CPMI and IOSCO begin review of CCP stress testing

Press release  | 
11 March 2015

The Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) announced today that they are undertaking a review of stress testing by central counterparties (CCPs).

Stress testing is an essential component of risk management by CCPs. The Principles for financial market infrastructures (PFMI), published by the CPMI and IOSCO in 2012, require CCPs to carry out rigorous stress testing to determine the financial resources they need to manage both credit and liquidity risk, including a wide range of stress scenarios covering a variety of extreme but plausible market conditions.

The systemic importance of CCPs is growing substantially, not least due to the drive for standardised OTC derivatives to be centrally cleared. The CPMI and IOSCO therefore believe that a review of CCP stress testing is timely in order to identify how the relevant PFMI standards are being implemented and whether additional guidance in this area is needed. CCPs, clearing participants and other relevant stakeholders will be consulted in the course of the review.

Notes

  1. The Committee on Payment and Settlement Systems (CPSS) changed its name to the Committee on Payments and Market Infrastructures (CPMI) on 1 September 2014. The CPMI promotes the safety and efficiency of payment, clearing, settlement and related arrangements, thereby supporting financial stability and the wider economy. The CPMI secretariat is hosted by the BIS. More information about the CPMI, and all its publications, can be found on the BIS website.
  2. IOSCO is an international policy forum for securities regulators. Its objective is to review major regulatory issues related to international securities and futures transactions and to coordinate practical responses to these concerns.
  3. Both committees (CPMI and IOSCO) are recognised as international standard-setting bodies by the Financial Stability Board.
  4. The April 2012 CPSS-IOSCO Principles for financial market infrastructures, can be found on the websites of the BIS and IOSCO.