Talk:Definitions - CSA Provision
2016 ISDA VM CSA full text of Section 10:
Paragraph 10. Definitions As used in this Annex: “Base Currency” means the currency specified as such in Paragraph 11(a)(i). “Base Currency Equivalent” means, with respect to an amount on a Valuation Date, in the case of an amount denominated in the Base Currency, such Base Currency amount and, in the case of an amount denominated in a currency other than the Base Currency (the “Other Currency”), the amount of Base Currency required to purchase such amount of the Other Currency at the spot exchange rate on such Valuation Date as determined by the Valuation Agent. “Credit Support Balance (VM)” means, with respect to a Transferor on a Valuation Date, the aggregate of all Eligible Credit Support (VM) that has been transferred to or received by the Transferee under this Annex, together with any Distributions and all proceeds of any such Eligible Credit Support (VM) or Distributions, as reduced pursuant to Paragraph 2(b), 3(c)(ii) or 6 and as adjusted pursuant to Paragraph 5(c)(ii). Any Equivalent Distributions (or portion thereof) not transferred pursuant to Paragraph 5(c)(i) will form part of the Credit Support Balance (VM). “Credit Support Eligibility Condition (VM)” means, with respect to any item specified for a party as Eligible Credit Support (VM) in Paragraph 11(c)(ii), any condition specified for that item in Paragraph 11(c)(iv). “Delivery Amount (VM)” has the meaning specified in Paragraph 2(a). “Delivery Amount Reduction (VM)” has the meaning specified in Paragraph 5(c)(ii)(A)(II). “Disputing Party” has the meaning specified in Paragraph 4. “Distributions” means, with respect to any Eligible Credit Support (VM) comprised in the Credit Support Balance (VM) consisting of securities, all principal, interest and other payments and distributions of cash or other property to which a holder of securities of the same type, nominal value, description and amount as such Eligible Credit Support (VM) would be entitled from time to time. “Distributions Date” means, with respect to any Eligible Credit Support (VM) comprised in the Credit Support Balance (VM) other than cash, each date on which a holder of such Eligible Credit Support (VM) is entitled to receive Distributions or, if that date is not a Local Business Day, the next following Local Business Day. “Eligible Credit Support (VM)” means, with respect to a party, the items, if any, specified as such for that party in Paragraph 11(c)(ii) including, in relation to any securities, if applicable, the proceeds of any redemption in whole or in part of such securities by the relevant issuer. “Eligible Currency” means each currency specified as such in Paragraph 11(a)(ii), if such currency is freely available. “Eligible Return Amount (VM)” has the meaning specified in Paragraph 5(c)(ii)(A)(I)(a). “Equivalent Credit Support (VM)” means, in relation to any Eligible Credit Support (VM) comprised in the Credit Support Balance (VM), Eligible Credit Support (VM) of the same type, nominal value, description and amount as that Eligible Credit Support (VM). “Equivalent Distributions” has the meaning specified in Paragraph 5(c)(i). “Exchange Date” has the meaning specified in Paragraph 11(d). “Exposure” means, unless otherwise specified in Paragraph 11 for any Valuation Date or other date for which Exposure is calculated and subject to Paragraph 4 in the case of a dispute:
(i) if this Agreement is a 1992 ISDA Master Agreement, the amount, if any, that would be payable to that party by the other party (expressed as a positive number) or by that party to the other party (expressed as a negative number) pursuant to Section 6(e)(ii)(1) of this Agreement if all Covered Transactions (other than the Transaction constituted by this Annex) were being terminated as of the relevant Valuation Time on the basis that
(A) that party is not the Affected Party and
(B) the Base Currency is the Termination Currency;
provided that Market Quotations will be determined by the Valuation Agent on behalf of that party using its estimates at mid-market of the amounts that would be paid for Replacement Transactions (as that term is defined in the definition of "Market Quotation"); and (ii) if this Agreement is an ISDA 2002 Master Agreement or a 1992 ISDA Master Agreement in which the definition of Loss and/or Market Quotation has been amended (including where such amendment has occurred pursuant to the terms of a separate agreement or protocol) to reflect the definition of Close-out Amount from the pre-printed form of the ISDA 2002 Master Agreement as published by ISDA, the amount, if any, that would be payable to that party by the other party (expressed as a positive number) or by that party to the other party (expressed as a negative number) pursuant to Section 6(e)(ii)(1) (but without reference to clause (3) of Section 6(e)(ii)) of this Agreement as if all Covered Transactions (other than the Transactions constituted by this Annex) were being terminated as of the relevant Valuation Time on the basis that
(A) that party is not the Affected Party and
(B) the Base Currency is the Termination Currency;
provided that the Close-out Amount will be determined by the Valuation Agent on behalf of that party using its estimates at mid-market of the amounts that would be paid for transactions providing the economic equivalent of (X) the material terms of the Covered Transactions, including the payments and deliveries by the parties under Section 2(a)(i) in respect of the Covered Transactions that would, but for the occurrence of the relevant Early Termination Date, have been required after that date (assuming satisfaction of the conditions precedent in Section 2(a)(iii) of this Agreement); and (Y) the option rights of the parties in respect of the Covered Transactions.
