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GMRA Anatomy™
In a Nutshell™ Clause 2:
2. Definitions
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2(r) “Equivalent Margin Securities” means Securities equivalent to transferred Margin Securities;
2(s) “Equivalent Securities” means Securities equivalent to the Purchased Securities under a Transaction or, where they have been redeemed, a the cash value of their redemption proceeds;
2(t) Securities are “equivalent to” other Securities if they are:
- (i) of the same issuer;
- (ii) part of the same issue; and
- (iii) identical in type, nominal value, description and amount; provided that
- (A) Securities will still be equivalent if they are redenominated into euro or their nominal value changes as a result; and
- (B) where Securities are altered by a corporate event or their holders become entitled to receive any other property as a result, “equivalent to” will means those Securities as altered and any equivalent property due to such holders as a result;
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2(bb) Margin Transfer means any transfer of Cash Margin or Margin Securities (generally as to which, see Margin Maintenance).
2(cc) “Market Value” means any Securities’ price obtained from a mutually acceptable source for the earliest available delivery date plus accrued Income (if not included in that price), converted into the Contractual Currency at the Spot Rate. Where Securities are suspended, for Margin Maintenance their price will be nil, and for other purposes, it will be their closing price on the last dealing day before they were suspended.
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2(ii) The Price Differential for any Transaction is Pricing Rate * Purchase Price * day count fraction for the actual number of days from (and including) the Purchase Date to (but excluding) the earlier of the calculation date and the Repurchase Date;
2(jj) The Pricing Rate for any Transaction is the agreed annual percentage used to calculate the Price Differential;
2(kk) “Purchase Date” means the date on which Seller is to sell Purchased Securities to Buyer in a Transaction;
2(ll) “Purchase Price” means the price at which Seller sells the Purchased Securities to Buyer on the Purchase Date;
2(mm) “Purchased Securities” means the Securities sold by Seller to Buyer under a Transaction, and any New Purchased Securities Seller transfers to Buyer under the Substitution paragraph under that Transaction;
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2(oo) “Repurchase Date” means the date on which Buyer is to sell Equivalent Securities to Seller under a Transaction;
2(pp) Repurchase Price is the sum of the Purchase Price and the Price Differential, which in turn is calculated as Pricing Rate * Purchase Price * day count fraction. The Pricing Rate is the agreed “repo rate”.
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Global Master Repurchase Agreement full text of Clause 2:
2. Definitions
2(a) “Act of Insolvency” shall occur with respect to any party hereto upon –
- (i) its making a general assignment for the benefit of, entering into a reorganisation, arrangement, or composition with creditors; or
- (ii) its admitting in writing that it is unable to pay its debts as they become due; or
- (iii) its seeking, consenting to or acquiescing in the appointment of any trustee, administrator, receiver or liquidator or analogous officer of it or any material part of its property; or
- (iv) the presentation or filing of a petition in respect of it (other than by the counterparty to this Agreement in respect of any obligation under this Agreement) in any court or before any agency alleging or for the bankruptcy, winding up or insolvency of such party (or any analogous proceeding) or seeking any reorganisation, arrangement, composition, re adjustment, administration, liquidation, dissolution or similar relief under any present or future statute, law or regulation, such petition (except in the case of a petition for winding up or any analogous proceeding, in respect of which no such 30 day period shall apply) not having been stayed or dismissed within 30 days of its filing; or
- (v) the appointment of a receiver, administrator, liquidator or trustee or analogous officer of such party or over all or any material part of such party's property; or
- (vi) the convening of any meeting of its creditors for the purposes of considering a voluntary arrangement as referred to in section 3 of the Insolvency Act 1986 (or any analogous proceeding);
2(b) “Agency Transaction”, the meaning specified in paragraph 1 of the Agency Annex;
2(c) “Appropriate Market”, the meaning specified in paragraph 10;
2(d) “Base Currency”, the currency indicated in Annex I hereto;
2(e) “Business Day”
- (i) in relation to the settlement of any Transaction which is to be settled through Clearstream or Euroclear, a day on which Clearstream or, as the case may be, Euroclear is open to settle business in the currency in which the Purchase Price and the Repurchase Price are denominated;
- (ii) in relation to the settlement of any Transaction which is to be settled through a settlement system other than Clearstream or Euroclear, a day on which that settlement system is open to settle such Transaction;
- (iii) in relation to any delivery of Securities not falling within (i) or (ii) above, a day on which banks are open for business in the place where delivery of the relevant Securities is to be effected; and
- (iv) in relation to any obligation to make a payment not falling within (i) or (ii) above, a day other than a Saturday or a Sunday on which banks are open for business in the principal financial centre of the country of which the currency in which the payment is denominated is the official currency and, if different, in the place where any account designated by the parties for the making or receipt of the payment is situated (or, in the case of a payment in euro, a day on which TARGET operates);
