Eurex otc clear services irs _july 2013_vs3

Clearing services EurexOTC Clear for IRS – EMIR QCCP

June 2014

www.eurexclearing.com

EurexOTC Clear IRS June 2014

• Eurex Clearing – Overview

• EurexOTC Clear for IRS

• Risk management

• Client Asset Protection

• Collateral management

• Key contacts

Agenda

2



Core competencies

Eurex Clearing – Central component of the silo structure of Deutsche Börse Group

*OTC: Over The Counter, FWB: Frankfurter Wertpapierbörse, ISE: Irish Stock Exchange, EEX: European Energy Exchange

Information

•Streaming data feeds

•Physical terminals

• Indices

Trading

•Operate open electronic books

•Connectivity to international trading members

Clearing

•Verification of trade-related information

•Margining

•Risk management

•Collateral management

•Position & trade management incl. give-up/take-up

•Exercise & assignment/notification & allocation

•Netting services

•Delivery management

Settlement

•Delivery of securities

•Financing services

•Securities lending & borrowing

Custody

•New issues services

• Income & redemption payments

•Tax services for both release at source and claims

•Corporate action notification & processing

•Proxy voting service

Information Services

Eurex/OTC*

FWB/ISE

Eurex Bonds

Eurex Repo

Eurex Clearing Clearstream Banking

(Frankfurt and Luxembourg)

IT services and software development (Deutsche Börse MD&S)

3



We will continue to integrate our products and services, not only across Eurex Clearing but across Eurex and Clearstream to provide

sustainable capital and operational efficiencies

• European leader in long-

term interest rate futures

and options – 2.2mn

contracts with EUR 285bn

notional cleared every day

• 333 clearing licenses in 17

European countries

• 545 Non-Clearing Members

• More than 6.7 million

cleared derivatives

contracts daily

• EUR 205bn notional

outstanding in January 2014

• Clearing of different

products under a single

legal netting set and

liquidation structure can

lower capital and funding

requirements

• Integrated cross-product

structures and significant

existing exposures can

lower default fund capital

requirements

• Large spectrum of eligible

collateral, re-use of other

assets (e.g. GC pooling)

and access to central-bank

accounts can mitigate

funding requirements

Lower risk Lower costs and capital Greater efficiency

Eurex Clearing is the only fully integrated CCP across asset classes with a single legal netting structure

4



5 5 © Oliver Wyman

Netting

efficiency

Default fund

efficiency

Collateral

efficiency

1

2

3

• Multilateral risk netting may be complemented by cross-

product netting between OTC, exchange-traded and

cleared repo transactions

• Balance sheet netting of exposure at default under a

single legal CCP construct and netting of positions in

Liquidation Groups for initial margin

Higher netting

efficiency lowers capital

and funding

requirements

Higher Default Fund

efficiency lowers capital

and funding

requirements

Higher collateral

efficiency lowers

funding requirements

• Required default fund contributions depend on the risk

characteristics of the CCP

• CCPs with significant existing exposures across products

under a single netting agreement and reflecting

segregation tend to lead to lower Default Fund contribution

and capital requirements

• CCPs with a large spectrum of eligible collateral and

re-use of other assets (e.g. GC pooling) mitigate funding

issues for clients

• CCPs with access to central bank accounts remove

double funding requirement for individual clearing brokers

Source: Eurex Clearing, Oliver Wyman analysis

An integrated cross-product CCP for all EUR-denominated products under a single netting agreement with

a large eligible collateral spectrum offers the highest efficiency

In light of tightening global regulation, an integrated CCP model can increase cost efficiencies for clients

Cost of clearing may vary substantially across CCPs along 3 key drivers…..

5



Sell-side cost savings of clearing over

bilateral with initial margin

Bps of notional

Global dealer

Savings ona baseline

CCP

Additionalcost

efficiencies

Savings onEurex

Clearing

Savings on abaseline

CCP

Additionalcost

efficiencies

Savings onEurex

Clearing

+50-75% ~0.3-0.35 bps

~0.2 bps

3

2

1

Regional bank

~0.25-0.3 bps +65-100%

~0.15 bps

1

2

3


CCP

Additionalcost

efficiencies

Savings onEurex

Clearing

Fixed income mutual fund

~2.0-2.4 bps +45-70%

~1.4 bps

1

2

3


CCP

Additionalcost

efficiencies

Savings onEurex

Clearing

~20-35 bps

-10 bps

2

3

Fixed income hedge fund

Buy-side cost savings of clearing over

bilateral with initial margin

Bps of AuM

Netting

efficiency

Cross-product exposure

netting and cross-margining

Default

fund

efficiency

Integrated, segmented

default fund structure

Collateral

efficiency

Large eligible collateral

spectrum, re-use of assets &

central bank acc.

1 2 3

Banks can improve cost efficiencies of central clearing substantially on a diversified CCP such as Eurex Clearing

6



7 7 © Oliver Wyman

The benefits of an integrated CCP become much more pronounced for leveraged buy-side firms

0.1 1.5

0.1

2.5

1.5

100 150

10

35

Savings of cleared vs. bilateral trades with IM

in bps of assets under management

Leverage

(notional interest

rate derivatives

over assets under

management)

Non-leveraged buy-side firm

savings on Eurex Clearing

Insurer

Mutual

fund

Hedge fund

Perspectives

• Differences on the buy-side are

primarily driven by

– Leverage in the portfolio

– CCP netting efficiencies

• Differences in efficiencies

between CCPs become more

pronounced the higher the

leverage

• For buy-side firms with a relative

small OTC interest rate portfolio

(e.g. insurers), cost differentials

are less relevant

• For a more leveraged buy-side

firm like a fixed income hedge

fund with a large OTC portfolio,

CCP efficiencies can have a

substantial impact on returns

Eurex Clearing

Baseline CCP

Source: Eurex Clearing, Oliver Wyman analysis

Leveraged buy-side firm

savings on Eurex Clearing

Hedge fund

Relationship of buy-side savings to leverage

7



Value proposition

Integrated full

asset class offering • Breadth of the CCP service offering is key prerequisite to deliver efficiencies!

• Can existing business be leveraged for operational and capital efficiency?

• What are the differences in costs between CCP’s?

• Can I fulfil my margin requirements with assets in my investment portfolio?

• What is my clearing fund contribution and what is my capitalization factor?

• How does the buy side client benefit from the capital efficiencies?

Capital efficiency

Efficient collateral

management

Major aspects to be assessed

Protection and

portability of client

assets

• The central counterparty is your counterpart. How safe is the CCP to

withstand defaults and crisis situations?

• Are my assets protected? What is the risk if another counterparty fails?

• Is portability possible? What is ported and when? What are the conditions?

• Is the segregation service operationally viable? What are the costs?

Safe

ty

Eff

icie

ncy

Proven and robust

CCP risk manager

Level of safety plus cost and capital efficiency are key differentiators between the CCP’s

8



The safety of the CCP through its lines of defense is a key criteria deciding where to clear

Values as of May, 2014

* Monthly average collateral value after haircut

Eurex Clearing’s lines of defense are crisis proven – default fund has never been

employed.

