AMF publishes paper which analyses liquidity risk from margin calls in March 2020

Occasional paper published based on analysis of derivatives portfolios managed by Dutch asset managers


The Netherlands Authority for the Financial Markets (AFM) publishes an Occasional Paper with the title "Liquidity risk from margin calls in March 2020. An analysis of derivatives portfolios managed by Dutch asset managers". 
The key findings of the paper are as follows:

  • Dutch asset managers manage large derivatives portfolios
  • Managers hit liquidity limits with margin calls in March 2020
  • ECB purchase programme averts major threats
  • Larger stress scenario reveals more serious liquidity problems
  • AFM also points to additional safeguards and market improvements

For the full paper, please follow this link.