“Fungible Credit Support Type” has the meaning specified in Paragraph 9(h)(iii). “FX Haircut Percentage” means, for any item of Eligible Credit Support (VM), the percentage specified as such in Paragraph 11(c)(v). “Interest Adjustment Reduction Amount (VM)” has the meaning specified in Paragraph 5(c)(ii)(B)(II). “Interest Amount (VM)” means with respect to an Interest Period, the aggregate sum of the Base Currency Equivalents of the amounts of interest determined for each relevant currency and calculated for each day in that Interest Period on the portion of the Credit Support Balance (VM) comprised of cash in such currency, determined by the Valuation Agent for each such day as follows:
(i) the amount of cash in such currency on that day plus, only if “Daily Interest Compounding” is specified as applicable in Paragraph 11(g)(iii), the aggregate of each Interest Amount (VM) determined for each preceding day, if any, in that Interest Period; multiplied by (ii) the relevant Interest Rate (VM) in effect for that day; divided by (iii) 360 (or, in the case of pounds sterling or any other currency specified as an “A/365 Currency” in Paragraph 11(g)(i), 365),
provided that, unless “Negative Interest” is specified as applicable in Paragraph 11(g)(iii), if the Interest Amount (VM) for an Interest Period would be a negative amount, it will be deemed to be zero. “Interest Payee (VM)” means, in relation to an Interest Payer (VM), the other party. “Interest Payer (VM)” means the Transferee, provided that if “Negative Interest” is specified as applicable in Paragraph 11(g)(iii) and an Interest Payment (VM) is determined in respect of a negative Interest Amount (VM), the Interest Payer (VM) in respect of such Interest Payment (VM) will be the Transferor. “Interest Payment (VM)” means, with respect to an Interest Period, the Interest Amount (VM) determined in respect of such Interest Period, provided that in respect of any negative Interest Amount (VM), the Interest Payment (VM) will be the absolute value of such negative Interest Amount (VM). “Interest Period” means the period from (and including) the last day on which (i) a party became obliged to transfer an Interest Payment (VM) or (ii) an Interest Amount (VM) was added to the Credit Support Balance (VM) (or, if no Interest Payment (VM) or Interest Amount (VM) has yet fallen due or been added to the Credit Support Balance (VM), respectively, the day on which Eligible Credit Support (VM) or Equivalent Credit Support (VM) in the form of cash was transferred to or received by the Transferee) to (but excluding) the day on which (i) a party is obliged to transfer the current Interest Payment (VM) or (ii) the current Interest Amount (VM) is added to the Credit Support Balance (VM). “Interest Rate (VM)” means, with respect to an Eligible Currency, the rate specified in Paragraph 11(g)(i) for that currency. “Legal Eligibility Requirements” has the meaning specified in Paragraph 9(e). “Legal Ineligibility Notice” has the meaning specified in Paragraph 9(e). “Local Business Day”, unless otherwise specified in Paragraph 11(k), means:
(i) in relation to a transfer of cash or other property (other than securities) under this Annex, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in the place where the relevant account is located and, if different, in the principal financial centre, if any, of the currency of such payment; (ii) in relation to a transfer of securities under this Annex, a day on which the clearance system agreed between the parties for delivery of the securities is open for the acceptance and execution of settlement instructions or, if delivery of the securities is contemplated by other means, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in the place(s) agreed between the parties for this purpose; (iii) in relation to the Resolution Time, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in at least one Valuation Date Location for Party A and at least one Valuation Date Location for Party B; and (iv) in relation to any notice or other communication under this Annex, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in the place specified in the address for notice most recently provided by the recipient.
