Key elements of the 2025 CCP Stress Test

The Bank of England (BoE) has published key elements to its 2025 Stress Test of UK Central Counterparties (CCPs), along with a spreadsheet containing the relevant market stress scenarios. This exercise, the fourth of its kind, aims to assess the financial resilience of UK CCPs by simulating severe market stress scenarios, including the default of two or more of its members. The test will be centred on a bespoke baseline stress scenario, which is an extreme but plausible hypothetical scenario, equivalent to a one-in-3,500 event. It will also include three additional 'multiplier' scenarios for sensitivity and reverse stress testing purposes and will further consider the impact on the wider financial system via initial margin and variation margin calls. This year's exercise will not include a full liquidity stress test but will explore and assess liquidity risks with firms in a more qualitative manner. The BoE will also be exploring a wider range of hypothetical scenarios, including more extreme scenarios and those that break historic correlations, and will use its own independent 'desk-based' modelling to undertake the revaluation of clearing member and client positions in these scenarios. CCPs must submit the necessary data for the 2025 Stress Test to the BoE using data templates and instructions provided privately to them. The results, which will be published in Q4 2025, will support and inform the BoE's supervisory and regulatory activities to address potential areas of risk.

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