WFEClear 2025
Conference Programme
Day 1 - Tue 01 Apr
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08:30 - 09:00:
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09:00 - 09:30:
Opening Remarks
Speakers
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09:30 - 09:40:
Speech
Changes in the Global Financial Environment and the Role of CCPs
Moderator
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09:40 - 10:55:
Capacity Building Session 1: 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
Speakers
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10:55 - 11:10:
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11:10 - 12:25:
Capacity Building Session 2: From CSD to CCP: At what stage is creating a CCP beneficial?
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
Speakers
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12:25 - 13:40:
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13:40 - 14:00:
Fireside Chat with CFTC Commissioner Christy Goldsmith Romero
Speakers
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14:00 - 15:15:
Capacity Building Session 3: The Legal & Regulatory Framework
This session covers the legal and supervisory arrangements that provide a solid foundation for capital markets generally, and CCPs in particular. We 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. We’ll also cover current policy discussions on margin practices, non-default loss arrangements, and recovery and resolution mechanisms.
Moderator
Speakers
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15:15 - 15:30:
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15:30 - 16:45:
Capacity Building Session 4: 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
Speakers
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18:00 - 20:30:
Day 2 - Wed 02 Apr
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08:30 - 09:00:
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09:00 - 09:45:
Speech
Speaker
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09:45 - 10:00:
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10:00 - 11:00:
Panel: Pittsburgh, 15 years and counting – how is the clearing mandate working?
This discussion will reflect on lessons learned from the implementation of mandatory clearing for OTC derivatives and assess its implications for broader financial markets, such as treasuries. Key topics include impacts on systemic resilience and market transparency, as well as considerations for market participants, and the potential effects of mandates on liquidity, pricing, and operations in both primary and secondary markets. Was the OTC derivatives mandate calibrated correctly? Where are the natural limits of clearing mandates? We will also discuss the integration of treasury securities clearing with futures, swaps, and other products to optimise margin efficiency and reduce risk across asset classes, analyse the feasibility and implications of government bond clearing in jurisdictions beyond the US, and conduct a forward-looking examination of whether additional instruments should fall under mandatory clearing requirements.
Moderator
Speakers
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11:00 - 11:15:
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11:15 - 12:00:
Academic Paper Presentation
Unveiling the Sophistication: Understanding Retail Investors' Trading Behavior in the U.S. Options Market
This paper explores retail trading in U.S. options markets, addressing key limitations in existing research, including flawed data proxies, calculation missteps, and assumptions about market dynamics. Challenging the notion that retail investors primarily engage in simple long options, we highlight their use of complex orders and risk management techniques. Using Cboe data and an extended timeframe, this study offers insights that refine our understanding of retail trading sophistication and behavior.
Moderator
Discussant
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12:00 - 13:30:
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12:30 - 13:30:
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13:30 - 14:30:
Panel: Clearing 24/7 Trading - Challenges & Prerequisites
This panel explores the challenges and prerequisites for CCPs for 24/7 clearing, focusing on operational resilience, liquidity management, and technology. Does the cost/benefit analysis make sense? How is margin collected overnight? Will different risk models be needed for different times of the day? What is the optimal frequency for netting? The panel will discuss required enhancements to operational resilience to ensure round-the-clock system stability and effective default management outside traditional market hours, as well as liquidity management vis a vis the complexities of intraday and overnight margin calls, and liquidity provision across different time zones. Our panellists will also address whether CCPs would need access to central bank deposit accounts to enhance liquidity, reduce settlement risk, and support continuous clearing, while weighing the regulatory and systemic implications.
Moderator
Speakers
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14:30 - 14:45:
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14:45 - 15:30:
Academic Paper Presentation
The Effect of DLT Settlement Latency on Market Liquidity
This paper investigates the causal relationship between settlement latency introduced by permissionless Distributed Ledger Technology (DLT) and cryptocurrency market liquidity. We identify blockchain mining power as an instrumental variable for DLT settlement latency and find that settlement latency significantly lowers liquidity. We also document that such latency reduces the adverse selection costs and increases the inventory management costs faced by liquidity suppliers. The findings highlight the trade-off between decentralized, near instantaneous settlement cycles offered by DLT and the potential adverse impacts on market quality.
