ESMA publishes framework for 2017 CCP stress test

The European Securities and Markets Authority (ESMA) has published the framework for its 2017 EU stress test exercise on central counterparties (CCPs). Under the European Market Infrastructure Regulation (EMIR), ESMA is required to coordinate EU-wide assessments of the resilience of CCPs to adverse market developments.

ESMA conducted its first CCP stress test in April 2016, focusing on the counterparty credit risk that EU CCPs would face because of simultaneous clearing member defaults and market price shocks. The 2017 exercise will also include liquidity stress as part of its evaluation of CCP resilience.

CCPs will provide the data for the stress test in March 2017, which will then be validated in Q2 2017. ESMA will finalise the data analysis by Q3, with the results of the exercise being published in Q4 2017.