Eurex: analysis of single pool margining for a fully hedged EUR IRS portfolio with EURIBOR and EUR fixed income futures

Eurex Clearing Prisma, our portfolio-based margin approach, is setting a new benchmark, permitting cross margining between products as well as across markets clearing by Eurex Clearing. This is especially applied to the interest rate products where cross margining concerns the allocation of positions of listed fixed income products and OTC IRS products in the same liquidiation group. This ensures that the reduced risk profile of interest rate hedged portfolios are adequately reflected by lower initial margin requirements. So how can the sell side benefit?

We carried out an analysis to quantify the terms of initial margin, default fund contribution and funding costs for a sell side bank of clearing a fully hedged EUR IRS portfolio with EURIBOR and EUR fixed income futures looking at clearing these through separate CCPs versus all of them through Eurex Clearing. Our analysis shows a 69% reduction in initial margin requirements, a 77% reduction in default fund contributions as well as a 72% reduction in funding costs as a result of clearing all three products through Eurex Clearing. This is only one of the many examples of how you can benefit through using Eurex Clearing.

Eurex single pool margining analysis

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