1. Counterparty
   1. derivative business
   2. provide a wide range of derivative products including interest rate, currency, credit and mortgage derivatives.
2. Guarantor
   1. funding activities
   2. master notes, commercial paper, bank credit facilities and other money market related instruments, medium and long-term debt, and an unsecured flexible cash capital facility.
3. Reference Entity: Credit Event
   1. Recovery Rate: 40%/Market value
   2. Bankruptcy
   3. Failure to pay
   4. Restrucuring
   5. Obligation acceleration
   6. Repudiation/Moratorium
4. Termination: Event-Additional
   1. Early Termination payment
      1. quotations received from at least five market-makers
   2. 1. Collateral Default
   3. 2. CLNote redemption
   4. 3. Counterparty call/put option "Swap Termination Option"
5. Termination: Event-of Default
   1. Party A/Issuer/Seller
   2. Party B/Counterparty/Buyer
   3. 1. Failure to pay (cash) or delivery (physical)
   4. 2. Breach/repudiation of agreement
   5. 3. Credit support default
   6. 4. Misrepresentation
   7. 5. Default under specified transaction
   8. 6. Cross default
   9. 7. Bankruptcy
   10. 8. Merger without assumption