Eurex switches default fund calculation

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


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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