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.
Softer rules on clearing margin may not cut end-users’ costs
Leverage ratio burden only one part of costs
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
O'Malia: US margin splits ‘very difficult’ for OTC market
Isda CEO criticises clashing rules on bilateral margin
Pension funds in limbo as EC leaves Emir exemption gap
Funds could be subject to CVA charge for period of weeks or months
Intra-group margin will ‘stifle’ internal hedging, banks warn
Additional costs for end-users if no exemption granted
How to fix the leverage ratio (by a prudential regulator)
“Embarrassing … ridiculous”: unnamed regulator lets fly at leverage rules
Dealers fear mix-and-match margining for cross-border swaps
National conflicts in margin rules can only be fixed via mutual recognition
IMF’s Kiff: variation margin haircutting ‘unfair’ to end-users
Risk Derivatives Clearing: in-the-money end-users may have losses on other positions
Q&A: Iosco’s Medcraft on CCP stress testing
CPMI-Iosco launch fact-finding mission on CCP risk management
Banks and pension funds fall out over bond CSAs
Common ground hard to find as dealers try to cut leverage exposure
Project Colin: why Goldman-led margin hub fell apart
Secretive group disbanded after dealers realised tech firms had similar plans
AcadiaSoft and TriOptima tie-up to usher in new margin hub
Goldman-led dealer consortium stepped aside for middleware and tech firms
Variation margin calls drove China copper smelter insolvent
Ill-considered futures trade claims first victim of tighter post-Qingdao financing climate
Japan banks will avoid US firms over margin rules
Dollar bias of US uncleared margin rules will impact swap pricing
Buy-side firms seek margin flexibility via CSA changes
Collateral transformation facilities being lined up but are not being used
Examining the collateral and liquidity challenge: Derivatives in the insurance industry
Sponsored feature: Northern Trust
Dealers welcome US uncleared margin rules
But cash variation margin restriction may upset the buy side
Negative Eonia rate causes CSA headaches
Banks look for clarity on collateral interest payments
Dealers rail at 'absurd' EU margin rules
Draft rules would force EU banks to collect margin from non-EU corporates
End-users say non-cleared margin rules will hit hedging
New regime will "make the world safe for banks, but not safe from banks"
Buy side urged to share risk of CCP collapse
BlackRock and Citadel say all participants should accept exposure
US eases leverage ratio impact on swaps
JP Morgan says new approach boosted ratio by up to 20bp
EU applies 8% haircut to margin-currency mismatches
European regulators confirm haircut will apply to both initial and variation margin