Credit Index and Index Tranche Product covereage for METS Index Product List Index Swaption Product List Index Tranche Product List
Credit Index and Index Tranche Product covereage for METS Index Product List Index Swaption Product List Index Tranche Product List CDX IG CDX HY CDX EM CDX Emerging Markets Diversified iTraxx Europe iTraxx Asia Ex Japan iTraxx Australia iTraxx Japan iTraxx LevX iTraxx SovX MCDX LCDX IOS PO MBX PrimeX TRX.II ABX CMBX iBoxx TRS* CDX IG Swaption CDX HY Swaption CDX EM Swaption CDX IG Tranche CDX HY Tranche iTraxx Europe Swaption iTraxx Asia Ex Japan Swaption iTraxx Australia Swaption iTraxx Japan Swaption CDX Emerging Markets Diversified Tranche iTraxx Europe Tranche iTraxx Asia Ex Japan Tranche iTraxx Australia Tranche iTraxx Japan Tranche iTraxx SovX Swaption LCDX Tranche ABX Tranche Bespoke Tranche* Nth to Default* * Not currently supported for electonic confirmation Markit Credit Index Annexes http://www.markit.com/en/products/data/indices/credit-and-loan-indices/index-annexes/annexes.page Markit Credit Index Annex Confirmations http://www.markit.com/en/products/data/indices/credit-and-loan-indices/index-annexes/confirmations.page? Markit Structured Finance Indices http://www.markit.com/en/products/data/indices/structured-finance-indices/structured-finance-indices.page? Nth to Default STS http://www.isda.org/publications/pdf/20110922_Final_NTD-Standard-Terms-Supplement.pdf Bespoke Tranche STS http://www.isda.org/publications/pdf/Global-Tranche-STS020111.pdf Markit iBoxx http://www.markit.com/en/products/data/indices/bond-indices/iboxx/iboxx.page Confirmation Terms Field Description CDX IG Value of Field Scheduled termination date of Index Contract VARIABLE Scheduled Termination Date REDS ID (9 characters) Reference Entity ID (REDS ID) (9 chars) Original Notional Amount Initial Payment Amount Clearing DCO Product Type My Entity Counterpary Trade Date Will be used to overwrite Reference Entity Name and Reference Obligation if specified. VARIABLE VARIABLE Initial Payment Amount VARIABLE Indication if the trade will be cleared, and where. VARIABLE CreditDefaultSwapIndex STATIC Credit Default Swap Index STATIC Registered Swap Dealer/MSP STATIC Any valid date. STATIC Today STATIC Original Index Effective Date Defaulted Defaulted based off trade date to next quarterly roll date Defaulted As Per RED Based on RED CDX.NA.IG.xx STATIC CDX STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. STATIC SD/MSP STATIC SD/MSP STATIC 1.00000 STATIC USD Defaulted 3 Defaulted T+3 Any valid date. Effective Date (Effective date of Index contract) Any valid date. First Fixed Rate Payment Date Reference Entity Index Name REDS Name Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Master Document Date Fixed Rate Payer Float Rate Payer Fixed Rate (per annum) Fixed Rate on Effective Date of Index Contract % per annum Valid 3-character currency code. Original Notional Amount Currency Between 1 and 12 Fixed Rate Payer Payment Frequency Any valid date. Initial Payment Date Initial Payment Currency Initial Payment Amount Payer Initial Payment Amount Receiver Valid 3-character currency code. STATIC USD STATIC SD/MSP STATIC SD/MSP Defaulted Based on RED Defaulted Y STATIC STS Any valid date. Annex Date Full First Calculation Period Applicable Y or N ONLY For a Master Confirm trade, leave blank For a Matrix trade, use the value CreditDerivativesPhysicalSettlementMatrix Documentation Type Calculation Agent STATIC Registered Swap Dealer/MSP STATIC Any valid value (AFB, German, ISDA, Swiss, Other) Any valid value from the DTCC scheme (AFB, German, ISDA, Swiss, Other) Master Agreement Type Master Agreement Date First Payment Period Accrual Start Date Any valid date. STATIC As per Master Any valid date. Defaulted Full coupon; Last roll date STATIC As per STS; If the Original Notional Amount is denominated