EurexOTC Clear's offering includes clearing for the following standardized interest rate derivatives in euro, U.S. dollar, British pounds and Swiss franc:

• Single currency interest rate swaps ("IRS")
  
• Forward rate agreements ("FRA")
  
• Overnight index swap ("OIS")
  
• Single currency basis swaps
  
• Zero Coupon swaps
  
• Compounding - flat and straight (for IRS and basis swaps)
  
• Linear interpolation of stub periods
  
• Front and back stubs (for IRS and OIS)
  
• Negative par-swap rates
  
• Variable notional - Amortizing and roller coaster (for IRS and basis swaps)
  
• Variable index spread on floating rates that can differ period per period (IRS and basis swaps)
  
• Fixed coupon rates that can differ period per period (IRS and basis swaps)
  
• IMM - International Monetary Markets - roll dates
  
  

Eurex Clearing supports transactions under ISDA® 2000/2006 and German Master agreements accepting standard swaps and forward rate agreement with standard day count and business day conventions, fee legs, constant notionals, front or back stubs and floating rate indexes for each currency. We offer the following products and product characteristics:

For futures releases, the following products and currencies are under consideration:

• Currencies:
  • Additional European currencies: SEK, NOK, DKK, PLN
    
  • Other currencies: JPY, CAD, AUD, SGD
    
• Product types:
  • Cross currency swaps, zero coupon swaps, amortizing and accrediting swaps, compounding swaps, inflation swaps, swaptions, caps, floors, constant maturity swaps and in-arrears swaps
    
    

The EurexOTC Clear clearing model is designed to recognized market standards and enhances these by adding clearing best practice whilst allowing you to leverage your existing infrastructure. The model also addresses the specificities of the OTC market appropriately. EurexOTC will provide CCP services, essential position and risk management, margins and payments.

Eurex Clearing will offer an innovative and flexible solution via your existing market infrastructure from transaction capture — through the transaction lifecycle — to collateral and transaction warehousing.

EurexOTC Clear will offer best-in-breed clearing and risk management for your OTC business. We are setting new standards by replacing our existing margin methodology (Risk-based Margining) with a new portfolio based margin approach — called Eurex Clearing Prisma — which will allow for cross margining for listed derivatives business and between listed and OTC derivatives business cleared through Eurex Clearing.

Our risk model is designed to be accurate, stable and robust.

• Accuracy ensures a default management procedure reflected in margins for each portfolio.
  • Forward looking components match the Default Management procedure time horizon.
    
  • Liquidity adjustment reflects concentrations and liquidity of portfolios.
    
• Risk model designed to be stable and robust
  • filtered historical simulations
    
  • model error adjustment for correlation breaks
    
• Initial margin is supported by a dynamic Clearing Fund covering extreme but plausible events
  

The EurexOTC Clearing GUI is a browser-based front-end to the Eurex Clearing clearing platform. The interface can be used for handling both inter-dealer and customer trades with Clearing Brokers, Executing Brokers and clients involved. The GUI should enable users (Clearing Members and Registered Customers) to view the position information and give them a possibility to trigger or acknowledge the trade life cycle events.

In order to set-up your company in the simulation environment, we ask you to return the “Static Data Form for Clearing Member”.

After receipt of the Reference Data Sheet, the Central Coordinator will be provided with access to the Member Section, where functional and technical documentations are available and user administration for access to the Common Report Engine and EurexOTC Clearing GUI is possible.

For the purposes of including OTC Derivative Transactions into the Clearing by Eurex Clearing AG, the trade record of the relevant Original OTC Transaction has to be transmitted to Eurex Clearing AG via an Approved Trade Source System.

As of 13 November, 2012 the following Approved Trade Source Systems are eligible:

MarkitWire, a service of MarkitSERV Limited

For further information please see the MarkitSERV website (www.markitserv.com).

Within MarkitWire the EurexClearing BIC for production is: EUXCDEFF

For further details and information on pricing please refer to the Eurex Frankfurt AG and Eurex Clearing AG Connection Agreements.

Please find the current cleared volume for EurexOTC Clear for IRS below.

As of: 18 June 2013 

Explanatory Notes

• Notional values indicate Eurex Clearing’s portfolio after CCP novation. Both sides of each trade are included.
  
• Client clearing volumes include only the client side of each trade.
  
• Total notional volumes expressed in Euro are calculated by converting the notional volumes of swaps denominated in other currencies to Euro using the same conversion methodology as used for margining and collateral. Exchange rates are published here.