EMIR QCCP - Phillip Simons, Eurex

Report
EurexOTC Clear for IRS – EMIR QCCP
ABBL
November 20th 2014
EurexOTC Clear IRS
November 2014 - ABBL
Agenda
• Requirements and Implications of being a Clearing Member.
• Segregation Models, levels of protection and portability
• Process of trade novation and calling of margin
• Cost Implications for Banks as Clearing Members versus Client
• Trading / Pricing implications of frontloading
• CCP Differentiators
• Key contacts
• Appendix
www.eurexclearing.com
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EurexOTC Clear IRS
November 2014 - ABBL
Members of the Clearing House
Eurex Clearing offers a flexible account structure to allow the Clearing Member (CM)
to differentiate between own trades and trades of their customers
Eurex Clearing
Clearing
Member
A-Account(s)
(non-seg Clients)
Proprietary Account
A1
A9
A-Account(s)
Proprietary Account
A1
General Clearing
Members
Direct Clearing
Members*
NCM / RC
n
NCM / RC
1
A9
May clear its own transactions, those of its customers, as well as those of trading participants that do not hold a
clearing license.
May clear only for himself, his clients and for market participants that are part of affiliated companies.
Registered Customers
(RCs)
Do not have a trading license for any Eurex market. They can become Registered Customers (RC) to benefit
from the various Client Asset Protection models offered by Eurex Clearing. Registered customers are not direct
participants, but are known by Eurex Clearing.
Non Clearing
Members (NCMs)*
Are market participants in trading systems cleared by the clearing house who have no contractual relationship
with the clearing house. A Clearing Member carries out their clearing. NCMS may opt to use segregation
models offered by Eurex Clearing
Non Disclosed Client
Clients that are not known to Eurex Clearing and whose positions are held in the A1 to A9 omnibus client
accounts (non-seg clients)
*DCM and NCM not valued for OTC
www.eurexclearing.com
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Access to the service for Clearing Members
General Clearing Members (GCM) may clear their own transactions and those of their
RC/NCMs and clients that do not hold a clearing license
Membership
criteria
Requirements
Description
•
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 and USD 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 Clearing Member must make a contribution to the Clearing Fund of Eurex Clearing, being the
largest of the following amounts;
Clearing fund
•
7 percent of the 30-day average of the initial margin requirement
•
7 percent of the 250-day average of the initial margin requirement
•
DCM: EUR 1 million; GCM 5 million
•
Each Clearing Member must meet the minimum liable equity capital requirements of Eurex Clearing,
being the largest of the following amounts;
Liable equity
•
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
www.eurexclearing.com
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Access to the service for clients
Eurex Clearing will provide a variety of options for clients to connect indirectly to the
service
Access type
Requirements
•
To become a Registered Customer/ Non Clearing Member, the legal entity must have concluded a
tripartite agreement with a Clearing Member and Eurex Clearing AG.
•
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 Clearing Member, therefore Clearing Members
are entitled to set their own eligibility criteria for clients.
Registered Customer/
Non Clearing Member
Non Disclosed Clients
www.eurexclearing.com
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The safety of the CCP through its lines of defense is a
key criteria in deciding where to clear
Eurex Clearing’s lines of defense are crisis proven – default fund has never been used
Eurex Clearing lines of defense
Coverage
in normal
market
conditions
(Lehman/
MF Global)
Position netting
Collaterals of Member
in default
Clearing Fund contribution
of Member in default
Dedicated amount of Eurex
Clearing AG
Coverage in
extreme
market
conditions
Clearing fund contribution
of other Members
Assessments to
the Clearing Fund
Close-out of all positions
Total collateral held at Eurex Clearing
approx. € 48.35 * bn
Min. € 1.0 m (DCM) or € 5.0 m (GCM)
Lines of Defence
before Eurex
Clearing’s capital
sum up to more
than € 9 bn
€ 50 m
Approx. € 3.4bn
Max 2 assessment limit liability of CM to 3x
prefunded clearing fund contribution
€ 700 m guaranteed by Deutsche Börse AG
Parental Guarantee
Remaining equity of Eurex
Clearing AG
Approx. € 289 m, Eurex Clearing
thus fully EMIR compliant
Values as of September, 2014
* Monthly average collateral value after haircut
www.eurexclearing.com
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Eurex Clearing’s guiding principle in a default situation is to minimize
the effect on the Lines of Defense and to stabilize the markets
Eurex Clearing Lines of Defense
• Eurex Clearing provides a multi-level security system
− First the collateral and the Clearing Fund contribution of the
member in default are utilized.
− After the defaulter’s contributions are exhausted, an assigned
dedicated amount of Eurex Clearing is applied, before nondefaulting clearing members’ Clearing Fund contributions, and
remaining capital of Eurex Clearing are used.
• Each clearing member’s contribution to the Clearing Fund is based on
a minimum contribution and a dynamic component, accounting for the
individual clearing member’s risk situation.
• There is one segmented Clearing Fund for listed and OTC business.
• Following a realization of any Clearing Fund contributions of nondefaulted clearing members, such clearing members are asked to
provide assessments to their contributions.
• Clearing members’ total liability is limited as they have to provide a
maximum of two assessments per capped period.
www.eurexclearing.com
Eurex Clearing Lines of Defense
Position Netting
Collateral of Clearing
Member in Default
Clearing Fund Contribution of
Clearing Member in Default
Dedicated Amount
of Eurex Clearing
Clearing Fund Contribution of
Other Clearing Members
Max 2 Assessments per
Clearing Member
Parental Guarantee
Remaining Capital
of Eurex Clearing
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Further enhancement of Eurex Clearing’s Default Waterfall
Possibility to close Liquidation Group at end of Default Waterfall
• As of 1 December 2014, Eurex Clearing implements possibility to close liquidation group (LG)* at the
end of the default waterfall.
˗ Main reason for possible closure of LG is to ensure that failure of one LG does not automatically trigger the entire
CCP to be wound down or to enter into recovery or resolution.
˗ Closure of a LG qualifies as additional recovery option for Eurex Clearing.
˗ As part of implementation of closure of LG, Eurex Clearing deletes termination right as final step of DMP.
• To facilitate closure of LG at end of the default waterfall:
- Eurex Clearing sub-divides all financial resources across LGs, starting from the first clearing fund assessment. No
changes are implemented with respect to pre-funded clearing fund contributions.
- If the financial resources earmarked for a specific LG prove to be insufficient to cover all losses in such LG, Eurex
Clearing terminates and cash-settles all transactions within this LG across all Clearing Members. All other LGs
remain unaffected.
- Eurex Clearing fully pays out all claims resulting from the closure of LG and returns any remaining clearing fund
contributions and margin collateral allocated to this LG to respective Clearing Members.
- Respective claims become due on day of closure of the LG and are to be paid as soon as reasonably possible.
- Cash-settlement is based on last available settlement prices for all transactions within respective LG.
- In Individual Clearing Model, cash-settlement of transactions between Eurex Clearing and Clearing Member
automatically results in cash-settlement of corresponding transaction between Clearing Member and ICM-Client.
* A LG comprises products with similar risk characteristics, i.e. products of the same asset class.
www.eurexclearing.com
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Structure of Default Waterfall
End of default waterfall
• Resources are ear-marked, starting from first assessment.
• Eurex Clearing may close one LG once all resources for such
LG would be exhausted; all other LGs remain unaffected.
www.eurexclearing.com
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Overview of clearing members’ responsibilities within the
Default Management Process
During default
Prior default
Responsibilities within the process start prior to a default situation
Obligation
Description
Nominate
DMC Member
Clearing members participating in a Default Management Committee (DMC) need to nominate one DMC
Member and one DMC Deputy, assisting the clearing house in supporting the hedging, Independent Sale
and auctions during the Default Management Process in case of a clearing member default and for regular
default simulations. Representatives from affiliated NCMs and RCs can be nominated as well.
Participation in fire-drills
Clearing members are obliged to participate in regular fire-drills. The fire-drills are intended to test and
evaluate the DMP, including (for example) pricing of portfolios.
Provide contact details
To assist with communication, Eurex Clearing requires all clearing members to supply an appropriate DMP
contact and DMP contact details.
