligation Category, the Transferable Reference Obligation Characteristic shall be applicable only in respect of obligations within that Reference Obligation Category that are not Loans.

(vi)   "Maximum Maturity" means an obligation that has a remaining maturity from the relevant Relevant Date of not greater than the period specified in the relevant Standard or, if no such period is specified, 30 years.

(vii)  "Accelerated or Matured" means an obligation under which the total amount owed, whether at maturity, by reason of acceleration, upon termination or otherwise (other than amounts in respect of default interest, indemnities, tax gross-ups and other similar amounts), is, or on or prior to the relevant Relevant Date will be, due and payable in full in accordance with the terms of such obligation, or would have been but for, and without regard to, any limitation imposed under any applicable insolvency laws.

(viii) "Not Bearer" means any obligation that is not a bearer instrument unless interests with respect to such bearer instrument are cleared via the Euroclear system, Clearstream International or any other internationally recognised clearing system.

Section 2.21. Interpretation of Provisions.

Unless expressly specified in the Final Terms that this Section 2.21 is not applicable, and other than for purposes of determining what constitutes a "Reference Obligation" where Auction Settlement applies for purposes of Section 7.4:

(a)     If the Obligation Characteristic "Listed" is specified as being applicable in the relevant Standard, the Notes shall be construed as though Listed had been specified as an Obligation Characteristic only with respect to Bonds and shall only be relevant if Bonds are covered by the selected Obligation Category.

(b)     If (i) either of the Reference Obligation Characteristics "Listed" or "Not Bearer" is specified as being applicable in the relevant Standard, the Final Terms shall be construed as though such Reference Obligation Characteristic had been specified as a Reference Obligation Characteristic only with respect to Bonds and shall only be relevant if Bonds are covered by the selected Reference Obligation Category; (ii) the Reference Obligation Characteristic "Transferable" is specified as being applicable in the relevant Standard, the Notes shall be construed as though such Reference Obligation Characteristic had been specified as a Reference Obligation Characteristic only with respect to Reference Obligations that are not Loans (and shall only be relevant to the extent that obligations other than Loans are covered by the selected Reference Obligation Category); or (iii) any of the Reference Obligation Characteristics "Assignable Loan", "Consent Required Loan" or "Direct Loan Participation" is specified as being applicable in the relevant Standard, the Notes shall be construed as though such Reference Obligation Characteristic had been specified as a Reference Obligation Characteristic only with respect to Loans and shall only be relevant if Loans are covered by the selected Reference Obligation Category.

(c)     If, in respect of the Reference Entity, any of "Payment", "Borrowed Money", "Loan" or "Bond or Loan" is specified under "Reference Obligation" as being applicable in the relevant Standard and more than one of "Assignable Loan", "Consent Required Loan" and "Direct Loan Participation" are specified as Reference Obligation Characteristics under "Reference Obligation" as being applicable in the relevant Standard, the Reference Obligations may include any Loan that satisfies any one of such Reference Obligation Characteristics specified and need not satisfy all such Reference Obligation Characteristics.

(d)     In the event that an Obligation or Reference Obligation is a Qualifying Guarantee or Qualifying Policy, the following will apply:

(i)      For the purposes of the application of "Obligation Category" and "Reference Obligation Category", the Qualifying Guarantee or the Qualifying Policy, as the case may be, shall be deemed to satisfy the same category or categories as those that describe the Underlying Obligation or the Insured Instrument, as the case may be.

(ii)     In the event that an Obligation or Reference Obligation is a Qualifying Policy for the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics both the Qualifying Policy and the Insured Instrument must satisfy on the relevant Relevant Date each of the applicable Obligation Characteristics or Reference Obligation Characteristics, if any, specified in the relevant Standard from the following list: "Specified Currency - Standard Specified Currencies", "Not Sovereign Lender", "Not Domestic Currency" and "Not Domestic Law". For these purposes, unless otherwise specified in the relevant Standard, (A) the lawful currency of any of Canada, Japan, Switzerland, the United Kingdom or the United States of America or the euro shall not be a Domestic Currency and (B) the laws of England and the laws of the State of New York shall not be a Domestic Law.

For the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics, only the Qualifying Policy must satisfy on the relevant Relevant Date the Obligation Characteristic or the Reference Obligation Characteristic of Not Subordinated, if specified in the relevant Standard.

(iii)    For the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics, both the Qualifying Guarantee and the Underlying Obligation must satisfy on the relevant Relevant Date each of the applicable Obligation Characteristics or Reference Obligation Characteristics, if any, specified in the relevant Standard from the following list: "Not Subordinated", "Specified Currency - Standard Specified Currencies", "Not Sovereign Lender", "Not Domestic Currency" and "Not Domestic Law". For these purposes, unless otherwise specified in the relevant Standard, (A) the lawful currency of any of Canada, Japan, Switzerland, the United Kingdom or the United States of America or the euro shall not be a Domestic Currency and (B) the laws of England and the laws of the State of New York shall not be a Domestic Law.

(iv)   For the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics, only the Underlying Obligation or Insured Instrument, as the case may be, must satisfy on the relevant Relevant Date each of the applicable Obligation Characteristics or Reference Obligation Characteristics, if any, specified in the relevant Standard from the following list: "Listed", "Not Contingent", "Not Domestic Issuance", "Assignable Loan", "Consent Required Loan", "Direct Loan Participation", "Transferable", "Maximum Maturity", (subject to (ix) below) "Accelerated or Matured" and "Not Bearer".

(v)    For the purposes of the application of the Obligation Characteristics or the Reference Obligation Characteristics to an Underlying Obligation or Insured Instrument, as the case may be, references to the Reference Entity shall be deemed to refer to the Underlying Obligor or Insured Obligor, as the case may be.

(vi)   The terms "outstanding principal balance" and "Due and Payable Amount" when used in connection with Qualifying Guarantees are to be interpreted to be the then "outstanding principal balance" or "Due and Payable Amount", as applicable, of the Underlying Obligation which is supported by a Qualifying Guarantee.

(vii)  The Obligation Category "Borrowed Money" and the Obligation Category and Reference Obligation Category "Bond" shall be deemed to include distributions payable under an Insured Instrument in the form of a pass-through certificate or similar funded beneficial interest, the Reference Obligation Category "Bond" shall be deemed to include such an Insured Instrument and the terms "obligation" and "obligor" in respect of such an Insured Instrument shall be construed accordingly.

(viii) References in the definitions of Assignable Loan and Consent Required Loan to the "guarantor" and "guaranteeing" shall be deemed to include the "insurer" and "insuring", respectively.

(ix)    Neither the Qualifying Policy nor the Insured Instrument must satisfy on the relevant Relevant Date the Reference Obligation Characteristic of "Accelerated or Matured", whether or not that characteristic is otherwise specified as applicable in the relevant Standard.

(x)     If the "Assignable Loan", "Consent Required Loan", "Direct Loan Participation" or "Transferable" Reference Obligation Characteristics are specified in the relevant Standard, if the benefit of the Qualifying Policy is not transferred as part of any transfer of the Insured Instrument, the Qualifying Policy must be transferable at least to the same extent as the Insured Instrument.

(xi)    With respect to an Insured Instrument in the form of a pass-through certificate or similar funded beneficial interest, the term "outstanding principal balance" shall mean the outstanding Certificate Balance and "maturity", as such term is used in the "Maximum Maturity" Reference Obligation Characteristic, shall mean the specified date by which the Qualifying Policy guarantees or insures, as applicable, that the ultimate distribution of the Certificate Balance will occur.

"Relevant Date" means, in relation to an Obligation, the date of the event the subject of the Credit Event and in relation to a Reference Obligation, where applicable, the Valuation Date.

Section 2.22. Qualifying Participation Seller.

N/A

Section 2.23. Qualifying Guarantee and Qualifying Policy.

(a)     "Qualifying Guarantee" means an arrangement evidenced by a written instrument pursuant to which a Reference Entity irrevocably agrees (by guarantee of payment or equivalent legal arrangement) to pay all amounts due under an obligation (the "Underlying Obligation") for which another party is the obligor (the "Underlying Obligor"). Qualifying Guarantees shall exclude any arrangement (i) structured as a surety bond, financial guarantee insurance policy, letter of credit or equivalent legal arrangement or (ii) pursuant to the terms of which the payment obligations of the Reference Entity can be discharged, reduced or otherwise altered or assigned (other than by operation of law) as a result of the occurrence or non-occurrence of an event or circumstance (other than payment). The benefit of a Qualifying Guarantee must be capable of being delivered together with the delivery of the Underlying Obligation.

(b)     "Qualifying Policy" means a financial guaranty insurance policy or similar financial guarantee pursuant to which a Reference Entity irrevocably guarantees or insures all Instrument Payments (as defined below) of an instrument that constitutes Borrowed Money (modified as set forth below) (the "Insured Instrument") for which another party (including a special purpose entity or trust) is the obligor (the "Insured Obligor"). Qualifying Policies shall exclude any arrangement (i) structured as a surety bond, letter of credit or equivalent legal arrangement or (ii) pursuant to the express contractual terms of which the payment obligations of the Reference Entity can be discharged or reduced as a result of the occurrence or non-occurrence of any event or circumstance (other than the payment of Instrument Payments). The benefit of a Qualifying Policy must be capable of being delivered together with the delivery of the Insured Instrument.

"Instrument Payments" means (A) in the case of any Insured Instrument that is in the form of a pass-through certificate or similar funded beneficial interest, (x) the specified periodic distributions in respect of interest or other return on the Certificate Balance on or prior to the ultimate distribution of the Certificate Balance and (y) the ultimate distribution of the Certificate Balance on or prior to a specified date, and (B) in the case of any other Insured Instrument, the scheduled payments of principal and interest, in the case of both (A) and (B) (1) determined without regard to limited recourse or reduction provisions of the type described in "Not Contingent" under "Reference Obligation Characteristics" above and (2) excluding sums in respect of default interest, indemnities, tax gross-ups, make-whole amounts, early redemption premiums and other similar amounts (whether or not guaranteed or insured by the Qualifying Policy).

"Certificate Balance" means, in the case of an Insured Instrument that is in the form of a pass-through certificate or similar funded beneficial interest, the unit principal balance, certificate balance or similar measure of unreimbursed principal investment.

Section 2.24. Qualifying Affiliate Guarantee. "Qualifying Affiliate Guarantee" means a Qualifying Guarantee provided by a Reference Entity in respect of an Underlying Obligation of a Downstream Affiliate of that Reference Entity.

Section 2.25. Downstream Affiliate and Voting Shares.

(a)     "Downstream Affiliate" means an entity whose outstanding Voting Shares were, at the date of issuance of the Qualifying Guarantee, more than 50 per cent. owned, directly or indirectly, by the Reference Entity.

(b)     "Voting Shares" shall mean those shares or other interests that have the power to elect the board of directors or similar governing body of an entity.

Section 2.26. Sovereign. "Sovereign" means any state, political subdivision or government, or any agency, instrumentality, ministry, department or other authority (including, without limiting the foregoing, the central bank) thereof.

Section 2.27. Sovereign Agency. "Sovereign Agency" means any agency, instrumentality, ministry, department or other authority (including, without limiting the foregoing, the central bank) of a Sovereign.

Section 2.28. Supranational Organisation. "Supranational Organisation" means any entity or organisation established by treaty or other arrangement between two or more Sovereigns or the Sovereign Agencies of two or more Sovereigns and includes, without limiting the foregoing, the International Monetary Fund, European Central Bank, International Bank for Reconstruction and Development and European Bank for Reconstruction and Development.

Section 2.29. Domestic Currency. "Domestic Currency" means the currency specified as such in the relevant Standard and any successor currency. If no currency is so specified, the Domestic Currency shall be the lawful currency and any successor currency of (a) the relevant Reference Entity, if the Reference Entity is a Sovereign, or (b) the jurisdiction in which the relevant Reference Entity is organised, if the Reference Entity is not a Sovereign. In no event shall Domestic Currency include any successor currency if such successor currency is the lawful currency of any of Canada, Japan, Switzerland, the United Kingdom or the United States of America or the euro (or any successor currency to any such currency).

Section 2.30. Substitute Reference Obligation.

(a)     In the event that (i) a Benchmark Obligation specified for any Reference Entity is redeemed in whole or (ii) in the opinion of the Calculation Agent (A) the aggregate amounts due under any Benchmark Obligation have been materially reduced by redemption or otherwise (other than due to any scheduled redemption, amortisation or prepayments), (B) any Benchmark Obligation is an Underlying Obligation or Insured Instrument, as the case may be, with a Qualifying Guarantee or Qualifying Policy, as the case may be, of a Reference Entity and, other than due to the existence or occurrence of a Credit Event, the Qualifying Guarantee or the Qualifying Policy, as the case may be, is no longer a valid and binding obligation of such Reference Entity enforceable in accordance with its terms or (C) for any other reason, other than due to the existence or occurrence of a Credit Event, any Benchmark Obligation is no longer an obligation of a Reference Entity, the Calculation Agent may, at any time after such event identify an Obligation to replace such Benchmark Obligation.

(b)     Any substitute Benchmark Obligation shall be an Obligation that (i) ranks pari passu in priority of payment with such Benchmark Obligation (with the ranking in priority of payment of such Benchmark Obligation being determined as of the date as of which such Benchmark Obligation was issued or incurred and not reflecting any change to such ranking in priority of payment after such date), (ii) in the opinion of the Calculation Agent preserves the economic equivalent, as closely as practicable as determined by the Calculation Agent, of the delivery and payment obligations under the Notes and (iii) is an obligation of the relevant Reference Entity (either directly or, in the case of a Reference Entity in respect of which "All Guarantees" is specified as not being applicable in the relevant Standard, as provider of a Qualifying Affiliate Guarantee or, in the case of a Reference Entity that is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees or in respect of which any supplement or provisions relating to monoline insurance companies are specified as being applicable in the relevant Standard, as provider of a Qualifying Policy or, in the case of a Reference Entity in respect of which "All Guarantees" is specified as being applicable in the relevant Standard, as provider of a Qualifying Guarantee). The Obligation identified by the Calculation Agent shall, without further action, replace such Benchmark Obligation. The Benchmark Obligation for any Successor shall be deemed to be the "Benchmark Obligation" from the Succession Date.

(c)     N/A

(d)     N/A

(e)     N/A

(f)      For purposes of identification of a Benchmark Obligation, any change in the Benchmark Obligation's CUSIP or ISIN number or other similar identifier will not, in and of itself, convert such Benchmark Obligation into a different Obligation.

In the event that any Reference Entity is the Successor of any other Reference Entities or any Reference Entities have the same Successor and the Benchmark Obligation of either the Original Reference Entity or the Successor (but not both) is Subordinated and the Benchmark Obligation of the other entity is not Subordinated, the Successor Reference Entity shall be treated as one Reference Entity with a Credit Position equal to the sum of the relevant Credit Positions except that upon the occurrence of a Credit Event with respect to that Successor, a portion of its Credit Position will be determined on the basis of a Subordinated Obligation and a portion of its Credit Position will be determined on the basis of an Obligation that is not a Subordinated Obligation. The Credit Position of the relevant Successor shall be divided into the portion of the Credit Position attributable to the entity in respect of which a Subordinated Obligation was specified as a Benchmark Obligation (the "Subordinated Credit Position") and the portion of the Credit Position attributable to the entity in respect of which an obligation that was not a Subordinated Obligation was specified as the Benchmark Obligation (the "Senior Credit Position"). In the event that an Event Determination Date occurs with respect to that Successor, the Redemption Amount or the Instalment Amount, as the case may be, shall be equal to the aggregate amount of the amount calculated with respect to the Subordinated Credit Position and a Reference Obligation that is a Subordinated Obligation (or, as the case may be, that is capable of constituting a deliverable obligation in accordance with the Applicable Credit Derivatives Auction Settlement Terms in respect of the Subordinated Credit Position) and the amount calculated with respect to the Senior Credit Position and a Reference Obligation that is not a Subordinated Obligation (or, as the case may be, that is capable of constituting a deliverable obligation in accordance with the Applicable Credit Derivatives Auction Settlement Terms in respect of the Senior Credit Position).

In the event that such Successor is subject to, or involved in, any further Succession Event, the Credit Position of such Successor (or the Successor to that entity, as the case may be) shall be determined in accordance with the foregoing, taking into account and maintaining any distinction between the Subordinated Credit Position and Senior Credit Position already established for the relevant entity.