in: USD: New York and London; EUR: London and TARGET Settlement Day ISDA Business Center code: "GBLO, USNY" Business Day Confirmation Terms Field Description iTraxx Europe Value of Field Scheduled termination date of Index Contract VARIABLE Scheduled Termination Date REDS ID (9 characters) Will be used to overwrite Reference Entity Name and Reference Obligation if specified. Reference Entity ID (REDS ID) (9 chars) Original Notional Amount Initial Payment Amount Clearing DCO Product Type My Entity Counterpary Trade Date VARIABLE VARIABLE Initial Payment Amount VARIABLE Indication if the trade will be cleared, and where. VARIABLE CreditDefaultSwapIndex STATIC Credit Default Swap Index STATIC Registered Swap Dealer/MSP STATIC Any valid date. STATIC Today STATIC Original Index Effective Date Defaulted Defaulted based off trade date to next quarterly roll date Defaulted As Per RED Based on RED iTraxx Europe Series xx Version xx STATIC iTraxx Europe STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. STATIC SD/MSP STATIC SD/MSP STATIC 1.00000 STATIC EUR Defaulted 3 Defaulted T+3 Any valid date. Effective Date (Effective date of Index contract) Any valid date. First Fixed Rate Payment Date REDS Name Reference Entity Index Name Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Master Document Date Fixed Rate Payer Float Rate Payer Fixed Rate (per annum) Fixed Rate on Effective Date of Index Contract % per annum Valid 3-character currency code. Original Notional Amount Currency Between 1 and 12 Fixed Rate Payer Payment Frequency Any valid date. Initial Payment Date Initial Payment Currency Initial Payment Amount Payer Initial Payment Amount Receiver Valid 3-character currency code. STATIC EUR STATIC SD/MSP STATIC SD/MSP Defaulted Based on RED Defaulted Y STATIC STS Any valid date. Annex Date Full First Calculation Period Applicable Y or N ONLY For a Master Confirm trade, leave blank For a Matrix trade, use the value CreditDerivativesPhysicalSettlementMatrix Documentation Type Calculation Agent STATIC Registered Swap Dealer/MSP STATIC Any valid value (AFB, German, ISDA, Swiss, Other) Any valid value from the DTCC scheme (AFB, German, ISDA, Swiss, Other) Master Agreement Type Master Agreement Date First Payment Period Accrual Start Date Any valid date. STATIC As per Master Any valid date. Defaulted Full coupon; Last roll date STATIC As per STS; If the Original Notional Amount is denominated in: USD: New York and London; EUR: London and TARGET Settlement Day ISDA Business Center code: "GBLO, USNY" Business Day Confirmation Terms Field Description PrimeX Value of Field Scheduled termination date of Index Contract VARIABLE Scheduled Termination Date REDS ID (9 characters) Reference Entity ID (REDS ID) (9 chars) Fixed Rate (per annum) Original Notional Amount Initial Payment Amount Clearing DCO Product Type My Entity Counterpary Trade Date Will be used to overwrite Reference Entity Name and Reference Obligation if specified. VARIABLE Fixed Rate on Effective Date of Index Contract % per annum VARIABLE VARIABLE Initial Payment Amount VARIABLE Indication if the trade will be cleared, and where. VARIABLE CreditDefaultSwapIndex STATIC Credit Default Swap Index STATIC Registered Swap Dealer/MSP STATIC Any valid date. STATIC Today STATIC Trade Date Defaulted Defaulted based off trade date to next monthly roll date Defaulted As Per RED Based on RED PRIMEX.ARM.x PRIMEX.FRM.x STATIC PrimeX STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. STATIC SD/MSP STATIC SD/MSP STATIC USD Defaulted 1 Defaulted T+3 Any valid date. Effective Date (Effective date of Index contract) Any valid date. First Fixed Rate Payment Date REDS Name Reference Entity Index Name Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Master Document Date Fixed Rate Payer Float Rate Payer Valid 3-character currency code. Original Notional Amount