The Cost of Collateral for Clearing

Re-cap
17 Jun 2015

Financial regulations including Dodd-Frank, Basel lll, MiFID ll and EMIR are increasing the cost of capital and driving the need to more accurately measure the risks and profitability of OTC derivatives. These regulations significantly increased collateral requirements for cleared trades. This webinar explores the different capital costs arising from clearing and how they compare with costs for OTC trades.

Agenda

  • Regulations and Swap Clearing
  • MVA – Margin Valuation Adjustment
  • The Cost of funding Initial Margins (IMCA)
  • The Cost/Benefit of funding Variation Margins (VMCA, VMBA)
  • FVA, KVA – funding components of XVA
  • OTC trade profitability

Presenter

Dmitry Pugachevsky, Director of Research, Quantifi

 

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