Calculation of Closeout Amounts EFMLG（清仓大拍卖金额计算EFMLG）.pdf

EFMLG Symposium on Standard Market Documentation Calculation of Close-out Amounts Natalia Butragueño London, 15 September 2009 Scope • Documentation analysed – ISDA 1992 – ISDA 2002 – GMRA 1995 – GMRA 2000 – GMSLA 2009 – EMA 2004 • Close-out Procedures 2 Scope 1. Determination of fair values 2. Termination Currency 3. Fallbacks for determination of securities market values 4. Discretion granted to the non-defaulting party 3 Determination of fair values ISDA 1992 • Parties pre-election between: • Market quotation or, • Loss (applies also as fallback) • If no election, Market Quotation and the Second Method applies. • If Loss applies: • Determination to be as of the relevant Early Termination Date. If this is not reasonably practicable, as of the earliest date thereafter. • A party may (but need not) determine its Loss by reference to quotations of relevant rates or prices from leading dealers. • Loss is the amount that a party reasonably determines in good faith to be its total losses, costs or gains (includes many different items) • If Market Quotation is elected, the party making the determination will request each Reference Market-maker to provide its quotation to the extent reasonably practicable as of the same day and time or as soon as reasonably practicable after the Early Termination Date. • Quotations for Replacement Transaction. • Unpaid Amounts to be excluded, but any payment or delivery that would have been required