Quick Reference Guide
Contents
1. Quick Reference Guide Client clearing segregation porting and collateral management Version 2 December 2014 Contents T Introduction asnasa a dade CORN ded quce ane ee oad 3 2 Clearing Models Initrodu ctlOFr saperet rn ex a een ce on e ail qute Risse Rave wand 3 3v DSTIMIEOMS OPC CRIES reete itr ea td siitadiataifto elfe itte rien ME aaia 4 4 Omnibus segregated accounts OSAS usoccsg essere ecoute eto ne EIE S Rea SR EN eue EX NER E CHR Cu Rea 5 OSA DY Wale i od re otto ui cinta anc vatis dates tlc cU suu et i E CENE a sed tu De d 6 OSA DW ASS ON cR 6 OSA under CASS ccena deuce recanted cert dirti edit deal oat deus st tenes 7 Multiple OSAS Xii Utd repr fea EU and deca she drat sop d eq Cutis n o noo de e Ud d Gro EEE N 7 Porting Under Omnibus Models ensi hh eet iR o FREE ee hg dee i AIR dei eu A qe o FERUE ae opu dr UR A 7 5 Individually Segregated Accounts SAS euo tee xe HE Qe ius v I eoe tha OE tbe tm edr 8 Portinganderthe SA oscar detis etceedeestettes eso ct deest tu beside debeas ut deu dta ede a a eic 8 6 Overview of clearing model and client type by market seen 9 7 rund Matiager Sete Up etude pde ak otaiua de qute d st abd uela uda qa PI u a EE 9 SIME HARE m 10 Intraday Margin Galls 2 53 6 eruca edet ete vt edi amas eta Pe deut ETE dut dubia dete ates 10 End of Day Margin Calls naher tetti eiua hoses 10 Margin calls for the ICM Fund Manager S2. pool currency and amount Eurex Clearing auto debits the CM s cash account and allocates the cash automatically to the respective client collateral pool at Eurex Clearing in near time 12 Page Alternatively cash collateral can be allocated to client collateral pools via book only transfer Collateral allocation for ISAs Where security collateral is delivered to Eurex Clearing by way of double title transfer the CM instructs the delivery of securities from their main account at CBF CBF Int 6 Series to the Eurex Clearing account for the ISA segregated NCMs RCs using a MT54x SWIFT message to CBF CBF Int 6 Series Upon settlement the transfer is automatically confirmed by CBF CBF Int 6 Series via a SWIFT message which is sent to both the CM and Eurex Clearing The confirmation also includes the Client Reference ID for the respective ISA segregated NCM RC where asset tagging has been used see relevant chapter This allows CMs to automate the booking of collateral in their internal systems for record keeping purposes For allocation of cash the CM advises Eurex Clearing via the Eurex X tract Clearing GUI Collateral Transaction Entry window of the cash deposit They must specify the collateral pool currency and amount Eurex Clearing debits the CM s cash account and allocates the cash automatically to the respective client collateral pool at Eurex Clearing in near time Alternatively cash collateral can be allocated to client collateral p
3. 110 088990 0 00 KRW 0 00 0 00 0 0 0 00 1509 259059 0 00 TWD 0 00 0 00 0 0 0 00 38 000000 0 00 USD 0 00 0 00 0 0 0 00 1 286871 0 00 Net Mgn Srpl 167 917 00 OSA under CASS The OSA under CASS is functionally and operationally the same as the OSA by Asset From a legal perspective it is different as it allows UK Clearing Members to comply with the Client Assets sourcebook CASS of the Financial Conduct Authority For each OSA under CASS Eurex Clearing provides a client money trust acknowledgement letter Eurex Clearing can provide certain legal opinions in relation to this model and will provide Clearing Members with a client money trust acknowledgement letter Multiple OSAs Historically both omnibus models offered Clearing Members a single collateral pool for all clients NCMs RCs and non disclosed customers This meant that if all clients in the OSA by Asset and OSA under CASS had no option but to be commingled in a single collateral pool In 2014 Eurex Clearing introduced the ability for CMs to maintain Multiple OSAs allowing a CM and a client to create additional multiple omnibus collateral pools This allows groups of clients to be segregated on an omnibus basis from a CM s general omnibus pool Within the OSA by Asset and the OSA under CASS a Clearing Member may initially set up a maximum of five 5 omnibus collateral pools allowing a total of 10 omnibus collateral pools An omnibus collateral pool must consist of e one or s
4. Clearing Resources Simulation EurexOTC Clear Simulation For CCP clearing please visit the member section www eurexclearing com Member Section Simulation CCP Standard Simulation Margin call Margin calls and requirements are calculated using the same methodology but parameters and prices may differ Reports Simulation reports are available as they are for production excluding some fee reports Reports are available in XML format and some reports are provided in a readable text format as well Please see our website for the comprehensive technical Eurex Clearing Reporting Manual OTC IRS customers may also wish to review the OTC IRS report manual Position prices For futures the previous day s production settlement prices will be provided in the simulation environment for options the settlement prices are based on simulation volatility Production and simulation data Whilst it is possible to have separate test environments for all markets it is not possible to cover all product types per market Therefore a complete upload of production data into the simulation environment is not possible Live simulation for new clients New NCMs RCs and fund managers take approximately five days to set up in simulation Please contact Trading amp Clearing Services for further details Simulation margin logic Eurex Clearing is currently in the process of migrating from Risk Based Margining towards Value at Risk based Prism
5. End of day EUR Euro FAS Flexible Account Structure FOP Free of Payment GBP Great British Pound ICM Individual Clearing Model IRS Interest rate swap ISA Individual segregated account ISIN International Securities Identification Number KAM Key Account Manager MR Margin Requirement NCM Non Clearing Member NOCM Net Omnibus Clearing Model OSA Omnibus segregated account OTC Over the counter RC Registered Customer SIXSIS National Central Securities Depository CSD of the Swiss financial market TKAM Technical Key Account Manager USD United States Dollar 23 Page
