easy · FRM Part 2 Credit Risk
In the default waterfall of a Central Counterparty (CCP), which resources are typically the first to be consumed following a member's default?
- The CCP's own dedicated capital layer, its skin-in-the-game
- Variation margin gains haircut from non-defaulting members (VMGH)
- The mutualized default fund posted by all non-defaulting clearing members
- The defaulting member's initial margin and default fund contribution
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