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Home / Reply To: FCA versus FBA

Home Forums Help FCA versus FBA Reply To: FCA versus FBA

#6173
rkapl
Participant

To add some data to the topic, below the results from Example 10, modified to express an almost “perfect” CSA (0 MTA, 0 Threshold, 1D MarginingFrequency (Call/Post) and 2W MarginPeriodOfRisk):

CSADetails/Bilateral: Bilateral
NettingSetId CVA DVA FBA FCA
CPTY_A 14.844 24.696 -2.332 11.789

CSADetails/Bilateral: PostOnly
NettingSetId CVA DVA FBA FCA
CPTY_A 153.061 11.094 -23.768 5.307

CSADetails/Bilateral: CallOnly
NettingSetId CVA DVA FBA FCA
CPTY_A 8.033 217.001 -1.270 102.676

ActiveCSAFlag:false
NettingSetId CVA DVA FBA FCA
CPTY_A 146.251 203.399 -22.706 96.195

-regards,
Roland