6. individual segregation Individual Segregated Accounts Standard Omnibus Segregated Account Multiple omnibus collateral pools CCPMR CCPMR RC NCM EE u Segregated multiple omnibus One collateral pool for all OSA by asset clients collateral pool for FM only The CM may opena multiple collateral The fund s positions remain individually segregated in their accountfor the sole fr x purpose ofthe fund eet own position account butthere is no longer one collateral i e aa Each fundits individually segregated pool per a position account The collateral belongingto all manager Positionsremain individually with it s own collateral pool holding MI ERE onai nee segregated butthe collateral sits ina omnibus collateral solely for the purpose ofthat x mnibus coll po ee collateral pool This pool holds collateral only clientto fellow customer risk as all ofthe CMs clients sitin fund ded gt for the fund manager so fellow customer risk the same collateral pool i e clients inthe A1 A9 exists only between the funds andnot the accounts and any RCs or NCMs that the CM may have CMs other clients 9 Page 8 Margin Calls Margin calls are always called against the CM however margin calls arising from shortfalls on client accounts are calculated and instructed separately with auto allocation of the cash collateral to the client collateral pool by Eurex Clearing For cash collateral under all Clearing Models the CM s existing payment infr
7. lead to a cash movement in the morning e mandatory cash call if cash balance in the respective collateral pool and currency falls below the predefined PCB regardless of collateralization level e auto return of excess cash above the predefined PCB in the respective collateral pool in clearing currency only if no under collateralization The permanent cash balance functionality is only available for CHF and EUR currencies Collateral cut off times Securities e Deposits have to be instructed by 18 00 CET for SIX SIS 20 00 CET for CBF and CBL e Withdrawals have to be instructed by 17 30 CET for CBF and CBL and SIX SIS If an ISIN is to be withdrawn as early as possible on the next business day this withdrawal can be requested up to 30 minutes past the cut off time of the current business day from 18 00 CET onward With Calypso Release 4 1 the optional auto repay functionality will be available at ICM Fund Manager Set Up segregated pool level 14 Page Cash e Please see below an overview of Eurex Clearing s cut off times for cash collateral all in CET Deadlines for same day cash collateral Deadlines for deposit requests same day receipt of request excess cash via collateral withdrawal Eurex requests via OGE Fax Eurex X Deadline for cash collateral withdrawal requests for next day processing fax only Deadlines to determine the credit balance for the interest calculation on the collateral po
8. runs esame aded dien ed bra Rub qa Eaa aaRS aa ioa bars D mE 17 Margih calls ente EE te ee ee e te dee E depen 17 R6 DORPLS conecte eris tee ide a a ene e Le d deno e e eda dre quee Dou eua Yeu delen aeaa aee eund nae eges Od doute aede 17 POSICIOM PRICES foe a0 Se ERE A I EODD DILLO EEUPEC 17 Production and simulation dat a irr pea pe dad ER Iya PD HRS RARE RARE URDU HAR 17 Live simulation for fie wclle nite uisa ceo ri e Mc ee pan ate enia e eed be a ede un 17 Simulation dmatrgin O gC oot ete Ee ree ESSE des co Eh Pese c ien ede Hn non 17 14 Onb ardih g ismod a Hase inside ea PU a denen mer aaa c Aun pen MP cadd a eden DR eR RUP RE 18 Onboardine clients to the ECM ioris pocius oue orna Fax gessi a acu ENEE 18 ECM asset based allocation method rer rt Fe tree erae gen dt ran be ha dne 18 Net Omnibus Clearing Model ssssseseeseeeeeeeeee eene nennen nne ener nnn nnns nenne neni 19 Individual Clearing Modele ore dede oot ta aene aed inen in Edere aoba d tees 19 Onboarding with the Fund Manger Set up esee eee enne ennnn nnne nnne 20 15 Clearing Model Change pie ein dabo etu E T ulus dede dude 20 16 Fees ANG f Gro RR DR 21 17 Further information and contacts Lcd aor dt da aad CORRI HP RR com aec d ox P unmet 21 18 List of abDreviationis oso d gs ag Dd Ix DU EAR rr a fece oi uar aa buda ea 23 2 Page 1 Introduction Eurex Clearing has developed omnibus and individual segregation models to satisf
9. with Eurex Clearing s OTC IRS offering and was later extended to include the Eurex Clearing ETD market For OTC IRS clients are required to be a member user of an Approved Trade Source such as MarkitWire to enter OTC IRS trades RCs may also be active in listed derivatives but they are not able to execute their own trades RCs are eligible for all segregation models RCs are required to have access to the Eurex Clearing Common Report Engine CRE and at the discretion of their CM Individually segregated RC s may have access to the Eurex Clearing Graphic User Interfaces GUIs Non Clearing Members NCMs are Trading Participants who do not hold a clearing license but execute their own transactions on the exchange NCMs must have their own infrastructure to manage positions and back office activities either directly or by outsourcing this function A NCM is also required to have a Qualified Back Office Staff member QBO If an NCM is not using individual segregation then they are able to outsource this requirement NCMs are required to have access to the Eurex Clearing Common Report Engine as well as Eurex trading and clearing systems 4 Omnibus segregated accounts OSAs Proprietary clearing of both positions and collateral is entirely ring fenced from the CMs client clearing activity with gross position keeping in all accounts apart from net position keeping in Market Making accounts Eurex Clearing calculates net initial margin on e
