In order to ensure the continued integrity of the Clearing House, Eurex Clearing applies stringent criteria to securities pledged by Members as collateral.

We accept fixed income securities denominated in euros, Swiss francs as well as other currencies. In addition, we accept equities denominated in euros and Swiss francs.

Fixed income in EUR

ECB eligible assets

• ECB liquidity classes I-IV
  
• Exchange listing and price (except Bubills)
  
• Types of Securities
  • Government and Short-Term Issues (Bubills) Bonds
    
  • State Issues
    
  • City and Municipality Bonds
    
  • State Agencies
    
  • Corporates and other Bonds
    
  • Bank Bonds
    

Fixed income in foreign currencies

• Government Bonds in USD, GBP, DKK, NOK, SEK, AUD,CAD, JPY
  
• Exchange listing and price
  

Fixed income in CHF

• Swiss National Bank (SNB) Repo eligible
  
• Exchange listing and price
  
• Types of Securities
  • Federal Bonds and Bills (GMBF), Loan obligations
    
  • Cantonal obligations, Bonds, Bills (GMBF)
    
  • City and Municipality Bonds
    
  • State Agencies
    
  • Corporates and other Bonds
    
  • Bank Bonds, Mortgage Bonds (Pfandbriefzentralen), no ABS
    

Equities

• EUR denominated
  • DAX®, EURO STOXX 50®
    
  • Top 50 HDAX (Eligible equities for GC Pooling Equity Basket)
    
  • Specific Equity Collateral (equity derivative underlying, not part of previous groups) *
    
• CHF denominated
  • SMI constituents
    

Clearing Members can choose to open pledged securities accounts either at Clearstream Banking AG Frankfurt (CBF) or SIX Securities Services. These securities accounts are maintained on a Clearing Member's behalf with the securities pledged to Eurex Clearing. Alternatively, collateral can be managed within the Clearstream collateral management system Xemac®.

Clearing Members must determine in advance which securities should be pledged as collateral. In general it is differentiated between securities which are eligible as collateral (Used as Collateral Flag "Y") and securities which may not be further deposited (Deposits_Allowed Flag "N") to cover Eurex Clearing margining. Securities which have been deposited as collateral are valued in accordance to their risk with a specific haircut discounted.

In the case of variation margin (i.e. the daily settlement of profits and losses) and margin calls, payment must be made in cash. In addition, the payment of premiums on traditional options and options on futures must always be made in cash.

Equities which may be used to cover corresponding equity derivatives with upside risk (short call option or short single stock future position), so called Specific Equity Collateral (identified with security type code "SECA"), may not be used as general margin collateral; this is reflected with a haircut of 100 percent, thus an evaluation price of "0".

Eurex Clearing does not accept own issues due to procyclical effects (wrong-way risk) as well as close link securities as eligible collateral. Eurex Clearing defines a close link as a direct relationship between members (Clearing Members, segregated Non-Clearing Members or segregated Registered Customers) and issuers of a security. A member is directly linked with an issuer by participation, i.e. by ownership, directly or by way of control, of 50 percent or more of the voting rights or capital of a company or by control, i.e. by the relationship between a parent company and a subsidiary, or a similar relationship between the member and a company. Debt securities that have a remaining term of 15 calendar days or less are not accepted as well.

Eurex Clearing AG requires a fee on security collateral delivered by Clearing Members to cover their margin requirements. The fee will apply to margin collateral only and will not be charged for securities collateral delivered for the clearing fund or company liable equity capital substitution purposes.

The security collateral fee will be charged on a collateral pool level and will be applied to all collateral pool types (default, omnibus and segregated)**. The security collateral fee is only charged on utilized security collateral. Any over-collateralization in the corresponding pool will not be charged. Initially, the fee has been set at five basis points per year for all pool types. The fee will be calculated daily and invoiced monthly.

_{* Specific Equity collateral is used to cover equity derivatives positions with upside risk.}

_{** All Registered Customers (RC) are excluded from this fee.}