Template:CSA Transfer Description: Difference between revisions

Template:CSA Transfer Description (view source)

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 *'''Demand Date''': On any date, be it a {{{{{1}}}prov|Local Business Day}} or not, (call it a “'''Demand Date'''”, but note per {{{{{1}}}prov|2(a)}} or {{{{{1}}}prov|2(b)}} it must be made “on or promptly following a {{{{{1}}}prov|Valuation Date}}”), a party may demand a {{{{{1}}}prov|Transfer}} under para {{{{{1}}}prov|2(a)}} (for a {{{{{1}}}prov|Delivery Amount}}) or {{{{{1}}}prov|2(b)}} (for a {{{{{1}}}prov|Return Amount}}).
 *'''{{{{{1}}}prov|Valuation Time}} - {{{{{1}}}prov|Exposure}}''': The point at which the valuation is made is the {{{{{1}}}prov|Valuation Time}}. This keys off the {{{{{1}}}prov|Valuation Date}}:
-:*under the {{csa}} the parties specify either [[close of business]] on the {{csaprov|Valuation Date}} or the {{csaprov|Local Business Day}} immediately ''before'' the {{csaprov|Valuation Date}}), and therefore not necessarily the {{csaprov|Demand Date}}.
+:*under the {{csa}} the parties specify either [[close of business]] on the {{csaprov|Valuation Date}} or the {{csaprov|Local Business Day}} immediately ''before'' the {{csaprov|Valuation Date}}), and therefore not necessarily the Demand Date.
 :*under the {{vmcsa}} the {{vmcsaprov|Valuation Agent}} has a bit of flexibility to determine the {{vmcsaprov|Valuation Time}} as at the point it closes its book each day.
-*'''{{{{{1}}}prov|Valuation Time}} - {{{{{1}}}prov|Eligible Credit Support}}''': Per para {{{{{1}}}prov|2(a)}} the Transferor will transfer {{{{{1}}}prov|Eligible Credit Support}} having a {{{{{1}}}prov|Value}} equal to the {{{{{1}}}prov|Delivery Amount}} ''as of the date of transfer''. Under the {{{{{1}}}prov|Calculations}} provision all calculations of {{{{{1}}}prov|Value}} happen at the relevant {{{{{1}}}prov|Valuation Time}}. Fluctuations in value in the credit support actually delivered  after that time won't invalidate the transfer amount, but they may mean a party can immediately call for more {{{{{1}}}prov|Credit Support}} (that is have another {{{{{1}}}prov|Demand Date}}).
+*'''{{{{{1}}}prov|Valuation Time}} - {{{{{1}}}prov|Eligible Credit Support}}''': Per para {{{{{1}}}prov|2(a)}} the Transferor will transfer {{{{{1}}}prov|Eligible Credit Support}} having a {{{{{1}}}prov|Value}} equal to the {{{{{1}}}prov|Delivery Amount}} ''as of the date of transfer''. Under the {{{{{1}}}prov|Calculations}} provision all calculations of {{{{{1}}}prov|Value}} happen at the relevant {{{{{1}}}prov|Valuation Time}}. Fluctuations in value in the credit support actually delivered  after that time won't invalidate the transfer amount, but they may mean a party can immediately call for more {{{{{1}}}prov|Credit Support}} (that is have another Demand Date).
-*'''{{{{{1}}}prov|Transfer Date}}''': Under para {{{{{1}}}prov|3(a)}} ({{{{{1}}}prov|Transfers}}) if the demand is received ''before'' the {{{{{1}}}prov|Notification Time}} (by default, 1pm London time ({{csa}}/12:00 noon London Time ({{vmcsa}}) on a {{{{{1}}}prov|Local Business Day}}) on that {{{{{1}}}prov|Demand Date}}, the transfer will be made not later than close of business on the related {{csaprov|Settlement Day}} (under the {{csa}}) or [[Regular Settlement Day - VM CSA Provision|''Regular'' Settlement Day]] (under the {{vmcsa}}. If received ''after'' the {{{{{1}}}prov|Notification Time}}, or at any time on a {{{{{1}}}prov|Demand Date}} that isn’t a {{{{{1}}}prov|Local Business Day}}), the transfer must be made by close of business on the {{csaprov|Settlement Day}}/{{vmcsaprov|Regular Settlement Day}} relating to the day (note: ''ordinary'' day, ''not'' {{{{{1}}}prov|Local Business Day}}) after the {{{{{1}}}prov|Demand Date}}.
