Please click here to find comprehensive information.

Please click here to find comprehensive information.

Set up as an operating company, Eurex Clearing enjoys the support of its parent company Deutsche Börse AG. Deutsche Börse AG is rated AA by Standard & Poor's.

Four sections build the organizational pillars to cover the main functions of the clearing department:

The field of responsibility of the four sections can be summarized briefly as follows:

­Clearing Business Development with focus to monitor and reflect customer requirements in our business model

• Clearing access policy
  
  
• Treasury policy
  
  
• Derivatives unit
  • Transaction services for listed and non-listed derivatives
    
  • Collateral management
    
  • Cash management
    
    
• Cash unit
  • Transaction services fixed income/GC Pooling
    
  • Transaction services cash equities
    
  • Delivery management
    
  • Corporate action processing
    
  
  

Risk Design with focus on financial safeguards and protection of the clearing house

• Clearing house financial safeguards and protection
  
• Risk methodology
  
• Default and liquidation procedures
  
• Collateral valuation
  

­

Clearing & Risk Operations with focus on operational excellence and service towards our customers

• Provision of clearing and risk know-how internally
  
• Support of all major projects
  

• Clearing Operations
  • Operation and control of clearing system
    
  • Management of intraday and end of day processes
    
• Clearing Data Control
  • Central maintenance of master data for the electronic trading and clearing systems (Xetra, XIM, Eurex, CCP- system, EEX)
    
• Risk Operations
  • Monitoring of Eurex Clearing’s risk
    
  • Operation and control of risk systems
    

­

Clearing Initiatives with focus on strategy development and clearing project program management

• Clearing strategy
  
• Clearing cooperation
  
• Regulatory
  
• Project management
  

Yes, since December 2007, the European Energy Exchange (EEX), Eurex, Eurex Clearing and European Commodity Clearing AG (ECC) interoperate.

Eurex Clearing has access to the intraday credit facility of the Deutsche Bundesbank.

Yes. Eurex Clearing has adequate credit facilities with a number of investment grade rated banks in place which, together with other liquidity sources, cover Eurex Clearing's intraday and overnight financing needs.

Eurex Clearing is a company incorporated in Germany and licensed as a credit institution under supervision of the Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) pursuant to the Banking Act (Gesetz über das Kreditwesen). BaFin exercises the supervision in co-operation with Deutsche Bundesbank.
Eurex Clearing is recognized and notified as a Securities Settlement System under the EU Settlement Finality Directive and the respective oversight authority is Deutsche Bundesbank.

In addition to this, the Financial Services Authority (FSA) in the UK has granted Eurex Clearing status as a Recognized Overseas Clearing House (ROCH), further enhancing its international standing.

Finally, Eurex Clearing has been recognized by both, the Swiss National Bank and the Swiss banking Supervisory authority FINMA as being systemically important to the Swiss market. Both authorities therefore have put Eurex Clearing under their supervision.

As a consequence, the list of the relevant authorities can be found below:

BaFin
Lurgiallee 12
60439 Frankfurt am Main

Deutsche Bundesbank
(Central Administrations Center Frankfurt / Main)
Taunusanlage 5
60313 Frankfurt am Main

Deutsche Bundesbank
(Head Office) Wilhelm-Eppstein-Str. 14
60431 Frankfurt am Main

Swiss National Bank (SNB)
Börsenstr. 15
CH-8022 Zürich

Eidgenössische Finanzmarktaufsicht FINMA
Einsteinstr. 2
CH-3003 Bern

Financial Services Authority (FSA)
25 The North Colonade, Canary Wharf
London E14 5HS

US Securities and Exchange Commission
100 F Street, NE
Washington, DC 20549

US Commodity Trading Commission
Three Lafayette Centre
1155 21st Street, NW
Washington, DC 205819

Yes, Eurex Clearing provides reporting to regulators due to different regulatory prescriptions and in different time periods.

