This BCBS-CPMI-IOSCO consultative report looks at margin calls in March and April 2020, margin practice transparency, predictability and volatility across various jurisdictions and markets, as well as market participants' liquidity management preparedness.
It is part of the
Financial Stability Board's work programme to enhance the resilience of
the non-bank financial intermediation sector.
The report finds that variation margin calls in both centrally and
non-centrally cleared markets in March were large, and significantly
higher than in February 2020. Initial margin requirements for centrally
cleared markets increased significantly, and varied substantially
across, and within, asset classes. Initial margin requirements on
non-centrally cleared derivatives remained relatively stable during the
stress period. On the back of that data-driven analysis, the
consultative report identifies six potential areas for further policy
The BCBS, CPMI and IOSCO invite feedback on this consultative report.
Responses should be sent via email to the BCBS Secretariat (firstname.lastname@example.org), the CPMI Secretariat (email@example.com) and the IOSCO Secretariat (firstname.lastname@example.org) by 12 January 2022.
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