Lines of Defence

before Eurex

Clearing’s capital

sum up to more

than € 7.5 bn

Remaining equity of Eurex Clearing AG

Assessments to the Clearing Fund

Approx. € 249 m, Eurex Clearing thus fully EMIR compliant

Min. € 1.0 m (DCM) or € 5.0 m (GCM)

Total collateral held at Eurex Clearing approx. € 48.35 * bn

Close-out of all positions

Approx. € 2.84 bn

€ 50 m

Position netting

Collaterals of Member in default

Clearing Fund contribution of Member in default

Dedicated amount of Eurex Clearing AG

Clearing fund contribution of other Members

Coverage

in normal

market

conditions

(Lehman/

MF Global)

Coverage in

extreme

market

conditions Max 2 assessment limit liability of CM to 3x prefunded clearing fund contribution

Eurex Clearing lines of defense

Parental Guarantee € 700 m guaranteed by Deutsche Börse AG

9



Key operational differentiators to be assessed between CCP’s

• Early return of cash removes double funding

• Early return of cash reduces counterparty risk and funding costs to the CCP

• Central bank access provides liquidity in a crisis and reduces systemic risk


• Direct delivery of cash and securities removes operational cost / burden for CM

• Approx. 30,000 eligible securities lowers funding costs of IM and DF

• GC Pooling allows re-use of securities to cover IM requirements

• Intraday return of cash

• Single margin call across all asset classes

• Direct delivery of cash and securities means no transit risk

• Full protection of client excess allows pre-funding at no risk

• Full protection of clients own assets means no liquidation risk / no replacement risk

• No mutualization of risks with fellow customers

Op

era

tio

na

l e

ffic

ien

cie

s

Efficient collateral

management

Portability and legal

certainty

Central Bank access

• Portability of clients actual / own assets in CM default

• Ability to become Interim Participant allows 5 + days for porting

• Legal certainty for clients and Clearing Members domiciled in EU

• Legal certainty for porting, close-out netting and protection of assets at fund level

Protection and

segregation

10



Key operational differentiators to be assessed between CCP’s

• 5 day MPOR applied to OTC IRS for both house and client accounts lowers margin

requirement, which lowers DF and funding costs

• which lowers DF contribution which lowers capital cost and lowers funding cost

• 0% capital risk weight for house collateral

• 2% capital risk weight for individual segregation

Efficiencies

• Lower DF means lower funding costs

• Lower IM means lower funding costs

• 30,000 eligible securities lowers funding costs of IM and DF

• GC Pooling allows re-use of securities

• Near real-time margins and intraday return of cash removes double funding for clients

and reduces funding costs on risk reducing positions


• Cross asset class CCP with single legal netting lower EaD which lowers capital costs

• Cross product margins in Liquidation Groups

• Payment netting across asset class with a single margin call

• CRR opinions

• DF segmentation decreases total size of CF by 40%

• DF allocated as 7% of IM.

• Cross margins lowers IM by 20 – 40% and hence DF contribution

Ca

pit

al a

nd

fu

nd

ing

Lower capital costs

Netting efficiencies

Efficient Default

Fund

Lower funding costs

11





• Risk management



• Key contacts

Agenda

12



13 13 © Oliver Wyman

We have seen a significant increase in new CM’s & RC’s

• 33 OTC IRS Clearing Members admitted and over 141 Registered Customers onboarding

• Union Invest first major KVG live in Individual Segregation with approx. 100 underlying funds

Admitted Clearing Members:

13

http://www.kasbank.com/

http://www.bayernlb.de/internet/de/content/index.jsp



14 14 © Oliver Wyman

CRD IV

Clearing demand

Liquidity

Collateral

End clients

New capital requirements

introduced in Jan 2014

Mid tier European banks

becoming direct CM’s and

increasing Eurex activity

Liquidity provided by all

major broker dealers

GC pooling collateral re-

use and late return of

Central Bank cash

Over 140 RC’s have

qualified for the fee

waiver and many

starting to actively clear

Fee waiver No OTC IRS clearing fees

until Jan 2016

Eurex Clearing volumes have increased significantly since the beginning of 2014

0

5,000,000,000

10,000,000,000

15,000,000,000

20,000,000,000

25,000,000,000

Sep Oct Nov Dec Jan Feb Mar Apr

CHF

EUR

Total (EUR)

Outstanding Total turnover

EUR 11,557,000,000 14,457,000,000

CHF 14,156,100,000 17,056,100,000

Total (EUR) 21,420,949,281 28,470,721,062

14



Currencies:

Types:

• Vanilla IRS (Fix vs Float)

• Basis swap (Float vs Float)

• OIS, FRA

• Zero coupon

• Compounding

• Variable notional

Structures:

• Spot, forward start & stub periods,

linear interpolation

• EUR (EURIBOR) and GBP (LIBOR),

1m, 3m, 6m, 12m

• USD and CHF (LIBON) 1m, 3m, 6m

EUR USD GBP CHF

Product description

JPY

OTC derivative classes

Derivative

classes Current Product classes

Asset-class Type Underlying 1 Notional Currency Settlement

Currency

Maturity/Range of

maturities/Tenor

Settlement

conditions

Range of payment

frequency

Interest Rate Fixed to Float EURIBOR EUR EUR 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate Fixed to Float LIBOR CHF CHF 2D-30Y Cash 1M, 3M, 6M

Interest Rate Fixed to Float LIBOR USD USD 2D-50Y Cash 1M, 3M, 6M

Interest Rate Fixed to Float LIBOR GBP GBP 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate Fixed to Float EURIBOR EUR EUR 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate Fixed to Float LIBOR CHF CHF 2D-30Y Cash 1M, 3M, 6M

Interest Rate Fixed to Float LIBOR USD USD 2D-50Y Cash 1M, 3M, 6M

Interest Rate Fixed to Float LIBOR GBP GBP 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate Basis EURIBOR EUR EUR 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate Basis LIBOR CHF CHF 2D-30Y Cash 1M, 3M, 6M

Interest Rate Basis LIBOR USD USD 2D-50Y Cash 1M, 3M, 6M

Interest Rate Basis LIBOR GBP GBP 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate Basis EURIBOR EUR EUR 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate Basis LIBOR CHF CHF 2D-30Y Cash 1M, 3M, 6M

Interest Rate Basis LIBOR USD USD 2D-50Y Cash 1M, 3M, 6M

Interest Rate Basis LIBOR GBP GBP 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate OIS EONIA EUR EUR 2D-3Y Cash 1M, 3M, 6M, 1Y

Interest Rate OIS TOIS CHF CHF 2D-3Y Cash 1M, 3M, 6M

Interest Rate OIS Fed Fund USD USD 2D-3Y Cash 1M, 3M, 6M

Interest Rate OIS SONIA GBP GBP 2D-3Y Cash 1M, 3M, 6M, 1Y

Interest Rate FRA EURIBOR EUR EUR 28D-2Y Cash 1M, 3M, 6M, 1Y

Interest Rate FRA LIBOR CHF CHF 28D-2Y Cash 1M, 3M, 6M

Interest Rate FRA LIBOR USD USD 28D-2Y Cash 1M, 3M, 6M

Interest Rate FRA LIBOR GBP GBP 28D-2Y Cash 1M, 3M, 6M, 1Y

Interest Rate Fixed to Float LIBOR JPY JPY 2D-50Y Cash 1M, 3M, 6M, 1Y

Interest Rate Fixed to Float LIBOR JPY JPY 2D-50Y Cash 1M, 3M, 6M, 1Y

EurexOTC Clear for IRS was launched in Nov. 2012 and was authorized as a QCCP on 10 April 2014