The public authorities are reported by Eurex Clearing:

• the Federal Financial Supervisory Authority (BaFin),
  
• the German Federal Bank,
  
• the Swiss Financial Markets Authority (FINMA),
  
• the Financial Services Authority of Great Britain (FSA),
  
• the Swiss National Bank (FSA) and
  
• the US Securities and Exchange Commission.
  

For further information, please contact our regulatory section.

Eurex Clearing AG is audited by an external auditor. The auditor is KPMG and the audit takes place on a yearly basis.

Eurex Clearing AG rules are stipulated in the Clearing Conditions which are part of the general terms and conditions. Eurex Clearing AG reserves the right to amend the Clearing Conditions at any time; those amendments and additions shall be announced via electronic circular to the Clearing Members and Non-Clearing Members at least ten business days prior their effective date fixed in the relevant notice. Each Clearing Member or Non-Clearing Member accepts each amendments and addition to the Clearing Conditions, unless it objects by written notice to Eurex Clearing AG before the end of the Business Day prior to the actual effective date of such amendment or addition to the Clearing Conditions.

Unless otherwise provided in the Clearing Conditions, all information to be published according to these Clearing Conditions shall be displayed for at least three business days, available here.

Every employee and external service provider of Deutsche Börse Group is obliged to adhere to the “Guideline for Keeping Professional and Banking Secrecy”. Professional Secrecy is the obligation for any employee to treat information obtained pursuant to professional activities confidential. Banking Secrecy is derived from this by adding specific provisions while limiting its application to employees of regulated entities. All information received within the conduct of professional activities must therefore be treated in the strictest confidence by employees and external service providers and must not be disclosed to any unauthorized party.

The adherence of client confidentiality is ensured by the implementation of diverse control systems like the Internal Control System (ICS), Group Compliance and Internal Auditing.

For further information please see also our annual report.

Please click here to find comprehensive information.

At Eurex Clearing, membership comes in two categories, General Clearing Membership and Direct Clearing Membership, each of which confers different privileges.

• ­A General Clearing Member (GCM) may clear its own transactions, those of its customers, as well as those of trading participants that do not hold a clearing license (so-called Non-Clearing Member - NCM).
  

• ­A Direct Clearing Member (DCM) is entitled to clear only its own transactions, those of its customers, and those of its corporate affiliated NCMs. Only a Clearing Member - GCM or DCM - may be a counterparty of Eurex Clearing in a transaction.
  

As a result, legal relationships are essentially concluded between Eurex Clearing and a given Clearing Member, and in turn between that Clearing Member and the respective NCM.

Applicants must be authorized and entitled by their respective regulatory authorities to operate in the custody and loan business as well as to accept receipt of margins in the form of cash and/or securities. In addition, Clearing Members must show evidence of a certain minimum level of liable capital and must pay a contribution to Eurex Clearing’s Clearing Fund. While in general both the level of contribution to the Clearing Fund and the level of liable capital depend on the status of the Clearing Member (GCM or DCM), special requirements apply for the clearing of Credit Default Swaps.

Liable equity capital requirements, in EUR mn

Contribution to Clearing Fund, in EUR mn

Additional admission requirements for all our Clearing Members include different accounts that they need to set up. Every member must hold accounts at a central securities depository for the deposit of collateral and execution of settlement related payments. Further, we require evidence of cash accounts for clearing related payments, e.g. premiums.

With our fee model, we encourage our members to conduct business in multiple markets by taking advantage of economies of scale. For a first membership, applicants are charged a one-off admission fee as well as an annual membership fee. However, if a company wishes to become a Clearing Member for additional markets that we clear, no additional admission or membership fees are levied. In line with the markets that we serve, companies may apply for one or more of the following clearing licenses:

• ­ Eurex Derivatives (listed and non-listed derivatives)
  
• ­ Eurex Bonds
  
• ­ Eurex Repo
• ­ Frankfurt Stock Exchange Equity
• ­ Xetra International Market (XIM)
• ­ Irish Stock Exchange
• ­ European Energy Exchange
  
•  Eurex Credit Clear (EurexOTC)
  
  

For further information, please also consult our webpage. Click here.

