Manage Variation Margin Override Rules

Owned by Nancy Cohn (Deactivated)
Last updated: Jul 19, 2023
3 min read

A variation margin override rule allows multiple clients on the same platform to share the same security reference data for futures, options on future, and cleared swap security master records but to suppress, by entity and processing security type, the variation margin logic on securities set up for variation margin. A single accounting rule can have multiple instances of variation margin override rules with different elections. You assign variation margin override rules at the entity level.

The variation margin override rule allows transactions for a specified entity and processing security type to override a security's security master setting where you set the Variation Margin field to Yes so that the transaction behaves as if its Variation Margin were set to No. 

Create Variation Margin Override Rules

In the Create Variation Margin Override Rule panel, you can add a variation margin override rule. 

After you create a variation margin override rule, you cannot edit the rule or delete it. That is, once you add a processing security type to a variation margin override rule, you cannot remove it from the rule. Also, you cannot add a processing security type to a variation margin override rule if you ever held that PST in any entity to which you assigned that rule. 

To create a variation margin override rule:

  1. Ensure you created the accounting rule that you plan to associate with the variation margin override rule.
    The accounting rule must have the Rule Type field set to Variation Margin Override Rule.

  2. Do one of the following: 
    - In Portfolio Data Center, in the left navigation pane, click Portfolio Desk > Accounting Portfolio Rules > Variation Margin Rules > Create Variation Margin Override Rule.
    - In Accounting Center, in the left navigation pane, click Setup > Portfolio Rules > Variation Margin Rules > Create Variation Margin Override Rule.
    You see the Create Variation Margin Override Rule panel.

  3. Click the Rule Name box, and select the name of the accounting rule used for the variation margin override rule.

  4. In the Processing Security Type box, select the processing security type (PST) you want to associated with the variation margin override rule. Options include: 
    - FTXXXX (Future)
    - OPOPCM (Future Option)
    - SWCDCO (Credit Default Swaps)
    - SWCDCX (CDX Swap Contract)
    - SWCOCR (Currency Rate Swap Contract)
    - SWCOIF (Inflation Linked Swap Contract)
    - SWCOIR (Interest Rate Swap Contract)
    - SWLOCK (Lock Contract)
    When you select a PST, the system checks whether any holdings exist for that PST in any entity assigned that variation margin override rule name. It displays a message confirming whether you can add the PST to the rule.

  5. If you want the variation margin override rule to apply to additional PSTs, you can use the pane at the bottom of the panel, as follows:
    - Click the lower pane.
    - Right-click and select Add Rows.
    - Enter the number of rows you want to add in the Enter Rows Count dialog box and click OK. You need to add a row for each additional PST you want to associate with the rule.
    - Complete the fields on each row you added.

  6. Click Submit.

You can also assign additional processing security types to the variation margin override rule type accounting rule at a later time. 

List Variation Margin Override Rules

In the List Variation Margin Override Rule panel, you can list current variation margin override rules.

To list variation margin override rules:

  1. Do one of the following: 
    - In Portfolio Data Center, in the left navigation pane, click Portfolio Desk > Accounting Portfolio Rules > Variation Margin Rules > List Variation Margin Override Rule.
    - In Accounting Center, in the left navigation pane, click Setup > Portfolio Rules > Variation Margin Rules > List Variation Margin Override Rule.
    You see the List Variation Margin Override Rule panel.

  2. In the Rule Name field, specify an accounting rule name.
    If you do not specify a name, the results apply to all accounting rules for variation margin overrides.

  3. In the Processing Security Type field, specify the processing security type for the variation margin override rules you want to list. 
    If you do not specify a value, the results apply to variation margin override rules for all processing security types. 

  4. Click Submit.
    You see information for the variation margin override rules that met your criteria in the Show All tab.

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