Client Asset Protection

Client Asset Protection Client Asset Protection Overview

October 2013

www.eurexclearing.com

Client Asset Protection

2

Agenda

• Introduction to Eurex Clearing

• Segregation models overview

• Eurex Clearing’s client asset protection services

– Individual Clearing Model

– Omnibus Clearing Models



Greece (1)

Italy (3)

Denmark (2)

Finland (1)

Austria (16)

Spain (10)

UK (82) Ireland (1)

Switzer-

land (36)

Portugal (1)

Nether-

lands (15)

Germany (134)

France (16)

Luxembourg (10)

Belgium (2)

Malta (1)

332 clearing

licenses in 16

European countries

545 Non-Clearing

Members

EUR 228 bn

notional

outstanding in

Eurex Repo Margin collateral of

EUR 48 bn under

management

More than 6.7

million cleared

derivatives

contracts daily

Clearing Fund

size of

EUR 1.4 bn

1 All figures 2013

3

Eurex Clearing has a strong footprint across Europe

Geographical split (number of licenses in brackets)



An integrated service offering with broad product and service scope is key for efficiencies

Production started

on

13 Nov 2012

EUR 229bn

notional

outstanding in

May 2013

European market leader in

long-term interest rate

futures and options –

2.2mn contracts with

a notional of EUR 285bn

cleared every day

Equity

Interest Rate

Index

Equity Bonds

Securities Lending

Repo/ GC Pooling

Commo-dity & others

Eurex Clearing

Swaps

Dividend

Credit

4

Lending CCP available since

November 2012

First bilateral model in

Europe

Deutsche Boerse also offers trade reporting through REGIS-TR and TREMIR,

as well as integrated collateral management through Clearstream Banking

Bund BOBL Schatz Futures & Options



5

Agenda








6

EMIR Segregation requirements for CCPs and Clearing Members are defined and details are specified by ESMA

EMIR article 39 requires CCPs and Clearing Members to offer at a minimum omnibus and individual segregation models

After the Lehman and MF Global defaults, the demand for segregation increased as clients have faced issues around uncertainty of porting, double funding, mutualisation of client and Clearing Member (CM) risks from co-mingling of assets and potential misuse of client collateral

ESMA provided clarity that individual client segregation requires that the actual assets of the client are segregated and available for porting. Models which merely segregate the value of collateral due to the accounts of clients, 'do not meet the requirement to offer individual client segregation’

Some local investment laws require asset managers to segregate assets at the fund level to prevent co-mingling of positions and assets between the clearing broker, other clients and funds of the same fund company

Both buy-side and sell-side clients are requesting protection from additional risks including transit and liquidation risk

EMIR Article 39 will:

• not permit models which do not segregate in separate records and accounts positions and assets (defined

as collateral held to cover positions) of clients from the Clearing Member

• not permit netting of positions recorded on different accounts (i.e. separate difference claims are required

for proprietary and client accounts)

• not permit collateral recorded in an account to be exposed to losses in another account

But Clearing Member initial margin can be used to cover loses on a client account



Eurex Clearing’s overview of omnibus and individual client segregation models according to EMIR Article 39

7

NCM 1

positions

Proprietary

positions

Margin

requirement

NCM 2

collateral

pool

Undisclosed

client

positions

Clearing Member

Margin

requirement

all clients

Margin

requirement

NCM 1

RC 2

positions

NCM 2

positions

Margin

requirement

of NCM 2

Margin

requirement

of RC2

Collateral for Client omnibus segregated

account/ Collateral allocation by value in

proprietary account

RC 2

collateral

pool

Proprietary

collateral

account

Proprietary 39(2) Omnibus Client Segregation 39(3) Individual Client Seg

Proprietary Business Client Business

RC 1

positions

Margin

requirement

RC 1

Individual Clearing Model Elementary Omnibus Clearing Model

UK CASS Omnibus Clearing Model

Definitions

NCM – Non-Clearing Member

RC – Registered Customer



Overview of currently available markets and jurisdictions for Eurex Clearing’s EMIR segregation models

