Page Comparison

> Processing and Exceptions

 > Global Processes (V17 and above).

• VM Calculation: Earnings > 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: Earnings > 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

• VM Cash Settlement: Cash > 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

• Accounting Valuation: Unrealized Gain Loss Entries > 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: STAR to PACE Direct Processing > Transfer Data - Batch

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

Variation Margin: V17 R2 & 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.

V15 R2 & Above: if a backdated trade is booked, VM will automatically be replayed to the most recent VM date prior to the trade being entered. VM for the intervening days can either be approved Daily (a cash record for each day) or Accumulated (a single net cash record).