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[null,"Calculations",null,null,null,-36,2.4411355138162626E-5]
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[null,"Potential future exposure (PFE)",{"$f":"Mu+NORMSINV(Alpha)*Sigma","v":23.263478740408409},null,null,-34,4.9158432502498374E-5]
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[null,null,null,null,null,-26,5.4188207207090397E-4]
[null,null,null,null,null,-25,6.9927801704657922E-4]
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[null,null,"EE","EPE"]
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[null,null,"EE","Effective EE","EPE","Effective EPE"]
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[null,"Parameters"]
[null,"IR Vol",8.0000000000000002E-3]
[null,"FX Vol",0.08]
[null,"Correlation",0.2]
[null,"Confidence level",0.95]
[]
[null,null,"IRS","FX Forward","CCS"]
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[null,4.6000000000000014,0.15240173789214706,0.28222544054101312,{"$f":"NORMSINV(ConfLevel)*SQRT(B43*(10-B43)^2*IRVol^2+B43*FXVol^2+2*IRFXCorr*B43*(10-B43)*IRVol*FXVol)","v":0.34652871172162125}]
[null,4.8000000000000016,0.14991365962984457,0.28829549928816273,{"$f":"NORMSINV(ConfLevel)*SQRT(B44*(10-B44)^2*IRVol^2+B44*FXVol^2+2*IRFXCorr*B44*(10-B44)*IRVol*FXVol)","v":0.35053697892613933}]
[null,5.0000000000000018,0.1471201809160228,0.29424036183204572,{"$f":"NORMSINV(ConfLevel)*SQRT(B45*(10-B45)^2*IRVol^2+B45*FXVol^2+2*IRFXCorr*B45*(10-B45)*IRVol*FXVol)","v":0.35431231458986451}]
[null,5.200000000000002,0.14403238528014742,0.30006746933364054,{"$f":"NORMSINV(ConfLevel)*SQRT(B46*(10-B46)^2*IRVol^2+B46*FXVol^2+2*IRFXCorr*B46*(10-B46)*IRVol*FXVol)","v":0.35787370328514617}]
[null,5.4000000000000021,0.14066043474723267,0.30578355379833205,{"$f":"NORMSINV(ConfLevel)*SQRT(B47*(10-B47)^2*IRVol^2+B47*FXVol^2+2*IRFXCorr*B47*(10-B47)*IRVol*FXVol)","v":0.36123897730332033}]
[null,5.6000000000000023,{"$f":"NORMSINV(ConfLevel)*SQRT(B48)*(10-B48)*IRVol","v":0.13701368086300472},{"$f":"NORMSINV(ConfLevel)*FXVol*SQRT(B48)","v":0.31139472923410177},{"$f":"NORMSINV(ConfLevel)*SQRT(B48*(10-B48)^2*IRVol^2+B48*FXVol^2+2*IRFXCorr*B48*(10-B48)*IRVol*FXVol)","v":0.36442497356779768}]
[null,5.8000000000000025,0.13310075867562216,0.31690656827529101,{"$f":"NORMSINV(ConfLevel)*SQRT(B49*(10-B49)^2*IRVol^2+B49*FXVol^2+2*IRFXCorr*B49*(10-B49)*IRVol*FXVol)","v":0.36744766544739338}]
[null,6.0000000000000027,0.12892966680311474,0.3223241670077871,{"$f":"NORMSINV(ConfLevel)*SQRT(B50*(10-B50)^2*IRVol^2+B50*FXVol^2+2*IRFXCorr*B50*(10-B50)*IRVol*FXVol)","v":0.37032227397388373}]
[null,6.2000000000000028,0.12450783605431522,0.32765220014293506,{"$f":"NORMSINV(ConfLevel)*SQRT(B51*(10-B51)^2*IRVol^2+B51*FXVol^2+2*IRFXCorr*B51*(10-B51)*IRVol*FXVol)","v":0.37306336199729812}]
[null,6.400000000000003,0.1198421885665283,0.33289496824035669,{"$f":"NORMSINV(ConfLevel)*SQRT(B52*(10-B52)^2*IRVol^2+B52*FXVol^2+2*IRFXCorr*B52*(10-B52)*IRVol*FXVol)","v":0.37568491407407767}]
[null,6.6000000000000032,0.11493918903452574,0.33805643833684074,{"$f":"NORMSINV(ConfLevel)*SQRT(B53*(10-B53)^2*IRVol^2+B53*FXVol^2+2*IRFXCorr*B53*(10-B53)*IRVol*FXVol)","v":0.37820040431633506}]
[null,6.8000000000000034,0.10980488930333003,0.34314027907290673,{"$f":"NORMSINV(ConfLevel)*SQRT(B54*(10-B54)^2*IRVol^2+B54*FXVol^2+2*IRFXCorr*B54*(10-B54)*IRVol*FXVol)","v":0.38062285399171003}]
