Independent Amount - CSA Provision: Difference between revisions

Jump to navigation Jump to search

Independent Amount - CSA Provision (view source)

Revision as of 19:11, 19 January 2017

1,575 bytes removed ,  19 January 2017
no edit summary
No edit summary
No edit summary
Line 11: Line 11:
*Especially where one counterparty is providing access to markets for the other party (so called [[synthetic prime brokerage]]) there may be a provision that the {{ca}} can adjust tiers, multipliers, and the assets which are elgible for each tier in its discretion, and with effect to existing as well as new transactions. This can have the effect of retroactively adjusting {{csaprov|Independent Amount}}s, in which case the difference can be called under the ordinary {{csaprov|Transfer}} provisions.
*Especially where one counterparty is providing access to markets for the other party (so called [[synthetic prime brokerage]]) there may be a provision that the {{ca}} can adjust tiers, multipliers, and the assets which are elgible for each tier in its discretion, and with effect to existing as well as new transactions. This can have the effect of retroactively adjusting {{csaprov|Independent Amount}}s, in which case the difference can be called under the ordinary {{csaprov|Transfer}} provisions.


===Calculation of {{csaprov|Credit Support Amount}}
{{CreditSupportAmountCalcuation}}  
How the IA contributes to the Credit support Amount — being the amount one actually has to hand over of a {{csaprov|Valuation Date}} can be mind-boggling. It pans out like for a given counterparty like so:
*First, take your {{csaprov|Exposure}} - the net [[mark-to-market]] value of your {{isdaprov|Transactions}}. Call this '''E'''.
*Next, add to that all the {{csaprov|Independent Amount}}s you are required to pay the other feller. Call this '''IA<sub>t</sub>'''. E + IA<sub>t</sub> is the total amount you have to hand over as Credit Support if it weren't for ...
*Any Independent Amounts the other dude is required to give ''you''. This we will call IA<sub>r</sub>. There’s something faintly absurd about exchanging {{csaprov|Independent Amounts}} by [[title transfer]], but that’s as may be. Stupider things have happened<ref>[[SFTR]] disclosure, for example.</ref>.
*Any Threshold applicable to the Transferor - being an amount below which no variation margin is required.<br />
This leaves you with a formula as follows:
:Max[0, E + IA<sub>t</sub> - (IA<sub>r</sub> + Threshold.
 
“Credit Support Amount” means, with respect to a Transferor on a Valuation Date, (i) the Transferee’s Exposure plus (ii) all Independent Amounts applicable to the Transferor, if any, minus (iii) all Independent Amounts applicable to the Transferee, if any, minus (iv) the Transferor’s Threshold; provided, however, that the Credit Support Amount will be deemed to be zero whenever the calculation of Credit Support Amount yields a number less than zero.
===See also===
===See also===
*[[Initial margin]]
*[[Initial margin]]


{{csaanatomy}}
{{csaanatomy}}
Retrieved from "https://jollycontrarian.com/index.php?title=Special:MobileDiff/15546"

Navigation menu