Page 317 - 《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

“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

exposures to third-party service providers both at an individual CCP level, as well as
system wide, to further strengthen operational resilience.

Credit Stress Test

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