Estimated stressed losses rise at OCC, LCH and JSCC
New stress scenario boosts worst-case loss at Options Clearing Corporation by half
Four central counterparties (CCPs) increased their respective hypothetical stress losses in excess of initial margin that would be caused by either a single- or double-member default to all-time-highs.
In the third quarter of 2024, the Options Clearing Corporation estimated that the worst-case default of a single member would result in a two-day loss of $9 billion, up 50.9% from Q2 and trumping the previous record of $6.1 billion set in Q4 2021.
For the simultaneous default of two members, the
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