WFEClear 2024
Conference Programme
Day 1 - Tue 19 Mar
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08:30 - 09:00:
Registration
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09:00 - 09:15:
Opening Remarks
Speakers
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Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
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Dr. Pedro Gurrola Perez Head of Research The World Federation of Exchanges
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09:15 - 09:30:
Speech
Speaker
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Javier Hernani Chief Executive Officer of BME & Head of Securities Services SIX
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09:30 - 10:45:
Capacity Building Session 1: From CSD to CCP
This session will offer a roadmap for financial markets in their shift to incorporating a CCP. Delving into the transition, we will focus on assessing the viability, advantages, risks, and impacts associated with integrating a CCP into the market framework. We will highlight crucial steps for a seamless transition, including the establishment or modification of operational systems and processes, collaboration with regulators, execution of testing and simulations to guarantee system and procedure preparedness, and provision of comprehensive education and training to market participants.
Moderator
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Froukelien Wendt Director for CCPs, Independent Member of the CCP Supervisory Committee European Securities and Markets Authority (ESMA)
Speakers
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Vikesh Patel President Cboe Clear Europe
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George Kormas President Canadian Derivatives Clearing Corporation (CDCC)
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Michele Hillery Managing Director, General Manager of NSCC Equity Clearing and DTC Settlement Service DTCC
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10:45 - 11:00:
Coffee break
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11:00 - 12:15:
Capacity Building Session 2: The Role, Function & Workings of the CCP
The core principles of clearing presented by experts from industry. What is the role of Central Counterparties (CCPs) and their dynamics within the market? Covering the CCP rulebook, strategies for risk management, understanding the default waterfall, the pivotal role of governance practices, the advantages of multilateral netting, the influence of incentives, and the proactive function of margin practices that provide knock-on benefits for the wider financial system.
Moderator
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Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
Speakers
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John McPartland Senior Advisor Hidden Road Partners LP
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Peter Youngman Senior Policy Advisor, Supervision Department Bank of Canada
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Jose Manuel Ortíz-Repiso Head of Clearing & Repo Operations SIX
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12:15 - 13:15:
Lunch
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13:15 - 13:30:
Speech
Speaker
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Summer Mersinger Commissioner Commodity Futures Trading Commission (CFTC)
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13:30 - 14:30:
Capacity Building Session 3: The Legal and Capital Market Frameworks
This session covers the legislative structures underpinning CCPs and the aspects that ensure legal certainty. We’ll discuss the interconnectedness of frameworks and their integration with foundational guidance such as the CPMI-IOSCO PFMIs. We’ll also cover the placement of CCPs within the sequencing of capital market infrastructure, and provide clarity on the diverse legal landscapes worldwide.
Moderator
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Robert Steigerwald Senior Policy Advisor Federal Reserve Bank of Chicago
Speakers
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Summer Mersinger Commissioner Commodity Futures Trading Commission (CFTC)
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Prof. Paolo Saguato Professor of Law Antonin Scalia Law School, George Mason University
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Vikram Kothari Managing Director, NSE Clearing National Stock Exchange of India
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14:30 - 14:45:
Coffee break
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14:45 - 15:45:
Capacity Building Session 4: Regulatory Themes in Clearing
This session will set out the main features of the regulatory regime relating to CCPs, including the Principles for Financial Market Infrastructures (PFMI) and the 2009 G20 reforms. It will also cover current policy discussions on margin practices, non-default loss arrangements, and recovery and resolution mechanisms.
Moderator
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Richard Metcalfe Head of Regulatory Affairs The World Federation of Exchanges
Speakers
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Giles Ward Senior Policy Advisor General Secretariat, International Organization of Securities Commissions (IOSCO)
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Laura Bayley Head of Clearing Services SIX
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Stéphane Janin Head of Global Regulatory Developments and Public Affairs AXA Investment Managers
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15:45 - 16:00:
Coffee Break
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16:00 - 17:00:
Capacity Building Session 5: An Introduction to Modelling and Methodologies
This session will outline how risk managers at CCPs approach clearing risk management, focusing specifically on risk modelling as part of the overall risk methodology. We will illustrate the calculation methodologies behind initial margin requirements for cleared portfolios and how these interact with market volatility to ensure the stability and robustness of a CCP. Discussions will cover the ongoing debate on procyclicality and the factors influencing margin requirements in times of market upheaval.
