This September, as part of the phased introduction of initial margin rules, banks with bilateral derivative notional above 1.5 trillion Euros will be impacted by the rules. By 2020 all institutions with derivative notional over 8 billion will be included. This will impact hundreds, if not thousands of firms.
Now is the time to consider how you will calculate margin valuation adjustment (MVA) to determine the lifetime costs of posting initial margin as part of the pricing of an OTC derivative.
In part one of this two-part video series, we explain why you need to calculate MVA, whether market participants are currently charging for MVA, and challenges of calculating MVA.