What is FX Forward margin?

FX forward margin is a margin requirement on the interest rate risk inherent in FX forwards and FX swaps.

The interest rate margin requirement is applied in addition to the standard margin requirement applied to FX spot instruments on the notional exposure.

The calculation has the following characteristics:

• Interest rate margin requirement is calculated per currency pair

• The interest rate differential is shifted by 1% and then scaled by time to maturity

• All currency pairs use the same shift of 1%

• Netting across value dates in currency pair
  

Refer to your Trading Conditions for the margin rates. Interest Rate Margin Requirement will not be applicable if it is not shown in your Trading Conditions.

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