Moderator
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Dr. Pedro Gurrola Perez Head of Research The World Federation of Exchanges
Speakers
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Dr. David Murphy Visiting Professor, Department of Law London School of Economics (LSE)
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Javier Aguilá Head of Clearing Architecture SIX
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Udesh Jha Managing Director, Head of Post-Trade Services CME Group
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17:00 - 19:30:
Opening Reception
Day 2 - Wed 20 Mar
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08:30 - 09:00:
Registration
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09:00 - 09:30:
Academic Keynote
The Wrong War - Why we need a cease-fire in the post-Brexit fight for clearing
Speaker
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Dr. Dermot Turing Visiting Fellow Kellogg College, Oxford
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09:30 - 10:15:
Academic Paper Presentation 1: The Impulsive Approach to Procyclicality
Authors:
Dr. David Murphy, Visiting Professor, Department of Law, London School of Economics (LSE)
Dr. Pedro Gurrola-Perez, Head of Research, The World Federation of ExchangesRecent episodes of market volatility reinvigorated the policy debate about how reactive margin should be to changes in market conditions. This debate has been hampered by the lack of a generally accepted way of measuring the reactiveness of the models used to calculate initial margin. The first contribution of this paper is to introduce the impulse response function as a convenient and robust way of measuring model’s reactiveness. Using this measure, it provides significant, novel insights into the behaviour of some economically important margin models. The behaviour of two widely-used anti-procyclicality tools, the buffer and the use of a stressed period, are also analysed.
Moderator
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Dr. David Murphy Visiting Professor, Department of Law London School of Economics (LSE)
Discussant
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Ashwini Panse Chief Risk Officer, North American Clearing; Managing Director, ICE India Intercontinental Exchange, Inc. (ICE)
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10:15 - 10:30:
Coffee break
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10:30 - 11:15:
Panel 1: Implementing Effective Anti-Procyclicality Tools
This panel aims to explore the precision of measuring procyclicality and the challenges associated with Anti-Procyclicality (APC) tools. We will explore how CCPs and supervisors should determine whether an increase in margin requirements is an appropriate response, and whether tools such as overlays heighten risk by diverting CCPs from their established risk modeling guidelines. Additionally, we will address the question of how CCPs should implement a countercyclical buffer without the benefit of hindsight or precise predictions about when liquidity will be most volatile.
Moderator
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Dr. Pedro Gurrola Perez Head of Research The World Federation of Exchanges
Speakers
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Tao Chen Group Head of Quantitative Risk Management Hong Kong Exchanges & Clearing (HKEX)
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Amar Radia Head of Analytics, Financial Market Infrastructure Directorate Bank of England
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Udesh Jha Managing Director, Head of Post-Trade Services CME Group
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11:15 - 11:30:
Coffee break
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11:30 - 12:30:
Panel 2: Predictability & Transparency: Ensuring Market Preparedness
This panel will explore the CCP-to-member relationship and avenues to enhance market readiness. The group will discuss simulation exercises, effective strategies to manage concentration add-ons, and best practices in the communication of margin calls, in addition to porting arrangements, as well as changes to the regulatory landscape, such as whether regulators should adopt a more holistic view of market preparedness.
Moderator
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Dr. Richard Haynes Deputy Director, Risk Surveillance Commodity Futures Trading Commission (CFTC)
Speakers
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Dmitrij Senko Member of the Executive Board and Chief Risk Officer Eurex Clearing AG
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Meshal Al-Homaid Chief of Risk Management Muqassa, Saudi Tadawul Group
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Patrik Löhr Chief Executive Officer Nasdaq Clearing
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Dr. Shane Worner Senior Economist Investment Company Institute (ICI)
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12:30 - 13:15:
Lunch
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13:15 - 14:00:
Academic Paper Presentation 2: Unlocking Liquidity through Shortened Settlement Cycle: Empirical Evidence from India
Authors:
Aniket Bhanu, Vice President, NSE Clearing, National Stock Exchange of India
Dr. Golaka C. Nath, Professor of Economics, XIM University
Dr. Tirthankar Patnaik, Chief Economist, National Stock Exchange of IndiaMany jurisdictions across the world are considering shortening the settlement cycle in equity markets from T+2 to T+1 with the primary objective of promoting investor protection, reducing risk and improving efficiency. Shortened settlement cycles also lower the funding liquidity demand with lower margin requirements, which could unlock liquidity in less liquid stocks. Using the data from Indian markets, which incrementally migrated securities from T+2 to T+1 each month, we construct a series of quasi-natural experiments to assess impact of the move on market activity and liquidity. Our findings shed light on additional benefits of T+1 implementation and show shortening of settlement cycles as a path to improving overall market liquidity as well as widening availability of market liquidity to illiquid stocks.
