Eurex members divided over liquidity risk charges

Banks say proposed charge too conservative, debate whether add-on should be charged directly to clients

Calculation

Eurex has been quietly sounding out its clearing members on changes to the way it applies margin add-ons to account for concentration risk, a member survey seen by Risk.net shows. Conversations with the bourse’s largest clearing members suggest the recalibration has attracted diverging views, leading to a delay in its implementation.

The additional margin is designed to account for the increased difficulty a central counterparty (CCP) might face when selling off or neutralising a portfolio of

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