2008 ISDA Inflation Derivatives Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.

Transcription

1 2008 ISDA Inflation Derivatives Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.

2 Copyright 2008 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. 360 Madison Avenue One Bishops Square 16th Floor London E1 6AO New York, New York ENGLAND Telephone: (1) Telephone: (44) Facsimile: (1) Facsimile: (44) Shiroyama Trust Towers, 31 st Floor 24 Raffles Place Toranomon #22-00 Clifford Centre Minato-ku, Tokyo SINGAPORE JAPAN Telephone: (65) Telephone: (813) Facsimile: (65) Facsimile: (813) website:

3 TABLE OF CONTENTS ARTICLE 1 GENERAL DEFINITIONS Section 1.1. Affected Payment Date...2 Section 1.2. Affected Party...2 Section 1.3. Fallback Bond...2 Section 1.4. Index...3 Section 1.5. Index Sponsor...3 Section 1.6. Index Transaction...3 Section 1.7. Reference Month...3 Section 1.8. Related Bond...3 Section 1.9. Substitute Index Level...3 Section Successor Index...3 Section Termination Event...3 Section Index Descriptions...3 Section Rounding...3 Section 2.1. Delay of Publication...4 Section 2.2. Cessation of Publication...5 Section 2.3. Rebasing of the Index...6 Section 2.4. Material Modification Prior to Payment Date...6 Section 2.5. Manifest Error in Publication...6 ANNEX A INDEX DESCRIPTIONS 8 i

4 INTRODUCTION The 2008 ISDA Inflation Derivatives Definitions (the "Definitions") are intended to facilitate the documentation of the inflation derivatives transactions under any of the following: (i) the 2002 ISDA Master Agreement; (ii) the 1992 ISDA Master Agreement (Multicurrency Cross Border); (iii) the 1992 ISDA Master Agreement (Single Currency Local Jurisdiction); (iv) the 1987 Interest Rate and Currency Exchange Agreement; or (v) the 1987 Interest Rate Swap Agreement (each, an "ISDA Master Agreement"), each as published by the International Swaps and Derivatives Association, Inc. ("ISDA"). Copies of the ISDA Master Agreements are available from the executive offices of ISDA or from the ISDA website ( ISDA has provided these Definitions to assist the smooth and efficient functioning of the inflation derivatives market by providing a common set of terms for parties to use in preparing Confirmations for privately negotiated inflation derivatives transactions. However, the precise documentation of each individual transaction remains the responsibility of the parties concerned. ISDA assumes no responsibility for any use to which these Definitions may be put. Each party to a transaction evidenced by a Confirmation referring to these Definitions must satisfy itself that the Definitions are appropriate for the transaction, have been properly used and/or adapted in the Confirmation for the transaction(s) and that the Confirmation has generally been properly drafted, in each case, to reflect the commercial intentions of the parties. The Introduction is not part of the Definitions and is not offered as an interpretation of the Definitions. i

5 2008 ISDA INFLATION DERIVATIVES DEFINITIONS Any or all of the following definitions and provisions may be incorporated into a document by wording in the document indicating that, or to the extent to which, the document is subject to the 2008 ISDA Inflation Derivatives Definitions (as published by the International Swaps and Derivatives Association, Inc. ("ISDA")). All definitions and provisions so incorporated in a document will be applicable to that document unless otherwise provided in that document, and all terms defined in these Definitions and used in any definition or provision that is incorporated by reference in a document will have the respective meanings set forth in these Definitions unless otherwise provided in that document. Any capitalized term not herein defined, shall have the meaning given to that term in the 2006 ISDA Definitions or other relevant ISDA publication as the context requires. Any term used in a document will, when combined with the name of a party, have meaning in respect of the named party only. ARTICLE 1 GENERAL DEFINITIONS Section 1.1. "Affected Payment Date" means each Payment Date in respect of which an Index has not been published or announced. Section 1.2. "Affected Party" has the meaning given to it in the ISDA Master Agreement specified in the Confirmation to govern the Index Transaction (or if none, as defined in the 2002 ISDA Master Agreement). Section 1.3. "Fallback Bond" means a bond selected by the Calculation Agent and issued by the government of the country to whose level of inflation the Index relates and which pays a coupon or redemption amount which is calculated by reference to the Index, with a maturity date which falls on (a) the same day as the Termination Date, (b) the next longest maturity after the Termination Date if there is no such bond maturing on the Termination Date, or (c) the next shortest maturity before the Termination Date if no bond defined in (a) or (b) is selected by the Calculation Agent. If the Index relates to the level of inflation across the European Monetary Union, the Calculation Agent will select an inflation-linked bond that is a debt obligation of one of the governments (but not any government agency) of France, Italy, Germany or Spain and which pays a coupon or redemption amount which is calculated by reference to the level of inflation in the European Monetary Union. In each case, the Calculation Agent will select the Fallback Bond from those inflation-linked bonds issued on or before the Effective Date and, if there is more than one inflation-linked bond maturing on the same date, the Fallback Bond shall be selected by the Calculation Agent from those bonds. If the Fallback Bond redeems the Calculation Agent will select a new Fallback Bond on the same basis, but selected from all eligible 2

