ISDA Master Agreement? ??

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ISDA Master Agreement? ??
2003. 11. 3
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ISDA Master Agreement? ??

• 1981 Salomon Bros, World Bank? IBM ???? ??
• - U290??? SFr,DM? cash flow? ??
• - ????? ?? ??? ?? ??
• 1985 International Swap Dealers Association, Inc.
  ??
• - ?? ?? ??? 18?? ? 2002? ? ?? 600??
• - ?? ? OTC ????? ???? ? ????? ??
• ? ??? International Swaps Derivatives
  Association
• ?? ??
• - Derivatives Documentation? ??

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ISDA? ????
1985 - 18? ???? ?? 1986 - ISDA Codes of Standard
Wording, Assumptions and Provisions for
Swaps 1987 - Interest Rate Swap Master Agreement
(for single jurisdiction, US
transactions only) - Interest Rate and
Currency Exchange Master Agreement
(for multi-currency, multi-jurisdiction
transactions) - 1987 ISDA Interest Rate
and Currency Exchange Definitions 1988 - Tax
Provisions for ISDA Agreement (1987 Master? ??
??) 1989 - Caps Addendum 1987?? ??? ???? ????
??? ???? caps, collars, floors ? ???
??? ??? ?? 1990 - Option Addendum ?? ??? ??? ???
?? 1991 - 1991 Definitions 1987 Definitions?
?? 1992 - 1992 Master Agreement 1987?? ??? ????
??? - Single Currency, Single
Jurisdiction Master Agreement - Form of
OTC Equity Index Option Confirmation -
1992 US Municipal Counterparty Definitions
- 1992 FX and Currency Option Definitions 1993
- User's Guide to the 1992 Master Agreement
- ISDA Commodity Derivatives
Definitions 1994/5 - ????, ???, ???? ??? Credit
Support Annex
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1996
1997 1998
1999

• - 1996 Equity Derivatives Definitions
• - Credit Support Annex (Japanese law)
• - Users Guide to Credit Support Annex (Japanese
  law)
• - Chinese Character Translation (Traditional and
  Simplified) of Users Guide to 1992 Master
  Agreements
• - 1996 Representation Regarding Relationship
  between Parties
• - ISDA/BBAIRS Bridge
• - ISDA/FRABBA Bridge

- 1997 Government Bond Option Definitions - EMU
Continuity Provision - 1997 Bullion Definitions
(long form and short form) - OTC Credit Swap
Confirmation
- 1998 FX and Currency Option Definitions - 1998
Supplement to 1991 Definitions - 1998 Euro
Definitions - EMU Protocol - EMU
Guidebook - Guidelines for Collateral
Practitioners
- Users Guide to Credit Support Documents under
English Law - Users Guide to 1998 FX and
Currency Option Definitions - 1999 Credit
Derivatives Definitions - Y2K Review - 1999
Collateral Review
2000
2001
- Restructuring Supplement to 1999 Credit
Derivatives Definitions - 2001 Margin
Provisions - Users Guide to 2001 Margin
Provisions - 2001 Credit Support Protocol - 2001
Euro Protocol - Form of Amendment to 1992 Master
Agreements - U.S. Payee Tax Representations - Supp
lement to 1999 Credit Derivatives Definitions
Relating to Convertible, Exchangeable or
Accreting Obligations - Supplement to 1999 Credit
Derivatives Definitions Relating to Successor and
Credit Events - 2001 Cross-Agreement
Bridge - Chinese Character Translation of 1992
Master Agreement
- 2000 Definitions - Supplement to 1993 Commodity
Derivatives Definitions - Revised Annex A to 1998
FX and Currency Option Definitions - EMU Protocol
(Greece)
Allen Overy
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2002 and 2003
2002

• - 2002 Energy Agreement Bridge
• - 2002 Equity Derivatives Definitions
• - 2002 Master Agreement
• 2003
• - 2003 Credit Derivatives Definitions

Allen Overy
6
Master Agreement Modular Architecture

• ??? ??? ??? Comprehensive?? ??
• ??? ??? ?????? ???? ??? ????
• (Master Agreement)? ???,
• ?? ??? ??? ??(Schedule)? ??
• ???? ?? ??? ?? ??(Confirmation)? ??
• ??? ??
• ? ?? ??? ??? Relationship Terms? Economic
• Terms? ????, ?? ????? ???? ??
• (Multi-products)?? ???
• Master Agreement, Schedule, Confirmation? ???
  ??? ??
• ??, ??? ????? Confirmation(long/short form)
• ? Schedule ? Master Agreement ?

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2002 ISDA Master Agreement? ??

• 1992 Master Agreement? ????? ?????
• ???? ???? ?????? ? ??? ????
• ??? ??? ? ??? ??

