Template:CSA Transfer Description: Difference between revisions

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====Timing of CSA Transfers====
====Timing of CSA Transfers====
<small>[https://jollycontrarian.com/index.php?title=Template:CSA_Transfer_Description&action=edit&section=T-1 edit this section]</small><br>
This is how the timing works for {{1995csa}} transfers:
This is how the timing works for {{1995csa}} transfers:


*'''Demand Date''': On any date, be it a {{csaprov|Local Business Day}} or not, (call it a "'''Demand Date'''", but note it is required by {{csaprov|2(a)}} or {{csaprov|2(b)}} to be made "on or promptly following a {{csaprov|Valuation Date}}"), a party may make a demand for a {{csaprov|Transfer}} under Paragraph {{csaprov|2(a)}} (for a {{csaprov|Delivery Amount}}) or {{csaprov|2(b)}} (for a {{csaprov|Return Amount}}).  
*'''Demand Date''': On any date, be it a {{csaprov|Local Business Day}} or not, (call it a "'''Demand Date'''", but note it is required by {{csaprov|2(a)}} or {{csaprov|2(b)}} to be made "on or promptly following a {{csaprov|Valuation Date}}"), a party may make a demand for a {{csaprov|Transfer}} under Paragraph {{csaprov|2(a)}} (for a {{csaprov|Delivery Amount}}) or {{csaprov|2(b)}} (for a {{csaprov|Return Amount}}).  
*'''{{csaprov|Valuation Time}}''': Note that the point at which the valuation is made is the {{csaprov|Valuation Time}}, which keys off the {{csaprov|Valuation Date}} (by default the {{1995csa}} has elections for either COB on the {{csaprov|Valuation Date}} or COB on the {{csaprov|Local Business Day}} immediately ''before'' the {{csaprov|Valuation Date}}), and therefore not necessarily the Demand Date.
*'''{{csaprov|Valuation Time}} - {{csaprov|Exposure}}''': Note that the point at which the valuation is made is the {{csaprov|Valuation Time}}, which keys off the {{csaprov|Valuation Date}} (by default the {{1995csa}} has elections for either COB on the {{csaprov|Valuation Date}} or COB on the {{csaprov|Local Business Day}} immediately ''before'' the {{csaprov|Valuation Date}}), and therefore not necessarily the Demand Date.
*'''{{csaprov|Valuation Time}} - {{csaprov|Eligible Credit Support}}''': Per paragraph {{csaprov|2(a)}} the Transferor will transfer to {{csaprov|Eligible Credit Support}} having a {{csaprov|Value}} equal to the {{csaprov|Delivery Amount}} "as of the date of transfer'' - in this case the {{csaprov|Settlement Day}}. The {{csaprov|Calculations}} provision says all calculations of {{csaprov|Value}} (including of {{csaprov|Eligible Credit Support}} take place at the relevant {{csaprov|Valuation Time}}. Therefore fluctuations in value in the credit support actually delivered  after that time won't invalidate the actual transfer amount - but they may mean a party can immediately call for more Credit Support (that is have another Demand Date).
*'''{{csaprov|Transfer Date}}''': Under Paragraph {{csaprov|3(a)}} ({{csaprov|Transfers}}) if the demand is received ''before'' the {{csaprov|Notification Time}} (by default, 1pm London time on a {{csaprov|Local Business Day}}) on that Demand Date, the transfer will be made not later than close of business on the {{csaprov|Settlement Day}} relating to that Demand Date. If received ''after'' the {{csaprov|Notification Time}} (ie, after 1pm on a {{csaprov|Local Business Day}}, or at any time on a Demand Date that isn’t itself a {{csaprov|Local Business Day}}), the transfer must be made not later than close of business on the {{csaprov|Settlement Day}} relating to the day (note: ''ordinary'' day, ''not'' {{csaprov|Local Business Day}}) after the Demand Date.
*'''{{csaprov|Transfer Date}}''': Under Paragraph {{csaprov|3(a)}} ({{csaprov|Transfers}}) if the demand is received ''before'' the {{csaprov|Notification Time}} (by default, 1pm London time on a {{csaprov|Local Business Day}}) on that Demand Date, the transfer will be made not later than close of business on the {{csaprov|Settlement Day}} relating to that Demand Date. If received ''after'' the {{csaprov|Notification Time}} (ie, after 1pm on a {{csaprov|Local Business Day}}, or at any time on a Demand Date that isn’t itself a {{csaprov|Local Business Day}}), the transfer must be made not later than close of business on the {{csaprov|Settlement Day}} relating to the day (note: ''ordinary'' day, ''not'' {{csaprov|Local Business Day}}) after the Demand Date.
*'''{{csaprov|Settlement Day}}''': The {{csaprov|Settlement Day}} with respect to ''any'' day (whether or not it is a {{csaprov|Local Business Day}}) is:
*'''{{csaprov|Settlement Day}}''': The {{csaprov|Settlement Day}} with respect to ''any'' day (whether or not it is a {{csaprov|Local Business Day}}) is:
**'''Cash''': for cash, the next {{csaprov|Local Business Day}} and,  
**'''Cash''': for cash, the next {{csaprov|Local Business Day}} and,  
**'''securities''': for securities, the {{csaprov|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.
**'''securities''': for securities, the {{csaprov|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.
*'''Questions''': What if the day in question isn’t itself a {{csaprov|Local Business Day}}? E.g., what if the {{csaprov|Transfer}} demand is received after the {{csaprov|Notification Time}} on a Friday, meaning the {{csaprov|Settlement Day}} takes place on the date on which a trade, effected on a Saturday, would have been settled in accordance with customary practice?
====Questions====
*'''{{csaprov|Demand Date}} not a {{csaprov|Local Business Day}}''': What if the day in question isn’t itself a {{csaprov|Local Business Day}}? E.g., what if the {{csaprov|Transfer}} demand is received after the {{csaprov|Notification Time}} on a Friday, meaning the {{csaprov|Settlement Day}} takes place on the date on which a trade, effected on a Saturday, would have been settled in accordance with customary practice?
**'''Securities''': For securities this is ok: a trade effected on a non-business day would be deemed to be effected on the next following Local Business Day anyway, so it would pick this up.
**'''Securities''': For securities this is ok: a trade effected on a non-business day would be deemed to be effected on the next following Local Business Day anyway, so it would pick this up.
**'''Cash''': For cash, not so clear.
**'''Cash''': For cash, not so clear.
*'''What happens if the value of the transferred credit support changes in value on the Settlement Date'''?

Revision as of 17:27, 21 June 2016

Timing of CSA Transfers

This is how the timing works for 1995 CSA transfers:

Questions

  • Demand Date not a Local Business Day: What if the day in question isn’t itself a Local Business Day? E.g., what if the Transfer demand is received after the Notification Time on a Friday, meaning the Settlement Day takes place on the date on which a trade, effected on a Saturday, would have been settled in accordance with customary practice?
    • Securities: For securities this is ok: a trade effected on a non-business day would be deemed to be effected on the next following Local Business Day anyway, so it would pick this up.
    • Cash: For cash, not so clear.
  • What happens if the value of the transferred credit support changes in value on the Settlement Date?