Trade
USD10MM 1-year payer swap, 2% coupon; fixed and 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 Classical+, Classical, and Conservative models, where the MPR of the Classical methods is set to 15 bdays. The margin agreement uses daily margin transfers, no thresholds, and no MTA/rounding.