Providing market access
to obtain best prices
Eurex Clearing expects non-defaulted clearing members to support the risk reduction process by providing
the clearing house with competitive prices for hedge transactions or during an Independent Sale.
Bidding in auctions
Non-defaulted clearing members are obliged to participate in the competitive auction process and submit
prices for the hedged portfolio. NCMs, RCs and clients can participate in the auctions as well, thus fulfilling
the bidding obligations of their clearing members (as applicable).
Whilst clearing members are not legally obliged to take on clients from a defaulted clearing member they are
Taking on client positions expected to assist in the execution of the DMP. Clearing members therefore should work with clients
seeking a new clearing member and, providing that the take-on of the client would not significantly impair the
from defaulted clearing
clearing member’s own business objectives, be prepared to take on the client(s) trades and collateral in a
member
streamlined and timely manner.
www.eurexclearing.com
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The new Default Management Process reflects best practice and
complies with market expectations and regulatory guidelines
Overview of future Default Management Process framework
Covered by:
Process
step
Margin and clearing fund contribution of defaulted clearing member
Set-up/ client
Transfer
Preliminary
Measures
Independent
Sale
Hedging
Remaining
Lines of Defense
Auction per
liquidation group
Asset Class
Resolution
Timeline corresponds to assumed period in risk calculation within Eurex Clearing Prisma
Description
• Client position
and collateral
transfer
• Convention of
Default
Management
Committee
• Close-out
netting per
framework
agreement
• Handling as
required for
short maturity
positions, e.g.
by rolling
• Technical
preparation
• Preparation of
portfolio for
liquidation
• Define
hedging for
defaulting
portfolios
• Hedge
portfolio
based on
management
decision
• Selling the
portfolio
independently
if it is small or
special
• Mandatory participation in
auctions for all clearing
members holding clearing
licenses with respect to all
positions held in the auctioned
portfolio
• NCMs, RCs and clients are
able to bid as well, fulfilling the
CM’s bidding obligation
• Economically reasonable bid
for a minimum of auction units
required
• Portfolio and
market
evaluation
• Penalty fee and clearing fund
juniorization if not fulfilled
• If Auction results in
remaining positions
a) Eurex Clearing
will hold the
positions and
charges any
losses resulting
from them to nonbidders, or
b) Non-bidder agrees
to enter into
respective
transactions with
Eurex Clearing
www.eurexclearing.com
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Each Default Management Committee supports the Default Management
Process
Default Management Committees (DMCs)
Role of the
DMC
Nomination of
DMC
Members
Obligations
during a
clearing
member
default
• Each DMC is continuously defined, but only temporarily convened in case of a
clearing member default or for regular default simulation exercises.
• One DMC for each liquidation group to advise, assist, and provide recommendations
to Eurex Clearing to define hedge strategies and organise auctions.
• Clearing members can volunteer to participate in any DMC. In case of insufficient
number of volunteers, Eurex Clearing nominates additional clearing members
based on
• The CM has to nominate a DMC Member and a DMC Deputy (members serve for 2
years) and to provide CVs to prove that the nominees have sufficient knowledge
and expertise. Representatives from affiliated NCMs and RCs can be nominated
• In case of a default, the current DMC Members
– make themselves available within a short period of time,
– identify suitable hedging strategies for the defaulted member’s portfolio,
– assist in transferring segregated clients to solvent clearing members and
– support the execution of auctions, and advice on auction parameters
www.eurexclearing.com
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Eurex Clearing conducts auctions with mandatory participation
by clearing members active in the respective liquidation group
Auction format for liquidation group Equities Derivatives
Auction
Format
• Two-way, one-off, sealed bid, multi-unit, pay-as-you-bid auction with respect to identical
auction units.
• Best bid wins the amount of auction units that it was provided for at the given price.
• A bid is economically reasonable if the price spread between the two prices submitted
is within the given maximum spread, and any economically reasonable bid is accepted.
Auction
Participant
• Mandatory participation for all clearing members
− holding the necessary clearing license to acquire the portfolio,
− have been active in the liquidation group during the last 3 months prior to default
and
− have the necessary infrastructure in place to process the products.
• Each auction participant is requested to bid at least for an individually defined minimum
amount of auction units, depending on the initial margin of the auction participant
relative to the overall initial margin in the liquidation group.
• The sum of the minimum amounts across all relevant clearing members exceeds 100%
of the auction portfolio.
• Clients can participate in auctions with permission of a clearing member (bids are
considered for the minimum bid size calculation).
www.eurexclearing.com
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The legal framework is built upon three major documents ensuring
the enforceability of the Default Management Process
Legal framework for DMP
Clearing Conditions
Default Management Committee
Rules
Default Management Auction Rules
Chapter I Part 1 Number 7.5 of the
Default Management Committee
Default Management Auction Rules
Clearing Conditions constitutes the
Rules (DMC Rules) constitute the
(DM Auction Rules) constitute the
legal framework for all components
legal framework for the
legal framework for the auction
of the Default Management Process.
implementation of Default
process regarding participation, pre-
Management Committees regarding
auction procedure, bidding
composition, procedures, legal
procedure, determination of auction
relationship, general duties and
price and auction format.
Chapter I Part 1 Number 6 of the
Clearing Conditions constitutes the
legal framework for the General
liabilities of DMCs.
Clearing Fund.
www.eurexclearing.com
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Agenda
• Requirements and Implications of being a Clearing Member.
• Segregation Models, levels of protection and portability
• Process of trade novation and calling of margin
• Cost Implications for Banks as Clearing Members versus Client
• Trading / Pricing implications of frontloading
• CCP Differentiators
• Key contacts
• Appendix
www.eurexclearing.com
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Client Asset Protection Decision Tree
Eurex Clearing offers Clearing Models which satisfy EMIR segregation and porting
requirements providing different levels of protection.
Type of client position
account?
Disclosed Client (NCM / RC)
Undisclosed client
Fellow customer risk
acceptable?
Only to known
clients
No
Type of collateral protection?
Yes
Value
Asset
Elementary Clearing models
Type of segregation
Our Clearing models
Individual
Segregation Account
(ISA)
Individual Clearing Model
Multiple Omnibus
Segregation
Account (OSA)
Standard
Omnibus
Segregation
Account (OSA)
*Net Omnibus Clearing model
*Offers CASS Protection
www.eurexclearing.com
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Overview of Segregation Models at Eurex Clearing
Standard OSA
OSA by Asset
Position
accounts
OSA by Value
CM
propriet
ary
account
Agency
position
accounts
Multiple OSAs
Requires OSA by asset and is available under CASS
And /or OSA under CASS*
RC/NCM
position
accounts
Agency
position
accounts
RC/NCM
position
accounts
Agency
position
accounts
Agency
position
accounts
RC/NCM
position
accounts
RC/NCM
position
accounts
RC/NCM
position
accounts
Individual
Segregated
Accounts
RC/NCM
position
accounts
Eurex Clearing
Collateral pools
Margin
calculation
CM calls each client on a gross basis and can either post net or gross to Eurex Clearing. For the CM, disclosed clients (RC/NCM) are gross margined
CCP MR
per P
account
CCP MR
per A
account
CCP MR
per
RC/NCM
A single collateral pool is
maintained which dynamically
records proprietary and OSA by
value client collateral
OSA by value is the default
segregation model at Eurex
Clearing. Segregation is achieved
through reporting and not via
separate collateral pools in the
Eurex Clearing system
CCP MR
per A
account
CCP MR
per
RC/NCM
CCP MR
per A
account
CCP MR
per A
account
CCP MR
per
RC/NCM
Collateral pool for all
OSA by asset
clients
MOSA
collateral
pool by
asset
MOSA collateral
pool by asset
Collateral pool for all
OSA under CASS
clients
MOSA
collateral
pool under
CASS
MOSA collateral
pool under CASS
When OSA by asset is chosen, a
separate collateral pool is opened at
Eurex Clearing. Specific securities
and cash are designated to the
collateral pool for all OSA by asset
clients and/or OSA under CASS
CCP MR
per
RC/NCM
CCP MR
per A
account
CCP MR
per
RC/NCM
MOSA collateral
pool by asset
RC/NCM
collateral
pool
MOSA collateral
pool under CASS
When OSA by asset is chosen, CMs have the option to
open multiple omnibus collateral pools at Eurex
Clearing. This enables CMs to group affiliated clients
together. It is possible to have multiple collateral pools
protected under UK Client money rules (OSA under
CASS) or not (OSA by asset)
Full physical
segregation
of positions
17
and collateral
per client
* The OSA by asset and OSA under CASS models are operationally identically. The only difference is the later affords clients CASS protection.
