Concentration risk add-ons too low at Ice and ECC, says regulator

Results of European stress test suggest shortfall of collateral for large commodities positions is equivalent to 17% of total required margin

Esma headquarters, Paris
Esma headquarters, Paris
Photo: Esma

Margins levied by Europe’s two largest energy derivatives clearing houses to account for the risks posed by an outsized position may be too low, according to the pan-European securities regulator.

The European Securities and Markets Authority published the results of its central counterparty (CCP) stress tests earlier today (July 5). All CCPs passed the stress tests, and overall had enough buffers to sustain shocks across credit, market and operational risk.

However, Esma evaluated the costs

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