Valuation Date - CSA Provision

CSA Anatomy™ Go Premium “Valuation Date” means, unless otherwise specified in Paragraph 11, each day from, and including, the date of this Annex, that is a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in at least one Valuation Date Location for Party A and at least one Valuation Date Location for Party B. (View Template) “Valuation Date” means each date specified in or otherwise determined pursuant to Paragraph 11(c)(ii). (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 Comments? Questions? Suggestions? Requests? Insults? We’d love to 📧 hear from you. Sign up for our newsletter.

CSA Anatomy™ Go Premium 11(c)(ii) Eligible Credit Support (VM): Subject to Paragraph 9(e), if applicable, and each Credit Support Eligibility Condition (VM) applicable to it specified in Paragraph 11, if any, the following items will qualify as “Eligible Credit Support (VM)” for the party specified (as the Transferor): Party A Valuation Percentage Party B Valuation Percentage (A) Cash in an Eligible Currency [...] [...]% [...] [...]% (B) Other [...] [...]% [...] [...]% (View Template) 11(d)(ii) “Valuation Date” has the meaning specified in Paragraph 10, unless otherwise specified here: ... For purposes of determining the Valuation Date and clause (iii) of the definition of “Local Business Day” in Paragraph 10, “Valuation Date Location” means, with respect to each party, each city, region or country specified below: Party A: ................................................... Party B: ................................................... (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 Comments? Questions? Suggestions? Requests? Insults? We’d love to 📧 hear from you. Sign up for our newsletter.

The 1995 CSA transfer mechanics

You might expect Valuation Date to be stipulated in Paragraph 11 as "any Local Business Day".

CSA transfer timings

This is how the timing works for CSA transfers.

Terminology check: to make this easy, we refer to both {{{{{1}}}|Delivery Amount}}s and {{{{{1}}}|Return Amount}}s as “{{{{{1}}}|Transfer Amount}}s”. This cuts out a lot of “Delivery Amount and/or Return Amount as the case may be” nonsense. The date on which someone demands a {{{{{1}}}|Transfer Amount}} we call a “{{{{{1}}}|Demand Date}}”.

To be clear, neither Demand Date nor {{{{{1}}}|Transfer Amount}} are “ISDA canon”.

Remember the {{{{{1}}}|Valuation Agent}} is simply the person making the demand.

1. Value {{{{{1}}}|Exposure}} and {{{{{1}}}|Credit Support Balance}}: Firstly, value what you are going to call: the {{{{{1}}}|Transfer Amount}} under para {{{{{1}}}|2(a)}} or {{{{{1}}}|2(b)}}. This is roughly {{{{{1}}}|Credit Support Balance}} - {{{{{1}}}|Exposure}} (or vice versa).
   1. Under {{{{{1}}}|2(a)}}, the {{{{{1}}}|Transferor}} will transfer {{{{{1}}}|Eligible Credit Support}} having a {{{{{1}}}|Value}} as of the date of transfer of the {{{{{1}}}|Transfer Amount}}.
   2. Per the {{{{{1}}}|Calculations}} provision, all calculations happen at the {{{{{1}}}|Valuation Time}}. Fluctuations in value after that time won’t invalidate the {{{{{1}}}|Transfer Amount}}, but they may mean a party can immediately call for more {{{{{1}}}|Credit Support}} (that is, have another {{{{{1}}}|Demand Date}}).
   3. The {{{{{1}}}|Valuation Time}} keys off the {{{{{1}}}|Valuation Date}}.
2. {{{{{1}}}|Demand Date}}: On or promptly following any {{{{{1}}}|Valuation Date}} (it need not be a {{{{{1}}}|Local Business Day}}) on which the {{{{{1}}}|Exposure}} has moved in its favour, one party may demand a {{{{{1}}}|Delivery Amount}} (para 2(a)) or a {{{{{1}}}|Return Amount}} (para 2(b)).
3. {{{{{1}}}|Transfer Date}}: Under para {{{{{1}}}|3(a)}} ({{{{{1}}}|Transfers}}) if the demand is received before the {{{{{1}}}|Notification Time}} on a {{{{{1}}}|Demand Date}} that is a {{{{{1}}}|Local Business Day}} the transfer must be made by close of business on the related Regular Settlement Day. If received after the {{{{{1}}}|Notification Time}} or on a non-{{{{{1}}}|Local Business Day}}, the transfer must be made by close of business on the Regular Settlement Day relating to the day after the Demand Date.
4. Settlement Day: Here is where things differ materially between the 1995 CSA and the 2016 VM CSA.
   1. 1995 CSA: The Settlement Day for any day (whether or not it is a {{{{{1}}}|Local Business Day}}) is:
      1. Cash: for cash, the next {{{{{1}}}|Local Business Day}} and,
      2. Securities: for securities, the {{{{{1}}}|Local Business Day}} after the date on which a trade in the relevant security, if effected on the day in question, would have been settled in accordance with customary practice.
   2. 2016 VM CSA: In the new world we have the new concept of the Regular Settlement Day, and this is the same Local Business Day as the Demand Date. The run-off text at the end of Paragraph 3(a) gives you a little more flex: if the demand came after the Notification Time, then you must make the transfer by close on the Regular Settlement Day for the next day. Just how the business days interact under the ISDA and CSA is about as complicated as string theory, by the way. For a cheat’s guide, see How business days work under the CSA. You’re welcome!