Don’t blame CCPs’ models for Covid margin spikes – WFE

Lobby group counters popular view that tools could ease procyclicality; puts focus on liquidity management

Coronavirus

Exchange models could have done little to prevent dramatic Covid-related spikes in margin requirements on popular futures products, finds new research from an exchange lobby group. Such tools are unable to completely eradicate all traces of procyclicality, argues the World Federation of Exchanges, and banks concerned at resulting funding stresses should instead pay closer attention to their liquidity management practices.

In the paper – Procyclicality of CCP margin models: systemic problems

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: