Gross margin move unlikely, says EC's Pearson
European official quashes rumours of a shift to US-style gross margin model
A senior policy-maker has dismissed rumours the European Commission (EC) is considering moving to a two-day gross methodology for clearing house margin requirements.
The US requires central counterparties (CCPs) to collect enough margin to cover potential losses over a one-day period for listed derivatives. The European rules call for CCPs to calculate margin over two days, but also allow clearing
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