CCP liquidity risks varied in Q2
Central counterparties’ estimates of how much variation margin (VM) they’d need to cover in the event of a clearing member’s default fell back at most entities assessed by Risk Quantum the second quarter.
Of the CCPs and underlying clearing services tracked, and for which data was available, eight out of 14 reported forward-looking estimated payment obligations that were lower in Q2 than in Q1. At six, they were higher than the three months prior. These estimates represent what each CCP thinks
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