OCC issued $6.1bn VM call in Q4

December options expiration behind highest VM call in six years

A single clearing participant at the Options Clearing Corporation (OCC) triggered a $6.1 billion variation margin (VM) call in the last quarter of 2021, the largest reported by the central counterparty since public disclosures began in 2015.

The peak payment obligation was 34% larger than the previous quarter, and it is understood to be linked to a larger quantity of open interest going into the December quarterly options expiration.

  //

 

The OCC also revised its estimate of the worst

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: