Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
Market volatility in the aftermath of the Russian invasion of Ukraine and an increase in interest rate expectations came together in the first quarter to trigger a flurry of margin breaches across Eurex Clearing’s fixed income and interest rate swaps clearing divisions.
At the central counterparty’s fixed income clearing unit, the number of backtesting breaches – calculated as the occurrences over a rolling 12-month period when margin coverage held against any account fell below the actual
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