ESMA checks default resources at European clearinghouses
On April 29, the European Securities and Markets Authority released the results of its first EU-wide stress test exercise for clearinghouses. ESMA’s stress test focused on the counterparty credit risk that CCPs would face as a result of multiple clearing member defaults and simultaneous market price shocks. The stress test was initiated in 2015 and involved stressing the actual exposures of 17 European CCPs using year-end 2014 data provided by the CCPs.
Steven Maijoor, ESMA’s chairman, said the stress test showed that European clearinghouses “are overall well equipped to face the counterparty risk” associated with the stress scenarios that ESMA considered. He noted, however, that ESMA has issued recommendations to European regulators. These recommendations include changing the way clearinghouses assess the creditworthiness of their clearing members by taking into account potential exposures arising from their membership in other clearinghouses.
