2014 CoCo Supplement to the 2014 ISDA Credit Derivatives Definitions

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(published September 15, 2014)

The CoCo Supplement allows parties to expand the scope of events that trigger a Governmental Intervention Credit Event under the 2014 Definitions to include the operation of a CoCo provision, i.e. a provision that requires (i) a permanent or temporary reduction of the amount of principal payable at redemption or (ii) a conversion of principal into shares or another instrument, in each case, if the specified capital ratio falls below a certain level. The parties can specify a “Trigger Percentage” to determine which CoCo bonds will qualify (with a fallback if no Trigger Percentage is specified). This supplement is designed for use only with the 2014 ISDA Credit Derivatives Definitions.

Free downloads for 2014 CoCo Supplement to the 2014 ISDA Credit Derivatives Definitions (1)

2014 CoCo Supplement to the 2014 ISDA Credit Derivatives Definitions (pdf)