medium · FRM Part 2 Credit Risk
In a Central Counterparty (CCP) default waterfall, which component is typically the first line of defense used to absorb losses from a member's default after the defaulter's own initial margin is exhausted?
- The CCP's own 'skin-in-the-game' capital.
- The default fund contributions of surviving members.
- The defaulter's contribution to the default fund.
- Variation margin gains haircutting (VMGH).
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