A comparison of the outcome of cross-product and cross-currency margining.

Cross-Product versus Cross-Currency Margining – An analysis (attached below) of the Cross-Currency Margining Benefits compared to the Cross-Margining Benefits of an IRS / Listed Portfolio through two CCPs compared to clearing through one CCP – three case studies are considered, cross-currency only, cross-product only and cross-currency and cross-product combined. The analysis below shows that the combined benefits of cross-product and cross-currency margining through one CCP are greatest over cross-product and cross-currency only margining.