OTC Interest Rate Derivatives Costs and Charges
With reference to OTC Interest Rate Derivatives transactions, the cost applied to the client is the aggregate of the following components:
- hedging cost
- margin (so-called mark up)
both calculated on the reference capital of the transaction.
The table below illustrates the maximum levels of the hedging cost and the margin applicable to an OTC Interest Rate Derivatives transaction.
Actual costs applied may differ from those illustrated.
| PRODUCT | MAXIMUM HEDGING COST (%) | MAXIMUM MARGIN (%) | UPDATE DATE |
| OTC Interest Rate Derivatives | |||
| Interest Rate Swap (IRS) | 0.02% | 0.50% per year | 03/11/2022 |
| Plain Vanilla / Collar / Digital Options | 1.00% | ||
The table below illustrates an example of calculation of the maximum costs applied by the Bank relating to a Collar Option and 1 year duration. The values shown in the table are based on a reference capital equal to EUR 1.000.000. All costs are expressed on annual basis.
| PRODUCT | MAXIMUM HEDGING COST | MAXIMUM MARGIN | MAXIMUM COST (€) | ||
| Hedging cost (%) | Hedging cost (€) | Margin (%) | Margin (€) | ||
| OTC Interest Rate Derivatives | |||||
| Collar Option | 1.00% | 10.000 | 0.50% per year | 5.000 | 15.000 |
