In the second quarter, three central counterparties (CCPs) sharply hiked their estimates of the largest stress losses in excess of initial margin that would be caused by either a single or a double member default.
Eurex Clearing’s peak hypothetical stress loss rose 24% to €4.6 billion ($5.1 billion) in the event of one of its members and its affiliates defaulting, and 18% to €8.1 billion in a double-member default scenario.
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