15

http://www.flags.net/UNST.htm

http://www.flags.net/UNKG.htm



Initiative Description Planned launch

Products

enhancements

Inflation swaps Nov 2014

Swap futures Jun 2014

Swaptions N/A

IRS CCY expansion – Nordics Planned 2015

Extension of OIS maturities Nov 2014

Combination of stub periods Nov 2014

Introduction of OIS for JPY Nov 2014

Service

enhancements

ECAG advanced netting Nov 2014

TriOptima D2d linked compression N/A

TriOptima D2d/ client unlinked compression Nov-14/ Q1-2015

Bloomberg VCON connectivity (Trade Source/ Capture) Q2 2014

OTC Margin Calculator enhancements May 2014

Cross Margining – Prisma May 2014

Fund level cross margining Sep 2014

Product/ service roadmap

16



More than 1.9bn contracts were cleared on Eurex Clearing in 2013

Central Bank

TARGET2 / SNB Trade Warehouse Central

Depository

Confirmed Trade

MarkitSERV/VCON Affirmation/Confirmation

platforms Affirmation/

confirmation

Margin payments Collateral

Risk Management

Position Management Risk management Position management

Eurex Clearing

CCP

Trade

execution

Executing Broker

Client

Execution

Trade Submission

Existing market

infrastructure

Front to back processing

Near time clearing

Direct access via

affirmation/ confirmation

platforms

Real time risk

Manage your risk and

positions intra-day

Secure payment

networks

Utilisation of Central

Bank money

Tra

de

co

nfirm

atio

n

Collateral &

trade

warehouse

Eurex Clearing provides a flexible solution via existing market infrastructure

17



Deal

submitted

Eligibility

Check

CM take-up

trade?

Risk

Check Collateral to

Novate?

Update to

MarkitWire

Legal CCP

Novation

‘OTC

Trade

Novation’

Report

CI201

n y

n

Process Repeat

y

Ma

rkitW

ire

E

ure

x C

learin

g

CM

• MarkitWire submits allocated, affirmed and released

eligible deals for clearing

• Eurex Clearing checks if the trade is eligible

• Clearing Member takes-up the trade for clearing

• ECAG performs a incremental risk check i.e. calculates

margin requirements and incremental portfolio increase

• Eurex Clearing verifies if pending deals can be covered by

available collateral

• If sufficient collateral is available ECAG will novate the

trade:

– Trade novated immediately via ‘OTC Trade

Novation’ CI200 report distributed

– Trades updated to “Cleared” Status in MarkitWire

• If sufficient collateral is not available, the trade returns to

incremental ‘risk check’.

• After clearing cut-off, remaining pending as well as new

deals submitted during closure from MarkitWire are

queued for processing next day

• Eurex Clearing issues daily overnight margin call covering

the entire portfolio risk.

Three times a day, ECAG will issue a margin call for

any trades that have not novated due to missing

collateral: 12:00, 14:00 & 18:00. A direct debit will

take place 1h after the call.

Any trades not novated by closure (22:00) are

included in the End-Of-Day overnight Margin calls

Take-up

Accept/

Reject

Novation flow - (Near) real-time clearing Eurex Clearing will continuously novate trades during opening hours:

08:00-22:00 CET.

18



Eurex OTC IRS Clear netting / accumulation functionality

• O – Eligible trades marked with the same netting string will be netted together (default)

• Y – Eligible trades marked with the same netting string will be netted together

Also, eligible trades without a netting string will be netted together (i.e. blank is a value)

• N – No netting will be performed on this account

Netting parameters – Set per account

• Eligible netting strings are a list of alphanumeric strings. Only these pre-defined eligible netting strings can be assigned as netting strings

on trade level for a particular Member.

• Eligible netting strings can be defined via the data reference sheet as well as in the EurexOTC Clear GUI. Updates and changes to

eligible netting strings can be done in the EurexOTC Clear GUI.

• Netting strings are assigned on a trade basis (MarkitWire upon affirmation, EurexOTC Clear GUI or API).

Eligible netting strings – Set per Member (CM,RC)

Identical parameters to allow netting/accumulation

• Product type

• Account

• Currency

• Rate index

• Rate index tenor

• All future coupon dates

• Maturity date

• Current applicable fixed floating rate

• Spread over floating rate

• Day count convention (per leg)

• Reset lag

• Payment lag

• Fixed rate

19



• Registered Customers can change the Clearing Member to which a trade is assigned to if:

– Both have accepted the change via the GUI.

– A risk check has been performed to ensure sufficient margin is in place.

• Trades can be transferred to another account within the same Clearing Member, providing

there is sufficient margin available.

• Registered Customers and Clearing Members can transfer trades, fully or partially, across

their accounts.

• The Clearing Member or Registered Customers can change internal references or split trades

into smaller notional.

No risk check will be required.

In case of Registered Customer initiation the Clearing Member has to agree.

• Clearing Member‘s or Registered Customer‘s can request that an inter dealer or client

clearing trade is de-cleared from Eurex Clearing to reverse an error trade.

– The original bi-lateral counterparty must accept it.

– A risk check has to be performed to ensure sufficient margin is in place.

– The de-clear option is only available until end of the business day following the novation

day.

Account

transfer/ re-

allocations

Trade

amendment

Trade transfer

De-clear

Supported lifecycle events Once trades have been successfully cleared and registered with Eurex Clearing, they

can be managed and amended.

20



Netting/

accumulation

Trade rejection

Termination

Clearer change

• Clearing Members and Registered Customers can request a full or partial trade termination

– The other party has to accept the change.

– Risk checks for sufficiency of margin have to be made.

• The Clearing Member or Registered Customer can mark two or more offsetting trades (fully or

partially) for netting in order to close out two identical trades opposite or reversing trades.

• It is also possible to add up the notional of two or more risk neutral trades (accumulation of

trades).

• A new trade will be created with the outstanding notional of the original trades.

• The Clearing Member or Registered Customer can request a trade rejection for trades that

are pending for novation due to missing collateral.

This allows members to reduce the risk emerging from OTC margin calls.

Both Clearing Members need to accept the rejection.

• Registered Customer‘s have the possibility to change their Clearing Member and to transfer

all open transactions to a new Clearing Member.

– Before the open transactions can be moved an official transfer agreement has to be

signed by the old Clearing Member, the Registered Customer, the new Clearing Member

and Eurex Clearing.

