Derivatives · glossary
What one side would be owed if every trade ended on the valuation day, at mid. It nets the swap and the cap, and is never below zero. In May 2028 the bank's Exposure was €792,000, and the collateral call started from that. Annex, paragraph 8 · Chapter 10
Explained in Chapter 10, Collateral: the Annex and the Call, of Derivatives.
Every call starts from one defined term. Exposure is what one side would be owed if all the trades ended on the valuation day…Read Chapter 10, Collateral: the Annex and the Call →
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