Modern derivatives markets systematically misprice funding, collateral, and capital.
Those inefficiencies are persistent, measurable, and monetisable.

We specialise in identifying and extracting that value — by treating funding, discounting, XVA, collateral, and clearing as a single optimisation problem rather than a set of disconnected processes.

The Problem

In most institutions, responsibility is fragmented.
Trading optimises execution. XVA manages reserves. Treasury funds the balance sheet. Clearing sits in operations.

Each function is rational in isolation — but collectively sub-optimal.

The result is predictable: economically identical risks are funded, margined, and priced differently across counterparties and structures, creating persistent valuation and funding distortions.

These inefficiencies do not exist because the theory is misunderstood. They persist because they sit at the intersection of functions, systems, legal agreements, and incentives — and are therefore rarely challenged in a coordinated way.

Our Approach

We treat funding, discounting, XVA, collateral, and clearing mechanics as a single, integrated system.

By analysing exposures across counterparties, CCPs, and legal frameworks, we identify valuation mismatches and funding asymmetries that are invisible within siloed processes but material at the portfolio level.

We analyse these effects at the same level of granularity as dealer pricing models — enabling us to identify, quantify, and realise value that is typically left on the table.

Where Value Comes From

We focus on the mechanics beneath headline pricing — funding curves, discounting frameworks, collateral terms, margin methodologies, and balance-sheet constraints.

Small differences in these inputs compound into large, recurring P&L effects — particularly in long-dated, uncleared, or multi-CCP portfolios.

Across large derivatives portfolios, these effects routinely translate into material funding and capital impacts.

Outcomes

This approach allows clients to:

• convert pricing inconsistencies into realised P&L
• reduce CVA, FVA, and Initial Margin without altering economic exposure
• improve capital efficiency and balance-sheet utilisation
• identify where funding costs are created — and eliminate them

Execution Reality

Our work is grounded in how markets actually function — under regulatory constraints, across funding regimes, and during periods of stress.

We operate with a practical understanding of how dealers price, fund, and manage these risks, and where those approaches create inefficiencies that can be challenged and improved.

The objective is not theoretical elegance, but measurable economic impact.

Closing Perspective

In a market where most participants focus on price, we focus on how price is constructed — and on the value that emerges when those mechanics are optimised.