For the avoidance of doubt and subject as provided in Section 4.1, (i) an Event Determination Date may occur on one occasion only with respect to any Reference Entity, notwithstanding the apportionment of its Credit Position pursuant to the foregoing, and (ii) except for the purposes of determining the Redemption Amount or the Instalment Amount, as the case may be, each reference in the Notes to "Credit Position" shall be deemed to be a reference to the aggregate of the Subordinated Credit Position and Senior Credit Position with respect to the relevant Reference Entity, unless the context requires otherwise.

For this purpose the Credit Position of any relevant Reference Entity which is a Defaulted Credit shall be zero, except in the case of a Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard and in respect of which an Event Determination Date relating only to a Restructuring has occurred where the Credit Position shall be the Remaining Credit Position.

Section 2.31. Merger of Reference Entity and Seller.

N/A

Section 2.32. Restructuring Maturity Limitation and Fully Transferable Obligation.

(a)     Where Cash Settlement applies for purposes of Section 7.4, for the purpose of a Reference Entity in respect of which a Restructuring has occurred, and "Restructuring Maturity Limitation and Fully Transferable Obligation" is specified under "Credit Events - Restructuring" as being applicable in the relevant Standard, and Restructuring is the only Credit Event specified in a Credit Event Notice, the Reference Obligation will be an obligation which (i) is a Fully Transferable Obligation and (ii) has a final maturity date not later than the applicable Restructuring Maturity Limitation Date. With respect to an Insured Instrument in the form of a pass-through certificate or similar funded beneficial interest, the term "final maturity date", as such term is used in this Section 2.32(a) and in Section 2.33(a) and the definition of "Restructuring Maturity Limitation Date", shall mean the specified date by which the Qualifying Policy guarantees or insures, as applicable, that the ultimate distribution of the Certificate Balance will occur.

(b)     "Fully Transferable Obligation" means a Reference Obligation that is either Transferable, in the case of Bonds, or capable of being assigned or novated to all Eligible Transferees without the consent of any person being required, in the case of any Reference Obligation other than Bonds. Any requirement that notification of novation, assignment or transfer of a Reference Obligation be provided to a trustee, fiscal agent, administrative agent, clearing agent or paying agent for a Reference Obligation shall not be considered to be a requirement for consent for purposes of this Section 2.32(b). In the event that a Fully Transferable Obligation is a Qualifying Policy, the Insured Instrument must meet the requirements of this definition.

For purposes of determining whether a Reference Obligation satisfies the requirements of the definition of "Fully Transferable Obligation", such determination shall be made as of the relevant Relevant Date by the Calculation Agent in its sole discretion.

(c)     "Restructuring Maturity Limitation Date" means the Limitation Date occurring on or immediately following the Credit Observation End Date, provided that, in circumstances where the Credit Observation End Date is later than the 2.5-year Limitation Date, at least one Enabling Obligation exists. Notwithstanding the foregoing, if the final maturity date of the Restructured Bond or Loan with the latest final maturity date of any Restructured Bond or Loan occurs prior to the 2.5-year Limitation Date (such Restructured Bond or Loan, a "Latest Maturity Restructured Bond or Loan") and the Credit Observation End Date occurs prior to the final maturity date of such Latest Maturity Restructured Bond or Loan, then the Restructuring Maturity Limitation Date will be the final maturity date of such Latest Maturity Restructured Bond or Loan.

In the event that the Credit Observation End Date is later than (i)(A) the final maturity date of the Latest Maturity Restructured Bond or Loan, if any, or (B) the 2.5-year Limitation Date, and, in either case, no Enabling Obligation exists or (ii) the 20-year Limitation Date, the Restructuring Maturity Limitation Date will be the Credit Observation End Date.

(d)        "Eligible Transferee" means:

(i)      any:

(A)   bank or other financial institution;

(B)    insurance or reinsurance company;

(C)    mutual fund, unit trust or similar collective investment vehicle (other than an entity specified in clause (iii)(A) below); and

(D)    registered or licensed broker or dealer (other than a natural person or proprietorship),

provided, however, in each case that such entity has total assets of at least U.S.$500,000,000;

(ii)     an Affiliate of an entity specified in the preceding clause (i);

(iii)    each of a corporation, partnership, proprietorship, organisation, trust or other entity:

(A)   that is an investment vehicle (including, without limitation, any hedge fund, issuer of collateralised debt obligations, commercial paper conduit or other special purpose vehicle) that (1) has total assets of at least U.S.$100,000,000 or (2) is one of a group of investment vehicles under common control or management having, in the aggregate, total assets of at least U.S.$100,000,000; or

(B)    that has total assets of at least U.S.$500,000,000; or

(C)    the obligations of which under an agreement, contract, or transaction are guaranteed or otherwise supported by a letter of credit or keepwell, support, or other agreement by an entity described in clauses (i), (ii), (iii)(B) or (iv) of this Section 2.32(d); or

(iv)   a Sovereign, Sovereign Agency or Supranational Organisation.

All references in this Section 2.32(d) to U.S.$ include equivalent amounts in other currencies.

Section 2.33. Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation.

(a)     Where Cash Settlement applies for purposes of Section 7.4, for the purpose of a Reference Entity in respect of which a Restructuring has occurred and "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation" is specified under "Credit Events - Restructuring" as being applicable in the relevant Standard and Restructuring is the only Credit Event specified in a Credit Event Notice, the Reference Obligation must be an obligation which (i) is a Conditionally Transferable Obligation and (ii) has a final maturity date not later than the applicable Modified Restructuring Maturity Limitation Date.

(b)     "Conditionally Transferable Obligation" means a Reference Obligation that is either Transferable, in the case of Bonds, or capable of being assigned or novated to all Modified Eligible Transferees without the consent of any person being required, in the case of any Reference Obligation other than Bonds, provided, however, that a Reference Obligation other than Bonds will be a Conditionally Transferable Obligation notwithstanding that consent of the Reference Entity or the guarantor, if any, of a Reference Obligation other than Bonds (or the consent of the relevant obligor if a Reference Entity is guaranteeing such Reference Obligation) or any agent is required for such novation, assignment or transfer so long as the terms of such Reference Obligation provide that such consent may not be unreasonably withheld or delayed. Any requirement that notification of novation, assignment or transfer of a Reference Obligation be provided to a trustee, fiscal agent, administrative agent, clearing agent or paying agent for a Reference Obligation shall not be considered to be a requirement for consent for purposes of this Section 2.33(b). In the event that a Conditionally Transferable Obligation is a Qualifying Policy, the Insured Instrument must meet the requirements of this definition and references to the "guarantor" and "guaranteeing" in this paragraph shall be deemed to include the "insurer" and "insuring", respectively.

(i)      N/A

(ii)     For purposes of determining whether a Reference Obligation satisfies the requirements of the definition of "Conditionally Transferable Obligation", such determination shall be made as of the relevant Relevant Date, taking into account only the terms of the Reference Obligation and any related transfer or consent documents which have been obtained by the Calculation Agent.

(c)     "Modified Restructuring Maturity Limitation Date" means, with respect to a Reference Obligation, the Limitation Date occurring on or immediately following the Credit Observation End Date, provided that, in circumstances where the Credit Observation End Date is later than the 2.5-year Limitation Date, at least one Enabling Obligation exists.  If "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and the Credit Observation End Date is later than the 2.5-year Limitation Date and prior to the 5-year Limitation Date, a Restructured Bond or Loan will not constitute an Enabling Obligation. Notwithstanding the foregoing, if the Credit Observation End Date is either (i) on or prior to the 2.5-year Limitation Date or (ii) later than the 2.5-year Limitation Date and on or prior to the 5-year Limitation Date and no Enabling Obligation exists, the Modified Restructuring Maturity Limitation Date will be the 5-year Limitation Date in the case of a Restructured Bond or Loan only.

Subject to the foregoing, in the event that the Credit Observation End Date is later than (A) the 2.5-year Limitation Date and no Enabling Obligation exists or (B) the 20-year Limitation Date, the Modified Restructuring Maturity Limitation Date will be the Credit Observation End Date.

(d)     "Modified Eligible Transferee" means any bank, financial institution or other entity which is regularly engaged in or established for the purpose of making, purchasing or investing in loans, securities and other financial assets.

Section 2.34.  General Terms Relating to Restructuring Maturity Limitation Date and Modified Restructuring Maturity Limitation Date.

(a)     "Enabling Obligation" means an outstanding Reference Obligation that (i) is a Fully Transferable Obligation or a Conditionally Transferable Obligation, as applicable, and (ii) has a final maturity date occurring on or prior to the Credit Observation End Date and following the Limitation Date immediately preceding the Credit Observation End Date (or, in circumstances where the Credit Observation End Date occurs prior to the 2.5-year Limitation Date, following the final maturity date of the Latest Maturity Restructured Bond or Loan, if any).

(b)     "Limitation Date" means the first of 20 March, 20 June, 20 September or 20 December in any year to occur on or immediately following the date that is one of the following numbers of years after the Restructuring Date:  2.5 years (the "2.5-year Limitation Date"), 5 years (the "5-year Limitation Date"), 7.5 years, 10 years, 12.5 years, 15 years, or 20 years (the "20-year Limitation Date"), as applicable.  Limitation Dates shall not be subject to adjustment in accordance with any Business Day Convention unless the Final Terms specify that Limitation Dates will be adjusted in accordance with a specified Business Day Convention.

(c)     "Restructured Bond or Loan" means an Obligation that is a Bond or Loan and in respect of which the relevant Restructuring has occurred.

(d)     "Restructuring Date" means the date on which a Restructuring is legally effective in accordance with the terms of the documentation governing such Restructuring.



 

ARTICLE III

CONDITIONS TO SETTLEMENT

Section 3.1. Settlement.

N/A

Section 3.2. Conditions to Settlement. "Conditions to Settlement" means the occurrence of an Event Determination Date to the extent that such Event Determination Date is not subsequently reversed prior to the Auction Final Price Determination Date, a Valuation Date or the Maturity Date, as applicable.

Section 3.3. Credit Event Notice. "Credit Event Notice" means, with respect to a Reference Entity, an irrevocable notice from the Calculation Agent (which may be in writing (including by facsimile and/or e‑mail) and/or by telephone) to the Issuer that describes a Credit Event that occurred on or after the Credit Event Backstop Date applicable to the relevant Reference Entity (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and on or prior to the Extension Date with respect to that Reference Entity (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)). A Credit Event Notice must contain a description in reasonable detail of the facts relevant to the determination that a Credit Event has occurred. In circumstances where neither a DC Credit Event Announcement nor a DC No Credit Event Announcement has occurred, the Calculation Agent shall only deliver a Credit Event Notice where it determines that Publicly Available Information exists confirming the existence or occurrence of the relevant Credit Event. The Credit Event that is the subject of the Credit Event Notice need not be continuing on the date the Credit Event Notice is effective. A Credit Event Notice is subject to the requirements regarding notices set forth in Section 1.10.

Section 3.4. Notice of Physical Settlement.

N/A

Section 3.5. Publicly Available Information. "Publicly Available Information" means:

(a)     information that in the sole discretion of the Calculation Agent reasonably confirms any of the facts relevant to the determination that a Credit Event or a Potential Failure to Pay or a Potential Repudiation/Moratorium has occurred and which (i) has been published in or on not less than two Public Sources, regardless of whether the reader or user thereof pays a fee to obtain such information; provided that, if the Calculation Agent or any of its Affiliates is cited as the sole source of such information, then such information shall not be deemed to be Publicly Available Information unless such party or its Affiliate is acting in its capacity as trustee, fiscal agent, administrative agent, clearing agent, paying agent, facility agent or agent bank for an Obligation; (ii) is information received from or published by (A) a Reference Entity (or a Sovereign Agency in respect of a Reference Entity which is a Sovereign), or (B) a trustee, fiscal agent, administrative agent, clearing agent, paying agent, facility agent or agent bank for an Obligation; (iii) is information contained in any petition or filing instituting a proceeding described in Section 4.2(d) against or by a Reference Entity; or (iv) is information contained in any order, decree, notice or filing, however described, of or filed with a court, tribunal, exchange, regulatory authority or similar administrative, regulatory or judicial body.

(b)     In the event that the Calculation Agent is (i) the sole source of information in its capacity as trustee, fiscal agent, administrative agent, clearing agent, paying agent, facility agent or agent bank for the Obligation with respect to which a Credit Event has occurred and (ii) a holder of such Obligation, then the Calculation Agent shall also be required to deliver an Officer's Certification to the Issuer. "Officer's Certification" means a certificate signed by a Managing Director (or other substantively equivalent title) of the Calculation Agent, which shall certify the occurrence of a Credit Event with respect to such Obligation.

(c)     In relation to any information of the type described in Section 3.5(a)(ii), (iii) and (iv), the party receiving such information may assume that such information has been disclosed to it without violating any law, agreement or understanding regarding the confidentiality of such information and that the party delivering such information has not taken any action or entered into any agreement or understanding with the Reference Entity or any Affiliate of the Reference Entity that would be breached by, or would prevent, the disclosure of such information to the party receiving such information.

(d)     Publicly Available Information need not state (i) in relation to Section 2.25, the percentage of Voting Shares owned, directly or indirectly, by the Reference Entity and (ii) that such occurrence (A) has met the Payment Requirement or Default Requirement (B) is the result of exceeding any applicable Grace Period or (C) has met the subjective criteria specified in Potential Failure to Pay, Potential Repudiation/Moratorium or certain Credit Events.

(e)   Once Publicly Available Information exists that an event has occurred in respect of any Reference Entity or any Obligation, then such event will be deemed to continue unless Publicly Available Information or any Applicable Resolution exists to the effect that such event in respect of the relevant Reference Entity or Obligation has been cured. In the absence of any Publicly Available Information or any Applicable Resolution to the effect that any such event has been cured coming to the notice of the Calculation Agent, the Calculation Agent shall be entitled to assume that such event is continuing for the purposes of determining whether any cure has occurred within the Grace Period and the Calculation Agent shall determine the existence or occurrence of a Potential Failure to Pay, Potential Repudiation/Moratorium or Credit Event accordingly. The Calculation Agent shall make reasonable efforts to establish whether Publicly Available Information or any Applicable Resolution exists to the effect that the relevant event has been cured.

Section 3.6. Notice of Publicly Available Information.

N/A

Section 3.7. Public Source. "Public Source" means, with respect to any Reference Entity, each Additional Public Source of Publicly Available Information specified as such in the Final Terms and each of Bloomberg Service, Reuters Monitor Money Rates Services, Dow Jones Newswires, Wall Street Journal, New York Times, Nihon Keizai Shinbun, Asahi Shinbun, Yomiuri Shinbun, Financial Times, La Tribune, Les Echos and The Australian Financial Review (and successor publications), the main source(s) of business news in the country in which the Reference Entity is organised and any other internationally recognised published or electronically displayed news sources.

Section 3.8. Specified Number.

N/A

Section 3.9. Credit Event Notice After Restructuring. Upon the occurrence of an Event Determination Date relating only to a Restructuring with respect to a Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard (other than where following such Event Determination Date the Remaining Credit Position of such Reference Entity is greater than zero) and subject as provided in Section 4.1, no further Event Determination Date, Potential Failure to Pay or Potential Repudiation/Moratorium may occur with respect to such Reference Entity.

The following provisions shall apply to Reference Entities in respect of which an Event Determination Date relating only to a Restructuring has occurred and in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard:

The Calculation Agent may deliver multiple Credit Event Notices with respect to a Reference Entity that has been subject to an Event Determination Date relating only to a Restructuring, with each such Credit Event Notice that relates only to a Restructuring specifying the relevant portion of the Credit Position of the Reference Entity to which such Credit Event Notice applies (the "Exercise Amount"). Where no such Exercise Amount is specified, it shall be deemed that the entire Credit Position (or, as the case may be, Remaining Credit Position (as defined below)) has been specified. Such Reference Entity shall be treated as a separate Defaulted Credit in respect of each relevant Exercise Amount and all provisions related to the calculation of principal and interest payable under the Notes shall be construed accordingly. It shall be deemed that the Exercise Amount in respect of any subsequent Event Determination Date that does not relate to a Restructuring is the entire Remaining Credit Position (as defined below).

Where the Notes provide that following the occurrence of an Event Determination Date (and satisfaction of any conditions related thereto) the Final Redemption Amount shall become due, the Final Redemption Amount shall not become due following the occurrence of an Event Determination Date relating only to a Restructuring unless a Credit Event Notice has been given and only in respect of the Exercise Amount specified therein.  Notwithstanding the provisions of General Condition 4, no adjustment to the amount of interest payable in respect of the Notes shall be made as a result of a Restructuring unless a Credit Event Notice has been given and only in respect of the Exercise Amount specified therein.

