1995 ISDA CSA Nutshell
Capitalised terms not otherwise defined are defined in Paragraph 10. This Annex prevails over the Schedule, and Paragraph 11 prevails over the rest of this Annex. “Transfer” means, for cash, payment and, otherwise, delivery.
2 Credit Support Obligations
2(a) Delivery Amount. If the Transferee demands a Delivery Amount at least equal to the Transferor’s Minimum Transfer Amount on a Valuation Date, the Transferor must transfer Eligible Credit Support with a Value of the Delivery Amount (rounded under Paragraph 11(b)(iii)(D)) to the Transferee. The “Delivery Amount” is the amount by which the Transferee’s Credit Support Amount exceeds the Value of the Transferor’s Credit Support Balance on that Valuation Date (adjusted for pending but unsettled transfers).
Template:Nutshell 1995 CSA 2(b) 3 Transfers, Calculations and Exchanges
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5(a) Transfer of Title. All right, title and interest to any Eligible Credit Support, Equivalent Credit Support, Equivalent Distributions or Interest Amount transferred under this Annex will vest in the recipient free of any encumbrances or other interests (other than usual clearing system liens).
Template:Nutshell 1995 CSA 5(b) 5(c) Distributions and Interest Amount
5(c)(i) Distributions. To the extent it would not create a Delivery Amount, the Transferee will transfer Equivalent Distributions to the Transferor by the Settlement Day following each Distributions Date as calculated by the Valuation Agent. Such a calculation date will be treateds as a Valuation Date.
5(c)(ii) Interest Amount. To the extent it would not create a Delivery Amount the Transferee will transfer Interest Amounts to the Transferor as required by Paragraph 11(f)(ii) as calculated by the Valuation Agent. The calculation date will be treated as a Valuation Date.
Paragraph 6. Default.
If there is an Early Termination Date following an Event of Default on a party the Credit Support Balance, determined as if the Early Termination Date were a Valuation Date, will be an Unpaid Amount owed to the Transferor under Section 6(e). For the avoidance of doubt, if Market Quotation applies then the Market Quotation for the Transaction constituted by this Annex will be zero; if Loss applies, the Loss for the Transaction will be just the Unpaid Amount representing the Credit Support Balance.
Paragraph 7. Representation
Each party represents on each transfer date that it has the right to transfer all property it transfers under this Annex, free of any encumbrance (other than a customary clearing system lien).
Paragraph 8. Expenses
Each party will be liable for its own costs (including stamp duties) of performing its obligations under this Annex).
Template:Nutshell 1995 CSA 9(a) 9(b) Good Faith and Commercially Reasonable Manner. The parties must perform all obligations under this Annex, in good faith and in a commercially reasonable manner.
9(c) Demands and Notices. Section 12 of the ISDA Master Agreement applies.
9(d) Specifications of Certain Matters. If this Annex says something can be “specified in Paragraph 11”, you can specify it in a Confirmation or other document between the parties, too.
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:
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
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11(c)(iv) “Notification Time” means 1:00 p.m., London time, on a Local Business Day, unless otherwise specified here.
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“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.
Template:Nutshell 1995 CSA 11