Framework published on supervisory stress testing of CCPs
11 April 2018 Switzerland
Image: Shutterstock
The Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) have released the framework for supervisory stress testing of central counterparties (CCPs).
The new framework has been published to provide authorities with guidance to support their design and implementation of supervisory stress tests of CCPs.
In April 2015, the G20 finance ministers and central bank governors asked the Financial Stability Board to work with the CPMI, IOSCO and the Basel Committee on banking supervision to develop a workplan for identifying and addressing gaps and potential financial stability risks relating to CCPs that are systemic across multiple jurisdictions and for enhancing their resolvability.
The framework sets out six components with underlying elements that describe the steps authorities would follow when designing and running a multi-CCP SST, these include setting the purpose and exercise specifications, establishing governance arrangements, developing stress scenarios, data collection and protection, aggregating results and developing analytical metrics, and determining the use of results and disclosure.
According to the report, the components are intentionally broad in order to accommodate any multi-CCP supervisory stress tests (SST).
The report explained that the supervisory stress-testing framework “is intended to served as a guide for one or more authorities to design and run a multi-CCP supervisory stress tests (SSTs) with a macroprudential orientation”.
It stated: “The framework can accommodate SSTs that are conducted by a single authority or several authorities from the same jurisdiction or multiple jurisdictions, and that assess impacts on CCPs clearing any type of product. It can also support recurring SSTs involving the same authority or authorities and ad hoc tests by one or more authorities.”
You can read the full framework here.
The new framework has been published to provide authorities with guidance to support their design and implementation of supervisory stress tests of CCPs.
In April 2015, the G20 finance ministers and central bank governors asked the Financial Stability Board to work with the CPMI, IOSCO and the Basel Committee on banking supervision to develop a workplan for identifying and addressing gaps and potential financial stability risks relating to CCPs that are systemic across multiple jurisdictions and for enhancing their resolvability.
The framework sets out six components with underlying elements that describe the steps authorities would follow when designing and running a multi-CCP SST, these include setting the purpose and exercise specifications, establishing governance arrangements, developing stress scenarios, data collection and protection, aggregating results and developing analytical metrics, and determining the use of results and disclosure.
According to the report, the components are intentionally broad in order to accommodate any multi-CCP supervisory stress tests (SST).
The report explained that the supervisory stress-testing framework “is intended to served as a guide for one or more authorities to design and run a multi-CCP supervisory stress tests (SSTs) with a macroprudential orientation”.
It stated: “The framework can accommodate SSTs that are conducted by a single authority or several authorities from the same jurisdiction or multiple jurisdictions, and that assess impacts on CCPs clearing any type of product. It can also support recurring SSTs involving the same authority or authorities and ad hoc tests by one or more authorities.”
You can read the full framework here.
NO FEE, NO RISK
100% ON RETURNS If you invest in only one securities finance news source this year, make sure it is your free subscription to Securities Finance Times
100% ON RETURNS If you invest in only one securities finance news source this year, make sure it is your free subscription to Securities Finance Times
