January 26, 2022

BCBS Secretariat
[email protected]

CPMI Secretariat
[email protected]

IOSCO Secretariat
[email protected]

Re: Consultative Report on Review of Margin Practices (the “Consultative Report”) by the Basel Committee on Banking Supervision (“BCBS”), Committee on Payments and Market Infrastructures (“CPMI”) and the Board of the International Organization of Securities Commissions (“IOSCO”)

Dear Secretariats:

The Asset Management Group of the Securities Industry and Financial Markets Association (“SIFMA AMG” or “AMG”) 1 appreciates the important work of BCBS, CPMI and ISOCO (collectively, the “Supervisory Authorities”) in performing an analysis – as part of the Financial Stability Board’s (FSB’s) work program on non-bank financial intermediation (“NBFI”) – examining whether and, if so, to what extent, margin calls were unexpectedly large in centrally and non-centrally cleared derivatives and securities markets during the March 2020 period of high market volatility (“March 2020”). SIFMA AMG also appreciates the extensive work of the Supervisory Authorities to conduct detailed surveys of central counterparties (“CCPs”), clearing members and broker-dealers (“Intermediaries”) and securities market participants (“clients”) to collect quantitative and qualitative data across centrally cleared and non-cleared markets with respect to margin experiences during and after March 2020.

The data gathered in the course of these surveys addressed the size, composition, and drivers of margin calls; the transparency of margin practices; and the preparedness of market participants to changes in margin during this period. SIFMA AMG is gratified to see that the data demonstrated that, inter alia, cleared markets experienced significant increases in the total initial margin (“IM”), while IM requirements in non-centrally cleared markets remained relatively stable; the transparency around margin models differ across CCPs and jurisdictions; and many clients faced liquidity needs materially greater than anticipated, with margin needs in cleared markets exacerbating overall liquidity challenges faced by global financial markets in this period.

1 SIFMA AMG brings the asset management community together to provide views on policy matters and to create industry best practices. SIFMA AMG’s members represent U.S. and multinational asset management firms whose combined global assets under management exceed $45 trillion. The clients of SIFMA AMG member firms include, among others, tens of millions of individual investors, registered investment companies, endowments, public and private pension funds, UCITS and private funds such as hedge funds and private equity funds.