Commentaries: Art. 28d

A central counterparty shall assess:
1. by means of daily back tests, whether the initial margin meets the requirements specified in Article 28c paragraph 1;
2. by means of daily stress tests, whether the margin and the default fund contributions meet the requirements specified in Article 28b paragraph 3;
3. on a monthly basis, how initial margin changes when the assumptions and parameters underlying its calculation vary;
4. on a monthly basis, the scenarios, models, assumptions and parameters underlying the stress tests;
5. at least annually and in a comprehensive manner, its credit risk management model and the implementation thereof.
In the event that a central counterparty identifies shortcomings when performing the tests specified in paragraph 1, it shall make adjustments so as to meet the requirements.

Art. 28d