) system. A pure RTGS system typically requires participants to hold large amounts of intraday liquidity in order to settle … their payment obligations. Implementing one or more liquidity-saving mechanisms (LSMs) can reduce the amount of liquidity … participants need to hold. This paper investigates how much liquidity requirements can be reduced with the implementation of …

In the event of a clearing member's default, and as part of its default management process, a central counterparty (CCP …. To mitigate this liquidity risk, CCPs often require members to post additional collateral to the initial margin, in the …-ons, this paper discusses the different approaches to incorporating market liquidity risk within a CCP's default waterfall and …

This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used … intraday liquidity management" (BIS, 2013). This stress scenario is simulated for participants of the Finnish TARGET2 component … with the new BoF-PSS3 simulator. Two liquidity deterioration indicators are introduced to quantify counterparty liquidity …