Supported lifecycle events

21



With release 2.1, EurexOTC Clear Members have several options for backloading trades

• Standard MarkitWire GUI

– Historical trades can be entered through the standard MarkitWire GUI

• Internally developed API connection to MarkitWire

– Variable functionality, depending on system

– Requires an internal build on the part of the customer against the EurexOTC FpML Interface

• MarkitWire Bulk Action Tool

– Option for Members who do not wish to build against the FpML interface

– MarkitWire offers support for new users of the MarkitWire Bulk Action Tool

22



Bulk backloading processing (1/2)

• Market participants (Executing Brokers and Clients) select trades with

a trade date in the past (older than 10 business days) and upload them

• These trades are sent to EurexOTC Clear and will be processed

separately from new trades. These trades will need to pass the initial

validations and need to be taken up by the Clearing Member (client

clearing only) and will then be placed in the status BS_BACKLOADED

• Every two hours starting at 09:00 CET a report including all trades in

status BS_BACKLOADED will be generated (CI218)

• At 17:00 CET there is a cut-off time, all trades delivered to the system

after 17:00 CET will not be considered in that days novation cycle, but

will stay in that status until the next day

• Starting 17:00 CET an incremental risk check for the backloaded

portfolio will be performed and a report (CI217 Preliminary

Backloading Margin Report) will be created notifying the clearing

member of the incremental risk (= forecasted margin requirement) of

the portfolio. The incremental risk in only calculated on a portfolio basis

No trades will be cleared based on this calculation

Bulk backloading will enable Members to load historic deals on block and clear them

without interfering with the intraday novation process

T-1

T

08:00

17:00

Members

submit trades

for bulk

backloading

EurexOTC processes

trades and CMs

perform take-up

Trades with trade

date -10 bus days

are moved to

BS_BACKLOADED

Portfolio risk check is performed

on trades in BS_BACKLOADED

and Preliminary Backloading Margin Report

is distributed

Times in CET

23



Bulk backloading processing (2/2) Bulk backloading will enable Members to load a huge number of historic deals and

clear them without interfering with the intraday novation process

T

22:30

09:00

Portfolio risk check is performed

on trades in BS_BACKLOADED

which serves as basis for novation

and Preliminary Backloading Margin

Report

is distributed

21:00

Times in CET

T+1

Trades are legally novated or

Members with shortfalls are included

in the EOD OTC Margin Call

EOD OTC Margin Call needs to be

fulfilled

• The Clearing Member and client have the possibility to post additional

securities collateral if required or to reject the trades until 21:00 CET.

• At 21:00 CET a second incremental risk check for the backloaded

portfolio will be performed and the Preliminary Backloading Margin

Report (CC217) will be sent again. The clearing decision is based on

the 21:00 CET calculation.

• The trades to be backloaded can be uploaded at any time of the day

until 22:00h but only trades accepted by 17:00 CET will be included in

the bulk backloading run on that day.

• In case sufficient collateral is available at 22:00 CET the trades will

be novated and will appear as such in the EOD reports.

• In case the collateral is not sufficient the backloaded trades will be

included in the regular EOD OTC Margin Call process.

24



Access to the service for Clearing Members General Clearing Members (GCM) may clear their own transactions and those of their

Registered Customers and clients that do not hold a clearing license

Membership

criteria

Liable equity

• Access to the clearing system infrastructure of Eurex Clearing as well as being a user of an approved

trade source (ATS).

• Default management obligations.

• Cash accounts, EUR or CHF, USD and JPY cash accounts are required, also a GBP account if

clearing swaps in GBP.

• Evidence of a pledge account at CBF or SIX SIS for deposit of securities collateral.

• Each IRS OTC GCM must meet the minimum liable equity capital requirements of ECAG, being the

largest of the following amounts;

• 20 percent of the 30-day average of additional margin plus futures spread margin

• 20 percent of the 250-day average of additional margin plus futures spread margin

• EUR 30 million

Requirements

Clearing Fund

Description

• Each IRS OTC GCM must make a contribution to the Clearing Fund of ECAG, being the largest of the

following amounts;

• 7% of the 30-day average of the initial margin requirement

• 7% of the 250-day average of the initial margin requirement

• EUR 5 million

25



Access type

Access to the service for clients

Eurex Clearing will provide a variety of options for clients to connect indirectly

Requirements

• To become a Registered Customer, the legal entity must have concluded a tripartite agreement with a

Clearing Member and Eurex Clearing AG.

• A Member/user of an approved trade source (MarkitWire for Phase 1).

• Access to the Common Report Engine.

• As such, the primary relationship is between the client and the Clearing Member. Clearing Members

are entitled to set their own eligibility criteria for clients.

• No direct relationship with Eurex Clearing AG.

• The primary relationship is between the client and the GCM, therefore GCMs are entitled to set their

own eligibility criteria for clients.

• A Member / user of an approved trade source (MarkitWire for Phase 1).

• Volume incentives on transaction fees.

• Zero collateral fee for Individually segregated accounts.

• Lowest capital costs of any CCP due to c-factor of 0.5%.

Cost

Registered

Customer (CR)

Client

26





• Risk management



• Key contacts

Agenda

27



The Eurex Clearing Prisma portfolio risk management module delivers significant benefits….

Margin efficiencies of Eurex Clearing Prisma highly depend on the size and structure

of a portfolio, but show up to 80 percent reductions in individual margin requirements.

• Aligned Default Management process between listed and OTC.

• Positions deemed suitable for simultaneous liquidation are

assigned to the same Liquidation Group.

• Risk offsets are only granted within the same Liquidation Group

(e.g. equity, commodity or fixed income).

Consistency

4

2

3 Central benefits • Adjustments to enable stable margin requirements: concentration,

uncertainty in correlations, model error adjustments if compression

is used.

• Flooring for stability: stressed period scenarios and dynamic volatility

scaling to at least long-run volatility percentiles.

Robustness

• More accurate risk-netting effects for listed, and also between listed

and OTC positions.

• Higher capital efficiency for customers through risk calculation on

portfolio basis.

Capital efficiency

• Reduced time-to-market for new products. Flexibility

1

5

• Cross-product scenarios enable consistent way to account for portfolio

correlation and diversification effects.

• Risk covered at 99 percent through margin calculation consisting of

− a mark-to-market component

− a forward-looking component

− an adequate liquidation time horizon

Accuracy

28



Eurex Clearing LCH.Clearnet ICE Clear Europe

Long-term ETD

(Bund, Bobl, Schatz)

OTC / Swaps

Inefficient for participants from a margin & DF perspective

• Plain vanilla IRS

• Zero coupons

• Overnight index swap

• Variable notional swaps

• Compounding swaps

• FRAs

• Euro-Bund, Bobl, Schatz, Buxl Futures

• Long-, Mid, and Short-Term Euro-BTP Futures

• Mid-,Long-Term Euro-OAT Futures

• Options on Euro-Bund, Bobl, Schatz and Euro-OAT

Futures

EU

RO

IR

S

Fix

ed

In

co

me

• Three-Month Euribor Futures & Options

• 1-4 year Euribor Mid-Curve Options

• One-Month EONIA Futures

MM

Additional efficiency from new products being delivered in 2014

• EURO Deliverable Swap Futures, 2-, 5-, 10- and 30 year

• Cash settled One-Month Euro Secured funding (Repo) Futures

Eurex Clearing – PRISMA margin optimiser for Euro Derivatives

Short-term ETD

(Euribor)

Clearing IR Derivatives is Fragmented Across 3 CCPs…

29



Cross-margining determines optimal allocation of products considering liquidation horizon + margin offsets

* Depending on portfolio diversity

Overall initial margins for cross-margined portfolios might be lower which reflects risk reduction.

Without cross-margining With cross-margining

IRS and fixed income futures / futures-style options

are margined separately:

IRS with a 5 day liquidation horizon

Futures and futures-style options with a proposed two day

liquidation horizon

OTC IRS FI listed products

IR swaps

FI futures /

futures-style

options

2 day horizon 5 day horizon

Margin requirements:

Futures / future

-style options OTC IRS

To

tal

If IRS and futures positions are hedged:

Futures are transferred to the IRS split such that the reduced risk

is reflected in lower margins*

IRS+FI

IR swaps

FI futures / opt.

