Based on research performed with EACH Members’ CCPs, the paper analyses the performance of CCPs during one of the largest market shocks in history and highlights the role played by CCPs in continuing to contribute to greater market stability and transparency even in times of crisis. This note also examines the measures taken by CCPs as well as the performance of CCPs’ margins and anti-procyclicality measures during this highly volatile market stress period and concludes by looking at lessons that could be learned for the future.
Some of the paper’s key findings are:
- Resilient CCP performances were ensured by measures taken by CCPs in response to the COVID-19 crisis that considered employee safety, robust risk management and communication with authorities and market participants.
- CCPs margins responded largely as designed and remained well above regulatory thresholds. Margin increases (variation and initial) were largely due to high volatility and position change. CCPs will continue to consider the impact of margins on market liquidity.
- Existing APC measures helped with the CCPs’ robust response to the COVID-19 market stress, and CCPs will consider potential improvements that can be considered in review these APC measures.