Eurex default fund reshuffle leaves members frustrated
Clearing members say concentration margin add-ons would be fairer than buffer on all portfolios
Eurex Clearing has unveiled a new default fund methodology to address potential shortfalls highlighted by regulators amid heavy market volatility in recent years. But several clearing members feel the central counterparty (CCP) has taken the wrong approach to solving the right problem.
“We are actually quite irritated about it,” says a clearing executive at a global bank. “Basically, they started noodling about with this idea last September, but didn’t really disclose it to clearing members.”
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