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Initial Margin and MVA

Initial Margin (IM) requirements and subsequent Margin Value Adjustment (MVA) is set to become a 'Game Changer' for the OTC derivatives market. The requirements are set to draw in a large number of organisations that have previously not been required to post margin. Bilateral Initial Margin will require a substantial additional margin to be posted which unlike variation margin is not able to be rehypothecated (ie not able to be re-pledged). This represents an overall drain of financial resources for the banking system.


PROGRAM:
TITLE: Initial Margin and MVA
CE:
FEE: Member - $759.00 including GST
Non Member - $913.00 including GST
 
DATES:
Sydney Sep 26, 2017
9:00am - 5:00pm

About the Speaker

Ben Watson, CEO, Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such as OIS discounting, FVA, CVA/DVA and quantitative impacts of regulation.  

Ben came to the Maroon business with 22+ years working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS and before that the local head of Quant at ABN AMRO Australia.  He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank. 


Who is this for?

This workshop is ideal for anyone whose work is affected by the IM requirements.

how you will benefit

  • you will gain an insight into the increasingly important role of Initial Margin in the management and pricing of OTC derivatives
  • a worked example of the ISDA SIIM method will demonstrate how this model calculates Initial Margin
  • understand the issues surrounding the implementation of a bilateral initial margin framework
  • be able to appreciate the costs when trading bilaterally versus trading on a CCP
  • understand how MVA is priced and how this can be applied to the Inter-CCP basis (LCH/CME basis).

Testimonials

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