Template:M comp disc 1995 CSA Value

The 2016 VM CSA adds in the FX Haircut Percentage into the multiplier, that being (in some jurisdictions) a fairly hefty surcharge for those people who like to collateralise in a currency other than the one in which their derivatives are denominated, and also (partially) corrects the snafu about ineligible credit support, at least on a Default.

Once there is a Default, you are working things out, and FX Haircut Percentages and Valuation Percentages no longer matter because rather than assigning a notional value for the asset in the Base Currency if liquidated — and therefore giving yourself a little buffer for rainy day and so on — the rainy day has arrived. You are actually liquidating the asset, which will already have yesterday’s haircut applied to it, the counterparty isn’t to be giving you any more, and the money you raise from selling the Credit Support Balance, whether eligible or not, is real money, it really pays down your claim, and you have to account to the Defaulting Party’s administrator for anything left once you have closed out your ISDA.