CCP margining not procyclical, research suggests

Excess collateral acts as buffer in 10 years of data at unnamed CCP

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Cyclicality of CCP margining is the topic of new paper

Fears that clearing houses could fuel a future crisis are challenged in new research showing consistent and massive over-collateralisation at one central counterparty (CCP). The result was that margin requirements – a potential source of stress – proved less pro-cyclical than expected.

For their study, Olga Lewandowska and Florian Glaser of Goethe University Frankfurt, examined 10 years of daily transaction and margin data from an unnamed CCP, plotting it against moves in a systemic stress

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