The results are in for the supervisory stress test of major clearinghouses dealing with futures and options, interest rate swaps, and credit default swaps. Five CFTC-registered clearinghouses located in the United States, as well as in the U.K., were analyzed: (i) CME Clearing, (ii) ICE Clear Credit, (iii) ICE Clear Europe, (iv) ICE Clear U.S., and (v) LCH Clearnet.

“These first tests show that clearinghouses had ample resources to withstand extremely stressful market scenarios on the test date,” CFTC Chairman Timothy Massad noted. “They also show that risk was diversified across clearing members - a loss at one clearinghouse does not mean losses at all. These are very important findings in measuring the strength and resilience of clearinghouses.”

The test looks at whether actual margin amounts posted by clearing members, along with other pre-funded financial resources held by the clearinghouses, were sufficient to cover losses under a series of extreme stress scenarios applied to actual positions and financial resources.

CFTC staff designed and performed the exercise internally. It included 11 scenarios that were executed across the 5 clearinghouses and the 23 clearing members. It covered the most highly traded products at each clearinghouse. The products and clearing members covered represent 88% of the total margin held by these clearinghouses. Staff provided the clearinghouses an opportunity to comment on the methodology and results.

The following are the key findings:

• Clearinghouses had the pre-funded financial resources to withstand a variety of extreme market price changes across a wide range of products. The clearinghouses met or exceeded required resiliency levels.
• Risk was diversified across the clearinghouses. Where a particular scenario was the worst for a clearing member at a particular clearinghouse, that clearing member generally did not incur margin shortfalls at all clearinghouses - and in many cases had margin surplus or even gains across all clearinghouses.
• Clearing member risk was also diversified across the scenarios. No single scenario accounted for more than 19% of the worst outcomes, indicating diversification rather than concentration. And no single clearing member had the largest loss in more than 16.6% of the tests.