Template:Nutshell 2016 CSA Exposure: Difference between revisions

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A party’s “'''{{csaprov|Exposure}}'''” means the amount it would pay (a positive {{csaprov|Exposure}}) or receive (a negative {{isdaprov|Exposure}}) if all {{csaprov|Covered Transactions}} other than the CSA were terminated following a {{isdaprov|Termination Event}} where the other party was the {{isdaprov|One Affected Party}}, the {{csaprov|Base Currency}} was the {{isdaprov|Termination Currency}}; and the Valuation Agent made the relevant valuations on the party’s behalf using mid-market estimates of the amounts that would required under the relevant {{isdama}}. <br>
A party’s “'''{{vmcsaprov|Exposure}}'''” means the amount it would pay (a positive {{vmcsaprov|Exposure}}) or receive (a negative {{vmcsaprov|Exposure}}) if all {{vmcsaprov|Covered Transaction}}s other than this Credit Support Annex were terminated as at the {{vmcsaprov|Valuation Time}} following a {{isdaprov|Termination Event}} where the other party was the {{isdaprov|One Affected Party}}, the {{vmcsaprov|Base Currency}} was the {{isdaprov|Termination Currency}} and the {{vmcsaprov|Valuation Agent}} made the valuations on the party’s behalf using [[Mid-market price|mid-market]] estimates of the amounts that would be required under the {{isdama}}. <br>

Latest revision as of 17:12, 1 March 2022

A party’s “Exposure” means the amount it would pay (a positive Exposure) or receive (a negative Exposure) if all Covered Transactions other than this Credit Support Annex were terminated as at the Valuation Time following a Termination Event where the other party was the One Affected Party, the Base Currency was the Termination Currency and the Valuation Agent made the valuations on the party’s behalf using mid-market estimates of the amounts that would be required under the ISDA Master Agreement.

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