Cross margining benefits. Are they for all?
A really comprehensive paper by CME was published this month (June), which amongst others, emphasises the benefits of cross margining, saying that $1 billion in initial margin savings have been achieved. It also shows examples of savings achieved by keeping hedge positions in the same clearing house ranging from 67% to 89%. I can't help thinking though that these savings work well only for hedged portfolios. A 2 year IRS versus a Weighted Eurodollar Strip showed margin of 10 times more when held in different clearing houses and not cross-margined versus held in the same clearing house and netted.What about directional players, like investment managers, that have no offsetting positions?Where are the cross netting savings in their case? The pdf can be found here, original page here: http://www.cmegroup.com/trading/interest-rates/cleared-otc-interest-rate-swaps-overview.html Maria L.