Page Comparison

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• VM Calculation: Trigger Variation Margin
  • Calculated based on day-over-day price changes using Variation Margin Rule from SMF
  • Allow Margin Rollback (16298, V17 R2): same functionality as Allow Earnings Rollback; default behavior is Yes if left null
    • Example: two backdated futures trades are entered and you want to run VM day-over-day through current date
    • Run for All Securities and set this field to No to prevent VM from being recalculated on all other positions
• VM Approval: Approve Variation Margin
  • Creates cash payable or receivable for VM amount
  • Moves VM amount to Market Value Income
  • By default, VM will settle the following business day if a Business Calendar is selected on the entity; if no calendar is selected, VM settlement date will be equal to VM approval date
• Accounting Valuation: Post Daily Fund Unrealized Gain Loss-Position
  • This has no affect on Futures with Variation Margin = Yes because URGL is always zero due to VM being closed out to cash every day
• Data Management Valuation: Transfer Data - Batch
• VM Settlement: Trigger Contractual Cash
  • Advance Variation Margin Settlement Date (2413)
    • Yes/null: cash settles on next business day (relies on entity-level business calendar)
    • No: cash settles on margin date

Variation Margin: V15 R2 & Above

VM calculation and approval can be processed using a single event. Approve Margin (16005) has been added to the Variation Margin panel. If Approve Margin = Yes, Advance Variation Margin Settlement Date, and Margin Approval Frequency (16006) become visible.

• Margin Approval Frequency
  • Daily: a payable or receivable is created for each day since last approval
  • Accumulated: a single payable or receivable for the net VM since last approval

V17 R4 & Above

VM settlement date can be calculated based on a calendar linked to a security's exchange, using Add Exchange Calendar Relationship. This is especially valuable if you do not use entity-level calendars in Accounting. If you do, it will override the entity-level calendar. Once configured, the calculation of each day's VM cash settlement date - for all securities traded on a given exchange - will use the calendar linked to that exchange.

Rollback/Replay

Prior to V15 R2: if a backdated trade is booked, VM must be rolled back to TD-1 of the backdated trade, and then VM calculation and approval must both be replayed through current day.

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