Save as provided above, all references in the terms and conditions of the Notes to the "Credit Position" insofar as it relates to a Reference Entity in respect of which an Event Determination Date relating only to a Restructuring has occurred and in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard shall be deemed to be references to the Remaining Credit Position of such Reference Entity except for calculation of the Final Price attributable to the Exercise Amount, where "Remaining Credit Position" means, in respect of each Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as being applicable in such Standard at any time, the initial Credit Position of such Reference Entity, less the aggregate of all Exercise Amounts (if any) in respect of such Reference Entity. For all the purposes hereof, insofar as the Remaining Credit Position of any Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as being applicable in such Standard is, at any time, greater than zero, such Reference Entity shall be treated as a non-Defaulted Credit.



 

ARTICLE IV

CREDIT EVENTS

Section 4.1. Credit Event. "Credit Event" means the occurrence in respect of any Reference Entity or any Obligation of any Reference Entity of any of the events specified as being Credit Events applicable to such Reference Entity in the relevant Standard.

If an occurrence would otherwise constitute a Credit Event, such occurrence will constitute a Credit Event whether or not such occurrence arises directly or indirectly from, or is subject to a defence based upon: (a) any lack or alleged lack of authority or capacity of a Reference Entity to enter into any Obligation or, as applicable, an Underlying Obligor to enter into any Underlying Obligation, (b) any actual or alleged unenforceability, illegality, impossibility or invalidity with respect to any Obligation or, as applicable, any Underlying Obligation, however described, (c) any applicable law, order, regulation, decree or notice, however described, or the promulgation of, or any change in, the interpretation by any court, tribunal, regulatory authority or similar administrative or judicial body with competent or apparent jurisdiction of any applicable law, order, regulation, decree or notice, however described, or (d) the imposition of, or any change in, any exchange controls, capital restrictions or any other similar restrictions imposed by any monetary or other authority, however described.

Once an Event Determination Date has occurred with respect to a Reference Entity, no further Event Determination Date, Potential Failure to Pay or Potential Repudiation/Moratorium may occur with respect to such Reference Entity except (i) to the extent that such Reference Entity is the Successor to one or more other Reference Entities (or Successor thereof) in respect of which no Event Determination Date has previously occurred, (ii) in the case of a Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard and in respect of which an Event Determination Date relating only to a Restructuring has occurred, to the extent of its Remaining Credit Position and (iii) to the extent, if any, that additional credit protection on such Reference Entity is subsequently obtained as may be permitted in accordance with the terms and conditions of the Notes. The event the subject of the Credit Event need not be continuing on the Event Determination Date nor on the date the Holders are notified by the Principal Paying Agent on behalf of the Issuer of the Event Determination Date.

Section 4.2. Bankruptcy. "Bankruptcy" means a Reference Entity (a) is dissolved (other than pursuant to a consolidation, amalgamation or merger); (b) becomes insolvent or is unable to pay its debts or fails or admits in writing in a judicial, regulatory or administrative proceeding or filing its inability generally to pay its debts as they become due; (c) makes a general assignment, arrangement or composition with or for the benefit of its creditors; (d) institutes or has instituted against it a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors' rights, or a petition is presented for its winding-up or liquidation, and, in the case of any such proceeding or petition instituted or presented against it, such proceeding or petition (i) results in a judgment of insolvency or bankruptcy or the entry of an order for relief or the making of an order for its winding-up or liquidation or (ii) is not dismissed, discharged, stayed or restrained in each case within thirty calendar days of the institution or presentation thereof; (e) has a resolution passed for its winding-up, official management or liquidation (other than pursuant to a consolidation, amalgamation or merger); (f) seeks or becomes subject to the appointment of an administrator, provisional liquidator, conservator, receiver, trustee, custodian or other similar official for it or for all or substantially all its assets; (g) has a secured party take possession of all or substantially all its assets or has a distress, execution, attachment, sequestration or other legal process levied, enforced or sued on or against all or substantially all its assets and such secured party maintains possession, or any such process is not dismissed, discharged, stayed or restrained, in each case within thirty calendar days thereafter; or (h) causes or is subject to any event with respect to it which, under the applicable laws of any jurisdiction, has an analogous effect to any of the events specified in clauses (a) to (g) (inclusive).

Section 4.3. Obligation Acceleration. "Obligation Acceleration" means one or more Obligations in an aggregate amount of not less than the Default Requirement have become due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event (however described), other than a failure to make any required payment, in respect of a Reference Entity under one or more Obligations.

Section 4.4. Obligation Default.

N/A

Section 4.5. Failure to Pay. "Failure to Pay" means, after the expiration of any applicable Grace Period (after the satisfaction of any conditions precedent to the commencement of such Grace Period), the failure by a Reference Entity to make, when and where due, any payments in an aggregate amount of not less than the Payment Requirement under one or more Obligations, in accordance with the terms of such Obligations at the time of such failure.

Section 4.6. Repudiation/Moratorium.

(a)     "Repudiation/Moratorium" means the occurrence of both of the following events: (i) an authorised officer of a Reference Entity or a Governmental Authority (x) disaffirms, disclaims, repudiates or rejects, in whole or in part, or challenges the validity of, one or more Obligations in an aggregate amount of not less than the Default Requirement or (y) declares or imposes a moratorium, standstill, roll-over or deferral, whether de facto or de jure, with respect to one or more Obligations in an aggregate amount of not less than the Default Requirement and (ii) a Failure to Pay, determined without regard to the Payment Requirement, or a Restructuring, determined without regard to the Default Requirement, with respect to any such Obligation occurs on or prior to the Repudiation/Moratorium Evaluation Date.

(b)     "Repudiation/Moratorium Evaluation Date" means, with respect to a Reference Entity in respect of which Potential Repudiation/Moratorium is stated to be applicable, if a Potential Repudiation/Moratorium occurs on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)), (i) if the Obligations to which such Potential Repudiation/Moratorium relates include Bonds, the date that is the later of (A) the date that is 60 days after the date of such Potential Repudiation/Moratorium and (B) the first payment date under any such Bond after the date of such Potential Repudiation/Moratorium (or, if later, the expiration date of any applicable Grace Period in respect of such payment date) and (ii) if the Obligations to which such Potential Repudiation/Moratorium relates do not include Bonds, the date that is 60 days after the date of such Potential Repudiation/Moratorium; provided that, in either case, the Repudiation/Moratorium Evaluation Date shall occur no later than the Credit Observation End Date unless the Repudiation/Moratorium Extension Condition is satisfied.

(c)     "Potential Repudiation/Moratorium" means, with respect to a Reference Entity in respect of which Potential Repudiation/Moratorium is stated to be applicable, the occurrence of an event described in clause (i) of the definition of "Repudiation/Moratorium".

(d)     Repudiation/Moratorium Extension Condition. The "Repudiation/Moratorium Extension Condition" is satisfied with respect to a Reference Entity (i) if ISDA publicly announces pursuant to a valid request that was made, in accordance with the Rules, and effectively received on or prior to the date that is fourteen calendar days after the Credit Observation End Date that the relevant Credit Derivatives Determinations Committee has Resolved that an event that constitutes a Potential Repudiation/Moratorium has occurred with respect to an Obligation of the relevant Reference Entity and that such event occurred on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) or (ii) otherwise, by the delivery by the Calculation Agent to the Issuer of a Repudiation/Moratorium Extension Notice. In all cases, the Repudiation/Moratorium Extension Condition will be deemed not to have been satisfied, or capable of being satisfied, if, or to the extent that, ISDA publicly announces, pursuant to a valid request that was delivered in accordance with the Rules and effectively received on or prior to the date that is fourteen calendar days after the Credit Observation End Date, that the relevant Credit Derivatives Determinations Committee has Resolved that either (A) an event does not constitute a Potential Repudiation/Moratorium with respect to an Obligation of the relevant Reference Entity or (B) an event that constitutes a Potential Repudiation/Moratorium has occurred with respect to an Obligation of the relevant Reference Entity but that such event occurred after the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)). Notwithstanding the previous sentence, where the Repudiation/Moratorium Extension Condition is satisfied as at a Cut-off Date and the relevant Reference Entity is accordingly treated as being subject to an Uncured Default in respect of that Cut-off Date under the terms and conditions of the Notes, any subsequent announcement of ISDA that would cause the Repudiation/Moratorium Extension Condition to be deemed not satisfied shall have no effect.

(e)     Repudiation/Moratorium Extension Notice. "Repudiation/Moratorium Extension Notice" means an irrevocable notice (which may be in writing (including by facsimile and/or e-mail) and/or by telephone) from the Calculation Agent to the Issuer that describes a Potential Repudiation/Moratorium that occurred on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)). The Calculation Agent shall only deliver a Repudiation/Moratorium Extension Notice where it determines that Publicly Available Information exists confirming the existence or occurrence of the relevant Potential Repudiation/Moratorium. A Repudiation/Moratorium Extension Notice shall be subject to the requirements regarding notices set forth in Section 1.10.

Section 4.7. Restructuring.

(a)     "Restructuring" means that, with respect to one or more Obligations and in relation to an aggregate amount of not less than the Default Requirement, any one or more of the following events occurs in a form that binds all holders of such Obligation, is agreed between the Reference Entity or a Governmental Authority and a sufficient number of holders of such Obligation to bind all holders of the Obligation or is announced (or otherwise decreed) by a Reference Entity or a Governmental Authority in a form that binds all holders of such Obligation, and such event is not expressly provided for under the terms of such Obligation in effect as of the later of (i) the Credit Event Backstop Date with respect to the relevant Reference Entity and (ii) the date as of which such Obligation is issued or incurred:

(i)      a reduction in the rate or amount of interest payable or the amount of scheduled interest accruals;

(ii)     a reduction in the amount of principal or premium payable at maturity or at scheduled redemption dates;

(iii)    a postponement or other deferral of a date or dates for either (A) the payment or accrual of interest or (B) the payment of principal or premium;

(iv)   a change in the ranking in priority of payment of any Obligation, causing the Subordination of such Obligation to any other Obligation; or

(v)    any change in the currency or composition of any payment of interest or principal to any currency which is not a Permitted Currency, where "Permitted Currency" means (i) the legal tender of any Group of 7 country (or any country that becomes a member of the Group of 7 if such Group of 7 expands its membership) or (ii) the legal tender of any country which, as of the date of such change, is a member of the Organisation for Economic Cooperation and Development and has a local currency long-term debt rating of either AAA or higher assigned to it by Standard & Poor's, a division of The McGraw-Hill Companies, Inc. or any successor to the rating business thereof, Aaa or higher assigned to it by Moody's Investors Service or any successor to the rating business thereof or AAA or higher assigned to it by Fitch Ratings or any successor to the rating business thereof,

provided that with respect to an Insured Instrument that is in the form of a pass-through certificate or similar funded beneficial interest or a Qualifying Policy with respect thereto, Section 4.7(a)(i) to (v) is hereby amended to read as follows:

(i)      a reduction in the rate or amount of the Instrument Payments described in Clause (A)(x) of the definition thereof that are guaranteed or insured by the Qualifying Policy;

(ii)     a reduction in the amount of the Instrument Payments described in Clause (A)(y) of the definition thereof that are guaranteed or insured by the Qualifying Policy;

(iii)    a postponement or other deferral of a date or dates for either (A) the payment or accrual of the Instrument Payments described in Clause (A)(x) of the definition thereof or (B) the payment of the Instrument Payments described in Clause (A)(y) of the definition thereof, in each case that are guaranteed or insured by the Qualifying Policy;

(iv)   a change in the ranking in priority of payment of (A) any Obligation under a Qualifying Policy in respect of Instrument Payments, causing the Subordination of such Obligation to any other Obligation or (B) any Instrument Payments, causing the Subordination of such Insured Instrument to any other instrument in the form of a pass-through certificate or similar funded beneficial interest issued by the Insured Obligor, it being understood that, for this purpose, Subordination will be deemed to include any such change that results in a lower ranking under a priority of payments provision applicable to the relevant Instrument Payments; or

(v)    any change in the currency or composition of any payment of Instrument Payments that are guaranteed or insured by the Qualifying Policy to any currency which is not a Permitted Currency.

(b)     Notwithstanding the provisions of Section 4.7(a), none of the following shall constitute a Restructuring:

(i)      the payment in euros of interest or principal in relation to an Obligation denominated in a currency of a Member State of the European Union that adopts or has adopted the single currency in accordance with the Treaty establishing the European Community, as amended by the Treaty on European Union;

(ii)     the occurrence of, agreement to or announcement of any of the events described in Section 4.7(a)(i) to (v) due to an administrative adjustment, accounting adjustment or tax adjustment or other technical adjustment occurring in the ordinary course of business; and

(iii)    the occurrence of, agreement to or announcement of any of the events described in Section 4.7(a)(i) to (v) in circumstances where such event does not directly or indirectly result from a deterioration in the creditworthiness or financial condition of the Reference Entity or, in the case of a Qualifying Policy and an Insured Instrument, where (A) the Qualifying Policy continues to guarantee or insure, as applicable, that the same Instrument Payments will be made on the same dates on which the Qualifying Policy guaranteed or insured that such Instrument Payments would be made prior to such event and (B) such event is not a change in the ranking in the priority of payment of the Qualifying Policy.

(c)     For the purposes of Sections 4.7(a), 4.7(b) and 4.9, the term Obligation shall be deemed to include Underlying Obligations for which the Reference Entity is acting as provider of (i) in the case of a Reference Entity in respect of which "All Guarantees" is not stated to be applicable in the relevant Standard, a Qualifying Affiliate Guarantee and (ii) in the case of a Reference Entity in respect of which "All Guarantees" is stated to be applicable in the relevant Standard, a Qualifying Guarantee. In the case of a Qualifying Guarantee, references to the Reference Entity in Section 4.7(a) shall be deemed to refer to the Underlying Obligor and the reference to the Reference Entity in Section 4.7(b) shall continue to refer to the Reference Entity.

(d)     In the case of a Reference Entity that is a monoline insurance company issuing financial guaranty insurance policies or similar financial guarantees or in respect of which any supplement or provisions relating to monoline insurance companies are specified as being applicable in the relevant Standard, for the purposes of Sections 4.7(a), 4.7(b) and 4.9, the term Obligation shall be deemed to include Insured Instruments for which the Reference Entity is acting as provider of a Qualifying Policy. In the case of a Qualifying Policy and an Insured Instrument, references to the Reference Entity in Section 4.7(a) shall be deemed to refer to the Insured Obligor and the reference to the Reference Entity in Section 4.7(b) shall continue to refer to the Reference Entity.

The determination under (b), (c) and (d) of "Restructuring" above shall be made by the Calculation Agent in its sole discretion.

Section 4.8. Certain Definitions Relating to Credit Events.

(a)     "Default Requirement" means the amount specified as being applicable to the Reference Entity in the relevant Standard applicable to such Reference Entity or, if no such amount is specified, U.S.$10,000,000 or its equivalent in the relevant Obligation Currency, in either case as of the occurrence of the Credit Event.

(b)     "Governmental Authority" means any de facto or de jure government (or any agency, instrumentality, ministry or department thereof), court, tribunal, administrative or other governmental authority or any other entity (private or public) charged with the regulation of the financial markets (including the central bank) of a Reference Entity or of the jurisdiction of organisation of a Reference Entity.

(c)     "Obligation Currency" means the currency or currencies in which an Obligation is denominated.

(d)     "Payment Requirement" means the amount specified as being applicable to the Reference Entity in the relevant Standard applicable to such Reference Entity or, if no such amount is specified, U.S.$1,000,000 or its equivalent in the relevant Obligation Currency, in either case as of the occurrence of the relevant Failure to Pay or Potential Failure to Pay, as applicable.

Section 4.9. Limitation on Obligations in Connection with Section 4.7. If "Multiple Holder Obligation" is stated to be applicable in the relevant Standard to any Reference Entity and an Obligation, the occurrence of, agreement to, or announcement of, any of the events described in Section 4.7(a)(i) to (v) in respect of such Obligation shall not be a Restructuring in relation to such Reference Entity unless such Obligation in respect of any such events is a Multiple Holder Obligation.

"Multiple Holder Obligation" means an Obligation that (i) at the time of the event which constitutes a Restructuring, is held by more than three holders that are not Affiliates of each other and (ii) with respect to which a percentage of holders (determined pursuant to the terms of the Obligation as in effect on the date of such event) at least equal to sixty-six-and-two-thirds is required to consent to the event which constitutes a Restructuring, provided that any Obligation that is a Bond shall be deemed to satisfy the requirement in clause (ii) of this definition.



