medium · FRM Part 2 Credit Risk
A CCP's default waterfall is the sequence of resources used to cover losses from a member's default.
Which resource is typically the second to be utilized after the defaulting member's own initial margin is exhausted?
- The defaulting member's contribution to the default fund.
- The CCP's own 'skin-in-the-game' capital.
- The default fund contributions of non-defaulting members.
- Variation margin gains haircutting (VMGH).
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