FX Haircut Percentage - VM CSA Provision: Difference between revisions
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{{csaanat| | {{csaanat|11(c)(v)(B)|2016|13(c)(v)}}{{csa fx haircut percentage|vmcsa}} |
Latest revision as of 19:36, 18 January 2020
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.