Template:CSA Transfer Description: Difference between revisions

Template:CSA Transfer Description (view source)

Revision as of 01:55, 30 December 2019

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 *'''What happens if the transferred credit support changes in value on the {{csaprov|Settlement Day}}'''?
 *'''What happens to {{csaprov|Exposure}}s if the {{csaprov|Settlement Day}} is a long time after the {{csaprov|Demand Date}}?''':<ref>As it may well be, under a {{csa}}, if the collateral is corporate [[bond]]s held in a [[clearing system]]</ref> Is the demand, if answered with irrevocable instructions to deliver, treated as having  been met, or does the {{{{{1}}}prov|Exposure}} stay outstanding until the collateral actually comes in? The answer (counterintuive, given that the {{{{{1}}}prov|Transferee}} remains subject to the [[credit exposure]] during this time) is YES, thanks to the definitions of {{{{{1}}}prov|Delivery Amount}} and {{{{{1}}}prov|Return Amount}}, both of which include the words:
-:...the {{{{{1}}}prov|Value}} as of that {{{{{1}}}prov|Valuation Date}} of the {{{{{1}}}prov|Transferor}}’s {{{{{1}}}prov|Credit Support Balance}} ''(adjusted to include any prior {{{{{1}}}prov|Delivery Amount}} and to exclude any prior {{{{{1}}}prov|Return Amount}}, the transfer of which, in either case, has not yet been completed and for which the relevant {{csaprov|Settlement Day}} falls on or after such {{{{{1}}}prov|Valuation Date}})''.
+:...the {{{{{1}}}prov|Value}} as of that {{{{{1}}}prov|Valuation Date}} of the {{{{{1}}}prov|Transferor}}’s {{{{{1}}}prov|Credit Support Balance}} (adjusted to include any prior {{{{{1}}}prov|Delivery Amount}} and to exclude any prior {{{{{1}}}prov|Return Amount}}, the transfer of which, in either case, has not yet been completed and for which the relevant {{csaprov|Settlement Day}} falls on or after such {{{{{1}}}prov|Valuation Date}}).