|
|
(21 intermediate revisions by the same user not shown) |
Line 1: |
Line 1: |
| ==Commentary==
| | {{newisdamanual|Close-out Amount}} |
| Close-out amount as a concept was introduced in the {{2002ma}} and doesn't exist under the {{1992ma}}. Instead, terminated transactions are determined according to {{isdaprov|Market Quotation}} or {{isdaprov|Loss}}. There are some local variations which are worth bearing in mind:
| |
| Close-out amount concept doesn't exist under the [[1992 ISDA Master]]. Instead, terminated transactions are determined according to {{isdaprov|Market Quotation}} or {{isdaprov|Loss}}.
| |
| {{isdacomparison}}
| |
| ===Close-out amount and Italian counterparties===
| |
| See for more detail, here: [[Close-out Amount - ISDA Provision/Italian counterparties|Italian counterparties]]
| |
| | |
| ===[[2002 ISDA Master]] Agreement===
| |
| From the [[you'll be sorry you asked]] file.
| |
| {{nuts|2002 ISDA|Close-out Amount}}
| |
| | |
| If, having read that, you're still not really feeling sorry, the full text might get your remorse radar pinging:
| |
| | |
| {{isdaquote|“{{isdaprov|Close-out Amount}}” means, with respect to each {{isdaprov|Terminated Transaction}} or each group of {{isdaprov|Terminated Transactions}}<br>
| |
| and a {{isdaprov|Determining Party}}, the amount of the losses or costs of the {{isdaprov|Determining Party}} that are or would be incurred<br>
| |
| under then prevailing circumstances (expressed as a positive number) or gains of the {{isdaprov|Determining Party}} that are or<br>
| |
| would be realised under then prevailing circumstances (expressed as a negative number) in replacing, or in providing<br>
| |
| for the {{isdaprov|Determining Party}} the economic equivalent of, (a) the material terms of that {{isdaprov|Terminated Transaction}} or group<br>
| |
| of {{isdaprov|Terminated Transactions}}, including the payments and deliveries by the parties under Section {{isdaprov|2(a)(i)}} in respect of<br>
| |
| that {{isdaprov|Terminated Transaction}} or group of {{isdaprov|Terminated Transactions}} that would, but for the occurrence of the relevant<br>
| |
| {{isdaprov|Early Termination Date}}, have been required after that date (assuming satisfaction of the conditions precedent in<br>
| |
| Section {{isdaprov|2(a)(iii)}}) and (b) the option rights of the parties in respect of that {{isdaprov|Terminated Transaction}} or group of<br>
| |
| {{isdaprov|Terminated Transactions}}.<br>
| |
| <br>
| |
| Any {{isdaprov|Close-out Amount}} will be determined by the {{isdaprov|Determining Party}} (or its agent), which will act in good faith and<br>
| |
| use commercially reasonable procedures in order to produce a commercially reasonable result. The Determining<br>
| |
| Party may determine a {{isdaprov|Close-out Amount}} for any group of {{isdaprov|Terminated Transactions}} or any individual Terminated<br>
| |
| Transaction but, in the aggregate, for not less than all {{isdaprov|Terminated Transactions}}. Each {{isdaprov|Close-out Amount}} will be<br>
| |
| determined as of the {{isdaprov|Early Termination Date}} or, if that would not be commercially reasonable, as of the date or dates<br>
| |
| following the {{isdaprov|Early Termination Date}} as would be commercially reasonable.<br>
| |
| <br>
| |
| {{isdaprov|Unpaid Amounts}} in respect of a {{isdaprov|Terminated Transaction}} or group of {{isdaprov|Terminated Transactions}} and legal fees and out-<br>
| |
| of-pocket expenses referred to in Section 11 are to be excluded in all determinations of {{isdaprov|Close-out Amounts}}.<br>
| |
| <br>
| |
| In determining a {{isdaprov|Close-out Amount}}, the {{isdaprov|Determining Party}} may consider any relevant information, including, without<br>
| |
| limitation, one or more of the following types of information:―<br>
| |
| <br>
| |
| (i) quotations (either firm or indicative) for replacement transactions supplied by one or more third parties that<br>
