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ISDA 1995 English Law Credit Support Annex
In a Nutshell™ Section 10:
Paragraph 10. Definitions
In this Annex:
Template:Nutshell 1995 CSA Base Currency
“Base Currency Equivalent” of an amount in a currency other than the Base Currency (the “Other Currency”) is the amount of Base Currency the Valuation Agent determines is needed to buy that Other Currency amount at the prevailing spot exchange rate on the Valuation Date.
Template:Nutshell 1995 CSA Credit Support Amount
A Transferor’s “Credit Support Balance” on a Valuation Date is the aggregate of all Eligible Credit Support that it has transferred to the Transferee (including any Distributions or redemption proceeds) as reduced by any Return Amounts transferred under Paragraph 2(b), exchanges made under Paragraph 3(c)(ii) or the default provisions under Paragraph 6 and as adjusted for interest accrual under Paragraph 5(c)(ii). Any Equivalent Distributions not transferred when due under Paragraph 5(c)(i) will form part of the Credit Support Balance.
Template:Nutshell 1995 CSA Delivery Amount
Template:Nutshell 1995 CSA Disputing Party
Template:Nutshell 1995 CSA Distributions
Template:Nutshell 1995 CSA Distributions Date
Template:Nutshell 1995 CSA Eligible Credit Support
Template:Nutshell 1995 CSA Eligible Currency
"Equivalent Credit Support” means, for any Eligible Credit Support in the Credit Support Balance, fungible assets having the same nominal value.
Template:Nutshell 1995 CSA Equivalent Distributions
Template:Nutshell 1995 CSA Exchange Date
“Exposure” means, for a party on a Valuation Date, any amount payable to it by the other party (if so, a positive number) or by it to the other party (if so, a negative number) under Section 6(e)(ii)(1) were all Transactions (other than the CSA) being terminated at the Valuation Time, assuming that:
- (i) it is not the Affected Party and
- (ii) the Base Currency is the Termination Currency;
where the Valuation Agent will determine Market Quotations based on its mid-market estimates for Replacement Transactions (as contemplated in “Market Quotation”).
A party’s “Independent Amount” is the Base Currency Equivalent of the amount specified for it in Paragraph 11(b)(iii)(A) or, if not specified, zero.
Template:Nutshell 1995 CSA Interest Amount
“Interest Period” means the period from and including the day on which cash credit support is delivered to a Transferee to but excluding the day on which an Interest Amount is first transferred in respect of it, and from and including that day, to but excluding the next one, and so on.
Template:Nutshell 1995 CSA Interest Rate
“Local Business Day” means:
- (i) Dematerialised securities: for securities transfers inside a clearance system, a day on which that clearance system executes settlement instructions;
- (ii) Cash and other property: for cash and other transfers, a day on which commercial banks are open where the relevant account is located and in the principal financial centre for any relevant currency;
- (iii) Valuations: for valuations, a day on which commercial banks are open where the Valuation Agent is located (or other places agreed by the Parties); and
- (iv) Notices: for any communication, a day on which commercial banks are open in the place specified for the recipient in the notices section.
Template:Nutshell 1995 CSA Minimum Transfer Amount
Template:Nutshell 1995 CSA New Credit Support
11(c)(iv) “Notification Time” means 1:00 p.m., London time, on a Local Business Day, unless otherwise specified here.
Template:Nutshell 1995 CSA Recalculation Date
Template:Nutshell 1995 CSA Resolution Time
Template:Nutshell 1995 CSA Return Amount
Template:Nutshell 1995 CSA Settlement Day
Template:Nutshell 1995 CSA Threshold
Template:Nutshell 1995 CSA Transferee
Template:Nutshell 1995 CSA Transferor
“Valuation Agent” is defined in Paragraph 11(c)(i).
“Valuation Date” is specified in Paragraph 11(c)(ii).
"Valuation Percentage” is specified in Paragraph 11(b)(ii) for each item of Eligible Credit Support.
Template:Nutshell 1995 CSA Valuation Time
The “Value” (bearing in mind dispute provisions of Paragraph 4) of Eligible Credit Support on any Valuation Date is its Base Currency Equivalent, if cash, and, if securities, the Base Currency Equivalent of the bid price the Valuation Agent obtains, in each case multiplied by the relevant Valuation Percentage. The Value of cash and securities in a Credit Support Balance that are not Eligible Credit Support at any time will be zero.
