Page 28 - 期货和衍生品行业监管动态（2023年6月刊）

期货和衍生品行业监管动态

“The CCP Stress Test is a key supervisory tool for ESMA. The Fifth Stress Test

exercise examines core risk categories in light of ESMA’s evolving mandates and takes

a closer look at the impact of a possible spill over of risks to financial markets. We are
not only stress testing CCPs, but also measuring potential risks to the broader financial

eco-system.”

Klaus Löber, Chair of the CCP Supervisory Committee, said:

“This year’s exercise draws on experience from previous years as ESMA

introduces additional stress scenarios and assesses the resilience of EU and Tier 2

Third Country CCPs to a wider range of risks. New in this exercise is the inclusion of

climate risk, in addition to the assessment of liquidity, credit and concentration risks.”

Components of ESMA’s CCP stress test framework:

ESMA, in cooperation with the National Competent Authorities (NCAs) and the

European Systemic Risk Board (ESRB), developed the framework covering the

following components:

Credit Stress: assesses the sufficiency of CCPs’ resources to absorb losses under a
combination of market price shocks and member default scenarios;

Concentration risk: assesses the impact of liquidation costs derived from

concentrated positions;

Liquidity Stress: assesses the sufficiency of CCPs’ liquid resources under a

combination of market price shocks, member/liquidity provider default scenarios and

additional liquidity stress assumptions;

Climate risk: assesses the degree to which the CCP’s business model is affected

by the transition to a carbon-neutral economy, the consequences of the transition on the

collateral posted by clearing members, and explores the impact of physical risk on

CCPs; and

Reverse Stress: increases the severity of the contemplated scenarios and identifies
breaking points of the eco-system for credit, concentration and liquidity risks.

17