Markets* CM Jurisdictions Client Jurisdictions Fund Jurisdictions

Elementary

Omnibus Clearing

Model

• All

(excluding

SecLending)

• European-based

Clearing

Members

• Any • Any

UK CASS Omnibus

Clearing Model

• Eurex Exchanges

• OTC Derivative

Transactions

• European Energy

Exchange

• UK Clearing

members who

offer CASS

protection to their

clients

• Any • Any

Individual Clearing

Model**

• All • Germany

• England & Wales

• Scotland

• France

• Ireland

• Luxembourg

• Spain

• Germany

• England & Wales

• Scotland

• France

• Ireland

• Luxembourg

• Spain

• The Netherlands

• Belgium

• Germany***

• England &

Wales***

• Ireland

• Luxembourg

8

*All markets includes Eurex Exchanges, Eurex Bonds, Eurex Repo, Frankfurter Wertpapierbörse, Irish Stock Exchange, European Energy

Exchange, OTC Derivative Transaction and Securities Lending Transactions

**Under the Individual Clearing Model, legal analysis has to be completed per CM jurisdiction and the client or fund jurisdiction to ensure that the

model would operate as envisaged. Please contact us for the latest available combinations of CM and client or fund jurisdictions. Additional

jurisdictions will be considered based upon market demand

***For OTC markets only



Assessment of segregation and porting under EMIR

Tagged asset

Individual physical

custodian account

Gross

incl.

excess

Allocated value

Allocated asset

Net Allocated

value/asset

Om

nib

us

seg

reg

ati

on

EM

IR 3

9(2

)

Pos Coll

Margin

DC*** Segregation Porting Risk

Operational

simplicity

Capital

charge*

Eurex Clearing

services

4 %

4 %

Ind

ivid

ual

seg

reg

ati

on

EM

IR 3

9(3

)

2 %

2 %

In development Eurex Clearing will

implement a LSOC with

excess model

Very likely

Unlikely

None

High

Easy

Complex

Fellow

Customer

Liqui-

dation

Replace-

ment

Transit

Gross LIVE

Individual Clearing

Model

LIVE** Elementary Omnibus &

UK CASS Omnibus

9

*Subject to an open consultation and final

rule making in Basel III

**The Elementary Omnibus Clearing Model

is live today and will be amended during

December 2013 to implement legal changes

to fulfil EMIR segregation and portability

requirements.

The UK CASS Omnibus Clearing Model is

live.

*** Difference Claim

Characteristics, risk profile, operational complexity and porting likelihood per model

This overview represents Eurex Clearing‘s own models and its view of the model characteristics



10

Agenda








Individual Clearing Model: Best in Class Client Segregation

• Eurex Clearing launched the Individual Clearing Model in August 2011 and has made significant investments to enhance

collateral management to realise scalable efficiencies, which has fed through to significant client demand. The ICM is

currently being used by German and Dutch clients through German and UK Clearing Members. There are 4 UK clients

and a Belgium client currently on-boarding with and we have seen a marked uptick in client interest, particularly given the

OTC IRS fee-waiver and the latest ESMA Q&A

• Legal model is based upon a double title transfer collateral arrangement and security interests to allow Eurex Clearing to

deal directly with a client following insolvency of the Clearing Member

• Documentation: Market standard client clearing documentation, such as the ISDA/FOA, FOA or the German Banking

Association, or the Clearing Member’s proprietary documentation may be used in conjunction with Eurex Clearing’s ICM

Annex. The client is required to enter into a Participation Agreement with Eurex Clearing. Alternatively, Eurex Clearing’s

triparty agreement may be used with any client documentation.

