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