On Feb. 2, the European Securities and Markets Authority published the results of its second EU-wide stress tests of EU central counterparties. ESMA tested the resilience of 16 European CCPs with approximately 900 clearing members. The aggregate amount of collateral held by CCPs on the test date in the form of margin requirements and default fund contributions was approximately 270 billion.
Overall, the stress test demonstrated that the system of EU CCPs is resilient to multiple clearing member defaults and extreme market shocks, ESMA said. Unlike the prior test, this stress test also examined liquidity risks by looking at whether CCPs would meet their liquidity needs under different stress scenarios. ESMA said it did not detect any particular deficiency in the management of liquidity risks by EU CCPs.