Swaps Data: Clearing’s $750 billion funding requirement

My monthly Swaps Review in Risk Magazine looks at the most recent CPMI-IOSCO CCP Quantitative Disclosures for the majority of CCPs to show that:

  • Initial Margin required is > $500 billion
  • The breakdown by CCP of this figure
  • How IM is held, Gov Bonds, Cash, Other
  • Variation Margin, daily average > $10 billion
  • Default Resources of > $145 billion

Adding in an estimate for CCPs, for which I have not collected figures, we get to an amount of $750 billion, a significant figure indeed.

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