+*'''{{{{{1}}}prov|Transfer Date}}''': Under para {{{{{1}}}prov|3(a)}} ({{{{{1}}}prov|Transfers}}) if the demand is received ''before'' the {{{{{1}}}prov|Notification Time}} (by default, 1pm London time ({{csa}}/12:00 noon London Time ({{vmcsa}}) on a {{{{{1}}}prov|Local Business Day}}) on that Demand Date, the transfer will be made not later than close of business on the related {{csaprov|Settlement Day}} (under the {{csa}}) or [[Regular Settlement Day - VM CSA Provision|''Regular'' Settlement Day]] (under the {{vmcsa}}. If received ''after'' the {{{{{1}}}prov|Notification Time}}, or at any time on a Demand Date that isn’t a {{{{{1}}}prov|Local Business Day}}), the transfer must be made by close of business on the {{csaprov|Settlement Day}}/{{vmcsaprov|Regular Settlement Day}} relating to the day (note: ''ordinary'' day, ''not'' {{{{{1}}}prov|Local Business Day}}) after the Demand Date.
 *'''{{{{{1}}}prov|Settlement Day}}''': The {{{{{1}}}prov|Settlement Day}} for ''any'' day (whether or not it is a {{{{{1}}}prov|Local Business Day}}) is:
 **'''Cash''': for cash, the next {{{{{1}}}prov|Local Business Day}} and,
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 ===Questions===
-*'''{{{{{1}}}prov|Demand Date}} not a {{csaprov|Local Business Day}}''': What if the {{{{{1}}}prov|Demand Date}} is not a {{{{{1}}}prov|Local Business Day}}? E.g., what if it is received after the {{{{{1}}}prov|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?
+*'''Demand Date not a {{csaprov|Local Business Day}}''': What if the Demand Date is not a {{{{{1}}}prov|Local Business Day}}? E.g., what if it is received after the {{{{{1}}}prov|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.
 **'''Cash''': For cash, not so clear.
 *'''What happens if the transferred credit support changes in value on the {{csaprov|Settlement Day}}'''?
-*'''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, under a {{csa}}, if the collateral is 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 {{{{{1}}}prov|Exposure}} stay outstanding until the collateral actually comes in? The answer (counterintuive, given that the {{{{{1}}}prov|Transferee}} remains subject to the [[credit exposure]] during this time) is YES, thanks to the definitions of {{{{{1}}}prov|Delivery Amount}} and {{{{{1}}}prov|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 Demand Date?''':<ref>As it may well be, under a {{csa}}, if the collateral is 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 {{{{{1}}}prov|Exposure}} stay outstanding until the collateral actually comes in? The answer (counterintuive, given that the {{{{{1}}}prov|Transferee}} remains subject to the [[credit exposure]] during this time) is YES, thanks to the definitions of {{{{{1}}}prov|Delivery Amount}} and {{{{{1}}}prov|Return Amount}}, both of which include the words:
 :...the {{{{{1}}}prov|Value}} as of that {{{{{1}}}prov|Valuation Date}} of the {{{{{1}}}prov|Transferor}}’s {{{{{1}}}prov|Credit Support Balance}} (adjusted to include any prior {{{{{1}}}prov|Delivery Amount}} and to exclude any prior {{{{{1}}}prov|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 {{{{{1}}}prov|Valuation Date}}).