Page 38 - 期货和衍生品行业监管动态（2024年7月刊）
P. 38

期货和衍生品行业监管动态




                       接面临转型风险，例如在商品和能源领域。目前，大多数接受抽样调查的中

                       央对手方已开始将气候风险纳入其压力测试框架中；


                   ?   生态系统分析揭示了中央对手方及其清算会员的资源配置状况，并表明与上

                       一次测试相比，所需保证金总额增加了 56%。


                        中央对手方压力测试情景与结果


                        本次压力测试涵盖了共 16 家中央对手方，其中包含两家被定级为第二层级

                   的英国中央对手方以及所有获得授权的欧盟中央对手方。该测试评估了信贷和集

                   中度风险、流动性风险，并新增了一个针对气候风险的评估部分。此外，该测试

                   通过一系列加强的结算生态系统分析得到了进一步补充。


                        下一步



                        根据《欧盟市场基础设施监管条例》（EMIR）的规定，一旦发现评估中暴露
                   一个或多个中央对手方在韧性方面的不足，ESMA 将发布必要的建议。


                   ESMA’s Stress Test of Central Counterparties Finds Clearing System Resilient

                   (2024/7/9)



                        The European Securities and Markets Authority (ESMA), the EU’s financial
                   markets regulator and supervisor, has published the results of its fifth stress test


                   exercise for Central Counterparties (CCPs). The results confirm the overall resilience

                   of European Union (EU) CCPs, as well as third-country Tier 2 CCPs, to core credit

                   and liquidity financial risks under the tested scenarios.


                        New in this year’s exercise is the exploratory analysis of climate risk. The

                   exercise also included additional market stress scenarios, enhanced model risk

                   assessments for concentration, and extended reverse stress tests for credit and

                   liquidity.


                        Klaus L?ber, Chair of the CCP Supervisory Committee, said:


                        “ESMA’s fifth stress test confirmed the overall resilience of the European



                                                             22
   33   34   35   36   37   38   39   40   41   42   43