ESRB international conference on the macroprudential use of margins and haircuts

6 June 2016

Frankfurt am Main

Webcast of the keynote speech by Vítor Constâncio


This conference aims to gather the views of policymakers, representatives from academia and market participants from different jurisdictions on the use of margins and haircuts as potential new instruments, and the main benefits and challenges in applying them for macroprudential purposes.

It will be held under the Chatham House Rule and is open to representatives of the industry, authorities and international organisations.

The keynote speech by ECB Vice-President Vítor Constâncio can be watched live from 10:00 CET in the player at the top of this page.


Monday, 6 June 2016



Francesco Mazzaferro, Head of Secretariat, ESRB
Pietro Stecconi, Banca d’Italia, Chair of ESRB Task Force on Central Counterparties (CCPs)


Keynote speech

Vítor Constâncio, Vice President, European Central Bank (ECB)


Session 1
Pro-cyclical haircuts and margins

This session will set the stage for the conference by means of presentations from academia and central banks on the implications of pro-cyclical haircuts and margins and the role of collateral requirements in financial and synthetic leverage.

John Geanakoplos, James Tobin Professor of Economics, Yale University

Nicolae Gârleanu, Professor of Finance, University of California, Berkeley
Moritz Seidel, Financial Stability Department, Deutsche Bundesbank

Coffee break

Session 2
Non-centrally cleared transactions – an area for macroprudential intervention?

This session covers the issues of minimum haircuts on non-centrally cleared securities financing transactions (SFTs) and margin requirements for non-centrally cleared derivatives. The session focuses on the potential use for counter-cyclical purposes of such measures and what aspects are important to consider in the development of such instruments

Tuomas Peltonen, Deputy Head of the ESRB Secretariat

Giuseppe Siani, Deputy Director General, Microprudential Supervision IV, ECB
Yasushi Shiina, Member of Secretariat, Financial Stability Board (FSB)
Nick Steele, Managing Director, Collateral Optimisation, Barclays
Marcello Topa, EMEA Market Policy and Strategy, Citibank


Session 3
Centrally cleared transactions – an area for macroprudential intervention?

This session will focus on the experience gained from dealing with the existing regulatory framework for centrally cleared derivatives and SFTs. The panellists will discuss whether the elements in place can effectively address pro-cyclicality and the possible need, if any, for further measures.

Pietro Stecconi, Banca d’Italia, Chair of ESRB Task Force on CCPs

Udesh Jha, Chief Risk Officer, CME Clearing Europe
Shuji Kobayakawa, Associate Director-General, Payment and Settlement Systems, Bank of Japan
Dennis McLaughlin, Group Chief Risk Officer, LCH.Clearnet
Fabrizio Planta, Team Leader Post-Trading, European Securities and Markets Authority (ESMA)
Daniela Russo, Chief Markets and Payments Oversight Policy Officer, ECB, and Co-Chair of the CPMI-IOSCO Policy Standing Group

Coffee break

Policy panel discussion
making progress with new macroprudential instruments

The high-level policy panel will discuss how the global standard-setters and financial stability institutions view the potential use of margins and haircuts as macroprudential instruments. What policy or analytical work will be needed to advance this and what would be the appropriate fora? Do we need a set of global macroprudential standards on the triggers for intervention and for implementing such measures? And how does macroprudential regulation for the banking sector differ on this issue?

Benoît Cœuré, ECB Executive Board member, and Chair of the BIS Committee on Payments and Market Infrastructures (CPMI)

Svein Andresen, Secretary General, FSB
Richard Berner, Director, Office of Financial Research, Washington, DC
Tomas Garbaravičius, Member of the Board, Bank of Lithuania
Steven Maijoor, Chair, ESMA


Closing remarks

Francesco Mazzaferro, Head of Secretariat, ESRB


End of conference

This programme may be subject to change without notice.