Money Market and Foreign Exchange Market

Back Testing is conducted on a daily basis for the CCP Member's portfolio. Back Testing is performed to assess whether the calculated Initial Margin can cover the losses incurred. In other words, Back Testing measures the accuracy of the Initial Margin calculation method. Daily Back Testing is done by comparing historical positions and the calculated Initial Margin against the Theoretical Profit & Loss during the close-out period defined in the Initial Margin calculation parameters. If the Loss in the Theoretical Profit & Loss calculation exceeds the Calculated Initial Margin, IDClear will record the event as a breach.