Template:CSA Transfer Description: Difference between revisions

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**'''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====
===Questions===
*'''{{csaprov|Demand Date}} not a {{csaprov|Local Business Day}}''': What if the {{csaprov|Demand Date}} is not a {{csaprov|Local Business Day}}? E.g., what if it 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?
*'''{{csaprov|Demand Date}} not a {{csaprov|Local Business Day}}''': What if the {{csaprov|Demand Date}} is not a {{csaprov|Local Business Day}}? E.g., what if it 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 {{csaprov|Settlement Date}}'''?
*'''What happens if the value of the transferred credit support changes in value on the {{csaprov|Settlement Day}}'''?
*'''What happens to {{csaprov|Exposure}}s if the {{csaprov|Settlement Date}} is a long time after the {{csaprov|Demand Date}}<ref>As it may well be if the collateral are  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 {{csaprov|Exposure}} stay outstanding until the collateral actually comes in? The answer (counterintuive, given that the transferee remains subject to the credit exposure during this time) is YES, thanks to the definitions of {{csaprov|Delivery Amount}} and {{csaprov|Return Amount}}, both of which include the words:
*'''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 if the collateral are  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 {{csaprov|Exposure}} stay outstanding until the collateral actually comes in? The answer (counterintuive, given that the transferee remains subject to the credit exposure during this time) is YES, thanks to the definitions of {{csaprov|Delivery Amount}} and {{csaprov|Return Amount}}, both of which include the words:
:''...the Value as of that {{csaprov|Valuation Date}} of the {{csaprov|Transferor}}’s {{csaprov|Credit Support Balance}} '''''(adjusted to include any prior {{csaprov|Delivery Amount}} and to exclude any prior {{csaprov|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 {{csaprov|Valuation Date}})'''''.''
:''...the Value as of that {{csaprov|Valuation Date}} of the {{csaprov|Transferor}}’s {{csaprov|Credit Support Balance}} '''''(adjusted to include any prior {{csaprov|Delivery Amount}} and to exclude any prior {{csaprov|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 {{csaprov|Valuation Date}})'''''.''

Revision as of 11:39, 22 June 2018

Timing of CSA Transfers under the 1995 CSA

This is how the timing works for 1995 CSA transfers:

Questions

  • Demand Date not a Local Business Day: What if the Demand Date is not a Local Business Day? E.g., what if it 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 Day?
  • What happens to Exposures if the Settlement Day is a long time after the Demand Date[1]?: Is the demand, if answered with irrevocable instructions to deliver, treated as having been met, or does the Exposure stay outstanding until the collateral actually comes in? The answer (counterintuive, given that the transferee remains subject to the credit exposure during this time) is YES, thanks to the definitions of Delivery Amount and Return Amount, both of which include the words:
...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).
  1. As it may well be if the collateral are corporate bonds held in a clearing system