Page 21 - 期货和衍生品行业监管动态（2023年2月）

期货和衍生品行业监管动态

Principles, DCOs must not only establish policies and procedures designed to manage
their risks, but also implement, maintain, and enforce those policies and procedures.”

Case Background

The order finds that from October 2019 through May 17, 2021, OCC failed to

comply with DCO Core Principles to establish, implement, maintain and enforce

certain policies and procedures reasonably designed to manage its operational risks by

identifying the plausible sources of operational risk and mitigating their impact

through the use of appropriate systems, policies, procedures, and controls.

Specifically, to address the impact of certain transaction-based costs associated with

the cost of liquidating a Clearing Member’s portfolio, OCC implemented an add-on

charge to better account for the cost of liquidating a defaulting Clearing Member’s

portfolio (the “LC Charge”) in its STANS methodology used to calculate margin.
However, OCC failed to make a corresponding change to incorporate the LC Charge

in its Clearing Fund calculation in violation of OCC’s Comprehensive Stress Testing

and Clearing Fund Methodology, and Liquidity Risk Management Description, which

is an OCC rule.

As a result of deficiencies in certain internal controls, human errors, and

oversight failures, OCC’s Clearing Fund was underfunded by between $200 million to

$588 million at various times during October 2019 through May 17, 2021. OCC

represents that, notwithstanding the underfunding, OCC’s Clearing Fund maintained

sufficient financial resources to meet its obligations in the event of a default by the

single member or participant creating the largest financial exposure in extreme but

plausible market conditions, in accordance with CFTC requirements. Nonetheless, the

order finds, OCC’s failures violated two DCO Core Principles and related

implementing CFTC Regulations 7 U.S.C. § 7a-l(c)(2)(H), (I); 17 C.F.R. §§

39.17(a)(1), 39.18(b)(l), (2) (2022).

In September 2019, the CFTC instituted an action against OCC, which ordered

OCC to cease and desist from committing or causing any violations and any future

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