The Commodity Futures Trading Commission (CFTC) released its stress test results of derivatives clearing organizations (DCOs). Among other findings, the 2024 report concluded the DCOs studied hold sufficient financial resources to withstand many extreme and often implausible price shocks.
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, costs at the clearing members paying the vast majority of default funds and assessments represented only 0.07% of the Tier 1 capital of their parent entities, on average.
- The effects of interconnectedness were muted across DCOs, except for extremely implausible scenarios. Extreme events for one DCO are not commonly extreme events at the other DCOs, nor are the extreme losses for clearing members at one DCO experienced to the same extent at other DCOs at which they are a member.