Calculating CSA transfer amounts

CSA Anatomy™ →This page on the premium JC →intro →prem →sa 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 Tell me more Sign up for our newsletter — or just get in touch: for ½ a weekly 🍺 you get to consult JC. Ask about it here.

When posting Credit Support, there are a few things a diligent risk officer must keep in mind. Across across two governing law regimes and all the manifold different varieties of the Credit Support experience — the mid ’90s OG CSAs, the Modern Regulatory Margin CSAs and even that weird English law Credit Support Deed, these are named and labelled differently, so JC has done you the service of explaining what changes, and why, here. I can see a table coming on, actually. Maybe in the premium content bit.

Variables

These are the variable factors:

1. How deeply you are in the hole? What is your Counterparty’s Exposure to you?
2. How much in total you are required to pony up? If you are a customer this will usually be a bit more than the answer to question 1 above, as your dealer will want some initial margin as buffer over and above your Exposure.
3. How much have you already ponied up? This may be more or less than (1) and/or (2).
4. How much do you have to pony up — or get back, today? This is, obviously enough, the difference between what you are required to pony up and what you have already ponied up. If positive, you have to pay more. If negative, you get some Eligible Credit Support back.

This calls for a few defined terms, though not half as many as ISDA’s crack drafting squad™, who loves defined terms, contrived to use. To see how JC got on, you must consult the premium content.

Premium content Here the free bit runs out. Subscribers click 👉 here. New readers sign up 👉 here and, for ½ a weekly 🍺 go full ninja about all these juicy topics👇 The size of your hole Your collateral obligation What you’ve already ponied up What you actually have to pay or receive A handy table setting it all out

See also

• Exposure
• Credit Support Balance
• Posted Credit Support
• Transfer Amount