Resilience of central counterparties (CCPs): further guidance on the PFMI – final report
This CPMI-IOSCO report aims to improve the resilience of CCPs by providing guidance on the principles and key considerations in the PFMI regarding financial risk management for CCPs, consistent with the priorities regarding CCP resilience identified in the joint CCP Workplan of the FSB, CPMI, IOSCO and the BCBS.
The report focuses on five key aspects of a CCP’s financial risk management framework:
stress testing for both credit and liquidity exposures;
a CCP’s contribution of its financial resources to losses.
The guidance should be understood in the context of the principles-based approach reflected in the PFMI, which recognises CCPs’ differing organisations, functions and designs, and the different ways to achieve a particular result. The guidance should be read in conjunction with the relevant principles, key considerations and explanatory notes in the PFMI.