BoE outlines CCP stress test for 2024

BoE has set out the key elements of its 2024 supervisory stress test for UK central counterparties. The clearing services of all three UK authorised CCPs (ICE Clear Europe Ltd, LCH Ltd and LME Clear Ltd) will be in scope and the stress test will focus on two analytical components:

  • Credit stress test – this will assess whether the CCPs’ financial resources are sufficient to absorb losses under a combination of the BoE’s market stress scenario(s) and the simultaneous default of selected clearing member groups;
  • Credit reverse stress test – this will assess the impact of increasing the severity of a range of input assumptions on CCP resilience and identify combinations of assumptions that are needed to deplete CCPs’ prefunded and non-prefunded financial resources.

BoE intends to publish the results in Q4 2024.

Lucy Hadrill