FX Haircut Percentage - CSA Provision: Difference between revisions
Amwelladmin (talk | contribs) No edit summary |
Amwelladmin (talk | contribs) No edit summary |
||
Line 8: | Line 8: | ||
:<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> | ||
}} | }} | ||
A provision that assuredly goes into the {{isia}} category. | |||
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: | ||
:The amount (call it ''n'') ''multiplied by'' the sum of 100% ''minus'' zero%, ''or'' | :The amount (call it ''n'') ''multiplied by'' the sum of 100% ''minus'' zero%, ''or'' |
Revision as of 17:58, 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)
|
A provision that assuredly goes into the I’m sorry I asked category.
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.