Page 316 - 《期货和衍生品行业监管动态》（2022年合集）

期货和衍生品行业监管动态

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

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

manner.

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

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