Moderator
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Aniket Bhanu Vice President, NSE Clearing National Stock Exchange of India
Discussant
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Dr. Kaitao Lin Senior Financial Economist The World Federation of Exchanges
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14:00 - 14:15:
Coffee break
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14:15 - 15:00:
Academic Keynote
Clearing Practices on Unregulated Crypto Platforms
Speaker
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Carol Alexander Professor of Finance University of Sussex
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15:00 - 15:15:
View from the Practitioner
Blockchain and Distributed Ledger Technology in Financial Market Infrastructures
Speaker
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Dennis McLaughlin Independent Non-Executive Director Canadian Derivatives Clearing Corporation (CDCC) and Canadian Depository for Securities (CDS)
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15:15 - 15:30:
Coffee break
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15:30 - 16:30:
Panel 3: The Practicalities of DLT and Clearing
This panel will explore advancements in distributed ledger technology and its potential intersection with central clearing. The group will discuss the pros and cons of prefunded markets and atomic settlement, and how regulatory frameworks should be applied to novel market structures. We will examine overall ramifications for market participants, and how developments in margin and collateral collection will impact end-users.
Moderator
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Carol Alexander Professor of Finance University of Sussex
Speakers
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Maggie Sklar Principal & Founder, Sklar Strategies Managing Director, SEDA Experts
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Orly Grinfeld Executive Vice President and Head of Clearing Tel Aviv Stock Exchange (TASE)
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Randy Priem Markets & Post-Trading Unit Coordinator Belgian Financial Services & Markets Authority (FSMA)
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Lars-Göran Larsson Partner Vermiculus
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16:30 - 16:45:
Speech
Optimisation In The Clearing System - Pass Me The Toolbox
Speaker
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Burkhard Balz Member of the Executive Board Deutsche Bundesbank
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19:30 - 22:00:
Gala Dinner
Day 3 - Thu 21 Mar
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08:30 - 09:00:
Registration
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09:00 - 10:00:
Panel 4: Developing Default Fund Management
This panel will explore default fund management, highlighting its role in contributing to the resilience of clearing ecosystems, and the strategies employed by risk managers at CCPs. We will discuss the optimisation of the default fund in terms of sizing, and dive into the processes involved in stress testing, fire drills, and skin in the game, sharing best practices across the industry for validating the robustness of default fund methodologies under various market scenarios.
Moderator
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Froukelien Wendt Director for CCPs, Independent Member of the CCP Supervisory Committee European Securities and Markets Authority (ESMA)
Speakers
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Yuji Yamashita Deputy Commissioner for International Affairs Japan’s Financial Services Agency (JFSA)
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Burak Akan CCP Director, Takasbank Borsa Istanbul
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Dr. Clemens Völkert Chief Risk Officer European Commodity Clearing (ECC)
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Roberto Bermejo Head of CCP Supervision & Post-Trading Division Deputy Director Spanish National Securities Market Commission (CNMV)
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10:00 - 10:15:
Coffee break
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10:15 - 11:00:
Academic Paper Presentation 3: An innovative approach for optimising CCP default management through Agent Based Modelling
Authors:
Tao Chen, Managing Director, Head of Quantitative Risk, Hong Kong Exchanges and Clearing Limited (HKEX)
Richard Wise, Group Chief Risk Officer, Hong Kong Exchanges and Clearing Limited (HKEX)
Dingqiu Zhu, Hong Kong Exchanges and Clearing Limited (HKEX)This paper develops a rigorous model to analyse the market impact of liquidation. Invoking innovative techniques from agent-based simulation, we construct the order book’s reaction function to liquidation. The paper then develops a methodology for establishing the optimal close-out strategy which balances the velocity of positional liquidation with that consequential market reaction function. This model can be used in parallel to more traditional calculations of market volatility to ensure that the overall risk capitalisation of a CCP remains robust.