• Bridge? ??? ??? ??? ??? ??? ??
• ??? ??? ??? ??? ??? ?? Definitions?
• ?? ?????? ?? ? ????? ???
• - ?? Confirmation??? ?? ?? ??? Definitions?
• ????? ??
• Ex) 1993 Commodity Derivatives Definitions
• 1996 Equity Derivatives Definitions
• 1999 Credit Derivatives Definitions

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ISDA Agreement Structure (2003)

• Credit Support Documents
• offering protection against
• credit risk
• 2001 ISDA Margin Supplement (incorporating 2001
  ISDA Margin Provisions)
• 1995 Credit Support Annex (Transfer-English law)
• 1994 Credit Support Annex (New York law)

Confirmations (long form)

• Bridges
• 2002 Energy Agreement Bridge
• 2001 Cross-Agreement Bridge
• 1996 FRABBA Bridge
• 1996 BBAIRS Bridge

• 2002 Master Agreement
• Governs legal and credit relationship between the
  parties
• Includes representations, events of
  default/termination events, covenants
• Incorporates Confirmations
• Schedule makes elections and changes to standard
  provisions

• Definitions for use in documenting
• Transactions
• 2003 Credit Derivatives Definitions
• 2002 Equity Derivatives Definitions
• 2000 Definitions
• 1998 Euro Definitions
• 1998 FX and Currency Option Definitions (plus
  revised Annex A)
• 1997 Bullion Definitions
• 1997 Government Bond Option Definitions
• 1993 Commodity Derivatives Definitions (as
  amended by 2000 Supplement)

1995 Credit Support Deed (Security
Interest-English law)
1995 Credit Support Annex (Japanese law)

• Confirmations (short form)
• Incorporate Definitions
• Specify economic terms of each Transaction
• Include Transaction-specific modifications

2002 Master Agreement Protocol
Allen Overy
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? ?(Netting)

• ????? ?? ??? ???? ??? ??
• Payment, Novation, Close-out Netting
• ???? ??? ?? ???? ??? ??
• ?????? ????? ??? ????? ??
• (cherry-picking)???? ? ???? ??? ??
• ??? ??? ???
• ? ??? ???? ?????? ???? ??? ??
• ?? ???? ????(exposure)? ?? ? ??
• ???? ??? ????? ??? ? ? ??
• ISDA? ???? ???? ?? ??? ISDA ????
• ?? ??? ???? ? ?? ???(enforceability)?
• ??? ?? ??? ??(Systemic risk) ??

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??????? ????(Collateralization)

• ??????? ?? ?? ??? ?? ? ??? ??? ???
• ???? ???
• ?????? ????? ? ?? ?? ??(? Treasury ?)? ??
• - 2001?? U2,500??? 2002???? U4,370? ??? ??
• - ???? ?????, UNCITRAL ? ?????? ????
• ????
• - EU??? 2005??? ???? ????? ???? ?? ??(?)
• ??
• ? ISDA??? ??? ??? ?? ????? ??
• Ex) 1994/95 Credit Support Annex New York
  law, English law,
• Japanese law
• 1995 Credit Support Deed English
  law
• 2001 Margin Provisions ??? ?? ??

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ISDA ??? ??? ??

• ???(Documentation)? ???? ?? ???? ??,
• ??? ??, ????? ??
• Netting Opinions, Collateral Opinions? ?????? ??
• ??????? BIS ????? ??
• ???? ???? ?? ????? ??? ?????? ?
• EMU Protocol? ???? ???? ??, ??, ???
• ??? ?? ??
• ? ? ?????? ISDA? Adherent Letter? ?????
• ?? ????? ?? ??? ???? ??

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??????(Credit Derivatives)

• ?? ?? ??? ??/??, ?? ?? ??(TRS) ?
• OTC ???? ??? ????? ??
• ?? ????? 30-40 ????
• 2002? ? ?? 1.6? ?? ??? ??
• ?? ??? ????? ??(quasi-guarantee),
• ??? ??(JP Morgan v. SK Sec) ? ?? ??
• ?? ????? Credit Event? ????? ?
• ??? ??? ??? ??? ? ??
• ? 1999 Credit Derivatives Definitions ??
• 2003?? renewal

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?? ????? ??

• ?? ????(Debt/Equity), ??(Commodity) ???? ???
• ??? ??
• - ??? ??? ???? ?? ?? Legal Risk? ?? ? ???
• ??-??-?? ? ???? ?? ?? ??

• ?? ????(Energy Derivatives)
• - ??? ??? ?? ? ?? ?? ???? ???? ?? ???
• ????? ??

• ?? ????(Weather Derivatives)
• - ??? ??? ?? ??, ????? ??? ??? ? ???
• ??/???? ????
• - ?? ??? ??? ???? ?? ??, ??? ???? ??
• ? ?? ?? ??? ?? ?? ????? ??? ???
• ???? ?? ???? ???? ??? ???? ??

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?? ????? ?? (2)

• CAT ????(Catastrophe Derivatives)
• - ??, ?? ? ????? ??? ?? ???? ???
• ?? ????
• - ????? ??? ?? ??? ??? ?? ??? ??
• ??? ??(????? ??)? ????? ?? ????
• ????? ?? ???? ? ??? ???? ?????
• ??
• - ?? CAT Bond? ??, ???? ? ????? ???
• ??? ???? ???? ?????? ??????
• ??? ? ???????? ??? ????? ????
• ?? ??
• ? ART(Alternative Risk Transfer) ??? ??