Industry friction on initial margin model backtesting

NFA said to have set 10-day standard; other regulators applying different approach


Confusion has sprung up around one of the key elements of the new margining regime for non-cleared derivatives - a backtesting requirement for firms that are allowed to model their margin calls.

The largest dealers have been subject to the rules since September, with all employing the industry's standard margin model, but the rules do not specify how backtests should be conducted. Banks are split on how to comply, and regulators are said to be providing differing guidance.

"In the US, the

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