www.eurexclearing.com
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Standard OSAs
Omnibus segregation options at Eurex Clearing
Standard OSAs provide segregation between a Clearing Member’s client and house business. Within a Standard OSAs, all
of the Clearing Member’s clients (excluding ISA clients) are grouped together with one collateral pool. There are three
variants of the standard OSA;
Positions
Separate positions accounts are maintained to segregate proprietary (P-/M-Account), client (A-Account) and NCM/RC
positions. This applies to all standard OSAs
Collateral
OSA by Value - One collateral pool (cash and securities) with pro rata allocation by value (as a percentage) to proprietary
and client positions automatically in the Eurex Clearing System based on margin requirements
OSA by Asset - Allocation of securities collateral by Clearing Member in SWIFT instructions to CBF, SIX SIS Ltd., CBL
accounts Allocation of cash collateral by Clearing Member through pool ID
OSA under CASS - Operationally identical to the OSA by Asset model but client money is held under UK CASS rules.
Eurex Clearing will acknowledge that this cash pool is held on trust by the Clearing Member and will therefore not be
subject to set off (as required by CASS 7.8.2R
www.eurexclearing.com
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Standard OSA
Characteristics
•
4% capital charge (in Eurex Clearing’s view)
•
Porting is possible where all clients (undisclosed and NCM/RCs) agree to port to a single replacement
Clearing Member.
•
Inherent in this clearing model are fellow customer, liquidation, replacement and transit risks
Standard OSAs and client type
•
Omnibus segregation is offered to both disclosed and undisclosed clients
•
Undisclosed client positions can be segregated into one or more positions accounts (A1-A7) – i.e. net
omnibus segregation
•
Disclosed clients have their own position accounts (and can execute listed derivative and OTC
transactions), which are maintained on a gross-position keeping basis but net initial margin (net IM
per a position account). This set-up effectively allows gross margining for disclosed clients, with a
single commingled collateral pool – i.e. gross omnibus model
www.eurexclearing.com
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Legal overview of OSA under CASS
Introduction
• Eurex Clearing’s CASS Net Omnibus Clearing model allows CMs located in the United Kingdom to apply the Client
Assets (CASS) rules in relation to their undisclosed omnibus clients, Registered Customers (RCs) or Non-Clearing
Members (NCMs)
• Functionally and operationally is comparable to the ECM by asset model but allows the CM to be CASS Compliant. The
model allows the omnibus segregation of customer positions and margin and it is available for Eurex Exchange
transactions, European Energy Exchange, and OTC IRS transactions
• Upon application by a Clearing Member, Eurex Clearing will provide a trust acknowledgement letter as required by CASS
7.8.2R
• For undisclosed clients, the Model is a traditional net omnibus clearing model, for NCMs and RCs, the model operates as
a gross omnibus model for that client
Attributes of CASS Omnibus Clearing Model
• Considered to be a client transaction account at the CCP
• For either the net or gross omnibus set up, the model segregates and would only port the value of the collateral
segregated within one commingled collateral pool
• 4% capital charge (in Eurex Clearing’s view)
• Porting possible, but only all clients together to one Clearing Member
• Inherent in this clearing model are fellow customer, liquidation, replacement and transit risks
www.eurexclearing.com
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Default Management Process for Standard OSAs
Key elements of the model to fulfil requirements for omnibus client segregation
• Two separate Difference Claims will be calculated, one Difference Claim for
– Proprietary positions
– A-Account, NCM and RC positions
• The A-Account, NCM and RC clients can choose whether they want to be ported to a new Clearing Member until 1pm on
the business day immediately following default.
• Based on this decision the positions of A-Account, NCM and RC clients are either ported to a new Clearing Member or
liquidated along with the Clearing Member’s positions
• Portability is only possible to one Clearing Member, i.e. all A-Account, NCM and RC clients need to be ported to the same
Clearing Member
Portability
Positions
Portability of positions is facilitated by a transfer to the new Clearing Member
Alternative 1:
In case of allocation by value, the portion of the collateral that is transferred to the
new clearing member is determined by the ratio of the margin requirement of the
NCM/RC and A-Account positions relative to the overall margin requirement.
Alternative 2:
In case of allocation by asset (sub account/pool ID) the collateral allocated to the
NCM/RC/A-Account positions is transferred to the new Clearing Member.
Collateral
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Default Management Process in the Multiple Omnibus
Segregated Accounts
Close-out, porting and timelines
• Each multiple omnibus segregated account constitutes a separate standard agreement, which means a Difference Claim
(i.e. a net set-off amount) will be calculated per multiple omnibus collateral pool
• All of the clients collectively within a multiple omnibus segregated account (any combination of A-Account, NCM and RCs)
may port to the same back-up/Transferee Clearing Member
• A back-up Clearing Member may be specified in the documentation
• Porting Requirements must be fulfilled by 1pm CET on the business day after the default occurs.
• Based on whether the Porting Requirements are fulfilled or not, the positions of A-Account(s), NCM and RC clients are
either ported to a new Clearing Member or terminated and the calculation of the Difference Claim begins
Portability
Positions
Portability of positions is facilitated by a transfer to the new Clearing Member
Collateral
The collateral allocated to the multiple omnibus collateral account is transferred
to the new Clearing Member
www.eurexclearing.com
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Individually Segregated Accounts (ISA)
Eurex clearing introduced the ISA in August 2011
• The ICM provides Clearing Members with:
– full physical segregation of actual assets
– very likely porting
– compatibility with industry standard and bespoke CM documentation
Attributes
• 2% capital charge. Eurex Clearing provides Capital Requirement Directive opinions to clients on the Member Section of
the website
• Segregation and porting of clients actual collateral
• Porting window can be extended to 5 days under our interim participation concept
• The ICM will have a higher degree of operational complexity because Clearing Members will individually segregate clients
at the CCP level (therefore offering the greatest level of protection envisaged under EMIR).
• Eurex Clearing will not charge additional fees based upon segregation model chosen.
www.eurexclearing.com
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Individual Clearing Model – legal structure
Insolvency protection and portability is achieved through close-out netting and
pledges
The Individual Clearing Model ensures segregation of collateral via transfer of title
Non-Clearing
Member
Margin
collateral
Transfer
of legal
title
Clearing
Member
Margin
collateral
Transfer
of legal
title
Eurex
Clearing
Margin
collateral
Asset segregation is achieved by a title transfer mechanism where
the NCM/RC passes through collateral via its Clearing Member to
Eurex Clearing.
Close out netting and receivable pledges
• In case of a CM’s insolvency or expiry of the grace period of other pre-defined trigger events, a cash settlement taking the
evaluation of all covered transactions and actual delivered collateral will take place (close-out netting)
NCM
1
1
Differenc
e claim
following
close-out
netting
Differenc
e claim
following
close-out
netting
2
Clearing
Member
Receivable pledges from
CM to client and from CM
to ECAG
2
Eurex
Clearing
• The close-out netting is processed between Eurex Clearing and
the CM and equally between CM and NCM/RC
• Due to the established pledges, Eurex Clearing is obliged to pay
a positive final result of the close-out netting to the NCM/RC
without involvement of the defaulting clearing member
www.eurexclearing.com
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EurexOTC Clear IRS
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Individual Clearing Model – alternatives in a default
situation
The handling of segregated clients after close-out netting
Individual Clearing Model
There are three options an NCM/RC can choose from:
A. to receive a final pay out of the cash settlement amount; the liquidation process begins
B. Immediate re-establishment under new relationship (back up Clearing Member)
C. to become an Interim Participant and have the positions and collateral be transferred to a technical clearing member ID
Valuation Day
07:00 – 22:30 CET
Close-out netting
of positions
Valuation Day + 1
Valuation Day + 2
Pay out
A
Immediate
re-establishment
B
Valuation Day + 3
Interim participation
Valuation Day + 4
Valuation Day + 5
C
Assumption: If the trigger event is identified prior to 17:23 CET, valuation day equals termination date. If the trigger event
is identified after 17:23 CET, Valuation day is D+1.
