Trade
USD10MM 10-year payer swap, 2% coupon; fixed coupons paid semi-annually, floating coupons paid quarterly.
Model
Scenarios computed by a Hull-White model, with the initial yield curve flat at 2%, Gaussian (basis point) volatility of 1%, and mean reversion speed of 5%.
Exposure
Expected exposures are computed by brute-force daily simulation using Conservative calibration with and without initial margin protection. The margin agreement uses daily margin transfers, no thresholds, and no MTA/rounding. The initial margin level is estimated using 10-day model VaR. It is further assumed that no initial margin is returned to the counterparty during MPR.
