Variation margin
WHAT IS THIS? Variation margin is a payment – typically made daily, in cash – to reflect changes in the market value of a trade, or portfolio of trades. In over-the-counter derivatives markets, variation margin is traditionally seen as a buffer against counterparty default; in listed derivatives, it is treated as settlement.
Operational risk technology product of the year (buy side): CloudMargin
Clearing adds complexity for small buy-side firms; CloudMargin aims to take it away
Law firm of the year: Cadwalader, Wickersham & Taft
US law firm proposed relief to Tob programme, and won mandate to develop rule change
Fresh delay for EU rules on CCP spillover losses
Recovery and resolution rules will miss the revised February delivery date
US regulators told to expect VM status change
Fed, FDIC and OCC told daily settlement of swaps will cut required capital
Collateral or settlement: capital cut rests on role of VM
Questions about status of variation margin are more than semantics
Swaps CCPs hope to slash capital via margin change
Treating margin as settlement could cut leverage – CME, Eurex, Ice, LCH.Clearnet all seeking approval
Banks try to copy Citi and UBS clearing leverage cuts
Tactic slashes exposure for FCMs, but could undermine lobbyists
US margin rules threaten clearing bottleneck
Fed estimates $2.5 billion annual cost of funding margin on bilateral trades
EU regulators split over using initial margin to resolve CCPs
Rules on CCP resolution were due last month but are now slated for February
For a few dollars more: Japan banks tackle dollar/yen basis jump
Soaring cross-currency swap prices force dollar funding rethink
Massad: US to raise dollar threshold in uncleared margin rules
Higher final threshold may catch fewer firms
Softer rules on clearing margin may not cut end-users’ costs
Leverage ratio burden only one part of costs
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
O'Malia: US margin splits ‘very difficult’ for OTC market
Isda CEO criticises clashing rules on bilateral margin
Pension funds in limbo as EC leaves Emir exemption gap
Funds could be subject to CVA charge for period of weeks or months
Intra-group margin will ‘stifle’ internal hedging, banks warn
Additional costs for end-users if no exemption granted
How to fix the leverage ratio (by a prudential regulator)
“Embarrassing … ridiculous”: unnamed regulator lets fly at leverage rules
Dealers fear mix-and-match margining for cross-border swaps
National conflicts in margin rules can only be fixed via mutual recognition
IMF’s Kiff: variation margin haircutting ‘unfair’ to end-users
Risk Derivatives Clearing: in-the-money end-users may have losses on other positions
Q&A: Iosco’s Medcraft on CCP stress testing
CPMI-Iosco launch fact-finding mission on CCP risk management
Banks and pension funds fall out over bond CSAs
Common ground hard to find as dealers try to cut leverage exposure
Project Colin: why Goldman-led margin hub fell apart
Secretive group disbanded after dealers realised tech firms had similar plans
AcadiaSoft and TriOptima tie-up to usher in new margin hub
Goldman-led dealer consortium stepped aside for middleware and tech firms