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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