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EurexOTC Clear IRS
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Individual Clearing Model – Interim Participant solution
Transfer of client positions and collateral via the unique Interim Participant status
Characteristics
• The interim period can last up to 5 business days and can
be extended by Eurex Clearing.
• The IP is assigned to a technical CM ID in the Eurex®
system.
• The Interim Participant may only execute trades on a
restricted basis as outlined in the Clearing Conditions.
• If the Interim Participant doesn’t fulfil its obligations during
the interim period Eurex Clearing can suspend it according
to the Clearing Conditions with immediate effect and start
the close-out netting. The same happens after the interim
period and if no new Clearing Member was found.
• Eurex Clearing does not have the power to enforce a
transfer to a non-defaulting Clearing Member.
ECAG
ECAG
ECAG
IP
CM new
Close-out
Netting
CM old
Close-out
Netting
Interim
participation
Legal requirements
• All outstanding payments related to the positions reopened.
• Sufficient coverage for any margin shortfall.
• Coverage of Clearing Fund contribution for the interim
period.
• Confirmation of its financial solvency and technical ability to
maintain its position.
NCM/RC
www.eurexclearing.com
NCM/RC
Max. 5 day period
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The fund manager set-up
Reduced operationally and documentation effort for fund managers
•
Eurex Clearing has developed a specific approach to facilitate the onboarding of fund managers.
The Fund Manager Set-Up allows the asset management company to sign on behalf of an unlimited
number of funds (when the funds have no legal personality)
•
This approach results in documentation efficiencies and reporting benefits. In this approach the fund
manager becomes a technical RC but each fund remains the legal counterparty, essentially each
fund has it’s own ISA
Fund Manger
Fund 1 Position
Account
•
Fund 2 Position
Account
Fund 3 Position
Account
Fund 4 Position
Account
Whilst the position accounts of the fund manager set-up remains constant independent of the model
used, collateral may fall under omnibus or individual segregation
www.eurexclearing.com
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Segregation options for the fund manager
Examples of the fund manager set up in omnibus and individual segregation
FM
Margin
calculation
F1
CCP
MR per
F1
Eurex Clearing
Collateral pools
Position
accounts
Individual Segregated Accounts
F1
Seg
Pool
F2
… Fund N
CCP
MR per
F2
F2
Seg
Pool
…
CCP
MR per
FN
FN
Seg
Pool
Each fund its individually segregated,
with it’s own collateral pool holding
collateral solely for the purpose of that
fund
Standard Omnibus Segregated Account
Agency
position
accounts
RC/NCM
position
accounts
CCP MR
per A
account
CCP MR
per
RC/NCM
Multiple omnibus collateral pools
FM
F1
CCP
MR per
F1
F2
FM
… Fund N
CCP
MR per
F2
…
CCP
MR per
FN
One collateral pool for all OSA by asset clients
The fund’s positions remain individually segregated in their
own position account but there is no longer one collateral
pool per a position account. The collateral belonging to all
funds sits in the omnibus collateral pool. This exposes the
client to fellow customer risk as all of the CMs clients sit in
the same collateral pool i.e. clients in the A1 – A9
accounts and any RCs or NCMs that the CM may have
www.eurexclearing.com
F1
CCP
MR per
F1
F2
… Fund N
CCP
MR per
F2
…
CCP
MR per
FN
Segregated multiple omnibus
collateral pool for FM only
The CM may open a multiple collateral
account for the sole purpose of the fund
manager. Positions remain individually
segregated but the collateral sits in a omnibus
collateral pool. This pool holds collateral only
for the fund manager so fellow customer risk
exists only between the funds and not the
CMs other clients.
EurexOTC Clear IRS
November 2014 - ABBL
Master fund Structure for Eurex OTC IRS
•
Segment 1 – MW BIC 123
Segment 2 – MW BIC 124
As it is the master fund that is the legal identity, individual
segregation is not required on the fund segment level but on
the master fund level. In Eurex Clearing’s structure, each
master fund sits in it’s own position account with its own
collateral pool i.e. each master fund has its own ISA
Each segment has an individual individual MarkitWire ID (MW
BIC) which is used by the respective segment asset manager
for entering OTC IRS trades at MarkitWire. It is the MW BIC
that is used to identify each segment within the master fund
position account.
Initial margin is calculated net per a position account i.e. on
the master fund level. Therefore each master fund benefits
from risk offsetting between different segments within one
master fund. The master fund can however calculate
hypothetical margin per MarkitWire BIC by using the CC208
report)
www.eurexclearing.com
Segment 3 – MW BIC 125
Segment 4 – MW BIC 126
Segment 6 – MW BIC 127
Position
accounts
•
Master Fund 1 – Position Account
Fund Manager
MF1
MF2
MF3
MF4
Margin
calculation
•
Each master fund contains a number of segments which might
be (externally) managed by different asset managers.
Separate reporting is therefore necessary for each segment
for management or performance measurement purposes
CCP
MR per
MF1
CCP
MR per
MF2
CCP
MR per
MF3
CCP
MR per
MF4
Eurex Clearing
Collateral pools
•
MF1
Seg
Pool
MF2
Seg
Pool
MF3
Seg
Pool
MF4
Seg
Pool
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Client Clearing Documentation – ECAG’s ICM clients can
choose their documentation approach
1
Eurex Clearing
Documentation (ECD)
Clearing Agreement under
Eurex Clearing AG
Documentation (ECD)
• Triparty agreement
provided by Eurex
Clearing
• Existing agreement
governs the relationship
between Eurex Clearing,
Clearing Member, &
RC/NCM for the Individual
Clearing Model across all
asset classes
• In use by members since
the ICM was launched in
2011
2
Market Standard Client
Clearing Documentation (CCD)
3
Your own documentation
Participation Agreement under Client Clearing Documentation (CCD)
• Eurex Clearing allows Individual
Documentation based on market
standard client clearing
documentation such as the BdB CRV,
FOA Module, or ISDA/FOA
Addendum
• The Clearing Member’s documentation
should comply with the eligibility criteria
laid out in the clearing conditions
• CM agrees to representations and
indemnities in the Participation
Agreement
• Eurex Clearing will rely upon trade
association netting opinions and will
obtain extension opinions to ensure
that the Eurex Clearing specific annex
terms to the client documentation are
compliant with each other
www.eurexclearing.com
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Direct Transfer of Collateral – Overview
• As part of our Individual Segregation Clearing Model (ICM), we have launched the Direct transfer of collateral
under the ICM in November 2013. With this service:
• Segregated ICM client will be able to transfer collateral directly to Eurex Clearing
• Direct transfer of collateral does not change the legal concept of double title transfer, meaning as soon as the
collateral is actually delivered and credited to the Margin Account at Eurex Clearing, this transfer fulfils the
ICM segregated client’s obligation towards its CM and the CM’s obligation towards Eurex Clearing
• Transformation will still be possible, but it will remain outside Eurex Clearing’s ICM model
• Direct collateral transfer is an optional service and can be chosen for cash and/or security collateral
• Direct collateral transfer applies to initial margin requirements
• Direct collateral transfer will not impact the interest income process for cash collateral and security handling
fee for posted security collateral
www.eurexclearing.com
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Solution Concept: Client Custodian Gateway
 Overview of the Client Custodian Gateway
 A solution whereby Clearstream Banking Luxembourg and Eurex Clearing jointly offer, in
collaboration with Global Custodians, a collateralization model that:
 Allows Registered Customers and NCM’s to satisfy margin requirements for their segregated
collateral business under the Individual Clearing Model (ISA/ICM) while keeping securities at
their existing Custodian
 Reduces operational effort for all involved parties in the margining process by providing a
high-degree of automation for the collateral allocation, withdrawal and substitution process
 Reduces / shortens time for movement of securities and reduces manual intervention
 Provides the necessary control and safety for Clearing Member towards the RC’s and NCM‘s
 Assumes compliance with EMIR requirements for Omnibus and Individual Segregation
Model (Article 39) as well as safekeeping of collateral assets (Article 47.3)
 Offering is currently focused on OTC IRS but will be extended across all asset classes cleared
 Creation of an attractive value proposition to market actors through
 Leveraging the Buy-Side clients’ existing infrastructure and business relationships with Clearing
Members, (I)CSDs and Global Custodians in the design of the joint solution
 Extension of the Client Custodian Gateway to include additional service offerings such as
Securities Lending and Tri-Party Repo
www.eurexclearing.com
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Admissible Securities Collateral
As of August 2014 (http://www.eurexclearing.com/clearing-en/risk-management/risk-parameters/)
www.eurexclearing.com
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Agenda
• Requirements and Implications of being a Clearing Member.
