Eurex’s fixed income and IRS units hit by almost 700 breaches

- By Alessandro Aimone
- @aimoneale
- 17 Jun 2022

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Market volatility in the aftermath of the Russian invasion of Ukraine and an increase in interest rate expectations came together in the first quarter to trigger a flurry of margin breaches across Eurex Clearing’s fixed income and interest rate swaps clearing divisions.

At the central counterparty’s fixed income clearing unit, the number of backtesting breaches – calculated as the occurrences over a rolling 12-month period when margin coverage held against any account fell below the actual

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