Valuation Date - CSA Provision
ISDA 1995 English Law Credit Support Annex
A Jolly Contrarian owner’s manual™ Valuation Date in a Nutshell™
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Comparisons
The Valuation terms as between 1994 NY CSA and 1995 CSA didn’t change a great deal: here is a comparison. It got a bit more hinky with the arrival of the Modern CSAs: here’s a comparison between the 1995 and the 2016 VM CSAs.
Whereas the OG CSAs are kind of laissez faire — yo, dudes, put whatever you like in the elections para, you know — because a credit support annex back then was a bit of a wheeze, and no-one really understood it — in the intervening 21 years ISDA’s crack drafting squad™ got all nudgy.
So they say “every business day” unless you specify something else and, like, you are not going to specify something else, are you, because regulatory rules say it has to be every day.
Note also the introduction in 2016 of a Valuation Date Location: each party gets to choose one, being its own hometown. If you’re off dancing the maypole, or whatever collective cultural tradition you follow in your part of the world (In the Czech Republic, I am told, at Easter the boys chase the girls round the kitchen table with riding crops. Which sounds kind fun), then you should have no fear you’ll get called on to make a collateral transfer.
Basics
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 Valuation Date Locations. 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.
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