Template:ISDA English Law Credit Support Annex 2016 Credit Support Amount

Whoops! There is no such term in the 2016 VM CSA. This provision was in the 1995 CSA but it didn’t make the cut. —BUT the concept has been introduced via the back door in the paragraph 11 elections, if you are using the elegantly entitled 2014 Credit Support annex for Variation Margin (VM and Independent Amounts (IA), where it is defined as a Credit Support Amount (VM/IA) as follows:

“Credit Support Amount (VM/IA)” 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,

provided however, that the Credit Support Amount (VM/IA) will be deemed to be zero whenever the calculation of Credit Support Amount (VM/IA) yields a number less than zero.