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Securities collateral fee

Security collateral fee

Eurex Clearing charges a fee on securities collateral delivered as cover for initial margin requirements and on securities collateral delivered as default fund contributions (incl. any excess contributions).

For initial margin collateral, the following exceptions apply:

  • Security collateral fee does not apply on security collateral delivered in addition to the amount required to cover margin requirements
  • Security collateral fee does not apply to the OTC IRS business of Registered Customers (segregated and non-segregated)
  • Security collateral fee for reused securities is waived until further notice

The fee level depends on the cash proportion delivered to cover the calculated requirement (initial margin requirement or default fund requirements), following the sliding scale logic (not applied for reused securities, for which a flat fee of 3 bps is applied).

Sliding scale logic

The security collateral fee is calculated on a daily basis per collateral pool and reported via the CB235 - Daily Security Collateral Fee Statement. The security collateral fee is part of the ECAG invoice for clearing and services and settled monthly.