OTC Master Agreements场外交易主协议.ppt

RA Hermann Stahl Central Legal Dept. Frankfurt/Main Master Agreements - I Which Products? OTC Derivatives Swaps Caps, Floors, Collars Options FRA’s Foreign Exchange Transactions Securities Lending Transactions Repurchase Transactions Master Agreements - II National Master Agreements Deutscher Rahmenvertrag für Finanztermingesch?fte Austrian, Swiss, Dutch and Spanish Master Agree-ments BBA Master Agreements IFEMA (FX only) ICOM (FX options only) FEOMA (FX and FX options) Master Agreements - III International Master Agreements (cross-border) 1992 ISDA Master Agreement (draft: 2002 ISDA Master Agreement) PSA/ISMA Global Master Repurchase Agreement OSLA (Overseas Securities Lender‘s Agreement) AFB/FBF Convention-cadre relative aux opérations de marché à terme Master Agreements - IV European Banking Federation EMA = European Master Agreement (currently only with annexes for repurchase and securities lending transactions; annex for derivatives under development) The Bond Market Association Cross-Product Master Agreement International Swaps and Derivatives Association Cross-agreement bridge (project) Master Agreements - V Why Master Agreements? simplification / standardization contractual framework Netting payment close-out insolvency capital adequacy requirements market risks credit protection Structure Structure of1992 ISDA Master Agreement 1992 ISDA Master Agreement I 1992 ISDA Master Agreement II 1992 ISDA Master Agreement III 1992 ISDA Master Agreement IV 1992 ISDA Master Agreement- Schedule I - 1992 ISDA Master Agreement- Schedule II - 1992 ISDA Master Agreement- Schedule III - 1992 ISDA Master Agreement- Confirmation - Netting- Overview - 1. Payment Netting (settlement netting) 2. Novation Netting 3. Close-out Netting Novation Netting Close-out Netting Single Agreement Master Agreement Transactions 1. +4 MtM-value in favour of A 2. –2 MtM-value in favour of A 3. +1 MtM-v