Please find below a memorandum from the International Swaps and Derivatives Association stating that there will be an educational call at 9 a.m. this Friday, January 9th, regarding a proposed Close-out Amount Protocol. For details regarding the call, please see the memorandum below.  

Click here to view a copy of the pre-publication draft of the Close-out Amount Protocol.  

If parties adhere to the Close-out Amount Protocol, Section 6(e) of their 1992 ISDA Master Agreement would be replaced with the "Close-out Amount" provisions of the 2002 ISDA Master Agreement.  

Market participants are considering adhering to the protocol because the effective use of the current Section 6(e) payment methods (Loss and Market Quotation) in the 1992 ISDA Master Agreement have sometimes been difficult in practice to implement. For example, with respect to the Lehman bankruptcy, some parties that elected "Market Quotation" felt obligated to obtain quotes from reference market-makers and some reference market-makers were reluctant to give quotes. In addition, some market participants did not know when it was reasonable to apply Loss (which is the fallback provision if a Market Quotation can not be determined or (in the reasonable belief of the party making the determination) would not produce a commercially reasonable result). The ISDA conference call will discuss in greater detail the rationale for the Close-out Amount Protocol.

M E M O R A N D U M  

To: ISDA Documentation Committee  

From: ISDA Legal Department  

CC: Kirsty Devonport ([email protected]); David Geen ([email protected]); Katherine Darras ([email protected]), Mark New ([email protected]); Jing Gu ([email protected]); Jackie Low ([email protected]); Breda Walsh ([email protected]); Rosario Chiarenza ([email protected])  

Further to last week's circulation of the pre-publication draft of the Close-out Amount Protocol, ISDA will host a call this Friday, 9 January at 9am New York / 2pm London time to give some background to the Protocol, discuss the adherence process and to highlight certain key points.  

Dial in details are:  

International Dial-in number: +44 844 8004256  

Passcode: 853 256#  

Kind regards,  


Kirsty Devonport


ISDA® International Swaps and Derivatives Association, Inc.


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