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About EurexOTC Clear

About EurexOTC Clear

EurexOTC Clear truly meets the market needs for the clearing of OTC transactions, by reducing counterparty risk, margin and collateral requirements and at the same time providing client asset segregation and legal certainty. We offer clearing for OTC Interest Rate Swaps as well as Zero-Coupon Inflation Swaps. By clearing both through EurexOTC Clear, clients can benefit from significant margin offsets where there are appropriately correlated risk reductions.

There are many reasons why EurexOTC Clear is offering a market leading OTC clearing solution:

 

Risk Management

EurexOTC Clear offers best-in-breed 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.

Eurex Clearing Prisma offers the following benefits for our Clearing Members, their customers and for the Clearing House:

  • Higher capital efficiencies: more accurate risk netting effects for listed, and between listed and OTC positions
  • Greater accuracy: cross-product scenarios enable a consistent way to account for portfolio correlation and diversification effects
  • Robustness: methodology designed to enable stable margin requirements
  • Consistent framework: consistent risk and default management process for listed and OTC products
  • More flexible: broader range of instruments covered with faster time-to-market

Eurex Clearing Prisma permits cross margining between products as well as across markets clearing by Eurex Clearing. This is especially applied to the interest rate products where cross margining concerns the allocation of positions of listed fixed income products and OTC IRS products in the same liquidiation group, considering the sensitivities of the products to the general level of interest rates. This ensures that the reduced risk profile of interest rate hedged portfolios are adequately reflected by lower initial margin requirements.

We are offering our Members a browser-based Margin Calculator enabling the estimation of margin requirements for Eurex IRS derivatives and combined portfolios consisting of OTC IRS trades and listed derivatives positions. The Margin Calculator is available via a Web GUI, allowing Members to assess the benefits of cross margining.

 


Moreover, Eurex Clearing provides its Members with another possibility to simulate margin calculations including cross margin offsets for sample portfolios. You may submit portfolios of IRS and listed derivatives products in a pre-defined Excel format via e-mail. The process is weekly with inputs to be received on Thursday by 5 p.m. CET.

Client Asset Protection

As one of Europe’s leading CCPs we are required to offer, under EMIR Article 39, omnibus and individual client segregation models. Eurex Clearing is committed to offering you segregation and portability of your positions, allowing the highest protection level for your assets. We launched our best in class client segregation, the Individual Clearing Model (ICM), in 2011 and have continuously improved it in terms of operational efficiency and client clearing documentation compatibility.

The ICM offers clients the maximum level of protection through individual position accounts and segregated margin pools allowing the client to port their own assets, if their Clearing Member were to default

  • No transit risk
  • No risk replacement risk
  • No liquidity risk
  • No liquidation risk
  • No fellow customer risk
  • No collateral fee
 

Eurex Clearing currently provides also client asset protection through two further models:

  • Net Omnibus Clearing Model (allows UK CASS compliance)
  • Elementary Clearing Model

Maximum protection is achieved for Non-Clearing Members (NCMs) and Registered Customers (RCs) who opt for our unique Individual Segregation Model offering.

Client Asset Protection (brochure)
 
 

Collateral Management

Find out the benefits of reuse Reuse of GC Pooling® Collateral for Eurex Clearing Margining.

 
Probably the biggest consequence with the mandatory clearing of OTC derivatives is the need for posting of collateral for initial margin on a daily ongoing basis at central counterparties. Use your securities at hand to fund your margin requirement and benefit from our broad eligible collateral spectrum of more than 25,000 ISINs covering government bonds, corporate bonds as well as equities.

Clearing Members can satisfy margin and Clearing Fund requirements by depositing cash, securities
or commodities. Accepted securities and commodities are validated on a daily basis to ensure a fair valuation and market liquidity in a Clearing Member default situation.

Overview of collateral eligibility criteria

Compression

In cooperation with TriOptima, the EurexOTC Clear Compression Service enables Members to reduce the number of trade lines and overall gross notional. Trade compression can significantly reduce leverage ratio and overall cost of capital through the termination of offsetting trades within member-predefined risk tolerance levels. Reducing the number of trades in a portfolio optimizes efficiency and reduces overall operational risk.

Key features of the Compression Service are

Multilateral – D2D (Dealer to Dealer) portfolios of all Clearing Members who sign up for a cycle will be included in a compression run. However, in phase one, only Direct Clearing Members can access the service to compress trades in their house accounts.

Unlinked – both sides of the respective original OTC transaction can be considered separately in a compression run. A successful compression is not dependent on retaining the original counterparty link.

Risk-based – Members pre-define tolerance levels, within which the risk of their portfolio is allowed to change.

Compression cycles – this is not a continuous or end of day process, cycles are periodic. The current cycle frequency for euro, U.S. dollar and British pond are quarterly and for Swiss franc  and  Japan yen semi-annually. Frequency will be reviewed on a regular basis, number or frequency of cycles will be increased when necessary.

For more information on our Compression Service, please contact our Clearing Sales Team on

Contact

Eurex Clearing AG | London Office
Clearing Business Relations

T +44 207 8 62-76 56

 
 

Fees

EurexOTC Clear's fee structure has been designed to ensure simplicity and transparency. Starting in May we will be offering e an enhanced pricing model and rebate scheme for OTC Interest Rate Swaps (IRS) derivatives transactions. For more information please see our Circular or the presentation below.

Expand Liquidity Incentive Program

Expand Liquidity Incentive Program

The program offers you fee incentives on your interest rate swap clearing fees up until 31 December 2016 for Clearing Members and up until 30 June 2017 for Registered Customers. The new fee incentive program “Expand Liquidity” follows the recently expired incentive programs “EMIR Readiness” and “On-boarding incentive program” which offered a fee discount resp. fee waivers for EurexOTC Clear services until 31 December 2015.

Two steps to get started!

Calculate your savings with our

Receive your Performance and Savings Report for your house and client accounts.1

Incentives for Clearing Members

  • Phase 1: Full fee waiver until 31 March 2016, i.e. no booking and maintenance fees will be charged for Clearing Members’ proprietary accounts.
  • Phase 2: Full fee waiver until 30 June 2016, under the conditions that the Member has a minimum cleared or backloaded notional of EUR 1 billion.
  • Phase 3: No booking fee for up to twice the “Pre-Obligation Volume“ until 31 December 2016. The volume measurement period “Pre-Obligation Volume”of accumulated cleared volume including backloaded volume is 1 January 2016 until 30 June 2016.

Incentives for Registered Customers

  • Phase 1: Full fee waiver until 30 September 2016, i.e. no booking and maintenance fees will be charged for Registered Customers’ accounts.
  • Phase 2: Full fee waiver until 31 December 2016, under the conditions that the Member has a total notional outstanding volume in excess of EUR 250 million on 30 September 2016.
  • Phase 3: No booking fee until 30 June 2017 under the condition that the Registered Customer has a notional outstanding volume in excess of EUR 1 billion on 31 December 2016.

1 Reporting starts in April 2016