• Segregation Models, levels of protection and portability
• Process of trade novation and calling of margin
• Cost Implications for Banks as Clearing Members versus Client
• Trading / Pricing implications of frontloading
• CCP Differentiators
• Key contacts
• Appendix
www.eurexclearing.com
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Trading
Registered
Client
ATS
Trade Capture & Novation Flow
Deal
submitted
Clearing
Member
Eurex Clearing
n
CM take-up
trade?
Eurex Clearing continuosly novates trades
during opening hours between 08.00-22.00 CET
•
ATS (Approved Trade Source) 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 ECAG novates the trade:
Dealer
Update to
ATS
Eligibility
Check
•
Process Repeat
Risk
Check
Collateral to
Novate?
y
y
Legal CCP
Novation
by
reporting
n
CM
Reporting
Take-up
Accept/
Reject
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
–
Trade status updated in ATS
–
Trade novated upon ‘OTC Trade Novation’
report distributed (event driven)
•
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 ATS
are queued for processing next day
•
Eurex Clearing issues daily overnight Margin
Call covering the entire portfolio risk.
www.eurexclearing.com
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Intraday Margining
Real-time market monitoring and collection of extra collateral if needed
Start of Trading
t
t + 30min
1st Margin Call issued
30mins left to reduce shortfall by
trading, position management or
pledging collateral
Increasing risk
breaching intraday
credit thresholds
t + 60min
End of Trading
2nd Margin Call issued
(1) Cancellation or
(2) announcement of final
margin call amount,
followed by cash debit
Collateral Shortfall
resolved
Margin Call
1. Eurex Clearing monitors the member’s risk
exposure seamlessly on a real-time basis during
daily business hours (7.00am – 10.30pm CET)
2. An intraday margin call is issued by phone and
confirmed by fax transmission as soon as the
individual member’s threshold (intraday margin
call limit) is exceeded
4.
An intra day margin call payment can be
avoided by reducing the risk position within
30 minutes after the margin call issue by
 Closing transactions
 Trading activities (to reduce risks)
5.
If the risk position is not reduced within 30
minutes after the margin call issue, Eurex
Clearing issues an intraday margin call
payment by phone and fax
3. Eurex Clearing communicates
 The amount of the intra day margin call
 The timeframe
www.eurexclearing.com
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Definition of Terms
Initial Margin, Variation Margin and PAI
Initial Margin (IM)
•
•
•
•
•
Calculated per account in clearing currency using portfolio margining
IM = Market Risk (MAX(FHS,SP***)) + Correlation Break Adjustment + Liquidity Adjustment
Reported EOD: CC050* (Daily Margin EOD), CC060* (Daily Margin Requirements, at pool id level) and CC204** (Overall
Margin Report)
Can be covered by securities or cash in any currency intraday and end of day
Eurex Clearing will always first utilize securities collateral to cover IM and return excess cash
Variation Margin (VM)
•
•
•
•
•
Calculated per trade in product currency and summed at account level
VM = MtMT – MtMT-1
Reported Intraday: CI050* (Daily Margin Intraday), NOT IN CI140* (Variation Margin Intraday)
Reported EOD: CC203** (Variation Margin Report), CD010* (Daily Cash Account CM)
Can be covered intraday by securities or cash and must be settled EOD in cash in the product currency
Price Alignment Interest (PAI)
•
•
•
•
Interest on the cumulated Variation Margin
PAI = = MtMT-1 * OIS rate * Day count (EUR 1/360, GBP 1/365) * Day Difference
Reported EOD: CC203** (Variation Margin Report), CD010* (Daily Cash Account CM), one figure as VM
Calculated using the benchmark overnight rates per currency (e.g. EONIA for EUR, SONIA for GBP) and is settled daily in
the product currency
*) Eurex Classic Report **) EurexOTC Clear Report ***) FHS=Filtered Historical Simulation, SP=Stressed Periods
www.eurexclearing.com
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Intraday Margin Calculation and Margin Calls (1/3)
Margin Requirements are determined throughout the day
Full Portfolio Recalculations
•
A full portfolio recalculation will evaluate each portfolio with the latest market data and result in up-to-date IM
requirements per account and intraday VM requirements per trade
•
Market data used for the scheduled full recalculations intraday and end of day are distributed after the full recalculations
via the Common Report Engine to enable CMs to recalculate the margin requirements
•
Intraday full recalculations are scheduled every day at the following times in addition to the end of day full recalculation:
•
09:00, 11:00, 13:00, 15:00, 17:00, 19:00, 21:00 CET
•
Additional full portfolio recalculations can be triggered manually by Eurex Clearing
Market Data Updates and Incremental Risk Checks
•
New market data is received by Eurex Clearing every 10 minutes. Incremental Risk Checks for trades submitted for
clearing and post trade events use the latest available market data
•
The incremental risk check will determine the VM for the trade and the additional IM for the trade in the specific account
as IM uses portfolio margining
•
Eurex Clearing will distribute the market data after each portfolio recalculation
www.eurexclearing.com
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Intraday Margin Calculation and Margin Calls (2/3)
Intraday Margin Calls are based on total margin requirements and collateral
Margin Requirement Determination
•
A positive intraday VM will be deducted from the IM within the same account to determine the total margin requirement
for the account. In case the positive intraday VM is larger than the IM in a specific account the excess positive VM can
not be used to reduce margin requirements in other accounts
•
Margin requirements for segregated RCs are calculated separately
•
Margin requirements from OTC business will be aggregated with margin requirements from the listed business on
account as well as CM and segregated RC level to arrive at the total margin requirements per CM and segregated RC
Determination of margin shortfalls and surpluses
•
Eurex Clearing will determine if the total margin requirements of segregated RCs are covered by the sum of that RC‘s
collateral.
•
Shortfalls from segregated RCs are covered by the CM’s proprietary collateral. If segregated RCs’ shortfalls exceed the
CM’s margin surplus (or if the CM also has a margin shortfall) an overall margin shortfall on CM level exists.
Segregated RCs’ surpluses can not be used to cover other shortfalls
Direct Debits for pending IRS trades:
•
•
•
For any trades that has not novated due to insufficient collateral, we produce a ‘Preliminary OTC Margin Call Report’ at
12:00, 14:00, 18:00 CET
Direct Debits will be instructed one hour later (13:00, 15:00, 19:00 CET)
Prior the Direct Debit we will recalculate Margin Requirements. If the amount is lower, we will debit that amount. If it is
higher, we will only debit the amount specified Margin Call report.
Novation Report:
•
The Trade Novation Report CI200 will be sent every hour as legal novation of trades
www.eurexclearing.com
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Intraday Margin Calculation and Margin Calls (3/3)
Intraday Margin Calls can be fulfilled with cash and securities collateral
Issue of intraday Margin Call
•
•
•
•
•
A Margin Call can be issued when the member has an overall margin shortfall.
A call followed by a Fax is made to the CM.
The CM has the option to cover the call with non-cash collateral or enter risk reducing trades. This has to be done
within 30 min. After the 30 min the Margin Call has to be settled in cash.