11

RC 1

collateral

account

RC 1

positions

Margin

requireme

nt of RC 1

Porting: Immediate porting is available upon default. The client would receive their actual segregated

collateral and upon default have a range of porting options to suit individual client requirements

Positions accounts

• Individual positions accounts per client

• Clients may be a legal entity (for example, a bank or broker-dealer offering indirect client clearing), or the

client can be a fund manager, a fund itself, or a fund segment

Margin Requirement

• The margin calculation is performed per client. Clearing Members will receive individual margin reports,

cash payments will be netted

Collateral

• A client may opt for full physical segregation where they hold a sub-account at the CSD for their benefit,

or a CM can use asset tagging, where an omnibus sub-account which is held for the benefit of all clients

and assets are tagged and individually booked for the client at the CCP level

Individual Clearing Model



12 12 © Oliver Wyman

Value proposition

Timely transfers of

cash and securities

Portability of client

assets

• Protection of the actual assets provided to us by either the CM or client

• Higher protection than individual segregation by value or omnibus accounts

• Individual account protection down to underlying funds or fund segments

• Robust legal construct

• Client choice to port or become an Interim Participant

• Porting without liquidation or replacement risk

Safe

ty

Full asset protection

• CM contractually required to pass through non-cash collateral without delay

• Book entry transfers of cash between CM account and client account

• Removal of transit risk

• Securities can be delivered to separate physical accounts at the CSD or tagged

• To be implemented in November 2013

Direct delivery

Legal documentation • Robust legal model with available legal opinions for CMs

• Agnostic client documentation approach

Eurex Clearing’s Individual Clearing Model provides highest level of safety to clients

12





Value proposition

New features available to increase efficiency and scalability for clearing members and clients

Collateral transformation

• Rather than maintaining a physical CSD account per individually segregated clients, CM’s

can maintain one omnibus account at the CSD for the benefit of each individual client

through asset tagging.

• CM has flexibility to provide collateral transformation services

• Client receives full suite of position and collateral reports from Eurex Clearing

Collateral operations

Eff

icie

ncy

Large eligibility schedule

• Over 25,000 eligible securities (governments, corporates, equities)

• Can be used for Initial Margin and Clearing Fund

• Central Bank eligible securities reduces liquidity risks for CCP in event of CM default

• Return of EUR and CHF until late afternoon (to be implemented November 2013)

• CM’s receive back cash intraday on receipt of client securities/risk reducing trades Cash cut-off times

Capital efficiencies • Clients “look-through” to CCP under CRR/CRD IV

• Risk weight of 2 percent for both CM and the client (bank)

Book entry cash • CM can perform book only cash transfers between the firm and client account

• Increases operational efficiency, reduces transit risk, avoids fees

13




14

Eurex Clearing documentation on-boarding options for the ICM

Documentation

CM – Client

Documentation

Eurex Clearing Netting opinion

requirement Comments

Any documentation

can be used

(e.g. CRV, FOA,

ISDA, proprietary)

• Eurex Clearing Tri-

party agreement

(ECD) • None

Available

n/a • Ready for on-boarding*

Clearing

Rahmenverein-

barung (CRV)

• Eurex Clearing

Annex

• Participation

Agreement (CCD)

• CRV Netting

opinion

• Onboarding can start

• Admission subject to availability of

netting opinion

ISDA/FOA Client

Clearing

Addendum

• Eurex Clearing

Annex

• Participation

Agreement (CCD)

FOA Client

Clearing Module

WIP • Eurex Clearing

Annex

• Participation

Agreement (CCD)

• FOA Netting

opinion

WIP

• Onboarding can start

• Admission subject to availability

of netting opinion

• OTC only

• ISDA Netting

opinion

• Onboarding subject to finalisation

of FOA doc and Eurex Annex

• Admission subject to availability of

netting opinion

• Listed & OTC

Proprietary

Clearing Member

Documentation

• Participation

Agreement (CCD)

• Proprietary netting

opinion

• Extention opinion**

• Please approach Eurex Clearing

to discuss individual approach

Available

Sept 2013 Expected

Nov 2013

WIP

CM

WIP

WIP***

* Assuming tri-party agreement prevails over CM – client documentation in CM default

