calculation agent
The calculation agent is normally a party specified in the confirmation but, less commonly, could also be a third party. If the confirmation does not specify, the seller will be the calculation agent by default.
Joint calculation agents are also possible and in same cases, the parties agree that upon the occurrence of a certain event (e.g. default), the calculation agent could be substituted by the other party or a third party or third parties nominated by the parties to the transaction.
calculation agent duties
The main duties of the calculation agent concerns making determinations relating to the credit derivatives transaction and the main provisions are set out in section 1.14.
The calculation agent is responsible for, among other things, making the following determinations:
(a) Successor(s) under section 2.2;
(b) the Final Price from Quotations obtained and in accordance with the agreed valuation method (cf. Article VII)
(c) the Dealers and their substitution thereof pursuant to section 7.15
(d) the Currency Rate (for converting the Deliverable Obligation currency into Settlement Currency, cf. section 8.10)
(e) the Representative Amount (as one way to calculate the Final PriceQuotation Amount, 7.12)
(f) the Accreted Amount (in relation to Accreting Obligation, cf. 8.7(ii))
(g) Market Value (7.5 and 7.6)
(h) the number of Business Days in each Physical Settlement Period (8.6)
(i) whether, under section 2.30(a):
(i) the aggregate due under any Reference Obligation have been reduced;
(ii) a Qualifying Guarantee is no longer valid;
(iii) a Reference Obligation is no longer an Obligation of a Reference Entity
The other duties of the calculation agent include:
(a) identifying Substitute Reference Obligation (2.30)
(b) making modification in relation to Restructuring credit event (3.90);
(c) converting the Quotation Amount into relevant Obligation Currency (7.12);
(d) calculating accrued but unpaid interest (if “Include Accrued Interest” is relevant, cf. 7.7, 8.1 and 8.7)
good faith, commercial reasonable manner and notification
The calculation agent is required to act in good faith and in a commercially reasonable manner. After a determination is made,
the calculation agent shall as soon as practicable notify the parties of the determination.
derivativeslawyer.com
Last updated February 2007
^The above notes are intended to provide only general outlines and should be read in conjunction with, and are qualified in their entirety by, the full provisions of the relevant ISDA provisions and definitions. They should never be used in place of professional advice. We accept no responsibility for any loss arising from any action taken or not taken by anyone using this material or using this material in conjunction with any ISDA documentation in reliance thereof.
