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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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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)].''''' | 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)].''''' | ||
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 | ||
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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 — | 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 — depends whether your {{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==== | ===={{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? | 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? | ||
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Oh. | 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, | You have, haven’t you. You’ve gone and co-opted the {{vmcsaprov|Credit Support Amount (VM/IA)}} concept in your Paragraph 11 annex. Yes you did. No, don’t blame your credit department; don’t say you were just following orders. ''You did it''. | ||
===={{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 {{vmcsaprov|Transferee}}’s {{vmcsaprov|Credit Support Amount}} will be: '''''Max[0, (E<sub>Tee</sub> + IA<sub>Tor</sub> - (IA<sub>Tee</sub>)].)''''' <br> | 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> | ||