Options expiry triggers $4bn liquidity shortfall at NSCC
Second-largest simulated shortfall on record mitigated by extra liquidity deposit and OCC commitment
The National Securities Clearing Corporation reported a simulated liquidity shortfall of $4 billion in the third quarter, coinciding with September’s options expiration day.
The shortfall represents the gap between the central counterparty’s (CCP) qualifying liquid resources (QLRs) and the payment obligation triggered by the hypothetical default of any single clearing participant and its affiliates under extreme but plausible market conditions. It marks the eighth liquidity deficit recorded by
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