如题

问题如下：

Assume a two-way CSA with the following identical parameters for both counterparties:

• Threshold is equal to $1,000,000.

• Independent amount is equal to zero for both.

• Minimum transfer amount is equal to $100,000

• Rounding up equal to $25,000, and

• Initial collateral held equal to zero.

As noted, the initial collateral held is zero for both counterparties. Consider the next two days, from the perspective of Party A.

1) The portfolio mark to market increases to $1,430,000 (1.430 million) on the first day, T(1)

2) The portfolio mark to market decreases to $1,030,000 (1.030 million) on the second day, T(2)

Which of the following is the correct sequence of collateral calls (returns) from the perspective of Party A?

选项：

A.

On first day $450,000 collateral called (received) by Party A; on second day $400,000 collateral returned by Party A

B.

On first day $225,000 collateral posted by Party A; on second day additional $100,000 collateral posted by Party A

C.

On first day $175,000 collateral called (received) by Party A; on second day $200,000 collateral returned by Party A

D.

Neither call nor post (return) collateral on either the first or second day

解释：

On the first day, the portfolio value minus the threshold (which is not collateralized) is equal to $1.430 million minus $1.0 million or $430,000. Because this is above the minimum transfer amount, there is a collateral call, and it is rounded up to $450,000.

On the second day, the portfolio value minus the collateral held equals $1.030 million minus $450,000 equals $580,000 which is $420,000 below the threshold, such that (rounded) $400,000 is returned