Building on the requirements for margining and haircut-setting practices in the PFMI, we will now go further by requiring CCPs to take a holistic approach to addressing the issue within their risk management frameworks. The guidance will also point out that a CCP is expected to measure procyclicality by using quantitative metrics, and to include considerations related to procyclicality in its model validation process.
One open question is whether we should raise the bar even further by establishing minimum, binding margin floors, as is now the case for non-centrally cleared securities financing transactions.5 I trust our panellists will share their insights on this issue.