Currency Between 1 and 12 Fixed Rate Payer Payment Frequency Any valid date. Initial Payment Date Initial Payment Currency Initial Payment Amount Payer Initial Payment Amount Receiver Valid 3-character currency code. STATIC USD STATIC SD/MSP STATIC SD/MSP Defaulted Based on RED Defaulted Y STATIC STS Any valid date. Annex Date Full First Calculation Period Applicable (Y/N) Y or N ONLY For a Master Confirm trade, leave blank For a Matrix trade, use the value CreditDerivativesPhysicalSettlementMatrix Documentation Type Calculation Agent STATIC Registered Swap Dealer/MSP STATIC Any valid value (AFB, German, ISDA, Swiss, Other) Any valid value from the DTCC scheme (AFB, German, ISDA, Swiss, Other) Master Agreement Type Master Agreement Date First Payment Period Accrual Start Date Any valid date. STATIC As per Master Any valid date. Defaulted Full coupon; Last roll date STATIC As per STS; If the Original Notional Amount is denominated in: USD: New York and London; EUR: London and TARGET Settlement Day ISDA Business Center code: "GBLO, USNY" Business Day Confirmation Terms Field Description CDX IG Swaption Value of Field Scheduled termination date of Index Contract VARIABLE Expiration Date REDS ID (9 characters) Reference Entity ID (REDS ID) (9 chars) Original Notional Amount Premium Payment Amount Will be used to overwrite Reference Entity Name and Reference Obligation if specified. VARIABLE VARIABLE Indication if the swaptrion is exercised if that swap will be cleared, and where. Clearing DCO of Underlying swap Option Style Strike Price Swaption Settlement Style Product Type My Entity Counterpary Trade Date VARIABLE VARIABLE European VARIABLE CONTINGENT Physical VARIABLE CONTINGENT VARIABLE CreditDefaultSwapIndex STATIC Credit Default Swap Index STATIC Registered Swap Dealer/MSP STATIC Any valid date. STATIC Today STATIC Original Index Effective Date Defaulted As Per RED Based on RED CDX.NA.IG.xx STATIC CDXSwaption STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. STATIC SD/MSP STATIC SD/MSP STATIC 1.00000 STATIC USD Defaulted T+3 Any valid date. Effective Date (Effective date of Index contract) REDS Name Reference Entity Index Name Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Master Document Date Swaption Buyer Swaption Seller Fixed Rate (per annum) Fixed Rate on Effective Date of Index Contract % per annum Valid 3-character currency code. Original Notional Amount Currency Any valid date. Premium Payment Date Premium Payment Currency Premium Payment Amount Payer Premium Payment Amount Receiver Valid 3-character currency code. STATIC USD STATIC SD/MSP STATIC SD/MSP Defaulted Based on RED STATIC STS Any valid date. Annex Date For a Master Confirm trade, leave blank For a Matrix trade, use the value CreditDerivativesPhysicalSettlementMatrix Documentation Type Calculation Agent STATIC Registered Swap Dealer/MSP STATIC Any valid value (AFB, German, ISDA, Swiss, Other) Any valid value from the DTCC scheme (AFB, German, ISDA, Swiss, Other) Master Agreement Type Master Agreement Date Any valid date. STATIC As per Master STATIC As per STS; If the Original Notional Amount is denominated in: USD: New York and London; EUR: London and TARGET Settlement Day STATIC SD/MSP STATIC SD/MSP STATIC CDX STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. ISDA Business Center code: "GBLO, USNY" Business Day Underlying Buyer Underlying Seller Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. Underlying Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Underlying Master Document Date Confirmation Terms Field Description iTraxx Europe Tranche Value of Field Scheduled termination date of Index Contract VARIABLE Scheduled Termination Date REDS ID (9 characters) Will be used to overwrite Reference Entity Name and Reference Obligation if specified. Reference Entity ID (REDS ID) (9 chars) Original Notional Amount