Cost of Collateral for Clearing

Recent regulations significantly increased collateral requirements for cleared trades. This webinar, presented by Dmitry Pugachevsky, Quantifi, explores the different capital costs arising from clearing and compares them with the costs associated with OTC trades

 

Agenda

  • IMC - cost of funding Initial Margins
  • VMC - cost of funding Variation Margins
  • OTC trade profitability
    • test for IR swaps
  • Analysis of total cost of clearing
    • Comparison with OTC costs
  • Reasons OTC trading will continue
  • Converging between OTC and clearing fund costs

 

 

 

 

Recommended Whitepapers and Articles

Whitepaper: Cost of Trading and Clearing OTC Derivatives in the Wake of Margining

A First View on the New CVA Risk Capital Charge

Identifying Liquidity Risk for Financial Stability

Challenges in Implementing a Counterparty Risk Management Process