Home › Forums › Help › FCA versus FBA › Reply To: FCA versus FBA
July 20, 2017 at 1:09 pm
#6173
Inactive
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