 

ARTICLE V

FIXED AMOUNTS

N/A



 

ARTICLE VI

GENERAL TERMS RELATING TO SETTLEMENT

Section 6.1.  Settlement Method. "Settlement Method" means the Settlement Method specified in the Notes, or if no Settlement Method is specified in the Notes, Auction Settlement.

Section 6.2.  Settlement Date.

N/A

Section 6.3.  Settlement Currency. 

N/A

Section 6.4.  Fallback Settlement Method. "Fallback Settlement Method" means, if "Auction Settlement" is specified as the Settlement Method in the Notes pursuant to Section 6.1, Cash Settlement.

Section 6.5.  Settlement Suspension. If, following the determination of an Event Determination Date in accordance with Section 1.8(a)(i) but prior to a Valuation Date, ISDA publicly announces that the conditions to convening a Credit Derivatives Determinations Committee to Resolve the matters described in Sections 1.24(a) and (b) are satisfied in accordance with the Rules, the timing requirements of Sections 7.4 and 7.8, as applicable, or any other Section of this Credit Annex that pertains to valuation and settlement, shall toll and remain suspended until such time as ISDA subsequently publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved (a) the matters described in Sections 1.24(a) and (b) or (b) not to determine such matters. During such suspension period, the Calculation Agent and the Issuer are not obliged to, nor are they entitled to, take any action in connection with the settlement of any Defaulted Credit. Once ISDA has publicly announced that the relevant Credit Derivatives Determinations Committee has Resolved (i) the matters described in Sections 1.24(a) and (b) or (ii) not to determine such matters, the relevant timing requirements of Sections 7.4 and 7.8, as applicable, or any other Section of this Credit Annex that pertains to valuation and settlement that have previously tolled or been suspended shall resume on the Business Day following such public announcement by ISDA with the Calculation Agent and the Issuer having the benefit of the full day notwithstanding when the tolling or suspension began in accordance with this Section 6.5.



 

ARTICLE VII

TERMS RELATING TO CASH SETTLEMENT

Section 7.1. Cash Settlement.

N/A

Section 7.2. Cash Settlement Date.

N/A

Section 7.3. Cash Settlement Amount.

N/A

Section 7.4. Final Price.

(a)     Subject to Sections 7.4(b), 7.4(c) and 7.4(d), if "Cash Settlement" is specified as the Settlement Method in the Notes or in accordance with Section 12.1 the Fallback Settlement Method is applicable, "Final Price" shall mean, in respect of a Reference Entity, the percentage equal to the Market Value determined based on bid quotations obtained from Dealers with respect to the relevant Valuation Date relating to such Reference Entity in the manner provided below.

The Calculation Agent shall require each Dealer to provide firm bid quotations (exclusive of unpaid interest and expressed as a percentage of the unpaid principal) for a purchase of an amount of the Reference Obligation of the relevant Defaulted Credit with an outstanding principal amount or Due and Payable Amount equal to the Quotation Amount (a "Full Quotation") as of the Valuation Time on such Valuation Date. If at least two such Full Quotations are not available on the same Valuation Business Day within three Valuation Business Days of the relevant Valuation Date, then on the next Valuation Business Day (and, if necessary, on each Valuation Business Day thereafter until the fifteenth Valuation Business Day following the relevant Valuation Date), the Calculation Agent shall attempt to obtain such Full Quotations from at least five Dealers and, if at least two such Full Quotations are not available, a Weighted Average Quotation. If the Calculation Agent is able to obtain two or more Full Quotations or a Weighted Average Quotation on the same Valuation Business Day on or prior to the fifteenth Valuation Business Day following the relevant Valuation Date, the Calculation Agent shall use such Full Quotations or Weighted Average Quotation to determine the Final Price.

If the Calculation Agent is unable to obtain two or more Full Quotations or a Weighted Average Quotation on the same Valuation Business Day on or prior to the fifteenth Valuation Business Day following the relevant Valuation Date, the Final Price shall be based on any Full Quotation obtained from a Dealer at the Valuation Time on such fifteenth Valuation Business Day or, if no Full Quotation is obtained, a Weighted Average Quotation calculated on the basis of the aggregate portion of the Quotation Amount for which firm bid quotations were obtained on such fifteenth Valuation Business Day and a quotation deemed to be zero for the balance of the Quotation Amount for which firm bid quotations were not obtained on such day.

For purposes of the above:

"Market Value" means, with respect to a Reference Obligation on a Valuation Date, (a) if more than three Full Quotations are obtained, the arithmetic mean of such Full Quotations, disregarding the Full Quotations having the highest and lowest values (and, if more than one such Full Quotation has the same highest value or lowest value, then one of such highest or lowest Full Quotations shall be disregarded), (b) if exactly three Full Quotations are obtained, the Full Quotation remaining after disregarding the highest and lowest Full Quotations (and, if more than one such Full Quotation has the same highest value or lowest value, then one of such highest or lowest Full Quotations shall be disregarded), (c) if exactly two Full Quotations are obtained, the arithmetic mean of such Full Quotations, (d) if fewer than two Full Quotations are obtained and a Weighted Average Quotation is obtained, such Weighted Average Quotation, (e) if fewer than two Full Quotations are obtained and no Weighted Average Quotation is obtained, subject to the provisions of "Final Price" above, an amount as determined by the Calculation Agent.

(b)     In the event that the outstanding principal amount of the Reference Obligation accretes with time, the Final Price of the Reference Obligation shall be the price of that Reference Obligation determined as provided in the Final Terms and expressed as a percentage of the outstanding principal balance of that obligation as at the Valuation Date. For purposes of the foregoing, the outstanding principal balance of that Reference Obligation shall be determined by the Calculation Agent in a commercially reasonable manner.

In the event that the Reference Obligation selected by the Calculation Agent has been converted, exchanged or otherwise transformed into any other type of property, including equity, then that property shall be deemed to constitute the Reference Obligation. The Calculation Agent shall determine the Final Price of that property in accordance with these provisions, modified by the Calculation Agent only to the extent necessary to make them compatible with the type and amount of property being so valued. Any such Final Price shall be deemed to be the Final Price of the Reference Obligation for the purposes of the Notes.

The Calculation Agent shall be deemed to have provided sufficient information for the purposes of determining any Final Price with respect to any Reference Obligation (regardless of the form of the same), if it has provided the relevant Dealers with:

(i)      a detailed description of the Reference Obligation; and

(ii)     in the event that such obligation is in the form of a Bond or Loan, the outstanding principal balance or Due and Payable Amount of the Reference Obligation and, if available, the CUSIP or ISIN number (or, if such identifying number is not available, the rate and tenor of the Reference Obligation).

(c)     If "Auction Settlement" is specified as the Settlement Method in the Notes, and the Conditions to Settlement are satisfied as of the Auction Final Price Determination Date and in accordance with Section 12.1 the Fallback Settlement Method is not applicable, "Final Price" shall mean the Applicable Auction Final Price.

 

Section 7.5. Valuation Method.

N/A

Section 7.6. Market Value.

N/A

Section 7.7. Quotation.

N/A

Section 7.8. Valuation Date.

"Valuation Date" means, subject to Section 6.5, in respect of a Defaulted Credit, as selected by the Calculation Agent in its sole discretion, any Valuation Business Day falling in the period from and including the Valuation Event Date to and including the 125th Valuation Business Day following the Valuation Event Date. The Calculation Agent will select as the Valuation Date a day falling on or before the 72nd Valuation Business Day following the Valuation Event Date unless the Calculation Agent determines in good faith that material problems exist in the marketplace in delivering obligations of the relevant Reference Entity under credit default swap contracts, in which case it may select a Valuation Date falling after the 72nd Valuation Business Day, but not later than the 125th Valuation Business Day, following the Valuation Event Date. Notwithstanding anything to the contrary contained herein, the "Valuation Date" in respect of a Defaulted Credit insofar as such Defaulted Credit is a Reference Entity in respect of which a Restructuring has occurred and in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is specified as applicable in such Standard and to the extent of the relevant Exercise Amount, shall be the Valuation Business Day so selected by the Calculation Agent, provided that such Valuation Business Day is on or before the day falling 125 Valuation Business Days following the Valuation Event Date.

"Valuation Event Date" means the date on which the Conditions to Settlement have been satisfied (or, if "Cash Settlement" is applicable pursuant to the Fallback Settlement Method in accordance with Section 12.1(a) or (b), the relevant Auction Cancellation Date, if any, or the relevant No Auction Announcement Date, if any, as applicable).

For the avoidance of doubt:

(i)       more than one Credit Event Notice may be delivered from time to time following the occurrence of an Event Determination Date relating only to a Restructuring in respect of a Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard provided that the sum of the Exercise Amounts in respect of any such Reference Entity does not exceed the Credit Position;

(ii)      the Calculation Agent may select a different Reference Obligation in respect of each Valuation Date; and

(iii)     subject to the other provisions hereof, at any time following the occurrence of a Restructuring in respect of any Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in the relevant Standard, the Calculation Agent may, by delivery to the Issuer of a Credit Event Notice, designate such Exercise Amount as it determines in its absolute discretion to be subject to such Credit Event Notice, provided that the Exercise Amount shall be in an amount of at least the Minimum Exercise Amount.

"Minimum Exercise Amount" means the amount (if any) specified as such in the Final Terms.

Section 7.9. Quotation Method.

N/A

Section 7.10. Full Quotation.

N/A

Section 7.11. Weighted Average Quotation. "Weighted Average Quotation" means the weighted average of the firm bid quotations obtained from Dealers at the Valuation Time, to the extent reasonably practicable, each for an amount of the Reference Obligation with an outstanding principal amount of as large a size as available but less than the Quotation Amount (but of a size at least equal to the Minimum Quotation Amount or, if quotations of such size are not available as near in size as practicable to the Minimum Quotation Amount) that in the aggregate are approximately equal to the Quotation Amount and, for the avoidance of doubt, if bids for an aggregate of greater than the Quotation Amount are obtained, the lowest bids shall be disregarded or reduced in weight in calculating the weighted average.

Section 7.12. Quotation Amount. "Quotation Amount" means an amount selected by the Calculation Agent in its sole discretion, subject to a minimum of the Minimum Quotation Amount and a maximum of the Maximum Quotation Amount.

Section 7.13. Minimum and Maximum Quotation Amount. "Minimum Quotation Amount" means the amount specified as such in the Final Terms or, if no such amount is specified, U.S.$1,000,000.

"Maximum Quotation Amount" means (i) where the Credit Position is not specified to be a percentage, the Credit Position of the relevant Reference Entity, save that in the case of a Reference Entity in respect of which an Event Determination Date relating only to a Restructuring has occurred and in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as being applicable in such Standard, the Maximum Quotation Amount shall be equal to the relevant Exercise Amount and (ii) where the Credit Position is specified to be a percentage, the amount specified in the Final Terms or, if no such amount is specified in the Final Terms, U.S.$100,000,000, save that in the case of a Reference Entity in respect of which an Event Determination Date relating only to a Restructuring has occurred and in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard, the Maximum Quotation Amount shall be equal to the amount determined in accordance with the foregoing multiplied by the quotient of the relevant Exercise Amount (as numerator) and the Credit Position (as denominator).

Section 7.14. Valuation Time. "Valuation Time" means, as selected by the Calculation Agent in its sole discretion, any time at or after 11.00 a.m. London time.

Section 7.15. Dealer. "Dealers" means, as selected by the Calculation Agent in its sole discretion, at least five dealers which are either (i) dealers in obligations of the type of obligations for which quotations are to be obtained (which may include any such dealer which is an Affiliate of the Calculation Agent) or (ii) named in the Final Terms (including the respective successors of such named dealers).

Section 7.16. Representative Amount.

N/A



 

ARTICLE VIII

TERMS RELATING TO PHYSICAL SETTLEMENT

Section 8.1. Physical Settlement.

N/A

Section 8.2. Deliver.

N/A

Section 8.3. Delivery Date.

N/A

Section 8.4. Physical Settlement Date.

N/A

Section 8.5. Physical Settlement Amount.

N/A

Section 8.6. Physical Settlement Period.

N/A

Section 8.7. Provisions Applicable to Convertible, Exchangeable and Accreting Obligations.

(a)     (i)      With respect to any Accreting Obligation, "outstanding principal balance" means the Accreted Amount thereof.

(ii)     With respect to any Exchangeable Obligation that is not an Accreting Obligation, "outstanding principal balance" shall exclude any amount that may be payable under the terms of such obligation in respect of the value of the Equity Securities for which such obligation is exchangeable.

(b)     (i)      "Accreted Amount" means, with respect to an Accreting Obligation, an amount equal to (A) the sum of (1) the original issue price of such obligation and (2) the portion of the amount payable at maturity that has accreted in accordance with the terms of the obligation (or as otherwise described below), less (B) any cash payments made by the obligor thereunder that, under the terms of such obligation, reduce the amount payable at maturity (unless such cash payments have been accounted for in clause (A)(2) above), in each case calculated as of the earlier of (x) the date on which any event occurs that has the effect of fixing the amount of a claim in respect of principal and (y) the relevant Relevant Date. Such Accreted Amount shall not include any accrued and unpaid periodic cash interest payments (as determined by the Calculation Agent). If an Accreting Obligation is expressed to accrete pursuant to a straight-line method or if such Obligation's yield to maturity is not specified in, nor implied from, the terms of such Obligation, then, for purposes of clause (A)(2) above, the Accreted Amount shall be calculated using a rate equal to the yield to maturity of such Obligation. Such yield shall be determined on a semi-annual bond equivalent basis using the original issue price of such obligation and the amount payable at the scheduled maturity of such obligation, and shall be determined as of the earlier of (x) the date on which any event occurs that has the effect of fixing the amount of a claim in respect of principal and (y) the relevant Relevant Date. The Accreted Amount shall exclude, in the case of an Exchangeable Obligation, any amount that may be payable under the terms of such obligation in respect of the value of the Equity Securities for which such obligation is exchangeable.

(ii)     "Accreting Obligation" means any obligation (including, without limitation, a Convertible Obligation or an Exchangeable Obligation), the terms of which expressly provide for an amount payable upon acceleration equal to the original issue price (whether or not equal to the face amount thereof) plus an additional amount or amounts (on account of original issue discount or other accruals of interest or principal not payable on a periodic basis) that will or may accrete, whether or not (A) payment of such additional amounts is subject to a contingency or determined by reference to a formula or index, or (B) periodic cash interest is also payable.

(iii)    "Convertible Obligation" means any obligation that is convertible, in whole or in part, into Equity Securities solely at the option of holders of such obligation or a trustee or similar agent acting for the benefit only of holders of such obligation (or the cash equivalent thereof, whether the cash settlement option is that of the issuer or of (or for the benefit of) the holders of such obligation).

(iv)   "Equity Securities" means:

(A)   in the case of a Convertible Obligation, equity securities (including options and warrants) of the issuer of such obligation or depositary receipts representing those equity securities of the issuer of such obligation together with any other property distributed to or made available to holders of those equity securities from time to time; and

(B)    in the case of an Exchangeable Obligation, equity securities (including options and warrants) of a person other than the issuer of such obligation or depositary receipts representing those equity securities of a person other than the issuer of such obligation together with any other property distributed to or made available to holders of those equity securities from time to time.

(v)    "Exchangeable Obligation" means any obligation that is exchangeable, in whole or in part, for Equity Securities solely at the option of holders of such obligation or a trustee or similar agent acting for the benefit only of holders of such obligation (or the cash equivalent thereof, whether the cash settlement option is that of the issuer or of (or for the benefit of) the holders of such obligation).

Section 8.8. Due and Payable Amount. "Due and Payable Amount" means the amount that is due and payable under (and in accordance with the terms of) a Reference Obligation as of the relevant Relevant Date, whether by reason of acceleration, maturity, termination or otherwise (excluding sums in respect of default interest, indemnities, tax gross-ups and other similar amounts).

Section 8.9. Currency Amount.

N/A

Section 8.10. Currency Rate.

N/A

Section 8.11. Escrow.

N/A

Section 8.12. Revised Currency Rate.

N/A

Section 8.13. Next Currency Fixing Time.

N/A

Section 8.14. Currency Rate Source.