6 bonds in issue at the time the original Fallback Bond redeems (including any bond for which the redeemed bond is exchanged). Section 1.4. "Index" means each index specified as such in the related Confirmation, which may be specified using the Index Descriptions in Annex A to these Definitions, as amended from time to time, or by defining the Index in the Confirmation, or (ii) any Successor Index as nominated under the terms of these Definitions. Section 1.5. "Index Sponsor" means the entity that publishes or announces (directly or through an agent) the level of the relevant Index. Section 1.6. "Index Transaction" means a transaction relating to an Index. Section 1.7. "Reference Month" means the calendar month for which the level of the Index was reported, regardless of when this information is published or announced. If the period for which the Index level was reported is a period other than a month, the Reference Month is the period for which the Index level was reported. Section 1.8. "Related Bond" means the bond specified as such in the related Confirmation, or if no bond is so specified, the Fallback Bond. If the Related Bond is "Fallback Bond", then for any Related Bond determination under these Definitions, the Calculation Agent shall use the Fallback Bond (as that is defined in Section 1.3 herein). If no bond is specified as the Related Bond and Fallback Bond: Not applicable is specified in the related Confirmation there will be no Related Bond for purposes of these Definitions. If a bond is selected as the Related Bond in the related Confirmation, and that bond redeems or matures during the Term of the Transaction, unless Fallback Bond: Not applicable is specified in the related Confirmation, the Calculation Agent shall use the Fallback Bond for any Related Bond determination under these Definitions. Section 1.9. "Substitute Index Level" means an Index level, determined by the Calculation Agent pursuant to the provisions of Section 2.1 hereof, in respect of an Affected Payment Date. Section "Successor Index" has the meaning specified in Section 2.2 hereto. Section "Termination Event" has the meaning given to it in the ISDA Master Agreement specified in the related Confirmation to govern the Index Transaction (or if none, as defined in the 2002 ISDA Master Agreement). Section "Index Descriptions". Index Descriptions are published in Annex A to these Definitions, which may be amended from time to time. Unless otherwise specified in a Confirmation, the parties will be deemed to have incorporated Annex A as amended through the Trade Date of an Index Transaction. Section Rounding. For purposes of any calculations in connection with: 3

7 (a) zero coupon swaps and year-on-year trades, (i) calculations in connection with the Rebasing of an Index pursuant to the provisions of Section 2.3 hereof, such Rebased Index shall be rounded, if necessary, to the nearest one ten-billionth (e.g., being rounded down to and being rounded up to ), (ii) calculations in connection with daily reference indices or interpolated indices, such indices shall be rounded, if necessary, to the nearest one hundred-thousandth (e.g., being rounded down to and being rounded up to ), and (iii) for each calculation period the quotient of the relevant indices for the relevant Reference Months shall be rounded, if necessary, to the nearest one hundred-millionth of a percentage point (e.g., % (or ) being rounded down to % (or ) and % (or ) being rounded up to % (or )), (b) inflation linked asset swaps, such calculations shall match the rounding conventions of the documentation governing the Related Bond, and (c) any other calculation, unless otherwise specified in the related Confirmation, as specified in Article 8 of the 2006 ISDA Definitions. ARTICLE 2 INDEX DELAY AND DISRUPTION EVENT PROVISIONS Section 2.1. Delay of Publication. (a) If any level of an Index for a Reference Month which is relevant to the calculation of a payment under an Index Transaction (a "Relevant Level") has not been published or announced by the day that is five Business Days prior to the next Payment Date under that Index Transaction, the Calculation Agent shall determine a Substitute Index Level (in place of such Relevant Level) by using the following methodology: (i) If applicable, the Calculation Agent will take the same action to determine the Substitute Index Level for the Affected Payment Date as that taken by the calculation agent pursuant to the terms and conditions of the Related Bond; (ii) If (i) above does not result in a Substitute Index Level for the Affected Payment Date for any reason, then the Calculation Agent shall determine the Substitute Index Level as follows: 4

