Template:Csa thresholds

Transfers of variation margin under a credit support annex fly back and forth on the basis of the change in {{{{{1}}}prov|Exposure}} since the last time the parties transferred collateral, but subject to a couple of thresholds: the {{{{{1}}}prov|Minimum Transfer Amount}}, the {{{{{1}}}prov|Threshold}} There is also the {{{{1}}}prov|Independent Amount}}, bound up with the general margin calculation in the naive framework of the 1995 CSA but recognised as a completely separate thing from variation margin in the regulatory margin-driven 2016 VM CSA.

• {{{{{1}}}prov|Threshold}}: This is the total exposure to you your counterparty is prepared to wear without any variation margin at all. These days it is limited by margin regulations in different jurisdictions, but there was once a time where buy-side counterparties, sovereign wealth funds and the like would say, “and for me? Oooh, I don’t know ... let’s say infinity shall we, snapperhead?” and guileless brokers would collapse like a two-man pup tent with no poles, in a shameless ritual whereupon priapic salespeople would pepper their poor beleaguered credit officers with all kinds of illegitimate oratorical techniques. “They say all their other counterparties have given this!!” being just the favourite.
• {{{{{1}}}prov|Minimum Transfer Amount}} or “{{{{{1}}}prov|MTA}}”: This is really an operational measure, to avoid the hassle of transferring trivial amounts where the {{{{{1}}}prov|Exposure}} hasn’t changed a great deal overnight. So the {{{{{1}}}prov|Minimum Transfer Amount}} is simply the smallest amount you have to be bothered transferring over. It might be USD1,000 or USD100,000, but once the exposure is more than your MTA, you do have to pay up to the dollar and cent (at least to the extent of any rounding required by Paragraph {{{{{1}}}prov|11(b)(iii)}}.