CHAPTER XII U.K. REVIEW OF MODELS, STRESS TESTING AND BACK TESTING (Article 49 Regulation (EU) No 648/2012)

SECTION 9 U.K. Time horizons used when performing tests

Article 60 U.K. The time horizons

1. The time horizons used for stress tests shall be defined in accordance with Chapter VII and shall include forward-looking extreme but plausible market conditions.

2. The historical time horizons used for back tests shall include data from at minimum the most recent year or as long as a CCP has been clearing the relevant financial instrument if that is less than a year.