Page 16 - 期货和衍生品行业监管动态（2024年1月）

期货和衍生品行业监管动态

of initial margin calculations and potential future margin requirements.

● The report proposes that central counterparties (CCPs) should provide

additional public disclosures on their margin models and increase the

sophistication and accessibility of margin simulation tools.

● Clearing members should provide greater transparency to clients and the

CCPs of which they are members.

The Basel Committee on Banking Supervision (BCBS), the Bank for

International Settlements’ Committee on Payments and Market Infrastructures (CPMI)

and the International Organization of Securities Commissions (IOSCO) today jointly

published a consultative report Transparency and responsiveness of initial margin in

centrally cleared markets – review and policy proposals. Interested parties are invited

to comment on this report.

The ten policy proposals in the report aim to increase the resilience of the

centrally cleared ecosystem by improving participants’ understanding of CCPs’ initial

margin calculations and potential future margin requirements.

The proposals cover:

CCP simulation tools: Margin simulation tools with certain minimum

functionality should be made available by CCPs to clearing members and their clients.

CCP disclosures: CCPs should disclose additional information related to their

margin models including on anti-procyclicality tools. CCPs should also report certain

public quantitative disclosure elements in a more timely and frequent manner.

Measurement of initial margin responsiveness: To facilitate the monitoring of

margin requirements by clearing members and their clients, CCPs should disclose a

standardised metric for measuring initial margin responsiveness.

Governance frameworks and margin model overrides: CCPs should

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