[null,7.0000000000000036,0.10444496736038877,0.3481498912012963,{"$f":"NORMSINV(ConfLevel)*SQRT(B55*(10-B55)^2*IRVol^2+B55*FXVol^2+2*IRFXCorr*B55*(10-B55)*IRVol*FXVol)","v":0.38296488032142595}]
[null,7.2000000000000037,9.8864761575567214E-2,0.35308843419845487,{"$f":"NORMSINV(ConfLevel)*SQRT(B56*(10-B56)^2*IRVol^2+B56*FXVol^2+2*IRFXCorr*B56*(10-B56)*IRVol*FXVol)","v":0.38523873765622085}]
[null,7.4000000000000039,9.3069300888374493E-2,0.35795884957067164,{"$f":"NORMSINV(ConfLevel)*SQRT(B57*(10-B57)^2*IRVol^2+B57*FXVol^2+2*IRFXCorr*B57*(10-B57)*IRVol*FXVol)","v":0.38745635199896927}]
[null,7.6000000000000041,8.7063331522373666E-2,0.36276388134322424,{"$f":"NORMSINV(ConfLevel)*SQRT(B58*(10-B58)^2*IRVol^2+B58*FXVol^2+2*IRFXCorr*B58*(10-B58)*IRVol*FXVol)","v":0.38962934967641599}]
[null,7.8000000000000043,8.0851340710322267E-2,0.3675060941378292,{"$f":"NORMSINV(ConfLevel)*SQRT(B59*(10-B59)^2*IRVol^2+B59*FXVol^2+2*IRFXCorr*B59*(10-B59)*IRVol*FXVol)","v":0.39176908083104584}]
[null,8.0000000000000036,7.4437577835306981E-2,0.37218788917653556,{"$f":"NORMSINV(ConfLevel)*SQRT(B60*(10-B60)^2*IRVol^2+B60*FXVol^2+2*IRFXCorr*B60*(10-B60)*IRVol*FXVol)","v":0.39388663830047249}]
[null,8.2000000000000028,6.7826073329200084E-2,0.37681151849555661,{"$f":"NORMSINV(ConfLevel)*SQRT(B61*(10-B61)^2*IRVol^2+B61*FXVol^2+2*IRFXCorr*B61*(10-B61)*IRVol*FXVol)","v":0.39599287237031422}]
[null,8.4000000000000021,6.1020655617254102E-2,0.38137909760783861,{"$f":"NORMSINV(ConfLevel)*SQRT(B62*(10-B62)^2*IRVol^2+B62*FXVol^2+2*IRFXCorr*B62*(10-B62)*IRVol*FXVol)","v":0.39809840182300116}]
[null,8.6000000000000014,5.4024966354296398E-2,0.38589261681640324,{"$f":"NORMSINV(ConfLevel)*SQRT(B63*(10-B63)^2*IRVol^2+B63*FXVol^2+2*IRFXCorr*B63*(10-B63)*IRVol*FXVol)","v":0.40021362165591684}]
[null,8.8000000000000007,4.6842474162014633E-2,0.39035395135012219,{"$f":"NORMSINV(ConfLevel)*SQRT(B64*(10-B64)^2*IRVol^2+B64*FXVol^2+2*IRFXCorr*B64*(10-B64)*IRVol*FXVol)","v":0.40234870780497844}]
[null,9,3.9476487046835318E-2,0.39476487046835318,{"$f":"NORMSINV(ConfLevel)*SQRT(B65*(10-B65)^2*IRVol^2+B65*FXVol^2+2*IRFXCorr*B65*(10-B65)*IRVol*FXVol)","v":0.40451361918196332}]
[null,9.1999999999999993,3.1930163652785802E-2,0.39912704565982215,{"$f":"NORMSINV(ConfLevel)*SQRT(B66*(10-B66)^2*IRVol^2+B66*FXVol^2+2*IRFXCorr*B66*(10-B66)*IRVol*FXVol)","v":0.40671809731372893}]
[null,9.3999999999999986,2.4206523482610435E-2,0.4034420580435063,{"$f":"NORMSINV(ConfLevel)*SQRT(B67*(10-B67)^2*IRVol^2+B67*FXVol^2+2*IRFXCorr*B67*(10-B67)*IRVol*FXVol)","v":0.40897166385735723}]
[null,9.5999999999999979,1.630845620257779E-2,0.40771140506444264,{"$f":"NORMSINV(ConfLevel)*SQRT(B68*(10-B68)^2*IRVol^2+B68*FXVol^2+2*IRFXCorr*B68*(10-B68)*IRVol*FXVol)","v":0.41128361625579901}]
[null,9.7999999999999972,8.2387301312973945E-3,0.41193650656486386,{"$f":"NORMSINV(ConfLevel)*SQRT(B69*(10-B69)^2*IRVol^2+B69*FXVol^2+2*IRFXCorr*B69*(10-B69)*IRVol*FXVol)","v":0.41366302179257863}]
[null,9.9999999999999964,1.4783506340892159E-16,0.41611871030044567,{"$f":"NORMSINV(ConfLevel)*SQRT(B70*(10-B70)^2*IRVol^2+B70*FXVol^2+2*IRFXCorr*B70*(10-B70)*IRVol*FXVol)","v":0.41611871030044573}]

{"sheet":"Spreadsheet8.5","index":4,"n_rows":39,"n_cols":7,"rows_kept":39,"cut":false,"hidden":false,"merged":[[8,1,8,2]]}
[]
[]
[]
[]
[]
[]
[]
[]
[null,"Parameters"]
[null,"Initial spread",600]
[null,"Recovery rate",0.4]
[null,"Interest rate",0.05]
[null,"Spread volatility",0.75]
[null,"Confidence level",0.98]
[]
[]
