Variation Margin Gains Hedging: Difference between revisions
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(VMGH). | (VMGH). | ||
Variation Margin Gains Haircutting is a concept considered in | Variation Margin Gains Haircutting is a concept considered in resolution of a central counterparty (CCP) whereby a CCP failing or at risk of failure can conserve or accumulate cash by cancelling or reducing the variation margin payments that it would otherwise have been required to make to clearing members. | ||
A Reserve Bank of Australia Bulletin | In such proposals the idea is usually that it would also continue to collect variation margin payments due from clearing members. | ||
A Reserve Bank of Australia Bulletin found that some CCPs " .... each have rules allowing for VMGH (and the complete tearing up of open contracts) where prefunded financial resources have been exhausted by the default of a participant". | |||
==See also== | ==See also== | ||
* [[Central counterparty]] | |||
* [[Haircut]] | * [[Haircut]] | ||
* [[Resolution]] | |||
* [[Variation margin]] | * [[Variation margin]] | ||
==Other links== | |||
[https://www.rba.gov.au/publications/bulletin/2013/dec/pdf/bu-1213-5.pdf "Recovery and Resolution of Central Counterparties" by Matt Gibson, December Quarter 2013] | |||
[[Category:Context_of_treasury]] | [[Category:Context_of_treasury]] | ||
[[Category:Financial_risk_management]] | [[Category:Financial_risk_management]] | ||
[[Category:Treasury_operations]] | [[Category:Treasury_operations]] | ||
Revision as of 11:53, 27 February 2020
(VMGH).
Variation Margin Gains Haircutting is a concept considered in resolution of a central counterparty (CCP) whereby a CCP failing or at risk of failure can conserve or accumulate cash by cancelling or reducing the variation margin payments that it would otherwise have been required to make to clearing members.
In such proposals the idea is usually that it would also continue to collect variation margin payments due from clearing members.
A Reserve Bank of Australia Bulletin found that some CCPs " .... each have rules allowing for VMGH (and the complete tearing up of open contracts) where prefunded financial resources have been exhausted by the default of a participant".
See also
Other links
"Recovery and Resolution of Central Counterparties" by Matt Gibson, December Quarter 2013
