Market Quotation - 1992 ISDA Provision: Difference between revisions
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*'''Where there are fewer than three quotations''': By dint of the definition of {{isdaprov|Settlement Amount}}, if there are fewer that three quotations, or the determining party thinks the value provided by Market Quotation is commercially unrealistic, Market Quotation defaults to {{isdaprov|Loss}}. | *'''Where there are fewer than three quotations''': By dint of the definition of {{isdaprov|Settlement Amount}}, if there are fewer that three quotations, or the determining party thinks the value provided by Market Quotation is commercially unrealistic, Market Quotation defaults to {{isdaprov|Loss}}. | ||
===Relationship to {{csaprov|Exposure}} under the {{ | ===Relationship to {{csaprov|Exposure}} under the {{csa}}=== | ||
Eagle-eyed observers will note that {{isdaprov|Market Quotation}} gets a name-check in the definition of {{csaprov|Exposure}} in the {{1995csa}}. So how does that work, you might ask, where you have a {{2002ma}} which doesn't ''have'' a definition of Market Quotation? Well, the answer lies in the [[2002 ISDA Master Agreement Protocol]]. As long as your counterparty has adopted that, then the provisions are converted over to 2002-speak as it were. | Eagle-eyed observers will note that {{isdaprov|Market Quotation}} gets a name-check in the definition of {{csaprov|Exposure}} in the {{1995csa}}. So how does that work, you might ask, where you have a {{2002ma}} which doesn't ''have'' a definition of Market Quotation? Well, the answer lies in the [[2002 ISDA Master Agreement Protocol]]. As long as your counterparty has adopted that, then the provisions are converted over to 2002-speak as it were. | ||
Revision as of 15:06, 28 January 2016
A comparison between the 1992 ISDA and the 2002 ISDA can be found on the ISDA Comparison page.
In gory detail
1992 ISDA |
2002 ISDA |
Market Quotation in a Nutshell™ (ISDA edition)
Template:Nutshell ISDA Market Quotation
Commentary
- Pricing methodology: Note that this quote comprises a portfolio of transactions on identical economic terms (including collateralisation), but between the Non-affected Party and the relevant market maker; i.e. you don't take into account the (almost inevitable) deterioration of the creditworthiness of the Affected Party.
- Where there are fewer than three quotations: By dint of the definition of Settlement Amount, if there are fewer that three quotations, or the determining party thinks the value provided by Market Quotation is commercially unrealistic, Market Quotation defaults to Loss.
Relationship to Exposure under the 1995 CSA
Eagle-eyed observers will note that Market Quotation gets a name-check in the definition of Exposure in the 1995 CSA. So how does that work, you might ask, where you have a 2002 ISDA which doesn't have a definition of Market Quotation? Well, the answer lies in the 2002 ISDA Master Agreement Protocol. As long as your counterparty has adopted that, then the provisions are converted over to 2002-speak as it were.