8 Substitute Index Level = Base Level x (Latest Level / Reference Level) Where: "Base Level" means the level of the Index (excluding any "flash" estimates) published or announced by the Index Sponsor in respect of the month which is 12 calendar months prior to the month for which the Substitute Index Level is being determined. "Latest Level" means the latest level of the Index (excluding any "flash" estimates) published or announced by the Index Sponsor prior to the month in respect of which the Substitute Index Level is being calculated. "Reference Level" means the level of the Index (excluding any "flash" estimates) published or announced by the Index Sponsor in respect of the month that is 12 calendar months prior to the month referred to in "Latest Level" above. (b) If a Relevant Level is published or announced at any time after the day that is five Business Days prior to the next Payment Date, such Relevant Level will not be used in any calculations. The Substitute Index Level so determined pursuant to this Section 2.1, will be the definitive level for that Reference Month. Section 2.2. Cessation of Publication. If a level for the Index has not been published or announced for two consecutive months or the Index Sponsor announces that it will no longer continue to publish or announce the Index then the Calculation Agent shall determine a Successor Index (in lieu of any previously applicable Index) for the purposes of the Index Transaction by using the following methodology: (a) If at any time (other than after an Additional Termination Event has been designated by the Calculation Agent pursuant to Section 2.2(e) hereof), a successor index has been designated by the calculation agent pursuant to the terms and conditions of the Related Bond, such successor index shall be designated a "Successor Index" for the purposes of all subsequent Payment Dates in relation to the Index Transaction, notwithstanding that any other Successor Index may previously have been determined under Sections 2.2(b), (c) or (d) hereof ; or (b) If a Successor Index has not been determined under (a) above (and there has been no designation of an Additional Termination Event pursuant to Section 2.2(e) hereof), and a notice has been given or an announcement has been made by an Index Sponsor, specifying that the Index will be superseded by a replacement Index specified by the Index Sponsor, and the Calculation Agent determines that such replacement index is calculated using the same or substantially similar formula or method of calculation as used in the calculation of the previously applicable Index, such replacement index shall be the Index for purposes of the Index Transaction from the date that such replacement Index comes into effect; or 5

9 (c) If a Successor Index has not been determined under (a) or (b) above (and there has been no designation of an Additional Termination Event pursuant to Section 2.2(e) hereof), the Calculation Agent shall ask five leading independent dealers to state what the replacement index for the Index should be. If between four and five responses are received, and of those four or five responses, three or more leading independent dealers state the same index, this index will be deemed the "Successor Index". If three responses are received, and two or more leading independent dealers state the same index, this index will be deemed the "Successor Index". If fewer than three responses are received, the Calculation Agent will proceed to subsection (d) hereof; or (d) If no Successor Index has been deemed under (a), (b) or (c) above by the fifth Business Day prior to the next Affected Payment Date the Calculation Agent will determine an appropriate alternative index for such Affected Payment Date, and such index will be deemed a "Successor Index". (e) If the Calculation Agent determines that there is no appropriate alternative index, an Additional Termination Event will be deemed to occur, with both parties being Affected Parties and this Transaction as the sole Affected Transaction. Any resultant termination of this Transaction will occur in accordance with the provisions in the ISDA Master Agreement specified in the Confirmation to govern the Index Transaction (or if none, as defined in the 2002 ISDA Master Agreement). Section 2.3. Rebasing of the Index. If the Calculation Agent determines that the Index has been or will be rebased at any time, the Index as so rebased (the "Rebased Index") will be used for purposes of determining the level of an Index from the date of such rebasing; provided, however, that the Calculation Agent shall make such adjustments as are made by the calculation agent pursuant to the terms and conditions of the Related Bond, if any, to the levels of the Rebased Index so that the Rebased Index levels reflect the same rate of inflation as the Index before it was rebased. If there is no Related Bond, the Calculation Agent shall make adjustments to the levels of the Rebased Index so that the Rebased Index levels reflect the same rate of inflation as the Index before it was rebased. Any such rebasing shall not affect any prior payments made under an Index Transaction. Section 2.4. Material Modification Prior to Payment Date. If, on or prior to the day that is five Business Days before a Payment Date, an Index Sponsor announces that it will make a material change to an Index then the Calculation Agent shall make any such adjustments to the Index consistent with adjustments made to the Related Bond, or, if there is no Related Bond, only those adjustments necessary for the modified Index to continue as the Index. Section 2.5. Manifest Error in Publication. If, within thirty days of publication, the Calculation Agent determines that the Index Sponsor has corrected the level of the Index to remedy a manifest error in its original publication, the Calculation Agent will (i) notify the parties of that correction, (ii) notify the parties of the amount that is payable as a result of that correction and (iii) take such other action as it may deem necessary to give 6

