The ESMA report ‘EU-wide CCP Stress test 2015’ included the following recommendation (‘the recommendation’):
‘ESMA recommends that the National Competent Authorities ensure that supervised CCPs consider in their participation requirements and as part of the initial and ongoing assessment of the credit worthiness of their clearing members, the amount of losses that their members could be exposed to, due to their participation in multiple CCPs taking into account the potential losses of mutualised prefunded and not prefunded resources, on the basis of data that need to be provided by clearing members.’
In order to help with the implementation of the above recommendation in a harmonised way across the EU, the EACH Risk Committee, in consultation with clearing members, developed this template which intends to:
Meet the requirements in the recommendation; and
Optimise its implementation for clearing members and CCPs
Download the EACH Creditworthiness template here.