CoachThe collateral threshold is the exposure a party accepts before calling for collateral: the collateral called is above it. The minimum transfer amount (MTA) is the smallest change in collateral that is called. The independent amount is collateral posted regardless of the value, a buffer against moves during the time it takes to close out.
Exemples
Example 17.10 (Collateralising the netting set)
Under a two-way CSA with zero threshold and a minimum transfer amount of USD 500 000, the netting set’s EE falls to a nearly flat USD 1.30 million at its peak and its PFE to USD 6.45 million with a margin period of risk of ten business days; the EPE over the life falls from USD 6.44 million to 0.95 million, 15% of the uncollateralised figure. With twenty days the peak EE is USD 1.83 million, times higher; with a threshold of USD 10 million it is USD 3.81 million (Figure 17.4).