Framework for supervisory stress testing of central counterparties (CCPs)

CPMI Papers  |  No 176  | 
10 April 2018

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 and report back on a workplan for identifying and addressing any gaps and potential financial stability risks relating to CCPs that are systemic across multiple jurisdictions and for helping to enhance their resolvability. This report, Framework for supervisory stress testing of central counterparties (CCPs), published today by the CPMI and IOSCO addresses one aspect of this joint CCP Workplan.

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.