Liquidity risk hits record high at CME

Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%

CME Clearing’s futures and options (F&O) clearing division ratcheted up the estimated largest payment obligation in the event of a default by any of its participants and their affiliates for the sixth successive quarter, bringing the hypothetical loss to its highest point since records began in 2015.

The projected largest payment obligation was set to $21.8 billion at the end of March, a 13% increase on the previous quarter.

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