The Basel Committee on Banking Supervision (BCBS), the Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) published a final report setting out final policy proposals to improve transparency around initial margin (IM) in centrally cleared markets and to support more consistent assessment of how cleared IM responds to market stress. The package spans central counterparty (CCP) disclosures, public reporting and governance, as well as clearing member (CM) practices. CCPs are expected to provide margin simulation tools to all CMs and, where feasible, clients (including prospective users), with minimum functionality to estimate IM under CCP stress test scenarios (including key historical stress events) and to incorporate core IM plus the main systematically applied add-ons. CCPs should also provide CMs and, where feasible, clients with information on model choice and calibration (including parameters affecting the size and speed of margin changes) and on add-on logic and thresholds, while publicly describing anti-procyclicality tools and other model components affecting responsiveness. Public quantitative disclosures (PQDs) would be expanded to include splits between core IM and add-ons, contract-level backtesting results for the most relevant contracts per clearing service, variation margin averages and maxima by clearing service and currency, and a new standardised measure of IM responsiveness paired with changes in volatility, with daily time series available to regulators on request. Governance proposals include CCP frameworks to assess responsiveness alongside coverage and cost, and strengthened procedures and disclosures where CCPs override modelled margin outputs, including ex post reviews and explanations to impacted CMs. CMs are expected to improve client transparency by facilitating access to CCP disclosures and tools, disaggregating client margin requirements by originating CCP where possible, documenting and justifying deviations from CCP margin and providing notice when client-margin calibration changes, alongside sharing relevant cross-CCP exposure and liquidity information with CCPs and relevant authorities. The report finalises proposals consulted on in the January 2024 Phase 2 consultative report (consultation closed in April 2024). It notes that the relevant standard-setting bodies will consider how best to implement the proposals.
IOSCO 2025-01-15
Basel Committee on Banking Supervision, Committee on Payments and Market Infrastructures and International Organization of Securities Commissions finalise proposals on CCP initial margin transparency and responsiveness
The Basel Committee, the Committee on Payments and Market Infrastructures, and IOSCO released a final report with policy proposals to enhance transparency of initial margin in centrally cleared markets. Proposals include expanded central counterparty disclosures, public reporting, and governance improvements, expecting central counterparties and clearing members to provide detailed margin information and tools. The report finalizes proposals from the January 2024 consultative report, with implementation considerations to follow.