A Federal Reserve document proposes setting initial margin weights for cryptocurrency derivatives.

PANews reported on February 13th, citing Cointelegraph, that a new analysis report released by the Federal Reserve on Wednesday proposes that cryptocurrencies should be classified as a separate asset class for initial margin requirements in the "unsettled" derivatives market (including over-the-counter transactions and other transactions not conducted through a centralized clearinghouse). The report points out that floating crypto assets such as Bitcoin and Ethereum, as well as pegged crypto assets such as stablecoins, exhibit significantly different volatility compared to traditional asset classes, making them unsuitable for the existing risk classifications used in standardized initial margin models for interest rates, stocks, foreign exchange, and commodities.

The authors suggest assigning differentiated risk weights to these two types of crypto assets and calibrating more accurate risk weights by constructing a benchmark index with equal weighting for floating digital assets and pegged stablecoins, serving as a proxy variable to simulate crypto market volatility and behavior. Initial margin is a core risk control mechanism in derivatives markets, requiring traders to pledge collateral to mitigate counterparty default risk. The high volatility of crypto assets means traders need to provide a higher proportion of collateral buffers. This report reflects the technical preparations being made at the US federal level for integrating crypto assets into the existing regulatory framework.