1992 ISDA Master Agreement: Analyzing Market Quotation, Set-Off and Loss

37 Pages Posted: 31 Jan 2010 Last revised: 29 Apr 2019

See all articles by Rupert Macey-Dare

Rupert Macey-Dare

St Cross College - University of Oxford; Middle Temple; Minerva Chambers

Date Written: March 28, 2010

Abstract

This paper analyzes key clauses relevant to valuation in the 1992 ISDA Master Agreement. The paper focuses principally on the section 14 definitions of: Market Quotation and Loss and on ISDA’s Basic Set-off Provision which is frequently added via the Master Agreement Schedule. Additional clauses considered relate to: First and Second Method, Payments on Early Termination, Settlement Amount, Pre-Estimate, Terminated Transactions, Affected Transactions, Termination Events, One and Two Affected Parties, Reference Market-makers, Unpaid Amounts, Calculations and Settlement. The paper highlights both the richness and complexity of specific valuation-related clauses in the 1992 ISDA Master Agreement and in the structure and interpretation of the Master Agreement as a whole. The paper concludes with c.20 additional student drafting questions.
(N.B. This analysis is as of 2010 and so now needs to be read in the light of subsequent extensive case law.)

Keywords: ISDA, Valuation, Derivative, Market Quotation, Loss, Set-Off, Master Agreement

JEL Classification: F31, G12, G13, G15, G33, K12, K22, N20

Suggested Citation

Macey-Dare, Rupert, 1992 ISDA Master Agreement: Analyzing Market Quotation, Set-Off and Loss (March 28, 2010). Available at SSRN: https://ssrn.com/abstract=1545290 or http://dx.doi.org/10.2139/ssrn.1545290

Rupert Macey-Dare (Contact Author)

St Cross College - University of Oxford ( email )

Saint Giles
Oxford
United Kingdom

Middle Temple ( email )

Middle Temple Lane
London, EC4Y 9AT
United Kingdom

Minerva Chambers ( email )

London
United Kingdom

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