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

RELATED INSIGHTS

Whitepapers

How to Accelerate XVA Performance

In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored.

Whitepapers

A First View on the New CVA Risk Capital Charge

In July 2015, the Basel Committee of Banking Supervision (BCBS) published a consultative paper on credit valuation adjustment (CVA) risk to improve the current regulatory framework. In February 2016, first improvements of this framework have been introduced within the QIS instructions for the QIS based on December 2015 results.

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.

Let's Talk!

Schedule a personalised demo today

Loading...