10. Clearing Members may be interested in the resource section of the website for simulation and production forms http www eurexclearing com clearing en resources The Clearing Conditions can be accessed at https www eurexclearing com clearing en resources rules and regulations 136778 The OTC IRS onboarding guide http www eurexclearing com blob clearing en 51496 51498 743724 3 data eurexotc clear onboardin uide pdf The OTC IRS procedures manual http www eurexclearing com blob clearing en 141430 158180 185330 5 data eurexotc clear irs procedures manual pdf The Eurex XML reporting manual http www eurexchange com blob exchange en 156096 176058 790330 1 data Eurex T7 Report Reference Manual V204 pdf The Eurex User Manual System Overview amp Information Manual http www eurexclearing com clearing en technology eurex release 14 system documentation 21 Page Eurex Clearing Sales amp Relations and Business Development For general sales enquiries please contact Byron Baldwin T 44 0 20 786 27266 M 44 0 7884 655089 byron baldwin eurexchange com For Client Asset Protection amp Business Development enquires please contact Richard Wilding Deputy Head of Business Development T 44 0 20 7862 7279 M 44 0 7824 142703 richard wilding eurexclearing com Clearing Helpdesk Queries about collateral management exercise amp assignment and notification amp allocation 49 69 211 1 12 50 clearing eure
11. a Please see the Prisma release timelines on the website for further details 17 Page Eurex Clearing provides besides the standard margin reports an additional set of margin reports under the assumption that a Clearing Member migrates all positions and Liquidation Groups which are already available under the new margin methodology to Eurex Clearing Prisma The reports produced are marked separately i e report numbers contained in the report names start with the digit 9 14 Onboarding For a detailed list of required forms and agreements necessary for the various clearing models and customer types please contact your Key Account Manager In general all forms and agreements are also available on www eurexclearing com Resources Forms As all the forms and documentation use the naming conventions consistent with the clearing conditions this chapter does not use market standard terminology please see chapter Naming Conventions in the Clearing Conditions for a comparison table Onboarding clients to the ECM CM adopting ECM value based allocation method To onboard NCMs and RCs each party has to enter into the tripartite agreement titled Clearing Agreement with a Non Clearing Member and or Registered Customer for the Elementary Clearing Model Appendix 2 to the Clearing Conditions Where a CM and client enter into this documentation with Eurex Clearing no further documentation is required but if the CM and client entered i
12. ach position account and calls the Clearing Member for the aggregate sum of those margin requirements Eurex Clearing allows NCMs and RCs to maintain their own position accounts in the OSA but their collateral remains in the commingled omnibus collateral pool Accordingly margin is calculated gross per an NCM or RC Clearing Members may choose between three technical implementations of the OSA e OSA by Value e OSA by Asset multiple omnibus collateral accounts available e OSA under CASS multiple omnibus collateral accounts available 5 Page OSA by Value The OSA by Value offers an EMIR compliant clearing solution that comes with no additional operational complexity to CMs The collateral provided by the CM is dynamically allocated SECTION 00000000 Clearing Member Clr Currency Mrg Req Prop ECM Mrg Req Client ECM Collateral Prop ECM Collateral Client ECM Shortfall ICM NOCM GCMLO EUR 110 000 000 00 600 600 00 110 000 000 00 00 600 00 Collateral assigned to Collateral assigned to Elementary Proprietary Margin Elementary Omnibus Margin as ECM proprietary collateral and as ECM client collateral in the Eurex Clearing system The allocation is based on the margin requirement of each pool and segregated at the level of the Clearing House The Clearing Member receives an end of day EOD report reflecting the EOD margin requirements and the value of collateral segregated for ECM clients The CD043 report shows this The OSA
13. ager There are no documentation requirements for a non disclosed client entering into the NOCM Individual Clearing Model If a NCM RC would like to switch into the Individual Clearing Model they must sign the tripartite agreement Clearing Agreement for the Individual Clearing Model under Eurex Clearing AG Documentation or Agreement for the participation in the Individual Clearing Model under Client Clearing Documentation with their Clearing Member The second option allows Clearing Members and clients to agree to use the market standard client clearing documentation such as the ISDA FOA OTC Client Clearing Addendum the FOA Client Cleating Module or the German Banking Associations CRV 19 Page If the Clearing Member would like to offer the Individual Clearing Model under Client U Clearin g Documentation they need to additionally provide a CM Agreement with the election under section 4 ICM Clearing Agreement for ICM CCD NCMs RCs already under the Elementary Clearing Model value based allocation method asset based allocation method or Net Omnibus Clearing Model moving to the ICM need to also sign the Agreement Change of Clearing Model with their CM In addition to this the Application for Individual Clearing Model Bulk Upload Sheet available on https member eurexclearing com gt Risk amp Collateral Management gt Client Asset Protection gt Admission Forms gt Individual Clearing Model has to completed an
14. as launched in 2011 and since then Eurex Clearing has made significant investments to enhance the collateral management aspects of the service for example by introducing asset tagging and direct transfer of collateral Eurex Clearing will continue to enhance the ISA collateral management functions to increase operational efficiencies The ISA model is based on a different legal construct to Eurex Clearing s omnibus models where collateral is held on a pledge basis Under the ICM collateral is passed to Eurex Clearing on a double title transfer basis meaning Eurex Clearing becomes the legal owner but the beneficial ownership stays with the collateral provider with the securities held at Clearstream on behalf of the client As a results of this in a default situation Eurex Clearing may deal with the client directly without the involvement of the CM s insolvency practitioner Porting under the ISA When a back up Clearing Member is available Eurex Clearing will guarantee to port all of the client s positions and collateral if all porting conditions are fulfilled within the required timeframe For clients that do not have a pre existing relationship with a second Clearing Member or for clients that require more time Eurex Clearing offers interim participation IP allowing the client a period of five business days in which to find a new Clearing Member This period may be extended with the agreement of Eurex Clearing For more i
