Margin dynamics in centrally cleared commodities markets in 2022

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) analyses margin dynamics in centrally cleared commodities markets during the high volatility episode in 2022 following the Russian invasion of Ukraine.

The report looks at the dynamics of CCPs' margin models, the use of discretion and its effect on margin procyclicality, and the other ways CCPs adapted their risk management during this period. It also investigates market participants' preparedness to meet margin calls during these stress events based on the level of transparency and predictability of these margin practices. It complements the BCBS-CPMI-IOSCO report Review of margining practices 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.

The findings in this report will inform the international policy work set out in the BCBS-CPMI-IOSCO report Review of margining practices, aimed at evaluating the responsiveness of initial margin models and enhancing the transparency of margin requirements in centrally cleared markets. The analysis contributes to the Financial Stability Board's (FSB) work to enhance the resilience of the non-bank financial intermediation and complements the FSB's report The Financial Stability Aspects of Commodities Markets with a specific focus on CCP-related dynamics.