Value - CSA Provision

CSA Anatomy™ →Go uptown “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 comprised in a Credit Support Balance that is: (A) an amount of cash, the Base Currency Equivalent of such amount multiplied by the applicable Valuation Percentage, if any; and (B) a security, the Base Currency Equivalent of the bid price obtained by the Valuation Agent multiplied by the applicable Valuation Percentage, if any; and (ii) items that are comprised in a Credit Support Balance and are not Eligible Credit Support, zero. (View Template) “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). (View Template) Resources Full wikitext | Nutshell wikitext English Law | 1 Interpretation | 2 Credit Support Obligations | 3 Transfers, Calculations and Exchanges | 4 Dispute Resolution | 5 Transfer of Title, No Security Interest, Distributions and Interest Amount | 6 Default | 7 Representation | 8 Expenses | 9 Miscellaneous | 10 Definitions | 11 Elections and Variables · Base Currency and Eligible Currency · Credit Support Obligations · Valuation and Timing · Exchange Date · Dispute Resolution · Distributions and Interest Amount · Addresses for Transfers · Credit Support Offsets · Other CSA 2018 ISDA Credit Support Deed for Initial Margin Index: Click ᐅ to expand: CSA Tell me more Sign up for our newsletter — or just get in touch: for ½ a weekly 🍺 you get to consult JC. Ask about it here.

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.