2(f) “Cash Margin”, a cash sum paid to Buyer or Seller in accordance with paragraph 4;
2(g) “Clearstream”, Clearstream Banking, societe anonyme, (previously Cedelbank) or any successor thereto;
2(h) “Confirmation”, the meaning specified in paragraph 3(b);
2(i) “Contractual Currency”, the meaning specified in paragraph 7(a);
2(j) “Defaulting Party”, the meaning specified in paragraph 10;
2(k) “Default Market Value”, the meaning specified in paragraph 10;
2(l) “Default Notice”, a written notice served by the non-Defaulting Party on the Defaulting Party under paragraph 10 stating that an event shall be treated as an Event of Default for the purposes of this Agreement;
2(m) “Default Valuation Notice”, the meaning specified in paragraph 10;
2(n) “Default Valuation Time”, the meaning specified in paragraph 10;
2(o) “Deliverable Securities”, the meaning specified in paragraph 10;
2(p) “Designated Office”, with respect to a party, a branch or office of that party which is specified as such in Annex I hereto or such other branch or office as may be agreed to by the parties;
2(q) “Distributions”, the meaning specified in sub paragraph 2(w) below;
2(r) “Equivalent Margin Securities”, Securities equivalent to Securities previously transferred as Margin Securities;
2(s) “Equivalent Securities”, with respect to a Transaction, Securities equivalent to Purchased Securities under that Transaction. If and to the extent that such Purchased Securities have been redeemed, the expression shall mean a sum of money equivalent to the proceeds of the redemption;
2(t) Securities are “equivalent to” other Securities for the purposes of this Agreement if they are:
- (i) of the same issuer;
- (ii) part of the same issue; and (iii) of an identical type, nominal value, description and (except where otherwise stated) amount as those other Securities, provided that
- (A) Securities will be equivalent to other Securities notwithstanding that those Securities have been redenominated into euro or that the nominal value of those Securities has changed in connection with such redenomination; and
- (B) where Securities have been converted, subdivided or consolidated or have become the subject of a takeover or the holders of Securities have become entitled to receive or acquire other Securities or other property or the Securities have become subject to any similar event, the expression “equivalent to” shall mean Securities equivalent to (as defined in the provisions of this definition preceding the proviso) the original Securities together with or replaced by a sum of money or Securities or other property equivalent to (as so defined) that receivable by holders of such original Securities resulting from such event;
2(u) “Euroclear”, operator of the Euroclear System or any successor thereto;
2(v) “Event of Default”, the meaning specified in paragraph 10;
2(w) “Income”, with respect to any Security at any time, all interest, dividends or other Distributions thereon, but excluding Distributions which are a payment or repayment of principal in respect of the relevant Securities (“Distributions”);
2(x) “Income Payment Date”, with respect to any Securities, the date on which Income is paid in respect of such Securities or, in the case of registered Securities, the date by reference to which particular registered holders are identified as being entitled to payment of Income;
2(y) “LIBOR”, in relation to any sum in any currency, the one month London Inter Bank Offered Rate in respect of that currency as quoted on page 3750 on the Bridge Telerate Service (or such other page as may replace page 3750 on that service) as of 11:00 a.m., London time, on the date on which it is to be determined;
2(z) “Margin Ratio”, with respect to a Transaction, the Market Value of the Purchased Securities at the time when the Transaction was entered into divided by the Purchase Price (and so that, where a Transaction relates to Securities of different descriptions and the Purchase Price is apportioned by the parties among Purchased Securities of each such description, a separate Margin Ratio shall apply in respect of Securities of each such description), or such other proportion as the parties may agree with respect to that Transaction;
2(aa) “Margin Securities”, in relation to a Margin Transfer, Securities reasonably acceptable to the party calling for such Margin Transfer;
2(bb) “Margin Transfer”, any, or any combination of, the payment or repayment of Cash Margin and the transfer of Margin Securities or Equivalent Margin Securities;
2(cc) “Market Value”, with respect to any Securities as of any time on any date, the price for such Securities at such time on such date obtained from a generally recognised source agreed to by the parties (and where different prices are obtained for different delivery dates, the price so obtainable for the earliest available such delivery date) (provided that the price of Securities that are suspended shall (for the purposes of paragraph 4) be nil unless the parties otherwise agree and (for all other purposes) shall be the price of those Securities as of close of business on the dealing day in the relevant market last preceding the date of suspension) plus the aggregate amount of Income which, as of such date, has accrued but not yet been paid in respect of the Securities to the extent not included in such price as of such date, and for these purposes any sum in a currency other than the Contractual Currency for the Transaction in question shall be converted into such Contractual Currency at the Spot Rate prevailing at the relevant time;
2(dd) “Net Exposure”, the meaning specified in paragraph 4(c);
2(ee) the “Net Margin” provided to a Party at any time, the excess (if any) at that time of
