000	02011cam  2200301za 4500
001	9.824057
003	CaOODSP
005	20221107144034
007	cr |||||||||||
008	160913s2016    oncd    ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
043	|an-cn---
086	1 |aFB3-6/2016-18E-PDF
100	1 |aChande, Nikil.
245	10|aUsing speed and credit limits to address the procyclicality of initial margin at central counterparties |h[electronic resource] / |cby Nikil Chande and Nicholas Labelle St-Pierre.
260	|a[Ottawa] : |bBank of Canada, |cc2016.
300	|aii, 24 p. : |bgraphs.
490	1 |aStaff discussion paper, |x1914-0568 ; |v2016-18
500	|a"September 2016."
504	|aIncludes bibliographical references.
520	3 |a"This paper proposes a practical approach to address the procyclicality of initial margin at central counterparties (CCPs) that can work even in periods of extreme stress. The approach allows CCPs to limit the speed of margin increases resulting from spikes in market volatility. To maintain the desired level of risk protection, the model covers, through loss-sharing arrangements, a chosen number of the largest shares of the margin increases that are deemed procyclical. To facilitate adoption of this approach, we allow loss sharing to be capped through the allocation of bilateral credit limits. We undertake an empirical exercise to demonstrate that, even with conservative assumptions, the proposed approach can generate significant margin relief without generating losses that cannot be absorbed by clearing members" - Abstract - p.ii.
546	|aText in English, abstract in English and French.
692	07|2gccst|aFinancial analysis
700	1 |aSt-Pierre, Nicholas Labelle.
710	2 |aBank of Canada.
830	#0|aStaff discussion paper (Bank of Canada)|v2016-18|w(CaOODSP)9.806273
856	40|qPDF|s1.12 MB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-6-2016-18-eng.pdf