Customers suffered losses in U.S. futures broker bankruptcies on many occasions. The most recent case was Refco in 2005. Jim Rogers and his clients and some other customers are suing for about a billion dollars in losses from their Refco futures accounts. Refco is bankrupt, so these victims will never be made whole. The most recent prior such loss occurred in 1989. You are asking the wrong question. The important question is not whether it happened in the past. The important question is whether it can happen in the future. No bankruptcy comparable to that of Refco had occurred in the futures industry, prior to Refco itself. No market move comparable to that of the 1987 crash had occurred prior to that event. Market risks are not simple processes which can be measured simply by examining the past. You can estimate the future outcomes of simple processes like coin flips, dice throws, and roulette wheels, simply by observing past events. This works because you are observing the identical process, over and over and over again. This doesn't work for markets, because the most important events happen too rarely to provide an adequate historical statistical sample, and also because markets are always changing. Would you dare to drive your car while looking only into your rear-view mirror, and ignoring what is right in front of you?
Jim Rogers transferred hundreds of millions of dollars of client money into Refco, LLC futures accounts in October 2005, and within days, he lost it in the Refco bankruptcy.