Risk Model

Credit Default Swaps are challenging for CCP risk management due to their event-driven binary nature, asymmetric risk position and discontinuous pay-off structure. Eurex Credit Clear features a state-of-the-art risk management model to address the specific risk profile of credit derivatives.

Eurex Credit Clear's risk model covers the whole life cycle of a Credit Clearing Member:

Admission

The Eurex Credit Clear risk model requires a separate clearing license as well as a separate clearing fund dedicated for clearing OTC CDS. For more information please refer to Membership and Access.

Margining & Collateral

Margin requirement at Eurex Credit Clear vary for protection seller and buyer to reflect asymmetric risk characteristics.

Cash or securities will be accepted as Collateral (please refer to Risk Parameters for further information).