Eurex Credit Clear offers clearing of European index and single name credit default swaps.

The current product scope covers the iTraxx® benchmark indices and a selected number of single name iTraxx® index constituents. Further European single names will be added over time to provide full coverage of the iTraxx® benchmark index constituents.

Eurex Credit Clear fully complies with ISDA® March 2003 Credit Derivative definitions incorporating the March 2009 Determinations Committees and Auction Settlement (Big Bang) Supplement and the latest July 2009 Restructuring (Small Bang) Supplement.

Eligible index credit default swaps as of 20th of September 2010

* The latest version of the series will be eligible for clearing as published on the website of the index publisher (www.markit.com) with standard terms of 3, 5, 7 and 10 years. After a reversioning due to a credit event the previous version will be available for a specified period as per the Clearing Conditions.

Eligible single names credit default swaps

Eurex Credit Clear's functional model is built on accepted CDS market standards and enhances them by adding clearing best practices. Eurex Credit Clear's objective is to leverage existing infrastructure and address OTC CDS market concerns appropriately. Whereas the DTCC OTC credit infrastructure delivers trade capture, confirmation and settlement features, Eurex Credit Clear's solution also adds CCP services, essential position and risk management, margins and payments.

Structural setup of Eurex Credit Clear

Eurex Credit Clear offers a flexible book-keeping structure to allow its Credit Clearing Members (CCM) to differentiate between own transactions and transactions of their customers; the legal relationship remains between the CCM and Eurex Clearing for every transaction.

The following account types are offered

• Proprietary accounts
  
• Registered Customer account
  
• Customer Omnibus account
  

Registered Customer accounts

To use a Registered Customer account Eurex Clearing will require a Tri-Party Agreement between Eurex Clearing, the CCM and its Registered Customer. Registered Customers can have a direct DTCC account and send the transactions directly to Eurex Clearing in agreement with its respective CCM. Positions of Registered Customers are separately booked, margined and shown in all Eurex Clearing reports.

Please find the cleared volume for Eurex Credit Clear below.

Eurex Credit Clear provides substantial benefits to Clearing Members and their customers.

These include:

• Leverage of existing Eurex Clearing infrastructure
  
• Efficient use of existing Clearing Member collateral deposits
  
• Buy side access as registered users or clients of Credit Clearing Members (CCM)

To participate in Eurex Credit Clear a Clearing License has to be obtained from Eurex Clearing.

The following entry requirements apply to becoming a Credit Clearing Member with Eurex Clearing.

Legal requirements

An institution and/or its branch offices which are permitted in its country of domicile to provide credit to customers in relation to the matching of orders or quotes and receive collateral from customers in the form of securities and cash as well as fulfill the requirements set out in Chapter 1, Part 1, Number 2 (a) of the Clearing Conditions of the Eurex Clearing AG are eligible to apply for admission as a Credit Clearing Member (CCM).

Capital requirements

The initial equity capital requirement for Credit Clearing Members amounts to EUR 1 billion. The ongoing equity capital requirement is dynamic depending on the average margin requirement.

The largest of the following amounts is the equity capital requirement:

• EUR 1 billion (initial equity capital requirement)
  
• 25 percent of the 30-day average of the total margin requirements
  
• 25 percent of the 250-day average of the total margin requirements
  

Eurex Clearing calculates on a quarterly basis on the last days of March, June, September and December a risk-dependent amount for each Clearing Member. Equity capital can be substituted in part by collateral provided in cash or securities.

Credit Clearing Fund

The provision of a contribution to a separate dedicated Clearing Fund for CDS business (Credit Clearing Fund) is required. Such contribution is dynamic depending on the risk exposure of the CCM. The largest of the following amounts must be deposited by CCM:

• EUR 50 million (minimum contribution)
  
• 5 percent of the 30-day average of the total margin requirements
  
• 5 percent of the 250-day average of the total margin requirements
  

The amount to be paid is fixed for each Clearing Member holding a CD License on a quarterly basis on the last days of March, June, September and December, for the subsequent quarter. Basis for the calculation of the contribution to the Credit Clearing Fund is the margin requirement resulting from all OTC Credit Derivatives Transactions of the respective CCMs and its respective Registered Customers novated and cleared by Eurex Clearing AG.

Operational requirements

• Evidence of pledge account at Clearstream Banking AG, Frankfurt or SIX SIS AG, Zurich
  
• Cash account at TARGET 2 or Swiss Interbank Clearing AG (EUR; optional for Swiss Clearing Members)
  
• Evidence of an account with CLS Bank International
  
• Power of attorney for Eurex Clearing to act on behalf of flow provider (e.g. DTCC), security settlement and cash-account
  
• Technical connectivity to Eurex Clearing network
  
• Qualified back office personnel