ESMA to Run Pan-European Stress Tests for CCPs

European central counterparties will be subjected to four tests on April 29

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The tests will consist of three clearing member (CM) default scenarios and one market shock scenario, which will assess the resilience of the European CCPs and reveal any possible weak points.

The three scenarios include the default of two CMs with the largest exposures per CCP, the default of the two groups of CMs EU-wide with the largest aggregate exposures; and the default of the two groups of CMs EU-wide with the largest aggregate exposures weighted by their probability of default.

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