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 01/11/2021
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