Cross margining (XM) allows a combined initial margin calculation between fixed income listed (i.e. FI ETD) and OTC IRS positions.
An overview on all OTC and listed products eligible for XM can be found below as well as in the Cross-Margining User-Guide under the following path: Resources > Eurex Clearing > Documentation & Files > Eurex Clearing Documents > Eurex Clearing Prisma > Productive Documents.
XM can only be enabled for EUR and CHF denominated instruments (trades).
No, only the forward-looking parts, i.e. the Initial Margin (IM) requirement.
In general, ETD positions have a holding period of two days (HP2) and OTC positions have a holding period of five days (HP5).
Yes, the XM benefit can be calculated via:
OTC IRS products
Listed Equity Derivatives
Listed Fixed Income and money market futures, FX derivatives
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