10 effect to such correction; provided that any amount payable pursuant to clause (ii) above shall be paid (with no interest accruing thereon) (a) in connection with an Index Sponsor's correction to remedy a manifest error in the level of an Index for a Reference Month for which the scheduled Payment Date has occurred, within five Business Days after notice of such amount payable by the Calculation Agent, (b) in connection with an Index Sponsor's correction to remedy a manifest error in the level of an Index for a Reference Month for which the scheduled Payment Date has not occurred, as an adjustment to the payment obligation on the next scheduled Payment Date or (c) if there is no further scheduled Payment Date, within five Business Days after notice of such amount payable by the Calculation Agent. 7

11 ANNEX A to the 2008 ISDA Inflation Derivatives Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. 8

12 ANNEX A INDEX DESCRIPTIONS This Annex A to the 2008 ISDA Inflation Derivatives Definitions is intended to supplement and form a part of the 2008 ISDA Inflation Derivatives Definitions (the Definitions ), to be incorporated in confirmations of individual transactions governed by the 2002 ISDA Master Agreement, the 1992 ISDA Master Agreement (Multicurrency Cross Border), and the 1992 ISDA Master Agreement (Single Currency Local Jurisdiction) (each, an ISDA Master Agreement ), as published by the International Swaps and Derivatives Association, Inc. ( ISDA ). This Annex A contains Index Descriptions. It is anticipated that Index Descriptions will be added or changed from time to time as transactions involving inflation indices not included in the Definitions become more prevalent and to reflect market practice. Accordingly, set forth below are the relevant sections of the Definitions in a loose-leaf format to accommodate such additions and changes. At any time a copy of the then current version of Annex A may be obtained by contacting ISDA. To avoid any potential confusion, parties to a transaction may want to specify the version of Annex A that is being incorporated by reference to a date (e.g. [ ] 2008 version ) or an as amended through date (e.g. [ ] 2008 version as amended through [ ] [2008] ). Unless otherwise agreed, parties will be deemed to have incorporated Annex A as amended through the date on which the parties enter into a trade based on an inflation index. Index Descriptions. (a) Australia. (i) AUD Non-revised Consumer Price Index (CPI) means the Nonrevised Index of Consumer Prices for Weighted Average of Eight Capital Cities: All - Groups Index before Seasonal Adjustment, or relevant Successor Index, measuring the rate of inflation in Australia, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for (b) Austria. (i) AUS Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index (2005), or relevant Successor Index, measuring the rate of inflation in Austria, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for (ii) AUS Non-revised Harmonised Indices of Consumer Prices (HICP) means the Non-revised Harmonised Index of Consumer Prices (2005), or 9

13 relevant Successor Index, measuring the rate of inflation in Austria, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (c) Belgium. (i) BLG Non-revised Harmonised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Belgium, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ii) BLG Non-revised Consumer Price Index General Index (CPI) means the Non-revised Consumer Price Index General Index, or relevant Successor Index, measuring the rate of inflation in Belgium, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (iii) BLG Non-revised Consumer Price Index Health Index (CPI) means the Non-revised Consumer Price Index Health Index, or relevant Successor Index, measuring the rate of inflation in Belgium, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (d) Brazil. (i) BRL Non-revised Consumer Price Index (IPCA) means the Nonrevised Extensive National Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Brazil, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for (ii) BRL Non-revised Price Index (IGP-M) means the IGP-M General Price Index, or relevant Successor Index, measuring the rate of inflation in Brazil, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month 10

14 shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations.. (e) Canada. (i) CAD Non-revised Consumer Price Index (CPI) means the Nonrevised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Canada, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (f) Chile. (i) CLP Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Chile, expressed as an index and published by the relevant Index (g) China. (i) CNY Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in China, expressed as an index and published by the relevant Index (h) Czech Republic. (i) CZK Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price index, or relevant Successor Index, measuring the rate of inflation in the Czech Republic, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for (i) Denmark. (i) DKK Non-revised Consumer Price Index (CPI) means the Nonrevised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Denmark, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for 11

