Template:2014 ISDA Credit Derivatives Definitions 3.12

Section 3.12 Accrued Interest. With respect to a Credit Derivative Transaction for which:

(a) “Physical Settlement” is specified to be the Settlement Method in the related Confirmation (or for which Physical Settlement is applicable as the Fallback Settlement Method in accordance with Section 6.1 (Auction Settlement)), the Outstanding Principal Balance of the Deliverable Obligations being Delivered will exclude accrued but unpaid interest, unless “Include Accrued Interest” is specified in the related Confirmation, in which case, the Outstanding Principal Balance of the Deliverable Obligations being Delivered will include accrued but unpaid interest (as the Calculation Agent shall determine after consultation with the parties);

(b) “Cash Settlement” is specified to be the Settlement Method in the related Confirmation (or if Cash Settlement is applicable as the Fallback Settlement Method in accordance with Section 6.1 (Auction Settlement)), and:

(i) “Include Accrued Interest” is specified in the related Confirmation, the Outstanding Principal Balance of the Reference Obligation shall include accrued but unpaid interest;

(ii) “Exclude Accrued Interest” is specified in the related Confirmation, the Outstanding Principal Balance of the Reference Obligation shall not include accrued but unpaid interest; or

(iii) neither “Include Accrued Interest” nor “Exclude Accrued Interest” is specified in the related Confirmation, the Calculation Agent shall determine, after consultation with the parties, based on the then current market practice in the market of the Reference Obligation whether the Outstanding Principal Balance of the Reference Obligation shall include or exclude accrued but unpaid interest and, if applicable, the amount thereof; or

(c) Section 9.6 (Partial Cash Settlement Terms) is applicable, the Calculation Agent shall determine, after consultation with the parties, based on the then current market practice in the market of the relevant Undeliverable Loan Obligation, Undeliverable Loan Obligation, Undeliverable Participation or Unassignable Obligation, whether such Quotations shall include or exclude accrued but unpaid interest.