Regulatory Alerts2019-04-15
Added · Updated
Guidelines on EMIR Anti-Procyclicality Margin Measures for Central Counterparties
Competent authorities must ensure that Central Counterparties define quantitative metrics to regularly assess margin procyclicality and review Anti-Procyclicality margin measures where metrics indicate significant margin increases. Authorities must require CCPs to apply these measures to all material risk factors, apply margin buffers at the risk factor level for non-linear products, and maintain documented policies for buffer exhaustion and replenishment. Additionally, CCPs must avoid modelling procedures that reduce the effectiveness of the 10-year historical lookback period for the margin floor and must publicly disclose detailed margin model parameters and Anti-Procyclicality methodology to allow replication of calculations.
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