Margin & Collateral Efficiencies for the Sell Side – Ten Year Euro Asset Swap. A margin and capital cost comparison (see below) was made of initiating a EUR50 MM Bund Future / Ten Year Euro IRS across a baseline CCP and ECAG compared to clearing both legs of the Asset Swap through Eurex Clearing. The lower margin requirement through cross margining and the lower default fund contribution reduces the cost to the Sell Side of the Asset Swap transaction by 69%.

The economics are summarised in the attached PDF.

Byron.