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 derivative 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

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