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Quantitative Finance · Glossaire

Qu'est-ce que « Price alignment interest » ?

Definition 2.9 Rates, Credit, XVA and Risk · Chapitre 2 — Multi-Curve and Collateral Discounting

Price alignment interest (PAI) is the interest a clearing house charges the receiver of cash variation margin and pays to the payer, at an overnight rate it chooses, so that a cleared swap is economically equivalent to a bilateral swap collateralised in cash at that rate. The clearing house discounts at the PAI rate.

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