Template:Csa credit support amount calculation: Difference between revisions

Template:Csa credit support amount calculation (view source)

207 bytes added , 7 May 2019

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 ===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 the {{csaprov|Transferee}} can be mind-boggling. It pans out like for a given counterparty like so:
+How the {{csaprov|IA}} contributes to the {{csaprov|Credit Support Amount}} — being the total value a {{csaprov|Transferor}} actually has to have given to the {{csaprov|Transferee}} at any time<ref>As opposed to the total amount required to be paid on any day taking in to account amounts the {{csaprov|Transferee}} already holds — that’s the {{csaprov|Credit Support Balance}}</ref> can be mind-boggling.
+It pans out for a {{csaprov|Transferee}} like so:
 #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'''.
 #Add to E the total {{csaprov|Independent Amount}} {{csaprov|Transferor}} is required to give the {{csaprov|Transferee}}. Call this '''IA<sub>t</sub>'''. <br>''E + IA<sub>t</sub> is the total amount {{csaprov|Transferor}} would have to hand if it weren’t for ...