Template:CSA Transfer Description

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?