Risk Quantum/Options Clearing Corporation (OCC)
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
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