Template:ISDA English Law Credit Support Annex 1995 Credit Support Obligations

Paragraph 2. Credit Support Obligations
2(a) Delivery Amount. Subject to Paragraphs 3 and 4, upon a demand made by the Transferee on or promptly following a Valuation Date, if the Delivery Amount for that Valuation Date equals or exceeds the Transferor’s Minimum Transfer Amount, then the Transferor will transfer to the Transferee Eligible Credit Support having a Value as of the date of transfer at least equal to the applicable Delivery Amount (rounded pursuant to Paragraph 11(b)(iii)(D)). Unless otherwise specified in Paragraph 11(b), the “Delivery Amount” applicable to the Transferor for any Valuation Date will equal the amount by which:

(i) the Credit Support Amount

exceeds

(ii) the Value as of that Valuation Date of the Transferor’s Credit Support Balance (adjusted to include any prior Delivery Amount and to exclude any prior Return Amount, the transfer of which, in either case, has not yet been completed and for which the relevant Settlement Day falls on or after such Valuation Date).

2(b) Return Amount. Subject to Paragraphs 3 and 4, upon a demand made by the Transferor on or promptly following a Valuation Date, if the Return Amount for that Valuation Date equals or exceeds the Transferee’s Minimum Transfer Amount, then the Transferee will transfer to the Transferor Equivalent Credit Support specified by the Transferor in that demand having a Value as of the date of transfer as close as practicable to the applicable Return Amount (rounded pursuant to Paragraph 11(b)(iii)(D)) and the Credit Support Balance will, upon such transfer, be reduced accordingly. Unless otherwise specified in Paragraph 11(b), the “Return Amount” applicable to the Transferee for any Valuation Date will equal the amount by which:

(i) the Value as of that Valuation Date of the Transferor’s Credit Support Balance (adjusted to include any prior Delivery Amount and to exclude any prior Return Amount, the transfer of which, in either case, has not yet been completed and for which the relevant Settlement Day falls on or after such Valuation Date)

exceeds

(ii) the Credit Support Amount.

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“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, the party which, subject to this Annex, owes such Credit Support Balance or, as the case may be, the Value of such Credit Support Balance to the other party.
“Transferor” means, in relation to a Transferee, the other party.

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11(b) Credit Support Obligations.

11(b)(i) Delivery Amount, Return Amount and Credit Support Amount.

11(b)(i)(A) “Delivery Amount” has the meaning specified in Paragraph 2(a), unless otherwise specified here:

11(b)(i)(B) “Return Amount” has the meaning specified in Paragraph 2(b), unless otherwise specified here:

11(b)(i)(C) “Credit Support Amount” has the meaning specified in Paragraph 10, unless otherwise specified here:

11(b)(ii) Eligible Credit Support. The following items will qualify as “Eligible Credit Support” for the party specified: In each case with checkboxes are for Party A; Party B; and Valuation Percentage

(A) cash in an Eligible Currency

(B) negotiable debt obligations issued by the Government of [ ] having an original maturity at issuance of not more than one year

(C) negotiable debt obligations issue by the Government of [ ] having an original maturity at issuance of more than one year but not more than 10 years

(D) negotiable debt obligation issued by the Government of [ ] having an original maturity at issuance of more than 10 years

(E) other:

11(b)(iii) Thresholds.
11(b)(iii)(A)

“Independent Amount” means with respect to Party A: [SPECIFY]

“Independent Amount” means with respect to Party B: [SPECIFY]

11(b)(iii)(B)

“Threshold” means with respect to Party A: [SPECIFY]

“Threshold” means with respect to Party B: [SPECIFY]

11(b)(iii)(C)

“Minimum Transfer Amount” means with respect to Party A: [SPECIFY]

“Minimum Transfer Amount” means with respect to Party B: [SPECIFY]

11(b)(iii)(D) Rounding. The Delivery Amount and the Return Amount will be rounded [down to the nearest integral multiple of ..../up and down to the nearest integral multiple of ...., respectively].