82,891
edits
Amwelladmin (talk | contribs) m (Text replace - "2002 ISDA Master Agreement" to "{{2002ma}}") |
Amwelladmin (talk | contribs) No edit summary |
||
Line 1: | Line 1: | ||
=={{1992ma}}== | ==Commentary== | ||
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 and Italian counterparties=== | |||
*See for more detail, here: [[Close-out Amount - ISDA Provision/Italian counterparties|Italian counterparties]] | |||
==Text== | |||
===[[1992 ISDA Master]] Agreement=== | |||
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 concept doesn't exist under the [[1992 ISDA Master]]. Instead, terminated transactions are determined according to {{isdaprov|Market Quotation}} or {{isdaprov|Loss}}. {{isdacomparison}} | ||
== | ===[[2002 ISDA Master]] Agreement=== | ||
also from the [[you'll be sorry you asked]] file. | also from the [[you'll be sorry you asked]] file. | ||
{{isdaquote|“{{isdaprov|Close-out Amount}}” means, with respect to each {{isdaprov|Terminated Transaction}} or each group of {{isdaprov|Terminated Transactions}}<br> | |||
and a Determining Party, the amount of the losses or costs of the Determining Party that are or would be incurred | 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 Determining Party that are or | 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 | would be realised under then prevailing circumstances (expressed as a negative number) in replacing, or in providing<br> | ||
for the Determining Party the economic equivalent of, (a) the material terms of that Terminated Transaction or group | for the {{isdaprov|Determining Party}} the economic equivalent of, (a) the material terms of that {{isdaprov|Terminated Transaction}} or group<br> | ||
of Terminated Transactions, including the payments and deliveries by the parties under Section 2(a)(i) in respect of | of {{isdaprov|Terminated Transactions}}, including the payments and deliveries by the parties under Section {{isdaprov|2(a)(i)}} in respect of<br> | ||
that Terminated Transaction or group of Terminated Transactions that would, but for the occurrence of the relevant | that {{isdaprov|Terminated Transaction}} or group of {{isdaprov|Terminated Transactions}} that would, but for the occurrence of the relevant<br> | ||
Early Termination Date, have been required after that date (assuming satisfaction of the conditions precedent in | {{isdaprov|Early Termination Date}}, have been required after that date (assuming satisfaction of the conditions precedent in<br> | ||
Section 2(a)(iii)) and (b) the option rights of the parties in respect of that Terminated Transaction or group of | Section {{isdaprov|2(a)(iii)}}) and (b) the option rights of the parties in respect of that {{isdaprov|Terminated Transaction}} or group of<br> | ||
Terminated Transactions. | {{isdaprov|Terminated Transactions}}.<br> | ||
<br> | |||
Any Close-out Amount will be determined by the Determining Party (or its agent), which will act in good faith and | 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 | use commercially reasonable procedures in order to produce a commercially reasonable result. The Determining<br> | ||
Party may determine a Close-out Amount for any group of Terminated Transactions or any individual Terminated | 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 Terminated Transactions. Each Close-out Amount will be | 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 Early Termination Date or, if that would not be commercially reasonable, as of the date or dates | 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 Early Termination Date as would be commercially reasonable. | following the {{isdaprov|Early Termination Date}} as would be commercially reasonable.<br> | ||
<br> | |||
Unpaid Amounts in respect of a Terminated Transaction or group of Terminated Transactions and legal fees and out- | {{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 Close-out Amounts. | 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 Close-out Amount, the Determining Party may consider any relevant information, including, without | 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:― | 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 | (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 Determining Party at the time the quotation is provided and the | 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 Determining Party and the | terms of any relevant documentation, including credit support documentation, between the {{isdaprov|Determining Party}} and the<br> | ||
third party providing the quotation; | 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 | (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 | including, without limitation, relevant rates, prices, yields, yield curves, volatilities, spreads, correlations or other<br> | ||
relevant market data in the relevant market; or | 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 | (iii) information of the types described in clause (i) or (ii) above from internal sources (including any of the<br> | ||
Determining | {{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. | course of its business for the valuation of similar transactions.<br> | ||
<br> | |||
The Determining Party will consider, taking into account the standards and procedures described in this definition, | 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 | 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 | 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 | produce a result that would not satisfy those standards. When considering information described in clause (i), (ii) or<br> | ||
(iii) above, the Determining Party may include costs of funding, to the extent costs of funding are not and would not | (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) | 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, | 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. | 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 | 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 Determining Party may in addition | relevant information, and when it is commercially reasonable to do so, the {{isdaprov|Determining Party}} may in addition<br> | ||
consider in calculating a Close-out Amount any loss or cost incurred in connection with its terminating, liquidating or | 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 Terminated Transaction or group of Terminated Transactions (or any gain | 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). | resulting from any of them).<br> | ||
<br> | |||
Commercially reasonable procedures used in determining a Close-out Amount may include the following:― | 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 | (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 | internal sources pursuant to clause (iii) above of pricing or other valuation models that are, at the time of the<br> | ||
determination of the Close-out Amount, used by the Determining Party in the regular course of its business in pricing | 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 Determining Party and unrelated third parties that are similar to the Terminated | or valuing transactions between the {{isdaprov|Determining Party}} and unrelated third parties that are similar to the Terminated<br> | ||
Transaction or group of Terminated Transactions; and | Transaction or group of {{isdaprov|Terminated Transactions}}; and<br> | ||
<br> | |||
(2) application of different valuation methods to Terminated Transactions or groups of Terminated Transactions | (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 Terminated Transactions or group of Terminated | depending on the type, complexity, size or number of the {{isdaprov|Terminated Transactions}} or group of Terminated<br> | ||
Transactions. | Transactions.|Definitions|2002}} | ||
{{isdaanatomy|Close-out Amount}} | {{isdaanatomy|Close-out Amount}} |