All forms necessary for the registration to the various Eurex Clearing service offerings can be found on our webpage under here.

We charge applicants a one-off admission fee of EUR 50,000 to become a Clearing Member, as well as an annual membership fee of EUR 25,000. We designed our fee model to encourage Members to take advantage of all the markets that we serve. For this reason, if you wish to become a Clearing Member for any of the other markets we clear we do not charge any additional admission or membership fees.

Additional fees with regard to different connection components and transaction volumes can be found on the Eurex Clearing Price List.

Please click here to find comprehensive information.

Please click here to find comprehensive information.

• ­What model is used to calculate initial margin?
  

Eurex Clearing uses Risk-based Margining which is a scenario based matrix simulation. Risk calculations are based on a scenario matrix across the risk factors of the product or security in question. The risk factor values are modeled from historical returns and behavior in a proprietary distribution framework appropriate for the particular product.

The margin methodology is based on the evaluation of underlying risk factor moves. As soon as relevant risk factors change, the affected cross products scenarios are recalculated and thus new margin numbers (variation and initial margin) are determined. So margin calculation frequency is product specific, dependent on the update frequency of the risk factors. This could either be intraday on a real time basis or near time basis, as well as multiple times throughout the day, as the respective input risk factors change (e.g. position size, underlying price, volatility). Overall, all margin components are updated continuously throughout the whole business day.

At Eurex Clearing, we are continuously shaping the standards of risk management. By raising the benchmark for an adequate risk calculation for our members, we are improving the safety and integrity of the marketplace. 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. The Eurex Clearing Prisma method is based on the view of each member’s entire portfolio and has the advantage to account for hedging and cross-correlation effects through determining the margin requirement on a portfolio level as opposed to a product-by-product view. The single elements in the concept are selected so that risk calculation is made adequately and stable, ensuring that the concept withstands new shocks and changes to the financial markets and flexibly adapts to changes in the risk environment.

• ­How is variation margin calculated (e.g. member’s curves, house curve)?
  

The major curves in place used to calculate variation margin are derived from the products which are actively traded on our exchanges. They are constructed from active trading by Derivatives Trading Operations. For example, a Euro (Bund) yield curve is implicitly constructed from trading in our money market and interest rate derivatives.

Other curves, such as the USD yield curve or dividend yields, are obtained through benchmark data vendors and service providers.

• ­How is the guarantee fund calculated for each member?
  

Based on a Clearing Member’s status (DCM or GCM) the minimum Clearing Fund Contribution (guarantee fund) is determined by Eurex Clearing AG (minimum requirement):

• EUR 5 million for GCM or EUR 1 million for DCM (minimum amount) for all markets except Eurex Credit Clear
  
• EUR 50 million for Eurex Credit Clear
  

In addition, the Clearing Fund Requirements are, beside the minimum requirement, dynamic considering the overall risk exposure of the single Clearing Member towards the CCP. The Clearing Fund Requirement is newly determined by the highest single amount of the following components:

The minimum requirement
or
1. 2% of the 30 day total margin requirement average for Cash (FWB/XIM/ISE), Bonds, Repo, Derivatives
2. 5% of the 30 day total margin requirement average for Credit Clear
or
1. 2% of the 250 day total margin requirement average for Cash (FWB/XIM/ISE), Bonds, Repo, Derivatives
2. 5% of the 250 day total margin requirement average for Credit Clear

After having newly determined the Clearing Fund requirement at the end of each quarter a weekly check at Eurex Clearing is established, whether the current Clearing Fund contribution is still sufficient.
If the weekly check determines a shortfall in the Clearing Fund contribution, a Clearing Member has to fill the missing gap to fulfill the new requirement for the Clearing Fund contribution within five days. If a Clearing Member does not provide the required additional collateral within the given five days, Eurex Clearing will call for immediate cash via direct debit authorization.

For details please see Eurex Clearing Conditions, Chapter I, Part 1, Paragraph 6.