** CM’s legal counsel to confirm compliance of proprietary documentation with Eurex

Clearing requirements as outlined in the clearing conditions

*** Eurex Clearing’s Annex will be provided shortly after the final FOA Module is

published

**** Eurex Clearing’s Annex will be final shortly after the final CRV netting opinion is

available

CM

Available

Timeline industry

dependent

CM

WIP Work in progress

Individual Assessment per Clearing Member

1

2

3

4

5

CM

Timeline industry

dependent

WIP****



15

Agenda








Elementary & UK CASS Omnibus Clearing Models

• Eurex Clearing historically offered separate client position accounts for position maintenance, accounting and recording

purposes but required the Clearing Member to provide its own collateral to cover those positions. Under EMIR, Eurex

Clearing will also be required to record the value of collateral covering the positions separately and calculate a separate

Difference Claim. Amended Clearing Conditions will be published in November 2013, reflecting these amendments and

Eurex Clearing will implement functional changes at the Clearing House level during December 2013. Despite these

changes, Clearing Members will not be impacted unless the Clearing Member opts to have an additional sub-account at the

CSD level for collateral covering client positions

• Legal model is based upon transfer of title in cash and a pledge of securities from Clearing Member to Eurex Clearing

• Any documentation may be used

• Porting is not likely, but a separate Difference Claim will be created

16

Positions accounts

• Omnibus position account for non-disclosed clients

• Individual clients may adopt this model (from any jurisdiction) and have segregated

positions from other clients but not collateral (see the ICM model)

Margin Requirement

• The margin calculation is performed per position account. Clearing Members will

receive individual margin reports, but payments will be netted

Collateral

• Elementary Clearing Model collateral can be held in the CM‘s main pledge account or

in a separate sub-account for the benefit of clients

• UK CASS Omnibus collateral held in a separate sub-account at the CSD

NCM 1

positions

Undisclosed

client

positions

Collateral for Client omnibus segregated account/

Collateral allocation by value in proprietary account

Omnibus Client Segregation

RC 1

positions

Margin

requirement

all clients

Margin

requirement

NCM 1

Margin

requirement

RC 1

The UK CASS Omnibus Clearing Model is

functionally the same as the Elementary

model, but the Difference Claim would be

protected under the UK Client Money Trust.

Omnibus Clearing Models



Documentation: market standard agreements can be used

Porting is more likely to occur because gross margin, including excess, is held by Eurex

Clearing, but only the value is protected (i.e. omnibus client segregation under EMIR)

Positions accounts

• Individually segregated positions accounts

Margin Requirement

• MR is calculated separately for every position account

• Margin calls will be the sum of the margin requirement per account for all LSOC with

excess clients in one pool

Collateral

• A clearing member can have multiple LSOC with excess collateral pools

• Each pool must be covered for the sum of all clients’ (in that Omnibus Pool) margin

requirements

• Client Segregated Value (CSV) can be maintained per client by file upload

• CM can deposit/withdraw Client Excess collateral and is not required to provide a file

as one client will have one dedicated client excess collateral pool

17

‘LSOC’ with excess – proposed model

LSOC with excess

RC2 RC1

A1 P1

MR MR

A1 P1

MR MR

LSOC with excess Pool 1

Client 1

Excess Pool

Client 2

Excess Pool

CSV 1 CSV 2

• Eurex Clearing is developing a clearing model that would adopt the general principles of the legally separated

operationally commingled (LSOC) with excess clearing model being developed in the US, for the European market. This

would build upon CM’s operational process to implement a further value-based gross segregation and porting model that

would be cost effective and operationally scalable. Eurex Clearing is aiming to implement this model during 2014, which

will initially be launched for OTC markets only.

• Legal model: is based on title transfer collateral arrangements

Omnibus Clearing Model




Clearing Member

dependencies on

CCPs

Eurex Clearing response

Disclosure Supports the FOA market standard disclosure document and will engage with the project once we have received

completeness confirmation on our EMIR application from the regulator

Testing Test environments are available and operating today for the ICM & CASS Omnibus Clearing Models. The Elementary

Omnibus Clearing Model is being modified but full disclosure about the implementation has been shared (& functional

changes on the CM level are not required). E.g. bilateral meetings with CMs occurred in Jun-August. 13 September, legal

meeting for the extended UK dealer-group

STP rates Eurex Clearing has implemented and will implement a number of collateral enhancements to make the ICM scalable, and

has developed a collateral roadmap to include an API and quad-party solutions during 2014

