Value - CSA Provision

{{ISDA English Law Credit Support Annex {{{2}}} Value}}
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Commentary

Non eligible Credit Support as forming part of the Credit Support Balance

See also Value (dispute resolution) as set out in Paragraph 11(e)(ii). Note in particular that Credit Support which has been delivered but has subsequently fallen out of eligibililty criteria (and any non-eligible Distributions and Interest Amounts received in respect of Eligible Credit Support) are part of the Credit Support Balance, but are valued at zero.

"Base Currency Equivalent of bid price"

It is not unknown to amend limb (ii) to include "the Base Currency Equivalent of the bid price obtained by the Valuation Agent multiplied by the nominal amount of such security".

This is presumably to cater for the argument that a "bid price" is a percentage figure. But "base currency equivalent" already impliedly converts any percentage value into cash amount. And if the Eligible Credit Support includes collateral other that debt instruments (e.g., equities), reference to a nominal amount muiltiplier is potentially confusing.

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