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In a Nutshell™ Section Value:
The “Value” of Eligible Credit Support on any Valuation Date is its Base Currency Equivalent, if cash, and, if securities, the Base Currency Equivalent of the bid price the Valuation Agent obtains, in each case multiplied by (Valuation Percentage – FX Haircut Percentage) (unless there has been a Default, in which case it will be just the Base Currency Equivalent of the amount in question). The Value of cash and securities in a Credit Support Balance that are not Eligible Credit Support at any time will be zero (also unless there has been a Default, in which case their Value will be determined as if they were Eligible Credit Support (VM)).
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2016 VM CSA full text of Section Value:
“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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Related Agreements
Click here for the text of Section Value in the 1995 English Law CSA
Click here for the text of Section Value in the 2016 English Law VM CSA
Click [[{{{3}}} - NY VM CSA Provision|here]] for the text of the equivalent, Section [[{{{3}}} - NY VM CSA Provision|{{{3}}}]] in the 2016 NY Law VM CSA
Comparisons
1995 CSA and 2016 VM CSA: click for comparison
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