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Quantitative Finance · Glossário

O que é Uncleared margin rules and credit support annex?

Também chamado de: uncleared margin rules · credit support annex

Definition 10.2 Markets II: Rates, FX and Credit · Capítulo 10 — Swap Clearing and the Clearing-House Basis

The uncleared margin rules are the regulations requiring large users of derivatives that are not centrally cleared to exchange initial and variation margin bilaterally, with the initial margin held by a third party. A credit support annex (CSA) is the part of a bilateral derivatives agreement that governs the collateral: which assets, thresholds, minimum transfers, the rate paid on cash collateral, and the timing of calls.

Initial margin over the life of USD 100 million of a ten-year and a thirty-year swap, in the stylised model of . Margin follows the DV01 of the remaining swap, and the area under each curve, times the funding spread, is its cost. Parameters are illustrative. Data: the chapter’s tutorial.
Figure 10.3. Initial margin over the life of USD 100 million of a ten-year and a thirty-year swap, in the stylised model of Proposition 10.3. Margin follows the DV01 of the remaining swap, and the area under each curve, times the funding spread, is its cost. Parameters are illustrative. Data: the chapter’s tutorial.

Exemplos

Example 10.4 (A ten-year and a thirty-year swap)

With illustrative parameters, σ=7\sigma = 7 basis points a day, a five-day margin period and z=2.326z = 2.326, initial margin is 36.4 basis points of DV01. On USD 100 million of a ten-year swap at 4%, the DV01 is USD 81 109, initial margin starts at USD 2.95 million and declines with the swap’s remaining life (Figure 10.3); funded at 50 basis points a year it costs USD 76 442 over the swap’s life: 0.94 basis points a year of running spread. For the thirty-year swap, 2.30 basis points.

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