Client take-up and

documentation

Whilst Eurex Clearing has live clients and an increase in demand for the ICM, most clients want to use market standard

documentation. Eurex Clearing is ensuring that the ICM is compatible with the market standard documents and that these

can be utilised upon receipt of a netting agreement produced by the relevant trade associations

CCP

interpretations

Where relevant, Eurex Clearing has provided detail about our interpretation of EMIR. For example, we interpret excess to

amount to any excess on the CCP level of an individual client. Under the ICM, both variation and initial margin are

protected

Eurex Clearing provides support to address the most acute EMIR implementation issues faced by Clearing Members

Eurex Clearing offers immediate and full on-boarding support to facilitate compliance of Clearing Members

with EMIR requirements in time with Eurex Clearing’s reauthorisation under EMIR

18



19

Appendix



Eurex Clearing has submitted its application for re-authorisation as central counterparty under EMIR on 1 August 2013

EMIR - Timeline

Timeline - Application process for Eurex Clearing

Submission of application to BaFin by Eurex Clearing

Completeness check by BaFin

BaFin deems the application complete

Establishment of college

BaFin conducting a risk assessment of Eurex Clearing

College to reach joint opinion

BaFin decides on authorisation and writes explanation

Authorisation or refusal of the application

Timeframe in which BaFin has to inform ECAG of its decision

WD = Working Days Process steps triggered by Eurex Clearing

CD = Calendar Days Process steps triggered by authorities

Ap

plic

atio

n

pro

cess

Sep Oct Nov Dec Jan Feb MarAug

2013

Jul

2014

1 month

6 months

30 WD

30 CD4 months

30 CD

If application is deemed incomplete a new deadline will be set by BaFin

Submission of application by Eurex Clearing = 01.08.2013

20

Status Eurex Clearing

Eurex Clearing has submitted its application for re-authorization as CCP under EMIR to its

national competent authority, BaFin, on 1 August 2013

From this date on, BaFin has 30 working days to conduct a completeness check

Final decision from BaFin about granting or refusing authorisation is expected in Q1 2014



21

Main

Features Elementary Clearing Model

UK CASS compliant

Omnibus Model Individual Clearing Model

Position

accounts

• Positions are held on separate position

accounts

• Positions are held on a UK CASS

omnibus account

• Positions are held on individually

segregated accounts

Margin

requirement

• The margin requirement in is calculated net

for all omnibus clients

• The margin requirement in the

UK CASS omnibus account is

calculated net for all omnibus

clients

• The margin requirement of a

segregated client is covered by a

dedicated collateral pool, which

only holds collateral for the

purpose of the specific client

Collateral

management

• Collateral is allocated to proprietary and client

positions

• Collateral is held for a group of clients, i.e.

cannot be assigned to individual clients

• Two alternatives for operational

implementation:

1) By value: one collateral pool (cash and

securities) with pro rata allocation by value

to proprietary and client positions

automatically in the Eurex Clearing System

based on margin requirements

2) By asset (sub)account/pool ID)): Allocation

of cash collateral by the CM through

unique identifier (pool ID). Allocation of

securities collateral by the CM via SWIFT

instructions to CBF/SIX SIS Ltd./CBL

account

• The securities collateral account remains

within the account structure of CM

• Collateral is allocated to the UK

CASS omnibus account

• Collateral is held for a group of

clients, i.e. cannot be assigned to

individual clients

• The securities collateral account

remains within the account

structure of the CM

• Securities collateral is allocated

by the CM via SWIFT

instructions to CBF/SIX SIS Ltd/

CBL account

• Cash collateral is paid from the

account of the CM. There is a

unique identifier (pool ID)

indicating the respective client

displayed on the reports

• Collateral is held on individually

segregated accounts

• Collateral is held segregated for

single clients, i.e. every client is

assigned his own collateral

• The securities collateral account

remains within the account

structure of the CM from an

operational perspective and is

clearly labelled to hold collateral for

the purpose of the segregated

client

• Cash collateral is paid from the

account of the CM. There is a

unique identifier (pool ID)

indicating the respective client

displayed on the reports

Client type Clients can be either undisclosed in the Agency

a/c or become an RC / NCM.

