Commission Implementing Decision (EU) 2022/551 Article 1

Article 1

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Article 1 of Implementing Decision (EU) 2021/85 is amended as follows:

((1))

point (c) is replaced by the following:

((c))

in the case of mortgage-backed securities traded on To-Be-Announced basis, a liquidation period of three days calculated on a net basis;’;

((2))

the following point (d) is added:

((d))

in the case of contracts as referred to in points (a), (b) and (c), measures designed to limit procyclicality equivalent to at least one of the following:

((i))

measures applying a margin buffer at least equal to 25 % of the calculated margins which the central counterparty allows to be temporarily exhausted in periods where calculated margin requirements are rising significantly;

((ii))

measures assigning at least 25 % weight to stressed observations in the look-back period;

((iii))

measures ensuring that margin requirements are not lower than those that would be calculated using volatility estimated over a 10 year historical look-back period.’.