CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Investments of cash balances in repo transactions could leave central counterparties (CCPs) exposed in a liquidity stress event, potentially leading to uncovered exposures, the European Securities and Markets Authority (Esma) found in its latest round of stress-testing.
The European regulator attributed this to low levels of haircuts and varied market risk profiles of the collateral for reverse
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