Template:CSA Transfer Description: Difference between revisions
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This is how the timing works for {{{{{1}}}}} transfers: | This is how the timing works for {{{{{1}}}}} transfers: | ||
'''Demand Date'''<br> | |||
On any date, be it a {{{{{1}}}prov|Local Business Day}} or not, (call it a “'''Demand Date'''”, but note per {{{{{1}}}prov|2(a)}} or {{{{{1}}}prov|2(b)}} it must be made “on or promptly following a {{{{{1}}}prov|Valuation Date}}”), a party may demand a {{{{{1}}}prov|Transfer}} under para {{{{{1}}}prov|2(a)}} (for a {{{{{1}}}prov|Delivery Amount}}) or {{{{{1}}}prov|2(b)}} (for a {{{{{1}}}prov|Return Amount}}). | |||
'''{{{{{1}}}prov|Valuation Time}} - {{{{{1}}}prov|Exposure}}'''<br> | |||
The point at which the valuation is made is the {{{{{1}}}prov|Valuation Time}}. This keys off the {{{{{1}}}prov|Valuation Date}}: | |||
*under the {{csa}} the parties specify either [[close of business]] on the {{csaprov|Valuation Date}} or the {{csaprov|Local Business Day}} immediately ''before'' the {{csaprov|Valuation Date}}), and therefore not necessarily the Demand Date. | |||
*under the {{vmcsa}} the {{vmcsaprov|Valuation Agent}} has a bit of flexibility to determine the {{vmcsaprov|Valuation Time}} as at the point it closes its book each day. | |||
'''{{{{{1}}}prov|Valuation Time}} - {{{{{1}}}prov|Eligible Credit Support}}'''<br> | |||
Per para {{{{{1}}}prov|2(a)}} the Transferor will transfer {{{{{1}}}prov|Eligible Credit Support}} having a {{{{{1}}}prov|Value}} equal to the {{{{{1}}}prov|Delivery Amount}} ''as of the date of transfer''. Under the {{{{{1}}}prov|Calculations}} provision all calculations of {{{{{1}}}prov|Value}} happen at the relevant {{{{{1}}}prov|Valuation Time}}. Fluctuations in value in the credit support actually delivered after that time won't invalidate the transfer amount, but they may mean a party can immediately call for more {{{{{1}}}prov|Credit Support}} (that is have another Demand Date). | |||
'''{{{{{1}}}prov|Transfer Date}}'''<br> | |||
Under para {{{{{1}}}prov|3(a)}} ({{{{{1}}}prov|Transfers}}) if the demand is received ''before'' the {{{{{1}}}prov|Notification Time}} (by default, 1pm London time ({{csa}}/12:00 noon London Time ({{vmcsa}}) on a {{{{{1}}}prov|Local Business Day}}) on that Demand Date, the transfer will be made not later than close of business on the related {{csaprov|Settlement Day}} (under the {{csa}}) or [[Regular Settlement Day - VM CSA Provision|''Regular'' Settlement Day]] (under the {{vmcsa}}. If received ''after'' the {{{{{1}}}prov|Notification Time}}, or at any time on a Demand Date that isn’t a {{{{{1}}}prov|Local Business Day}}), the transfer must be made by close of business on the {{csaprov|Settlement Day}}/{{vmcsaprov|Regular Settlement Day}} relating to the day (note: ''ordinary'' day, ''not'' {{{{{1}}}prov|Local Business Day}}) after the Demand Date. | |||
'''{{csaprov|Settlement Day}}'''<br> | |||
Here is where things differ masterially between the {{csa}}and the {{vmcsa}}.<br> | |||
'''{{csa}}''': The {{csaprov|Settlement Day}} for ''any'' day (whether or not it is a {{{{{1}}}prov|Local Business Day}}) is: | |||
*'''Cash''': for cash, the next {{{{{1}}}prov|Local Business Day}} and, | |||
*'''Securities''': for securities, the {{{{{1}}}prov|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. | |||
'''{{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 lkttle more flex: if the demand came after the {{vmcsaprov|Notification Time}}, then it 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> | |||
===Questions=== | ===Questions=== | ||
'''Demand Date not a {{csaprov|Local Business Day}}'''<br> | '''Demand Date not a {{csaprov|Local Business Day}}'''<br> |