Variation Margin Global Processing Notes
These events will be scheduled to run automatically in production, but can be triggered manually via Global Process Center (prior to V17) or Accounting Center > 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 nullExample: 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 toNo
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:Â 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 approvalAccumulated
: 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).