Model changes could raise Eurex swaps margins by over a fifth

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]