Frankel: new QIS needed to avoid pro-cyclical margin

Future crisis could see non-cleared swap margin double, says Goldman exec

Bilateral margin could be procyclical

Regulators should conduct a second impact study in order to ensure margin rules for non-cleared derivatives do not exacerbate a future crisis, according to Oliver Frankel, managing director for derivatives risk at Goldman Sachs, who was speaking today at the annual meeting of the International Swaps and Derivatives Association in Munich.

Frankel said the pro-cyclical effects of the new margining regime, in which market participants will collect collateral from their counterparties as calculated

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