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.
Covered bond issuers cheer EU swaps margin relief
Regulators recognise collateral posting barriers but set six conditions for an exemption
Pension funds snub swaps over margin demand
Liabilities now being matched with bonds or property, says AllianceBernstein
Basel leverage ratio may force CSA restructuring
Cash collateral can only reduce derivatives exposure if it matches the currency of the underlying swap, threatening existing CSAs and even the new standard CSA
Insurance risk manager of the year: Axa
Axa moved early to address lapse risk concerns – now a pressing issue for the French insurance sector – and has also been vocal on regulatory change
Risk management system of the year (bank): Barclays
Hedge fund clients of Barclays can use the bank's own margin calculator to construct their portfolios - while the bank uses it to manage net counterparty exposures. Both sides benefit
Pension funds and the collateral crisis
Rising interest rates could leave pension funds facing huge margin requirements, creating an acute liquidity crisis
Why collateral research misses the point
There may be an aggregate collateral surplus, but pension funds and other firms that would face big margin calls in a rising-rate environment are not reassured
Fear the repo: funds face up to rate-contingent liquidity risks
As interest rates rise, big fixed-rate receivers such as pension funds will all slide out-of-the-money at the same time, potentially triggering huge margin calls. Some are already trying to soften the blow, rather than relying on a repo market that could…
Initial margin to significantly impact development of Asian derivatives markets: Asifma
Asifma head Austen wants exclusion of initial margin from Asian jurisdictions’ derivatives market regulation
WGMR 8% collateral haircut unlikely to apply to variation margin
Regulators suggest WGMR haircut will not apply to variation margin, reducing the threat to the viability of the standard CSA
The CCP price: users fear modelling mishaps
The CCP price
Insight Investment: The need for non-cash variation margin
Pension funds tend not to have a lot of cash lying around, making it difficult for them to meet clearing house margin calls. Specialist asset manager Insight Investment is pressing for a solution. By Tom Osborn
Clearing members fear $5 billion intra-day funding burden
The intra-day funding burden
Indirect clearing: The capital conundrum
Draft European Securities and Markets Authority rules on indirect clearing caused uproar when they appeared in June. The regulator removed the most controversial elements in its final text, but dealers are still in the dark about the capital treatment…
Final Esma clearing rules too rigid, CCPs say
Regulator has not given clearing houses enough freedom to calculate margin requirements, critics say - and Europe's CCPs may have to charge more for futures than their US rivals
OTC Derivatives Clearing Summit: Joint solution needed on intraday margin calls, says panel
Dealers, clients and clearing houses need to work together to resolve problems caused by intraday margin calls, say panellists
Acclaimed new TriOptima service may not have a future
In the balance?
Risk 25 firms of the future: Bank of England
CCPs will not be too big to fail
Relief for dealers as Basel reins in capital for cleared trades
Basel Committee addresses long-standing complaints over default fund exposures and client clearing
WGMR margin rules borrow heavily from US proposals
Working group publishes proposed margin rules for uncleared trades – bringing global rules in line with an earlier US proposal
CCP recovery and resolution: New tools, but no rules
Apocalypse never?
CCP resolution plans start to take shape
LCH.Clearnet's re-launched CDS clearing service adopts a loss-sharing mechanism - in line with a "last gasp of breath" approach outlined in an Isda letter to the Bank of England
Q&A: William Dudley on global CCP standards
Central counterparties are about to take centre stage in the revamped over-the-counter derivatives markets – a development that has given rise to a set of global principles for their management and supervision. William Dudley, president of the Federal…