WFEClear 2024

Conference Programme


Day 1 - Tue 19 Mar

  • 08:30 - 09:00:

    Registration

  • 09:00 - 09:15:

    Opening Remarks


    Speakers
    • Nandini
      Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
    • Dr. Pedro
      Dr. Pedro Gurrola Perez Head of Research The World Federation of Exchanges
  • 09:15 - 09:30:

    Speech


    Speaker
    • Javier
      Javier Hernani Chief Executive Officer of BME & Head of Securities Services SIX
  • 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
    • Froukelien
      Froukelien Wendt Director for CCPs, Independent Member of the CCP Supervisory Committee European Securities and Markets Authority (ESMA)

    Speakers
    • George
      George Kormas President Canadian Derivatives Clearing Corporation (CDCC)
    • Michele
      Michele Hillery Managing Director, General Manager of NSCC Equity Clearing and DTC Settlement Service DTCC
  • 10:45 - 11:00:

    Coffee break

  • 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
    • Nandini
      Nandini Sukumar Chief Executive Officer The World Federation of Exchanges

    Speakers
    • John
      John McPartland Senior Advisor Hidden Road Partners LP
    • Peter
      Peter Youngman Senior Policy Advisor, Supervision Department Bank of Canada
    • Jose Manuel
      Jose Manuel Ortíz-Repiso Head of Clearing & Repo Operations SIX
  • 12:15 - 13:15:

    Lunch

  • 13:15 - 13:30:

    Speech


    Speaker
    • Summer
      Summer Mersinger Commissioner Commodity Futures Trading Commission (CFTC)
  • 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
    • Robert
      Robert Steigerwald Senior Policy Advisor Federal Reserve Bank of Chicago

    Speakers
    • Summer
      Summer Mersinger Commissioner Commodity Futures Trading Commission (CFTC)
    • Prof. Paolo
      Prof. Paolo Saguato Professor of Law Antonin Scalia Law School, George Mason University
    • Vikram
      Vikram Kothari Managing Director, NSE Clearing National Stock Exchange of India
  • 14:30 - 14:45:

    Coffee break

  • 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
    • Richard
      Richard Metcalfe Head of Regulatory Affairs The World Federation of Exchanges

    Speakers
    • Giles
      Giles Ward Senior Policy Advisor General Secretariat, International Organization of Securities Commissions (IOSCO)
    • Laura
      Laura Bayley Head of Clearing Services SIX
    • Stéphane
      Stéphane Janin Head of Global Regulatory Developments and Public Affairs AXA Investment Managers
  • 15:45 - 16:00:

    Coffee Break

  • 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
    • Dr. Pedro
      Dr. Pedro Gurrola Perez Head of Research The World Federation of Exchanges

    Speakers
    • Dr. David
      Dr. David Murphy Visiting Professor, Department of Law London School of Economics (LSE)
    • Javier
      Javier Aguilá Head of Clearing Architecture SIX
    • Udesh
      Udesh Jha Managing Director, Head of Post-Trade Services CME Group
  • 17:00 - 19:30:

    Opening Reception

Day 2 - Wed 20 Mar

  • 08:30 - 09:00:

    Registration

  • 09:00 - 09:30:

    Academic Keynote

    The Wrong War - Why we need a cease-fire in the post-Brexit fight for clearing


    Speaker
    • Dr. Dermot
      Dr. Dermot Turing Visiting Fellow Kellogg College, Oxford
  • 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 Exchanges

    Recent 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
    • Dr. David
      Dr. David Murphy Visiting Professor, Department of Law London School of Economics (LSE)

    Discussant
    • Ashwini
      Ashwini Panse Chief Risk Officer, North American Clearing; Managing Director, ICE India Intercontinental Exchange, Inc. (ICE)
  • 10:15 - 10:30:

    Coffee break

  • 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
    • Dr. Pedro
      Dr. Pedro Gurrola Perez Head of Research The World Federation of Exchanges

    Speakers
    • Tao
      Tao Chen Group Head of Quantitative Risk Management Hong Kong Exchanges & Clearing (HKEX)
    • Amar
      Amar Radia Head of Analytics, Financial Market Infrastructure Directorate Bank of England
    • Udesh
      Udesh Jha Managing Director, Head of Post-Trade Services CME Group
  • 11:15 - 11:30:

    Coffee break

  • 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
    • Dr. Richard
      Dr. Richard Haynes Deputy Director, Risk Surveillance Commodity Futures Trading Commission (CFTC)

    Speakers
    • Dmitrij
      Dmitrij Senko Member of the Executive Board and Chief Risk Officer Eurex Clearing AG
    • Meshal
      Meshal Al-Homaid Chief of Risk Management Muqassa, Saudi Tadawul Group
    • Patrik
      Patrik Löhr Chief Executive Officer Nasdaq Clearing
    • Dr. Shane
      Dr. Shane Worner Senior Economist Investment Company Institute (ICI)
  • 12:30 - 13:15:

    Lunch

  • 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 India

    Many 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
    • Aniket
      Aniket Bhanu Vice President, NSE Clearing National Stock Exchange of India