Moderators
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Richard Wise Group Chief Risk Officer Hong Kong Exchanges & Clearing (HKEX)
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Dingqiu Zhu Head of Quantitative Solutions, Quantitative Risk Management Hong Kong Exchanges & Clearing (HKEX)
Discussant
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Aniket Bhanu Vice President, NSE Clearing National Stock Exchange of India
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11:00 - 11:15:
Coffee break
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11:15 - 12:15:
Panel 5: Higher Capital & Financial Resource Requirements - Reducing or Increasing Risk?
This panel will discuss the regulatory environment surrounding financial resources and capital requirements, and whether current frameworks provide optimal outcomes for financial market stability. The group will highlight the different considerations for both CCPs and FCMs, and debate the merits of providing flexibility versus certainty in times of market stress. In particular, the panel will focus on the treatment of intermediary resources, and whether high capital requirements for clearing members will reduce access to end users.
Moderator
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John McPartland Senior Advisor Hidden Road Partners LP
Speakers
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Dr. Dermot Turing Visiting Fellow Kellogg College, Oxford
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Christy Goldsmith Romero Commissioner U.S. Commodity Futures Trading Commission
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Ashwini Panse Chief Risk Officer, North American Clearing; Managing Director, ICE India Intercontinental Exchange, Inc. (ICE)
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Pui Hoon Loh Director & Specialist Leader, Markets, Infrastructures & Intermediaries Monetary Authority of Singapore (MAS)
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12:15 - 13:30:
Lunch
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13:30 - 14:15:
Academic Paper Presentation 4: Portfolio Margining Using PCA Latent Factors
Authors:
Travis D. Nesmith, Assistant Director Chief, Quantitative Risk Analysis Section, Federal Reserve Board
Shengwu Du, Senior Economist, Quantitative Risk Analysis Section, Federal Reserve BoardFiltered historical simulation (FHS) has become more and more popular as a method to calculate initial margins at CCPs. However, traditional FHS does not explicitly address the time-varying correlation in financial return data. It also requires filtering each individual risk factor independently, which imposes a high computational burden when there is large amount of risk factors. This paper proposes a new method to estimate the portfolio margin using the filtered historical returns of latent risk factors derived from principal component analysis (PCA). We compare the model performance with traditional PCA for different simulated and constructed portfolios. Backtesting comparisons are performed using 2020 data from the COVID-19 financial crisis.
Moderator
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Dr. Shengwu Du Senior Economist, Quantitative Risk Analysis Section Federal Reserve Board
Discussant
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Dr. Elaine Zhang Assistant Professor of Finance IE Business School
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14:15 - 14:30:
Coffee break
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14:30 - 15:30:
Panel 6: Opportunities And Challenges From IT Development And Third Party Management
This panel will explore the evolving landscape of post-trade operations and the impact of technology on CCP risk management practices. The session will outline best practices concerning third-parties, as well as other considerations to ensure the security and resilience of CCP operations during technological transformations. We will discuss the latest technological advancements in post-trade IT, the ongoing transition of CCPs towards cloud service providers, and how the clearing businesses of the future will be aligned to regulatory frameworks for operational resilience.
Moderator
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Dr. Alicia Greenwood Chief Executive Officer, JSE Clear, and Director of Post Trade Services Johannesburg Stock Exchange
Speakers
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Nancy Doyle Senior Special Counsel Commodity Futures Trading Commission (CFTC)
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Vishal Thakkar Chief Risk Officer Options Clearing Corporation (OCC)
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Takeshi Shirakami Deputy Head of the Secretariat of Committee on Payments and Market Infrastructures (CPMI) Bank for International Settlements (BIS)
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Iosif Itkin Chief Executive Officer and Co-Founder Exactpro
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15:30 - 15:45:
Concluding Remarks & Announcement of WFEClear 2025
Speakers
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Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
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Dr. Pedro Gurrola Perez Head of Research The World Federation of Exchanges
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Ki-Kyung Kim President, Management Strategy Division Korea Exchange (KRX)
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15:45 - 16:00:
Coffee break
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16:00 - 17:30:
CCP Working Group Meeting
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17:30 - 19:30:
Farewell Reception