N/A



 

ARTICLE IX

ADDITIONAL REPRESENTATIONS AND AGREEMENTS OF THE PARTIES

N/A



 

ARTICLE X

NOVATION PROVISIONS

N/A



 

ARTICLE XI

CREDIT DERIVATIVES PHYSICAL SETTLEMENT MATRIX

N/A



 

ARTICLE XII

TERMS RELATING TO AUCTION SETTLEMENT

Section 12.1.  Auction Settlement.

If, with respect to a Reference Entity and a Credit Event, (a) an Auction Cancellation Date occurs, (b) a No Auction Announcement Date occurs (and, in circumstances where such No Auction Announcement Date occurs pursuant to Section 12.12(b), the Calculation Agent has not exercised the Movement Option), (c) ISDA publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved, following a Credit Event Resolution Request Date, not to determine the matters described in Section 1.24(a) and (b), (d) an Event Determination Date was determined pursuant to Section 1.8(a)(i) and no Credit Event Resolution Request Date has occurred on or prior to the date falling three Business Days after such Event Determination Date or (e) the Calculation Agent determines that each relevant Auction is not an Applicable Auction, the Fallback Settlement Method shall be applicable.

Section 12.2.  Auction.  "Auction" means, with respect to a Reference Entity and a Credit Event, an auction pursuant to which an Auction Final Price is determined in accordance with the procedure set out in the relevant Credit Derivatives Auction Settlement Terms.

Section 12.3.  Auction Settlement Date. 

N/A

Section 12.4.  Auction Settlement Amount.

N/A

Section 12.5.  Auction Final Price.  "Auction Final Price" has the meaning given to that term in the Rules.

Section 12.6.  Auction Final Price Determination Date.  "Auction Final Price Determination Date" has the meaning set forth in the Applicable Credit Derivatives Auction Settlement Terms.

Section 12.7.  Parallel Auction Final Price Determination Date. 

N/A

Section 12.8.  Credit Derivatives Auction Settlement Terms.  "Credit Derivatives Auction Settlement Terms" means any Credit Derivatives Auction Settlement Terms published by ISDA, in accordance with the Rules, a form of which will be published by ISDA on its website at www.isda.org (or any successor website thereto) from time to time and may be amended from time to time in accordance with the Rules.

Section 12.9.  Transaction Auction Settlement Terms. 

N/A

Section 12.10.  Parallel Auction Settlement Terms.  "Parallel Auction Settlement Terms" means, following the occurrence of a Restructuring with respect to a Reference Entity for which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified as being applicable in the relevant Standard, any Credit Derivatives Auction Settlement Terms published by ISDA with respect to such Restructuring in accordance with the Rules that would be Applicable Transaction Auction Settlement Terms, except that the applicable Permissible Deliverable Obligations are more limited or, as the case may be, less limited than the Permissible Deliverable Obligations that would apply to any Applicable Transaction Auction Settlement Terms.

Section 12.11.  Auction Covered Transaction. 

N/A

Section 12.12.  No Auction Announcement Date.  "No Auction Announcement Date" means, with respect to a Reference Entity and a Credit Event, the date on which ISDA first publicly announces that (a) no Applicable Transaction Auction Settlement Terms and, if applicable, no Parallel Auction Settlement Terms will be published, (b) following the occurrence of a Restructuring with respect to a Reference Entity for which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified as being applicable in the relevant Standard only, no Applicable Transaction Auction Settlement Terms will be published, but Parallel Auction Settlement Terms will be published or (c) the relevant Credit Derivatives Determinations Committee has Resolved that no Applicable Auction will be held following a prior public announcement by ISDA to the contrary. For the avoidance of doubt, the No Auction Announcement Date shall be the date of the relevant announcement by ISDA and not the date of any related determination by the Calculation Agent that such announcement relates to Applicable Transaction Auction Settlement Terms, Parallel Auction Settlement Terms or an Applicable Auction.

Section 12.13.  Auction Cancellation Date.  "Auction Cancellation Date" means, with respect to an Applicable Auction, the date on which the Calculation Agent determines that such Applicable Auction was deemed to have been cancelled as announced by ISDA (and/or the administrators specified in the Applicable Credit Derivatives Auction Settlement Terms) on its website or as otherwise determined and announced in accordance with the Applicable Credit Derivatives Auction Settlement Terms.

Section 12.14.  Parallel Auction Cancellation Date. 

N/A

Section 12.15.  Parallel Auction.  

N/A

Section 12.16.  Parallel Auction Settlement Date. 

N/A

Section 12.17.  Movement Option.  "Movement Option" means, with respect to a Reference Entity for which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified as being applicable in the relevant Standard, and with respect to which a No Auction Announcement Date has occurred pursuant to Section 12.12(b), the option of the Calculation Agent, exercisable by delivery of an effective Notice to Exercise Movement Option to the Issuer, to apply to such Reference Entity the Parallel Auction Settlement Terms, if any, for purposes of which the Permissible Deliverable Obligations are more limited than the Permissible Deliverable Obligations that would have applied to any Applicable Transaction Auction Settlement Terms had such terms been published (provided that if more than one such set of Parallel Auction Settlement Terms is published, the Parallel Auction Settlement Terms specifying the greatest number of such Permissible Deliverable Obligations shall apply).

If the Calculation Agent does not deliver an effective Notice to Exercise Movement Option on or prior to the Movement Option Cut-off Date, such Credit Event will be subject to the Fallback Settlement Method.

Section 12.18.  Permissible Deliverable Obligations.  "Permissible Deliverable Obligations" means, under the relevant Credit Derivatives Auction Settlement Terms, the deliverable obligations identified as "Permissible Deliverable Obligations" for purposes of such Credit Derivatives Auction Settlement Terms.

Section 12.19.  Movement Option Cut-off Date.  "Movement Option Cut-off Date" means the date that is four Relevant City Business Days following the Exercise Cut-off Date.

Section 12.19.  Section 12.20.  Notice to Exercise Movement Option  "Notice to Exercise Movement Option" means, with respect to a Reference Entity for which (a) either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified as being applicable in the relevant Standard and (b) the Fallback Settlement Method would otherwise be applicable pursuant to Section 12.1(b), an irrevocable notice from the Calculation Agent to the Issuer (which may be in writing (including by facsimile and/or e-mail) and/or by telephone) that (i) specifies the Parallel Auction Settlement Terms applicable with respect to such Reference Entity in accordance with Section 12.17 and (ii) is effective on or prior to the Movement Option Cut-off Date. A Notice to Exercise Movement Option shall be subject to the requirements regarding notices set forth in Section 1.10.

Section 12.21.  Deliverable Obligation Terms. 

N/A

Section 12.22.  Deliverable Obligation Provisions. 

N/A

ARTICLE XIII

SUPPLEMENTARY PROVISIONS

Section 13.1. Definitions.

"Applicable Auction" means an Auction which the Calculation Agent determines is relevant to a Credit Event with respect to a Reference Entity and Obligations thereof, for which purpose the Calculation Agent shall take into account (a) the credit event, reference entity, obligations and deliverable obligations to which the Auction relates, (b) the provisions of the Notes that set forth the criteria for establishing what obligations may constitute Reference Obligation(s) where Cash Settlement applies for purposes of Section 7.4 and (c) any exercise of the Movement Option in accordance with Section 12.17; provided that the Calculation Agent may also take into account any hedging transaction that the Issuer has entered or may enter into in connection with the Notes.

"Applicable Auction Final Price" means, with respect to an Applicable Auction, the price (expressed as a percentage) determined to be the Auction Final Price in accordance with the Applicable Credit Derivatives Auction Settlement Terms. The Calculation Agent shall notify the Issuer, as soon as practicable after the publication of the Auction Final Price in respect of an Applicable Auction, of the related Applicable Auction Final Price.

"Applicable Credit Derivatives Auction Settlement Terms" means, with respect to an Applicable Auction, the Credit Derivatives Auction Settlement Terms (if any) published in respect of such Applicable Auction, as determined by the Calculation Agent.

"Applicable Request" means a notice to ISDA, delivered in accordance with the Rules, requesting that a Credit Derivatives Determinations Committee be convened to resolve matters relating to whether a Credit Event, Potential Failure to Pay or Potential Repudiation/Moratorium has occurred with respect to a Reference Entity or an Obligation thereof.

"Applicable Resolution" means a DC Resolution in respect of an Applicable Request.

"Applicable Transaction Auction Settlement Terms" means, with respect to a Reference Entity and a Credit Event, the relevant Credit Derivatives Auction Settlement Terms which the Calculation Agent determines constitute Applicable Credit Derivatives Auction Settlement Terms, but disregarding for such purposes any actual or potential exercise of the Movement Option in accordance with Section 12.17. The Calculation Agent shall, as soon as practicable after determining that any Applicable Transaction Auction Settlement Terms have been published, notify the Issuer of the same.

"Calculation Agent" means the "Calculation Agent" specified in the terms and conditions of the Notes.

"Credit Observation End Date" means, in respect of the Notes, the Scheduled Maturity Date, or such other date as may be specified in the Final Terms in respect of the Notes.

"Credit Position" means subject to the other provisions hereof, in respect of the Reference Entity the principal amount specified as the Credit position for that Reference Entity in the Final Terms, provided that if further Notes are issued which form a single Series with the Notes, the Credit Position in respect of the Reference Entity will be increased pro rata to the aggregate principal amount of such further Notes and if Notes are repurchased and cancelled, the Credit Position in respect of the Reference Entity will be reduced pro rata to the aggregate principal amount of such repurchased and cancelled Notes.

"Cut-off Date" means, in respect of the Notes, (i) for any date which is an Interest Payment Date, the third Business Day preceding such Interest Payment Date and (ii) for any other date, the third Business Day preceding such date or such other date as specified in the Final Terms.

"Defaulted Credit" means, on any day, each Reference Entity in respect of which the Conditions to Settlement have been satisfied (save for where the Reference Entity is a Reference Entity in respect of which either "Restructuring Maturity Limitation and Fully Transferable Obligation Applicable" or "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation Applicable" is specified in the relevant Standard and "Multiple Credit Event Notices" is also specified as applicable in such Standard and in respect of which an Event Determination Date relating only to a Restructuring has occurred, in which case that Reference Entity shall, in relation to the Remaining Credit Position, be treated as a non-Defaulted Credit).

"DC No Credit Event Announcement Date" means the date on which ISDA first makes the relevant DC No Credit Event Announcement.

"Deferral Notice" means, with respect to a Reference Entity and any Specified Payment Date, an irrevocable notice from the Calculation Agent (which may be in writing (including by facsimile and/or e-mail) and/or by telephone) to the Issuer which may only be delivered after the Cut-off Date relating to such Specified Payment Date and on or prior to such Specified Payment Date (in each case determined by reference to Greenwich Mean Time) and which states that in the opinion of the Calculation Agent, acting in good faith:

(a)     a Credit Event has occurred or will occur in respect of such Reference Entity on or prior to the Specified Payment Extension Date relating to such Specified Payment Date and to the relevant Credit Event (in circumstances where no Event Determination Date has occurred with respect to such Credit Event on or prior to the Cut-off Date relating to such Specified Payment Date) (in each case determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)); or

(b)     if Potential Failure to Pay is applicable to such Reference Entity, a Potential Failure to Pay has occurred or will occur in respect of such Reference Entity on or prior to such Specified Payment Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)); or

(c)     if Potential Repudiation/Moratorium is applicable to such Reference Entity, a Potential Repudiation/Moratorium has occurred or will occur on or prior to such Specified Payment Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)); or

(d)     an Applicable Request has been made after the Cut-off Date.

A Deferral Notice is subject to the requirements regarding notices set forth in Section 1.10.

"Final Cut-off Date" means, in respect of the Notes, the Cut-off Date relating to the Scheduled Maturity Date, or such other date as may be specified in the Final Terms.

"Final Valuation Date" means, in respect of a Defaulted Credit, the day on which the Final Price in respect of such Defaulted Credit is determined.

In selecting any Valuation Date or in making any other selection hereunder, the Calculation Agent is under no obligation to the Holders, the Couponholders or any other person and, provided that it makes the relevant selection in accordance with the terms hereof, the Calculation Agent will not be liable to any person in the event that a lower price is obtained as a result of that selection than would have been obtained if a different selection had been made, or for any other consequence of the relevant selection. In making any selection, the Calculation Agent will not be liable to account to the Holders, the Couponholders or any other person for any profit or other benefit to it or any of its Affiliates which may result directly or indirectly from any such selection.

"ISDA" means the International Swaps and Derivatives Association, Inc.

"Latest EDD Trigger Date" means, in respect of a Specified Payment Date, the last day of the Specified Payment Notice Delivery Period, save that:

(a)     if a Credit Event Resolution Request Date occurs on or prior to the last day of the Specified Payment Notice Delivery Period and a DC Credit Event Announcement occurs in respect of the related Applicable Request, then the Latest EDD Trigger Date shall be:

(i)      the date on which the DC Credit Event Announcement occurs if the relevant Credit Event is not a Restructuring and either (1) if "Auction Settlement" is specified as the Settlement Method in the Notes, the Trade Date in respect of the relevant Reference Entity occurs on or prior to the Auction Final Price Determination Date, the Auction Cancellation Date or the date that is 21 calendar days following the No Auction Announcement Date, if any, as applicable, or (2) if "Auction Settlement" is not specified as the Settlement Method in the Notes, the Trade Date in respect of the relevant Reference Entity occurs on or prior to the relevant DC Credit Event Announcement;

(ii)     the Exercise Cut-off Date if the relevant Credit Event is a Restructuring; or

(iii)    the later of (1) the last day of the Specified Payment Notice Delivery Period and (2) the fourteenth calendar day following the date on which ISDA publicly announces the occurrence of the relevant DC Credit Event Announcement, if (A) the relevant Credit Event is not a Restructuring, (B) "Auction Settlement" is not specified as the Settlement Method in the Notes and (C) the Trade Date occurs following the relevant DC Credit Event Announcement;

(b)     if a Credit Event Resolution Request Date occurs on or prior to the last day of the Specified Payment Notice Delivery Period and ISDA publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved not to determine the matters described in Sections 1.24(a) and (b), then the Latest EDD Trigger Date shall be the later of the last day of the Specified Payment Notice Delivery Period and the fourteenth calendar day following the date on which ISDA publicly announces that it has Resolved not to determine such matters; and

(c)     if a Credit Event Resolution Request Date occurs on or prior to the last day of the Specified Payment Notice Delivery Period and a DC No Credit Event Announcement occurs in respect of the related Applicable Request, then the Latest EDD Trigger Date shall be the relevant DC No Credit Event Announcement Date.

As used in this definition, "DC Credit Event Announcement" shall have the meaning given to it in Section 1.30, save that references to "Notice Delivery Period" shall instead be construed as references to "Specified Payment Notice Delivery Period" and references to "Extension Date" shall instead be construed as references to "Specified Payment Extension Date".

"Latest Potential Event Determination Date" means, in respect of a Specified Payment Date, the last day of the Specified Payment Notice Delivery Period, save that:

(a)     if a Credit Event Resolution Request Date occurs on or prior to the last day of the Specified Payment Notice Delivery Period and a DC Credit Event Announcement occurs in respect of the related Applicable Request, then the Latest Potential Event Determination Date shall be:

(i)      the Credit Event Resolution Request Date if the relevant Credit Event is not a Restructuring and either (1) if "Auction Settlement" is specified as the Settlement Method in the Notes, the Trade Date in respect of the relevant Reference Entity occurs on or prior to the Auction Final Price Determination Date, the Auction Cancellation Date or the date that is 21 calendar days following the No Auction Announcement Date, if any, as applicable, or (2) if "Auction Settlement" is not specified as the Settlement Method in the Notes, the Trade Date in respect of the relevant Reference Entity occurs on or prior to the relevant DC Credit Event Announcement;

(ii)     the Credit Event Resolution Request Date if the relevant Credit Event is a Restructuring; or

(iii)    the later of (1) the last day of the Specified Payment Notice Delivery Period and (2) the fourteenth calendar day following the date on which ISDA publicly announces the occurrence of the relevant DC Credit Event Announcement, if (A) the relevant Credit Event is not a Restructuring, (B) "Auction Settlement" is not specified as the Settlement Method in the Notes and (C) the Trade Date occurs following the relevant DC Credit Event Announcement; and

(b)     if a Credit Event Resolution Request Date occurs on or prior to the last day of the Specified Payment Notice Delivery Period and ISDA publicly announces that the relevant Credit Derivatives Determinations Committee has Resolved not to determine the matters described in Sections 1.24(a) and (b), then the Latest Potential Event Determination Date shall be the later of (i) the last day of the Specified Payment Notice Delivery Period and (ii) the fourteenth calendar day following the date on which ISDA publicly announces that it has Resolved not to determine such matters.

