This study analyzes the effect of asset prices on the daily exchange of profit and loss from derivatives contracts in central clearing, called variation margin (VM). It provides empirical evidence that the VM exhibits a high volatility and a significant relation to changes in market prices. The magnitude of VM procyclicality has significant implications for systemic risk. This study analytically shows that an internal loan facility can reduce liquidity hoarding and external funding during stress periods and thus contribute to contain systemic risk. In addition, this study proposes a new scheme called the posting of variation margin in securities (PVMS) clause as an example of internal loan facility between the contract counterparties. The PVMS can replace cash VM payments with collateral posting in times of market stress.

本研究分析了资产价格对中央清算中衍生品合约每日损益交换的影响，称为变动保证金（VM）。它提供了经验证据，表明 VM 表现出高波动性并且与市场价格变化存在显着关系。VM 顺周期性的大小对系统性风险具有重大影响。这项研究分析表明，内部贷款便利可以减少压力时期的流动性囤积和外部融资，从而有助于遏制系统性风险。此外，本研究提出了一种称为证券变动保证金条款（PVMS）的新方案，作为合同对手方之间内部贷款便利的示例。在市场压力时期，PVMS 可以用抵押品过账取代现金 VM 支付。