National Environmental Management Act, 1998 (107 of 1998)
R 385
Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsChapter VI : Central Counterparties33. Margin requirements33.7 Procyclicality |
| (1) | A central counterparty must ensure that its policy for selecting and revising the confidence interval, the liquidation period and the look-back period— |
| (a) | deliver margin requirements that limit procyclicality to the extent that the soundness and financial security of the central counterparty is not negatively affected; |
| (b) | avoid, when possible, disruptive changes in margin requirements; and |
| (c) | establish transparent procedures for adjusting margin requirements in response to changing market conditions. |
| (2) | A central counterparty must— |
| (a) | apply a margin buffer at least equal to 25% of the calculated margins which it allows to be temporarily exhausted in periods where calculated margin requirements are rising significantly; or |
| (b) | assign at least 25% weight to stressed observations in the look-back period calculated in accordance with Regulations 33.4; or |
| (c) | ensure that its margin requirements are not lower than those that would be calculated using volatility estimated over a 10 year historical look-back period. |
| (3) | When a central counterparty revises the parameters of the margin model in order to better reflect current market conditions, it must take into account any potential procyclical effects of such revision. |
