In a Webinar May 15th, a panel explores how anti-procyclicality margin measures for CCPs are evolving and what additional changes are needed to better mitigate risks in future periods of market volatility. Watch the recording now
Recent market volatility and consequent spikes in margin calls have renewed the industry’s and regulator’s focus on margin procyclicality within a CCPs. Last year, ESMA proposed revised technical standards that intend to harmonise procedures and policies for both selecting and reviewing anti-procyclicality margin measures.
These proposals follow on the heels of various industry papers and reviews proposing recommendations for improving margin practices, including the tools CCPs use to address margin procyclicality during periods of high market volatility. Recommendations call for both greater transparency of how margin models operate within a CCP and the need to address limitations of current methods for measuring CCP Initial Margin model responsiveness in times of market stress.
In a webinar, a panel explores the current recommendations for improving CCP margin procyclicality and how all stakeholders – CCPs, Clearing Members and Clients – can work together to improve the anti-procyclicality procedures and tools to mitigate risk in the future.
Topics covered:
- What is margin procyclicality and how is it currently managed across both IM and VM models?
- What are the current initiatives and technical standards calling for?
- What are the differing regulatory views on anti-procyclicality measures across different jurisdictions?
- Where do current anti-procyclicality measures fall short? What are some of the limitations of existing practices and models used?
- Why does the industry need to improve anti-procyclicality tools across both multilateral and bilateral markets?
- What are the next steps for the industry including CCPs, Clearing Members and Clients?
Speakers:
- Richard Metcalfe, Head of Regulatory Affairs, World Federation of Exchanges (WFE)
- Joshua Hurley, Director, Banks and Markets, Davies Group
- Moderator: Julia Schieffer, Managing Editor, DerivSource.com
Watch now
Related Reading:
Transparency and responsiveness of initial margin in centrally cleared markets: review and policy proposals (Jan 2024) https://www.bis.org/bcbs/publ/d568.htm
WFE’s recent paper – “The Impulsive Approach to Procyclicality” (April 2024) https://www.world-exchanges.org/our-work/articles/impulsive-approach-procyclicality
Review of Margining Practices (BCBS + CPMI + IOSCO) (2022) https://www.bis.org/bcbs/publ/d537.pdf
FSB Holistic Review of the March Market Turmoil (2020) https://www.fsb.org/wp-content/uploads/P171120-2.pdf
Mitigating margin procyclicality: the effectiveness of anti-procyclicality measures during the Covid-19 stress event (2023) – https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4423056
Regulators Set Boundaries for Initial Margin – DerivSource (Apr 2023)
https://derivsource.com/2024/01/22/regulators-set-boundaries-for-initial-margin-ccps-derivatives-bis-bcbs-iosco-resilience/
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