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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<sub>Tee</sub>'''. | *'''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}}''': | *The '''{{csaprov|Transferor}}’s {{csaprov|Independent Amount}}''': The total {{csaprov|Independent Amount}} {{csaprov|Transferor}} must give the {{csaprov|Transferee}} we will call '''IA<sub>Tor</sub>'''. You can add this to the {{csaprov|Transferee}}’s {{csaprov|Exposure}}, but then you must remember to deduct ... | ||
*'''{{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>''' | *The '''{{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>'''. <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 don’t forget to take into account ... | ||
*Any {{csaprov|Threshold}} that applies to the {{csaprov|Transferor}} | *The '''{{csaprov|Transferor}}’s {{csaprov|Threshold}}''': Any {{csaprov|Threshold}} that applies to the {{csaprov|Transferor}} being the {{csaprov|Exposure}} it is allowed to represent before it has to post [[variation margin]] 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<sub>Tee</sub> + IA<sub>Tor</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: |