The fifteen or so central counterparty clearing houses (CCPs) established in the European Union, or of systemic importance (Tier 2 CCPs) established in third countries, are resilient in the face of credit, concentration and operational risks, according to the European Securities and Markets Authority’s (ESMA) stress test, the results of which were published on Tuesday, 5 July.
CCPs remained generally resilient despite increased market volatility following Russia’s invasion of Ukraine, the report of the fourth crisis simulation exercise said.
However, the stress test has highlighted areas where some CCPs may need to strengthen their risk management framework, or where additional supervisory work should be prioritised, notably in relation to concentration and operational risks.
Clearing houses have sufficient buffers to deal with adverse market developments, but gaps have been identified between the buffers needed and those available for concentration risk management in some CCPs, particularly in commodity derivatives markets.
Regarding operational risk, differences in risk sources, exposures and mitigation tools were observed between CCPs and need to be further assessed on an individual basis before any recommendations can be made, the European authority says.
To read the test report: https://aeur.eu/f/2hu (Original version in French by Anne Damiani)