|
|
| (1) |
Financial Institutions provide indicative rates which they offered in OTC market at 3PM for CDS trades of individual referenced entities under the standardized conditions shown below: |
|
| Item |
Standard for this system |
| Period (term) |
5 years
(maturity date is the first payment date counting 5 years from the next
business day of the indicative rate report date) |
| Notional Principle Amount |
500 million yen |
| Credit Event |
The 3 events defined in the 2003 ISDA Credit Derivatives Definitions (bankruptcy, failure to pay, and restructuring (old restructuring)). |
| Referenced Credit |
Borrowed money |
| Delivery Method in case of Credit Event |
Physical Settlement |
| Interest (Premium) Payment Date |
20th of March, June, September, and December |
| Method of Adjusting Number of Days |
(number of days to payment date)/360 days |
|
| (2) |
TFX calculates and publishes the CDS Reference Rates for Displayed Contracts
on the J-CDS homepage around 5:30PM following the procedures below:
|
|
1. |
The middle rate of the bid-offer rates provided by financial institutions
is calculated (by simple average) for the displayed contract. |
|
|
[middle rate calculation example] (unit: basis point)
|
Bid |
Offer |
|
Middle rate |
|
20 |
25 |
 |
22.5=(20+25)/2 |
|
|
|
|
|
|
2. |
Of the middle rates calculated, a specific number of the highest and lowest
rates will be excluded from the calculation ("top and bottom cut"
- number cut off is determined by the number of financial institutions
providing indicative rates for the referenced entity). |
|
|
Number of
Financial Institution |
Number excluded |
| 5 to 7 |
1 (total 2) |
| 8 to 14 |
2 (total 4) |
| 15 to 21 |
3 (total 6) |
| over 22 |
4 (total 8) |
|
|
3. |
The middle rate (simple average) of the rates left after "top and
bottom cut" is calculated, rounded to the 2nd decimal place.
|
|
|
|
|
