Variation Margin Gains Hedging: Difference between revisions
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(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 | A Reserve Bank of Australia Bulletin of December Quarter 2013 article "Recovery and Resolution of Central Counterparties" by Matt Gibson found that CCPs such as "The Japan Securities Clearing Corporation (JSCC), the UK-based LCH.Clearnet Ltd (LCH.C Ltd), CME Clearing Europe, and the French-based LCH.Clearnet SA (LCH.C SA) 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." https://www.rba.gov.au/publications/bulletin/2013/dec/pdf/bu-1213-5.pdf | ||
==See also== | |||
* [[Haircut]] | |||
* [[Variation margin]] | |||
[[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 10:44, 13 March 2019
(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 of December Quarter 2013 article "Recovery and Resolution of Central Counterparties" by Matt Gibson found that CCPs such as "The Japan Securities Clearing Corporation (JSCC), the UK-based LCH.Clearnet Ltd (LCH.C Ltd), CME Clearing Europe, and the French-based LCH.Clearnet SA (LCH.C SA) 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." https://www.rba.gov.au/publications/bulletin/2013/dec/pdf/bu-1213-5.pdf
