“CCP Margins have increased over these periods of volatility, which is one of the strong risk protection measures embedded in CCPs.” – Christian Lee.
The last few years have continued to test the resilience of Central Counterparties (CCPs). There have been significant periods of both broad and product-specific volatility, starting with the COVID meltdown, through meme-gate, and into the energy and gilt crises in 2022. Each time, the expectations of ‘extreme but plausible’ have fundamentally been tested. The strength of CCPs has been clear through this period, but there are undoubtedly some bruises across the market.
CCP Margins have increased over these periods of volatility, which is one of the strong risk protection measures embedded in CCPs. CCPs are trying to continually forecast the future path of prices to a given level of confidence, and so in periods of high volatility, users should expect higher margins.
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