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NOVATION PROTOCOL
A document published by ISDA that defines the market standard procedures for novating interest rate and credit derivative transactions. The protocol demands that the transferor (the stepping-out party) seeks the consent of the remaining party that it is seeking to transfer by novation one or several trades to a new party (the transferee). A transfer by novation requires the consent of the transferor, the transferee and the remaining party. See also “consent equals confirmation”.
NTH TO DEFAULT BASKETS
A credit derivative transaction based on a bespoke basket of reference entities, which terminates and settles completely (as per a market standard credit default swap) only when the defined reference entity (first, second or “nth” name) suffers a credit event. Pricing depends on the correlation between the names in the basket and the number of defaults that have to occur before settlement.
NYSE LIFFE
The global derivatives business of NYSE Euronext acquired by ICE in 2013, offering trading in derivatives including equities, bonds, interest rates, indices and commodities. NYSE Liffe also has an over-the-counter (OTC) equity options offering.
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