Nutshell 2016 CSA Credit Support Amount (VM/IA): Difference between revisions
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Amwelladmin (talk | contribs) (Created page with "“{{csaprov|Credit Support Amount (VM/IA)}}” for a {{csaprov|Transferor}} on a {{csaprov|Valuation Date}} means ''Max[0, {{csaprov|Transferee}}’s {{csaprov|Exposure}} +...") |
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“{{csaprov|Credit Support Amount (VM/IA)}}” for a {{csaprov|Transferor}} on a {{csaprov|Valuation Date}} means | “'''{{csaprov|Credit Support Amount (VM/IA)}}'''” for a {{csaprov|Transferor}} on a {{csaprov|Valuation Date}} means: | ||
''Max[0, {{csaprov|Transferee}}’s {{csaprov|Exposure}} + {{csaprov|Transferor}}’s {{csaprov|Independent Amount}}s - {{csaprov|Transferee}}’s {{csaprov|Independent Amount}}s]''<br> | ''Max[0, {{csaprov|Transferee}}’s {{csaprov|Exposure}} + {{csaprov|Transferor}}’s {{csaprov|Independent Amount}}s - {{csaprov|Transferee}}’s {{csaprov|Independent Amount}}s]''<br> | ||
Latest revision as of 17:41, 7 May 2019
“Credit Support Amount (VM/IA)” for a Transferor on a Valuation Date means:
Max[0, Transferee’s Exposure + Transferor’s Independent Amounts - Transferee’s Independent Amounts]