Template:Csa credit support amount calculation: Difference between revisions

How the {{csaprov|IA}} contributes to the {{csaprov|Credit Support Amount}} — being the total value a {{csaprov|Transferor}} must have given to the {{csaprov|Transferee}} at any time<ref>As opposed to the total amount required to be paid ''on any day'', considering the “{{csaprov|Credit Support Balance}}” the {{csaprov|Transferee}} already holds — that’s the {{csaprov|Delivery Amount}} or {{csaprov|Return Amount}}, [[as the case may be]].</ref> can be mind-boggling.  

#The {{csaprov|Transferee}}’s {{csaprov|Exposure}} - the net [[mark-to-market]] value the {{csaprov|Transferor}} would owe the {{csaprov|Transferee}} under all outstanding {{isdaprov|Transactions}}  if they were [[closed out]] (not counting, of course, the {{csa}} itself). Call this '''E'''.

#Add to E the total {{csaprov|Independent Amount}} {{csaprov|Transferor}} is required to give the {{csaprov|Transferee}}. Call this '''IA_t'''. <br>''E + IA_t is the total amount {{csaprov|Transferor}} would have to hand if it weren’t for ...

#Any {{csaprov|Independent Amount}} the {{csaprov|Transferee}} has to pay the {{csaprov|Transferor}}. Call this '''IA_r'''.<br>''There’s something faintly absurd both parties exchanging {{csaprov|Independent Amounts}} by [[title transfer]] — they net off against each other — but that’s as may be. Stupider things have happened<ref>[[SFTR]] disclosure, for example.</ref>.''

#Any {{csaprov|Threshold}} that applies to the {{csaprov|Transferor}} - being the minimum MTM amount at which it must pony up variation margin in the first place.<br />

*{{csaprov|Exposure}} is 10,000,000

*The IA_t you owe him: 2,000,000

*IA_r he owes you: 0