The European Securities and Markets Authority issued an opinion setting forth when a clearing organization (“CCP”) may offer the most favorable portfolio margin treatment as contemplated under the European Market Infrastructure Directive. Under EMIR, a CCP employing portfolio margin for multiple correlated instruments may provide a margin reduction up to 80 percent of the difference between the sum of margins for each product determined on an individual basis and a margin based on an estimation of the exposure of the overall portfolio. However, if a CCP is not exposed to any “potential risk from the margin reduction” it may apply a 100 percent reduction of the difference. According to ESMA, the most favorable portfolio margin treatment may only apply for contracts covered by the same default fund and in the same asset class. In its opinion, ESMA provided a number of examples of specifically correlated contracts that would qualify for the most favorable portfolio margin treatment (e.g., credit derivatives of the same underlying name or index with different maturities) and not qualify (e.g., interest rate derivatives using different currencies and an interest rate swap vs. a bond future).