Clients can either be undisclosed in

the A9 a/c or become an RC/NCM.

Clients are disclosed to Eurex

Clearing.

High level comparison of segregation models



22

Main

Features

Elementary Clearing

Model

UK CASS compliant

Omnibus Model Individual Clearing Model

Risk weight 4% subject to final rules 4% subject to final rules 2% subject to final rules

Legal

agreement

• Any documentation can be used

• Agreement on CM level with

client(s) required

• Eurex Clearing-CM-NCM/RC

conclude tripartite agreement

• Any documentation can be used

• Agreement on CM level with

client(s) required

• Eurex Clearing-CM-NCM/RC

conclude tripartite agreement

• Market standard documentation available

• Tripartite agreement for ICM (Eurex

Clearing-CM-NCM/RC)

• In case of ICM for funds (flexible account

structure): Segregation applies on

individual fund level

System access

for the client

No system access for clients or RC

required.

No system access for clients or RC

required.

NCM: Full access required

RC: Optional access, but CRE mandatory.

Legal structure/

provision of

collateral

Collateral is allocated as proprietary

or client collateral. Title transfer of

cash and pledge of non-cash

collateral to Eurex Clearing.

Title transfer of cash and pledge of

non-cash collateral to Eurex

Clearing.

Double title transfer.

Portability

• One Difference Claim is calculated

for all clients

• Available if all clients agree to be

ported and a single alternative CM

accepts the transfer.

• One Difference Claim is

calculated for all clients

• Portability is available for the UK

CASS omnibus net a/c where all

clients agree to be ported and a

single alternative CM accepts the

re-establishment.

• One Difference Claim is calculated/client

• Full portability of positions and collateral;

Upon fulfillment of prerequisites:

1) Interim Participation (NCM/RC) or

2) Immediate transfer via re-

establishment under a new

solvent CM.

Protection

CMs provide collateral to cover client

and proprietary positions.

The UK CASS omnibus net collateral

is protected at the CCP level.

Maximum protection of client positions and

collateral under a robust legal construct.

Status ECM is live, and will be modified to

implement EMIR by year-end Live Live

22

High level comparison of segregation models



ECAG offers a variety of services to guarantee optimal usage of provided collateral

23

Fixed income in EUR Fixed income in CHF Equities

ECB eligible marketable assets

ECB liquidity classes I-IV

Swiss National Bank (SNB) Repo eligible EUR-denominated

DAX®, EURO STOXX 50® constituents

DAX® Ex products, iShares EURO STOXX 50

Other stocks as announced by ECAG

Exchange listing and price

(except bills)

Exchange listing and price CHF-denominated

SMI constituents

XMTCH on SMI products

Other stocks as announced by ECAG

Types of securities

• Government and short term

issues (Bubills) bonds

• State issues

• City and municipality bonds

• State agencies

• Corporates and other bonds

• Bank bonds

Types of securities

• Federal bonds and bills (GMBF), loan obligations

• Kantonal obligations, bonds, bills (GMBF)

• City and municipality bonds

• State agencies

• Corporates and other bonds

• Bank bonds, mortgage bonds

(Pfandbriefzentralen), no ABS

Fixed Income in foreign currencies Cash Other

Government Bonds in USD, GBP, DKK, NOK, SEK, AUD, CAD, JPY EUR, GBP, USD,

CHF

Xetra Gold Certificates denominated in EUR

Exchange listing and price



Eurex Opens

Target2 for EUR

SIC for CHF

Euro SIC instructions will

have value date T+1 Euro SIC for EUR

CHAPS for GBP

SIC for CHF (instructions will be under the value

date T+1

CHIPS for USD

10:00 9:00 12:00 11:00 13:00 16:00 18:00 20:00 19:00 22:00 21:00 8:00

Eurex Opens

For cash collateral the following currency specific timelines apply • In general Eurex Clearing is restricted by the availability of the respective payment infrastructure for the cash deposits

