The Cost of Collateral for Clearing
New financial regulations including Dodd-Frank, Basel, MiFID 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.

Areas Covered

  • Regulations and swap clearing
  • MVA – Margin Valuation Adjustment
  • The cost of funding initial margins (IMCA)
  • The cost and benefit of funding valuation margins
  • Funding components of XVA
  • OTC trade profitability
  • Examples of Cleared and Uncleard IR Swaps
  • Reasons OTC trading will continue
  • Converging between OTC and Clearing funding costs


  • Dmitry Pugachevsky, Director of Research, Quantifi 



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.

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