“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.”
From my small brain. This seems through back testing numerous margin calls should have happened in Q1 but didn’t.
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From my small brain. This seems through back testing numerous margin calls should have happened in Q1 but didn’t.