Page 40 - 期货和衍生品行业监管动态（2022年7月）

期货和衍生品行业监管动态

根据《欧盟市场基础设施监管条例》（EMIR）的授权，如果评估暴露出一个或

多个 CCPs 的韧性不足，ESMA 将就此提出必要建议。

13. ESMA Stress Test of Central Counterparties Finds Clearing System

Resilient (2022/7/5)

The European Securities and Markets Authority (ESMA), the EU’s securities

markets regulator, has published the results of its fourth stress test exercise of Central

Counterparties (CCPs). The results confirm the overall resilience of European Union

(EU) CCPs, as well as third-country Tier 2 CCPs, to credit, concentration and

operational risks under the tested scenarios and implemented framework. However,

the stress test also identified areas where some CCPs may need to strengthen their risk

management frameworks, or where further supervisory work should be prioritised,

including on concentration and operational risks.

The report’s key findings are:

 CCPs have sufficient buffers to withstand adverse market

developments in combination with the default of the two clearing members

with the largest exposures;

 Gaps are identified between the necessary and available buffers for

concentration risks for some CCPs, particularly in commodity derivatives

markets;

 CCPs remained overall resilient despite increased market volatility

in the wake of Russia’s invasion of Ukraine;

 For operational risk, differences in terms of risk sources, exposures

and mitigation tools across CCPs are observed and need to be further

assessed on an individual basis before issuing potential recommendations;
and

 Most of the analysed operational events stem from third-party

services, whereas a number of critical third-party service providers have the

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