Does adhering to the Lehman Protocol affect other credit derivative transactions?
Yes. In addition to single and index credit derivative transactions referencing Lehman, the following transactions are also covered in the Lehman Protocol: Constant Maturity Swap Transaction, a Principal Only Transaction, an Interest Only Transaction, First to Default Transaction, Nth to Default Transaction, Recovery Lock Transaction, Bespoke Portfolio Transaction (which term would include portfolio transactions relating to TRAC-X, JPMorgan HYDI and Tracers indexes), Single-Name Swaption and Portfolio Swaption.
