Eurex Adds Fixed Income Cross Margining for Buy Side
Posted by Colin Lambert. Last updated: January 27, 2022
Buy-side firms are now able to achieve margin offsets between fixed income futures and interest rate swaps cleared at Eurex. Societe Generale and BNP Paribas have begun providing the service to clients, with the former announcing that a multi-strategy hedge fund has adopted.
Cross margining considers the combined risk of positions in related product groups when calculating collateral requirements. Eurex says that as it offers a wide range of fixed income derivatives, this leads to significant savings and increased financing flexibility for market participants with offsetting interest rate swap positions.
Eurex recently optimised its cross-product margining algorithm, removing all maturity constraints allowing for optimisation across the complete euro yield curve. In addition, it has improved access to its margin calculator, which can be used now via API to indicate the potential savings.
“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.”