The Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) have co-published a consultative report, Framework for supervisory stress testing of central counterparties (the framework).

The framework is designed to support supervisory stress tests (SST) conducted by one or more authorities that examine the potential macro-level impact of a common stress event affecting multiple central counterparties (CCPs).

The framework sets out six components with underlying elements that describe the steps authorities would likely follow when designing and running a multiple CCP SST including:

  • setting the purpose and exercise specifications (component 1);
  • establishing governance arrangements (component 2);
  • developing stress scenarios (component 3);
  • data collection and protection (component 4);
  • aggregating results and developing analytical metrics (component 5); and
  • determining the use of results and disclosure (component 6).

Under each component is a set of elements that provide a more granular expression of the specific issues that authorities may need to consider when deciding how to implement that component. These elements provide authorities with guidance on the substantive aspects of SSTs by describing the associated challenges and trade-offs as well as potential approaches to addressing them. To this end, the framework includes examples and alternative methodological approaches which are provided for illustrative purposes. These examples are not intended to be exhaustive and do not preclude authorities from exploring and implementing other approaches.

The deadline for comments on the consultative report is 22 September 2017.

View Draft guidance for supervisory stress testing of central counterparties released, 28 June 2017

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