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{{a| | {{a|spb|}}A technique that achieved some notoriety in the aftermath of the [[Archegos]] meltdown, but in the good old innocent days of TRS, especially before compulsory [[variation margin]], was really rather run-of-the-mill. | ||
Where you have a “[[Bullet swap|bullet]]” [[TRS]], being a [[delta-one]] [[equity derivative]] with a specified termination date, usually one or two years from inception, [[Initial margin]] would be calculated based on the notional value of the swap at inception and the estimated life of the trade and the expected volatility during that period. | Where you have a “[[Bullet swap|bullet]]” [[TRS]], being a [[delta-one]] [[equity derivative]] with a specified termination date, usually one or two years from inception, [[Initial margin]] would be calculated based on the notional value of the swap at inception and the estimated life of the trade and the expected volatility during that period. |