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.
Emergency docs: funds rush to meet EU’s revised Emir rules
Isda asks for six-month extension as previously exempt funds hit with margin requirements
Swaps data: IM grows in listed and OTC markets
Data shows fourth-quarter jump in IM across all product groups and after-effects of Nasdaq losses
Court rules for Deutsche in negative interest case
Decision turns on Isda’s 2010 best practice guide, which said interest was only payable when rates were positive
In Netherlands vs Deutsche Bank, bets are on Deutsche
A decision is looming on Dutch appeal after being denied payment on interest rates gone negative
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults
Swap book values of US G-Sibs dropped in 2018
Settled-to-market technique responsible for some deductions year-on-year
Eurex member faced jumbo VM call in Q4 2018
Third-largest actual same-day payment obligation is the biggest since 2016
US version of SA-CCR could hurt settled-to-market swaps
Capital requirements on a client’s hedged options portfolio could increase by 1,100%
CFTC paves way for no-deal Brexit swaps transfers
Affiliate transfers would not trigger US margin rules if UK crashes out of EU without a deal
Choosing the right model for non-cleared OTC margining
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
Swaps data: cleared vs non-cleared margin
Growing margin burden for non-cleared swaps means cleared margin is likely to grow further, argues Amir Khwaja
Banks scent margin offset in US SA-CCR proposal
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
Lawyers blast Basel on funding of STM swaps
'Daft' guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
VM switch shrinks Nomura's balance sheet
Revised treatment of variation margin reduces exposures by ¥247 billion
Hong Kong banks fear clashing swaps margin rules
SFC proposal could complicate trades with HKMA-regulated entities and centralised treasuries
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
European banks vague on settled-to-market switch
UBS reported a cut in gross derivatives assets and liabilities attributable to STM of Sfr11.4 billion in 2017
VM changes cut billions from US bank swaps values in 2017
Effects on potential future exposure (PFE) mixed
Reform fails to solve collateral woes in Korea
Korean swaps users wary of collateral reuse, leaving dealers with LCR burden
EU’s evolving CCP resolution rules get mixed reviews
Isda AGM: Parliament tackles big issues in recovery and resolution text, but 'doesn’t go far enough'
Swaps market off pace for IM rules – Isda survey
Participants want to see more standardisation in collateral and custodial contracts