00000nam 2200000za 4500 9.824057 CaOODSP 20221107144034 cr ||||||||||| 160913s2016 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-6/2016-18E-PDF Chande, Nikil. Using speed and credit limits to address the procyclicality of initial margin at central counterparties [electronic resource] / by Nikil Chande and Nicholas Labelle St-Pierre. [Ottawa] : Bank of Canada, c2016. ii, 24 p. : graphs. Staff discussion paper, 1914-0568 ; 2016-18 "September 2016." Includes bibliographical references. "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. Text in English, abstract in English and French. gccst Financial analysis St-Pierre, Nicholas Labelle. Bank of Canada. Staff discussion paper (Bank of Canada) 2016-18 (CaOODSP)9.806273 PDF 1.12 MB https://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-6-2016-18-eng.pdf