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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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===Calculating your {{csaprov|Credit Support Amount}}=== | ===Calculating your {{csaprov|Credit Support Amount}}=== | ||
How the {{csaprov|IA}} contributes to the {{csaprov|Credit Support Amount}} — being the total amount a {{csaprov|Transferor}} actually has to hand over to | How the {{csaprov|IA}} contributes to the {{csaprov|Credit Support Amount}} — being the total amount a {{csaprov|Transferor}} actually has to hand over to the {{csaprov|Transferee}} can be mind-boggling. It pans out like for a given counterparty like so: | ||
*First, take the {{csaprov|Transferee}}’s {{csaprov|Exposure}} - the net [[mark-to-market]] value the {{csaprov|Transferor}} would owe the {{csaprov|Transferee}} under all outstanding {{isdaprov|Transactions}} if they were [[closed out]] (not counting, of course, the [[CSA]] itself). Call this '''E'''. | *First, take the {{csaprov|Transferee}}’s {{csaprov|Exposure}} - the net [[mark-to-market]] value the {{csaprov|Transferor}} would owe the {{csaprov|Transferee}} under all outstanding {{isdaprov|Transactions}} if they were [[closed out]] (not counting, of course, the [[CSA]] itself). Call this '''E'''. | ||
*Next, add to E the total {{csaprov|Independent Amount}} | *Next, add to E the total {{csaprov|Independent Amount}} {{csaprov|Transferor}} is required to give the {{csaprov|Transferee}}. Call this '''IA<sub>t</sub>'''. E + IA<sub>t</sub> is the total amount you have to hand over as {{csaprov|Credit Support}} if it weren't for ... | ||
*Any {{csaprov|Independent Amount}} the ''other'' dude owes ''you''. This we will call '''IA<sub>r</sub>'''. There’s something faintly absurd both parties exchanging {{csaprov|Independent Amounts}} by [[title transfer]] — they net off against each other — but that’s as may be. Stupider things have happened<ref>[[SFTR]] disclosure, for example.</ref>. | *Any {{csaprov|Independent Amount}} the ''other'' dude owes ''you''. This we will call '''IA<sub>r</sub>'''. There’s something faintly absurd both parties exchanging {{csaprov|Independent Amounts}} by [[title transfer]] — they net off against each other — but that’s as may be. Stupider things have happened<ref>[[SFTR]] disclosure, for example.</ref>. | ||
*Any {{csaprov|Threshold}} that applies to the {{csaprov|Transferor}} - being the minimum MTM amount at which it must pony up variation margin in the first place.<br /> | *Any {{csaprov|Threshold}} that applies to the {{csaprov|Transferor}} - being the minimum MTM amount at which it must pony up variation margin in the first place.<br /> | ||