Allocation of

FI listed

products

that hedge IRS

exposure

FI-only

FI futures /

futures-style

options

2 day horizon 5 day horizon

Margin reduction by cross-margining:

Cross-margined

portfolio

Total

Lower costs through cross-margining OTC and listed positions

30



• Calculated initial margin results for

– Single position fixed income portfolios consisting of futures (long positions)

– Compared with EUR single position swap portfolios (paying)

• IM saving of portfolio margining is defined as 100% minus the initial margin of the portfolio divided by the sum of the initial

margins of the single positions.

• The underlying swaps start at 4 July 2013

• Valuation date is 4 July 2013

• Initial margins for Prima OTC IRS Swaps and Prisma Cross FI OTC IRS margin calculated by means of robust VaR mean

99% with correlation break including liquidity adjustment.

Significant margin reduction for fixed income portfolios

-

500

1,000

1,500

2,000

2,500

3,000

3,500

Tho

usa

nd

s EU

R

Prisma OTC IRS Margin

RBM FI Margin

Prisma Cross FI OTC IRS Margin*

Portfolio 1

Portfolio 3

FI portfolios

Portfolio Position Quantity

IM savings in

case of Cross

Margining

Portfolio 1 FGBL_201309 359 70%

Portfolio 3 FGBM_201309 1000 62%

Swap portfolios

Portfolio Maturity Direction Notional

Portfolio 1 9Y Pay fix 50 Mio.

Portfolio 3 5Y Pay fix 119 Mio.

Comparison

Savings

60-70%

* Liquidity Adjustment calculated for aligned DMP excluding options

Eurex Clearing creates margin efficiency for strategy trades such as the futures asset swap of up to 70%

31



Margin Calculator EurexOTC Clear for IRS

• Prisma margin calculation for test portfolios allows Clearing Members and Registered Customers to

evaluate the indicative margin requirements that would be attributed to a portfolio of positions or trades.

• The margin calculator supports the whole product scope of EurexOTC Clear, in particular IRS, basis,

OIS, FRAs, VNSs, compounding and zero coupon swaps. The tool is implemented as an on-line service.

• The following functionalities are available in the Margin Calculator:

– Download of a trade template

– Trade/ portfolio upload and trade validation

– Display and download of the result summary

– What-if trade scenarios

• Margin Calculator is a web-based tool used to calculate margins for OTC IRS products.

• Outputs in GUI and for download include portfolio MtM, IM (including the breakdown of components),

and per trade MtM.

• Access to the Margin Calculator via the OTC GUI, save portfolios in the GUI to re-run/edit in the future.

• Utilization of an API (IRS only) to allow Members to submit portfolio for calculation.

Online tool for margin simulation to calculate test portfolios

32





• Risk management



• Key contacts

Agenda

33



Eurex Clearing qualified as a CCP under EMIR on 10 April 2014 and provides full segregation and portability

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, mutualization of client and CM risks from co-mingling of assets and potential misuse of client collateral.

Individual models are intended to secure the positions and the collateral assets at all times in the event of default of a Clearing Member or other clients of the clearing member.

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.

The Eurex Clearing EMIR disclosure document is available on our website:

http://www.eurexclearing.com/blob/clearing-en/51546/284984/6/data/EMIR_disclosure_document_39.pdf

ESMA finally 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’ (ESMA Q&A 5 August 2013).

34






Overview of segregation models permitted under EMIR

Tagged asset

Individual physical

custodian account

Disclosed

RC

Gross

Allocated value

Allocated asset

Net Allocated

value/asset

Om

nib

us

seg

reg

ati

on

EM

IR 3

9(2

)

Pos Coll

Margin 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 %

Live

Very likely

Unlikely

None

High

Easy

Complex

Fellow

customer

Liqui-

dation

Replace-

ment

Transit

Gross Live

Live*

35

*The ECM is live today and will be amended during December 2013 to implement legal

changes to fulfil EMIR segregation and portability requirements.

The UK CASS Net Omnibus Clearing Model is live.



NCM – Non-Clearing Member

RC – Registered Customer

MR – Margin Requirements

Overview of omnibus and individual client segregation models according to EMIR Article 39

RCs/NCMs collateral pool

Clearing Member

RC/NCM

positions

RC/NCM

positions

Collateral for Client omnibus segregated account

(asset based)/ Collateral allocation in proprietary

account (value based)

Affiliated

Agency

position

account

Affiliated

agency

collateral pool

RC/NCM

positions

RC/NCM

collateral

pool

ECM collateral account (asset or value based)

NOCM collateral account

Multiple omnibus segregated collateral account

(asset tagging available per pool)

ISA tagged or

individual

account

Net Net Net or gross Gross Gross Gross Gross

36

Colla

tera

l

pools

C

SD

accounts

P

ositio

n a

ccounts

M

R

Margin

requirement

per position

account or

RC/NCM

Margin

requirement

per RC/NCM

Margin

requirement

per A

account

Margin

requirement

per A

account

Margin

requirement

per RC/NCM

Margin

requirement

per RC/NCM

Margin

requirement

per RC/NCM

Affiliate

positions (agency

or disclosed)

Agency

position

account

RC/NCM

positions

Omnibus Segregation Accounts (OSA) Individual

Segregation

Accounts (ISA)



Affiliate

positions (agency

or disclosed)

RC/NCM (xn) collateral pool

Agency

position

account

Clearing Member

RC/NCM

positions

RC/NCM

positions

Collateral for Client omnibus segregated account

(asset based)/ Collateral allocation in proprietary

account (value based)

RC/NCM

positions



Client Individual

Segregation

Accounts Client Omnibus Segregation Accounts

Affiliated

Agency

position

account

Affiliated

agency

collateral pool

RC/NCM

positions

RC/NCM

collateral

pool

Margin

requirement

per A account

Margin

requirement

per RC/NCM

Margin

requirement

per RC/NCM

Margin

requirement

per RC/NCM

Client omnibus segregation accounts

Client omnibus segregation is available under the Elementary Clearing

Model (ECM) or the Net Omnibus Model (NOCM), which offers UK CM’s

the ability to comply with CASS. The omnibus models offer net or gross

margining at a client level.

Net omnibus segregation is available through Agency position accounts.

The ECM allows separation of positions into A1 and six further position

accounts (A2-A7). CM’s for example may wish to separate affiliate

positions. The ECM has one collateral pool. The NOCM relies upon the

same operational and functional infrastructure but segregates positions

and collateral in compliance with the CASS rules. NOCM positions are

segregated into A9, which has a segregated collateral pool.

Gross omnibus segregation is available by disclosing the client to Eurex

Clearing. Each disclosed client (RC or NCM) has their own position

account and is therefore effectively gross margined.

Each position account is held on a gross position keeping basis and is net

initial margined.

Legal agreements

Eurex Clearing has no documentation requirements for Agency clients.

Disclosed clients are required to sign a tripartite agreement to register with

Eurex Clearing (Appendices 2 & 8)

Colla

tera

l

pools

C

SD

accounts

Margin

requirement

per position

account or

RC/NCM

Margin

requirement

per A

account

37

Positio

n a

ccounts

M

R

Margin

requirement

per RC/NCM

ECM collateral account (asset or value based)

NOCM collateral account



In addition to the standard client omnibus segregation accounts, Clearing

Members can also offer multiple client omnibus segregation accounts

under the ECM (and the NOCM in due course). Each multiple client

omnibus segregation pool must have more than one client in the pool and

the Clearing Member can allow Agency net omnibus pools or disclosed

client pools. Additional Agency pools would utilise the A2-7 accounts.