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1995 CSA full text of Section 10:
Paragraph 10. Definitions
As used in this Annex:
“Base Currency” means the currency specified as such in Paragraph 11(a)(i).
“Base Currency Equivalent” means, with respect to an amount on a Valuation Date, in the case of an amount denominated in the Base Currency, such Base Currency amount and, in the case of an amount denominated in a currency other than the Base Currency (the “Other Currency”), the amount of Base Currency required to purchase such amount of the Other Currency at the spot exchange rate determined by the Valuation Agent for value on such Valuation Date.
“Credit Support Amount” means, with respect to a Transferor on a Valuation Date, (i) the Transferee’s Exposure plus (ii) all Independent Amounts applicable to the Transferor, if any, minus (iii) all Independent Amounts applicable to the Transferee, if any, minus (iv) the Transferor’s Threshold; provided, however, that the Credit Support Amount will be deemed to be zero whenever the calculation of Credit Support Amount yields a number less than zero.
“Credit Support Balance” means, with respect to a Transferor on a Valuation Date, the aggregate of all Eligible Credit Support that has been transferred to or received by the Transferee under this Annex, together with any Distributions and all proceeds of any such Eligible Credit Support or Distributions, as reduced pursuant to Paragraph 2(b), 3(c)(ii) or 6. Any Equivalent Distributions or Interest Amount (or portion of either) not transferred pursuant to Paragraph 5(c)(i) or 5(c)(ii) will form part of the Credit Support Balance.
“Delivery Amount” has the meaning specified in Paragraph 2(a).
“Disputing Party” has the meaning specified in Paragraph 4.
“Distributions” means, with respect to any Eligible Credit Support comprised in the Credit Support
Balance consisting of securities, all principal, interest and other payments and distributions of cash or other
property to which a holder of securities of the same type, nominal value, description and amount as such
Eligible Credit Support would be entitled from time to time.
“Distributions Date” means, with respect to any Eligible Credit Support comprised in the Credit Support Balance other than cash, each date on which a holder of such Eligible Credit Support is entitled to receive Distributions or, if that date is not a Local Business Day, the next following Local Business Day.
“Eligible Credit Support” means, with respect to a party, the items, if any, specified as such for that party in Paragraph 11(b)(ii) including, in relation to any securities, if applicable, the proceeds of any redemption in whole or in part of such securities by the relevant issuer.
“Eligible Currency” means each currency specified as such in Paragraph 11(a)(ii), if such currency is freely available.
“Equivalent Credit Support” means, in relation to any Eligible Credit Support comprised in the Credit Support Balance, Eligible Credit Support of the same type, nominal value, description and amount as that Eligible Credit Support.
“Equivalent Distributions” has the meaning specified in Paragraph 5(c)(i).
“Exchange Date” has the meaning specified in Paragraph 11(d).
“Exposure” means, with respect to a party on a Valuation Date and subject to Paragraph 4 in the case of a dispute, the amount, if any, that would be payable to that party by the other party (expressed as a positive number) or by that party to the other party (expressed as a negative number) pursuant to Section 6(e)(ii)(1) of this Agreement if all Transactions (other than the Transaction constituted by this Annex) were being terminated as of the relevant Valuation Time, on the basis that (i) that party is not the Affected Party and (ii) the Base Currency is the Termination Currency; provided that Market Quotations will be determined by the Valuation Agent on behalf of that party using its estimates at mid-market of the amounts that would be paid for Replacement Transactions (as that term is defined in the definition of “Market Quotation”).
“Independent Amount” means, with respect to a party, the Base Currency Equivalent of the amount specified as such for that party in Paragraph 11(b)(iii)(A); if no amount is specified, zero.
“Interest Amount” means, with respect to an Interest Period, the aggregate sum of the Base Currency Equivalents of the amounts of interest determined for each relevant currency and calculated for each day in that Interest Period on the principal amount of the portion of the Credit Support Balance comprised of cash in such currency, determined by the Valuation Agent for each such day as follows:
- (x) the amount of cash in such currency on that day; multiplied by
- (y) the relevant Interest Rate in effect for that day; divided by
- (z) 360 (or, in the case of pounds sterling, 365).
