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January 19, 2015

Cross Margining of EUR IRS & Euro Fixed Income Futures

An analysis was carried out of three relative value DV01 neutral Euro Asset Swap trades, 1) Euribor Strip versus Two Year IRS, 2) Schatz Futures versus Two Year IRS and 3) Bund Futures versus Ten Year IRS comparing the margin clearing the products at two separate CCPs to the cross margining benefits of clearing both products at Eurex Clearing. The analysis showed (see below) margin savings of between 62% and 70% by clearing both products at Eurex Clearing:

 

Byron


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