Risk Quantum/Options Clearing Corporation (OCC)
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record
Liquidity risk down 34% at the OCC
Projected largest payment obligation set at $6.2 billion for Q1
OCC member default fund contributions jump 8%
CCP’s skin in the game fell slightly in Q4, making up 1.8% of the prefunded total
OCC issued $6.1bn VM call in Q4
December options expiration behind highest VM call in six years
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
OCC member default fund contributions climb 11%
CCP's skin in the game up almost 5%
OCC increases skin in the game in Q2
Own funds to handle a participant collapse amounted to $313 million
GameStop frenzy triggered $2 billion margin breach at OCC
Total initial margin held by the OCC's default fund stood at $114.4 billion in Q1
Initial margin at the OCC topped $100bn in Q4
Exchange-traded derivatives hub cleared 7.5 billion contracts in 2020
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself
Initial margin at the OCC leapt 20% in Q3
Cleared options contract volumes hit 1.9 billion in Q3