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.
Swiss regulator fast-track key to cleared Saron swaps launch
Ice warns against rushing new products into clearing, however
CCPs say central bank access needed to avoid liquidity crisis
Uniform access to deposit accounts and overnight liquidity vital, say market participants
Industry hails potential US relaxation of margin timing rules
Treasury’s proposed shift from T+1 for non-cleared swaps welcomed, but IM calculation comments draw fire
Asia clearing surge raises concerns over eligible collateral
Scarcity of high-quality liquid assets gives rise to liquidity risk worries, say banks
Don’t leave margining till the last minute
Institutions in Asia have a narrowing window to plan for initial margin regime
Eurex urges more regulators to endorse VM capital savings
CME, Ice and LCH treat variation margin as settlement; Eurex awaits further guidance
US regulators approve VM route to capital savings
Guidance tips balance in debate over interest payments in settled-to-market swaps
Banks warn clients of possible unwinds as VM deadline nears
Clients on old CSAs told they face unwinds and trading bans unless repapering talks underway
VM change helps Barclays cut derivatives by $113bn
Three factors slashed size of book by 25%, including move to treat margin as settlement
FX forwards users drop EU banks over margin rule
Other dealers do not have to collect margin on physically settled forwards
Swaps users face potential margin bill for Libor transition
New margin rules could snare legacy trades amended to reference alternative rates, lawyers warn
Accounting for initial margin under IFRS 13
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
Margin settlement risk and its effect on CVA
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XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Fed weighing VM capital cut for cleared swaps
Powell implies support for practice that saved UBS $300m in capital
Lawyers divided over Isda’s China netting memo
New legal guidance spells out how close-out netting may be achieved, but critics say it’s impractical
Time trial: the big risks that lurk in OTC margin gaps
Banks take aim at margin and trade-flow lag that can cause 95% of counterparty risk
Margin rules spur Middle East netting upgrades
Bahrain, Qatar, UAE seek to bolster swaps safeguards
Spectre of mass swap unwinds looms ahead of VM deadline
Dealers warn of market disruption if trades lacking new CSAs are terminated before September 1
FSB asks whether CCPs could become shock-transmitters
Isda AGM: New analysis – due next month – looks at clearing network risks
VM repapering exercise ‘a swing and a miss’
Isda AGM: Banks picked up big bill but few benefits, says UBS ALM exec
A sound modelling and backtesting framework for forecasting initial margin requirements
Anfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM