Template:Csa Valuation Date and Time summ

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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 Time

A bit of an evolution in the concept of the {{{{{1}}}|Valuation Time}} between the OG and VM versions of the CSA.

In the OG versions, the {{{{{1}}}|Valuation Time}} defaulted to one of close of business on the {{{{{1}}}|Valuation Date}} — which figures, intuitively, or close of business on the {{{{{1}}}|Local Business Day}} immediately before the {{{{{1}}}|Valuation Date}} — which doesn’t, as a matter of cold semantic logic, 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. In fact, 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 really make a lot of sense either. But hey ho.

In the VM CSAs, the Valuation Time is quite a lot looser. If you haven’t fiddled with it, the Valuation Time is the 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 afterward.

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