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Page 39 - 期貨和衍生品行業監管動態(2024年7月刊)
P. 39

期貨和衍生品行業監管動態




                   clearing landscape to severe credit and liquidity stress scenarios. However, we still

                   have identified areas in which certain CCPs may need to strengthen their risk

                   management frameworks, or where further supervisory work should be prioritised,

                   including on modelling of concentration.”


                        “The stability of the EU financial system relies on resilient CCPs, and the ESMA

                   stress test is a key supervisory tool to identify and mitigate potential risks to financial

                   stability.”


                        ESMA finds:


                   ?   CCPs have robust lines of defence to withstand significant market shocks in

                       combination with the default of the two clearing member groups with the largest

                       exposures;


                   ?   CCPs are also resilient to substantial liquidity stress events, while CCPs’ clearing,

                       and investment activities play a key role in the results;


                   ?   Some gaps persist in the coverage of concentration risk across CCPs and across

                       asset classes, notably for commodity derivative positions;



                   ?   For climate risk, CCPs’ exposures depend on whether the markets they clear are

                       directly exposed to transition risk, such as commodities and energy. The majority

                       of sampled CCPs have started to integrate climate risk into their stress testing

                       framework;


                   ?   The ecosystem analysis provided insights into the CCPs’ and clearing members’

                       resources and showed that the total amount of required margin increased by 56%

                       compared to the last exercise.


                        CCP stress test scenarios and outcomes


                        A total of 16 CCPs were covered by the exercise, including two UK CCPs

                   qualifying as Tier 2 CCPs and all authorised EU CCPs. It assessed credit and




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