FX Haircut Percentage - CSA Provision: Difference between revisions
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{{fullanatopen|csa|{{ISDA English Law Credit Support Annex 2016 Value}}<br><small>[[Template:ISDA English Law Credit Support Annex 2016 Value|view template]]</small><br> | {{fullanatopen|csa|{{ISDA English Law Credit Support Annex 2016 Value}}<br> | ||
:<small>[[Template:ISDA English Law Credit Support Annex 2016 Value|view template]]</small><br> | |||
{{ISDA English Law Credit Support Annex 2016 FX Haircut Percentage}}<br><small>[[Template:ISDA English Law Credit Support Annex 2016 FX Haircut Percentage|view template]]</small><br> | {{ISDA English Law Credit Support Annex 2016 FX Haircut Percentage}}<br> | ||
:<small>[[Template:ISDA English Law Credit Support Annex 2016 FX Haircut Percentage|view template]]</small><br> | |||
{{ISDA English Law Credit Support Annex 2016 11(c)(v)}}<br> | {{ISDA English Law Credit Support Annex 2016 11(c)(v)}}<br> | ||
<small>[[Template:ISDA English Law Credit Support Annex 2016 11(c)(v)|view template]]</small><br> | :<small>[[Template:ISDA English Law Credit Support Annex 2016 11(c)(v)|view template]]</small><br> | ||
}} | }} | ||
Relevant to the calculation of {{csaprov|Value}} of a gentleman’s {{csaprov|Credit Support Balance}}. An observation one might make here is that if you have a cash-only {{tag|CSA}} and as long as you only accept the {{csaprov|Major Currencies}}, then this entire Rube Goldberg provision is unnecessary: The {{csaprov|Valuation Percentage}} will (most likely) be 100%, the {{csaprov|FX Haircut Percentage}} will be zero, so the definition of value that these definitions feed into amounts to the following: | Relevant to the calculation of {{csaprov|Value}} of a gentleman’s {{csaprov|Credit Support Balance}}. An observation one might make here is that if you have a cash-only {{tag|CSA}} and as long as you only accept the {{csaprov|Major Currencies}}, then this entire Rube Goldberg provision is unnecessary: The {{csaprov|Valuation Percentage}} will (most likely) be 100%, the {{csaprov|FX Haircut Percentage}} will be zero, so the definition of value that these definitions feed into amounts to the following: |
Revision as of 17:56, 16 January 2017
CSA Anatomy™
“FX Haircut Percentage” means, for any item of Eligible Credit Support (VM), the percentage specified as such in Paragraph 11(c)(v). Template:ISDA English Law Credit Support Annex 2016 11(c)(v)
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Relevant to the calculation of Value of a gentleman’s Credit Support Balance. An observation one might make here is that if you have a cash-only CSA and as long as you only accept the Major Currencies, then this entire Rube Goldberg provision is unnecessary: The Valuation Percentage will (most likely) be 100%, the FX Haircut Percentage will be zero, so the definition of value that these definitions feed into amounts to the following:
- The amount (call it n) multiplied by the sum of 100% minus zero%, or
- n * (100% - 0%), or
- n * 100%, or
- n.
Sigh.