On Jul. 11, OpCC proposed adding backtesting to the margin policy.
OpCC proposed backtesting framework and new resource backtesting margin charge.
Document dated Jul. 11, 2024, received from OpCC Jul. 17, summarized on Jul. 20.
Proposed Rule
Amends Margin Policy to more comprehensively describe backtesting approach.
Including assumptions underlying backtesting and criteria for escalating the results.
The Margin Policy establishes a process for ongoing monitoring, review, testing and verification of OpCC’s risk-based margin system, including doing daily backtesting.
Creates new category of backtesting designed to evaluate sufficient margin resources to cover credit exposure to the liquidation portfolio of each Clearing Member.
Margin resources evaluated from the last margin collection until the end of the liquidation horizon following the default of that clearing member with high confidence.
Implements a resource backtesting margin charge for clearing members with testing deficiencies that bring their margin coverage rates below a 99% coverage target.
Also makes conforming changes to OpCC Rule 601 to reflect these proposed changes.
Red-lined version of amendments available starting on page 142 of proposal notice.
Consultation
Comments on proposal due in 21 days from pending publication in the federal register.
Jul. 24, 2024 SEC Rule Filing
On Jul. 24, 2024, SEC issued notice of filing of OpCC backtesting framework proposal.
Comments on proposed rule change are due 21 days from federal register publication.
Jul. 30, 2024 SEC Fed Reg Proposal
On Jul. 30, 2024, SEC published proposal of OpCC framework in the federal register.
