ICMA Workshop - Professional Repo and Collateral Management - 1-2 June 2017

Sep 26, 2026

Uploaded by Himbo

Workshop materials on professional repo and collateral management, focusing on valuing collateral in an event of default under the GMRA 2011. Covers relevant GMRA clauses, criteria for what constitutes an Event of Default, and how Early Termination dates are designated, including timing rules. Explains valuation of Default Market Value at early termination, including set-off of amounts, currency conversion via spot rates, and the required calculation statement and payment timing. Includes definitions used in the Default Market Value clause.

LanguageEnglish

CategoryExam

FormatPDF

Pages203

Reading Time8 h 32 min

AccessFree to download

Table of contents

Relevant GMRA clauses related to an Event of Default

Valuation in the context of the Default Market Value

ICMA Workshop: Professional Repo and Collateral Management 1-2 June 2017 ICMA Workshop: Professional Repo and Collateral Management 1-2 June 2017 Valuing collateral in an event of default Bruno Campana, Managing Director, Economic & Financial Consulting, FTI Consulting Christopher Halas, Senior Director, Economic & Financial Consulting, FTI Consulting Valuing collateral in an Event of Default 2 June 2017 Presented To: Table of contents 1. Relevant GMRA clauses related to an Event of Default 2. Valuation in the context of the Default Market Value Relevant GMRA clauses related to an Event of Default Early Termination in a repo transaction as per the GMRA 2011 Repurchase date Purchase date Early Termination Date New Repurchase Date – What is the Default Market Value of the collateral? An Early Termination Date occurs within 20 days of an Event of Default. If the GMRA specifies that the Automatic Early Termination clause applies, then the Early Termination Date is set at the time immediately preceding the Act of Insolvency. What is an Event of Default [GMRA 2011, 10 (a)] An Event of Default occurs when either party: ➢ fails to pay the Purchase/Repurchase Price on the applicable date. ➢ fails to deliver the Purchased or Equivalent Securities on the relevant date and the Parties have specified that this clause applies. ➢ fails to pay any sum that is due by them. ➢ fails to make a Margin Transfer. ➢ is subject to an Act of Insolvency. ➢ makes or has made any incorrect or untrue representations. ➢ admits to the other that it is unable to or intends not to perform any of its obligations. ➢ is declared in default or is suspended or expelled from participation in any securities exchange or dealing in securities by a Competent Authority. ➢ fails to perform any other of its obligations and does not remedy this within 30 days after notice is given by the non-Defaulting party. Designation of an Early Termination Date and change of Repurchase Date [GMRA 2011, 10 (b) and 10 (c)] This takes place after an Event of Default has occurred and is continuing. The non-Defaulting Party gives notice to the Defaulting Party within 20 days of the Event of Default. The non-Defaulting Party designates a specific day after the notice is given asan Early Terminate Date in respect of all outstanding transactions. If the Parties have agreed at the outset that an Automatic Early Terminate will take place, then the Early Terminate Date is set to the time immediately preceding the Act of Insolvency. If an Early Termination Date occurs, the Repurchase Date for each Transaction is moved back to the Early Termination Date. All Cash Margins, Equivalent Margin Securities and Cash Equivalent Amounts shall be deliverable or payable on the Early Termination Date. Default Market Value at Early Termination Date [GMRA 2011, 10 (d)] The Default Market Value of the Equivalent Securities, Margin Securities, Cash Margin, Repurchase Prices and Cash Equivalent Amounts to be paid by each party is established by the non-Defaulting Party for all transactions as at the Early Termination Date. An account of the amounts due by each party are set off against each other, and only the balance of this is payable. All sums that are not denominated in the Base Currency are converted at the Spot Rate (obtained from a pricing source or quoted by a bank in the London interbank market) . As soon as reasonably practicable after effecting the calculation, the nonDefaulting Party must provide the Defaulting Party a statement showing in detail the calculations and specifying the balance payable by one party to another. This balance will be due and parable on the Business Day following the day this statement is provided. Interest will accrue on this amount for the actual number of days during the period including the Early Termination Date, but excluding the date of payment. Defined terms in the Defau

FAQs

What events trigger an Event of Default under the GMRA 2011?

An Event of Default occurs when a party fails to pay or deliver on the relevant dates, fails to make a Margin Transfer, is subject to an Act of Insolvency, makes incorrect or untrue representations, admits inability or intention not to perform, is declared in default or suspended/expelled, or fails to perform other obligations and does not remedy within 30 days after notice.

How is an Early Termination Date designated after an Event of Default?

After an Event of Default continues, the non-Defaulting Party gives notice within 20 days, then designates a specific day after the notice as the Early Termination Date for all outstanding transactions. If automatic early termination is agreed, the Early Termination Date is set immediately preceding the Act of Insolvency.

How is Default Market Value determined at the Early Termination Date?

The Default Market Value is established by the non-Defaulting Party as at the Early Termination Date for the Equivalent Securities, Margin Securities, Cash Margin, Repurchase Prices, and Cash Equivalent Amounts. Amounts due by each party are set off, non-base currency amounts are converted using the Spot Rate, and the non-Defaulting Party provides a detailed calculation statement; the resulting balance becomes due on the next Business Day and interest accrues for the relevant period.

Sep 26, 2026

Uploaded by Himbo