To Clear or Not to Clear
Dmitry Pugachevsky, Quantifi, and Alex Tabb, Group Partner and COO, TABB discuss the possibility for regulatory arbitrage between the US and European markets, the impact the new rules will have on the cost of initial margin for exchange-traded derivatives, and how this will drive firms' decisions on which products to trade

The US implementation of the Basel directives, which will be rolled out in the US in January 2014, increases the liquidity coverage ratio and eliminates CVA exemptions, significantly raising the pressure on US banks’ capital. The cost of capital in North America will be greater than the cost in Europe, so one assumes that will lead to regulatory arbitrage in the trading environment.



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.


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.


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