Page 318 - 《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

Two default scenarios, combined with the common ESRB market stress scenario,
were run on two different reference dates, 19 March (end of day) and 21 April 2021

(intraday snapshot).

For 19 March 2021, the impact due to concentration and specific wrong-way risk

stemming from cleared positions was also included in the baseline scenario

calculations. The first scenario concerned a Cover-2 default per CCP, where the

default of two clearing member groups under common price shocks is assumed

separately for each CCP. The second scenario was an All-CCPs Cover-2 default,

involving a default of the same two groups for all CCPs in the system, designed to

assess the resilience of CCPs collectively to the market stress scenario. ESMA did not

detect any major systemic risk concerns under the tested credit scenarios.

Concentration Stress Test

The European-wide concentration analysis performed on 19 March 2021 shows
that concentrated positions represent a significant risk for CCPs. For most asset

classes, concentrated position risk is clustered in one or two CCPs. The analysis found

that concentration risk is factored in explicitly in a majority of CCPs, through

dedicated margin add-ons.

Concentration modelled for commodity derivatives and the equity segment

(securities and derivatives) is significant, with around 7bn EUR of concentration risk

calculated for each asset class. There is a large coverage gap between the system-wide

estimated market impact and margin add-ons for commodity derivatives and to a

lesser extent for equity products. The concentration risk for emission allowances

stands at 2.5bn EUR and is not adequately covered per the ESMA methodology.

Russia’s invasion of Ukraine

During the time of finalisation of the exercise, Russia’s invasion of Ukraine led
to extreme market movements for instruments across the commodities and energy

markets. ESMA concludes that the ESRB scenario is overall of greater or comparable

severity for most asset classes, but of a lesser severity for some products, especially

272
回 到 首 页 回 到 目 录