Initial Payment Amount Clearing DCO Attachment Point Exhaustion Point Product Type My Entity Counterpary Trade Date VARIABLE VARIABLE Initial Payment Amount Indication if the trade will be cleared, and where. VARIABLE VARIABLE VARIABLE CONTINGENT VARIABLE CONTINGENT CreditDefaultSwapIndex Tranche STATIC Credit Default Swap Index Tranche STATIC Registered Swap Dealer/MSP STATIC Any valid date. STATIC Today STATIC Original Index Effective Date Defaulted Defaulted based off trade date to next quarterly roll date Defaulted As Per RED Based on RED iTraxx Europe Series.xx Version xx STATIC iTraxx EuropeTranche STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. STATIC SD/MSP STATIC SD/MSP STATIC 1.00000 STATIC EUR Defaulted 3 Defaulted T+3 Any valid date. Effective Date (Effective date of Index contract) Any valid date. First Fixed Rate Payment Date REDS Name Reference Entity Index Name Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Master Document Date Fixed Rate Payer Float Rate Payer Fixed Rate (per annum) Fixed Rate on Effective Date of Index Contract % per annum Valid 3-character currency code. Original Notional Amount Currency Between 1 and 12 Fixed Rate Payer Payment Frequency Any valid date. Initial Payment Date Initial Payment Currency Initial Payment Amount Payer Initial Payment Amount Receiver Valid 3-character currency code. STATIC USD STATIC SD/MSP STATIC SD/MSP Defaulted Based on RED Defaulted Y STATIC STS Any valid date. Annex Date Full First Calculation Period Applicable Y or N ONLY For a Master Confirm trade, leave blank For a Matrix trade, use the value CreditDerivativesPhysicalSettlementMatrix Documentation Type Calculation Agent STATIC Registered Swap Dealer/MSP STATIC Any valid value (AFB, German, ISDA, Swiss, Other) Any valid value from the DTCC scheme (AFB, German, ISDA, Swiss, Other) Master Agreement Type Master Agreement Date First Payment Period Accrual Start Date Any valid date. STATIC As per Master Any valid date. Defaulted Full coupon; Last roll date STATIC As per STS; If the Original Notional Amount is denominated in: USD: New York and London; EUR: London and TARGET Settlement Day ISDA Business Center code: "GBLO, USNY" Business Day Valid values are "Y" and "N" Modified Equity Delivery Settled Entity Matrix Source Settled Entity Matrix Date STATIC Y or N ‘Publisher’ or ‘NotApplicable’. STATIC Publisher or Not Applicabl;e Any valid date. STATIC Confirmation Terms Field Description ABX Value of Field Scheduled termination date of Index Contract VARIABLE Scheduled Termination Date REDS ID (9 characters) Reference Entity ID (REDS ID) (9 chars) Fixed Rate (per annum) Original Notional Amount Initial Payment Amount Clearing DCO Product Type My Entity Counterpary Trade Date Will be used to overwrite Reference Entity Name and Reference Obligation if specified. VARIABLE Fixed Rate on Effective Date of Index Contract % per annum VARIABLE VARIABLE Initial Payment Amount VARIABLE Indication if the trade will be cleared, and where. VARIABLE CreditDefaultSwapIndex STATIC Credit Default Swap Index STATIC Registered Swap Dealer/MSP STATIC Any valid date. STATIC Today STATIC Trade Date Defaulted Defaulted based off trade date to next monthly roll date Defaulted As Per RED Based on RED ABX.HE.PENNA.xx STATIC 2003CreditIndex STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. STATIC SD/MSP STATIC SD/MSP STATIC USD Defaulted 3 Defaulted T+5 Any valid date. Effective Date (Effective date of Index contract) Any valid date. First Fixed Rate Payment Date REDS Name Reference Entity Index Name Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Master Document Date Fixed Rate Payer Float Rate Payer Valid 3-character currency code. Original Notional Amount Currency Between 1 and 12 Fixed Rate Payer Payment Frequency Any valid date. Initial Payment Date Initial Payment Currency Initial Payment