anti-procyclicality margins

On January 8, the European Securities and Markets Authority (ESMA) published a consultation paper on draft guidelines on anti-procyclicality margin measures for central counterparties (CCPs).

The European Market Infrastructure Regulation (EMIR) recognizes that margin calls and haircuts on collateral by CCPs may have procyclical effects. EMIR therefore requires CCPs to regularly monitor and, if necessary, revise the level of margins to reflect current market conditions, taking into account any procyclical effects of such revisions. EMIR and its delegated regulations require CCPs to adopt at least one of three anti-procyclicality (APC) margin measures to address this issue.
Continue Reading ESMA Consults on Guidelines on Anti-Procyclicality Margin Measures for CCPs