Template:Csa Valuation summ
Valuation Date
Each day on which you can expect to exchange variation margin under a Credit Support Annex, which is:
- 1994 NY CSA and 1995 CSA: Whatever you specified in your elections paragraph and, the older your document is, the more likely it is to be an arbitrary and quite unnervingly long period.
- 2016 NY VM CSA and 2016 VM CSA: Unless otherwise specified in the elections paragraph, every day on which you’re both in the office in at least one of your {{{{{1}}}|Valuation Date Location}}s. Should the parties specify otherwise in their elections? No. Why would they? Will they? Experience suggests, for a dogged minority, they just might. Don’t be that guy.
Valuation Time
A bit of an evolution in the concept of the {{{{{1}}}Valuation Time}} between the OG and VM versions of the CSA.
In the OG versions, the {{{{{1}}}Valuation Time}} defaulted to one of close of business on the {{{{{1}}}Valuation Date}} — which figures, intuitively, or close of business on the {{{{{1}}}|Local Business Day}} immediately before the {{{{{1}}}Valuation Date}} — which doesn’t, as a matter of cold semantic logic, but okay, the time by reference to which you calculate a value, does not have to be on the same day that you actually calculate it, as long as it has already happened. Fine. In fact, when you think about it the {{{{{1}}}Valuation Time}} being at the close of business on a {{{{{1}}}Valuation Date}} implies that the point in the day at which you are actually performing your valuation calculations is, well, after closing time: the bell has rung and everyone has started drifting home. That doesn’t really make a lot of sense either. But hey ho.
In the VM CSAs, the Valuation Time is quite a lot looser. If you haven’t fiddled with it, the Valuation Time is the Valuation Agent’s normal time for calculating end-of-day valuations — which need not, therefore, be the actual end of the day — or any other commercially reasonable time “on the relevant day”. “Day”, not “date”, and not {{{{{1}}}Valuation Date}}, so it could still be the preceding day, but logically it doesn’t make a lot of sense (we think) to presume it could be afterward.
“Base Currency Equivalent of bid price”
It is not unknown to amend limb (ii) to include "the {{{{{1}}}|Base Currency Equivalent}} of the bid price obtained by the {{{{{1}}}|Valuation Agent}} multiplied by the nominal amount of such security".
This is presumably to cater for the pedantic argument — just the sort of argument that a diligent legal eagle with nothing better to do loves to run — that a “bid price” could be a percentage figure of a nominal amount, instead of a cash value, and this might upset the calculation. I mean, really.
But even if a “price” isn’t necessarily a cash amount — to be sure, trading folk do talk that way sometimes, even if most sensible working folk don’t — the idea of the “{{{{{1}}}|Base Currency Equivalent}}” of that price certainly turns it into one. You can’t exactly have “USD 86%”, can you? And if the {{{{{1}}}|Eligible Credit Support}} includes collateral other than cash or debt instruments (e.g., equities), reference to a nominal amount multiplier is potentially confusing.