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.
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
One NSCC member paid record $40bn to cover dues in Q3
The cash call was 141% larger than the previous quarter
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
JP Morgan warns hedge funds to expect intraday margin calls
US bank may demand variation margin ‘up to seven’ times a day after Archegos default
Sunil Cutinho on CME’s crisis performance
Maverick clearing house boss dismisses the need for anti-procyclicality tools imposed by regulators
Japan’s CCP goes global
International investors are flocking in ever greater numbers to clear their Japanese yen swap books at the Japan Securities Clearing Corporation. Their arrival is driving some big changes – within the clearing house itself and across the broader JPY…
JSCC issued $2.8bn VM call on a clearing member in Q1
The call was for a participant in the CCP’s clearing services that cover IRS, CDS and exchange-traded financial products
No clearing sweeteners for European SSAs, argue dealers
As public entities eye CCP membership, dealers warn of heightened risk exposure from support waivers
One FICC member paid record $102bn to cover dues in Q4
Previous highest payment obligation of a single participant was $77 billion in size
IM at LCH Ltd fell to post-Covid low in Q4
Required IM for SwapClear dropped to £149.5 billion, down 3% quarter on quarter
Cherry-picking fears as banks pull negative rates commitments
As UK mulls negative rates, banks desert Isda protocol and traders warn of gaming the system
LCH Ltd sent record €6bn VM call to one clearing member in Q3
Largest estimated payment obligation in the event of a member default also climbs quarter on quarter
At LCH Ltd, IM levels edged lower in Q3
Peak aggregate initial margin call for equities fund hit £3 billion
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
Margin calls on insurers, pension funds stoked MMF rout – ECB
Dutch firms accounted for huge share of VM payments in March
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
Imperfect balance? Clearers weigh EU’s CCP resolution tools
Potential levels of loss mutualisation under EU rules are unnerving some clearing members
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
ING hit by €92m XVA loss
Credit trading business tagged for trading losses
LCH, HKEX to clear swaps linked to Asia overnight rates
Clearing houses ready launch of SORA and Honia swaps, but timing is uncertain
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file