EurexOTC Clear: Inflation Swap Clearing - Margin & Capital Efficiencies for the Buy Side & Sell Side


EurexOTC Clear will expand its IRS Product Scope to include Zero Coupon Inflation Swaps (ZCIS) for the Euro Zone Harmonised Index of Consumer Prices, excluding Tobacco (HICPxT), the French Consumer Price Index, excluding Tobacco (FRCPIx) and the UK Retail Price Index (UK RPI) to commence clearing from 3rd. August 2015:

There will be a Booking and Maintenance Clearing Fee waiver to all Clearing Members and Registered Customers for ZCIS from 3 August 2015 to 30 June 2016. ZCIS clearing has been available in simulation since 9 March 2015 as has running ZCIS, ZCIS/IRS or ZCIS/IRS/Listed portfolio margin calculations in the EurexOTC Clear Simulation Margin Calculator.   

ZCIS will be margined under Eurex Clearing's innovative PRISMA portfolio margining methodology within the Fixed Income Liquidation Group that includes IRS and Fixed Income and Money Market Listed Derivative Products giving both the Buy Side and Sell Side alike potential for significant margin and capital efficiencies by clearing all three products through one CCP - it does not make sense for a Buy Side or Sell Side Firm to birfurcate its book by clearing IRS, ZCIS and listed derivative products at different CCPs because of the portfolio cross margining benefits/savings that can be generated:  


Eurex Clearing Circular 075/15, 'EurexOTC Clear: Availability of Zero Coupon Inflation Swaps in production:

EurexOTC Clear IRS Product List:

Eurex Clearing PRISMA portfolio margining methodology: