MVA: future IM for client trades and dynamic hedges


New client trades affect banks’ hedging portfolios. This may impact the initial margin (IM) posted to client counterparties and to hedge counterparties. Alexandre Antonov, Serguei Issakov and Andy McClelland propose that IM for both sides should be forecast and reflected in MVA. Forecasting IM for dynamic hedges of non-vanillas is complicated by the need for future hedge ratios. These can be recovered by combining the future sensitivities used in client-side IM with

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here