VM CSA Anatomy

2016 VM CSA Anatomy™ →Go uptown Resources Full wikitext | Nutshell wikitext Navigation 1 (Interpretation) | 2 (Credit Support Obligations) | 3 (Transfers, Calculations and Exchanges) | 4 (Dispute Resolution) | 5 (Title Transfer etc) | 6 (Default) | 7 (Representation) | 8 (Expenses) | 9 (Miscellaneous) | 10 (Definitions) | 11 (Elections and Variables) Index: Click ᐅ to expand: 2016 VM CSA 2018 CSD 1995 CSA Tell me more Sign up for our newsletter — or just get in touch: for ½ a weekly 🍺 you get to consult JC. Ask about it here.

The 2016 CSA generated at great expense by ISDA to deal with all the regulatory obligations to post and collect variation margin that have popped up around the world, like so many stable doors boinking emptily against their jambs while the ponies of financial ruin career wildly through the meadows of propriety.

Part of the point of regulatory compliance was to remove the concept of title-transfer Independent Amount (“IA” being ISDA-speak for “initial margin”). After all, title transfer IA rather strikes at the heart of the regulatory aspiration, namely to collateralise mark-to-market exposures, so that neither party carried significant credit exposure to the other.

But then everyone decided they quite liked their initial margin, as long as it wasn't *too* much. So ISDA prepared a version of the 2016 CSA which included the Independent Amounts they had so laboriously stripped out, only in a little paragraph buried in the schedule of elections (Para 11 or 13, depending on your edition).

Then ISDA decided not to publish it.

All this during the crescendo to the full-bore bunfight of repapering all the world's derivatives clients as a “seemingly immutable” pan-global regulatory deadline stood menacingly in the way like an unforgiving concrete wall to the sideways-sliding Morris Minor of the world’s derivatives documentation capacity.

Para 1 Interpretation

Paragraph 1(a) Definitions and Inconsistency
Paragraph 1(b) Scope of this Annex and the Other CSA

Paragraph 2. Credit Support Obligations

Paragraph 2(a) Delivery Amount
Paragraph 2(b) Return Amount

Paragraph 3 Transfers, Calculations and Exchanges

Paragraph 3(a) Transfers
Paragraph 3(b) Calculations
Paragraph 3(c) Exchanges

Paragraph 4 Dispute Resolution

Paragraph 4(a) Disputed Calculations or Valuations
Paragraph 4(b) No Event of Default

Paragraph 5 Transfer of Title, No Security Interest, Distributions and Interest Amount

Paragraph 5(a) Transfer of Title
Paragraph 5(b) No Security Interest
Paragraph 5(c) Distributions and Interest Amount

Paragraph 9 Miscellaneous

Paragraph 9(a) Default Interest
Paragraph 9(b) Good Faith and Commercially Reasonable Manner
Paragraph 9(c) Demands and Notices
Paragraph 9(d) Specifications of Certain Matters
Paragraph 9(e) Legally Ineligible Credit Support (VM)
Paragraph 9(f) Return of Equivalent Credit Support (VM)
Paragraph 9(g) Reinstatement of Credit Support Eligibility
Paragraph 9(h) Credit Support Offsets

Paragraph 10. Definitions

Base Currency
Base Currency Equivalent
Credit Support Balance (VM)
Credit Support Eligibility Condition (VM)
Delivery Amount (VM)
Delivery Amount Reduction (VM)
Disputing Party
Distributions
Distributions Date
Eligible Credit Support (VM)
Eligible Currency
Eligible Return Amount (VM)
Equivalent Credit Support
Equivalent Distributions
Exchange Date
Exposure
Fungible Credit Support Type
FX Haircut Percentage
Interest Adjustment Reduction Amount (VM)
Interest Amount (VM)
Interest Payee (VM)
Interest Payer (VM)
Interest Payment (VM)
Interest Period
Interest Rate (VM)
Legal Eligibility Requirements
Legal Ineligibility Notice
Local Business Day
Minimum Transfer Amount
New Credit Support (VM)
Notification Time
Original Credit Support (VM)
Other CSA
Other CSA Excluded Credit Support
Recalculation Date
Regular Settlement Day
Resolution Time
Return Amount (VM)
return Amount Reduction (VM)
Settlement Day
Total Ineligibility Date
Transferee
Transferor
Transfer Ineligibility Date
Valuation Agent
Valuation Date
Valuation Date Location
Valuation Percentage
Valuation Time
Value

Para 11 Elections and Variables

Paragraph 11(a): Base Currency and Eligible Currency
Paragraph 11(b): Covered Transactions; Exposure
11(c) Credit Support Obligations.

11(c)(i) Delivery Amount (VM) and Return Amount (VM)

11(c)(ii) Eligible Credit Support (VM)

11(c)(iii) Legally Ineligible Credit Support (VM)

11(c)(iv) Credit Support Eligibility Conditions (VM)

11(c)(v) Valuation Percentage; FX Haircut Percentage

11(c)(vi) Thresholds.

11(c)(vii) Transfers.

11(d) Valuation and Timing

11(d)(i) “Valuation Agent”

11(d)(ii) “Valuation Date”

11(d)(iii) “Valuation Time”

11(d)(iv) “Notification Time”

11(e) Exchange Date.
11(f) Dispute Resolution

11(f)(i) “Resolution Time”

11(f)(ii) Value

11(f)(iii) Alternative.

11(g) Distributions and Interest Amount (VM)

11(g)(i) Interest Rate (VM)

11(g)(ii) Transfer of Interest Payment (VM) or application of Interest Amount (VM)

11(g)(iii) Other Interest Elections

11(g)(iv) Alternative to Interest Amount (VM)

11(h) Credit Support Offsets.
11(i) Addresses for Transfers.
11(j) Other CSA.