• ­Are there any other margin types (e.g. buffer)?
  

• ­Are there any intra-day calculations and if so is this called for?
  

The margin requirements are calculated in real-time. Eurex Clearing regularly calls for margin in the morning of day t+1. However, Eurex Clearing continuously monitors the development of the risk exposure of its Clearing Members intraday on an event driven (real-time) basis during the entire business day. If a Clearing Member’s margin shortfall exceeds its given intraday margin call limit (in general 10 percent of the Clearing Member’s overnight margin requirement but at least EUR 1 Mio) Eurex Clearing immediately issues an intraday margin call which generally has to be satisfied by the Clearing Member within one hour.

• ­Are there any offsets against other products (e.g. OTC and listed)?
  

From EurexOTC Block Trades, EurexOTC Flexible Contracts to EurexOTC Vola Trades offsets are granted between OTC and listed based on the margin class margin group concept. Using conservative offsets, cross margining is performed within the margin classes and margin groups between margin classes. Additionally, please consult the Eurex Quick Reference Guide “Risk-based Margining.”

Cash collateral:

Please click here to find comprehensive information.

Securities collateral:

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Collateral deposit

The Clearing Member delivers the securities to the relevant account directly within the system of the relevant CSD (Clearstream Banking AG Frankfurt (CBF) or SegaInterSettle Zurich (SIS)). All deposits are credited near-time in the Eurex® system. If a deposit is unacceptable (ineligibility of the security, breach of concentration limit), Eurex instructs a deposit reversal (back to the member's main account) near-time.

Collateral withdrawal

Withdrawals are made using the Collateral Transaction Entry window. Once confirmed by Eurex Market Supervision that margins can be met without the securities requested, the securities are immediately transferred from the respective account into the member's main account. If a withdrawal request leads to an under-collateralization in the member’s account, the transfer of the requested securities is postponed until the next business day, or until the appropriate amount of funds is in the account to fully fund the margin requirements.

Information about collateral

The Clearing Member may manage collateral on several windows on the Eurex Clearing GUI.

• Collateral Security Information
  General eligibility of the security and information if further deposits are allowed (Concentration limit on clearing house level)
  

• Collateral Pool Status
  The Collateral Pool Status window displays an overview of the margin coverage per pool and Clearing Member.
  
  
• Collateral Status Detail
  The Collateral Status Detail window displays the current collateral status for a specific pool of a Clearing Member either in one currency or aggregated to the clearing currency.
  

• Security Deposit Overview
  The Security Deposit Overview window displays the balances and movements of the collateral in the security deposit account.
  

• Collateral Transaction Entry
  The Collateral Transaction Entry window is used for collateral withdrawals and deposits by a member and by Market Supervision on behalf of a member. Members may withdraw securities or deposit/withdraw cash through this window.
  

­Please click here to find comprehensive information.

­Eurex Clearing has a PoA and is able to instruct “on behalf” of the Clearing Member. Basically, the member itself is acting within data processing application on basis of user identification, which is allocated to the member in the case of admission. Should this not be possible due to technical problems, we execute the designated transaction “on behalf” for the respective members. However, for that scenario a written order of the member is required as well. The written order is checked with regard to contents and effected on the supposition of an apparent authority.

At Eurex, position limits exist according to § 4.7 of the Exchange Rules of Eurex Deutschland. The size of the respective limits can be learned from the product specifications on the Eurex Exchange website.

Trading Surveillance Eurex Deutschland is monitoring the adherence of the position limits intraday and is informing the Börsenaufsichtsbehörde Hessen as well as the Executive Board of Eurex in case of breach of the Exchange Rules. They then decide on whether to forward the statement of affairs to the sanction committee of Eurex Deutschland. In succession, the sanction committee is able to impose sanctions up to an amount of EUR 250.000 and/or to impose a temporary or definite expulsion from trade.

­In the case of Lehman Brothers International (Europe), 99% of all customer positions were transferred by the close of business on 19 September 2008, with the balance transferred by 22 September 2008.

