Template:Csa Valuation summ

Calculation/Valuation Date

Each day on which you can expect to exchange variation margin under a Credit Support Annex, which is:

1. 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.
2. 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 {{{{{1}}}|Valuation Date Location}}s. 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.

Valuation/Calculation Time

A bit of an evolution in the concept of the Valuation/Calculation Time between the OG CSAs and Modern CSAs.

In the OG CSAs, the Valuation Time defaulted to one of close of business on the Valuation Date — which figures, intuitively — or close of business on the Local Business Day immediately before the Valuation Date — which doesn’t, as a matter of cold semantic logic make sense, but okay, the time by reference to which you calculate a value, does not have to be on the same day that you actually calculate it, as long as it has already happened. Fine. When you think about it the {{{{{1}}}Valuation Time}} being at the close of business on a {{{{{1}}}Valuation Date}} implies that the point in the day at which you are actually performing your valuation calculations is, well, after closing time: the bell has rung and everyone has started drifting home. That doesn’t make a lot of sense either. But hey ho.

In the Modern CSAs the {{{{{1}}}Valuation Time}} is quite a lot looser. If you haven’t fiddled with it, the {{{{{1}}}Valuation Time}} is the {{{{{1}}}Valuation Agent}}’s normal time for calculating end-of-day valuations — which need not, therefore, be the actual end of the day — or any other commercially reasonable time “on the relevant day”. “Day”, not “date”, and not {{{{{1}}}Valuation Date}}, so it could still be the preceding day, but logically it doesn’t make a lot of sense (we think) to presume it could be afterwards.

Valuation Percentage

To be differentiated from an Independent Amount, the {{{{{1}}}|Valuation Percentage}} is the haircut applied to the valuation of any assets posted as {{{{{1}}}|Credit Support}}. So it is a deduction in the value of credit support provided, whereas an {{{{{1}}}|Independent Amount}} is an addition to the mark-to-market exposure under a Transaction.

“Base Currency Equivalent of bid price”

It is not unknown to amend limb (ii) to include “the {{{{{1}}}|Base Currency Equivalent}} of the bid price obtained by the {{{{{1}}}Valuation Agent}} multiplied by the nominal amount of such security”.

This is presumably to cater for the pedantic argument — just the sort of argument that a diligent legal eagle with nothing better to do loves to run — that a “bid price” could be a percentage figure of a nominal amount, instead of a cash value, and this might upset the calculation. I mean, really.

But even if a “price” isn’t necessarily a cash amount — to be sure, trading folk do talk that way sometimes, even if most sensible working folk don’t — the idea of the “{{{{{1}}}|Base Currency Equivalent}}” of that price certainly turns it into one. You can’t exactly have “USD 86%”, can you? And if the {{{{{1}}}|Eligible Credit Support}} includes collateral other than cash or debt instruments (e.g., equities), reference to a nominal amount multiplier is potentially confusing.