April 10, 2018

CPMI and IOSCO published the framework for supervisory stress testing of central counterparties (CCPs). The framework provides authorities with guidance to support their design and implementation of supervisory stress tests for CCPs. The framework has been finalized after considering the comments and suggestions received on the consultation that was issued in June 2017.

The supervisory stress testing framework is designed to support tests conducted by one or more authorities that examine the potential macro-level impact of a common stress event affecting multiple CCPs. Among other things, such supervisory stress tests will help authorities better understand the scope and magnitude of the interdependencies between markets, CCPs, and other entities such as participants, liquidity providers, and custodians. This type of supervisory stress test is different from, yet may complement, other stress testing activities conducted by authorities seeking to evaluate the resilience of individual CCPs

The G20 finance ministers and central bank governors, in April 2015, had asked FSB to work with CPMI, IOSCO, and BCBS to develop and report back on a workplan for identifying and addressing any gaps and potential financial stability risks related to CCPs that are systemic across multiple jurisdictions and for helping to enhance their resolvability. This guidance by CPMI and IOSCO addresses one aspect of this joint CCP Workplan.

 

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Keywords: International, Securities, CCPs, Stress Testing, BIS, CPMI, IOSCO