Stress Test
Stress Testing is conducted using the Stress Loss Over IM method, which recalculates the Initial Margin requirement for each CCP Member’s portfolio under several market stress scenarios. According to PFMI, the market stress scenarios must include extreme conditions that could occur, thus scenarios are based on past economic crisis events. Stress Testing is performed once a day after trading to determine the exposure value under stress conditions using the CCP Member’s positions at that time. The Stress Testing value for each CCP Member on that day will use the largest exposure value from the calculations based on all the stress scenarios used that day.