83,049
edits
Template:Csa credit support amount calculation: Difference between revisions
Template:Csa credit support amount calculation (view source)
Revision as of 14:51, 6 January 2020
, 6 January 2020no edit summary
Amwelladmin (talk | contribs) No edit summary |
Amwelladmin (talk | contribs) No edit summary |
||
| Line 1: | Line 1: | ||
===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 amount of credit support in total that one party must have given the other at any time<ref>As opposed to the amount required to be transferred ''on that day'', considering the “{{csaprov|Credit Support Balance}}” the {{csaprov|Transferee}} already holds — that’s the {{csaprov|Delivery Amount}} or {{csaprov|Return Amount}}, [[as the case may be]].</ref> can be mind-boggling. | ===={{csa}}==== | ||
How the {{csaprov|IA}} contributes to the {{csaprov|Credit Support Amount}} — being the amount of credit support in total that one party must have given the other at any time<ref>As opposed to the amount required to be transferred ''on that day'', considering the “{{csaprov|Credit Support Balance}}” the {{csaprov|Transferee}} already holds — that’s the {{csaprov|Delivery Amount}} or {{csaprov|Return Amount}}, [[as the case may be]].</ref> under the {{csa}} can be mind-boggling. | |||
It pans out for a {{csaprov|Transferee}} like so: | It pans out for a {{csaprov|Transferee}} like so: | ||
| Line 8: | Line 9: | ||
*Any {{csaprov|Threshold}} that applies to the {{csaprov|Transferor}} - being the Exposure which triggers its [[variation margin]] obligation in the first place.<br /> | *Any {{csaprov|Threshold}} that applies to the {{csaprov|Transferor}} - being the Exposure which triggers its [[variation margin]] obligation in the first place.<br /> | ||
This leaves you with a formula for a {{csaprov|Transferee}}’s {{csaprov|Credit Support Amount}} as follows: '''''Max[0, E + IA<sub>t</sub> - (IA<sub>r</sub> + Threshold. | This leaves you with a formula for a {{csaprov|Transferee}}’s {{csaprov|Credit Support Amount}} as follows: '''''Max[0, (E + IA<sub>t</sub> - (IA<sub>r</sub> + Threshold)].''''' | ||
====Example==== | ====Example==== | ||
Let’s plug in some numbers. Say: | Let’s plug in some numbers. Say: | ||
*{{csaprov|Transferee}}’s {{csaprov|Exposure}} is 10,000,000 | *The {{csaprov|Transferee}}’s {{csaprov|Exposure}} is 10,000,000 | ||
*The {{csaprov|Transferor}}’s {{csaprov|Independent Amount}} IA<sub>t</sub> is 2,000,000 | *The {{csaprov|Transferor}}’s {{csaprov|Independent Amount}} IA<sub>t</sub> is 2,000,000 | ||
*The {csaprov|Transferee}}’s {{csaprov|Independent Amount}} IA<sub>r</sub> is 0 | *The {{csaprov|Transferee}}’s {{csaprov|Independent Amount}} IA<sub>r</sub> is 0 | ||
*The {{csaprov|Transferor}}’s {{csaprov|Threshold}} is 5,000,000 | *The {{csaprov|Transferor}}’s {{csaprov|Threshold}} is 5,000,000 | ||
Your {{csaprov|Credit Support Amount}} is therefore ''10,000,000 + 2,000,000 - (0 + 5,000,000) = '''7,000,000'''''. | Your {{csaprov|Credit Support Amount}} is therefore ''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 — whether there is a {{csaprov|Delivery Amount}} or a {{csaprov|Return Amount}}, in other words — that depends whether the {{csaprov|Credit Support Amount}} is greater or smaller than your prevailing {{csaprov|Credit Support Balance}}, by at least the {{csaprov|Minimum Transfer Amount}}. <ref> | Now, whether you have to ''pay'' anything or ''receive'' anything as a result — whether there is a {{csaprov|Delivery Amount}} or a {{csaprov|Return Amount}}, in other words — that depends whether the {{csaprov|Credit Support Amount}} is greater or smaller than your prevailing {{csaprov|Credit Support Balance}}, by at least the {{csaprov|Minimum Transfer Amount}}. | ||
===={{vmcsa}} with no [[IA]] amendment==== | |||
Since the {{vmcsa}} assumes there is no Independent Amounts and no Thresholds, it is quite a lot easier. It is just the Exposure. So much so, that there isn't even a concept of the Credit Support Amount under the {{vmcsa}}, unless you have retrofitted one, and who in their right mind would do that? | |||
Oh. | |||
You have, haven’t you. You’ve gone and co-opted the {{vmcsaprov|Credit Support Amount (VM/IA)}} concept in your Paragraph 11 annex, haven’t you. | |||
===={{vmcsa}} with a customised [[IA]] amendment==== | |||
Never mind. Well, just for you, the formula is a sort of half-way house: Under this unholy bastardisation of a {{vmcsa}}, a {{csaprov|Transferee}}’s {{csaprov|Credit Support Amount}} will be: '''''Max[0, (E + IA<sub>t</sub> - (IA<sub>r</sub>)].)''''' | |||
<ref> | |||