Liquidity risk rose at most CCPs in Q3

JSCC, CME, Ice and Eurex among those that revised their VM estimates

Most major central counterparties (CCPs) revised their estimates of how much variation margin (VM) they would need to cover in the event of a clearing member’s default in the third quarter of last year.

Of the large CCPs and underlying clearing services tracked by Risk Quantum, and for which data is available, eight out of 14 reported forward-looking estimated payment obligations that were higher in Q3 than in Q2. At six, they were lower than the three months prior.

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