15. astructure may be used central bank accounts for EUR and CHF commercial bank accounts for USD and GBP All Clearing Members should have access to a USD account for late margin calls Intraday Margin Calls If there is a margin shortfall on a client account under a CM Eurex Clearing will issue and process individual margin calls for the collateral pool in which the margin shortfall has occurred Once an intraday margin call has been issued the CM has 30 minutes to e Enter risk reducing trades e Instruct Eurex Clearing to process a direct debit in any eligible currency considering cut off times against the segregated pool e Deliver security collateral to the collateral pool in shortfall or e Incase of a margin shortfall on a segregated pool transfer cash from its standard pool to segregated pools on a book entry basis If no action is taken within the 30 minutes then Eurex Clearing will automatically instruct a debit against the Clearing Member s cash account If the margin shortfall is a result of a shortfall from a client account then the cash will be automatically allocated to the segregated pool in which the shortfall occurred by Eurex Clearing Intraday margin calls Cash cut off times CET CHF 14 00 EUR EUROSIC 15 00 GBP 16 30 EUR TARGET2 17 30 USD 22 30 End of Day Margin Calls In case of a margin shortfall on a segregated client account under the CM Eurex Clearing will issue an
16. ateral pool for all OSA by asset in the Eurex Clearing system clients and or OSA under CASS positions and maipe CMM pons proce n dpa Cent Client money rules OSA under CASS or not OSA by asset 3 Definitions of clients The segregation models outlined above are available for different client types active on all cleared markets at Eurex Clearing The client types are as follows Undisclosed clients An undisclosed client is known to the CM but not disclosed to Eurex Clearing Rather clients do not have a direct legal relationship with Eurex Clearing Clients can use one or multiple executing brokers EB and one or multiple Clearing Members Undisclosed client trades are posted into the agency account s A1 A7 or A9 of their CM As a result of this it is possible that their collateral and positions will be co mingled with the Clearing Members other clients whose identity is also not known to the client or the CCP An undisclosed client is not eligible for individual segregation Disclosed clients Disclosed clients are known to Eurex Clearing They are required to enter into a legal arrangement with Eurex Clearing which reflects their choice of segregation model There are two types of disclosed client at Eurex Clearing Registered Customers RC and Non Clearing Members NCM Registered Customers 4 Page RCs do not have a clearing license and are not a Eurex Trading Participant The RC concept was initially introduced
17. by Value based allocation method is the default model of Eurex Clearing OSA by Asset The OSA by Asset segregates client from proprietary collateral at the clearing house level as well as at the International Central Securities Depository 1 CSD level If using securities the CM must open a sub account at Clearstream Banking Frankfurt CBF Clearstream Banking Luxembourg CBL or SIX SIS which holds collateral for ECM asset based allocation method clients only Cash collateral will be held in the central bank account of Eurex Clearing but allocated as belonging to the OSA by Asset collateral pool The Clearing Member receives an end of day EOD report reflecting the EOD margin requirements and the value of collateral segregated for OSA clients The OSA client collateral pool naming convention follows this approach using the clearing condition s naming conventions GCMIDXCLIENTECM CLIENTEO1 CLIENTEO2 etc The CD042 report shows this information for each collateral pool 6 Page CD042 Daily Settlement Statement Clearing Member ACCFA TESTMEMBER FEE A Curr RequiredMargin CashCollAmnt Ovr Udr AdjExchRate Ovr Udr AUD 0 00 0 00 0 0 0 00 1 419858 0 00 CAD 0 00 0 00 0 0 0 00 1 319868 0 00 CHF 0 00 0 00 0 0 0 00 1 286400 0 00 DEM 0 00 0 00 0 0 0 00 1 977682 0 00 DKK 0 00 0 00 0 0 0 00 7 449255 0 00 EUR 127 603 00 10 000 00 285 520 0 167 917 00 1 000000 167 917 00 GBP 0 00 0 00 0 0 0 00 0 792120 0 00 JPY 0 00 0 00 0 0 0 00
18. clearing house level collateral is accepted until the capacity of an ISIN is reached Members may check limits via the GUI If limits are breached on a Clearing Member level a notification is sent out to the CM to immediately amend the composition of its collateral If it is the ISA client that has breached the concentration limits Eurex Clearing will not contact them directly but contact their CM Re investment policy Cash investment only takes place at counterparts with high creditworthiness Key criteria of Eurex Clearing treasury policy are e Secured placement to the extent possible reverse repo and tripartite repo are the preferred instruments e Minimum counterparty rating of A e Minimum security rating of AA e Issuer must be government agency or supranational e Placement tenor restricted majority to be invested with a tenor of one business day small percentage can be invested up to one month 13 Simulation This section contains general information about simulation as well as simulation for client asset protection services 16 Page Dates and batch runs In general Eurex Clearing performs two to three batch runs a week in simulation Accordingly a trade date covers more than one actual day For specific details please refer to the current simulation calendar For listed derivatives http www eurexchange com exchange en technology simulation calendar For OTC IRS please visit the member section Member Section