    Discussant
    • Dr. Kaitao
      Dr. Kaitao Lin Senior Financial Economist The World Federation of Exchanges
  • 14:00 - 14:15:

    Coffee break

  • 14:15 - 15:00:

    Academic Keynote

    Clearing Practices on Unregulated Crypto Platforms


    Speaker
    • Carol
      Carol Alexander Professor of Finance University of Sussex
  • 15:00 - 15:15:

    View from the Practitioner

    Blockchain and Distributed Ledger Technology in Financial Market Infrastructures


    Speaker
    • Dennis
      Dennis McLaughlin Independent Non-Executive Director Canadian Derivatives Clearing Corporation (CDCC) and Canadian Depository for Securities (CDS)
  • 15:15 - 15:30:

    Coffee break

  • 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
    • Carol
      Carol Alexander Professor of Finance University of Sussex

    Speakers
    • Maggie
      Maggie Sklar Principal & Founder, Sklar Strategies Managing Director, SEDA Experts
    • Orly
      Orly Grinfeld Executive Vice President and Head of Clearing Tel Aviv Stock Exchange (TASE)
    • Randy
      Randy Priem Markets & Post-Trading Unit Coordinator Belgian Financial Services & Markets Authority (FSMA)
  • 16:30 - 16:45:

    Speech

    Optimisation In The Clearing System - Pass Me The Toolbox


    Speaker
    • Burkhard
      Burkhard Balz Member of the Executive Board Deutsche Bundesbank
  • 19:30 - 22:00:

    Gala Dinner

Day 3 - Thu 21 Mar

  • 08:30 - 09:00:

    Registration

  • 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
    • Froukelien
      Froukelien Wendt Director for CCPs, Independent Member of the CCP Supervisory Committee European Securities and Markets Authority (ESMA)

    Speakers
    • Yuji
      Yuji Yamashita Deputy Commissioner for International Affairs Japan’s Financial Services Agency (JFSA)
    • Burak
      Burak Akan CCP Director, Takasbank Borsa Istanbul
    • Dr. Clemens
      Dr. Clemens Völkert Chief Risk Officer European Commodity Clearing (ECC)
    • Roberto
      Roberto Bermejo Head of CCP Supervision & Post-Trading Division Deputy Director Spanish National Securities Market Commission (CNMV)
  • 10:00 - 10:15:

    Coffee break

  • 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
    • Richard
      Richard Wise Group Chief Risk Officer Hong Kong Exchanges & Clearing (HKEX)
    • Dingqiu
      Dingqiu Zhu Head of Quantitative Solutions, Quantitative Risk Management Hong Kong Exchanges & Clearing (HKEX)

    Discussant
    • Aniket
      Aniket Bhanu Vice President, NSE Clearing National Stock Exchange of India
  • 11:00 - 11:15:

    Coffee break

  • 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
    • John
      John McPartland Senior Advisor Hidden Road Partners LP

    Speakers
    • Dr. Dermot
      Dr. Dermot Turing Visiting Fellow Kellogg College, Oxford
    • Christy
      Christy Goldsmith Romero Commissioner U.S. Commodity Futures Trading Commission
    • Ashwini
      Ashwini Panse Chief Risk Officer, North American Clearing; Managing Director, ICE India Intercontinental Exchange, Inc. (ICE)
    • Pui Hoon
      Pui Hoon Loh Director & Specialist Leader, Markets, Infrastructures & Intermediaries Monetary Authority of Singapore (MAS)
  • 12:15 - 13:30:

    Lunch

  • 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 Board

    Filtered 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
    • Dr. Shengwu
      Dr. Shengwu Du Senior Economist, Quantitative Risk Analysis Section Federal Reserve Board

    Discussant
    • Dr. Elaine
      Dr. Elaine Zhang Assistant Professor of Finance IE Business School
  • 14:15 - 14:30:

    Coffee break

  • 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
    • Dr. Alicia
      Dr. Alicia Greenwood Chief Executive Officer, JSE Clear, and Director of Post Trade Services  Johannesburg Stock Exchange

    Speakers
    • Nancy
      Nancy Doyle Senior Special Counsel Commodity Futures Trading Commission (CFTC)
    • Vishal
      Vishal Thakkar Chief Risk Officer Options Clearing Corporation (OCC)
    • Takeshi
      Takeshi Shirakami Deputy Head of the Secretariat of Committee on Payments and Market Infrastructures (CPMI) Bank for International Settlements (BIS)
    • Iosif
      Iosif Itkin Chief Executive Officer and Co-Founder Exactpro
  • 15:30 - 15:45:

    Concluding Remarks & Announcement of WFEClear 2025


    Speakers
    • Nandini
      Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
    • Dr. Pedro
      Dr. Pedro Gurrola Perez Head of Research The World Federation of Exchanges
    • Ki-Kyung
      Ki-Kyung Kim President, Management Strategy Division Korea Exchange (KRX)
  • 15:45 - 16:00:

    Coffee break

  • 16:00 - 17:30:

    CCP Working Group Meeting

  • 17:30 - 19:30:

    Farewell Reception