82,891
edits
Template:Exposure under csa: Difference between revisions
no edit summary
Amwelladmin (talk | contribs) No edit summary |
Amwelladmin (talk | contribs) No edit summary |
||
| Line 13: | Line 13: | ||
The thing whihc, I think, causes all the confusion is the nature of payments under ''normal'' Transactions are deterministic and generally specified in the Confirmation, whereas whether you need to make a payment at all under a CSA on any day depends, and how much you need to pay, depends on quite a lot of things and you only find out at the last minute. Therefore CSA payments are due “a regular [[settlement cycle]] after they are called” — loosey goosey, right? — whereas normal swap payments are due (say) “on the 15th of March” | The thing whihc, I think, causes all the confusion is the nature of payments under ''normal'' Transactions are deterministic and generally specified in the Confirmation, whereas whether you need to make a payment at all under a CSA on any day depends, and how much you need to pay, depends on quite a lot of things and you only find out at the last minute. Therefore CSA payments are due “a regular [[settlement cycle]] after they are called” — loosey goosey, right? — whereas normal swap payments are due (say) “on the 15th of March” | ||
Day 1: Party A’s has an {{{{{1}}}|Exposure}} of 100, and its prevailing {{ | Day 1: Party A’s has an {{{{{1}}}|Exposure}} of 100, and its prevailing {{{{{1}}}|Credit Support Balance}} is 90, so (before the Notification Time on the Demand Date) Party B has called it for a Delivery Amount of 10, which it must pay but Party B owes it a payment of 10, which is due to land tomorrow. | ||
Fun times in the world of [[collateral]] [[operations]]. | Fun times in the world of [[collateral]] [[operations]]. | ||