The European Securities and Markets Authority (ESMA) has launched its sixth stress test exercise for CCPs. The framework of the test, which is set out in a report, is based on an adverse market scenario hypothesised by the European Systemic Risk Board (ESRB).
The exercise covers credit and concentration risks in all authorised EU CCPs and tier 2 CCPs, adding up to a total of 16 CCPs. It comprises four components: the credit stress test, concentration risk analysis, reverse stress test, as well as the recovery and resolution test. For the components that have already been included in previous exercise – the credit stress test, concentration risk analysis, and reverse stress test – the focus is placed on methodological changes and implications.
These stress tests should be treated as a complement to the daily tests run by individual CCPs. Submissions will be jointly validated with National Competent Authorities (NCAs). The next step in the exercise is an analysis and computation of results in preparation of a report.