There is no limit on the number of disclosed clients per multiple client

omnibus segregation pools. This model may be attractive to buy side

firms or clients who are happy to share risk mutualisation within their

group.

NOCM multiple client omnibus segregation accounts would be made

available when the proposed multiple client money rules are implemented

by the FCA.

Currently, Eurex Clearing will allow ten additional multiple client omnibus

segregated pools.

Each position account is held on a gross position keeping basis and is net

initial margined.

Legal agreements

Eurex Clearing has no documentation requirements for Agency clients.

Disclosed clients are required to sign a tripartite agreement to register with

Eurex Clearing (due for publication in June 2014)

Multiple client omnibus segregation accounts (target launch date, 1 July 2014)

RC/NCM (xn) collateral pool

Affiliated

agency

collateral pool

Margin

requirement

per RC/NCM

Multiple omnibus segregated collateral account

(asset tagging available per pool)

Clearing Member

Multiple Client Omnibus Segregation Accounts

RC/NCM

positions

RC/NCM

positions

Affiliated

Agency

position

account

Margin

requirement

per RC/NCM

Margin

requirement

per A

account

38

Colla

tera

l

pools

C

SD

accounts

P

ositio

n a

ccounts

M

R





Client individual segregation accounts

ICM ensures maximum portability through individual position and collateral accounts

CM collateral

account for

NCM1

NCM1

NCM

Eu

rex

Cle

ari

ng

C

SD

/Cn

t B

MR

P1

MR

A1

RC dedicated

collateral

under CMs

account

structure

RC

Ma

rgin

ca

lc.

Colla

tera

l A

cco

un

ts

Po

sitio

ns

RC

A1

• Positions are held on segregated NCM/RC position accounts at the CCP level

• Positions kept on gross basis

• The margin requirement of an NCM/RC is covered by a dedicated collateral pool, which only holds collateral for the purpose of this NCM/RC

P1 P1 A1

MR

P1

MR

A1

ICM for Registered Customers/ Non-Clearing Members

Dedicated

segregated

collateral

pool

to cover MR

of RC

• Collateral is segregated from

the proprietary collateral of the

CM and all other clients

• The securities collateral

account is a sub-account of the

CM and is clearly labelled: a) to

hold collateral for the coverage

of the segregated NCM/RC

related transactions and b) that

the ownership is with Eurex

Clearing

• Cash collateral is paid from the

account of the CM with an

identifier indicating the

respective NCM/RC

Collateral

pool to cover

MR of NCM1

ICM for Funds

MR

F1

FM

Fund ZZ

MR

F2

MR

ZZ

F1* …

…

ZZ

Seg

Pool

F1

Seg

Pool

F2

Seg

Pool

F2

CM Collateral Account for

segregated Fund

Managers/KAGs (F1,

F2,… FZZ)

• The Fund Manager acts as a

technical RC umbrella for all its

funds allowing aggregated

reporting of individually

segregated accounts

• Unlimited number of accounts

• Complete flexibility in setting up

the account names

• MR is calculated separately for

every position account

• One collateral pool at single

fund/segment level

(i.e. individual position account

level)

• Securities collateral is kept in

the same sub-account but is

individually segregated at single

fund/segment level at Eurex

Clearing.

• Cash collateral is paid from the

account of the CM. A unique

reference is displayed in the

reports indicating the respective

client.

39



Eurex Clearing

Documentation (ECD) Your own

documentation

Market Standard Client Clearing

Documentation (CCD)

Any additional documentation

can be used

(e.g. CRV, FOA, ISDA, proprietary)

Clearing

Rahmenverein-

barung (CRV)

ISDA/FOA Client

Clearing Addendum FOA Client

Clearing Module

Proprietary Clearing

Member Documentation

available available available to be created by CM,

potentially based on

Market Standard Client

Clearing Documentation

available available

Clearing Agreement (ECD) Participation Agreement (CCD)

Eurex Annex Terms

available

Eurex Annex Terms Eurex Annex Terms

CRV Opinion

available

ISDA/FOA opinion

available

FOA opinion

available

Proprietary opinion

for CM CRR purposes

Ready for on-boarding Ready for on-boarding Ready for on-boarding

3 2 1

available

ECAG Netting Opinion

available

Ready for on-

boarding

available available

Client Clearing Documentation – what is needed to get started

40



Jurisdiction fund forms Jurisdiction fund segments …in combination with CM from

Mutual fund company (CC), unit trust

(CUT) and limited partnership (LP)

operating in compliance with the

Mutual Fund Law (2013 Revision) of

Cayman Islands

Investment Gesellschaft mit variablem

Kapital (Swiss SICAV) oder mit festem

Kapital (Swiss SICAF), vertraglicher

Anlagefonds (CF),

Kommanditgesellschaft für kollektive

Kapitalanlagen (SCPC)

Open-Ended Investment Companies

(OEIC), Authorised Unit Trust (AUT) x

fonds communs de placement (FCP),

sociétés d’investissement à capital

variable (French SICAV)

Sondervermögen within the meaning

of the Investmentgesetz (InvG)/

Kapitalanlagengesetz (KAGB)

managed by a KAG/KVG

Common Contractual Fund (CCF),

Unit Trust (UT), Investment Company

(IC), Investment Limited Partnership

(ILP)

fonds commune de placement (FCP) ,

société en commandite spéciale

(SCP), sociétés d’investissement à

capital variable (Lux SICAV) or à

capital fixe (Lux SICAF)

Issu

er

co

un

try

EN/

WA

FR

GER

IE

LU

* No exchange traded products for Germany

*

BE

FIN

EN/

WA

ES

AT

DK

FR

IE

GER

GR

IT

LU

SC

ML

NL

PO

S

CI

CH

1. ICM jurisdictions for RC’s and Investment Funds The ICM is available for all RC’s and Funds in the EEA and for fund segments as below:

41

http://isaac.auckland.ac.nz/story/images/centrephotos/flags/malta-flag.gif





• Risk management



• Key contacts

Agenda

42



Eurex Clearing offers a variety of services to guarantee an optimal usage of provided collateral

• Flexibility, due to broad range of eligible collateral – CMs can satisfy margin and Clearing Fund requirements by depositing cash and/or security collateral

– Eurex Clearing sets the industry standard and accepts approximately 30,000 instruments based on liquidity categories of European Central

Bank eligible asset database as well as Swiss National Bank and accepts cash collateral in multiple currencies

– Eurex Clearing stipulates and publishes an admissible securities list on a daily basis*

– Eligible securities are validated on a daily basis

• Transparency, due to comprehensive reporting – Collateral processing takes place in a straightforward manner with transparency for CMs and their customers through intraday reports and

monitoring functionalities (online processing, real time update of collateral balances)

• Safety, due to the highest protection for positions and collateral – Eurex Clearing ensures the highest level of protection for clients by providing asset segregation and near-time portability in line with

regulatory requirements

• Efficiency, due to – Timely validation of collateral and margin requirements: Eurex Clearing’s margin requirements are balanced against the collateral deposited

by CMs intraday or on a day-to-day basis, as well as through the reuse of GC Pooling® Basket Collateral **

– Efficient cash handling: the permanent cash balance (PCB) service offers an improved cash handling to reduce operational effort and cash

balances to a minimum

– Efficient processing: via Xemac***, CMs have the opportunity to manage collateral in real-time and to deposit and release securities online

