Image
January 16, 2015

OTC IRS Clearing – Cross Margining Benefits – Cross Currency versus Cross Product – What Generates The Greater Margin Savings?

An analysis was carried out over the margin savings between cross currency / cross margining savings – in this analysis between EUR IRS and USD IRS – versus cross product cross margining savings i.e. between EUR IRS and Eurex Euro Denominated Fixed Income Futures. The analysis below showed that the Cross Product Margin Savings between EUR IRS and Eurex Euro denominated fixed income futures far outweighed i.e. margin savings up to 70% those of the cross currency margin savings.

  • Top half: Offsets between an OTC USD IR Swap with various ETD EUR Futures
  • Bottom half: Offsets between an OTC USD IR Swap and an OTC EUR IR Swap

Byron.


Popular
Most Viewed

Image

Related Articles


June 20, 2022

Regulatory change and data fragmentation are key challenges for 85% of firms




2 MIN



Regulation


June 13, 2022

Driving competitive advantage from FX TCA to LPA




2 MIN



FX


June 9, 2022

Three leading banks join CLSNet




2 MIN



FX