OCC reports 24% spike in default exposure

The Options Clearing Corporation’s estimate of the largest same-day payment obligation that would be generated if any of its members defaulted rose by 24% in Q2.

The clearing house estimated a peak payment obligation of $5 billion during the three months to end-June, compared with $4 billion in the quarter prior. The Q2 estimate was 41% larger than for the same quarter a year ago, and the fourth-largest since public disclosure began in Q3 2015.

The largest estimated payment obligation posted

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