The Margin Call has to be settled within 60 minutes
Cash received from an intraday Margin Call will be booked on the prop. account
Failure to meet a Margin Call
•
•
In case a Margin Call is not met a trigger event “Failure to provide margin” is active
The member has the chance to resolve the trigger, in case the trigger is not resolved the CM will be set to default
www.eurexclearing.com
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Agenda
• Client Asset Protection
• Default Management
• Collateral Reductions and Efficiencies through Cross Margining
• Collateral Optimisation & Transformation
• CCP Differentiators
• Key contacts
• Appendix
www.eurexclearing.com
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Introduction
The Capital Requirements Regulation (Regulation (EU) No 575/2013 – “CRR”) includes certain privileges as regards the own
funds requirements for CCP-cleared transactions
• Exposure values from CCP-cleared transactions can be calculated on a net basis if covered by an eligible netting agreement
• Under further preconditions, reduced risk weights can be applied (i.e. 0%, 2%, 4%)
• No-recourse clause (Art 306(1)(c) CRR)
• Bankruptcy remoteness (Art 306(2), Art 305(2)(a) CRR)
• Segregation (Art 305(2)(a) CRR)
• Porting (Art 305(2)(c) CRR)
When looking at own funds requirements for CCP-cleared transactions, the following exposures need to be distinguished
• Clearing Member`s (“CM”) exposure to CCP
• CM`s exposure to its Clients
• Client`s exposure to its CM
Eurex Clearing AG (“ECAG“) comissioned an English law and a German law legal opinion which address the exposure
calculation and the application of the reduced risk weights in relation to each of its clearing models (“CRR-Opinions”)
•
This presentation provides an overview of the own funds requirements of CMs and their Clients in relation to transactions
cleared through ECAG
www.eurexclearing.com
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Overview on own funds reduction options under the CRR regarding
ECAG-cleared transactions (1/4)
ECAG
qualifies as
Qualifying
CCP
• ECAG holds a licence pursuant to Art 14 European Market Infrastructure Regulation (Regulation (EU)
648/2012) and thus is a “Qualifying CCP” pursuant to Art 4 (88) CRR
Eligible Netting
Arrangements
• According to Art 306(3) CRR (CM`s exposure to CCPs), Art 304(1) CRR (CM`s exposure to clients) and Art
305(1) CRR (Client`s exposure to CM), the own funds requirements for CCP-cleared transactions shall be
calculated pursuant to Sections 1 to 8 of Part 3 Title II Chapter 6 CRR
• This reference includes the provisions under Art 295 to 298 CRR which provide for the recognition of
contractual netting arrangements leading to the calculation of the exposure value on a net basis
• Close-out netting arrangements under the Clearing Conditions comply with the requirements stipulated
by Art 296, 297 CRR and qualify as eligible netting arrangements
• ECAG`s close-out netting arrangements also include any title transfer collateral
• the collateral provider`s exposure for the return of collateral provided by way of full title transfer
(covering both: Margin and Variation Margin) will be treated as individual transaction within the
meaning of Art 296(1)(a) CRR
• consequently, any “Redelivery Claim” established under the ECAG’s Clearing Conditions forms
part of the Difference Claim
•
the general risk weight for the exposure arising from the relevant Difference Claim is 2% (Art
306(1)(a) CRR)
www.eurexclearing.com
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Overview on own funds reduction options under the CRR regarding
ECAG-cleared transactions (2/4)
CM’s
exposure
to ECAG
• Since ECAG is a Qualifying CCP, the general risk weight for the CM`s trade exposure to ECAG is 2% (Art
306(1)(a) CRR); the trade exposure is calculated on a net basis and considers any title transfer collateral
delivered by the CM
• Art 306(2) CRR provides the possibility to apply a 0% risk weight to the exposure arising from the collateral
provided to ECAG by the CM; as title transfer collateral is considered within ECAG`s close-out netting
arrangements, such reduction only applies to collateral other than title transfer arrangements (i.e. pledges
under ECAG`s Elementary Clearing Model)
• Art 306(1)(c) CRR allows the application of a 0% risk weight in relation to exposures arising from client
transactions provided that the CM is not obliged to reimburse its client in case of ECAG`s default
CM’s
exposure to
Client
• According to Art 304(1) in connection with Art 295 et seq. CRR, CM`s exposure to Client could be calculated
on a net basis
• Clearing Conditions do not provide for close-out netting provisions in case of a Client default
• CM and client are free to agree on such clauses in their client clearing documentations
• Art 304 CRR does not provide for any reduced risk weights for CCP-cleared transactions
www.eurexclearing.com
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Overview on own funds reduction options under the CRR regarding
ECAG-cleared transactions (3/4)
Client’s
exposure
to CM
• Individual Clearing Model
• Under the requirements stipulated by Art 305(2) CRR, Client is entitled to calculate its own funds
requirements in accordance with Art 306 CRR with a risk weight of 2%
• Under ECAG`s Individual Clearing Model, Client`s positions and assets are (i) individually
segregated from the positions and assets of the CM and other clients of the CM and (ii)
bankruptcy remote in case of an insolvency of the CM or of its clients
• ECAG`s Clearing Conditions facilitate the transfer of the client`s positions and collateral to
another CM in the event of the CM`s default or insolvency
• ECAG provides an English law and German law legal opinion confirming that the client bears
no losses on account of the insolvency of CM or of any of the CM`s clients
• ECAG qualifies as Qualifying CCP
• As any collateral under the Individual Clearing Model needs to be delivered on a title transfer basis,
any exposure arising in relation to Segregated Margin and Segregated Variation Margin will be
included in the netting arrangement
www.eurexclearing.com
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Overview on own funds reduction options under the CRR regarding
ECAG-cleared transactions (4/4)
Client’s
exposure
to CM
• Elementary Clearing Model (Net Omnibus Clearing Model)
• Art 305(3) CRR could provide a privilege for the exposure calculation under Omnibus Segregation
Models which states:
• When Client is not protected from losses in case CM and another client of CM jointly default
• All the other conditions under Art 305(2) CRR are met
• Client may calculate its own funds requirements for its exposure to CM pursuant to Art 306
CRR, subject to replacing 2% with a 4% risk weight under Art 306(1)(a) CRR
• BUT: interpretation of Art 305(3) CRR not entirely clear
• Art 305(3) CRR expressly requires that “…all the other conditions set out in paragraph 2 are
met…”, which also includes the provision of Art 305(2)(a) CRR which requires that the relevant
clearing model provides for individual segregation
• Due to these inconsistencies, no conclusive statement can be made as to whether ECAG`s
Elementary Clearing Model and Net Omnibus Clearing Model fall under the scope of
application of Art 305(3) CRR
• ECAG submitted a formal request to the European Banking Authority (EBA) asking for
guidance whether and under which conditions omnibus segregation models may benefit form
the 4% reduced risk weight pursuant Art 305(3) CRR
www.eurexclearing.com
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General overview of Capital Requirements Regulation on the treatment
of trade exposures to CCPs
1) Non CRR eligible client segregation solution
Client
 Client exposure
risk weight: min
20% + CVA charge
CM
 CM exposure risk
weight: min 20% +
CVA charge
CM exposures with qualified
CCPs will receive 2% risk
weight
CCP
 Risk weight:
2%
Non CRR eligible client
segregation solutions will not
translate into risk weight
reductions
2) CRR provisions offer opportunities to receive reduced risk weights for segregated clients
Client
 Client exposure
risk weight:
2% to 4%
CM
 CM exposure risk
weight: min 20% +
CVA charge
CRR eligible client
segregation solutions will
translate into risk weight
reductions: 2% for individual
segregation and 4% for
omnibus segregation
CCP
 Risk weight:
2%
*
www.eurexclearing.com
CVA = Credit Valuation Adjustment
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Capital Requirements Regulation offers opportunities to market
participants to receive reduced risk weights (1/2)
1
Proprietary trade exposure
CCP
CM
2
1
Financial intermediary trade exposure
Proprietary trade exposure
 Difference claim exposure
2% Risk weight
 Collateral exposure
a) Pledged collateral
0% Risk weight
b) Title transferred collateral
2% Risk weight
2
 CMs Difference claim exposure with ECAG will receive a risk weight
of 2%
 Pledged collateral is bankruptcy remote from ECAG, thus no capital
charge will apply
 Title transferred collateral would receive a risk weight of 2%, but is
legally treated as transaction and thus already included in difference
claim exposure
Financial intermediary trade exposure
 Difference claim exposure
a) Recourse
2% Risk weight
b) No recourse
0% Risk weight
 Collateral exposure
a) Pledged collateral
0% Risk weight
b) Title transferred collateral
2% Risk weight
 Zero risk weight can be assigned to financial intermediary CM
difference claim exposures to ECAG, if no-recourse clause is included
in Netting Agreement (Art. 306(1)(c) CRR)
 Pledged collateral is bankruptcy remote from ECAG, thus no capital
charge will apply
 Title transferred collateral would receive a risk weight of 2%, but is
legally treated as transaction and thus already included in difference
claim exposure (not subject to risk weighting if ‘no-recourse’ clause is
included in Netting Agreement (Art. 306(1)(c) CRR)
www.eurexclearing.com
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Capital Requirements Regulation offers opportunities to market
participants to receive reduced risk weights (2/2)
3
ICM1 trade exposure
CM
Client
4
ECM/NOCM2 trade exposure
ICM1 trade exposure
3
 Difference claim exposure
2% Risk weight
 Collateral exposure
 ICM1 clients difference claim exposure with a CM for a trade cleared
through ECAG will receive a risk weight of 2% (Art 305(2), Art 306 CRR)
 In ECAG’s ICM client collateral is posted to ECAG via title transfer, thus
no exposure out of pledged collateral will arise
a) Pledged collateral
n.a.