As used in this definition, "DC Credit Event Announcement" shall have the meaning given to it in Section 1.30 save that references to "Notice Delivery Period" shall instead be construed as references to "Specified Payment Notice Delivery Period" and references to "Extension Date" shall instead be construed as references to "Specified Payment Extension Date".

"Rules" means the Credit Derivatives Determinations Committees Rules, as published by ISDA on its website at www.isda.org (or any successor website thereto) from time to time and as amended from time to time in accordance with the terms thereof.

"Specified Payment Date" means each Interest Payment Date (if any) and the Scheduled Maturity Date, as the case may be, and such other date as specified in the Final Terms.

"Specified Payment Extension Date" means, in respect of a Specified Payment Date, the latest of (a) the Specified Payment Date, (b) the Grace Period Extension Date if (i) Potential Failure to Pay is applicable to that Reference Entity, (ii) the Credit Event that is the subject of the Credit Event Notice or the notice to ISDA resulting in the occurrence of the Credit Event Resolution Request Date, as applicable, is a Failure to Pay that occurs after the relevant Specified Payment Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and (iii) the Potential Failure to Pay with respect to such Failure to Pay occurs on or prior to the relevant Specified Payment Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and (c) the Repudiation/Moratorium Evaluation Date if (i) Potential Repudiation/Moratorium is stated to be applicable with respect to that Reference Entity, (ii) the Credit Event that is the subject of the Credit Event Notice or the notice to ISDA resulting in the occurrence of the Credit Event Resolution Request Date, as applicable, is a Repudiation/Moratorium for which the event described in Section 4.6(a)(ii) occurs after the relevant Specified Payment Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)), (iii) the Potential Repudiation/Moratorium with respect to such Repudiation/Moratorium occurs on or prior to the relevant Specified Payment Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)) and (iv) the Repudiation/Moratorium Extension Condition is satisfied (but with references in the definition of "Repudiation/Moratorium Extension Condition" to the Credit Observation End Date being construed as references to the relevant Specified Payment Date).

"Specified Payment Notice Delivery Period" means, in respect of a Specified Payment Date, the date that is fourteen calendar days after the related Specified Payment Extension Date.

"Standard" means, in relation to a Reference Entity, the trading standard attached to, identified in or incorporated by reference into the Final Terms, and which is specified as applying and applies to such Reference Entity.

"Uncured Default" means, with respect to a Reference Entity and any day falling on or prior to the Credit Observation End Date (determined by reference to Greenwich Mean Time (or, if the relevant Standard is Japan or Japan Sovereign, Tokyo time)), a Potential Failure to Pay has occurred with respect to such Reference Entity or the Repudiation/Moratorium Extension Condition has been satisfied with respect to such Reference Entity and neither an Applicable Event Determination Date nor a Determination Date has occurred with respect to such Reference Entity.

Section 13.2. General.

If this Credit Annex is incorporated into, and forms part of, Contractual Terms relating to Notes which are described in a Drawdown Prospectus then references in this Credit Annex to "Final Terms" (including in the opening two italicised paragraphs of this Credit Annex) shall be construed as references to "Contractual Terms".

The Principal Programme Agent on behalf of the Issuer shall as soon as practicable give notice to the Holders of the determination by the Calculation Agent of the existence or occurrence of a Credit Event or the existence or occurrence of a Potential Failure to Pay or a Potential Repudiation/Moratorium which leads to a reduction in the amount payable in respect of the Notes on any date.

Certain determinations made by the Calculation Agent hereunder relate to the applicability of certain ISDA or ISDA committee determinations, announcements, resolutions or other actions (each an "ISDA Determination") to the Notes. Unless otherwise expressly stated herein, any dates and timings hereunder that are determined on the basis of the relevant dates and timings of any applicable ISDA Determination shall not be affected by any delay in the determination by the Calculation Agent that such ISDA Determination is applicable to the Notes, but shall be determined on the basis of the relevant dates and timings of such applicable ISDA Determination without regard to any such delay. Unless the context otherwise requires, any capitalised term that is used and defined herein that is also defined for purposes of an applicable ISDA Determination shall, where used in connection with such ISDA Determination, have the meaning given to such term for purposes of such ISDA Determination but shall also relate to the corresponding term as defined herein.

All calculations and determinations made by the Calculation Agent in relation to the Notes shall (save in the case of manifest error at the time the relevant determination is made) be final and binding on the Issuer, the agents appointed under the Agency Agreement, the Holders and the Couponholders.

In selecting any Reference Obligations hereunder, the Calculation Agent is under no obligation to the Holders or any other person and, provided that the obligation selected meets the criteria in the definition of "Reference Obligation", is entitled, and indeed will endeavour, to select any obligations which meet such criteria. In making any selection, the Calculation Agent will not be liable to account to the Holders or any other person for any profit or other benefit to it or any of its Affiliates which may result directly or indirectly from any such selection.

The Calculation Agent shall not be liable to any person for any delay in or failure to deliver any notices hereunder (including, without limitation, any Credit Event Notice) or for any differences in the timing of any notices delivered hereunder from that under any other transactions in respect of which the Calculation Agent or its Affiliates perform a similar role or are counterparties thereto. It is explicitly acknowledged (and shall be taken into account in any determination of whether it has been grossly negligent) that the Calculation Agent will also be performing calculations and other functions with respect to transactions other than the Notes and that it may make the calculations required hereunder and other calculations and other functions required by such other transactions in such order as seems appropriate to it and shall not be liable for the order in which it elects to perform calculations or other functions or for any delay caused by electing to perform calculations and other functions for such other transactions prior to those required hereunder.

The rights of a Holder under the Notes are irrespective of the existence or amount of such Holder's credit exposure to a Reference Entity and no party need suffer any loss or provide evidence of any loss as a result of the occurrence of a Credit Event.

When determining the existence or occurrence of any Potential Failure to Pay, Potential Repudiation/Moratorium or any Credit Event, the Calculation Agent shall make such determination based on the occurrence of an event whether or not the occurrence of the relevant event arises directly or indirectly from or is subject to a defence based upon (a) any lack or alleged lack of authority or capacity of the relevant Reference Entity to enter into any Obligation or, as applicable, an Underlying Obligor or Insured Obligor, as the case may be, to enter into any Underlying Obligation or Insured Instrument, as the case may be, (b) any actual or alleged unenforceability, illegality, impossibility or invalidity with respect to any Obligation or, as applicable, any Underlying Obligation or Insured Instrument, as the case may be, however described, (c) any applicable law, order, regulation, decree or notice, however described, or the promulgation of, or any change in, the interpretation by any court, tribunal, regulatory authority or similar administrative or judicial body with competent or apparent jurisdiction of any applicable law, order, regulation, decree or notice, however described, or (d) the imposition of or any change in any exchange controls, capital restrictions or any other similar restrictions imposed by any monetary or other authority.

No person shall have any right to enforce any term or condition of the Notes under the Contracts (Rights of Third Parties) Act 1999.

 

 


SCHEDULE 10

ANNEX B

 

EUROPEAN TRADING STANDARD

 

Business Days:

London and TARGET Settlement Days



Credit Events:

The following Credit Events shall apply with respect to Reference Entities to which European Trading Standards apply:




Bankruptcy (except with respect to any Reference Entity which is a Sovereign)




Failure to Pay





Payment Requirement:

USD 1,000,000




Restructuring




Multiple Holder Obligation 

Applicable.


Default Requirement:

USD 10,000,000





Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation:

Applicable.


 


 

Obligation(s):

For the purposes of the table below;

 

"Yes" shall mean that the relevant selection is applicable; and

"No" shall mean that the relevant selection is not applicable.

 


Obligation Categories


Obligation Characteristics





No

Payment

No

Not Subordinated

Yes

Borrowed Money

No

Specified Currency  - Standard Specified Currencies

No

Reference Obligation(s) Only

No

Not Sovereign Lender

No

Bond

No

Not Domestic Currency

No

Loan

No

Not Domestic Law

No

Bond or Loan

No

Listed



No

Not Domestic Issuance

 

Excluded Obligations:

None



All Guarantees:

Applicable

 

Deliverable Obligation(s):

 

 

For the purposes of the table below;

 

"Yes" shall mean that the relevant selection is applicable; and

"No" shall mean that the relevant selection is not applicable

 


Deliverable Obligation Categories


Deliverable Obligation Characteristics





No

Payment

Yes

Not Subordinated

No

Borrowed Money

Yes

Specified Currency  - Standard Specified Currencies

No

Reference Obligation(s) Only

No

Not Sovereign Lender

No

Bond

No

Not Domestic Currency

No

Loan

No

Not Domestic Law

Yes

Bond or Loan

No

Listed



Yes

Not Contingent



No

Not Domestic Issuance



Yes

Assignable Loan



Yes

Consent Required Loan



No

Direct Loan Participation

Qualifying Participation Seller:



Yes

Transferable



Yes, 30 years

Maximum Maturity



No

Accelerated or Matured



Yes

Not Bearer

 

Excluded Deliverable Obligations:

None



Deliverable Obligations:

Exclude Accrued Interest



Section 3.9 of the 2003 Definitions:

Applicable

Physical Settlement:

Where Physical Settlement is applicable the following terms shall also apply:

 

Physical Settlement Period:

30 Business Days.

 

Additional Condition to Settlement:

Notice of Physical Settlement.


 

Cap on Settlement Fallback:

Applicable

 

The following terms shall be applicable as follows:

1.          "Potential Failure to Pay" shall be applicable with respect to the Reference Entity.

2.          "Potential Repudiation/Moratorium" shall be applicable to the Reference Entity if "Repudiation Moratorium" is specified as a Credit Event in the Trading Standard relating to the Reference Entity.

The following amendments shall apply in relation to the Trading Standard and the Credit Annex, whether attached to these Final Terms or in a separate document unless otherwise indicated:

1.          All references to "Deliverable Obligation" shall be deemed to be to "Reference Obligation".

2.          References to "Section 3.9 of the 2003 definitions" shall be read as references to "Multiple Credit Event Notices".

3.          The terms in the Trading Standard (if any) specified under the heading "Section 3.3 of the 2003 Definitions" shall not apply.

4.          The terms in the Trading Standard specified under the heading "Physical Settlement" shall not apply.

5.          Business Day shall be deemed to be a reference to a Business Day (as defined in the Base Prospectus) or a Valuation Business Day as the context so requires.

6.          The terms in the Trading Standard (if any) specified under the headings "Grace Period Extension" and "Amendment for Grace Period Extension" shall not apply but without prejudice to the relevant provision of the Notes together with the Credit Provisions Annex.

7.          Notwithstanding the definition of "Obligation" in the Credit Provisions Annex, paragraph (a) of such definition shall not include any Obligation specified as an Excluded Obligation in the Trading Standard.

8.          Any additional provisions relating to a Reference Entity that is a monocline insurance company issuing financial guaranty insurance policies or similar financial guarantees and stated to be applicable in the Trading Standard relating to such Reference Entity shall have no effect, but instead the provisions that are stated to be applicable to a Reference Entity that is a monocline insurance company issuing financial guaranty insurance policies or similar financial guarantees in the Credit Provisions Annex shall apply.

9.          Except as the context may otherwise require, references to "Standard" shall be to "trading Standard and vice versa.


SCHEDULE 11

ANNEX C

CREDIT DERIVATIVES DETERMINATIONS COMMITTEES

In making certain determinations with respect to the Notes, the Calculation Agent shall be obliged to follow the DC Resolutions of the Credit Derivatives Determinations Committees.  This Annex sets forth a summary of the Credit Derivatives Determinations Committees Rules, as published by ISDA on its website at www.isda.org (or any successor website thereto) from time to time and as amended from time to time in accordance with the terms thereof (the "Rules"), as they exist as of the Issue Date. This summary is not intended to be exhaustive and prospective investors should also read the Rules, and reach their own views prior to making any investment decisions.  A copy of the Rules published by ISDA as of 24 July 2009 may be inspected at the offices of the Issuer and is available at:

 

http://www.jpmorgan.com/directdoc/credit_derivatives_dermination_committees_rules_7_24_09.pdf

 

Capitalized terms used but not defined in this summary have the meaning specified in these Final Terms. 

 

Establishment of the Credit Derivatives Determinations Committees

 

In accordance with the Rules, a Credit Derivatives Determinations Committee has been formed for each of the regions of (a) the Americas, (b) Asia Ex-Japan, (c) Australia-New Zealand, (d) Europe, Middle East and Africa and (e) Japan.  As of the Issue Date, the Calculation Agent (or one of its affiliates) is a voting member on each of the Credit Derivatives Determinations Committees.  See "Potential conflicts of interest due to the involvement of the Calculation Agent with the Credit Derivatives Determinations Committees" in the "Risk Factors" section for additional information.  The Credit Derivatives Determinations Committees will act in accordance with the Rules and will make determinations that are relevant for Credit Derivative Transactions that incorporate, or are deemed to incorporate, the 2009 ISDA Credit Derivatives Determinations Committees, Auction Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives Definitions (published on 14 July 2009) as published by ISDA (the "July 2009 Supplement").  ISDA will serve as the secretary of each Credit Derivatives Determinations Committee and will perform administrative duties and make certain determinations as provided for under the Rules.

 

Decision-making Process of the Credit Derivatives Determinations Committees

 

Each DC Resolution by a Credit Derivatives Determinations Committee will apply to Credit Derivative Transactions that incorporate, or are deemed to incorporate, the July 2009 Supplement and for which the relevant provisions are not materially inconsistent with the provisions with respect to which the Credit Derivatives Determinations Committee bases its determination.  As a result, except for pursuant to the terms of the Notes, determinations by the Credit Derivatives Determinations Committees are not otherwise applicable to the Holders.  Furthermore, the institutions on the Credit Derivatives Determinations Committees owe no duty to the Holders in their capacity as Holders.  Under the terms of the Notes, certain determinations by the Credit Derivatives Determinations Committees will be binding on the Holders.  The Credit Derivatives Determinations Committees shall have no ability to amend the terms of the Notes.  The Credit Derivatives Determinations Committees will be able to make determinations without action or knowledge by the Holders.

 

A Credit Derivatives Determinations Committee will be convened upon referral of a question to ISDA and the agreement of at least one of the voting members of the relevant Credit Derivatives Determinations Committee to deliberate the question.  ISDA will convene the Credit Derivatives Determinations Committee for the region to which the referred question relates, as determined in accordance with the Rules.  Any party to a transaction that incorporates, or is deemed to incorporate, the July 2009 Supplement may refer a question to ISDA for a Credit Derivatives Determinations Committee to consider.  Therefore, a binding determination may be made with respect to the Notes without any action by the Holders.   See "Holders (in their capacity as holders of the Notes) will not be able to refer questions to the Credit Derivatives Determinations Committees" in "Risk Factors" for additional information regarding the lack of Holders' involvement in determinations made by the Credit Derivatives Determinations Committees.

 

Once a question is referred to a Credit Derivatives Determinations Committee, a DC Resolution may result quickly, as a binding vote usually must occur within two business days of the first meeting held with respect to such question unless the timeframe is extended by agreement of at least 80% of the voting members participating in a vote held in accordance with the Rules.  In addition, voting members of the Credit Derivatives Determinations Committees are required to participate in each binding vote, subject only to limited abstention rights.  Notices of questions referred to the Credit Derivatives Determinations Committees, meetings held to deliberate such questions and the results of binding votes will be published on the ISDA website and neither the Issuer, the Calculation Agent nor any of their respective affiliates shall be obliged to inform the Holders of such information (other than as expressly provided in these Final Terms).  Holders, in their capacity as Holders, shall therefore be responsible for obtaining such information.   See "Holders shall be responsible for obtaining information relating to deliberations of the Credit Derivatives Determinations Committees" in the "Risk Factors" section for additional information

 

The Credit Derivatives Determinations Committees have the ability to make determinations that may materially affect the Holders.  The Credit Derivatives Determinations Committees will be able to make a broad range of determinations in accordance with the Rules that may be relevant to the Notes and materially affect the Holders.  For each of the general types of questions discussed below, the Credit Derivatives Determinations Committees may determine component questions that arise under the 2003 ISDA Credit Derivatives Definitions, as supplemented by the July 2009 Supplement (the "Credit Derivatives Definitions"), or the Rules and that are related to the initial question referred.  Since the terms governing the credit-linked elements of the Notes are substantially similar to the Credit Derivatives Definitions, such determinations may affect the Holders, as further described below.