Amount Payer Initial Payment Amount Receiver Valid 3-character currency code. STATIC USD STATIC SD/MSP STATIC SD/MSP Defaulted Based on RED Defaulted Y STATIC STS Any valid date. Annex Date Full First Calculation Period Applicable (Y/N) Y or N ONLY For a Master Confirm trade, leave blank For a Matrix trade, use the value CreditDerivativesPhysicalSettlementMatrix Documentation Type Calculation Agent STATIC Registered Swap Dealer/MSP STATIC Any valid value (AFB, German, ISDA, Swiss, Other) Any valid value from the DTCC scheme (AFB, German, ISDA, Swiss, Other) Master Agreement Type Master Agreement Date First Payment Period Accrual Start Date Any valid date. STATIC As per Master Any valid date. Defaulted Full coupon; Last roll date STATIC As per STS; If the Original Notional Amount is denominated in: USD: New York and London; EUR: London and TARGET Settlement Day ISDA Business Center code: "GBLO, USNY" Business Day Confirmation Terms Field Description Bespoke Tranche Value of Field Scheduled termination date of Index Contract VARIABLE Scheduled Termination Date Reference Entity Reference Obligation Reference Entity Weighting Transaction Type Original Notional Amount Original Notional Amount Currency Initial Payment Amount Initial Payment Currency Attachment Point Exhaustion Point Fixed Rate (per annum) Any Reference Entity agreed to at the time of trading (and any successor thereto). Each Reference Entity in the portfolio, Applicable to an individual Reference Entity, a bond, loan or other obligation, generally issued or guaranteed by the Reference Entity, that determines what obligations are relevant for triggering certain credit events or that are deliverable or relevant to credit event payment calculations. May be omitted. A percentage, which identifies the proportion of the overall portfolio of names that the respective Reference Entity represents. Applicable to each Reference Entity - describes credit event and settlement terms for that particular entity and may identify other applicable documentation specific to that Reference Entity or a class of names to which that Reference Entity belongs. Monoline Product Type My Entity Counterpary Trade Date VARIABLE VARIABLE VARIABLE VARIABLE VARIABLE Initial Payment Amount VARIABLE Initial Payment Amount Currency VARIABLE Beginning of the tranche, expressed as a percentage, which when used in calculations set forth in the documentation specifies the nominal credit event losses that must be calculated before the Seller provides certain payments. End of the tranche, expressed as a percentage. The Attachment Point and Exhaustion Point, together with the Floating Rate Payer Calculation Amount, when used in calculations set forth in the documentation, specify the implicit portfolio size of which the tranche is a portion. A percentage expressed per annum, used to determine quarterly payments under the relevant documentation. Party responsible for making specified determinations under the swap transaction. Calculation Agent Restructuring VARIABLE Where the Transaction Type is North American Corporate or Standard North American Corporate, whether Restructuring is a Credit Event. Not specified for other Transaction Types. Where the Transaction Type is North American Corporate or Standard North American Corporate, whether [] is applicable. Not specified for other Transaction Types. Bespoke Tranche VARIABLE VARIABLE VARIABLE VARIABLE Defaulted Defaulted STATIC Bespoke Tranche STATIC Registered Swap Dealer/MSP STATIC Any valid date. STATIC Today STATIC Trade Date +1 Any valid date. Effective Date The March 20, June 20, September 20 and December 20 immediately following the Trade Date Defaulted First Fixed Rate Payment Date Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. The March 20, June 20, September 20 and December 20 immediately following the Trade Date STATIC