Framework for supervisory stress testing of central counterparties (CCPs)
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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 a workplan for identifying and addressing gaps and potential financial stability risks relating to CCPs that are systemic across multiple jurisdictions and for enhancing their resolvability (the joint CCP workplan). Since then, the committees have published guidance to enhance CCPs' resilience, recovery and resolvability.
The CCP supervisory stress testing framework addresses another key aspect of the joint CCP workplan: it 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 could help authorities better understand the scope and magnitude of the interdependencies between markets, CCPs and other entities such as participants, liquidity providers and custodians.
This type of supervisory stress test is different from, yet may complement, other stress testing activities conducted by authorities seeking to evaluate the resilience of individual CCPs.