OTC Master Agreements场外交易主协议.ppt

OTC - Master AgreementsRA Hermann Stahl Central Legal Dept. Frankfurt/Main1Master Agreements - IWhich Products?ð OTC Derivatives • Swaps • Caps, Floors, Collars • Options • FRA’sð Foreign Exchange Transactionsð Securities Lending Transactionsð Repurchase Transactions2Master Agreements - IINational Master Agreements ðDeutscher Rahmenvertrag für Finanztermingeschäfte ðAustrian, Swiss, Dutch and Spanish Master Agree- mentsBBA Master Agreements ð IFEMA (FX only) ð ICOM (FX options only) ð FEOMA (FX and FX options)3Master Agreements - IIIInternational Master Agreements (cross-border) ð1992 ISDA Master Agreement (draft: 2002 ISDA Master Agreement) ðPSA/ISMA Global Master Repurchase Agreement ðOSLA (Overseas Securities Lender‘s Agreement) ðAFB/FBF Convention-cadre relative aux opérations de marché à terme4Master Agreements - IVEuropean Banking Federation ðEMA = European Master Agreement (currently only with annexes for repurchase and securities lending transactions; annex for derivatives under development)The Bond Market Association ð Cross-Product Master AgreementInternational Swaps and Derivatives Association ð Cross-agreement bridge (project)5Master Agreements - VWhy Master Agreements?ð simplification / standardization ð contractual framework ð Netting • payment • close-out • insolvency • capital adequacy requirements • market risks ð credit protection6StructureMaster AgreementConfirmationConfirmationConfirmationDefinitionsDefinitionsDefinitionsð together: one single agreement7Structure of 1992 ISDA Master Agreement Section 1 - 18: General Schedule Part 1 - 4 (menue) Schedule Part 5 - ___ (free choice)Transaction (Swap) ConfirmationISDA Definitions1996 ISDA Equity Derivatives Definitions 1997 ISDA Government Bond Option Def. 1998 FX and Currency Option Definitions 1998 ISDA Euro Definitions 1999 ISDA Credit Derivatives Definitions 2000 ISDA Definitions81992 ISDA Master Agreement IShort summary of the most important provisions:ð Sec. 1(c)Single Agreement ð Sec. 2(a)Conditions precedent ð (c)Payment netting ð (d)Gross-up (tax) ð Sec. 3Representations ð Sec. 4Agreements91992 ISDA Master Agreement IIShort summary of the most important provisions:ð Sec. 5(a)Events of Default • (i) Failure to pay or deliver • (vi) Cross Default • (vii) Bankruptcyð Sec. 5(b)Termination Events • (i) Illegality • (iv) Credit Event upon Merger • (v) Additional Termination Event (Schedule)101992 ISDA Master Agreement IIIShort summary of the most important provisions:ð Sec. 6 Early Termination (close-out procedure)• (a) Automatic Termination • (b) Termination upon Notice • (e) Calculation Method – First Method („Walk Away“) – Second Method (Full Two Way Payment) – Market Quotation / Loss / Replacement Value under discussion111992 ISDA Master Agreement IVShort summary of the most important provisions:ð Sec. 9(e)Confirmationsð Sec. 12Noticesð Sec. 13Governing Law (New York or English Law), Jurisdiction: New York or EnglandðSec. 14Definitions121992 ISDA Master Agreement - Schedule I -Part 1: Termination Provisionsð Specified Entity (e.g. Affiliates) ð Cross Default (Threshold) ð Credit Event upon Merger ð Automatic Termination ð Market Quotation or Loss ð Termination Currency131992 ISDA Master Agreement - Schedule II -Part 2: Tax RepresentationsPart 3: Documents to be Delivered • signature list, Board Resolution, abstract from register, Articles of Association, annual report, capacity legal opinionPart 4: Miscellaneous • (a) Addresses for Notices • (b) Process Agent (affiliate or special company) • (d) Multibranch Party • (h) Governing Law (New York, English Law)141992 ISDA Master Agreement - Schedule III -Part 5: Other Provisions (free choice)Example:• Incorporation of ISDA Definitions• Set-off clause (obligations from other contracts)• Relationship between Parties: – Non-Reliance – No Agency151992 ISDA Master Agreement - Confirmation -Content of a Confirmation:ð reference to (existing) master agreementð reference to applicable ISDA Definitionsð special provisionsð details of the transaction16Netting - Overview -1.Payment Netting (settlement netting)2.Novation Netting3.Close-out Netting17BAPayment NettingEUR-Interest Rate-SwapfloatingfixedPayment Date 13,53,5(3,75)net10,25(14)3Payment Date 4Payment Date 3Payment Date 218Novation NettingFX ForwardsNovation on 25.06.1999: A pays 5 Euro, B pays 5,1 USD on 29.11.1999EuroUSDUSDEuro1010,65,5526.05.199925.06.199929.11.1999ABAB19Close-out NettingSingle AgreementMaster Agreement Transactions 1. +4 MtM-value in favour of A 2. –2 MtM-value in favour of A 3. +1 MtM-value in favour of A 4. +2 MtM-value in favour of A 5. –1 MtM-value in favour of A 6. +3 MtM-value in favour of ASettlement Amount: + 7 MtM-value in favour of A+ 2 unpaid amounts B+ 0,2 interest on unpaid amounts B./. 1 unpaid amounts A./. 0,1 interest on unpaid amounts ASum: + 8,1 Close-out Amount (claim of A against B)20Reduction of Credit Risk -。