Version date: 14 March 2018 - onwards
  Version 7 of 7    

v. Stress testing

1. The loan originating Qualifying Investor AIF shall have a comprehensive stress testing programme which shall include the following:

(a) It shall identify possible events or future changes in economic conditions that could have unfavourable effects on the loan originating Qualifying Investor AIF's credit exposures and assess the loan originating Qualifying Investor AIF's ability to withstand such changes;

(b) The stress measures under the programme shall be compared against internal risk limits;

(c) The programme shall comprehensively capture transactions and aggregate exposures across all forms of counterparty credit risk at the level of specific counterparties in a sufficient time frame to conduct regular stress testing;

(d) The programme shall provide for at least monthly exposure stress testing of principal market risk factors such as interest rates, FX and credit spreads for all counterparties of the loan originating Qualifying Investor AIF in order to identify and enable the lo