Page 41 - 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

potential to affect the critical functions of multiple CCPs in a correlated
manner.

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

“ESMA’s fourth stress test found that the European clearing market is resilient

and capable of withstanding severe stress scenarios, although certain areas need

further strengthening. CCPs’ resilience was confirmed during the real-life market

stress following Russia’s invasion of Ukraine.

“CCPs are of critical importance to the stability of the financial system and the

failure of one CCP has the potential to cause serious systemic risk across the EU.

Therefore, stress testing CCPs is a key supervisory tool to understand the clearing

industry, identify issues relevant for financial stability and eventually mitigate

systemic risk, contributing to ESMA’s mission.”

CCP stress test scenarios and outcomes

A total of 15 CCPs were covered by the exercise, including two UK CCPs

qualifying as Tier 2 CCPs. The exercise assessed credit and concentration risk and

included a new operational risk component that aimed to assess the resilience of CCPs

to operational events and failures of third-party service providers.

Operational risk analysis

ESMA identified varying degrees of operational reliability for the CCPs included

in the exercise and identified specific CCPs where further work should be conducted

to understand the drivers of these differences, the root causes of the events, and the

remediation actions taken.

ESMA also evaluated the exposure of CCPs to critical third-party service
providers and the ability of CCPs to reduce risk through operational risk management

tools. Through this process, ESMA identified differences across CCPs in their relative
level of third-party risk as well as the critical third-party service providers with the

highest systemic importance for the CCP sector. Further work is needed to analyse

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