Eurex switches default fund calculation

As whipsawing markets see contributions balloon, CCP will now base charges on stress loss method

Calculation

Eurex Clearing has revamped the methodology it uses to size a clearing member’s contributions to the central counterparty’s (CCP) default fund, as ballooning margins during the course of a volatile 2020 led to fluctuating surety demands for its members.

Previously, default fund contributions were sized as a static percentage of a clearing member’s initial margin (IM) requirement. But, as of April 1, firms’ contributions are being calculated via a stress loss-over-margin (or Slom) method. Under

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