CCP resilience and clearing membership , III DRAFT

Abstract

We consider pre-funded waterfall resources, recovery tools and assessment powers of major European and US CCPs to assess the possible exposure of CMs. We also investigate loss allocation rules at the end of the waterfall and the impact of emerging resolution regimes on contingent liquidity. As the resilience of a CCP depends on the soundness of the member base, we assess the payment capacity of a member base under normal and stressed scenarios. We show that under a cover 2 stressed scenario, member base quality dramatically erodes, jeopardising the ability of CMs to provide contingent liquidity and to sustain the CCP’s resilience.

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Cite this paper

@inproceedings{Armakola2015CCPRA, title={CCP resilience and clearing membership , III DRAFT}, author={Angela Armakola and J p Laurent and Gabriele Butti and Laurent Cousot and Thomas Ankenbrand}, year={2015} }