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

Rupert Macey-Dare

University of Oxford - Saint Cross College; Middle Temple; Freshfields Bruckhaus Deringer LLP

March 28, 2010

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.

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

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

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Date posted: January 31, 2010 ; Last revised: January 26, 2011

Suggested Citation

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

Contact Information

Rupert Macey-Dare (Contact Author)
University of Oxford - Saint Cross College ( email )
Saint Giles
United Kingdom
Middle Temple
Middle Temple Lane
London, EC4Y 9AT
United Kingdom
Freshfields Bruckhaus Deringer LLP ( email )
65 Fleet Street
London EC4Y 1HS
United Kingdom
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