* The full list of eligible collateral can be found under http://www.eurexchange.com/exchange-en/market-data/clearing-data/risk-parameters/

** Presentation “Reuse GCP Collateral for Eurex Margining” is published under http://www.eurexclearing.com/blob/clearing-en/46792/149090/2/data/reuse_gcp_service_description.pdf

*** Xemac is the collateral management system of Clearstream Banking Frankfurt providing Global Securities Financing services

43

http://www.eurexchange.com/exchange-en/market-data/clearing-data/risk-parameters/










http://www.eurexclearing.com/blob/clearing-en/46792/149090/2/data/reuse_gcp_service_description.pdf





Clearing Members are able to provide collateral through a number of standardized interfaces

• CMs are required to have at least access to a cash

account in one of the selected clearing currencies

– Central bank EUR account (TARGET2)

– SNB CHF account

• CM must also have a USD cash account for margin calls

outside of TARGET2 and SNB hours

• A GBP account is only required if a CM intends to support

clearing of GBP underlying products

• CM can open accounts at Clearstream Banking AG

Frankfurt (CBF) and/ or SegaInterSettle AG Zurich (SIS)

and or Clearstream Banking Luxembourg (CBL)

• Only CBF/CBF-I have been approved as settlement

location for ICM

Clearing Member

Securities

Collateral

Locations

GB

P P

aym

en

t Ba

nks

6

SN

B –

CH

F4

US

D P

aym

en

t Ba

nks

5

Cen

tral B

an

k

in T

AR

GE

T 2

- EU

R

SIS

1

Standardized

Interfaces

Eurex Clearing

Collateral Module

Pro

vis

ion o

f ca

sh c

olla

tera

l thro

ug

h

the c

orre

spo

nd

en

t ban

ks

Pro

vis

ion o

f se

curitie

s c

olla

tera

l th

rou

gh

the c

olla

tera

l lo

catio

ns

Cash Collateral

Locations

CB

F2

CB

L3

1 SIX SIS (formerly SIS SegaInterSettle AG) 2 Clearstream Banking Frankfurt

3 Clearstream Banking Luxembourg 4 Schweizerische Nationalbank 5 The following payment banks are admitted for U.S. dollar (USD): Bank of America, Citibank N.A., Deutsche Bank Trust Company Americas (DBTCA),

HSBC Bank USA N.A., JP Morgan Chase N.A 6 The following payment banks are admitted for British pound (GBP): Barclays plc, Citibank N.A. (London branch), Deutsche Bank AG (London branch),

JP Morgan Chase N.A., HSBC Bank plc, Royal Bank of Scotland plc

44



Eurex Clearing offers a variety of services to guarantee optimal usage of provided collateral

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

45



GC Pooling − take advantage of secured funding

• GC Pooling Market has become the benchmark of

electronic trading for secured funding transactions in Europe.

• The GC Pooling Market ensures straight-through processing

with automated connectivity to Eurex Clearing AG as central

counterparty and the settlement organization Clearstream

Banking.

• Easily trade extremely large tickets and have deals

seamlessly completed and then processed automatically

without any issues over credit or security allocation.

• The GC Pooling market provides real-time substitution of

securities through the cash taker and creates one virtual collateral pool, by linking CBL and CBF assets.

• Re-use of received collateral for the Eurex Clearing margining process allowing participants to use GC Pooling collateral

to fulfil their overall Eurex Clearing margin obligations.

• Re-use of received collateral to pledge to ECB / Bundesbank and refinance within the framework of European Central

Bank open market operations*.

Attributes and benefits

Benefits of GC Pooling

* Provided the bank has a German banking license

46



Reuse of GC Pooling® collateral for margining

Increase the efficiency of your collateral

What is reuse?

How to reuse

GC Pooling®

collateral?

What are

the Member

benefits?

• In light of the increasing demand for collateral, efficient usage of collateral is becoming

increasingly important.

• Therefore, Eurex Clearing accepts reuse of collateral which has been received from GC

Pooling cash provider activities across all GC Pooling® Baskets1) covering the margin

requirement from Clearstream Banking Frankfurt (CBF) and Clearstream Banking Luxemburg

clients (CBL).

• German clients acting as cash providers utilize the CBF collateral management system

Xemac for the reuse facility.

• For international clients using the collateral management service CmaX®, CBL acts as an

agent on behalf of the Clearing Member to allocate reuse collateral via Clearstream Banking

Frankfurt to Eurex Clearing.

• The Reuse of GC Pooling collateral brings benefits by:

– reducing margin collateral funding cost.

– increasing the trading flexibility of own securities.

– reducing the operational effort to manage collateral substitutions.

– mobilizing less flexible security pools.

– lowering securities handling fee (initially set to zero to encourage the reuse).

1) Eligible GC Pooling Baskets are: GC Pooling ECB Basket, GC Pooling ECB EXTended Basket, GC Pooling Equity Basket

47



Reuse of GC Pooling® collateral for Eurex Clearing margins Claim based allocation and automatic substitution of basket securities

• The cash provider gives cash – EUR or USD – in turn for collateral in scope of the respective GC

Pooling® Basket

• The cash taker collateralizes the cash amount with eligible securities and receives the cash

amount in return

• The transaction is processed anonymously via Eurex Clearing

• Once the respective reuse contract for Eurex Clearing margining is concluded, the “transferred”

collateral is automatically allocated

• CBL acts as an agent on behalf of the CBL serviced Clearing Members using CmaX® to allocate

reuse collateral via Clearstream Banking Frankfurt (Xemac®) to Eurex Clearing

• Once a repo reaches the term leg settlement date, the allocated “transferred” securities will be

automatically substituted by other “transferred” securities, if sufficiently available in

Xemac®/CmaX® to ensure settlement of the GC Pooling® transactions in due time

• Alternatively the Reuse amount should be reduced in time and replaced by other eligible collateral

Reuse

Automatic

substitution

GCP

front leg

Eurex

Clearing

Margining

Xemac® Pool

Cash

CCP Clearing &

Settlement A

Cash provider

B

Cash taker

Collateral

Cash

Collateral

Cash

Collateral

Cash

Collateral

Settlement

Front Leg

Purchase Date

Term Leg

Repurchase Date

Collateral

Collateral

48





• Risk management



• Key contacts

Agenda

49



Market Participant Name Phone Email

ABN Amro Alexander Jacobs +31 20 343 5137 [email protected]

Banca IMI Katia Pellegrini +390272612821 [email protected]

Fabio Frigerio +390272615695 [email protected]

Massimo Sinisi +390272615375 [email protected]

Bank Of America / Merrill Lynch Samantha Page +44 (0)20 7995 3955 [email protected]

Richard Clark +44 (0)20 7996 7100 [email protected]

Oliver W Blower +44 (0)20 7995 4253 [email protected]

Barclays Stephen Li +44 203 134 8748 [email protected]

Ben Parker +44 20 3555 0224 [email protected]

Basler Kantonalbank Gerhard Hartsleben +41 (0)61 2663 410 [email protected]

BayernLB Bernhard Egger +49-89-2171-24177 [email protected]

Berner Kantonalbank Dorothea Piczak +41 31 666 64 69 [email protected]

Fiona Thalmann +41 31 666 64 32 [email protected]

BNP Paribas Gavin Dixon +44 (0)20 7595 8417 [email protected]

Sarah Walsh +44 (0)20 7595 1270 [email protected]

Marco Baggioli +44 20 7595 8618 [email protected]

