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Template:Csa credit support amount calculation: Difference between revisions
Template:Csa credit support amount calculation (view source)
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Amwelladmin (talk | contribs) (Created page with "===Calculating your {{csaprov|Credit Support Amount}}=== How the IA contributes to the Credit support Amount — being the amount one actually has to hand over of a {{csaprov|...") |
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===Calculating your {{csaprov|Credit Support Amount}}=== | ===Calculating your {{csaprov|Credit Support Amount}}=== | ||
How the IA contributes to the Credit support Amount — being the amount | How the {{csaprov|IA}} contributes to the {{csaprov|Credit support Amount}} — being the total amount a Transferor actually has to hand over to its counterparty can be mind-boggling. It pans out like for a given counterparty like so: | ||
*First, take your {{csaprov|Exposure}} - the net [[mark-to-market]] value of your {{isdaprov|Transactions}} under the ISDA not counting, of course, the CSA itself. Call this '''E'''. | *First, take your {{csaprov|Exposure}} - the net [[mark-to-market]] value of your {{isdaprov|Transactions}} under the ISDA not counting, of course, the CSA itself. Call this '''E'''. | ||
*Next, add to E the total {{csaprov|Independent Amount}} you are required to pay the other feller. Call this '''IA<sub>t</sub>'''. E + IA<sub>t</sub> is the total amount you have to hand over as {{isdaprov|Credit Support}} if it weren't for ... | *Next, add to E the total {{csaprov|Independent Amount}} you are required to pay the other feller. Call this '''IA<sub>t</sub>'''. E + IA<sub>t</sub> is the total amount you have to hand over as {{isdaprov|Credit Support}} if it weren't for ... | ||
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Let's plug in some numbers. Say: | Let's plug in some numbers. Say: | ||
*Exposure is 10,000,000 | *{{csaprov|Exposure}} is 10,000,000 | ||
*The IA<sub>t</sub> you owe him: 2,000,000 | *The IA<sub>t</sub> you owe him: 2,000,000 | ||
*IA<sub>r</sub> he owes you: 0 | *IA<sub>r</sub> he owes you: 0 | ||
*Your Threshold: 5,000,000 | *Your {{csaprov|Threshold}}: 5,000,000 | ||
Your {{isdaprov|Credit Support Amount}} is ''10,000,000 + 2,000,000 - (0 + 5,000,000) = '''7,000,000'''''. Now whether you have to pay anything or receive anything as a result of that calculation - whether there is a {{isdaprov|Delivery Amount}} or a {{isdaprov|Return Amount}}, in other words — that depends whether your {{isdaprov|Credit Support Amount}} is greater or smaller than your {{isdaprov|Credit Support Balance}}. | |||