OCC stands by margin model as regulators investigate
As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended
Risk executives at two of the largest clearing houses are defending their margin methodologies as news emerges that US regulators are probing margin shortfalls at the Options Clearing Corporation in the first quarter of the year.
The Chicago-based OCC reported 38 margin breaches with an average size of $61.4 million during the first quarter – as flagged by Risk Quantum after the clearing house published standard disclosures at the end of June. The first-quarter breaches dwarfed the OCC’s
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