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Template:CSA Exposure summ: Difference between revisions
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Amwelladmin (talk | contribs) (Created page with "The total mark-to-market exposure under your {{isdama}} on a given day, not counting anything posted by way of credit support. That is, {{{{{1}}}|Exposure}} omits the...") |
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The total [[mark-to-market]] exposure under your {{isdama}} on a given day, not counting anything posted by way of [[credit support]]. That is, {{{{{1}}}|Exposure}} omits the [[mark-to-market]] exposure of the {{isdaprov|Transaction}} comprising the {{ | The total [[mark-to-market]] exposure under your {{isdama}} on a given day, not counting anything posted by way of [[credit support]]. That is, {{{{{1}}}|Exposure}} omits the [[mark-to-market]] exposure of the {{isdaprov|Transaction}} comprising the CSA itself,<ref>Assuming you are on a proper, sensible, English law title transfer CSA, which counts as a {{isdaprov|Transaction}}, and not one of those silly American ones, which doesn’t.</ref> because that would entirely bugger things up: the {{tag|MTM}} of an ISDA ''including'' the CSA is, of course, more or less zero. | ||
{{Exposure under csa| | {{Exposure under csa|{{{1}}}}} | ||
==={{isdaprov|Market Quotation}} and the {{2002ma}}=== | ==={{isdaprov|Market Quotation}} and the {{2002ma}}=== | ||
*'''{{isdaprov|Market Quotation}}? But I have a {{2002ma}}''': Note the references to {{isdaprov|Market Quotation}} and other {{1992ma}} specific things. If you are under a {{2002ma}}, these should be corrected. Of you could sign up to the [[2002 ISDA Master Agreement Protocol]] and that would do it for you. In the {{vmcsa}}, note | *'''{{isdaprov|Market Quotation}}? But I have a {{2002ma}}''': Note the references to {{isdaprov|Market Quotation}} and other {{1992ma}} specific things. If you are under a {{2002ma}}, these should be corrected. Of you could sign up to the [[2002 ISDA Master Agreement Protocol]] and that would do it for you. In the {{vmcsa}}, note both versions of the {{isdama}}, with their contrasting approaches to close-out valuation, are provided for in the alternative. | ||
*'''Mid-market?''': A slight [[cognitive dissonance]]: It talks about your {{isdaprov|6(e)(ii)}} amount - which is generally your replacement cost, at your side of the market, but then goes on to say determined at the mid-market price | *'''Mid-market?''': A slight [[cognitive dissonance]]: It talks about your {{isdaprov|6(e)(ii)}} amount - which is generally your replacement cost, at your side of the market, but then goes on to say determined at the mid-market price, which is fair, though, because you aren’t in default, and if each party used its own side of the market the {{{{{1}}}|Credit Support Balance}} could never find stability or happeness, even fleetingly, and the credit support world would be in some kinds of infinite loop. | ||