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The European central counterparty (CCP) ecosystem

This paper provides a description of the EU centrally cleared markets. Based on data available under the Public Quantitative Disclosure framework (PQD) and further public data sources, we document aspects of central clearing counterparty (CCP) operations, such as member bases, asset classes cleared, transaction amounts, default waterfall resources, and the liquidity of the resources contained in the default waterfall. We also explore liquidity management of pre-funded default resources and CCP reinvestment strategies for participants' cash. Based on the analysis of the issues encountered when using PQD data, we propose a set of policy measures aimed at improving the reliability of the PQD data and possible usage for systemic risk assessment.