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| ====Transfer timing under a CSA====
| | We have set out the transfer timings — no small minefield — in the premium section, since it was really painful to do. Freeloaders: just be aware of the slippage due to the {{{{{1}}}|Notification Time}}, the mindwarp that is the definition of {{{{{1}}}|Settlement Day}} and {{{{{1}}}|Regular Settlement Day}}, and the fact that the relevant {{{{{1}}}|Local Business Day}} is in the place of receipt, not {{{{{1}}}|Transmission}}, and so on. |
| This is how the timing works for CSA transfers. Remember the {{{{{1}}}|Valuation Agent}} is simply the person making the demand. Terminology check: to make this easy we refer to both {{{{{1}}}|Delivery Amount}}s ''and'' {{{{{1}}}|Return Amount}}s as “'''{{{{{1}}}|Transfer Amount}}s'''”. The date on which someone actually demands a Transfer Amount we call a “'''{{{{{1}}}|Demand Date}}'''”.
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| '''Valuation of {{{{{1}}}|Exposure}} and {{{{{1}}}|Credit Support Balance}}''': Firstly, you must value what you are going to call, which will be the Transfer Amount under para {{{{{1}}}|2(a)}} or {{{{{1}}}|2(b)}}. This is roughly {{{{{1}}}|Credit Support Balance}} - {{{{{1}}}|Exposure}} (or ''vice versa'').
| | The reality is that collateral operations teams have got most of this taped, automated, and if anything were to foul up they would have long since ironed it out. And the move to call-cash daily margining has probably decomplicated things, too. |
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| Per para {{{{{1}}}|2(a)}} the {{{{{1}}}|Transferor}} will transfer {{{{{1}}}|Eligible Credit Support}} having a {{{{{1}}}|Value}} equal to the {{{{{1}}}|Transfer Amount}} ''as of the date of transfer''. Under the {{{{{1}}}|Calculations}} provision all calculations happen at the relevant {{{{{1}}}|Valuation Time}}. Fluctuations in value after that time won’t invalidate the {{{{{1}}}|Transfer Amount}}, but they may mean a party can immediately call for more {{{{{1}}}|Credit Support}} (that is, have ''another'' {{{{{1}}}|Demand Date}}). The {{{{{1}}}|Valuation Time}} in turn keys off the {{{{{1}}}|Valuation Date}}.<ref>Under the {{csa}} you may specify either [[close of business]] on the {{csaprov|Valuation Date}} or the {{csaprov|Local Business Day}} immediately ''before'' it. Under the {{vmcsa}} you have flexibility to determine the {{vmcsaprov|Valuation Time}} as at the point you your book each day.</ref>
| | ====Exchanges==== |
| | {{csa exchanges|{{{1}}}}} |
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| '''{{{{{1}}}|Demand Date}}''': On any date that is (or promptly follows) a {{{{{1}}}|Valuation Date}}<ref>It need not be a Local Business Day.</ref> in which the {{{{{1}}}|Exposure}} has moved in its favour, one party may demand a {{{{{1}}}|Delivery Amount}}<ref>Under para 2(a).</ref> or a {{{{{1}}}|Return Amount}}.<ref>Under para 2(b).</ref>
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| '''{{{{{1}}}|Transfer Date}}''': Under para {{{{{1}}}|3(a)}} ({{{{{1}}}|Transfers}}) if the {{{{{1}}}|Demand Date}} is a {{{{{1}}}|Local Business Day}} and demand is received ''before'' the {{{{{1}}}|Notification Time}}, the transfer must be made not later than [[close of business]] on the related [[Regular Settlement Day - VM CSA Provision|''Regular'' Settlement Day]].<ref>The “{{csaprov|Settlement Day}}” under the {{csa}} is slightly different.</ref> If received ''after'' the {{{{{1}}}|Notification Time}} (or at any time on a non-{{{{{1}}}|Local Business Day}}), the transfer must be made by close of business on the {{vmcsaprov|Regular Settlement Day}} relating to the day<ref>Note: ''ordinary'' day, ''not'' Local Business Day</ref> ''after'' the Demand Date. <br>
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| '''{{csaprov|Settlement Day}}''': Here is where things differ materially between the {{csa}} and the {{vmcsa}}.<br>
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| '''{{csa}}''': The {{csaprov|Settlement Day}} for ''any'' day (whether or not it is a {{{{{1}}}|Local Business Day}}) is:
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| *'''Cash''': for cash, the next {{{{{1}}}|Local Business Day}} and,
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| *'''Securities''': for securities, the {{{{{1}}}|Local Business Day}} after the date on which a trade in the relevant security, if effected on the day in question, would have been settled in accordance with customary practice.
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| '''{{vmcsa}}''': In the new world we have the new concept of the [[Regular Settlement Day - VM CSA Provision|''Regular'' Settlement Day]], and this is the same {{vmcsaprov|Local Business Day}} as the Demand Date. The run-off text at the end of Paragraph {{vmcsaprov|3(a)}} gives you a little more flex: if the demand came after the {{vmcsaprov|Notification Time}}, then you must make the transfer by close on the {{vmcsaprov|Regular Settlement Day}} for the next day.<ref>Just how the business days interact under the ISDA and CSA is about as complicated as string theory, by the way. For a cheat’s guide, see [[How business days work under the CSA]]. You’re welcome!</ref>
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| ====Questions==== | | ====Questions==== |
| '''{{{{{1}}}|Demand Date}} not a {{{{{1}}}|Local Business Day}}''': What if the Demand Date is not a {{{{{1}}}|Local Business Day}}? E.g., what if it is received after the {{{{{1}}}|Notification Time}} on a Friday, meaning the {{csaprov|Settlement Day}} takes place on the date on which a trade, effected on a Saturday, would have been settled in accordance with customary practice? | | '''{{{{{1}}}|Demand Date}} not a {{{{{1}}}|Local Business Day}}''': What if the Demand Date is not a {{{{{1}}}|Local Business Day}}? E.g., what if it is received after the {{{{{1}}}|Notification Time}} on a Friday, meaning the {{csaprov|Settlement Day}} takes place on the date on which a trade, effected on a Saturday, would have been settled in accordance with customary practice? |