Defaults would dent, but not destroy, CCP liquidity buffers

Top central counterparties have enough easy-to-sell assets to cover payment obligations should a clearing member collapse – though some would nearly exhaust their liquidity buffers from the effort.

Two of the three Depository Trust & Clearing Corporation clearing houses estimate the amount they’d need to handle a default would exceed half of their disclosed liquid assets in value.

The mortgage-backed securities division (MBSD) of the DTCC disclosed its largest payment obligation would be $43.6

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