OpCC Backtesting Margin Charge


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.
  • Aug. 30, 2024 CFTC Rule Certification
  • On Aug. 30, 2024, CFTC published rule certification re OpCC backtesting framework.
  • Implementation date is at least 10 business days after receipt of certification by CFTC.
  • Sep. 11, 2024 SEC Approval
  • On Sep. 11, 2024, SEC approved the OpCC proposal on its backtesting framework.
  • Sep. 17, 2024 Fed Reg Approval, CFTC Certification
  • On Sep. 17, 2024, SEC issued order granting approval of proposal, in federal register.
  • On Sep. 16, 2024, CFTC published OpCC certified rule on backtesting framework.
  • Oct. 2024 OpCC New Rule Implementation
  • On Oct. 8, 2024, OpCC informed new resource backtesting rule takes effect Nov. 18.
  • Will begin posting the add-on charge for members below margin threshold on Nov. 15.

Regulators OpCC
Entity Types B/D; Exch
Reference Nt. #55330, 10/8/2024; CFTC: RF, 9/16/2024; RF, 8/30/2024; SEC: 89 FR 76171, 9/17/2024; SEC RF 34-100998, 9/11/2024; 89 FR 61211, 7/30/2024; SEC RF 34-100584, 7/24/2024; RF, OCC-2024-009, 7/11/2024; Citation: OpCC Rule 601;
Functions Financial; Operations; Reporting; Risk; Trade Reporting
Countries United States of America
Category
State
Products Clearing; Equity; Futures; Securities
Regions Am
Rule Type Final
Rule Date 7/11/2024
Effective Date 11/18/2024
Rule Id 219836
Linked to N/A
Reg. Last Update 10/8/2024
Report Section US Investment

Last substantive update on 10/11/2024