FX Haircut Percentage - CSA Provision: Difference between revisions

Latest revision as of 19:36, 18 January 2020

CSA Anatomy™

Resources Full wikitext \| Nutshell wikitext English Law \| 1 Interpretation \| 2 Credit Support Obligations \| 3 Transfers, Calculations and Exchanges \| 4 Dispute Resolution \| 5 Transfer of Title, No Security Interest, Distributions and Interest Amount \| 6 Default \| 7 Representation \| 8 Expenses \| 9 Miscellaneous \| 10 Definitions \| 11 Elections and Variables · Base Currency and Eligible Currency · Credit Support Obligations · Valuation and Timing · Exchange Date · Dispute Resolution · Distributions and Interest Amount · Addresses for Transfers · Credit Support Offsets · Other CSA 2018 ISDA Credit Support Deed for Initial Margin Index: Click ᐅ to expand: CSA

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Whoops! There is no such term in the 1995 CSA. This provision only ever popped into the fevered minds of ISDA’s crack drafting squad™ during the formulation of the 2016 VM CSA.

@@ Line 1: / Line 1: @@
-{{csaanat|11(c)(v)(B)|2016|13(c)(v)}}A provision that assuredly goes into the {{isia}} category.
+{{vmcsaspecific}}
-Relevant to the calculation of {{csaprov|Value}} of a gentleman’s {{csaprov|Credit Support Balance}}. An observation one might make here is that if you have a cash-only {{tag|CSA}} and as long as you only accept the {{csaprov|Major Currencies}}, then this entire Rube Goldberg provision is unnecessary: The {{csaprov|Valuation Percentage}} will (most likely) be 100%, the {{csaprov|FX Haircut Percentage}} will be zero, so the definition of value that these definitions feed into amounts to the following:
-:The amount (call it ''n'') ''multiplied by'' the sum of 100% ''minus'' zero%, ''or''
-:''n'' * (100% - 0%), ''or''
-:''n'' * 100%, ''or''
-:''n''.
-Sigh.

FX Haircut Percentage - CSA Provision: Difference between revisions

Latest revision as of 19:36, 18 January 2020

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