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PRO-CYCLICALITY OF COLLATERAL HAIRCUTS AND MARGINS HAS BECOME A WIDELY PROCLAIMED BEHAVIOUR BUT EMPIRICAL EVIDENCE ON THIS TOPIC IS QUITE SPARSE AND THE DISCUSSIONS ARE PRIMARILY DRIVEN BY INSIGHTS DERIVED FROM THEORETICAL MODELS. BASED ON A UNIQUE DATA SET, WE CONSTRUCT A MEASURE OF SYSTEMIC ILLIQUIDITY OF BOND COLLATERALS AND APPLY BUBBLE DETECTION TECHNIQUES TO IDENTIFY IRRATIONAL BEHAVIOUR AND PRO-CYCLICAL TENDENCIES. FINALLY, WE PROPOSE A QUANTITATIVE TRIGGER AND DESIGN FOR MACROPRUDENTIAL HAIRCUT ADD-ONS.