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CCP Austria successfully passes third EU-wide CCP stress test

We are pleased to inform you that CCP Austria has successfully passed the third EU-wide CCP stress test by the European Securities and Markets Authority (ESMA) with a very good result in international comparison.

Today, 13 July 2020, ESMA published the results of the EU-wide CCP stress test exercise from 2019 which confirm the overall resilience of EU CCPs to common market shocks and multiple default events.

 

Extended scope of stress test exercise

The EU-wide stress test for CCPs assesses the resilience and safety of the entire clearing industry and helps to identify potential weaknesses at an early stage. Regarding the requirement profile, the now completed stress test evaluates, similar to the previous ESMA stress test, the credit and liquidity risk and includes a new concentration risk component which aims to assess the potential losses arising from liquidating concentrated positions.
 
Overall, the results of the stress test show that the system of the CCPs in the European Union is resilient to defaults of multiple clearing members and to extreme market shocks. ESMA has also published individual figures of the participating CCPs in its report, which show that CCP Austria achieved very good results measured by international standards. 

 

Stress test results in the light of recent market events

The stress test exercise was designed and performed in 2019, the assessment of the results and the completion were carried out in the first half of 2020 when the markets experienced unprecedented levels of market shocks and volatility due to the COVID-19 pandemic. ESMA's stress scenarios were of comparable severity with the most recent stress events. Thus, the stress test results confirm the resilience of the European CCPs which was demonstrated in real life during the recent market turmoil caused by the impact of the COVID-19 pandemic. 

 

Read the full report


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