19. collateral All cash and security collateral withdrawals must be requested by the CM via the Eurex X tract Clearing GUI Collateral Transaction Entry window If the request would not result in a shortfall e Eurex Clearing will return the cash securities to the CM s main account at the CM must then return the cash securities to the client as required e for direct collateral transfer under the ICM Eurex Clearing will return the cash securities to the ISA segregated NCM s RC s source account at Clearstream Handling of excess collateral auto repay of excess 2 Auto repay of excess cash collateral at segregated pool level is available If auto repay is switched on then all excess cash will be automatically credited back to the Clearing Members main account in the morning as part of the end of day process If not selected then all excess collateral will stay at the segregated pool until a withdrawal is requested For the fund manager set up auto repay is available at the master pool level Excess Variation Margin is always automatically returned to the Clearing Member s cash account after any potential offsets against Initial Margin shortfalls Permanent cash balance PCB Clients have the option to set a PCB per a segregated pool PCB is the pre defined cash amount that a CM or client wants to hold at Eurex Clearing CMs can maintain the PCB via Eurex X tract Clearing GUI Collateral Pool Overview Window Activation of the PCB might
20. d process via auto debit individual margin calls for the specific collateral pool in which the margin shortfall occurred The cash will be directly allocated to the collateral pool where the shortfall occurred Optional payment netting for credits and debits in same currency will be available please contact Sales and Relations for more information 10 Page Optional auto repay of excess cash collateral will be available for ISA segregated pools For the Fund Manager Set Up auto repay is available at master pool level i e the technical RC level Please see the following chapter for more information on the master pool logic Margin calls for the ICM Fund Manager Set Up In order to reduce the total number of intraday margin calls and payment instructions Eurex Clearing introduced a special process for segregated pools under the ICM Fund Manager Set Up One technical master collateral pool master pool will be set up and linked to each fund manager technical RC In case of a margin shortfall on one or more of the ICM Fund Manager Set Up segregated pools one margin call will be issued against the technical RC i e Fund Manager for the aggregated shortfall amount across all individual pools under this RC The available collateral on the master pool will be allocated dynamically by Eurex Clearing to each individual fund and their collateral pool on a real time basis A shortfall in one ICM Fund Manager Set Up segregated pool will never b
21. d submitted by the Clearing Member If a client and CM would like to provide non cash collateral a Clearstream sub account has to be opened by the Clearing Member For more details on this please liaise directly with your Clearstream Account Manager In addition to the information contained in this section you may also wish to see the information memoranda set out below e Information Memorandum Client Asset Protection Setup for individual Segregation e Information Memorandum Admission as Registered Customer at Eurex Clearing Please note For detailed information a disclosed client should contact its Key Account Manager or Sales and Relations Onboarding with the Fund Manger Set up In case a client decides to on board with the Fund Manager Set Up the Upload Sheet Flex Accounts available on https member eurexclearing com gt Risk amp Collateral Management gt Client Asset Protection gt Admission Forms gt Flexible Accounts has to be signed by both the CM and the client as an annex to the tripartite clearing agreement It serves to compile a list of the funds that should be organised within the flexible account Depending on the choice of clearing model different information is required in order to complete the setup Both the CM and the Registered Customer need to sign off the sheet before it can be accepted by Eurex Clearing Please note that all funds will be subject to Eurex Clearing s KYC check and fund managers might hav
22. e netted against surpluses in other ICM Fund Manager Set Up segregated pools Eurex Clearing only aggregate shortfalls across all pools under a RC Intraday margin calls OTC IRS business only In addition to the aforementioned intraday and end of day margining processes Eurex Clearing has an intraday margin call specifically for OTC IRS business If insufficient collateral is available to novate new OTC IRS trades a Preliminary OTC Margin Call Report is produced three times a day 12 00 14 00 and 18 00 CET This call is mandatory If the overall risk is not reduced nor additional collateral provided within 60 minutes an auto debit will be instructed against the CM Auto debits are instructed at 13 00 15 00 and 19 00 CET If the margin shortfall originated from a client account then Eurex Clearing will automatically allocated the collateral to the collateral pool from which the shortfall originated For any OTC IRS trades that were submitted for novation before 22 00 CET and could not be novated due to insufficient collateral an end of day OTC IRS margin call will be issued and settled against the pool in which the shortfall has occurred 9 Cross product margining and account set up Eurex Clearing Prisma our portfolio based margin approach will gradually replace the current margin methodology Risk based Margining It will offer selected cross product and asset class margining for ETD and OTC products cleared at Eurex Clearing Please