Moderator
Discussant
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15:30 - 15:45:
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15:45 - 16:45:
Panel: Predicting The Future CCP: DLT, Atomic Settlement, Disintermediation, and Auto-Liquidation
This panel will examine how emerging technologies—such as Distributed Ledger Technology (DLT), disintermediated clearing, and auto-liquidation—may reshape the future of CCPs. What efficiencies and cost savings could blockchain and smart contracts unlock? How can interoperability between DLT platforms and traditional clearinghouses be achieved? Discussions will also address the sustainability of disintermediated models, regulatory gaps, and the effects of automation on market stability. Is there market demand for such services? Which market segments are most likely to embrace these innovations, and where will resistance be strongest? If intermediaries are displaced, how will CCPs evolve, and will this lead to greater market fragmentation or improved efficiency?
Moderator
Speakers
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18:30 - 21:30:
Day 3 - Thu 03 Apr
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08:30 - 09:00:
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09:00 - 10:00:
Panel: Artificial Intelligence in Clearing
This panel explores the role of Artificial Intelligence at CCPs, and how AI-driven solutions may influence operational efficiency and decision-making in central clearing. Attendees will gain insights on potential uses in areas such as margining practices and predictive analytics, as well the challenges of integrating AI into traditional clearing systems. How should AI models be monitored? To what extent can AI models operate on their own? The panel will discuss how to maintain transparency in AI models, manage regulatory compliance in a rapidly evolving technological environment, and navigate the associated complexities of data governance and cybersecurity.
Moderator
Speakers
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10:00 - 10:15:
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10:15 - 11:00:
Academic Paper Presentation
Covariance-Filtered Historical Simulation using Simultaneous Diagonalization
We introduce an extension to filtered historical simulation (FHS) for risk-measure calculation, called Orthogonal-FHS. By applying an orthogonal transformation to the returns of the classical FHS, the Orthogonal-FHS automatically filters the correlation of the risk factors. We describe a generic framework for the Orthogonal-FHS and show under which conditions it offers robust risk measures. Using a simultaneous diagonalization algorithm we implement an Orthogonal-VaR and show its effectiveness on both simulated and empirical data.
Moderator
Discussant
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11:00 - 11:15:
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11:15 - 12:15:
Panel: Aligning CCP Enterprise Risk Management at Group Level
This panel explores how CCPs within market infrastructure groups align enterprise risk management (ERM) at the group level while maintaining subsidiary autonomy. Discussions will cover governance, risk identification, operational resilience, regulatory alignment, and technology integration. Key questions include how subsidiaries share risk practices, balance local and group oversight, and ensure consistency across diverse markets. What are the fundamental principles of ERM? How does the group model compare with the ERM for standalone CCPs? The audience will gain insights into fostering unified risk cultures, leveraging technology, and managing cross-border regulatory challenges to enhance overall group resilience.
Moderator
Speakers
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12:15 - 13:30:
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13:30 - 14:15:
Academic Paper Presentation
The effect of clearing de-fragmentation on fragmented trading
In many markets, trading occurs across multiple exchanges or trading venues, leading to fragmentation. Central counterparty (CCP) clearing can either mirror this fragmentation or be consolidated through a single CCP or multiple interoperable CCPs. This paper examines the impact of choice of clearing model on trader behaviour under trading fragmentation. The paper shows that when the inter-exchange arbitrage costs are high, informed traders may prefer supplying liquidity on less liquid exchange. However, when such costs are reduced on account of netting after consolidation of clearing, they prefer supplying liquidity on more liquid exchange instead. Using data from implementation of CCP interoperability in India, the paper shows that clearing de-fragmentation improves price informativeness, narrows bid-ask spreads, and improves welfare by reducing adverse selection for uninformed traders.
Moderator
Discussant
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14:15 - 14:30:
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14:30 - 15:30:
Panel: Consolidation, Integration, and Interoperability
This panel will explore the future of post-trade infrastructure, weighing the benefits of market consolidation and integration versus fostering interoperability and open access. What challenges exist? How do legislative frameworks impact prospects for consolidation? Our panellists will also discuss the impact of vertical integration on transparency, risk management, and clearing members, and outline whether post-trade consolidation is a viable route to boost competitiveness.
Moderator
Speakers
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15:30 - 15:45:
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15:45 - 16:30:
Academic Paper Presentation
Betting Against the Crowd: Option Trading and Market Risk Premium
We find aggregate equity call options order imbalance (ACIB) is a strong predictor of stock market returns from days to months. Further evidence indicates that ACIB tends to reflect sentiment from retail investors. Market timing strategies based on ACIB can achieve superior performance compared to the buy-and-hold investment. We document consistent results using stock market returns from fourteen alternative financial markets.
Moderator
Discussant
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16:30 - 16:45:
Concluding Remarks & Announcement of WFEClear 2026
Moderators
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17:00 - 20:00:
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17:00 - 18:00:
