Model changes could raise Eurex swaps margins by over a fifth

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

Formula

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

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