ISDA Posts Market Guidance On August 4 LIFFE Event Impact On European Index Variance Swaps

Below is a summary of the discussion that took place on August 11, 2011 (the "LIFFE MDE Call")among market participants to discuss whether LIFFE’s August 4, 2011 events (see notice below fromLIFFE) constitute a Market Disruption Event under the terms of the Revised 2007 European VarianceSwap master confirmation agreement (the "ISDA Variance MCA").  Any capitalized term not otherwise defined herein shall have the meaning assigned to such term in the ISDA Variance MCA or the 2002ISDA Equity Derivatives Definitions.

This summary provides the market consensus reached among the participants on the LIFFE MDE Call and is not meant to be binding in any way. As with all market information and guidance that ISDA disseminates, parties are free to choose alternate means of addressing the event. Each market participant remains responsible for considering its own documentation and the specific terms of its own trades andforming its own conclusion on the proper interpretation of events.

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