1. about
  2. solutions
  3. Insights
  4. Careers

White Paper - Introducing Margin Value Adjustment

Complete Form to Download White Paper


Calypso’s R&D team explains the role of MVA.

The concept of funding value adjustment (FVA) – the cost over-and-above the risk-free rate incurred by the institution to fund derivative positions – is now well-known by the market. It arises primarily due to the asymmetry in the funding of uncollateralized client trades versus the hedges that are executed in the professional market under two-way zero threshold collateral support agreements (CSA).

What has received little attention are the additional funding costs associated with initial margin (IM) in the context of central clearing and bilateral collateralization. This article shows that when trades are collateralized, the FVA is still present but there is an additional adjustment, namely margin value adjustment (MVA). This is the cost of funding the initial margin.


Latest Tweets

Pioneering Innovative Technology to Reimagine Capital Markets

Calypso Technology, Inc. is a cloud-enabled provider of cross-asset front-to-back solutions and managed services for financial markets with over 35,000 users in 60+ countries. Its award-winning software improves reliability, adaptability, and scalability across several verticals, including capital markets, investment management, central banking, clearing, treasury, liquidity, and collateral.

Calypso is pioneering innovative technologies (native cloud technology, AI, Big data) that reimagine capital markets.


We would like to keep in touch with you by email / phone for communications regarding Calypso events, news, product launches and other marketing materials in accordance with our Privacy Policy. By subscribing, you consent to us doing that.

© 2019 Calypso. All rights reserved - Terms Of Use - Privacy Statement Contact Us
Back To Top