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24 May 2023

BCBS-CPMI-IOSCO publish analysis of margining dynamics in centrally cleared commodities markets during 2022 stress events


The findings support the case for, and help inform, current international policy work aimed at enhancing the transparency of initial margin requirements and evaluating margin responsiveness to market stress.

Global standard setters publish a report analysing margin dynamics in centrally cleared commodities markets during the high-volatility episode in 2022.
• The report finds that central counterparties (CCPs) are sensitive to the impact of margin calls on market participants and that some CCPs are adjusting their approach to stress testing for commodity derivatives following the 2022 volatility.
• The findings support the case for, and help inform, current international policy work aimed at enhancing the transparency of initial margin requirements and evaluating margin responsiveness to market stress.
The Basel Committee on Banking Supervision (BCBS), the Bank for International Settlements’ Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) (the standard setters) today published the report Margin dynamics in centrally cleared commodities markets in 2022.
Among its key findings are:
• CCPs are sensitive to the impact of margin calls on market participants and many either maintain or have introduced measures to help limit the speed and size of initial margin requirement increases;
• the market turmoil of 2022 exceeded some of the biggest shocks foreseen in the scenarios CCPs used to size their default funds and consequently some are adjusting their approach to stress testing for commodity derivatives.
This report examines margin calls in centrally cleared commodities markets during the volatility following the Russian invasion of Ukraine in 2022. It is based on a survey of CCPs that clear commodities derivatives and on an industry workshop held to gather the perspectives of end users of commodities derivatives. It complements the BCBS-CPMI-IOSCO Review of margining practices report published in September 2022, which analysed the effects of market volatility during the Covid-19 period on margin demands and the associated impact on market participants.... more

full paper

IOSCO



© IOSCO


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