Risk Quantum/Options Clearing Corporation (OCC)
Estimated stressed losses rise at OCC, LCH and JSCC
New stress scenario boosts worst-case loss at Options Clearing Corporation by half
Options expiry triggers $4bn liquidity shortfall at NSCC
Second-largest simulated shortfall on record mitigated by extra liquidity deposit and OCC commitment
Default funds at CME, JSCC and OCC grew to record levels in Q1
CCPs’ skin in the game fails to keep pace with member contributions
Record rise in concentration at top CCPs leads to all-time high
Median top-five member open position concentration rises 2.4pp in Q4
Concentration risk ticks up at large CCPs
Top five clearing members accounted for almost half IM and open positions in Q3
OCC default fund up 19% in Q3
Hypothetical stress losses behind latest spike in member contributions
OCC skin in the game down by nearly a third
Hike in capital expenditures and tax payments drives decrease
OCC liquidity risk doubles to all-time high in Q2
Concentration of activity around June expiration responsible for record rise
RepoClear’s default fund halves in Q1
Elevated initial margin allows LCH service to scale back second line of defence to lowest point on record
CCPs shun central banks in liquidity buffers rejig
LCH, Ice US and CME lead the way towards commercial banks
Initial margin at OCC declined over Q4
Calmer markets triggered downward revision as requirements drop $30bn
CCP ‘skin in the game’ still dwarfed by member contributions
Even as markets churned in 2022, clearing houses coughed up only 2% of funds at end-September – the same as the previous year