EurexOTC Clearing Member contacts

50



Deutsche Bank Stephen Ingle +44 (0)20 7545 8200 [email protected]

Jason Vitale +44 20 7545 6358 [email protected]

DZ BANK Claus Schnee +49 69 7447 4903 [email protected]

Goldman Sachs Richard Pape +44 (0)20 7774 1075 [email protected]

Stuart Connolly +44 (0)20 7774 1191 [email protected]

HSBC Martin Taylor +44 (0)20 7991 5001 [email protected]

Neill Pattinson +44 (0)20 7991 5661 [email protected]

Richard Ingram +44 (0)20 7991 9271 [email protected]


Citigroup

Silas Findley +44 20 3569 4171 [email protected]

John Frewin +44 (0) 20 7986 0573 [email protected]

Commerzbank Nick Chaudhry +44 (0)20 7475 2510 [email protected]

Eugene Stanfield +44 (0)20 7475 4828 [email protected]

Stuart Abrahams +44 (0)20 7475 7811 [email protected]

Credit Suisse Neil Burke (US) +1 212 538 0761 [email protected]

Steve Plestis (Europe) +44 (0)20 7888 3053 [email protected]

Daniel Harding +44 20 7888 2131 [email protected]

Yves Marcel (Asia) +65 6 212 2055 [email protected]


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JP Morgan Brian Oliver (Europe) +44 207 134 8627 [email protected]

Thomas Alterson (US) +1 212 622 0335 [email protected]

Jonathan Caldwell (Asia) +61 (2) 9220 1411 [email protected]

KAS Bank Raymond Van Putten +31 20 557 2060 [email protected]

Morgan Stanley Andrew Ross +44 (0)20 7677 7865 [email protected]

Mark Bortnik +44 (0)20 7425 8465 [email protected]

Owain Roberts +44 (0)20 7425 8465 [email protected]

National Bank of Greece SA Ekaterini Manoli +30 210 332 8766 [email protected]

Newedge John Wilson + 44 20 7676 8913 [email protected]

Laetitia Teuber +33 (0) 1 5507 2407 [email protected]

Will Davies +44 (0) 20 7550 2413 [email protected]

Nomura Mark Croxon +44 (0)20 7102 7191 [email protected]

Simon Weetman +44 (0)20 7102 2334 [email protected]

Michael Schneider +1 212 436 8009 [email protected]


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Rabobank Sytse Dotinga +31 30 7123469 [email protected]

Raiffeisen Patrick Chalverat +41 44 226 73 99 [email protected]

Royal Bank of Scotland Phil Hermon (EMEA) +44 20 7678 6865 [email protected]

Fred Matt +44 20 7085 1520 [email protected]

Madlen Dorosh (US) +1 20 3897 9869 [email protected]

Societe Generale Mohamed Braham +44 (0)20 7676 7805 [email protected]

Ian Morgan +44 (0)20 7676 7889 [email protected]

Philippe de Brossard +33 1 58 98 26 03 [email protected]

Edouard Knipillaire +33 1 58 98 02 69 Edouard.knipillaire@scgibcom

UBS Investment Bank Marco Stano +41 (0)44 239 1899 [email protected]

Antonietta Toro +44 (0)20 7567 2102 [email protected]

Mike Jansen +65 6495 3862 [email protected]

Scott Alpaugh +1 212 713 2549 [email protected]

Zurcher Kantonalbank Reto Ziltener +41 44 293 60 96 [email protected]


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Eurex Clearing Business Development

Head of Section Risk management Client Asset Protection

Jens Quiram T +44 (0) 20 7862 7268 M +44 (0) 755 726 7009 E [email protected]

Alexander Rose T +49 69 211 14975 E [email protected]

Beth Jones-Williams T +44 (0) 20 7862 7277 M +44 (0) 788 131 4590 E [email protected]

OTC IRS Collateral management Bonds and repos

Eva Barber T +44 (0) 20 7862 7267 M +44 (0) 786 739 3423 E [email protected]

Ferdina Yarzada T +49 (0) 692 111 4162 M +49 (0) 172 191 3718 E [email protected]

Maximilian Dannheimer T +44 (0) 20 7862 7640 M +44 (0) 755 117 0286 E [email protected]

Exchange traded derivatives Client Asset Protection Equity

Cameron Teague T +44 (0) 20 7862 7233 M +44 (0) 786 739 2557 E [email protected]

Richard Wilding T +44 (0) 20 7862 7279 M +44 (0) 782 414 2703 E [email protected]

Krasimira Rayanova

T +49 (0) 692 111 3021

M +44 (0) 172 106 3380

E [email protected]

Contacts at Eurex Clearing

Business support Business support Product development

Momcilo Stanic T +44 (0) 20 7862 7641 E [email protected]

Charmaine Newman T +44 (0) 20 7862 7276 M +44 (0) 787 688 3616 E [email protected]

Danny Chart T +44 (0) 20 7862 7257 M +44 (0) 755 117 3524 E [email protected]

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Eurex Clearing Sales & Relationship

Head of Section UK + Netherlands – Buy side UK – Sell side

Philip Simons T +44 (0) 20 7862 7239 M +44 (0) 782 414 1618 E [email protected]

Ricky Maloney T +44 (0) 20 7862 7612 M +44 (0) 755 117 1212 E [email protected]

Byron Baldwin T +44 (0) 20 7862 7266 M +44 (0) 788 465 5089 E [email protected]

Client solutions France, Luxembourg + Belgium Business support

Afriyie Ola Dimeji T +44 (0) 20 7862 7218 M +44 (0) 782 724 0086 E [email protected]

Florence Besnier T +33 (0) 1 55 27 67 70 M +33 (0) 6 10 32 74 20 E [email protected]

Charmaine Newman T +44 (0) 20 7862 7276 M +44 (0) 787 688 3616 E [email protected]

Germany + Austria Scandinavia Securities lending

Andreas Stadelmaier T +49 (0) 692 111 3859 M +49 (0) 172 614 7753 E [email protected]

Deborah Garlick T +44 (0) 20 7862 7217 M +44 (0) 781 851 2101 E [email protected]

Gerard Denham

T +44 (0) 20 7862 7634

M +44 (0) 787 688 5276

E [email protected]

Contacts at Eurex Clearing

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© Eurex 2014 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex Exchanges”. All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only. Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so. Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50® Index Futures, EURO STOXX 50® ex Financials Index Futures, EURO STOXX® Select Dividend 30 Index Futures, EURO STOXX® Index Futures, EURO STOXX® Large/Mid/Small Index Futures, STOXX® Europe 50 Index Futures, STOXX® Europe 600 Index Futures, STOXX® Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX® Europe Large/Mid/Small 200 Index Futures, Dow Jones Global Titans 50 IndexSM Futures (EUR & USD), DAX®/MDAX®/TecDAX® Futures, SMIM® Futures, SLI Swiss Leader Index® Futures, MSCI World/Europe/Japan/AC Asia Pacific ex Japan Index Futures and VSTOXX® Futures as well as Eurex inflation/commodity/weather/property and interest rate derivatives). 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The STOXX® indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX® indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto. Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSM and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products. All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited, which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced. PCS® and Property Claim Services® are registered trademarks of ISO Services, Inc. Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc. BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE. Any violation of the above would constitute an offence under the laws of India and international treaties governing the same. The names of other companies and third party products may be trademarks or service marks of their respective owners.

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