Page 38 - 期貨和衍生品行業(yè)監(jiān)管動(dòng)態(tài)（2024年7月刊）
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期貨和衍生品行業(yè)監(jiān)管動(dòng)態(tài)
接面臨轉(zhuǎn)型風(fēng)險(xiǎn)，例如在商品和能源領(lǐng)域。目前，大多數(shù)接受抽樣調(diào)查的中
央對(duì)手方已開始將氣候風(fēng)險(xiǎn)納入其壓力測(cè)試框架中；
? 生態(tài)系統(tǒng)分析揭示了中央對(duì)手方及其清算會(huì)員的資源配置狀況，并表明與上
一次測(cè)試相比，所需保證金總額增加了 56%。
中央對(duì)手方壓力測(cè)試情景與結(jié)果
本次壓力測(cè)試涵蓋了共 16 家中央對(duì)手方，其中包含兩家被定級(jí)為第二層級(jí)
的英國(guó)中央對(duì)手方以及所有獲得授權(quán)的歐盟中央對(duì)手方。該測(cè)試評(píng)估了信貸和集
中度風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)，并新增了一個(gè)針對(duì)氣候風(fēng)險(xiǎn)的評(píng)估部分。此外，該測(cè)試
通過一系列加強(qiáng)的結(jié)算生態(tài)系統(tǒng)分析得到了進(jìn)一步補(bǔ)充。
下一步
根據(jù)《歐盟市場(chǎng)基礎(chǔ)設(shè)施監(jiān)管條例》（EMIR）的規(guī)定，一旦發(fā)現(xiàn)評(píng)估中暴露
一個(gè)或多個(gè)中央對(duì)手方在韌性方面的不足，ESMA 將發(fā)布必要的建議。
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
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