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Template:Credit support balance commentary: Difference between revisions
Template:Credit support balance commentary (view source)
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The {{{{{1}}}prov|Credit Support Balance}} is an important part of the recipe when cooking up a {{{{{1}}}prov|Delivery Amount}} or {{{{{1}}}prov|Return Amount}}, because it is essentially the amount of [[credit support]] you have already posted. The transfer will, therefore, be your {{csaprov|Credit Support Amount}}/{{vmcsaprov|Exposure}} less that sum. | The {{{{{1}}}prov|Credit Support Balance}} is an important part of the recipe when cooking up a {{{{{1}}}prov|Delivery Amount}} or {{{{{1}}}prov|Return Amount}}, because it is essentially the amount of [[credit support]] you have already posted. The transfer will, therefore, be your {{csaprov|Credit Support Amount}}/{{vmcsaprov|Exposure}} less that sum. | ||
In its own special way it is also a little impish, because it comes and goes depending on how you are doing. If you are doing really well (here’s hoping!) it will be your counterparty’s {{{{{1}}}prov|Credit Support Balance}}, and you won’t have one.<ref>Especially if we are on a {{vmcsa}}. If Independent Amounts are involved it is all a bit more confusing, because you may be net [[In-the-money|in the money]], but you have still got a Credit Support Balance.</ref> This means, if all the Transactions were terminated and the counterparty settled them in full, you would have to give that Credit Support Balance back. But the moment your luck turns, you don’t have a {{{{{{1}}}prov|Credit Support Balance}} any more, but your counterparty does. This is all quite hard to explain elegantly, so {{icds}} doesn’t really try, but the unusual nature of a swap as a bilateral agreement is really the problem. | |||
Note that {{{{{1}}}prov|Interest Amount}}s and {{{{{1}}}prov|Distributions}}, as long as they (i) have not yet been returned to the {{{{{1}}}prov|Transferor}} and (ii) are {{{{{1}}}prov|Eligible Credit Support}}, are included in the {{{{{1}}}prov|Credit Support Balance}}. Needless to say, amounts that are not {{{{{1}}}prov|Eligible Credit Support}} aren’t counted towards the {{{{{1}}}prov|Credit Support Balance}} but an amount due by {{{{{1}}}prov|Transferee}} to {{{{{1}}}prov|Transferor}} which would be {{isdaprov|Unpaid Amounts}} on an {{isdaprov|Event of Default}} etc, and for which {{{{{1}}}prov|Transferor}} would be an unsecured creditor. | Note that {{{{{1}}}prov|Interest Amount}}s and {{{{{1}}}prov|Distributions}}, as long as they (i) have not yet been returned to the {{{{{1}}}prov|Transferor}} and (ii) are {{{{{1}}}prov|Eligible Credit Support}}, are included in the {{{{{1}}}prov|Credit Support Balance}}. Needless to say, amounts that are not {{{{{1}}}prov|Eligible Credit Support}} aren’t counted towards the {{{{{1}}}prov|Credit Support Balance}} but an amount due by {{{{{1}}}prov|Transferee}} to {{{{{1}}}prov|Transferor}} which would be {{isdaprov|Unpaid Amounts}} on an {{isdaprov|Event of Default}} etc, and for which {{{{{1}}}prov|Transferor}} would be an unsecured creditor. | ||
Note, per the definition of {{{{{1}}}prov|Value}}, “items that are comprised in a {{{{{1}}}prov|Credit Support Balance}} and are not {{{{{1}}}prov|Eligible Credit Support}}” are valued at zero. | Note, per the definition of {{{{{1}}}prov|Value}}, “items that are comprised in a {{{{{1}}}prov|Credit Support Balance}} and are not {{{{{1}}}prov|Eligible Credit Support}}” are valued at zero. | ||