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CSA Anatomy™
11(b) Credit Support Obligations.
- 11(b)(i) Delivery Amount, Return Amount and Credit Support Amount.
- 11(b)(i)(A) “Delivery Amount” has the meaning specified in Paragraph 2(a), unless otherwise specified here:
- 11(b)(i)(B) “Return Amount” has the meaning specified in Paragraph 2(b), unless otherwise specified here:
- 11(b)(i)(C) “Credit Support Amount” has the meaning specified in Paragraph 10, unless otherwise specified here:
11(b)(ii) Eligible Credit Support. The following items will qualify as “Eligible Credit Support” for the party specified: In each case with checkboxes are for Party A; Party B; and Valuation Percentage
- (A) cash in an Eligible Currency
- (B) negotiable debt obligations issued by the Government of [ ] having an original maturity at issuance of not more than one year
- (C) negotiable debt obligations issue by the Government of [ ] having an original maturity at issuance of more than one year but not more than 10 years
- (D) negotiable debt obligation issued by the Government of [ ] having an original maturity at issuance of more than 10 years
- (E) other:
11(b)(iii) Thresholds.
11(b)(iii)(A)
- "Independent Amount” means with respect to Party A:
- "Independent Amount” means with respect to Party B:
11(b)(iii)(B)
- "Threshold” means with respect to Party A:
- "Threshold” means with respect to Party B:
11(b)(iii)(C)
- "Minimum Transfer Amount” means with respect to Party A:
- "Minimum Transfer Amount” means with respect to Party B:
11(b)(iii)(D) Rounding. The Delivery Amount and the Return Amount will be rounded [down to the nearest integral multiple of ..../up and down to the nearest integral multiple of ...., respectively].
(View Template)
11(c) Credit Support Obligations
- 11(c)(i) Delivery Amount (VM) and Return Amount (VM)
- (A) “Delivery Amount (VM)” has the meaning specified in Paragraph 2(a), unless otherwise specified here: [...]
- (B) “Return Amount (VM)” has the meaning specified in Paragraph 2(b), unless otherwise specified here: [...]
- 11(c)(ii) Eligible Credit Support (VM): Subject to Paragraph 9(e), if applicable, and each Credit Support Eligibility Condition (VM) applicable to it specified in Paragraph 11, if any, the following items will qualify as “Eligible Credit Support (VM)” for the party specified (as the Transferor):
- 11(c)(iii) Legally Ineligible Credit Support (VM). The provisions of Paragraph 9(e) will not apply to the [party/parties] specified here (as the Transferee):
- [...] Party A
- [...] Party B
- (A) “Total Ineligibility Date” has the meaning specified in Paragraph 9(e), unless otherwise specified here: [...]
- (B) “Transfer Ineligibility Date” has the meaning specified in Paragraph 9(e), unless otherwise specified here: [...]
- 11(c)(iv) Credit Support Eligibility Conditions (VM). The following conditions will each be a “Credit Support Eligibility Condition (VM)” for the party specified. Any item will not qualify as Eligible Credit Support (VM) if such item does not satisfy each Credit Support Eligibility Condition (VM) applicable to it.
- 11(c)(v) Valuation Percentage; FX Haircut Percentage
- (A) “Valuation Percentage” means, with respect to each party (as the Transferor) and item of Eligible Credit Support (VM), the percentage (expressed as a decimal) specified in Paragraph 11(c)(ii), provided that if nothing is specified in Paragraph 11(c)(ii), the Valuation Percentage will be 100% unless otherwise specified below. The Valuation Percentage for either party and any item of Eligible Credit Support (VM) will further be subject to the terms and conditions, if any, specified below as applicable to such party and item: [...]
- [If at any time the Valuation Percentage assigned to an item of Eligible Credit Support (VM) with respect to a party (as the Transferor) under this Annex is greater than the maximum permitted valuation percentage (prescribed or implied) for such item of collateral under any law requiring the collection of variation margin applicable to the other party (as the Transferee), then the Valuation Percentage with respect to such item of Eligible Credit Support (VM) and such party will be such maximum permitted valuation percentage.]
- (B) “FX Haircut Percentage” means, with respect to each party (as the Transferor) and item of Eligible Credit Support (VM), [[8%], unless the Eligible Credit Support (VM) or Equivalent Credit Support (VM) is in the form of cash [in a Major Currency] or is denominated in a currency that matches [an Eligible Currency], in which case the FX Haircut Percentage will be 0%.]
- [As used above, “Major Currency” means any of: (1) United States Dollar; (2) Canadian Dollar; (3) Euro; (4) United Kingdom Pound; (5) Japanese Yen; (6) Swiss Franc; (7) New Zealand Dollar; (8) Australian Dollar; (9) Swedish Kronor; (10) Danish Kroner; (11) Norwegian Krone or any other currency specified below: [...]
- 11(b)(vi) Thresholds.
- (A) “Minimum Transfer Amount” means with respect to Party A: [...]
- “Minimum Transfer Amount” means with respect to Party B: [...]
- (B) Rounding: The Delivery Amount (VM) and the Return Amount (VM) will be rounded up and down respectively to the nearest integral multiple of [...]
- 11(c)(vii) Transfers. “Regular Settlement Day” has the meaning specified in Paragraph 10, unless otherwise specified here: [...]
(View Template)
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