Model changes could raise Eurex swaps margins by over a fifth

Covid-induced market volatility becomes permanent stress scenario to nix procyclicality


Eurex Clearing is making tweaks to its model parameters that are projected to increase swaps margins by as much as a fifth from the end of November.

The central counterparty (CCP) is deploying two changes to its margin models from November 29, the first of which is expected to have a large impact on the CCP’s margin floor, substantially increasing the portfolio margins of market participants during periods of low volatility by as much as 15–20% in aggregate.

The aim of the changes is to reduce

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free membership? Click here

This address will be used to create your account

Counting down to dollar Libor transition

In a webinar, experts discussed the impact of market volatility on Libor transition, the availability of term SOFR, developments in non-linear markets and management of forthcoming CCP conversions

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here