“Minimum Transfer Amount” means, with respect to a party, the amount specified as such for that party in Paragraph 11(c)(vi)(A) or if no amount is specified, zero. “New Credit Support (VM)” has the meaning specified in Paragraph 3(c)(i). “Notification Time” has the meaning specified in Paragraph 11(d)(iv). “Original Credit Support (VM)” has the meaning specified in Paragraph 3(c)(i). “Other CSA” means, unless otherwise specified in Paragraph 11, any other credit support annex or credit support deed that is in relation to, or that is a Credit Support Document in relation to, this Agreement. “Other CSA Excluded Credit Support” means, with respect to an Other CSA, any amounts and items transferred as credit support under such Other CSA, which, pursuant to the terms of such Other CSA, Party A and Party B have agreed must be segregated in an account maintained by a third-party custodian or for which offsets are prohibited. “Recalculation Date” means the Valuation Date that gives rise to the dispute under Paragraph 4; provided, however, that if a subsequent Valuation Date occurs under Paragraph 2 prior to the resolution of the dispute, then the “Recalculation Date” means the most recent Valuation Date under Paragraph 2. “Regular Settlement Day” means, unless otherwise specified in Paragraph 11, the same Local Business Day on which a demand for the transfer of Eligible Credit Support (VM) or Equivalent Credit Support (VM) is made. “Resolution Time” has the meaning specified in Paragraph 11(f)(i). “Return Amount (VM)” has the meaning specified in Paragraph 2(b). “Return Amount Reduction (VM)” has the meaning specified in Paragraph 5(c)(ii)(A)(II). “Settlement Day” means, in relation to a date, (i) with respect to a transfer of cash or other property (other than securities), the next Local Business Day and (ii) with respect to a transfer of securities, the first Local Business Day after such date on which settlement of a trade in the relevant securities, if effected on such date, would have been settled in accordance with customary practice when settling through the clearance system agreed between the parties for delivery of such securities or, otherwise, on the market in which such securities are principally traded (or, in either case, if there is no such customary practice, on the first Local Business Day after such date on which it is reasonably practicable to deliver such securities). “Total Ineligibility Date” has the meaning specified in Paragraph 9(e), unless otherwise specified in Paragraph 11. “Transferee” means, in relation to each Valuation Date, the party in respect of which Exposure is a positive number and, in relation to a Credit Support Balance (VM), the party which, subject to this Annex, owes such Credit Support Balance (VM) or, as the case may be, the Value of such Credit Support Balance (VM) to the other party. “Transferor” means, in relation to a Transferee, the other party. “Transfer Ineligibility Date” has the meaning specified in Paragraph 9(e), unless otherwise specified in Paragraph 11. “Valuation Agent” has the meaning specified in Paragraph 11(d)(i). “Valuation Date” means, unless otherwise specified in Paragraph 11, each day from, and including, the date of this Annex, that is a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in at least one Valuation Date Location for Party A and at least one Valuation Date Location for Party B. “Valuation Date Location” has the meaning specified in Paragraph 11(d)(ii). “Valuation Percentage” means, for any item of Eligible Credit Support (VM), the percentage specified as such in Paragraph 11(c)(v). “Valuation Time” means, unless otherwise specified in Paragraph 11, the time as of which the Valuation Agent computes its end of day valuations of derivatives transactions in the ordinary course of its business (or such other commercially reasonable convenient time on the relevant day as the Valuation Agent may determine). “Value” means, for any Valuation Date or other date for which Value is calculated, and subject to Paragraph 4 in the case of a dispute, with respect to:
(i) Eligible Credit Support (VM) comprised in a Credit Support Balance (VM) or Equivalent Credit Support (VM) that is:
(A) an amount of cash, the Base Currency Equivalent of such amount multiplied by (VP – HFX), provided that, in the case of a determination of a Value for the purposes of Paragraph 6, the Value will be the Base Currency Equivalent of such amount; and
(B) a security, the Base Currency Equivalent of the bid price obtained by the Valuation Agent multiplied by (VP – HFX), where:
VP equals the applicable Valuation Percentage; and
HFX equals the applicable FX Haircut Percentage,
provided that, in the case of a determination of a Value for the purposes of Paragraph 6, the Value will be the Base Currency Equivalent of the bid price obtained by the Valuation Agent; and (ii) items that are comprised in a Credit Support Balance (VM) and are not Eligible Credit Support (VM) (including any item or any portion of any item that fails to satisfy any (A) Credit Support Eligibility Conditions (VM) applicable to it or (B) applicable Legal Eligibility Requirements), zero provided that any items that are comprised in a Credit Support Balance (VM) that are not Eligible Credit Support (VM) will, in the case of a determination of a Value for the purposes of Paragraph 6, have a Value determined in accordance with (i) above as if they were Eligible Credit Support (VM).