MIR 4.10.8

Past version: effective from 21/10/2015 - 20/10/2015
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The initial margin established pursuant to Rule 4.10.7(c) must:

(a) at the Member's portfolio level, be applied in respect of each portfolio's distribution of future exposure. If a Recognised Clearing House uses portfolio margining, it should continuously review and test offsets among products;
(b) at more granular levels, meet the corresponding distribution of future exposures; and
(c) use models which, among other things:
(i) rely on conservative estimates of the time horizons for the effective hedging or close-out of the particular types of products cleared by the Recognised Clearing House, including in stressed market conditions; and
(ii) have an appropriate method for measuring credit exposure that accounts for relevant product risk factors and portfolio effects across products, and, to the extent practicable and prudent, limit the need for destabilising procyclical changes.