On October 29, 2012, ISDA® released guidance for parties to over-the-counter (OTC) derivatives transactions that are affected by the closing of US exchanges and bond markets on October 29-30, 2012 due to Hurricane Sandy. This guidance was based on information that was available to ISDA as of 3:00 PM on October 29, 2012.

The ISDA Hurricane Sandy guidance covers:

For standard credit default swap (CDS) transactions with payment dates on March 20, June 20, September 20 and December 20, ISDA does not anticipate that Hurricane Sandy will have any impact on the due date of any payment or the amount of any payment due under those transactions..

For CDS transactions governed by the 2003 ISDA Credit Derivatives Definitions with a payment date:

October 29 and 30, 2012 should be treated as Commodity Business Days for NYMEX-based and COMEX-based commodity derivatives transactions governed by the 2005 ISDA Commodity Definitions and the 1993 ISDA Commodity Derivatives Definitions.

For exercise, valuation and expiration of option transactions and observation days for variance swap transactions governed by the 2002 ISDA Equity Derivatives Definitions, unless the parties otherwise agree, both October 29 and 30, 2012 should be treated as a Scheduled Trading Day that is a Disrupted Day, as defined by the 2002 definitions, due to the failure of the relevant US exchanges to open for trading during their regular trading sessions.

For transactions for which either October 29 or 30, 2012 is a Valuation Date, that date should be adjusted in accordance with the relevant provisions of the 2002 Definitions applicable to Disrupted Days, subject to any amendments made in any relevant confirmation between the parties.

For example, if a valuation date for an option transaction governed by the 2002 Definitions is specified as October 29, 2012, such valuation date should be postponed to the next Scheduled Trading Day that is not a Disrupted Day (which, for the avoidance of doubt, was expected by ISDA to be October 31, 2012).

For options, rate resets and swaptions governed by the 2006 ISDA Definitions, October 29, 2012 should be considered a New York Business and Banking Day, according to ISDA's understanding. Unless parties agree otherwise, in relation to transactions documented under the 2006 ISDA Definitions, obligations to pay, rights to exercise options and the valuation of cash settlements which would otherwise be due, exercisable and required to be performed, respectively, on October 29, 2012, should be made, may be exercised and should be performed notwithstanding the closure of various exchanges and markets in the US.

October 29, 2012 should be considered a US Government Securities Business Day since SIFMA recommended an early closing on October 29, 2012 and not a complete closure. The closing time for settlements is not affected.

October 29, 2012 should be considered an Exercise Business Day for swaptions governed by the 2006 ISDA Definitions.

October 30, 2012 is a New York Business and Banking Day but not a US Government Securities Business Day. In addition, options still expire in accordance with the terms of the applicable transaction confirmation. Rate options which reference US Government Securities Business Days did not fix and the previous day's fixing should be applied as set out in the Definitions.

It is ISDA's understanding that the following were open on October 29 and 30, 2012: