CME revises estimated worst-case payment obligation
IRS and F&O clearing units both subject to revision in Q3
In the third quarter of last year, CME Clearing revised upwards the estimated largest payment obligation that would be caused by the default of any of its participants and their affiliates at both its clearing units.
For the futures and options clearing division, the projected largest payment obligation was set at $17.9 billion, up 14% quarter on quarter and at its highest level on record.
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At the interest rate swaps unit, liquidity risk rose 19% to $3.9 billion over the same period
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