Page 27 - 期貨和衍生品行業監管動態（2024年7月刊）
P. 27
期貨和衍生品行業監管動態
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,
11
