Tuesday, October 3, 2017

On June 28th CPMI-IOSCO published the consultative report Framework for supervisory stress testing of central counterparties (CCPs). The intention of the framework is to provide guidance for supervisory stress tests to be conducted by one or more authorities to examine the potential macro-level impact of a common stress event affecting multiple CCPs.

The paper presents six components with elements which describe steps that authorities would likely follow in designing and running a multi-CCP stress test including purpose and specifications; governance; developing stress scenarios; data collection and protection; aggregation of results and analytical metrics; and determining use of results and disclosure.

The IIF worked with ISDA and the FIA on this consultation. The joint associations comment letter was submitted to CPMI-IOSCO on September 22nd.