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
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EurexOTC Clear IRS June 2014
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)
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EurexOTC Clear IRS June 2014
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
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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…..
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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
Savings ona baseline
CCP
Additionalcost
efficiencies
Savings onEurex
Clearing
Fixed income mutual fund
~2.0-2.4 bps +45-70%
~1.4 bps
1
2
3
Savings ona baseline
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
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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
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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
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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
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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
Major aspects to be assessed
• 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
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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
Major aspects to be assessed
• 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
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EurexOTC Clear IRS June 2014
• Eurex Clearing – Overview
• EurexOTC Clear for IRS
• Risk management
• Client Asset Protection
• Collateral management
• Key contacts
Agenda
12
www.eurexclearing.com
EurexOTC Clear IRS June 2014
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:
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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
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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
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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
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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
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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.
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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
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• 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.
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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
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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
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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
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EurexOTC Clear IRS June 2014
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.
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EurexOTC Clear IRS June 2014
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
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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
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EurexOTC Clear IRS June 2014
• Eurex Clearing – Overview
• EurexOTC Clear for IRS
• Risk management
• Client Asset Protection
• Collateral management
• Key contacts
Agenda
27
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EurexOTC Clear IRS June 2014
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
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EurexOTC Clear IRS June 2014
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
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EurexOTC Clear IRS June 2014
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
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EurexOTC Clear IRS June 2014
• 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
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EurexOTC Clear IRS June 2014
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
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EurexOTC Clear IRS June 2014
• Eurex Clearing – Overview
• EurexOTC Clear for IRS
• Risk management
• Client Asset Protection
• Collateral management
• Key contacts
Agenda
33
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EurexOTC Clear IRS June 2014
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
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EurexOTC Clear IRS June 2014
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.
www.eurexclearing.com
EurexOTC Clear IRS June 2014
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)
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EurexOTC Clear IRS June 2014
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
NCM – Non-Clearing Member
RC – Registered Customer
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
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EurexOTC Clear IRS June 2014
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
NCM – Non-Clearing Member
RC – Registered Customer
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EurexOTC Clear IRS June 2014
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
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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
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EurexOTC Clear IRS June 2014
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
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EurexOTC Clear IRS June 2014
• Eurex Clearing – Overview
• EurexOTC Clear for IRS
• Risk management
• Client Asset Protection
• Collateral management
• Key contacts
Agenda
42
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EurexOTC Clear IRS June 2014
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
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EurexOTC Clear IRS June 2014
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
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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
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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
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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
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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
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• Eurex Clearing – Overview
• EurexOTC Clear for IRS
• Risk management
• Client Asset Protection
• Collateral management
• Key contacts
Agenda
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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
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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]
Market Participant Name Phone Email
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]
EurexOTC Clearing Member contacts
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Market Participant Name Phone Email
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]
EurexOTC Clearing Member contacts
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Market Participant Name Phone Email
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]
EurexOTC Clearing Member contacts
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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
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
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). Trademarks and Service Marks Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and Xetra® are registered trademarks of DBAG. Phelix Base® and Phelix Peak® are registered trademarks of European Energy Exchange AG (EEX). All MSCI indexes are service marks and the exclusive property of MSCI Barra. RDX® is a registered trademark of Vienna Stock Exchange AG. IPD® UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives. SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss Exchange AG. 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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