BCBS, CPMI, and IOSCO (the Committees) are inviting entities that participate in market infrastructures and securities markets through an intermediary as well as non-bank intermediaries to complete voluntary surveys on the use of margin calls. The surveys are part of an examination into liquidity shortfalls during the early stages of the COVID-19 pandemic. The Committees are also collecting data from central counterparties (CCPs) and bank intermediaries. The results of the surveys will feed into work program to improve the resilience of non-bank financial intermediaries. Responses on the survey are requested by May 17, 2021.
As part of the work program to enhance the resilience of the non–bank financial intermediation (NBFI) sector, G20 agreed that FSB should coordinate with the Committees to look at issues around margin calls during the early stages of the COVID-19 pandemic. G20 has called for a review of margining practices in cleared and uncleared markets, including with regard to the preparedness of market participants for margin calls. To achieve this objective, the Committees have set up a Joint Working Group on Margin, which is co-chaired by BoE and the U.S. CFTC. The Joint Working Group is examining the following areas, taking into account both initial and variation margins:
- Margin in cleared and uncleared markets during the March market turmoil, including clearing member-client dynamics (workstream 1)
- Margin practice transparency, predictability, and volatility during the March market turmoil across various markets, jurisdictions, and margining models (workstream 2)
- Liquidity management preparedness of market participants (especially non-banks) to meet margin calls and the actions taken to prepare (for example, ability of firms to use or transform high quality liquid assets) (workstream 3)
To undertake such a data-driven analysis, workstream 2 of the Joint Working Group is undertaking an ad-hoc survey to better understand the impact of margin calls in uncleared markets and margin calls related to house and client clearing activities from the perspective of firms. Additionally, workstream 3 of the Joint Working Group is undertaking an ad-hoc survey to better understand whether various financial market participants were prepared to meet increased margin calls and the mechanisms through which they funded these calls. The data required is outlined in the data templates. Respondents are asked to participate on a best effort basis and, as appropriate, to include any additional information or accompanying documents that describe aspects of their firm’s liquidity strategy, liquidity risk management practices, and constraints faced during the time-period under investigation. Individual responses will remain confidential and will be used only in anonymized and/or aggregated format in future publications. Respondents may respond to all or part of the questions. The Committees will be holding an information session on May 06, 2021 to provide additional context to the surveys and respond to questions of market participants.
Keywords: International, Banking, Securities, COVID-19, NBFI, G20, Systemic Risk, Survey, Initial Margin, Variation Margin, FSB, BCBS, CPMI, IOSCO
Leading economist; commercial real estate; performance forecasting, econometric infrastructure; data modeling; credit risk modeling; portfolio assessment; custom commercial real estate analysis; thought leader.
Previous ArticleBaFin Publishes Supervisory Priorities for 2021 and FAQs on IFR
Next ArticleBaFin Consults on Determination of MREL for Banks
PRA proposed rules (in CP12/21) for the application of existing consolidated prudential requirements to financial holding companies and mixed financial holding companies that have been approved or designated in accordance with Part 12B of the Financial Services and Markets Act 2000 (FSMA).
ECB Banking Supervision announced that euro area banks it directly supervises may continue to exclude certain central bank exposures from the leverage ratio until March 2022.
OSFI decided to increase the Domestic Stability Buffer from 1.00% to 2.50% of total risk-weighted assets, with effect from October 31, 2021.
HKMA is requesting banks to participate in a tech baseline assessment, which forms part of the HKMA Fintech 2025 strategy.
OSFI published two documents to consult on the management of operational risk capital data for institutions required, or for those applying, to use the Basel III standardized approach for operational risk capital in Canada.
The NGFS Study Group on Biodiversity and Financial Stability published a Vision paper exploring the case for action in addressing the financial stability concerns arising from biodiversity loss.
ACPR published the final version of CREDITIMMO 2.3.0 taxonomy for the decree of October 31, 2021.
EC, has approved, under the EU State Aid rules, the fourth prolongation of the Italian guarantee scheme to facilitate the securitization of non-performing loans.
ECB published Guideline 2021/975, which amends Guideline ECB/2014/31, on the additional temporary measures relating to Eurosystem refinancing operations and eligibility of collateral.
EIOPA published a report, from the Consultative Expert Group on Digital Ethics, that sets out artificial intelligence governance principles for an ethical and trustworthy artificial intelligence in the insurance sector in EU.