Credit Support Amount - CSA Provision: Difference between revisions

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{{fullanat2|csa|Credit Support Amount|1995|Credit Support Amount|2016}}
{{fullanat2|csa|Credit Support Amount|1995|Credit Support Amount|2016}}
===Commentary===
===Commentary===
This is the total amount required to be posted by a counterparty on any day - the combination of its net exposure under the {{isdama}} and the net amount of {{csaprov|Independent Amounts}} it is required to post.
This is the total amount required to be posted by a counterparty on any day - the combination of its net exposure under the {{isdama}} and the net amount of {{csaprov|Independent Amounts}} it is required to post.
Careful observers will have noticed there isn't such a concept in the {{2016csa}}. This is because the {{csaprov|Credit Support Amount}} is no more than a given party’s {{csaprov|Exposure}} — as already defined in the {{tag|CSA}} — together with any pertinent {{csaprov|Independent Amount}}s and similar amounts. Of course, under the {{2016csa}} (being concerned only with {{csaprov|Variation Margin}}) there ''are'' no {{csaprov|Independent Amount}}s. So it vanishes, in a puff of logic and existential redundancy.


{{csaanatomy}}
{{csaanatomy}}

Revision as of 17:18, 21 November 2016

CSA Anatomy™


“Credit Support Amount” 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, minus (iv) the Transferor’s Threshold; provided, however, that the Credit Support Amount will be deemed to be zero whenever the calculation of Credit Support Amount yields a number less than zero.

(View Template)

“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.

(View Template)


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Commentary

This is the total amount required to be posted by a counterparty on any day - the combination of its net exposure under the ISDA Master Agreement and the net amount of Independent Amounts it is required to post.

Careful observers will have noticed there isn't such a concept in the 2016 VM CSA. This is because the Credit Support Amount is no more than a given party’s Exposure — as already defined in the CSA — together with any pertinent Independent Amounts and similar amounts. Of course, under the 2016 VM CSA (being concerned only with Variation Margin) there are no Independent Amounts. So it vanishes, in a puff of logic and existential redundancy.

Replace with {{anat|csa}}

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