Template:ISDA English Law Credit Support Annex 2016 Valuation

“Value” means, for any Valuation Date or other date for which Value is calculated, and subject to Paragraph 4 in the case of a dispute, with respect to:

(i) Eligible Credit Support (VM) comprised in a Credit Support Balance (VM) or Equivalent Credit Support (VM) that is:

(A) an amount of cash, the Base Currency Equivalent of such amount multiplied by (VP – HFX), provided that, in the case of a determination of a Value for the purposes of Paragraph 6, the Value will be the Base Currency Equivalent of such amount; and

(B) a security, the Base Currency Equivalent of the bid price obtained by the Valuation Agent multiplied by (VP – HFX), where:

VP equals the applicable Valuation Percentage; and

HFX equals the applicable FX Haircut Percentage,

provided that, in the case of a determination of a Value for the purposes of Paragraph 6, the Value will be the Base Currency Equivalent of the bid price obtained by the Valuation Agent; and

(ii) items that are comprised in a Credit Support Balance (VM) and are not Eligible Credit Support (VM) (including any item or any portion of any item that fails to satisfy any (A) Credit Support Eligibility Conditions (VM) applicable to it or (B) applicable Legal Eligibility Requirements), zero provided that any items that are comprised in a Credit Support Balance (VM) that are not Eligible Credit Support (VM) will, in the case of a determination of a Value for the purposes of Paragraph 6, have a Value determined in accordance with (i) above as if they were Eligible Credit Support (VM).

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“Valuation Date” means, unless otherwise specified in Paragraph 11, each day from, and including, the date of this Annex, that is a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in at least one Valuation Date Location for Party A and at least one Valuation Date Location for Party B.
“Valuation Date Location” has the meaning specified in Paragraph 11(d)(ii).
“Valuation Time” means, unless otherwise specified in Paragraph 11, the time as of which the Valuation Agent computes its end of day valuations of derivatives transactions in the ordinary course of its business (or such other commercially reasonable convenient time on the relevant day as the Valuation Agent may determine).
“Valuation Percentage” means, for any item of Eligible Credit Support (VM), the percentage specified as such in Paragraph 11(c)(v).