Liquidity risk at OCC up 34% in Q3

Internal stress-testing of a clearing member’s portfolio triggered upward revision

The Options Clearing Corporation has revised upwards its estimate of the largest payment obligation that would be caused by the default of any of its participants and their affiliates in the third quarter of the year.

Following the stress-testing of one of its clearing members’ positions, the projected worst-case payment obligation was set at $6.3 billion, up 34% quarter on quarter.

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The maximum combined initial margin call on the peak day in Q3 was $11.7 billion, 23% lower than in the

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