Dealers wake up to MVA impact of new funding rules
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
The cost of posting initial margin for over-the-counter derivatives trades is set to jump at the same time as a three-figure-billions leap in margin requirements – a one-two punch that results from the implementation of Basel III's net stable funding ratio (NSFR) alongside new margining rules for non-cleared trades.
The interaction between the two has only recently been spotted by some dealers
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