Page 27 - 期货和衍生品行业监管动态（2024年7月刊）

期货和衍生品行业监管动态

component, and this 2024 SST is a major expansion of that, which includes nine

DCOs, representing 11 clearing services across four asset classes (futures and options

on futures, cleared interest rate swaps, credit default swaps, and foreign exchange

products).

The purpose of the analysis was twofold: (1) to identify hypothetical

combinations of extreme market shocks, concurrent with varying numbers of clearing

member (CM) defaults, that would exhaust prefunded resources (DCO committed

capital, and default fund), and unfunded resources available to the DCOs (this

represents the reverse stress test component), and (2) to analyze the impacts of DCO

use of mutualized resources on non-defaulted CMs.

Staff analyzed both house and customer accounts of all CMs using actual

positions as of September 1, 2023. Eleven volatile dates since 2020 were selected as

base market stress scenarios. These dates captured a diversity of extraordinary market

stresses associated with: the COVID-19 pandemic, the war in Ukraine, and the period

of elevated inflation and related interest rate/banking impacts. These one-day market

shocks were then expanded incrementally by multiples to well past plausible levels.

In the process of conducting this reverse stress test, the interconnectedness of

DCOs through clearing members was explored.

The results of this 2024 stress test analysis show:

? All individual DCOs hold sufficient financial resources to withstand many

extreme and often implausible price shocks, along with multiple defaults of their

CMs. In some cases, DCOs can withstand the default of all CMs that have losses

resulting from highly implausible price shocks.

? Potential costs to non-defaulting members do not appear to be problematic. Under

a very extreme and likely implausible scenario, with shocks three times one of the

most volatile days in recent years, concurrent with three synchronized defaults,

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