CCPBackTestingDefinitionReportV01auth.065.001.01

CCPBackTestingDefinitionReportV01

CCPBckTstgDefRpt

Mandatory

Mthdlgy

Repetition (1..n)

Risk Model Type

RskMdlTp

Mandatory

Model Confidence Level

MdlCnfdncLvl

Mandatory

Variation Margin Clean Indicator

VartnMrgnCleanInd

Mandatory

Definition: Indicates whether the CCP model calculates mark-to-market changes on fixed portfolios when backtesting.

Type: TrueFalseIndicator

Restrictions:

Desc

Optional

Supplementary Data

SplmtryData

Repetition (0..n)

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