15 a (ii) DKK Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Denmark, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (j) European Union. (i) EUR Excluding Tobacco-Non-revised Consumer Price Index means the Non-revised Index of Consumer Prices excluding Tobacco, or relevant Successor Index, measuring the rate of inflation in the European Monetary Union excluding tobacco, expressed as an index and published by the relevant Index (ii) EUR All Items-Non-revised Consumer Price Index means the Nonrevised Harmonised Index of Consumer Prices All Items, or relevant Successor Index, measuring the rate of inflation in the European Monetary Union expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (iii) EUR All Items Revised Consumer Price Index means the Revised Harmonised Index of Consumer Prices All Items, or relevant Successor Index, measuring the rate of inflation in the European Monetary Union expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index, or, if revised, any subsequent revisions of such level for a Reference Month shall be final and conclusive, provided that such revisions are published or announced up to and including the day that is two Business Days prior to any relevant Payment Date. (k) Finland. (i) FIN Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Finland, expressed as an index and published by the relevant Index 12

16 (ii) FIN Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Finland, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (l) France. (i) FRC Excluding Tobacco-Non-Revised Consumer Price Index means the Non-revised Index of Consumer Prices excluding Tobacco, or relevant Successor Index, measuring the rate of inflation in France excluding tobacco expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ii) FRC Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in France, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (m) Germany. (i) DEM Non-revised Consumer Price Index (CPI) means the Nonrevised All Items Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Germany, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ii) DEM Non-revised Consumer Price Index for North Rhine-Westphalia means the Non-revised Index of Consumer Prices for North Rhine-Westphalia, or relevant Successor Index, measuring the rate of inflation in North Rhine- Westphalia, Germany, expressed as an index and published by the relevant Index 13

17 (iii) DEM Non-revised Harmonised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Germany, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (n) Greece. (i) GRD Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Greece expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ii) GRD Non-revised Consumer Price Index (CPI) means the Non-revised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Greece expressed as an index and published by the relevant Index (o) Hong Kong. (i) HKD Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Hong Kong, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (p) Hungary. (i) HUF Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Hungary, expressed as an index and published by the relevant Index 14

18 (q) Iceland. (i) ISK Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Iceland, expressed as an index and published by the relevant Index (ii) ISK Harmonised Consumer Price Index (HICP) means the Nonrevised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Iceland, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for (r) Indonesia. (i) IDR Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Indonesia, expressed as an index and published by the relevant Index (s) Ireland. (i) IRL Non-revised Consumer Price Index (CPI) means the Consumer Price Index-All Items, or relevant Successor Index, measuring the rate of inflation in Ireland, expressed as an index and published by the relevant Index (ii) IRL Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices All Items, or relevant Successor Index, measuring the rate of inflation in Ireland, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (t) Israel. (i) ILS Non-revised Consumer Price Index (CPI) means the Consumer Price Index-General, or relevant Successor Index, measuring the rate of inflation 15

19 in Israel, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (u). Italy. (i) ITL Whole Community Excluding Tobacco Consumer Price Index means the Indice nazionale dei prezzi al consumo per l'intera collettività (NIC) senza tabacchi or relevant Successor Index, measuring the rate of inflation in Italy expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ii) ITL Whole Community Including Tobacco Consumer Price Index means the Indice nazionale dei prezzi al consumo per l'intera collettività (NIC) con tabacchi, or relevant Successor Index, measuring the rate of inflation in Italy expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (iii) ITL Inflation for Blue Collar Workers and Employees Excluding Tobacco Consumer Price Index means the Indice dei prezzi al consumo per famiglie di operai e impiegati (FOI) senza tabacchi, or relevant Successor Index, measuring the rate of inflation in Italy expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for (iv) ITL Inflation for Blue Collar Workers and Employees Including Tobacco Consumer Price Index means the Indice dei prezzi al consumo per famiglie di operai e impiegati (FOI) con tabacchi, or relevant Successor Index, measuring the rate of inflation in Italy expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for (v) ITL Non-revised Harmonised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Italy, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for 16

20 (v) Japan. (i) JPY Non-revised Consumer Price Index Nationwide General Excluding Fresh Food (CPI) means the Non-revised Consumer Price Index Nationwide General Excluding Fresh Food, or relevant Successor Index, measuring the rate of inflation excluding fresh food in Japan, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (w) Luxembourg. (i) LUX Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Luxembourg, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (ii) LUX Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Luxembourg, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (x) Malaysia. (i) MYR Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Malaysia, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (y) Mexico. (i) MXN Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Mexico, expressed as an index and published by the relevant Index 17