7:00 15:00 17:00 14:00

Last instructions by Eurex and deadline for cash deposits via fax

13:15

CET

16:15

17:30

Deadline for cash release

20:45

9:30

14:00

21:00

13:30

16:30

Deadline for cash deposits via Eurex@X-Tract GUI

24



-

-

- -

- -

- -

- -

- -

25

Individual Clearing Model – Overview of jurisdictions

Client jurisdiction (RC/ NCM)

FI

Cle

ari

ng

Mem

ber

juri

sd

icti

on

Available

* Issues with Swiss national law have been observed, solutions under assessment

** Availability subject to legal feasibility

- Not yet considered, consideration

subject to market demand

DE EN&WA FR NL IE LU SC BE

Analysis to be completed

during Q4 2013**

Additional jurisdictions will

be considered based upon

market demand

ES

CH*

AU



26

Individual Clearing Model – Overview of fund jurisdictions

* Only possible for OTC IRS

** Porting or direct payment to client likely subject to FINMA approval in case of a

Swiss CM insolvency (under current Swiss Insolvency law)

*** Where the legal entity is an investment firm. Other fund types to follow in Q4

**** Availability subject to legal feasibility

Additional jurisdictions will be considered

based upon market demand****

* Q4 - Q4 -

* * Q4 Q4 Q4

* * Q4 Q4 -

- - - - - -

- - - - - -

- - - - - -

- - - - - - Q4**

Client jurisdiction (Funds)

Cle

ari

ng

Mem

ber

juri

sd

icti

on

DE EN&WA IE LU CH**

Available

Q4 Analysis started; completion

expected by end of Q4****

- Not yet considered, consideration

subject to market demand

CCFs, Unit Trusts, Investment Companies, Investment

Limited Partnership

IE

DE

EN&WA

Kapitalanlagegesellschaften acting for investment funds

(Sondervermögen)

OEICs, AUTs

FCPs, SICAVs, SICAFs LU

FR NL***



27

Individual Clearing Model – alternatives in a default situation

The handling of segregated and non segregated clients after close-out netting


There are three options an NCM/RC can choose from:

A. to receive a final pay out of the cash settlement amount; the liquidation process begins B. Immediate re-establishment under new relationship (back up Clearing Member) C. to become an Interim Participant and have the positions and collateral be transferred to a technical clearing member ID

Valuation Day + 1

Assumption: If the trigger event is identified prior to 17:23 CET, valuation day equals termination date. If the trigger event

is identified after 17:23 CET, Valuation day is D+1.

Valuation Day Valuation Day + 2 Valuation Day + 3 Valuation Day + 4 Valuation Day + 5

Immediate

re-establishment

Interim participation

Pay out

Close-out netting

of positions

07:00 – 22:30 CET A

B

C



CM old

Close-out

Netting

Close-out

Netting

Interim

participation

Max. 5 day period

ECAG ECAG ECAG

CM new IP

NCM/RC NCM/RC

28

Individual Clearing Model – Interim Participant solution

Transfer of client positions and collateral via the unique Interim Participant status

• An individually segregated NCM/RC has, in the event of its CM’s default, the possibility to become an Interim Participant.

• The interim period can last up to 5 business days and can

be extended by Eurex Clearing.

• The IP is assigned to a technical CM ID in the Eurex®

system.

• The Interim Participant may only execute trades on a

restricted basis as outlined in the Clearing Conditions.

• If the Interim Participant doesn’t fulfil its obligations during

the interim period Eurex Clearing can suspend it according

to the Clearing Conditions with immediate effect and start

the close-out netting. The same happens after the interim

period and if no new Clearing Member was found.

• Eurex Clearing does not have the power to enforce a

transfer to a non-defaulting Clearing Member.

• All outstanding payments related to the positions reopened.

• Sufficient coverage for any margin shortfall.

• Coverage of Clearing Fund contribution for the interim

period.

• Confirmation of its financial solvency and technical ability to

maintain its position.

Characteristics

Legal requirements

Client Asset Protection

Documents

Transcript of Client Asset Protection