Margin scuffle at Eurex blurs lines between risk and returns

Disagreement over liquidity risk add-ons may owe more to self-interest than risk management

Last week, Eurex Clearing finalised some long-awaited tweaks to its policy governing margin add-ons for outsized positions in fixed income futures. The bourse dutifully consulted its members before making the changes: what sounds like an arcane rule has major risk management implications for clearing brokers and their clients.

What Eurex probably didn’t expect was the ferocious disagreement that erupted among clearing firms after it put the proposal out to consultation.

The bourse sought