Don’t blame CCPs’ models for Covid margin spikes

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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

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