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.’.