23. e to provide additional information and documents such as prospectuses in the course of the admission process Please contact your Key Account Manager for further details 15 Clearing Model Change Eurex Clearing has developed a position and migration guide to assist CMs please contact us for a copy Position transfers can be processed in agreement with Eurex Clearing on any business day CMs may opt to transfer listed derivative positions themselves through the GUI or can arrange a file upload through the clearing helpdesk Please note when Eurex Clearing 20 Page conducts a position transfer on behalf of a CM within a clearing model a charge of EUR 1 000 is applied This charge is not applied when the position transfer occurs between different clearing models e g ECM to ICM CMs are advised to check with their CSD regarding any fees they may charge for transferring securities collateral between accounts Eurex Clearing will support and facilitate position transfers in conjunction with Clearing Members 16 Fees and Costs Eurex Clearing does not charge for use of segregation models Securities collateral used to cover margin requirements are subject to a management charge of 5 basis points Any over collateralization is not charged The securities collateral management charge is not applicable to IRS business of Registered Customers 17 Further information and contacts Further information can be found at In particular
24. et Up ccccccccssssececesseeeeeeesseeeceessaeeeceeseeeeeeeeeaes 11 Intraday margin calls OTC IRS business only sess 11 9 Cross product margining and account set UP ccceesssccceceeeceesessaececeesesseesseseeeeeeseeeees 11 10 Asset Tagging Clearstream sub account options 12 11 EIE EL O E E AEAEE I EEO EE Mateos 12 Collateral allocation for omnibus models sese 12 Collateral allocation for ISAS cceseescccessscccccssccccessscccesescecceuesceceeuseeeeeuseeeesuseeeeeaseseesenss 13 Direct delivery for ISA clients s rusinai aian ena nennen K aE nn nennen 13 Withdrawalbof eollateralzoes on eie e beige GRE EON d retenu on red dete e enge E aaae cork 14 Handling of excess collateral auto repay of excess sseseseeeeeereeenennnnnns 14 Permanent cash balance PCB creiras teriera Ea EA EA 14 Collateral cut off timeSpent eina on VER perd erra deoa e E NR PIE ER ADT CHASSE HUM a RE mus 14 12 Eligible margin assets rer e E ERR Y Y Re He re ERE es Ier des 15 Admissible collateral and haircUts uici e ioa dixe an iusta ste sakinyealagucsweadensyeeanbesiuenees 15 Changes to admissible collateral sssesseseeseseeee eene nnne 15 Concentration linit o ico esto eo cla ida led oag dta aaea erae ai a aeaieie iaaa ae 16 Re investment policy 5 2 eti RI e Ee rer qe ri edere e d ees 16 13 STI sie e a dsa Eea tS 16 Dates and batchi
25. everal A accounts e atleast two NCMs or two RCs or e any combination of NCMs RCs and A accounts For the case that a Clearing Member has only one RC or one NCM in a clearing model this NCM or RC may constitute an omnibus collateral pool alone Additional omnibus collateral pools will be considered Porting Under Omnibus Models Porting under any OSA structure is possible only if all clients in the same client collateral pool port to a single replacement Clearing Member Transferee Clearing Member and Eurex 7 Page Clearing receives this confirmation by the close of the porting period If a Termination Event has occurred the porting period runs from the occurrence of the Termination Event until and including 13 00 CET on the immediately following business day For each Multiple OSA it is possible to assign a back up CM in a default situation operations would contact this back up For further details please refer to the Information Memorandum Client Asset Protection Client porting under the Elementary Clearing Model ECM or contact Sales and Relations 5 Individually Segregated Accounts ISAs The ISA offers full physical segregation of a disclosed client s positions and collateral NCM and RC positions are held in segregated position accounts at the CCP level The margin requirement of an NCM RC is covered by a dedicated collateral pool at Eurex Clearing which only holds collateral for the purpose of this NCM RC The model w
26. exactly the same for assets held under either model For asset tagging the CM has to apply the predefined 4 digit Client Reference ID to the SWIFT message field RECU DECU SWIFT Field 95Q 97A reference number is shown in 97A Based on this information Eurex Clearing allocates security collateral to the respective collateral pools at Eurex Clearing Asset tagging is also available for multiple omnibus collateral pools under the Standard OSA and or CASS OSA The predefined 4 digit reference entered into the swift message will be the last four characters of the pool i e TECM TEO1 or TNET TNO1 If members are using both OSA models then they must have a minimum of one sub account per a model for asset tagging Asset tagging is currently only available on CBF CBF Int 6 series accounts 11 Margin assets Collateral allocation for omnibus models Under the OSA by Value Eurex Clearing automatically allocates collateral value pro rata to the clients based on the margin requirement margin allocation is displayed in the CD043 report Securities collateral held within all other omnibus models are held in pledge accounts in favor of Eurex Clearing but under the account structure of the CM The CM delivers security collateral into this sub account via swift message For allocation of cash the CM advises Eurex Clearing via the Eurex X tract Clearing GUI Collateral Transaction Entry window of the cash deposit They must specify the collateral
27. gated Accounts MOSA ISA Individual Clearing Model ICM Eurex Clearing does not charge any fees for the clearing model chosen to either the Clearing Member CM or client The high level account structure is as follows 3 Page Overview of Segregation Models at Eurex Clearing z Individual Standard OSAs n Multiple OSAs Sigea y Asse Requires OSA by asset and is available under CASS OSA by Value And or OSA under CASS y Accounts 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 ed Ls yes r4 sete pus re tans CCP MR per A ms MR CCP MR per CCP MR per account account RC NCM account RC NCM account RC NCM A account RCINCM 1 n Collateral pool for OSA MOSA collateral pool MOSA collateral pool i e peers iar a EM LLL maintained which dynamically RC NCM collateral 0 pem th a by Collateral pool for OSA MOSA collateral pool MOSA collateral pool pool l under CASS under CASS under CASS When OSA by asset is chosen CMs have the OSA by value is the default When OSA by asset is chosen a z segregation model at Eurex separate collateral pool is opened at peen tad demens Full physical Clearing Segregation is Eurex Clearing Specific securities Bre cR segregation of 3 D affiliated clients together It is possible to have achieved through reporting and and cash are designated to the not via separate collateral pools coll
