Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
The concentration add-ons of six European central counterparties (CCPs) to account for the liquidation costs of large positions were significantly below the estimated market impact, the latest stress test run by the European Securities and Markets Authority (Esma) found.
Although all 16 participating CCPs passed the overall stress test, there was significant variation in the coverage of concentration risk.
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