b) Title transferred collateral
2% Risk weight
 Title transferred collateral would receive a risk weight of 2%, but is
legally treated as transaction and thus already included in difference
claim exposure
ECM/NOCM2 trade exposure
4
 Difference claim exposure
4% Risk weight
 Collateral exposure
a) Pledged collateral
4% Risk weight
b) Title transferred collateral
4% Risk weight
 Omnibus segregation models may qualify for application of 4% risk
weight for omnibus segregated client exposures
 Interpretation of Art 305(3) CRR not entirely clear
 ECAG has submitted a request to EBA asking for guidance on
whether omnibus segregation models are covered by Art 305(3) CRR
1)
2)
www.eurexclearing.com
ICM = Individual Clearing Model
ECM/NOCM = Elementary Clearing Model / Net Omnibus Clearing Model
49
EurexOTC Clear IRS
November 2014 - ABBL
Agenda
• Client Asset Protection
• Default Management
• Collateral Reductions and Efficiencies through Cross Margining
• Collateral Optimisation & Transformation
• CCP Differentiators
• Key contacts
• Appendix
www.eurexclearing.com
50
EurexOTC Clear IRS
November 2014 - ABBL
Key operational differentiators to be assessed
between CCP’s
Eurex Clearing Operational Differentiators
• Direct delivery of cash and securities removes operational cost for CM
Efficient collateral
management
• Over 25,000 eligible securities lowers funding costs of IM and DF
• GC Pooling allows re-use of securities to cover IM requirements
Operational efficiencies
• Intraday return of cash removes double funding
• Single netted margin call across all asset classes
• Direct delivery of cash and securities means no transit risk
Protection and
segregation
• Full protection of client excess allows pre-funding at no risk
• Full protection of clients own assets removes liquidation and replacement risk
• No mutualization of risks with fellow customers
• Portability of clients actual / own assets in CM default
Portability and legal
certainty
• 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
• Early return of cash removes double funding
Central Bank access
• 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
www.eurexclearing.com
51
EurexOTC Clear IRS
November 2014 - ABBL
Key operational differentiators to be assessed
between CCP’s
Eurex Clearing Cost Differentiators
• Cross asset class CCP with single legal netting lower EaD which lowers capital
Capital and funding efficiencies
Netting
• Cross product margins in Liquidation Groups
• Payment netting across asset class with a single margin call
• 5 day MPOR applied to OTC IRS for both house and client accounts
Capital costs
• 0% capital risk weight for house collateral
• 2% capital risk weight for individual segregation
• 0.34% C Factor
• DF segmentation decreases total size of CF by 40%
Default Fund
• DF allocated as 7% of IM.
• Cross margins lowers IM by 20 – 40% and hence DF contribution
• Lower DF means lower funding costs
• Lower IM means lower funding costs
Funding costs
• Over 25,000 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
www.eurexclearing.com
52
EurexOTC Clear IRS
November 2014 - ABBL
Agenda
• Client Asset Protection
• Default Management
• Cross Margining and Collateral Efficiency
• Differentiators
• Appendix –
•
Products and currencies
•
Volumes
•
Members
•
Roadmap
•
Important information on the public website
•
Fee model
•
Fee incentive
•
Key contacts
www.eurexclearing.com
53
EurexOTC Clear IRS
November 2014 - ABBL
Mandatory Clearing Regulatory Technical Standard (RTS)
On 1 OCT 2014 EMSA issued the final proposal to the EU Commission regarding the
timeline and categories of firms for the clearing obligation
• Category 1: Clearing members (within Article 2(14) of EMIR), for at least one of the classes of OTC
derivatives subject to the clearing obligation, of at least one authorised or recognised CCP. Mandatory
Clearing will start 6 month after RTS most likely Q3 2015
• Category 2: Counterparties not included in Category 1 that belong to a group whose aggregate monthend average notional amount of non-centrally cleared derivatives over a certain three-month period is
above €8 billion and which are financial counterparties (FCs) or Alternative Investment Funds (AIFs), as
defined in Article 4(1)(a) of the Alternative Investment Fund Managers Directive (AIFMD), that are nonfinancial counterparties (NFCs) meeting the conditions referred to in Article 10(1)(b) of EMIR.
Mandatory Clearing will start 12 month after RTS Likely Q1 2016
• Category 3: Counterparties not included in Category 1 or Category 2 that are FCs or AIFs, as defined in
Article 4(1)(a) of the AIFMD, that are NFCs meeting the conditions referred to in Article 10(1)(b) of
EMIR. Mandatory Clearing will start 18 month after RTS, most likely Q3 2016
• Category 4 covers NFCs meeting the conditions referred to in Article 10(1)(b) of EMIR and that are not
included in Category 1, Category 2 or Category 3. Mandatory Clearing will start 36 month after RTS,
most likely Q1 2018
www.eurexclearing.com
54
EurexOTC Clear IRS
November 2014 - ABBL
Mandatory Clearing Regulatory Technical Standard (RTS)
The frontloading obligation effectively marks the start of mandatory clearing
• The frontloading obligation will only apply to Category 1 and Category 2 entities.
• Frontloading means that all swaps which are executed between the effective date of the RTS (earliest
possible date) and the effective date of the clearing obligation have to be CCP cleared if the residual
maturity of the trade at the date of the clearing obligation is at least 6 month.
• All such trades have to be "back-loaded" if not immediately cleared latest on the day of the clearing
obligation.
• For the purposes of calculating the group aggregate month-end average notional amount, all of the
group’s non-centrally cleared derivatives, including foreign exchange forwards, swaps and currency
swaps, must be included.
