Swaps Data: IM grows in Listed and OTC markets

My monthly Swaps Review looks at the recently published CPMI-IOSCO Quantitative Disclosures by CCPs and highlights:

  • Initial Margin YoY trends for IRS, CDS & ETD Clearing Houses
  • Maximum total VM received on a single-day
  • Estimated Peak Stress Loss on Default
  • Actual largest Credit exposure

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