At the time of the default event, margin provided by the defaulting Clearing Member was treated as proprietary irrespective if attributed to proprietary or client positions. Hence, collateral was not transferred along with client positions.

In the second quarter of 2011, Eurex Clearing introduced our new Client Asset Protection service, providing segregation and timely portability of client’s positions and collateral (both cash and securities) in the event of a Clearing Member default. Please click here to find more information on Eurex Clearing’s Client Asset Protection.

Yes.

Eurex Clearing’s business continuity planning arrangements are tested on a regular basis and in a comprehensive manner. Different aspects are tested with different frequencies, but in general the plans are tested at least annually.

Learn more.

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Eurex Clearing refers to the risk waterfall as its “lines of defense.” In the event of a default, the lines of defense are implemented in the following order (Chapter I, Part 1, Number 6.2, Eurex Clearing Conditions).

Any realized contribution to the Clearing Fund shall be raised by the Clearing Member to its original amount within ten business days. This requirement shall not apply to any Clearing Member that has terminated its Clearing License by means of a written statement to Eurex Clearing no later than on the fifth business day following such realisation.

Eurex Clearing applies one combined Clearing Fund for listed and OTC products, with the exception of Eurex Credit Clear which is covered via a separate Clearing Fund for CDS business. However the combined Clearing Fund is separated into different Clearing Fund Segments (called CFS), whereby each liquidation group is assigned to one particular CFS. The size of each CFS depends on  the exposure of the Clearing Members active in this Liquidation Group relative to the overall exposure of this member. The sum of the CFSs is the size of the Clearing House’s total Clearing Fund.

In case of a Clearing Member default only the respective CFS can be used to cover losses from a particular Liquidation Group, unless there is a known surplus from other, already completed Liquidation Groups. This segmentation ensures that losses that need to be covered by the Clearing Fund are distributed first among those Clearing Members that are active in the respective Liquidation Groups. This segmentation comcept is not only applied to the Clearing Fund but is applied to the other lines of defense as well.

Eurex Clearing’s stress testing tests the impact of the simultaneous insolvency of multiple key market participants in a contagion scenario and as soon as the potential consumption of the Clearing Fund breaches a defined threshold, risk mitigating measures would be implemented.

Should an applicant have insufficient liable equity capital or equivalent own funds for a Clearing License, Eurex Clearing may allow that the shortfall may be made up by a bank guarantee and/or collateral in cash or securities. The bank guarantee as well as the cash and securities collateral shall safeguard compliance with the contractual obligations of the respective Clearing Member and with all other claims of Eurex Clearing vis-à-vis the respective Clearing Member in connection with the clearing of its contracts (provision of margin).

Please click here to find comprehensive information.

Yes, Deutsche Börse Group has implemented a formal crisis management process with defined responsibilities. The process applies Group-wide for all activities and organizational or legal entities, including Eurex Clearing AG.

­The Crisis Management Team is composed of the Incident and Crisis Managers from the different divisions of Deutsche Börse Group. It is their role to ensure a coordinated incident response, including internal and external communication.

Yes, the BCM plans address the unavailability of systems, workspace, staff and suppliers. Supplier unavailability preparedness is regularly reviewed and generally addressed by service level agreements or multiple vendor arrangements.

All Systems but Xetra® and Xetra® International Market are set up with an automatic fail-over process which makes the take over immediate. Xetra® and Xetra® International Market are set up fault tolerant, but disaster recovery requires a restart of the system at the back up site, which typically should be done within an hour. However, the general recovery time objective of Deutsche Börse Group in case of a disaster is 4 hours.

In case of technical issues emergency information is provided via the following media:

• System Newsboard
  
• SMS Service
  
• E-mail
  

Information on technical issues is distributed immediately if impact on members of Eurex has been recognized.

The responsibilities of Eurex and Eurex Clearing in an outage scenario are described within Section 12 on “Technical Problems” of the Technical Implementation Regulations of Eurex Deutschland and Eurex Zürich Concerning Technical Equipment.