In accordance with Article 21(6) of Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (EMIR), ESMA has initiated and coordinated the first Union-wide assessment of the resilience of CCPs to adverse market developments. The report presents the results of the first EU-wide stress exercise that assessed the resilience of 17 CCPs, including all authorised EU CCPs, for 3 dates in October, November and December 2014 with a focus on the counterparty credit risk that EU CCPs would face as a result of multiple clearing member defaults and simultaneous market price shocks. The exercise was also complemented with an analysis of the concentration of CCPs’ exposures and of the potential spill-over effects to non-defaulting clearing members assessing the likelihood of additional defaults triggered by the loss absorption mechanism of CCPs. Given that this is the first EU-wide stress test exercise for CCPs, that no similar exercise has ever been conducted by other jurisdictions, ESMA is committed to improve and evolve the methodology and the scope of its future annual stress tests.

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