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.
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
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
CCPs show support for daily stress margin tools
Anti-procyclicality measure floated by HKEX official sparks interest from rivals including Nasdaq
Proposed CCP margin disclosures may be ‘destabilising’, Eurex warns
BCBS-Iosco consultation calls for daily disclosure of margin calls
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
Morgan Stanley’s default fund contributions jump $1.9bn in Q2
Aggregate increase across US clearing banks pushes requirements to highest point since 2021
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo
LME case could redefine exchange powers to cancel trades
European trading venues have broad discretion when responding to market emergencies
Peak IM call hits record $4.8bn at FICC’s GSD
Required IM also rose to all-time high during volatile Q1
Nasdaq exec criticises VAR models in erratic energy markets
FIA Boca 2023: Model being adopted by rivals is “bad choice” for unpredictable assets, says exchange tech official
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
LME model quirk saved members $915m nickel margin
Report on March 2022 blow-up says CCP may need to “intervene” on deduction of VM gains from IM