On May 1, the Commodity Futures Trading Commission’s Division of Clearing and Risk and Office of the Chief Economist jointly issued, CCP Supervisory Street Tests: Reverse Stress Test and Liquidation Stress Test (Stress Test), which is a two-part report covering the results of 1) a reverse stress test of central counterparties (CCPs) or clearinghouses resources; and 2) an analysis of stressed liquidation costs.
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The Division of Clearing and Risk (DCR) of the Commodity Futures Trading Commission has issued a report summarizing stress tests conducted by three derivatives clearing organizations (DCOs): the Chicago Mercantile Exchange (CME), ICE Clear US (ICUS) and LCH Ltd (LCH). During the stress tests, DCR evaluated whether each DCO could obtain, in a timely manner, the funds necessary to meet the settlement obligations resulting from the simultaneous default of two large clearing members. DCR also evaluated whether the need for liquidity at multiple DCOs under such circumstances might have systemic implications.
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On February 7, the Federal Deposit Insurance Corporation (FDIC), the Office of the Comptroller of the Currency (OCC) and the Board of Governors of the Federal Reserve System (Board) jointly released the economic scenarios that will be used by certain financial institutions with total consolidated assets of more than $10 billion for stress tests, as required under the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010.
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