CPMI and IOSCO Publish Draft CCP Stress Test Framework

Commentary by Nihal Patel

The Committee on Payments and Market Infrastructures ("CPMI") and IOSCO asked for public comments in response to draft guidance on "how to run and design supervisory stress tests for central counterparties" ("CCPs").

The consultative report, Framework for Supervisory Stress Testing of Central Counterparties, sets forth a proposed framework for regulators to use in stress testing CCPs. According to CPMI and IOSCO, the framework is "macroprudentially oriented," and would evaluate the collective response of CCPs to common stress events from a credit and/or liquidity perspective. The report contrasts the proposed stress tests to those that were done in the banking sector, in that the proposed tests would assess stress events against a set of CCPs instead of a particular CCP's resilience.

The CPMI and IOSCO identified several areas for public comment, including (i) the ideal frequency of stress testing, (ii) the role of CCPs in the process of developing stress tests, and (iii) the disclosure of testing results and other confidentiality concerns.

Comments on the report must be submitted by September 22, 2017.


As has been covered in this space on a number of occasions (seee.g.herehere and here), the regulatory approach to the risks posed by CCPs continues to be an issue that confounds policymakers. Firms that are active in cleared markets should closely monitor this report and consider responding, as the imposition of stress tests of this kind could have the ability to impact the way in which CCPs regulate their members and the amount of collateral to be collected.

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