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Default Fund

Default Fund

Eurex Clearing maintains one joint Default Fund, covering all asset classes cleared by it. The Default Fund is calibrated to cover all losses resulting from a simultaneous default of Eurex Clearing’s largest two clearing groups with a confidence level of 99.9%. 

Every Clearing Member is required to provide a contribution to such Default Fund. Each Clearing Member’s contribution to the Default Fund depends on the relative risk exposure brought to the clearing system by such member.

As such, Clearing Members are required to deposit the highest of the following amounts:

*The initial margin requirement, in this context, also includes all futures spread margin requirements and additional margin requirements.

We recalculate Default Fund contributions on a monthly basis (at the end of each month) for the subsequent month, to ensure that margin levels are reflected accurately.


Eurex Clearing AG | London Office
Clearing Business Relations

T +44 20 7862 7656