Published On: Wed, Feb 8th, 2017

FX swap margin treatment uncertain ahead of VM deadline


A touch of the surreal has descended upon the market for foreign exchange swaps in recent weeks, as participants ponder whether the instrument ever truly existed. This existential angst stems from the incoming derivatives margin rules. In Europe, most counterparties will have to pay variation margin on FX swap positions from March 1. Many buy-side users, however, book the instrument as a forward…

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