期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2021
卷号：2021
语种：English
出版社：European Central Bank
摘要：Margin requirements on derivatives portfolios increased significantly in March 2020, exacerbating liquidity stress as entities took action to meet margin demands. In particular, some non-bank financial entities met margin calls by redeeming shares in money market funds, selling bonds or borrowing in repo markets. [1] Extraordinary interventions by public authorities were ultimately crucial in stemming stress in these markets. [2] While margin consists of two main components – initial margin and variation margin – this box focuses on initial margin (IM), since it is subject to model risk and depends heavily on the calibration choices of central counterparties (CCPs) (for centrally cleared transactions) or counterparties (for non-centrally cleared transactions). [3] As IMs are calibrated to reflect possible future changes in market prices, they are sensitive to market volatility. However, if IMs are overly procyclical (too low in good times and/or too high in bad times), their movements can amplify liquidity stress and lead to selling pressures in financial markets.
