Clearing and Rising Capital Costs

This webinar covers a number of areas relating to whether 'To Clear or Not to Clear', including the impact of regulatory reform on OTC clearing, margin efficiency for cleared OTC trades and Non-cleared capital costs: from FVA to Basel

Agenda

  • Current Regulatory Environment and its Impact on Clearing
  • Current Main capital charges associated with Clearing
  • Reasons OTC Trading will continue and not all trades will move to CPPs
  • New CVA Capital Standardised and Advanced Formula
  • Counterparty Capital Charges Arising from Basel II & III
  • Capital Requirements for 3 Different Portfolio Strategies

Presenter

  • Dmitry Pugachevsky, Director of Research – Quantifi

insights

Innovative thinking

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How to Accelerate XVA Performance

As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are making investment in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

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A First View on the New CVA Risk Capital Charge

The impact of the new CVA risk regulation framework on calculation methods and the infrastructure of banks could potentially be the turning point for many of the medium-sized institutes we are seeing in the market.

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News

Quantifi Survey Reveals Challenges in Managing The Cost of Collateral for Clearing

Quantifi today published the results of a short survey conducted as part of its recent webinar on the Cost of Collateral for clearing.

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