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2005 ISDAs Regional Member Conference

2005 CDS Index Protocol

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

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2005 CDS Index Protocol

Events & Timeline:

Affected Entity e Collins & Aikman Products Co.

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

Mechanics:

Applicability? 6 Index CDS + Single-Tranche CDS

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

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2005 CDS Index Protocol
Legacy:

Market Maturitv: participants constructively identify I respond

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

4. October 11. 2005 + Anticipated Auction

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2005 ISDABRegional Member Conference

2005 CDS Index Protocol

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

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