Valuation Percentage - CSA Provision: Difference between revisions
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{{ | {{fullanat|csa|Valuation Percentage|1995}} | ||
===Commentary=== | ===Commentary=== | ||
To be differentiated from an Independent Amount, the {{csaprov|Valuation Percentage}} is the [[haircut]] applied to the valuation of any assets posted as {{csaprov|Collateral}} under a {{csa}}. So it is a ''deduction'' in the value of credit support provided, whereas an {{csaprov|Independent Amount}} is an ''addition'' to the [[mark-to-market]] exposure under a {{isdaprov|Transaction}}. | To be differentiated from an Independent Amount, the {{csaprov|Valuation Percentage}} is the [[haircut]] applied to the valuation of any assets posted as {{csaprov|Collateral}} under a {{csa}}. So it is a ''deduction'' in the value of credit support provided, whereas an {{csaprov|Independent Amount}} is an ''addition'' to the [[mark-to-market]] exposure under a {{isdaprov|Transaction}}. | ||
{{csaanatomy}} | {{csaanatomy}} |
Revision as of 10:40, 17 January 2017
CSA Anatomy™
“Valuation Percentage” means, for any item of Eligible Credit Support, the percentage specified in Paragraph 11(b)(ii).
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Commentary
To be differentiated from an Independent Amount, the Valuation Percentage is the haircut applied to the valuation of any assets posted as Collateral under a 1995 CSA. So it is a deduction in the value of credit support provided, whereas an Independent Amount is an addition to the mark-to-market exposure under a Transaction. Replace with {{anat|csa}}