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.