28. nformation regarding the IP process please see the Information Memorandum for Interim Participation 8 Page 6 Overview of clearing model and client type by market Market Naming Client type Eurex Eurex Eurex Frankfurt Irish Stock OTC standard conventions Bonds Repo Stock Exchange IRS naming as is Exchange ISE conventions Clearing FWB Conditions OSA by ECM Undisclosed y V V V V J Asset RC p m ge NCM V V V P4 V OSA under NOCM Undisclosed 4 CASS RC LEN a m 7 NCM VA ES ES m ic ES ISA ICM Undisclosed i 23 RC sZ NCM V V V V V an Multiple OSAs available multiple omnibus collateral accounts 7 Fund Manager Set Up 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 or sub funds 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 Historically the Fund Manager Set Up was only available under an ISA structure Since September 2014 it has been available under OSA structures as well Examples of the fund manager set up in omnibus and
29. nto an additional agreement in the event of any inconsistencies the tripartite agreement would always prevail see Clearing Conditions Chapter I Part 3 Number 2 1 4 The client has no recourse to Eurex Clearing for positions and collateral in the event of their Clearing Member default as they would have in the ICM There are no documentation requirements for a non disclosed client entering into the ECM value based allocation method ECM asset based allocation method CM adopting ECM asset based allocation method When a CM switches from the default ECM value based allocation method to the ECM asset based allocation method OSA by asset the CM has to sign a new clearing agreement electing to use the ECM asset based allocation method The relevant section is Part 3 Number 2 of the Elementary Standard Agreement The CM has to also complete and submit the Application for Elementary Clearing Model Asset Based Bulk Upload Sheet available on https member eurexclearing com Risk amp Collateral Management Client Asset Protection Admission Forms Elementary Clearing Model Asset Based 18 Page If the Clearing Member would like to provide non cash collateral a Clearstream sub account has to be opened by the Clearing Member For more details on this please liaise directly with your Clearstream Account Manager All NCMs and RCs are automatically assigned to the ECM model be it the value or asset based allocation method tha
30. ol Release of Receipt of cash tract fax at Eurex collateral by Clearing Eurex e Clearing MEER o0 i700 boso heoo poo hiso MEA hisas bosso fisoo loo hs o0 USD eroo foss poso froo o0 froo CHF sso hans peso hisoo boo hooo GBP heso he5 foso i500 oo hooo on behalf service only upon request Clearing Clearing GUI 12 Eligible margin assets Admissible collateral and haircuts CMs can satisfy margin and clearing fund requirements by depositing cash and or security collateral Eurex Clearing sets the industry standard and accepts over 25 000 ISINs based on liquidity categories of European Central Bank Eligible Asset Database and the Swiss National Bank and accepts cash collateral in multiple currencies A full list of acceptable securities and haircuts is published in txt format on our website daily http www eurexclearing com clearing en risk management risk parameters admissible securities the same list is distributed via Common Report Engine in csv and txt format Changes to admissible collateral If a security is no longer accepted at Eurex Clearing i e rating downgrade outside Eurex Clearing s matrix market movements etc Eurex Clearing will call the CM and require a withdrawal or substitution of the securities The withdrawal or substitution period is dependent on the reasons for ineligibility and will be confirmed by Eurex Clearing In case of maturity Eurex Clearing will inform the Clea
31. ools via book only transfer To request a template file for book only transfers please contact Sales and Relations Direct delivery for ISA clients ISA clients may deliver securities collateral from their source account at CBF CBF Int 6 series account to the dedicated Eurex Clearing collateral pool at Clearstream via a free of payment FOP MT54x SWIFT instruction For asset tagging an ISA segregated NCM RC must apply the respective Client Reference ID to each settlement instruction SWIFT filed 95Q 97A in order for Eurex Clearing to allocate the securities accordingly Upon settlement CM and Eurex Clearing will receive a SWIFT settlement confirmation from Clearstream to update books and records Where the delivered securities are not eligible as per Eurex Clearing s Eligibility Matrix Eurex Clearing will return those to the NCM s RC s source account For cash the CM advises Eurex Clearing via the Eurex X tract Clearing GUI Collateral Transaction Entry window of the NCM s RC s intraday cash deposit by specifying the collateral pool currency and amount Eurex Clearing debits the NCM s RC s source account at the respective payment system correspondence bank and credits the respective amount to the account at Eurex Clearing Upon receipt of cash collateral on Eurex Clearing s account the collateral balance for the respective ISA segregated NCM RC collateral pool will be updated in Eurex Clearing s systems near time 13 Page Withdrawal of
32. ring Member six weeks prior to maturity via email fax If no action is taken by the Clearing Member 15 calendar days prior to maturity 100 haircut will be applied Where the CM does not withdraw or substitute the securities Eurex Clearing will inform the Clearing Member one day prior to maturity in the morning If again no action is taken by the Clearing Member by 15 00 CET on that day the securities in questions would be returned to the CM 15 Page Concentration limits Eurex Clearing applies concentration limits at two levels the clearing house level and the Clearing Member level Limits on the clearing house level are applied across every Clearing Member including all their clients at Eurex Clearing Concentration limits at the member level apply per Clearing Member this includes the CMs own business and the business of their OSA clients Individually segregated customers are treated as a separate entity and the same limits that apply to their Clearing Member apply to them On a clearing house level e For bonds the admissible proportion of the issued capital is 2596 e For equities the admissible proportion of free float is 596 On a Clearing Member ISA level e A maximum of 30 of the required collateral can be deposited in equities so a CM may post 30 securities and their individually segregated client could post 30 There are no multipliers or additional haircuts to be levied should these limits be breached On the
