The Investment Thread
“At the end of the first quarter of 2021, NSCC’s 12-month backtesting coverage level was 99.7%, with the 1-month coverage ratio for January at 98.8%, 99.9% for February, and 99.5% for March. The median backtesting deficiency for the quarter was $3.3 million, which included a maximum backtesting deficiency incurred on January 22, 2021, for $1.06 billion. The largest deficiency incurred during the quarter was mainly driven by a single security exhibiting idiosyncratic risk.”
https://www.dtcc.com/legal/policy-and-compliance
From my small brain. This seems through back testing numerous margin calls should have happened in Q1 but didn’t.
“At the end of the first quarter of 2021, NSCC’s 12-month backtesting coverage level was 99.7%, with the 1-month coverage ratio for January at 98.8%, 99.9% for February, and 99.5% for March. The median backtesting deficiency for the quarter was $3.3 million, which included a maximum backtesting deficiency incurred on January 22, 2021, for $1.06 billion. The largest deficiency incurred during the quarter was mainly driven by a single security exhibiting idiosyncratic risk.”https://www.dtcc.com/legal/policy-and-compliance
From my small brain. This seems through back testing numerous margin calls should have happened in Q1 but didn’t.