Template:CSA Transfer Description: Difference between revisions

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 ===Timing of transfers under a CSA===
-This is how the timing works for CSA transfers:
+This is how the timing works for CSA transfers. Remember the {{{{{1}}}prov|Valuation Agent}} is simply the person making the demand. Terminology check: to make this easy we refer to both {{{{{1}}}prov|Delivery Amount}}s ''and'' {{{{{1}}}prov|Return Amount}}s as “'''{{{{{1}}}prov|Transfer Amount}}s'''”. The date on which someone actually demands a Transfer Amount we call a “'''{{{{{1}}}prov|Demand Date}}'''”.
-'''Demand Date'''<br>
+'''{{{{{1}}}prov|Valuation}} of {{{{{1}}}prov|Exposure}} and {{{{{1}}}prov|Value}} of {{{{{1}}}prov|Credit Support Balance}}''': Firstly, you must value what you are going to call. This is {{{{{1}}}prov|Credit Support Balance}} - {{{{{1}}}prov|Exposure}} (or vice versa).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|Transfer Amount}} ''as of the date of transfer''.  Under the {{{{{1}}}prov|Calculations}} provision all calculations happen at the relevant {{{{{1}}}prov|Valuation Time}}. Fluctuations in value after that time won’t invalidate the {{{{{1}}}prov|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}}). The {{{{{1}}}prov|Valuation Time}} in turn keys off the {{{{{1}}}prov|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 your book each day.</ref>
-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}}). <br>
-'''{{{{{1}}}prov|Valuation Time}} - {{{{{1}}}prov|Exposure}}'''<br>
+'''{{{{{1}}}prov|Demand Date}}''':  On any date that is (or promptly follows) a {{{{{1}}}prov|Valuation Date}}<ref>It need not be a {{{{{1}}}prov|Local Business Day}}.</ref> in which the {{{{{1}}}prov|Exposure}} has moved in its favour, one party may demand a {{{{{1}}}prov|Delivery Amount}}<ref>Under para {{{{{1}}}prov|2(a)}}</ref> or a {{{{{1}}}prov|Return Amount}}.<ref>Under para {{{{{1}}}prov|2(b)}}</ref>
-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 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}}'''<br>
+'''{{{{{1}}}prov|Transfer Date}}''': Under para {{{{{1}}}prov|3(a)}} ({{{{{1}}}prov|Transfers}}) if the {{{{{1}}}prov|Demand Date}} is a {{{{{1}}}prov|Local Business Day}} and demand is received ''before'' the {{{{{1}}}prov|Notification Time}}, the transfer must be made not later than [[close of business]] on the related [[Regular Settlement Day - VM CSA Provision|''Regular'' Settlement Day]].<ref>The “{{csaprov|Settlement Day}}” under the {{csa}} is slightly different.</ref> If received ''after'' the {{{{{1}}}prov|Notification Time}} (or at any time on a non-{{{{{1}}}prov|Local Business Day}}), the transfer must be made by close of business on the {{vmcsaprov|Regular Settlement Day}} relating to the day<ref>Note: ''ordinary'' day, ''not'' {{{{{1}}}prov|Local Business Day}}</ref> ''after'' the Demand Date. <br>
-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}}'''<br>
+'''{{csaprov|Settlement Day}}''': Here is where things differ materially between the {{csa}} and the {{vmcsa}}.<br>
-Under para {{{{{1}}}prov|3(a)}} ({{{{{1}}}prov|Transfers}}) if the demand is received ''before'' the {{{{{1}}}prov|Notification Time}} 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 day 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. <br>
-'''{{csaprov|Settlement Day}}'''<br>
-Here is where things differ materially between the ’96 and the ’16 versions of the CSA.<br>
 '''{{csa}}''': The {{csaprov|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,
@@ Line 23: / Line 14: @@
 '''{{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.<ref>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!</ref>
 ===Questions===
-'''Demand Date not a {{{{{1}}}prov|Local Business Day}}'''<br>
+'''{{{{{1}}}prov|Demand Date}} not a {{{{{1}}}prov|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?
-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.