• Suggested mandatory cleared product scope includes plain vanilla interest rate swaps, Overnight Index
Swaps (IOS) and Forward Rate Agreements (FRA) denominated in EUR, USD, GBP and JPY
• Next steps: EU commission has a 1-3 month decision period, this is then followed by a 1-3 month(s)
consideration and no-objection by the parliament leading to a effective date of the RTS between
beginning of December 2014 and beginning of May 2015
www.eurexclearing.com
55
EurexOTC Clear IRS
November 2014 - ABBL
We have seen a significant increase in new CM’s & RC’s
• 38 OTC IRS Clearing Members and 54 Registered Customers admitted
• Over 100 Registered Customers currently onboarding
• Union Invest first major KVG live in Individual Segregation with approx. 100 underlying funds
Admitted Clearing Members:
www.eurexclearing.com
© Oliver Wyman
56
56
EurexOTC Clear IRS
November 2014 - ABBL
Eurex Clearing volumes have increased significantly
since the beginning of 2014
CRD IV
New capital requirements
introduced in Jan 2014
Clearing demand
Mid tier European banks
becoming direct CM’s and
increasing Eurex activity
Liquidity
Liquidity provided by all
major broker dealers
60,000,000,000
Collateral
GC pooling collateral reuse and late return of
Central Bank cash
Approx. 140 RC’s have
qualified for the fee
waiver and many
starting to actively clear
40,000,000,000
End clients
Fee waiver
No OTC IRS clearing fees
until Jan 2016
Outstanding
Total turnover
EUR
40,105,436,212
54,682,823,582
CHF
30,597,100,000
31,397,100,000
USD
643,070,000
643,070,000
65,678,631,314
80,909,218,723
Total (EUR)
70,000,000,000
50,000,000,000
CHF
EUR
30,000,000,000
USD
20,000,000,000
Total (EUR)
10,000,000,000
www.eurexclearing.com
© Oliver Wyman
Oct
Sep
Aug
July
June
Apr
May
Mar
Feb
Jan
Dec
Nov
Oct
0
57
57
EurexOTC Clear IRS
November 2014 - ABBL
EurexOTC Clear for IRS was launched in Nov. 2012 and
was authorized as a QCCP on 10 April 2014
Product description
OTC derivative classes
Currencies:
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
Types:
Interest Rate
Fixed to Float
LIBOR
GBP
GBP
2D-50Y
Cash
1M, 3M, 6M, 1Y
•
Vanilla IRS (Fix vs Float)
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
•
Basis swap (Float vs Float)
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
Structures:
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
EUR (EURIBOR) and GBP (LIBOR),
1m, 3m, 6m, 12m
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
USD and CHF (LIBON) 1m, 3m, 6m
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
EUR
USD
•
OIS, FRA
•
Zero coupon
GBP
•
Compounding
•
Variable notional
•
•
CHF
JPY
Spot, forward start & stub periods,
linear interpolation
www.eurexclearing.com
58
EurexOTC Clear IRS
November 2014 - ABBL
Important Information on the public website
• Eurex Clearing Company Profile
http://www.eurexclearing.com/clearing-en/about-us/company-profile/
• Eurex Clearing Rules and Regulations: Clearing Conditions
https://www.eurexclearing.com/clearing-en/resources/rules-and-regulations/136778/
• Admission documents and membership forms
http://www.eurexclearing.com/clearing-en/resources/forms/
• Eurex Clearing Price List
https://www.eurexclearing.com/clearing-en/resources/rules-and-regulations/
• List of admitted Clearing Members
http://www.eurexclearing.com/clearing-en/resources/clearing-contacts/
• Production Newsboard
http://www.eurexclearing.com/clearing-en/resources/production-newsboard/
• Risk Management Information on Lines of Defense, Default Management Process etc.
http://www.eurexclearing.com/clearing-en/risk-management/
• Risk Parameters and Eligible Collateral
http://www.eurexchange.com/exchange-en/market-data/clearing-data/risk-parameters/
• Information on C7, our new clearing architecture
http://www.eurexclearing.com/clearing-en/technology/c7/
• Report Reference Manual
http://www.eurexclearing.com/blob/clearing-en/136500-861464/1032542/3/data/Eurex_XML_Report_Reference_Manual_V211.pdf
www.eurexclearing.com
59
EurexOTC Clear IRS
November 2014 - ABBL
EurexOTC Clear for IRS: Standard Fee Model
Booking Fee
Maintenance Fee
Booking fee per million in trade currency
0.25
Maturity premium per million per year in
trade currency
0.75
Fee cap (Booking fee + Maturity premium)
per million in trade currency
18.00
Maintenance fee per million notional per day
in trade currency
0.007
Backloading discount for booking fee: 70%
Rebate program for Registered Customers
Maintenance Fee Rebates
(Based on the outstanding notional amount)
Booking Fee Rebates
(Based on the cumulated cleared notional amount)
Up to 240 bn € cleared notional
0%
Up to 240 bn € cleared notional
0%
240 bn € to 720 bn €
15%
240 bn € to 720 bn €
15%
720 bn € to 1,500 bn €
25%
720 bn € to 1,500 bn €
25%
Above 1500 bn €
35%
Above 1500 bn €
35%
* Effective 1 May 2014
Note: Fees are always billed in the underlying currency
www.eurexclearing.com
60
EurexOTC Clear IRS
November 2014 - ABBL
Collateral Fee
Eurex Clearing passes on interest earned from cash investments
• A strict policy determines re-investment of provided cash collateral
• Eurex Clearing passes on interest earned from cash investments to its Clearing Members* on a
monthly basis after a deduction according to the currency:
• For clearing currencies EUR and CHF, 20 basis points are deducted
• For margin currencies USD and GBP, 50 basis points are deducted
• Interest on cash collateral is calculated daily per collateral pool and settled monthly
• Interest on cash collateral is reported via CD230 Monthly Interest Report
Security Collateral Fee
• Securities collateral used to cover margin requirement are subject to a handling fee of 5bp
• Any over-collateralization is not charged
• Securities collateral management charge does not apply to OTC IRS business of Registered Customers (segregated
and non-segregated Registered Customers)
• The security collateral fee is calculated on a daily basis and settled monthly
• Security collateral fee is reported via CB235 Daily Security Collateral Fee Statement
* In order to invest the cash overnight and associate investment returns with interest paid to Clearing Members there is an intraday cut off time after which cash is not included in the
interest calculation; for more details around cash cut off times, please refer to overview on the next page
.
www.eurexclearing.com
61
EurexOTC Clear IRS
November 2014 - ABBL
Emir readiness – benefit from our fee Incentive
• On 10 April 2014 Eurex Clearing was granted authorization as a CCP under the European Market
Infrastructure Regulation (EMIR). In light of this we offered a number of incentive programs to help you
become EMIR ready
• Who is the fee waiver for? Our new incentive program "EMIR Readiness" is targeted at all market
participants who have not already been admitted as Clearing Member (CM), Registered Customer (RC)
or who will not qualify for the full fee waiver incentive program.
• What does the program entail? If you are not part of our full fee waiver incentive program and plan to
start the on-boarding process as a CM or RC in the coming months, our "EMIR Readiness" program
offers you a discount of up to 75 percent on booking and maintenance fees until January 2016. To
qualify you must complete the admission process by 19th December 2014.
• The following discounts apply: You will receive a 25 percent discount if on-boarding is completed (full
admission) by 16 December 2014. This rebate will apply following full admission until January 2016.
• An additional 25 percent discount will be given if the accumulated cleared volume (measured since full
admission) or the notional amount outstanding (measured on the last business day of each month)
exceeds EUR 500 million.
• A further 25 percent discount if the accumulated cleared volume (measured since full admission) or the
notional amount outstanding (measured on the last business day of each month) exceeds EUR 5bn.
•
Please note that the additional discounts under (2) and (3) will only be available to Clearing Members and Registered Customers who have fulfilled the condition under (1). You can
find more details on our website.
www.eurexclearing.com
62
EurexOTC Clear IRS
November 2014 - ABBL
Contacts at Eurex Clearing
Eurex Clearing Sales & Relationship Management
Head of Section
UK + Netherlands – Buy Side
UK – Sell Side
Philip Simons
Ricky Maloney
Byron Baldwin
T +44 (0) 20 7862 7239
M +44 (0) 782 414 1618
[email protected]
T +44 (0) 20 7862 7612
M +44 (0) 755 117 1212
[email protected]
T +44 (0) 20 7862 7266
M +44 (0) 788 465 5089
[email protected]
Americas
France, Luxembourg + Belgium
Switzerland, Lichtenstein & Italy
Tim Gits
Ebru Ciaravino
Markus-Alexander Flesch
T +1 (0) 312 544 1091
[email protected]
T: +33 (0) 1 55 27 67 68
M: +33 (0) 6 85 93 13 33
[email protected]
T +41 (0) 43 4 30 71 21
M +41 (0) 79 5 70 02 80
[email protected]
Germany + Austria
Germany + Netherlands
Nordics
Andreas Stadelmaier
Matthias Kronenberger
Deborah Garlick
T +49 (0) 692 111 3859
M +49 (0) 172 614 7753
[email protected]
T +49 (0) 692 111 8719
M +49 (0) 172 619 9912
[email protected]
T +44 (0) 20 7862 7217
M +44 (0) 781 851 2101
[email protected]
Client Solutions (Head of Unit)
Client Solutions
Securities Financing
Afriyie Ola Dimeji
Michael Hildebrand
Gerard Denham
T +44 (0) 20 7862 7218
M +44 (0) 782 724 0086
[email protected]
T +44 (0) 20 7862 7168
M +44 (0) 778 048 1481
[email protected]
T +44 (0) 20 7862 7634
M +44 (0) 787 688 5276
[email protected]
www.eurexclearing.com
63
EurexOTC Clear IRS
November 2014 - ABBL
© 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.
www.eurexclearing.com
64

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