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March 26, 2015

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

Imagine an IRS and a Bund Future cleared within two CCPs, or both cleared at Eurex via PRISMA to achieve cross-margining. The resulting drop in IM is dramatic.

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.

Byron


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