Worst-case double default would have caused breach at CME

Stress loss based on hypothetical scenario was $390m higher than prefunded resources

CME Clearing chalked up a hypothetical stress loss in the second quarter, which would have breached default resources for the first time since data became available in 2020.

CME’s futures and options division saw its peak stress loss above initial margin in the event of a simultaneous default of two clearing members rise by 45.8% from $4.15 billion in Q1 2023, to $6.04 billion in Q2. On the day of the peak, this was $390 million more than the default fund, meaning that had this event occurred

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net 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

Most read articles loading...

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