21 (ii) MXN Unidad de Inversion Index (UDI) means the Unidad de Inversion Index, or relevant Successor Index, reporting the daily peso value of an Unidad de Inversion (an UDI ), expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index shall be final and conclusive and later revisions to the level will not be used in any calculations. (z) Netherlands. (i) NLG Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in the Netherlands, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ii) NLG Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in the Netherlands, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (aa) New Zealand. (i) NZD Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in New Zealand, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (bb) Norway. (i) NOK Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index All Items, or relevant Successor Index, measuring the rate of inflation in Norway, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for 18

22 (cc) Peru. (i) PER Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Peru, expressed as an index and published by the relevant Index (dd) Poland. (i) PLN Non-Revised Consumer Price Index (CPI) means the Nonrevised Price Indices of Consumer Goods and Services, or relevant Successor Index, measuring the rate of inflation in Poland, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ee) Portugal. (i) POR Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Portugal, expressed as an index and published by the relevant Index (ii) POR Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Portugal, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ff) Russia. (i) RUB Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Russia, expressed as an index and published by the relevant Index 19

23 (gg) Singapore. (i) SGD Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Singapore, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (hh) South Africa. (i) ZAR Non-revised Consumer Price Index Excluding Mortgages (CPIX) means the Non-revised Index of Consumer Prices excluding Mortgage, or relevant Successor Index, measuring the rate of inflation excluding mortgages in South Africa, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (ii) ZAR Non-revised Consumer Price Index (CPI) means the Nonrevised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in South Africa, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for (ii) South Korea. (i) KRW Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in South Korea, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (jj) Spain. (i) ESP National-Revised Consumer Price Index (CPI) means the Year on Year Revised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Spain, expressed as an annual percentage and published by the relevant Index Sponsor. The first publication or announcement of a level of such index, or, if revised, any subsequent revisions of such level for a Reference Month shall be final and conclusive, provided that such revisions are published or announced up to and including the day that is two Business Days prior to the relevant Payment Date. 20

24 (ii) ESP National-Non-revised Consumer Price Index (CPI) means the Non-revised Index of Consumer Prices including Tobacco, or relevant Successor Index, measuring the rate of inflation in Spain expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (iii) ESP Harmonised-Revised Consumer Price Index (HICP) means the Harmonised Index of Consumer Prices including Tobacco, or relevant Successor Index, measuring the rate of inflation in Spain expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index, or, if revised, any subsequent revisions of such level for a Reference Month shall be final and conclusive, provided that such revisions are published or announced up to and including the day that is two Business Days prior to the relevant Payment Date. (iv) ESP Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices including Tobacco, or relevant Successor Index, measuring the rate of inflation in Spain expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (kk) Sweden. (i) SEK Non-revised Consumer Price Index (CPI) means the Nonrevised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in Sweden, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a (ll) Switzerland. (i) SWF Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Switzerland, expressed as an index and published by the relevant Index 21

25 (mm) Taiwan. (i) TWD Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Taiwan, expressed as an index and published by the relevant Index such Reference Month will not be used in any calculations (nn) Turkey. (i) TRY Non-revised Consumer Price Index (CPI) means the Nonrevised Consumer Price Index, or relevant Successor Index, measuring the rate of inflation in Turkey, expressed as an index and published by the relevant Index (oo) United Kingdom. (i) GBP Non-revised Retail Price Index (UKRPI) means the Nonrevised Retail Price Index All Items in the United Kingdom, or relevant Successor Index, measuring the all items rate of inflation in the United Kingdom expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (ii) GBP Harmonised-Non-revised Consumer Price Index (HICP) means the Non-revised Harmonised Index of Consumer Prices, or relevant Successor Index, measuring the rate of inflation in the United Kingdom, expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. (iii) GBP Non-revised Retail Price Index Excluding Mortgage Interest Payments (UKRPIX) means the Non-revised Retail Price Index Excluding Mortgage Interest Payments in the United Kingdom, or relevant Successor Index, measuring the all items rate of inflation in the United Kingdom expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for a Reference Month shall be final and conclusive and later revisions to the level for such Reference Month will not be used in any calculations. 22

26 (pp) United States. (i) USA Non-revised Consumer Price Index Urban (CPI-U) means the Non-revised index of Consumer Prices for All Urban Consumers (CPI-U) before seasonal adjustment, or relevant Successor Index, measuring the rate of inflation in the United States expressed as an index and published by the relevant Index Sponsor. The first publication or announcement of a level of such index for such 23