MVA will be a ‘game-changer’, say valuation experts
Leap in initial margin will cut CVA, FVA and KVA, but generate new funding effects
Adjustments to derivatives pricing to take into account the cost of funding initial margin for uncleared trades will be a "game changer" that will overshadow existing adjustments for counterparty credit risk, according to valuation experts.
From September next year, the biggest derivatives market participants will have to post initial and variation margin on non-cleared trades, kicking off a staggered implementation that will capture more firms each year. While many counterparties already post
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