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It pans out for a {{csaprov|Transferee}} like so: | 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'''. | *'''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<sub>Tee</sub>'''. | ||
*'''{{csaprov|Transferor}}’s {{csaprov|Independent Amount}}''': Add to E the total {{csaprov|Independent Amount}} {{csaprov|Transferor}} must give the {{csaprov|Transferee}}. Call this '''IA<sub> | *'''{{csaprov|Transferor}}’s {{csaprov|Independent Amount}}''': Add to E the total {{csaprov|Independent Amount}} {{csaprov|Transferor}} must give the {{csaprov|Transferee}}. Call this '''IA<sub>Tor</sub>'''. ''E<sub>Tee</sub> + IA<sub>Tor</sub>'' is the total amount {{csaprov|Transferor}} would be holding at the end of the day if it weren’t for ... | ||
*'''{{csaprov|Transferee}}’s {{csaprov|Independent Amount}}''': Any {{csaprov|Independent Amount}} the {{csaprov|Transferee}} has to pay the {{csaprov|Transferor}}. Call this '''IA<sub> | *'''{{csaprov|Transferee}}’s {{csaprov|Independent Amount}}''': Any {{csaprov|Independent Amount}} the {{csaprov|Transferee}} has to pay the {{csaprov|Transferor}}. Call this '''IA<sub>Tee</sub>'''. You need to subtract this. <ref>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. [[SFTR]] disclosure, for example.</ref>. Lastly there is ... | ||
*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> | This leaves you with a formula for a {{csaprov|Transferee}}’s {{csaprov|Credit Support Amount}} as follows: '''''Max[0, (E<sub>Tee</sub> + IA<sub>Tor</sub> - (IA<sub>Tee</sub> + Threshold)].''''' | ||
====Example==== | ====Example==== | ||
Let’s plug in some numbers. Say: | Let’s plug in some numbers. Say: | ||
*The {{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> | *The {{csaprov|Transferor}}’s {{csaprov|Independent Amount}} IA<sub>Tor</sub> is 2,000,000 | ||
*The {{csaprov|Transferee}}’s {{csaprov|Independent Amount}} IA<sub> | *The {{csaprov|Transferee}}’s {{csaprov|Independent Amount}} IA<sub>Tee</sub> is 0 | ||
*The {{csaprov|Transferor}}’s {{csaprov|Threshold}} is 5,000,000 | *The {{csaprov|Transferor}}’s {{csaprov|Threshold}} is 5,000,000 | ||
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===={{vmcsa}} with a customised [[IA]] amendment==== | ===={{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 {{ | Never mind. Well, just for you, the formula is a sort of half-way house: Under this unholy bastardisation of a {{vmcsa}}, a {{vmcsaprov|Transferee}}’s {{vmcsaprov|Credit Support Amount}} will be: '''''Max[0, (E<sub>Tee</sub> + IA<sub>Tor</sub> - (IA<sub>Tee</sub>)].)''''' <br> | ||
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