
Explanation:
Under a Credit Support Annex (CSA), a margin call is only made if the required collateral transfer amount is greater than or equal to the Minimum Transfer Amount (MTA).
First, let's look at the initial state:
Now, for the new state:
Because the new collateral deficit of CNY 2,200,000 is still strictly less than the Minimum Transfer Amount of CNY 2,500,000, a margin call will not be triggered. Therefore, the additional collateral required to be posted is CNY 0.
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| Value (CNY) | |
|---|---|
| Mark-to-market value of net exposure | 25,000,000 |
| Mark-to-market value of collateral posted | 10,800,000 |
| Threshold amount | 14,000,000 |
| Minimum transfer amount | 2,500,000 |
| Rounding amount | 10,000 |
Assuming the net exposure increases to CNY 27,000,000 and the mark-to-market value of collateral posted has not changed, how much additional collateral will the hedge fund have to post?
A
CNY 0
B
CNY 1,990,000
C
CNY 2,000,000
D
CNY 2,500,000
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