 

Credit Events

 

The Credit Derivatives Determinations Committees will be able to determine whether a Credit Event has occurred and the date of such Credit Event.  Related questions that are also within the scope of the Credit Derivatives Determinations Committees are whether the Repudiation/Moratorium Extension Condition is satisfied or whether a Potential Failure to Pay or a Potential Repudiation/Moratorium has occurred.  In addition, the Credit Derivatives Determinations Committees will also determine, where necessary, whether the required Publicly Available Information has been provided.  Each of these determinations, other than whether the required Publicly Available Information has been provided, requires the agreement of at least 80% of the voting members participating in a binding vote held in accordance with the Rules in order to avoid the referral of the question to the external review process, as described further below.  The determination of whether the required Publicly Available Information has been provided requires the agreement of at least a majority of the voting members participating in a binding vote held in accordance with the Rules and is not eligible for external review.  Notwithstanding any determination by the Credit Derivatives Determinations Committees, the Calculation Agent may still declare a Credit Event and deliver a Credit Event Notice even if a Credit Derivatives Determinations Committee has not Resolved that a Credit Event has occurred, provided that a Credit Derivatives Determinations Committee has not Resolved that a Credit Event has not occurred.

 

Auctions

 

Once a Credit Derivatives Determinations Committee has Resolved that a Credit Event has occurred, such Credit Derivatives Determinations Committee may determine to hold one or more auctions in order to settle affected transactions.  Such determination requires the agreement of at least a majority of the voting members participating in a binding vote held in accordance with the Rules and is not eligible for external review.  For each auction that is held, the Credit Derivatives Determinations Committee will publish a set of Credit Derivatives Auction Settlement Terms (for further information about the Credit Derivatives Auction Settlement Terms, see "Auction Settlement Terms" at Annex D to these Final Terms).  In order to publish the set of Credit Derivatives Auction Settlement Terms, the Credit Derivatives Determinations Committee will make several related determinations, including the auction date, whether certain institutions can act as a Participating Bidder in the auction and the supplemental terms that are detailed in Schedule 1 to the form of Credit Derivatives Auction Settlement Terms as published by ISDA on its website at www.isda.org (or any successor website thereto) from time to time and as amended from time to time.  Each of these determinations requires the agreement of at least a majority of the voting dealer members participating in a binding vote held in accordance with the Rules and is not eligible for external review.  The Credit Derivatives Determinations Committee may also decide to further amend the form of Credit Derivatives Auction Settlement Terms for a particular auction and may decide whether a public comment period is necessary in order to effect such an amendment.  Any such amendment to the form of Credit Derivatives Auction Settlement Terms for a particular auction will require the agreement of at least 80% of the voting members participating in a binding vote held in accordance with the Rules and is not eligible for external review.  Since, following an Event Determination Date, the Final Redemption Amount of the Notes may be calculated based upon the Auction Final Price determined for the Reference Entity, any decision as to whether an auction will be held and as to the terms of such an auction may influence the ultimate recovery of the Holders under the Notes.

 

If a Credit Derivatives Determinations Committee Resolves to hold an auction to settle affected transactions, the auction date will be the third business day immediately preceding the 30th calendar day after the relevant Credit Event Resolution Request Date, unless at least a majority of the voting dealer members participating in a binding vote held in accordance with the Rules decide otherwise.  The process for compiling the list of Deliverable Obligations, described further below, is designed to be completed in ten calendar days, subject to extensions for relevant deadlines falling on non-business days, delays resulting from questions being referred to external review and modifications to the timeline by at least 80% of the voting members participating in a binding vote held in accordance with the Rules.  The Notes will be redeemed on the third Business Day following the Auction Settlement Date (as defined in the relevant set of Credit Derivatives Auction Settlement Terms).

 

Deliverable Obligations

 

Following a DC Resolution to publish a set of Credit Derivatives Auction Settlement Terms, the Credit Derivatives Determinations Committee will determine the Deliverable Obligations for such set of Credit Derivatives Auction Settlement Terms in accordance with the procedures detailed in the Rules.  The Credit Derivatives Determinations Committee will first determine the terms that will apply to such set of Credit Derivatives Auction Settlement Terms for purposes of determining Deliverable Obligations and then will compile an initial list of potential Deliverable Obligations.  The initial set of terms to apply to a specific set of Credit Derivatives Auction Settlement Terms and the inclusion of potential Deliverable Obligations on an initial list require the agreement of at least a majority of the voting members participating in a binding vote held in accordance with the Rules and are not eligible for external review.  Any party to a transaction that incorporates, or is deemed to incorporate, the July 2009 Supplement may propose additional Deliverable Obligations to be considered or challenge the potential Deliverable Obligations included on the list compiled by the Credit Derivatives Determinations Committee.  For each proposed or challenged potential Deliverable Obligation, the Credit Derivatives Determinations Committee will decide whether such potential Deliverable Obligation is a Deliverable Obligation for purposes of the relevant set of Credit Derivatives Auction Settlement Terms, a determination that requires the agreement of at least 80% of the voting members participating in a binding vote held in accordance with the Rules in order to avoid the referral of the question to the external review process, as described further below.  Such parties will be required to bear the related costs if their proposed Deliverable Obligation is Resolved not to be a Deliverable Obligation or if their challenge is ultimately unsuccessful.  The Deliverable Obligations that are included in any auction may affect the Auction Final Price determined by such auction and hence the ultimate recovery of the Holders under the Notes.

 

Succession Events

 

The Credit Derivatives Determinations Committees will be able to determine whether a Succession Event has occurred and the relevant date of such Succession Event.  In addition, the Credit Derivatives Determinations Committees will also determine the identity of the Successor(s) in accordance with the Rules.  For a Reference Entity that is not a Sovereign, the Credit Derivatives Determinations Committees will determine the Relevant Obligation(s) of the Reference Entity, the outstanding principal balance of any Relevant Obligation(s) and the proportion of the Relevant Obligation(s) to which each purported Successor succeeds in order to determine the identity of the Successor(s).  Each of these determinations requires the agreement of at least 80% of the voting members participating in a binding vote held in accordance with the Rules in order to avoid the referral of the question to the external review process, as described further below, except for the actual identification of the Successor(s) for a Reference Entity that is not a Sovereign (which only requires a majority and is not eligible for external review).  The Calculation Agent will use the relevant DC Resolutions of the Credit Derivatives Determinations Committees in order to determine Successor(s) to the Reference Entity.

 

Other Questions

 

The Credit Derivatives Determinations Committees will be able to determine whether circumstances have occurred that require a Substitute Reference Obligation to be identified and, if so, the appropriate Substitute Reference Obligation.  In addition, the Credit Derivatives Determinations Committees will be able to determine whether an entity that acts as seller of protection under one or more transactions (such entity, the "Relevant Seller") or a Reference Entity has consolidated or amalgamated with, or merged into, or transferred all or substantially all its assets to, the Reference Entity or the Relevant Seller, as applicable, or that the Relevant Seller and the Affected Reference Entity have become Affiliates.  Each of these determinations requires the agreement of at least 80% of the voting members participating in a binding vote held in accordance with the Rules in order to avoid the referral of the question to the external review process, as described further below.  The Calculation Agent may follow such DC Resolutions in making the equivalent determinations with respect to the Notes.

 

The Credit Derivatives Determinations Committees will be able to determine other referred questions that are relevant to the credit derivatives market as a whole and are not merely a matter of bilateral dispute.  Such questions require the agreement of at least 80% of the voting members participating in a binding vote held in accordance with the Rules for each Credit Derivatives Determinations Committee implicated by the relevant question, as determined in accordance with the Rules, in order to avoid the possible referral of the question to the external review process, as described further below.  In cases where the required voting threshold is not satisfied, the question will be referred to the external review process if at least a majority of the voting members participating in a binding vote held in accordance with the Rules agree.  Any guidance given by the Credit Derivatives Determinations Committees with respect to questions of interpretation of the Credit Derivatives Definitions are likely to influence the Calculation Agent in interpreting equivalent provisions under the Notes.

 

External Review

 

As described immediately above, certain questions deliberated by the Credit Derivatives Determinations Committees are subject to an external review process if the required threshold is not met during the binding vote held with respect to such question.  For such questions, if at least 80% of the voting members participating in a binding vote held in accordance with the Rules fail to agree, the question will be automatically referred to the external review process.  Questions that are not eligible for external review often require only a simple majority of participating voting members to agree in order to reach a DC Resolution.

 

Questions referred to external review will be considered by a panel of three independent individuals who will be selected by either the relevant Credit Derivatives Determinations Committee or by ISDA at random.  The default duration of the external review process (which can be modified by the relevant Credit Derivatives Determinations Committee in accordance with the Rules) is ten business days from the referral of the question and contemplates the receipt of both written submissions and oral argument.  Any member of ISDA may provide written submissions to the external reviewers and the conclusion reached in accordance with the external review process will be binding on the Holders.  In instances where the vote of the relevant Credit Derivatives Determinations Committee was less than or equal to 60%, the decision of a majority of the external reviewers will be determinative.  However, in instances where the vote of the relevant Credit Derivatives Determinations Committee was between 60% and 80%, all three external reviewers must agree in order to overturn the vote of the Credit Derivatives Determinations Committee. 

 

Holders should be aware that the external reviewers may not consider new information that was not available to the relevant Credit Derivatives Determinations Committee at the time of the binding vote and questions may be returned to the Credit Derivatives Determinations Committee for another vote if new information becomes available.  In addition, if the external reviewers fail to arrive at a decision for any reason, the entire process will be repeated.  As a result, the external review process may be elongated in certain situations, leaving questions that may materially affect the Holders unresolved for a period of time.

 

The Composition of the Credit Derivatives Determinations Committees

 

Each Credit Derivatives Determinations Committee is composed of fifteen voting members and three non-voting consultative members.  Ten of the voting members are dealer institutions, with eight serving across all regions and two potentially varying by region.  The other five voting members are non-dealer institutions that serve across all regions.  The three non-voting consultative members consist of one dealer institution and one non-dealer institution that serve across all regions and one dealer institution that could potentially vary by region.  For the first composition of the Credit Derivatives Determinations Committees only, an additional non-voting dealer institution has been selected to serve across all regions.

 

Holders will have no role in the composition of the Credit Derivatives Determinations Committees, in their capacity as Holders.  Separate criteria apply with respect to the selection of dealer and non-dealer institutions to serve on the Credit Derivatives Determinations Committees and the Holders will have no role in establishing such criteria.  In addition, the composition of the Credit Derivatives Determinations Committees will change from time to time in accordance with the Rules, as the term of an institution may expire or an institution may be required to be replaced.  The Holders will have no control over the process for selecting institutions to participate in the Credit Derivatives Determinations Committees and, to the extent provided for in the Notes, will be subject to the determinations made by such selected institutions in accordance with the Rules.

 

Ability of the Calculation Agent or its affiliates to influence the Credit Derivatives Determinations Committees

 

As of the Issue Date, the Calculation Agent (or one of its affiliates) is a voting member on each of the Credit Derivatives Determinations Committees.  In such capacity, it may take certain actions that may influence the process and outcome of decisions of the Credit Derivatives Determinations Committees, including (without limitation): (a) agreeing to deliberate a question referred to ISDA, (b) voting on the resolution of any question being deliberated by a Credit Derivatives Determinations Committee and (c) advocating a certain position during the external review process.  In addition, as a party to transactions which incorporate, or are deemed to incorporate, the July 2009 Supplement, the Calculation Agent may refer a question to ISDA for a Credit Derivatives Determinations Committee to deliberate.  In deciding whether to take any such action, the Calculation Agent (or its Affiliate) shall be under no obligation to consider the interests of any Holders.  See "Potential Conflicts of Interest of the Calculation Agent" below for additional information.

 

Potential Conflicts of Interest of the Calculation Agent

 

Since, as of the Issue Date, the Calculation Agent (or one of its affiliates) is a voting member on each of the Credit Derivatives Determinations Committees and is a party to transactions which incorporate, or are deemed to incorporate, the July 2009 Supplement, it may take certain actions which may influence the process and outcome of decisions of the Credit Derivatives Determinations Committees.  See "Ability of the Calculation Agent or its Affiliates to influence the Credit Derivatives Determinations Committees" above for additional information.  Such action may be adverse to the interests of the Holders and may result in an economic benefit accruing to the Calculation Agent.  In taking any action relating to the Credit Derivatives Determinations Committees or performing any duty under the Rules, the Calculation Agent shall have no obligation to consider the interests of the Holders and may ignore any conflict of interest arising due to its responsibilities under the Notes.

 

Holders will have no recourse against either the institutions serving on the Credit Derivatives Determinations Committees or the external reviewers.  Institutions serving on the Credit Derivatives Determinations Committees and the external reviewers, among others, disclaim any duty of care or liability arising in connection with the performance of duties or the provision of advice under the Rules, except in the case of gross negligence, fraud or wilful misconduct.  Furthermore, the institutions on the Credit Derivatives Determinations Committees do not owe any duty to the Holders and the Holders will be prevented from pursuing claims with respect to actions taken by such institutions under the Rules. 

 

Holders should also be aware that institutions serving on the Credit Derivatives Determinations Committees have no duty to research or verify the veracity of information on which a specific determination is based.  In addition, the Credit Derivatives Determinations Committees are not obligated to follow previous determinations and, therefore, could reach a conflicting determination for a similar set of facts. 

 

Holders shall be responsible for obtaining information relating to deliberations of the Credit Derivatives Determinations Committees.  Notices of questions referred to the Credit Derivatives Determinations Committees, meetings held to deliberate such questions and the results of binding votes will be published on the ISDA website and neither the Issuer, the Calculation Agent nor any of their respective Affiliates shall be obliged to inform the Holders of such information (other than as expressly provided in these Final Terms).  Failure by the Holders to be aware of information relating to deliberations of a Credit Derivatives Determinations Committee will have no effect under these Final Terms and Holders are solely responsible for obtaining any such information.

 

Amendments to the Rules

 

The Rules may be amended from time to time without the consent or input of the Holders and the powers of the Credit Derivatives Determinations Committees may be expanded or modified as a result.


SCHEDULE 12

ANNEX D

AUCTION SETTLEMENT TERMS

This Annex contains a summary of certain provisions of the Form of Credit Derivatives Auction Settlement Terms set forth at Annex B to the 2009 ISDA Credit Derivatives Determinations Committees and Auction Settlement Supplement to the 2003 ISDA Credit Derivatives Definitions, published by the International Swaps and Derivatives Association, Inc. ("ISDA") on 12 March 2009 (the "Form of Auction Settlement Terms") and is qualified by reference to the detailed provisions thereof. The following does not purport to be complete and prospective investors must refer to the Form of Auction Settlement Terms for detailed information regarding the auction methodology set forth therein (the "Auction Methodology"). The Auction and the Auction Methodology apply to credit default swaps on the Reference Entity and do not apply specifically to the Notes; however, if an Event Determination Date occurs and an Auction is held, the determination of the occurrence of an Auction Final Price shall be applied by the Calculation Agent to the Notes for the purposes of determining the cessation of interest payments. See the Credit Annex attached hereto as Annex A. A copy of the Form of Auction Settlement Terms may be inspected at the offices of the Issuer and is also currently available at:

 

http://www.jpmorgan.com/directdoc/form_of_credit_derivatives_auction_settlement_terms_4_8_09.pdf 

 

The Form of Credit Derivatives Auction Settlement Terms is subject to amendment from time to time in accordance with the Rules. Holders should also be aware that the Credit Derivatives Determinations Committees have the power to amend the form of Credit Derivatives Auction Settlement Terms for a particular auction and that this summary may therefore not be accurate in all cases (for further information about the Credit Derivatives Auction Settlement Terms, see "Credit Derivatives Determinations Committees" at Annex C of these Final Terms).

 

Capitalized terms used but not defined in this summary have the meaning specified in the Final Terms. All times of day in this summary refer to such times in New York City.

 

Publication of Credit Derivatives Auction Settlement Terms

 

Pursuant to the Credit Derivatives Determinations Committees Rules (July 24, 2009 Version) (the "Rules"), a Credit Derivatives Determinations Committee may determine that a Credit Event has occurred in respect of the Reference Entity (such entity, an "Affected Reference Entity") and that one or more auctions will be held in order to settle affected transactions referencing such Affected Reference Entity based upon an Auction Final Price determined according to an auction procedure set forth in the Form of Auction Settlement Terms (each, an "Auction"). If an Auction is to be held, the Credit Derivatives Determinations Committee will publish Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity, based upon the Form of Auction Settlement Terms. In doing so, the Credit Derivatives Determinations Committee will make several related determinations, including the Auction Date, the Participating Bidders and the supplemental terms that are detailed in Schedule 1 to the Form of Auction Settlement Terms. The Credit Derivatives Determinations Committee may also amend the Form of Auction Settlement Terms for a particular auction and may determine that a public comment period is necessary in order to effect such an amendment if such amendment is not contemplated by the Rules.



