Template:Deliveryandreturnamounts: Difference between revisions

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-===Calculating {{csaprov|Delivery Amount}}s and {{csaprov|Return Amount}}s===
+===Calculating {{{{{1}}}prov|Delivery Amount}}s and {{{{{1}}}prov|Return Amount}}s===
-====Delivery Amounts====
+====Differences between {{csa}} and {{vmcsa}}====
-# '''First''': work out your '''{{csaprov|Credit Support Amount}}'''. This is: <br>
+Note that under a {{vmcsa}} there is no {{csaprov|Independent Amount}} or {{csaprov|Threshold}}, so there is no need for a {{csaprov|Credit Support Amount}} (which is {{csaprov|Exposure}} adjusted by applicable {{csaprov|Independent Amount}}s and {{csaprov|Threshold}}s) — everything keys off the plain old {{vmcsaprov|Exposure}}.
-:''{{csaprov|Transferee}}’s {{csaprov|Exposure}} + Net {{csaprov|Independent Amount}}s (IF ANY)<ref>In the {{2016csa}} there really shouldn't be {{tag|IA}} as it kind of defeats the regulatory goal of marking actual exposures to market, but there may be, since ISDA caved and retrofitted the CSA with a an Independent Amount section</ref>'' <br>
-# '''Second''': calculate the {{csaprov|Value}} of the {{csaprov|Transferor}}’s {{csaprov|Credit Support Balance}}. This is basically the prevailing value of the {{csaprov|Eligible Credit Support}} (and income on it) that the {{csaprov|Transferor}} has ponied up at that time. <br>
-# '''Third''': Deduct the {{csaprov|Credit Support Balance}} from the {{csaprov|Credit Support Amount}}.
-# '''Fourth''': If the difference from the sum you did in (3):
-*is  ''less'' than zero, KEEP QUIET. If you are lucky, the other guy won’t ask you for a {{csaprov|Return Amount}}.
-*is ''more'' than zero but ''less'' than the {{csaprov|Minimum Transfer Amount}}, also KEEP QUIET. No {{csaprov|Delivery Amount}} for you today.
-*is ''more'' than the {{csaprov|Minimum Transfer Amount}} you can demand the whole amount (I.e., not just the bit over the {{csaprov|MTA}}).
-===={{csaprov|Return Amount}}====
+Unless, that is, you have retrofitted your {{vmcsa}} to include {{vmcsaprov|Independent Amount}}s. The below assumes you ''have'' done that. Because some genius in your [[credit department]] will have decided this is really important. If you ''haven’t'', it is a bit easier: just substitute “{{csaprov|Credit Support Amount}}” for “{{vmcsaprov|Exposure}}”. For more on this stimulating topic, see {{vmcsaprov|Credit Support Amount (VM/IA)}}.
-Basically the converse of a {{csaprov|Delivery Amount}}. In this case you deduct the {{csaprov|Credit Support Amount}} from the {{csaprov|Credit Support Balance}}.
+===={{{{{1}}}prov|Delivery Amount}}s====
-====What about in-flight collateral deliveries?====
+'''First''': work out your '''{{{{{1}}}prov|Credit Support Amount}}'''. This is: <br>
-So yesterday you met a margin call by delivering a [[bond]] the standard [[settlement cycle]] for which means it won’t arrive till the day after tomorrow. How is that “in-flight collateral” treated for the purpose of today’s margin call? It's treated as having already been made. However, if the counterparty fails in the meantime and the bond hasn’t settled (and ultimately never does), it would count as an {{isdaprov|Unpaid Amount}} which would factor into your closeout calculation.
+:''{{{{{1}}}prov|Transferee}}’s {{{{{1}}}prov|Exposure}} + Net {{{{{1}}}prov|Independent Amount}}s (IF ANY)<ref>In the {{2016csa}} there really shouldn’t be {{tag|IA}} as it kind of defeats the regulatory goal of marking actual exposures to market, but there may be, since ISDA caved and retrofitted the {{2016csa}} with a an {{vmcsaprov|Independent Amount}} section</ref>'' <br>
+'''Second''': calculate the {{{{{1}}}prov|Value}} of the {{{{{1}}}prov|Transferor}}’s {{{{{1}}}prov|Credit Support Balance}}. This is basically the prevailing value of the {{{{{1}}}prov|Eligible Credit Support}} (and income on it) that the {{{{{1}}}prov|Transferor}} has ponied up at that time. <br>
+'''Third''': Deduct the {{{{{1}}}prov|Credit Support Balance}} from the {{{{{1}}}prov|Credit Support Amount}}.
+'''Fourth''': If the difference from the sum you did in (3):
+:is  ''less'' than zero, KEEP QUIET. If you are lucky, the other guy won’t ask ''you'' for a {{{{{1}}}prov|Return Amount}}.
+:is ''more'' than zero but ''less'' than the {{{{{1}}}prov|Minimum Transfer Amount}}, also KEEP QUIET. No {{{{{1}}}prov|Delivery Amount}} for you today, because you haven’t exceeded the {{{{{1}}}prov|Minimum Transfer Amount}}, so you are not entitled to one.
+:is ''more'' than the {{{{{1}}}prov|Minimum Transfer Amount}} you can demand the ''whole'' amount (I.e., not just the bit over the {{{{{1}}}prov|MTA}}).
+===={{{{{1}}}prov|Return Amount}}s====
+Basically the converse of a {{{{{1}}}prov|Delivery Amount}}. In this case you deduct the {{{{{1}}}prov|Credit Support Amount}} from the {{{{{1}}}prov|Credit Support Balance}}.
+{{in-flight credit support|{{{1}}}}}
-At first blush this seems an odd result, but the risk is a time value risk which one accepts when one agrees to {{csaprov|Eligible Credit Support}} with a long a [[settlement cycle]]. If you don't want the risk, require cash only.
 ====Picturesque speech====
-''Bonus learning for free: In a subtraction, the sum being subtracted is the [[subtrahend]] and the sum it is being subtracted from is the [[minuend]].'' <br>
+''Bonus learning for free: In arithmetic, a sum being ''subtracted'' is the “[[subtrahend]]” and the sum it is being subtracted from is the “[[minuend]]”.'' <br>