// definition
Variation margin
Daily settlement of mark-to-market gains and losses
fraisrevu il y a 0 j
Short definition
A payment, generally daily and in cash for cleared derivatives, that settles gains and losses caused by the new market value. It resets current exposure between counterparties to zero but can create an immediate cash need.
risk atlas
Knowledge map
Intuition
Variation margin settles today the gain or loss that has appeared since the previous valuation.
Formula
variation margin ≈ price change × contract size × number of contractsWhy it matters now
On a short oil hedge, a higher barrel can cause an immediate outflow before the physical cargo is paid for.
Related analyses
- When the barrel becomes a margin callHedging, cash, clearing and transmission to bank balance sheets.
Related guides
- Reading the oil marketPrices, curve, inventories, OPEC and physical data.
- Reading interest-rate swapsValuation, clearing and counterparty risk in derivatives.
Related datasets
- risk.jsonPublic snapshot of the risk signals.
- signals/history.jsonPoint-in-time history of the signals.
- risk-diff.json1, 7 and 30-day diff of signals, sources and models.
- evidence-graph.jsonClaims, evidence and their sources as a graph.
Signals using it
- Energy MonitorMethodology of the energy stress signal.
- Risk DiffRecent change in risk and source freshness.
Primary sources
- Intercontinental ExchangeBrent future specifications, clearing and indicative margins.
- European Central BankEnergy derivatives, margin calls, bank credit and EMIR data.
- Bank of EnglandMeasures of the 2022 European energy-margin stress.
- Financial Stability BoardInternational recommendations on margin-call preparedness.