“Interest Period” means the period from (and including) the last Local Business Day on which an Interest Amount was transferred (or, if no Interest Amount has yet been transferred, the Local Business Day on which Eligible Credit Support or Equivalent Credit Support in the form of cash was transferred to or received by the Transferee) to (but excluding) the Local Business Day on which the current Interest Amount is transferred.
“Interest Rate” means, with respect to an Eligible Currency, the rate specified in Paragraph 11(f)(i) for that currency.
“Local Business Day”, unless otherwise specified in Paragraph 11(h), means:
- (i) in relation to a transfer of cash or other property (other than securities) under this Annex, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in the place where the relevant account is located and, if different, in the principal financial centre, if any, of the currency of such payment;
- (ii) in relation to a transfer of securities under this Annex, a day on which the clearance system agreed between the parties for delivery of the securities is open for the acceptance and execution of settlement instructions or, if delivery of the securities is contemplated by other means, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in the place(s) agreed between the parties for this purpose;
- (iii) in relation to a valuation under this Annex, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in the place of location of the Valuation Agent and in the place(s) agreed between the parties for this purpose; and
- (iv) in relation to any notice or other communication under this Annex, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in the place specified in the address for notice most recently provided by the recipient.
“Minimum Transfer Amount” means, with respect to a party, the amount specified as such for that party in Paragraph 11(b)(iii)(C); if no amount is specified, zero.
“New Credit Support” has the meaning specified in Paragraph 3(c)(i).
“Notification Time” has the meaning specified in Paragraph 11(c)(iv).
“Recalculation Date” means the Valuation Date that gives rise to the dispute under Paragraph 4; provided, however, that if a subsequent Valuation Date occurs under Paragraph 2 prior to the resolution of the dispute, then the “Recalculation Date” means the most recent Valuation Date under Paragraph 2.
“Resolution Time” has the meaning specified in Paragraph 11(e)(i)[1].
“Return Amount” has the meaning specified in Paragraph 2(b).
“Settlement Day” means, in relation to a date, (i) with respect to a transfer of cash or other property (other than securities), the next Local Business Day and (ii) with respect to a transfer of securities, the first Local Business Day after such date on which settlement of a trade in the relevant securities, if effected on such date, would have been settled in accordance with customary practice when settling through the clearance system agreed between the parties for delivery of such securities or, otherwise, on the market in which such securities are principally traded (or, in either case, if there is no such customary practice, on the first Local Business Day after such date on which it is reasonably practicable to deliver such securities).
“Threshold” means, with respect to a party, the Base Currency Equivalent of the amount specified as such for that party in Paragraph 11(b)(iii)(B); if no amount is specified, zero.
“Transferee” means, in relation to each Valuation Date, the party in respect of which Exposure is a positive number and, in relation to a Credit Support Balance, the party which, subject to this Annex, owes such Credit Support Balance or, as the case may be, the Value of such Credit Support Balance to the other party.
“Transferor” means, in relation to a Transferee, the other party.
“Valuation Agent” has the meaning specified in Paragraph 11(c)(i).
“Valuation Date” means each date specified in or otherwise determined pursuant to Paragraph 11(c)(ii).
“Valuation Percentage” means, for any item of Eligible Credit Support, the percentage specified in Paragraph 11(b)(ii).
“Valuation Time” has the meaning specified in Paragraph 11(c)(iii).
“Value” means, for any Valuation Date or other date for which Value is calculated, and subject to Paragraph 4 in the case of a dispute, with respect to:
- (i) Eligible Credit Support comprised in a Credit Support Balance that is:
- (A) an amount of cash, the Base Currency Equivalent of such amount multiplied by the applicable Valuation Percentage, if any; and
- (B) a security, the Base Currency Equivalent of the bid price obtained by the Valuation Agent multiplied by the applicable Valuation Percentage, if any; and
- (ii) items that are comprised in a Credit Support Balance and are not Eligible Credit Support, zero.
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Related Agreements
Click here for the text of Section 10 in the 1995 English Law CSA
Click here for the text of Section 10 in the 2016 English Law VM CSA
Click [[{{{3}}} - NY VM CSA Provision|here]] for the text of the equivalent, Section [[{{{3}}} - NY VM CSA Provision|{{{3}}}]] in the 2016 NY Law VM CSA
Comparisons
1995 CSA and 2016 VM CSA: click for comparison
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