Clearing a Swap and Future | Split CCPs and Cross-Margining Compared


An analysis was carried out of a Ten Year Euro Payer IRS versus Eurex Bund Future Euro Asset Swap comparing the cost in terms of Initial Margin requirements and Default Fund contributions clearing the products through two separate CCPs to clearing both products at Eurex Clearing. The analysis showed a 69% reduction in IM and Default Fund costs of clearing both products through Eurex Clearing with the benefits of Cross Margining compared to clearing the products through two separate CCPs:

You can read much more about our cross-margining platform in a series of three articles, the first one is here.