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ISDA Valuation Cases

Posted: 1 Aug 2010 Last revised: 26 Jan 2011

Rupert Macey-Dare

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

Date Written: July 31, 2010


Following default under a given ISDA Master Agreement, outstanding derivatives contracts have to be valued in accordance with the applicable provisions for Market Quotation, Loss or Close-out Amount. The interpretation and construction of these clauses is highly complex, in some respects even more complex than the mathematical valuation of the derivatives themselves.

Extremely helpful guidance is however provided by a range of ISDA valuation cases from English and other common law jurisdictions. Their judgments include: “ANZ v. Societe Generale (2000), North America Steamships Limited (2007), Enron v. Integral (2002), Enron v. Txu (2003), High Risk Opportunities HUB (2005), Peregrine v. Robinson (2000) and Yallourn v. Enron (2005)” and are summarized below.

The key text from each judgment is also carefully identified and set out by topic and sub-topic in this paper and various practitioner test questions included in the Appendix.

Keywords: Master Agreement, Derivative, ISDA

JEL Classification: G12, G13, G15, K22,

Suggested Citation

Macey-Dare, Rupert, ISDA Valuation Cases (July 31, 2010). Available at SSRN: or

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

Minerva Chambers

United Kingdom

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