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.
Tokenised collateral could lower barriers to tri-party VM
Existing tri-party platforms lack network effects necessary for more efficient collateral reuse
Non-cash collateral jump spurs tri-party VM expansion
BNY, Euroclear and JPM extend collateral platforms to variation margin as bonds and equities gain traction
For variation margin payments, cash is no longer king
Dealers are being pressed to accept corporate bonds and even equities as collateral for non-cleared trades
NSCC logs record $9.2bn daily VM call in Q1
Required initial margin surges 38% in quarter marked by volatility
Margin standards are here – and clearing firms aren’t happy
Clearing members complain that latest transparency proposals would force them to act as middlemen by providing margin simulation tools for clients
Bank of England wants dynamic Emir for UK clearing houses
Review won’t just photocopy EU legislation, as BoE seeks to make rules simpler and adaptable
CPMI-Iosco report highlights gaps in CCPs’ variation margin practices
Survey finds only a third implement VM pass-through, just 15% net client and house accounts
China finalises IM rules but gaps remain
Largest banks and insurers must start posting from 2027, but details for securities houses are yet to appear
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
India delays initial margin go-live date
RBI communicated putting off initial margin rules one day before planned November 8 implementation
Shanghai Clearing House urged to take bond collateral for FX trades
Dealers complain that feeble interest rate paid on cash margin raises cost of clearing
ASX member paid record $154m to cover dues in Q2
Single-member largest payment obligation beat 2015’s high by 40.8%
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk
JSCC’s initial margin soared as Japan’s stock market hit record high
Higher demand for exchange-traded products pushed requirements up in Q1
Regulators urged to back non-cash variation margin
Market participants warn FSB on cash demands if banks curb collateral upgrade trades
Industry urges focus on initial margin instead of intraday VM
CPMI-Iosco says scheduled variation margin is better than ad hoc calls by clearing houses
JSCC, FICC lead VM spike across CCPs
BoJ decision to allow 10-year yields above 1% contributed to JSCC spikes