Template:Nutshell 2016 CSA Value

The “Value” of Eligible Credit Support on any Valuation Date is its Base Currency Equivalent, if cash, and, if securities, the Base Currency Equivalent of the bid price the Valuation Agent obtains, in each case multiplied by (Valuation Percentage – FX Haircut Percentage) (unless there has been a Default, in which case it will be just the Base Currency Equivalent of the amount in question). The Value of cash and securities in a Credit Support Balance that are not Eligible Credit Support at any time will be zero (also unless there has been a Default, in which case their Value will be determined as if they were Eligible Credit Support (VM)).