The European Securities and Markets Authority (ESMA) has published the framework for its 2017 EU-wide stress test exercise on central counterparties (CCPs). The exercise covers 17 EU CCPs including all products currently cleared by these CCPs and will assess the resilience and safety of the EU’s CCPs from a systemic risk viewpoint. ESMA’s stress test will complement the stress tests CCPs already run on a daily basis. As CCPs’ stress tests focus on their own environment, such as their participants, cleared products and business activity, the ESMA stress test will look at the entire system of EU CCPs by considering possible spill-over effects resulting from CCPs’ interconnectedness. CCPs’ resilience will be assessed against a combination of multiple participant defaults and simultaneous market price shocks. ESMA has launched the data request and has provided detailed instructions on how CCPs are expected to calculate and report the data. In March 2017, CCPs will have to provide the data for the stress test, which will be validated first by NCAs and then by ESMA in the second quarter of 2017. ESMA plans to finalise the data analysis by the third quarter of 2017 and publish the results in the fourth quarter of 2017.

View ESMA launches 2017 EU-wide CCPs stress test, 1 February 2017