- (i) the sum of the amount of Cash Margin paid to that party (including accrued interest on such Cash Margin which has not been paid to the other party) and the Market Value of Margin Securities transferred to that party under paragraph 4(a) (excluding any Cash Margin which has been repaid to the other Party and any Margin Securities in respect of which Equivalent Margin Securities have been transferred to the other party) over
- (ii) the sum of the amount of Cash Margin paid to the other party (including accrued interest on such Cash Margin which has not been paid by the other party) and the Market Value of Margin Securities transferred to the other party under paragraph 4(a) (excluding any Cash Margin which has been repaid by the other Party and any Margin Securities in respect of which Equivalent Margin Securities have been transferred by the other party) and for this purpose any amounts not denominated in the Base Currency shall be converted into the Base Currency at the Spot Rate prevailing at the relevant time;
2(ff) “Net Paying Securities”, Securities which are of a kind such that, were they to be the subject of a Transaction to which paragraph 5 applies, any payment made by Buyer under paragraph 5 would be one in respect of which either Buyer would or might be required to make a withholding or deduction for or on account of taxes or duties or Seller might be required to make or account for a payment for or on account of taxes or duties (in each case other than tax on overall net income) by reference to such payment;
2(gg) “Net Value”, the meaning specified in paragraph 10;
2(hh) “New Purchased Securities”, the meaning specified in paragraph 8(a);
2(ii) “Price Differential”, with respect to any Transaction as of any date, the aggregate amount obtained by daily application of the Pricing Rate for such Transaction to the Purchase Price for such Transaction (on a 360 day basis or 365 day basis in accordance with the applicable ISMA convention, unless otherwise agreed between the parties for the Transaction), for the actual number of days during the period commencing on (and including) the Purchase Date for such Transaction and ending on (but excluding) the date of calculation or, if earlier, the Repurchase Date;
2(jj) “Pricing Rate”, with respect to any Transaction, the per annum percentage rate for calculation of the Price Differential agreed to by Buyer and Seller in relation to that Transaction;
2(kk) “Purchase Date”, with respect to any Transaction, the date on which Purchased Securities are to be sold by Seller to Buyer in relation to that Transaction;
2(ll) “Purchase Price”, on the Purchase Date, the price at which Purchased Securities are sold or are to be sold by Seller to Buyer;
2(mm) “Purchased Securities”, with respect to any Transaction, the Securities sold or to be sold by Seller to Buyer under that Transaction, and any New Purchased Securities transferred by Seller to Buyer under paragraph 8 in respect of that Transaction;
2(nn) “Receivable Securities”, the meaning specified in paragraph 10;
2(oo) “Repurchase Date”, with respect to any Transaction, the date on which Buyer is to sell Equivalent Securities to Seller in relation to that Transaction;
2(pp) “Repurchase Price”, with respect to any Transaction and as of any date, the sum of the Purchase Price and the Price Differential as of such date;
2(qq) “Special Default Notice”, the meaning specified in paragraph 14;
2(rr) “Spot Rate”, where an amount in one currency is to be converted into a second currency on any date, unless the parties otherwise agree, the spot rate of exchange quoted by Barclays Bank PLC in the London inter bank market for the sale by it of such second currency against a purchase by it of such first currency;
2(ss) “TARGET”, the Trans European Automated Real time Gross Settlement Express Transfer System;
2(tt) “Term”, with respect to any Transaction, the interval of time commencing with the Purchase Date and ending with the Repurchase Date;
2(uu) “Termination”, with respect to any Transaction, refers to the requirement with respect to such Transaction for Buyer to sell Equivalent Securities against payment by Seller of the Repurchase Price in accordance with paragraph 3(f), and reference to a Transaction having a “fixed term” or being “terminable upon demand” shall be construed accordingly;
2(vv) “Transaction Costs”, the meaning specified in paragraph 10;
2(ww) “Transaction Exposure”, with respect to any Transaction at any time during the period from the Purchase Date to the Repurchase Date (or, if later, the date on which Equivalent Securities are delivered to Seller or the Transaction is terminated under paragraph 10(g) or 10(h)), the difference between (i) the Repurchase Price at such time multiplied by the applicable Margin Ratio (or, where the Transaction relates to Securities of more than one description to which different Margin Ratios apply, the amount produced by multiplying the Repurchase Price attributable to Equivalent Securities of each such description by the applicable Margin Ratio and aggregating the resulting amounts, the Repurchase Price being for this purpose attributed to Equivalent Securities of each such description in the same proportions as those in which the Purchase Price was apportioned among the Purchased Securities) and (ii) the Market Value of Equivalent Securities at such time. If (i) is greater than (ii), Buyer has a Transaction Exposure for that Transaction equal to that excess. If (ii) is greater than (i), Seller has a Transaction Exposure for that Transaction equal to that excess; and
2(xx) except in paragraphs 14(b)(i) and 18, references in this Agreement to “written” communications and communications “in writing” include communications made through any electronic system agreed between the parties which is capable of reproducing such communication in hard copy form.
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