33. see the website for further details As of OTC IRS release 4 1 end of day margin calls will be issued at ICM Fund Manager Set Up segregated pool level and cash collateral will automatically be allocated to ICM Fund Manager Set Up segregated pools As of November 2014 intraday margin calls will be issued at master pool level but cash collateral from intraday margin calls will automatically be allocated to the ICM Fund Manager Set Up segregated pools 11 Page Clients positions have to be held in the same margin account under the same member ID in order to benefit from cross margining For example an ISA client has to be individually segregated on all markets under the same member ID mnemonic with the same CM to benefit from cross margining If the client has different relationships in the different markets i e falls under the standard OSA for listed derivatives but is an ISA for interest rate swaps then they would not benefit from cross margining 10 Asset Tagging Clearstream sub account options If Clearing Members wish to post securities to Eurex Clearing and have chosen the standard OSA CASS OSA or ISA then they are required to open a sub account at the CSD For the ISA Clearing Members may choose if they wish to have one sub account at CBF CBF Int 6 Series for each ISA client or one sub account for multiple ISA clients Where the latter is chosen asset tagging is implemented at the CSD level The legal model and protection remains
34. t their Clearing Member has chosen The NCM or RC may elect to change models either to the NOCM or the ICM by signing the relevant documentation Net Omnibus Clearing Model The NOCM OSA under CASS operates from a documentation perspective as the ECM asset based allocation method The relevant forms are set out below If a CM would like to start to offer the Net Omnibus Clearing Model he needs to sign a new Clearing Agreement and must select point 3 1 that states This Agreement also qualifies as a Net Omnibus Clearing Agreement for Customer Related Transactions in Part 3 of the Clearing Agreement If an NCM RC would like to onboard to the Net Omnibus Clearing Model they must sign the tripartite agreement Clearing Agreement with a Net Omnibus Non Clearing Member and or Net Omnibus Registered Customer for the Net Omnibus Clearing Model Appendix 8 to the Clearing Conditions with their Clearing Member NCMs RCs who are already admitted with the Elementary Clearing Model value based allocation method asset based allocation method or Individual Clearing Model need also to sign the Agreement Change of Clearing Model with their CM If the Clearing Member would like to provide non cash collateral a Clearstream sub account has to be opened by the Clearing Member For more details on this please liaise directly with your Clearstream Account Manager Please note For detailed information NCMs RCs should contact their Key Account Man
35. xclearing com Open 07 00 22 30 CET Risk Hotline Queries about margining and risk reports T 49 69 211 1 24 52 risk eurexclearing com Open 08 00 22 30 CET Trading amp Clearing Services Every Clearing Member is assigned a key account manager who form the trading and clearing services team please contact them directly with any queries Frankfurt Tel 49 69 211 117 00 memberservices eurexclearing com Zurich 41 58 854 2942 customer support zuerich eurexchange com London 44 20 7862 7299 customer support london eurexchange com 22 Page Paris 33 155 276 767 customer support paris eurexchange com Chicago 1 312 544 1150 customer support chicago deutscheboerse com Onboarding Team for EurexOTC IRS Service otcirs onboarding eurexclearing com 18 List of abbreviations ICSD International central securities depository CAP Client Asset Protection CASS Client Assets sourcebook CBF Clearstream Banking Frankfurt CBL Clearstream Banking S A Luxembourg CCP Central counterparty CCY Clearing Currency CHF Swiss Franc CM Clearing Member ECM Elementary Clearing Model EMIR Regulation EU No 648 2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives central counterparties CCPs and trade repositories TRs commonly referred to as the European Market Infrastructure Regulation EOD
36. y client market and regulatory demands This quick reference guide to client clearing aims to provide clients with an easy to use resource explaining the range of client clearing options functionality and processes available at Eurex Clearing Whilst this guide aims to concisely answer the most frequently asked questions it does not purport to be a fully comprehensive manual Some chapters contain greater detail then others and in certain instances further information and or contact points at Eurex Clearing is provided 2 Clearing models introduction All segregation models at Eurex Clearing satisfy the segregation and porting requirements contained within the European Market Infrastructure Regulation EMIR properly titled the Regulation EU No 648 2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives central counterparties CCPs and trade repositories TRs Eurex Clearing offers both OSAs and ISAs For simplicity s sake this document uses market standard terminology for all segregation models It is important to note that Eurex Clearing s rules and regulations use different naming conventions Market Standard Terminology Eurex Clearing naming conventions OSA by Value Elementary Clearing Model ECM by Value Allocation Method OSA by Asset Elementary Clearing Model ECM by Asset Allocation Method OSA under CASS Net Omnibus Clearing Model NOCM Multiple OSA Multiple Omnibus Segre
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