Margin offsets can now be achieved by buy-side firms between fixed income futures and interest rate swaps cleared at Eurex.
Société Générale and BNP Paribas have already begun to provide the service to their clients.
In addition, Société Générale has announced the first multi-billion multi-strategy hedge fund to take advantage of cross product margining.
When calculating collateral requirements, cross margining considers the total risk of position in related product groups. Eurex’s wide range of fixed-income derivatives offering, including futures on European government bonds like Bund, OAT and BTP, allows market participants with offsetting interest swap positions to receive significant savings and increased financing flexibility.
Eurex’s cross-product margining algorithm has recently been optimised, getting rid of all maturity constraints which in turn allows for optimisation across the complete euro yield curve.
In addition, access to its margin calculator has been improved further and can now be used via API to indicate the potential savings from clearing fixed income listed and OTC derivatives at Eurex.
Considering the growing liquidity in euro clearing at Eurex, large asset managers are looking at the possibility of bundling their portfolios across listed and OTC interest rate business and taking advantage of margin and capital efficiencies.
“To assist regulators with their continued calls to reduce euro swaps exposure outside the EU, cross margining is another piece in the puzzle to grow our share in euro clearing,” says Matthias Graulich, member of the executive board at Eurex Clearing.
“While the functionality has been available on the Eurex side for a while, the strong and robust euro swaps liquidity picture has triggered client demand and implementation on the Clearing Member side, making this functionality available to their clients.”