| |
| may take into account the creditworthiness of the {{isdaprov|Determining Party}} at the time the quotation is provided and the<br>
| |
| terms of any relevant documentation, including credit support documentation, between the {{isdaprov|Determining Party}} and the<br>
| |
| third party providing the quotation;<br>
| |
| <br>
| |
| (ii) information consisting of relevant market data in the relevant market supplied by one or more third parties<br>
| |
| including, without limitation, relevant rates, prices, yields, yield curves, volatilities, spreads, correlations or other<br>
| |
| relevant market data in the relevant market; or<br>
| |
| <br>
| |
| (iii) information of the types described in clause (i) or (ii) above from internal sources (including any of the<br>
| |
| {{isdaprov|Determining Party}}’s {{isdaprov|Affiliates}}) if that information is of the same type used by the {{isdaprov|Determining Party}} in the regular<br>
| |
| course of its business for the valuation of similar transactions.<br>
| |
| <br>
| |
| The {{isdaprov|Determining Party}} will consider, taking into account the standards and procedures described in this definition,<br>
| |
| quotations pursuant to clause (i) above or relevant market data pursuant to clause (ii) above unless the Determining<br>
| |
| Party reasonably believes in good faith that such quotations or relevant market data are not readily available or would<br>
| |
| produce a result that would not satisfy those standards. When considering information described in clause (i), (ii) or<br>
| |
| (iii) above, the {{isdaprov|Determining Party}} may include costs of funding, to the extent costs of funding are not and would not<br>
| |
| be a component of the other information being utilised. Third parties supplying quotations pursuant to clause (i)<br>
| |
| above or market data pursuant to clause (ii) above may include, without limitation, dealers in the relevant markets,<br>
| |
| end-users of the relevant product, information vendors, brokers and other sources of market information.<br>
| |
| <br>
| |
| Without duplication of amounts calculated based on information described in clause (i), (ii) or (iii) above, or other<br>
| |
| relevant information, and when it is commercially reasonable to do so, the {{isdaprov|Determining Party}} may in addition<br>
| |
| consider in calculating a {{isdaprov|Close-out Amount}} any loss or cost incurred in connection with its terminating, liquidating or<br>
| |
| re-establishing any hedge related to a {{isdaprov|Terminated Transaction}} or group of {{isdaprov|Terminated Transactions}} (or any gain<br>
| |
| resulting from any of them).<br>
| |
| <br>
| |
| Commercially reasonable procedures used in determining a {{isdaprov|Close-out Amount}} may include the following:―<br>
| |
| <br>
| |
| (1) application to relevant market data from third parties pursuant to clause (ii) above or information from<br>
| |
| internal sources pursuant to clause (iii) above of pricing or other valuation models that are, at the time of the<br>
| |
| determination of the {{isdaprov|Close-out Amount}}, used by the {{isdaprov|Determining Party}} in the regular course of its business in pricing<br>
| |
| or valuing transactions between the {{isdaprov|Determining Party}} and unrelated third parties that are similar to the Terminated<br>
| |
| Transaction or group of {{isdaprov|Terminated Transactions}}; and<br>
| |
| <br>
| |
| (2) application of different valuation methods to {{isdaprov|Terminated Transactions}} or groups of {{isdaprov|Terminated Transactions}}<br>
| |
| depending on the type, complexity, size or number of the {{isdaprov|Terminated Transactions}} or group of Terminated<br>
| |
| Transactions.|Definitions|2002}}
| |
| | |
| {{isdaanatomy|Close-out Amount}}
| |
| {{isia}}
| |
| *{{isdaprov|Market Quotation}}
| |
| *{{isdaprov|Loss}}
| |