Index Loss at Maturity Additional Provisions

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The Index Loss at Maturity Additional Provisions are designed for use with the CDX Tranche Transactions Standard Terms Supplement or the iTraxx® Europe Tranched Transactions Standard Terms Supplement relevant index tranche transaction. If the Additional Provisions are incorporated into the relevant tranche transaction documentation, then payments to reflect losses on the tranche are not made during the life of the transaction but instead, at maturity, Buyer pays the original swap notional amount to Seller less any losses on the tranche incurred during the life of the transaction.

International Swaps and Derivatives Association

Index Loss at Maturity Additional Provisions

Index Loss at Maturity Additional Provisions

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