It all depends on the portfolio that your firm has and what kind of threshold/MTA's you're running in your CSA. Depending on what side you take up, your starting MtM under a CSA will be more or less be zero (IRS under CSA conventions are usually priced with the mid-market price, leading to 0 or close to 0 MtM), and the future development of your MtM (add-on) is dependent upon how the swap curve (or treasury yield curve) moves over time. The margin call process allows for amounts to be disputed and then the disputes to be remedied by various means, as each counterparty has it's own valuation metrics which more often than not are not 1:1 similar to each others. So I may call EUR 15 mn from you for a portfolio of receiver swaps I have with you but your collateral model tells you that you only owe me EUR 13.5 mn - we can then arrange a middle point and then agree to transfer a certain amount in order to cover a majority of the margin call.I've personally seen some interesting collateral cases, one which has stuck with me was that the wrong curve for an underlying in a structured CDS was delivered by the front office system and our counterparty's exposure and MtM went from within limits to something like a trillion euro exposure after the overnight batch, simply due to the program choosing the wrong curve, and IT not being able to deliver a respectable intraday feed.
Last edited by Chargerbullit
on February 4th, 2013, 11:00 pm, edited 1 time in total.