[null,null,{"$f":"C10/(1-C11)/10000","v":0.1}]
[null,null,"Def Prob","Duration","dSpread","PFE","ES"]
[null,0]
[null,0.25,{"$f":"EXP(-B19*HazardRate)-EXP(-B20*HazardRate)","v":2.4690087971667385E-2},{"$f":"(1-EXP(-(HazardRate+IRate)*(5-B20)))/(HazardRate+IRate)","v":3.3972225194939591},{"$f":"NORMSINV(ConfLevel1)*CDSSpread*SpreadVol*SQRT(B20)","v":462.0935048921599},{"$f":"IF(C20>(1-ConfLevel1),(1-Rec),E20*D20/10000)","v":0.6},{"$f":"(MIN(1-ConfLevel1,C20)*(1-Rec)+MAX((1-ConfLevel1)-C20,0)*E20*D20/10000)/(1-ConfLevel1)","v":0.6}]
[null,{"$f":"B20+0.25","v":0.5},2.4080487527618599E-2,3.2722905292830049,653.49890170301069,0.6,0.6]
[null,0.75,2.3485938172161158E-2,3.1425846382266847,800.36942832079842,0.6,0.6]
[null,1,2.290606829259334E-2,3.0079224260398236,924.1870097843198,0.6,0.6]
[null,1.25,2.2340515451364062E-2,2.8681145017938467,1033.2724889000012,0.6,0.6]
[null,1.5,2.1788926159537647E-2,2.7229642375545664,1131.893300440074,0.6,0.6]
[null,1.75,2.1250955655850445E-2,2.5722674918417474,1222.5844964028638,0.6,0.6]
[null,2,2.0726267691225542E-2,2.4158123225215116,1306.9978034060214,0.6,0.6]
[null,2.25,2.021453431860476E-2,2.2533786887277736,1386.2805146764797,0.6,0.6]
[null,2.5,1.9715435687972183E-2,2.0847381413935189,1461.267967429385,0.30463610664966206,0.59579749884454491]
[null,2.75,1.9228659846436402E-2,1.9096535019566501,1532.5907737875518,0.29267173382298506,0.58814726839862908]
[null,3,1.87539025432506E-2,1.7278785287885472,1600.7388566415968,0.27658823005885436,0.57984987079967554]
[null,3.25,1.8290867039645664E-2,1.5391575708761971,1666.1018259475522,0.25643932392578306,0.57064045623199655]
[null,3.5,1.7839263923358772E-2,1.3432252082708194,1728.9955759600105,0.23224304426182102,0.56026871391503796]
[null,3.75,1.7398810927741204E-2,1.1398058787973306,1789.680448837951,0.20398882967541421,0.54849500356296321]
[null,4,1.6969232755332908E-2,0.9286134904996145,1848.3740195686396,0.17164250500604372,0.53508740675823308]
[null,4.25,1.6550260905792036E-2,0.70935101927656197,1905.2603295822464,0.1351498356776365,0.51981941075940696]
[null,4.5,1.614163350807396E-2,0.48171009114298086,1960.4967051090318,9.4439104650358541E-2,0.5024680390877404]
[null,4.75,1.5743095156753317E-2,0.24537054852785453,2014.2188902914431,4.9422999396597785E-2,0.48281230497755684]
[null,5,1.535439675238659E-2,0,2066.5449778000025,0,0.46063190257159725]

{"sheet":"Spreadsheet8.6","index":5,"n_rows":23,"n_cols":5,"rows_kept":23,"cut":false,"hidden":false,"merged":[]}
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,null,null,"Party A","Party B"]
[null,null,"Portfolio MtM",1700000,{"$f":"-MtM_A","v":-1700000}]
[null,null,"Initial Margin",0,0]
[null,null,"Threshold",1000000,1000000]
[null,null,"Collateral held",0,{"$f":"-CollateralHeld_A","v":0}]
[null,null,"Minimum transfer amount",100000,100000]
[null,null,"Rounding",50000,-50000]
[null,null,"Collateral call / return",{"$f":"CalcCollateral(MtM_A,IA_A,IA_B,Threshold_A,Threshold_B,CollateralHeld_A,MTA_A,MTA_B,Rounding_A)","v":700000},{"$f":"CalcCollateral(MtM_B,IA_B,IA_A,Threshold_B,Threshold_A,E14,MTA_B,MTA_A,Rounding_B)","v":-700000}]
[]
[]
[]
[null,null,"The calculation is made from both party A and party B's point of view"]
[null,null,"If the parties agree on the MtM and collateral parameters they will agree on the collateral required"]
[null,null,"When Party A calls for collateral, it is with respect to Party B's Threshold, MTA etc"]