Review of margining practices

This report by the Basel Committee on Banking Supervision (BCBS), Bank for International Settlements' Committee on Payments and Market Infrastructures (CPMI) and International Organization of Securities Commissions (IOSCO) looks at margin calls during the high market volatility and "dash for cash" in March and April 2020. It also reviews margin practices transparency, predictability and volatility across various jurisdictions and markets, as well as market participants' preparedness to meet margin calls. It is part of the Financial Stability Board's (FSB) work programme to enhance the resilience of the non-bank financial intermediation (NBFI) sector.

The report takes into account feedback from industry on the consultative report Review of margining practices published in October 2021. It confirms 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 the analysis, and taking into account feedback from industry, the report confirms six areas for further policy work. The BCBS, CPMI and IOSCO will work together and with the FSB, as part of its work programme on NBFI, to take forward this work.