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.
A&O vs Linklaters in IM platform race
Law firms are backing rival attempts to cut margin doc costs for buy side
LCH and CME to start clearing SOFR swaps in third quarter
Scramble to offer clearing aimed at cutting clients’ margin and capital costs
FCA: Libor contract changes shouldn’t trigger margin rules
Moving from Libor to an RFR shouldn’t force margin requirement on legacy non-cleared trades, says UK regulator
Swaps data: breaking down CCPs’ $750 billion funding bill
Amir Khwaja of Clarus FT considers how initial margin, variation margin and default fund contributions can quickly add up
From Lehman to rupee crashes: India’s CCP chief on market stress
Risk chief sets about bolstering CCIL’s risk modelling, lookback periods, and portfolio compression
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Central counterparty resolution: an unresolved problem
This paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.
Forwards users unclear on status of EU’s margin regime
National regulators have not all taken public stance on pending postponement
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
Huge capital savings at stake in STM swaps debate
Estimates show portfolio would generate 250% more capital in worst-case version of new margining treatment
LCH margin changes to ease funding stresses, say FCMs
Clearers welcome move to free up excess cash margin and remedy ‘double-dipping’ complaints
LCH and Eurex extend new swap VM treatment
Three US banks used method to cut swaps assets by more than $300bn in third quarter
FCA: buy side can stop work on VM rules for forwards
UK regulator follows up on statement from ESAs that urged forbearance
EU sparks hopes of securitisation margin reprieve
Optimism over EU Council amendment, but Parliament will still have to approve
EC backs forex forward margin exemption
Need for change is “undisputed”, official says – but short-term relief expected to come via forbearance
Forex forward users delay VM plans amid uncertainty
Firms postpone plans to start margining before January 3 in case EU regulators scrap new requirement
EBA and Eiopa confirm changes to VM rule for forwards
Bodies aim to align EU with other jurisdictions – hinting at end of unpopular rule
EU proposals feed hopes of forex forward VM relief
Expectations rise of forbearance after Council of the EU proposes buy side VM exemption
JP Morgan CRO: CCPs need extra tail-risk buffers
Bail-in capital would help avoid contagion, says JPMorgan Chase's Ashley Bacon, in an interview with Risk.net
BAML and Morgan Stanley swaps drop $186bn on VM change
At least seven banks now using settled-to-market treatment for variation margin
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
Asian buy side faces non-cleared margin currency penalty
Global banks charge premium for accepting local securities instead of major currencies