Template:CSA Transfer Description: Difference between revisions

====CSA transfer timings====

This is how the timing works for CSA transfers.  

Terminology check: to make this easy, we refer to both {{{{{1}}}|Delivery Amount}}s ''and'' {{{{{1}}}|Return Amount}}s as “'''{{{{{1}}}|Transfer Amount}}s'''”. This cuts out a lot of “''Delivery Amount [[and/or]] Return Amount [[as the case may be]]''” nonsense. The date on which someone demands a {{{{{1}}}|Transfer Amount}} we call a “'''{{{{{1}}}|Demand Date}}'''”.  

To be clear, neither Demand Date nor {{{{{1}}}|Transfer Amount}} are “ISDA canon”.

'''Value {{{{{1}}}|Exposure}} and {{{{{1}}}|Credit Support Balance}}''': Firstly, value what you are going to call: the {{{{{1}}}|Transfer Amount}} under para {{{{{1}}}|2(a)}} or {{{{{1}}}|2(b)}}. This is roughly ''{{{{{1}}}|Credit Support Balance}} - {{{{{1}}}|Exposure}}'' (or ''vice versa'').

{{L3}}

Under {{{{{1}}}|2(a)}}, the {{{{{1}}}|Transferor}} will transfer {{{{{1}}}|Eligible Credit Support}} having a {{{{{1}}}|Value}} ''as of the date of transfer'' of the {{{{{1}}}|Transfer Amount}}. <li>

Per the {{{{{1}}}|Calculations}} provision, all calculations happen at the {{{{{1}}}|Valuation Time}}. Fluctuations in value after that time won’t invalidate the {{{{{1}}}|Transfer Amount}}, but they may mean a party can immediately call for more {{{{{1}}}|Credit Support}} (that is, have ''another'' {{{{{1}}}|Demand Date}}). <li>

The {{{{{1}}}|Valuation Time}} keys off the {{{{{1}}}|Valuation Date}}.<ref>Under the {{csa}} you may specify either [[close of business]] on the {{csaprov|Valuation Date}} or the {{csaprov|Local Business Day}} immediately ''before'' it. Under the {{vmcsa}} you have flexibility to determine the {{vmcsaprov|Valuation Time}} as at the point you close your book each day.</ref></ol><li>

'''{{{{{1}}}|Demand Date}}''': On or promptly following any {{{{{1}}}|Valuation Date}} (it need not be a {{{{{1}}}|Local Business Day}}) on which the {{{{{1}}}|Exposure}} has moved in its favour, one party may demand a {{{{{1}}}|Delivery Amount}} (para 2(a)) or a {{{{{1}}}|Return Amount}} (para 2(b)). <li>  

'''{{csaprov|Settlement Day}}''': Here is where things differ materially between the {{csa}} and the {{vmcsa}}.

{{L3}}

'''{{csa}}''': The {{csaprov|Settlement Day}} for ''any'' day (whether or not it is a {{{{{1}}}|Local Business Day}}) is:

{{L4}}

'''Cash''': for cash, the next {{{{{1}}}|Local Business Day}} and, <li>

'''Securities''': for securities, the {{{{{1}}}|Local Business Day}} after the date on which a trade in the relevant security, if effected on the day in question, would have been settled in accordance with customary practice. </ol><li>

'''{{vmcsa}}''': In the new world we have the new concept of the [[Regular Settlement Day - VM CSA Provision|''Regular'' Settlement Day]], and this is the same {{vmcsaprov|Local Business Day}} as the Demand Date. The run-off text at the end of Paragraph {{vmcsaprov|3(a)}} gives you a little more flex: if the demand came after the {{vmcsaprov|Notification Time}}, then you must make the transfer by close on the {{vmcsaprov|Regular Settlement Day}} for the next day. Just how the business days interact under the ISDA and CSA is about as complicated as string theory, by the way. For a cheat’s guide, see [[How business days work under the CSA]]. You’re welcome! </ol></ol>