Bespoke Tranche STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. STATIC SD/MSP STATIC SD/MSP Defaulted 3 Defaulted T+3 STATIC SD/MSP Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Master Document Date Fixed Rate Payer Float Rate Payer Between 1 and 12 Fixed Rate Payer Payment Frequency Any valid date. Initial Payment Date Initial Payment Amount Payer Initial Payment Amount Receiver STATIC SD/MSP STATIC Any valid value (AFB, German, ISDA, Swiss, Other) STATIC As per Master STATIC As per STS Any valid value from the DTCC scheme (AFB, German, ISDA, Swiss, Other) Master Agreement Type Master Agreement Date Any valid date. ISDA Business Center code: "GBLO, USNY" Business Day Confirmation Terms Field Description Final level (official closing level) of the Index is measured in order to determine payout Scheduled Termination Date/Final Fixing Date Reference Entity Index Name The relevant Index Annex per Markit iBoxx Value of Field VARIABLE VARIABLE REDS ID (9 characters) Will be used to overwrite Reference Entity Name and Reference Obligation if specified. VARIABLE *At current time Markit are in the process of creating RED ID's for iBoxx Reference Entity ID (REDS ID) (9 chars)* Floating Rate Option Spread Initial Fixing Amount Original Notional Amount Variable rate to be used in the calculation of the Floating Rate, rate is available from public source. An amount applied to the transaction, where applicable, to be added to the Floating Rate once determined in accordance with Floating Rate Option above Initial value of the Index determined on the Trade Date VARIABLE VARIABLE VARIABLE VARIABLE Valid 3-character currency code. VARIABLE USD/EUR/GBP Original Notional Amount Currency If the Index Return Amount is positive, the Index Seller. If the Index Return Amount is negative, the Index Buyer. Index Return Amount Payer Product Type My Entity Counterpary Trade Date iBoxxTRS STATIC If the Index Return Amount is positive, the Index Seller. If the Index Return Amount is negative, the Index Buyer. iBoxxTRS STATIC Registered Swap Dealer/MSP Defaulted STATIC Any valid date. STATIC Today STATIC Today Defaulted Defaulted based off trade date to next monthly roll date STATIC iBoxx STATIC Standard Terms Supplement Publication Date for an Index or Index Tranche trade that uses the Standard Terms form of documentation. Index Buyer STATIC SD/MSP Index Seller STATIC SD/MSP Defaulted 3 Defaulted Inapplicable Defaulted 3 Defaulted T+3 Defaulted Y STATIC STS Any valid date. Effective Date (Effective date of Index contract) Any valid date. First Fixed Rate Payment Date Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. Master Document Transaction Type Represents the Standard Terms Supplement Publication Date for an Index trade that uses the Standard Terms form of documentation. Master Document Date Fixed Rate Payer Float Rate Payer Between 1 and 12 months Designated Maturity Compounding Any valid Between 1 and 12 Fixed Rate Payer Payment Frequency Any valid date. Initial Payment Date Full First Calculation Period Applicable (Y/N) Y or N ONLY For a Master Confirm trade, leave blank For a Matrix trade, use the value CreditDerivativesPhysicalSettlementMatrix Documentation Type Calculation Agent STATIC Registered Swap Dealer/MSP STATIC Any valid value (AFB, German, ISDA, Swiss, Other) Any valid value from the DTCC scheme (AFB, German, ISDA, Swiss, Other) Master Agreement Type Master Agreement Date First Payment Period Accrual Start Date Business Day Any valid date. STATIC As per Master Any valid date. Defaulted Full coupon; Last roll date If the Settlement Currency is GBP or EUR, London and TARGET2, and if the Settlement Currency is USD, New York. Defaulted If the Settlement Currency is GBP or EUR, London and TARGET2, and if the Settlement Currency is USD, New York.
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