First, we are currently working towards establishing a set of criteria to identify CCPs that are systemically relevant in more than one jurisdiction.
This is an important issue given that the PFMI require CCPs with cross-border relevance or with a more complex risk profile to apply more stringent risk mitigation standards – in particular a “cover 2” requirement for calibrating their stress testing and for sizing their financial resources. Providing authorities with a consistent framework for assessing systemic relevance is the starting point of any macroprudential approach.