Auction Methodology

 

Determining the Auction Currency Rate

 

On the Auction Currency Fixing Date, the Administrators will determine the rate of conversion (each, an "Auction Currency Rate") as between the Relevant Currency and the currency of denomination of each Deliverable Obligation (each, a "Relevant Pairing") by reference to a Currency Rate Source or, if such Currency Rate Source is unavailable, by seeking mid-market rates of conversion from Participating Bidders (determined by each such Participating Bidder in a commercially reasonable manner) for each such Relevant Pairing. If rates of conversion are sought from Participating Bidders and more than three such rates are obtained by the Administrators, the Auction Currency Rate will be the arithmetic mean of such rates, without regard to the rates having the highest and lowest values. If exactly three rates are obtained, the Auction Currency Rate will be the rate remaining after disregarding the rates having the highest and lowest values. For this purpose, if more than one rate has the same highest or lowest value, then one of such rates shall be disregarded. If fewer than three rates are obtained, it will be deemed that the Auction Currency Rate cannot be determined for such Relevant Pairing.

 

Initial Bidding Period

 

During the Initial Bidding Period, Participating Bidders will submit to the Administrators: (a) Initial Market Bids; (b) Initial Market Offers; (c) Dealer Physical Settlement Requests; and (d) Customer Physical Settlement Requests (to the extent received from customers).

 

Initial Market Bids and Initial Market Offers are firm quotations, expressed as percentages, to enter into credit derivative transactions in respect of the Affected Reference Entity on terms equivalent to the Representative Auction-Settled Transaction.

 

The Initial Market Bid and Initial Market Offer submitted by each Participating Bidder must differ by no more than the designated Maximum Initial Market Bid-Offer Spread and must be an integral multiple of the Relevant Pricing Increment. The Initial Market Bid must be less than the Initial Market Offer.

 

Dealer Physical Settlement Requests and Customer Physical Settlement Requests are firm commitments, submitted by a Participating Bidder, on its own behalf or on behalf of a customer, as applicable, to enter into a Representative Auction-Settled Transaction, in each case, as seller of credit protection (in which case, such commitment will be a "Physical Settlement Buy Request") or buyer of credit protection (in which case, such commitment will be a "Physical Settlement Sell Request"). Each Dealer Physical Settlement Request must be, to the best of such Participating Bidder's knowledge and belief, in the same direction as, and not in excess of, its Market Position. Each Customer Physical Settlement Request must be, to the best of the relevant customer's knowledge and belief (aggregated with all Customer Physical Settlement Requests submitted by such customer), in the same direction as, and not in excess of, its Market Position.

 

If the Administrators do not receive valid Initial Market Bids and Initial Market Offers from at least a minimum number of Participating Bidders (as determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity), the timeline will be adjusted and the Initial Bidding Period extended, with the Auction recommencing at such time(s) specified by the Administrators, otherwise it will proceed as follows.

 

Determination of Open Interest, Initial Market Midpoint and Adjustment Amounts

 

The Administrators will calculate the Open Interest, the Initial Market Midpoint and any Adjustment Amounts in respect of the Auction.

 

The Open Interest is the difference between all Physical Settlement Sell Requests and all Physical Settlement Buy Requests.

 

To determine the Initial Market Midpoint, the Administrators will: (a) sort the Initial Market Bids in descending order and the Initial Market Offers in ascending order, identifying non-tradable markets for which bids are lower than offers; (b) sort non-tradable markets in terms of tightness of spread between Initial Market Bid and Initial Market Offer; and (c) identify that half of the non-tradable markets with the tightest spreads. The Initial Market Midpoint is determined as the arithmetic mean of the Initial Market Bids and Initial Market Offers contained in the half of non-tradable markets with the tightest spreads.

 

Any Participating Bidder whose Initial Market Bid or Initial Market Offer forms part of a tradable market will be required to make a payment to ISDA on the third Business Day after the Auction Final Price Determination Date (an "Adjustment Amount"), calculated in accordance with the Auction Methodology. Any payments of Adjustment Amounts will be used by ISDA to defray any costs related to any auction that ISDA has coordinated, or that ISDA may in the future coordinate, for purposes of settlement of credit derivative transactions.

 

If for any reason no single Initial Market Midpoint can be determined, the procedure set out above may be repeated.

 

At or prior to the Initial Bidding Information Publication Time on any day on which the Initial Bidding Period has successfully concluded, the Administrators publish the Open Interest, the Initial Market Midpoint and the details of any Adjustment Amounts in respect of the Auction.

 

If the Open Interest is zero, the Auction Final Price will be the Initial Market Midpoint.

 

Submission of Limit Order Submissions

 

In the event that the Open Interest does not equal zero, a subsequent bidding period will be commenced during the Initial Bidding Period which: (a) if the Open Interest is an offer to sell Deliverable Obligations, Participating Bidders submit Limit Bids; or (b) if the Open Interest is a bid to purchase Deliverable Obligations, Limit Offers, in each case, on behalf of customers and for their own account.

 

Matching bids and offers

 

If the Open Interest is a bid to purchase Deliverable Obligations, the Administrators will match the Open Interest against all Initial Market Offers and Limit Offers, as further described in the Auction Methodology. If the Open Interest is an offer to sell Deliverable Obligations, the Administrators will match the Open Interest against all Initial Market Bids and Limit Bids, as further described in the Auction Methodology.

(a)        Auction Final Price when the Open Interest is Filled

 

The Auction Final Price will be the price associated with the matched market that is the highest offer or the lowest bid, as applicable, provided that: (a) if the Open Interest is an offer to sell and the price associated with the lowest matched bid is more than the Cap Amount higher than the Initial Market Midpoint, then the Auction Final Price will be the Initial Market Midpoint plus the Cap Amount; and (b) if the Open Interest is a bid to purchase and the price associated with the highest offer is more than the Cap Amount lower than the Initial Market Midpoint, then the Auction Final Price will be the Initial market Midpoint minus the Cap Amount.

(b)        Auction Final Price when the Open Interest is Not Filled

 

If, once all the Initial Market Bids and Limit Bids or Initial Market Offers and Limit Offers, as applicable, have been matched to the Open Interest, part of the Open Interest remains, the Auction Final Price will be: (a) if the Open Interest is a bid to purchase Deliverable Obligations, subject to a cap of 100%; or (b) if the Open Interest is an offer to sell Deliverable Obligations, zero.

 

100 per cent. Cap to Auction Final Price

 

In all cases, if the Auction Final Price determined pursuant to the Auction Methodology is greater than 100 per cent., then the Auction Final Price will be deemed to be 100 per cent.

 

Publication of Auction Final Price

 

At or prior to the Subsequent Bidding Information Publication Time on any day on which the subsequent bidding period has successfully concluded, the Administrators will publish on their websites: (a) the Auction Final Price; (b) the names of the Participating Bidders who submitted bids, offers, valid Dealer Physical Settlement Requests and valid Customer Physical Settlement Requests, together with the details of all such bids and offers submitted by each; and (c) the details and size of all matched trades.

 

Execution of Trades Formed in the Auction

 

Each Participating Bidder whose Limit Bid or Initial Market Bid (or Limit Offer or Initial Market Offer if applicable) is matched against the Open Interest, and each Participating Bidder that submitted a Customer Physical Settlement Request or Dealer Physical Settlement Request, is deemed to have entered into a Representative Auction-Settled Transaction, and each customer that submitted such a Limit Bid, Limit Offer, or Physical Settlement Request is deemed to have entered into a Representative Auction-Settled Transaction with the dealer through whom the customer submitted such bid or offer. Accordingly, each such Participating Bidder or customer that is a seller of Deliverable Obligations as a result of a trade formed in the auction must deliver to the buyer to whom such Participating Bidder or customer has been matched a Notice of Physical Settlement indicating the Deliverable Obligations that it will deliver, and such Deliverable Obligations will be sold to the buyer in exchange for payment of the Auction Final Price.

 

Timing of Auction Settlement Provisions

 

If an Auction is held in respect of an Affected Reference Entity, it is expected that the relevant Auction Date will occur on the third Business Day immediately prior to the 30th calendar day after which the relevant Credit Derivatives Determinations Committee received the request from an eligible market participant (endorsed by a member of the relevant Credit Derivatives Determinations Committee) to resolve whether a Credit Event has occurred with respect to such Reference Entity.

 

In respect of an Affected Reference Entity for which an Auction is held, the Auction Settlement Date will occur on a Business Day following the Auction Final Price Determination Date, as determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity. By way of example, in recent ISDA CDS Auction Protocols (prior to the publication of the 2009 ISDA Credit Derivatives Determinations Committees and Auction Settlement Supplement to the 2003 ISDA Credit Derivatives Definitions) this has been approximately five Business Days following the relevant Auction Final Price Determination Date.

 

Holders should be aware that the expected timeline is subject to amendment (and may be subject to acceleration or delay) upon agreement by at least 80 per cent. (by number) of the voting members of the relevant Credit Derivatives Determinations Committee.

 

Delayed Auction Provisions

 

The Auction timing may be adjusted under the relevant following circumstances: (a) the occurrence of an event or news the occurrence of which two or more Participating Bidders consider has or could have a material effect on the Auction Final Price; (b) if the Administrators are unable to determine an Auction Currency Rate on the Auction Currency Fixing Date with respect to each Relevant Pairing; (c) if the Auction Methodology does not result in an Auction Final Price for any reason (including, but not limited to, the failure to receive the minimum number of valid Initial Market Bids and Initial Market Offers); or (d) any combination of (a), (b) and (c).

 

Auction Cancellation

 

If an Auction Final Price has not been determined on or prior to: (a) the fifth Business Day following the Auction Date, in the events described in clause (a) or (d) of "Delayed Auction Provisions" above; or (b) the second Business Day following the Auction Date, in the events described in clause (b) or (c) of "Delayed Auction Provisions" above, then the Auction will be deemed to have been cancelled and the Administrators and ISDA will announce the occurrence of such cancellation on their respective websites.

 

Ability of the Issuer or its Affiliates to influence the outcome of the Auction

 

As of the date of these Final Terms, the Calculation Agent (or one of its Affiliates) is a leading dealer in the credit derivatives market. There is a high probability that the Calculation Agent (or one of its Affiliates) would act as a Participating Bidder in any Auction held with respect to the Reference Entity. In such capacity, it may take certain actions which may influence the Auction Final Price including (without limitation): (a) providing rates of conversion to determine the Auction Currency Rate; (b) submitting Initial Market Bids, Initial Market Offers and Dealer Physical Settlement Requests; and (c) submitting limit Bids and Limit Offers. In deciding whether to take any such action (or whether to act as a Participating Bidder in any Auction), the Calculation Agent (or its Affiliate) shall be under no obligation to consider the interests of any Holder.

 

Certain Definitions

 

"Administrators" means both Markit Group Limited and Creditex Securities Corp., acting together, or such other entities as may be appointed to perform the role of the Administrators by ISDA from time to time.

 

"Auction Covered Transactions" means all credit derivative transactions referencing the Affected Reference Entity which satisfy the criteria set forth in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity, including in respect of the provisions in such credit derivative transactions that set forth the criteria for establishing what obligations may constitute Deliverable Obligations (or, in the case of a cash settled credit derivative transaction, the provisions therein that set forth the criteria for establishing what obligations may be valued to determine a final price).

 

"Auction Currency Fixing Date" means, with respect to a relevant transaction type included in: (a) the Americas, the business day prior to the Auction Date; and (b) any other region, two business days prior to the Auction Date; and in each case as determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity.

 

"Auction Date" means the date on which the relevant Auction will be held, as determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity.

 

"Auction Final Price Determination Date" means the day, if any, on which the Auction Final Price is determined.

 

"Auction Settlement Date" means a Business Day following the Auction Final Price Determination Date, as determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity.

 

"Business Day" means a day on which commercial banks and foreign exchange markets are generally open to settle payments in, if the Transaction Type of the relevant Affected Reference Entity is included in: (a) the Americas, New York; and (b) otherwise, London.

 

"Cap Amount" means the percentage that is equal to one half of the Maximum Initial Market Bid-Offer Spread (rounded to the nearest Relevant Pricing Increment).

 

"Currency Rate Source" means the mid-point rate of conversion published by WM/Reuters at 4:00 p.m. (London time), or any successor rate source approved by the relevant Credit Derivatives Determinations Committee.

 

"Initial Bidding Information Publication Time" has the meaning determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity.

 

"Initial Bidding Period" means the period initially determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity, as such period may be extended by the Administrators, inter alia, to preserve the integrity of an Auction.

 

"Market Position" means, with respect to a Participating Bidder or customer, as applicable, the aggregate amount of Deliverable Obligations that the relevant Participating Bidder or customer, as applicable, would have to buy or sell in order to obtain an identical risk profile after the Auction Settlement Date compared to its risk profile prior to the Auction Settlement Date with respect to all Auction Covered Transactions (excluding those Auction Covered Transactions for which the trade date is the Auction Final Price Determination Date) and all Auction-Linked Cash Settled Transactions to which such Participating Bidder, or any affiliate of such Participating Bidder, as applicable, or such customer, or any affiliate of such customer, as applicable, is a party and to which every other party is an Auction Party, such risk profile to be determined without regard to whether the original transactions were documented as cash settled or physically settled transactions.

 

"Maximum Initial Market Bid-Offer Spread" means the percentage determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity.

 

"Participating Bidders" means the institutions that will act as participating bidders in the Auction.

 

"Relevant Pricing Increment" has the meaning determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity.

 

"Representative Auction-Settled Transaction" means an hypothetical single-name, physically settled credit default swap transaction referencing the Affected Reference Entity with the standard terms specified in the Form of Auction Settlement Terms.

 

"Subsequent Bidding Information Publication Time" has the meaning determined by the Credit Derivatives Determinations Committee and specified in the Credit Derivatives Auction Settlement Terms in respect of the relevant Affected Reference Entity.


SCHEDULE 13

general information

1.         Save as disclosed in this Prospectus and in the information incorporated by reference herein, there has been no material adverse change in the prospects of the Issuer since 31 December 2010.

2.          Save as disclosed in this Prospectus and in the information incorporated by reference herein, there has been no significant change in the financial or trading position of the Issuer since 31 December 2010.

3.          Save as disclosed in this Prospectus and in the information incorporated by reference herein, the Issuer is not and has not been involved in any governmental, legal or arbitration proceedings relating to claims or amounts that are material during the 12 month period ending on the date of this Prospectus which may have, or have had in the recent past, significant effects on the financial position or profitability of the Issuer nor, so far as the Issuer is aware, are any such governmental, legal or arbitration proceedings pending or threatened.

4.          The following documents, or copies thereof, will be available, during normal business hours on any weekday (Saturdays and public holidays excepted), for inspection at the office of the Principal Programme Agent and at the office of the Paying Agent in Luxembourg, or at the office of each Relevant Programme Agent, as the case may be:

(i)         the JPMorgan Chase & Co. 2010 Form 10-K Annual Report, the JPMorgan Chase & Co. 2009 Form 10-K Annual Report, the JPMorgan Chase Bank, N.A. 2010 Audited Financial Statements, the JPMorgan Chase Bank, N.A. 2009 Audited Financial Statements, the JPMSP 2010 Audited Financial Statements and the JPMSP 2009 Audited Financial Statements;

(ii)        the documents incorporated by reference herein;

(iii)       the Articles of Association of JPMorgan Chase Bank, N.A.;

(iv)       the Restated Certificate of Incorporation of JPMorgan Chase & Co.;

(v)        a copy of the Base Prospectus, including any documents incorporated therein or any supplement to the Base Prospectus;

(vi)       the Agency Agreement (which includes the form of the Bearer Global Notes, the Bearer Definitive Notes, the Registered Global Notes, the Registered Definitive Notes, the Coupons, the Receipts, the Talons, the Global Certificates and the Global Warrants); and

(vii)      any supplement or amendment (save in the case of the Base Prospectus) to any of the foregoing.

 

 

 

 


This information is provided by RNS
The company news service from the London Stock Exchange
 
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