Gross margin move unlikely, says EC's Pearson
European official quashes rumours of a shift to US-style gross margin model
A senior policy-maker has dismissed rumours the European Commission (EC) is considering moving to a two-day gross methodology for clearing house margin requirements.
The US requires central counterparties (CCPs) to collect enough margin to cover potential losses over a one-day period for listed derivatives. The European rules call for CCPs to calculate margin over two days, but also allow clearing houses to net exposures.
With the US claiming that its one-day gross methodology requires clearing
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