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ICM

Individual Segregated Accounts (ICM)

The ICM structure ensures that specific assets provided to Eurex Clearing are protected against the Clearing Member or another client. 

 

Eurex Clearing intends to end the offering of the ICM model as of 31 December 2019. 

The standard offering for individual segregation for Direct Disclosed Clients is the ISA model. The ISA model provides the same level of protection and segregation as the ICM model.

To transfer the ICM arrangement into a ISA arrangement, the Clearing Member, the ICM Client and Eurex Clearing have to execute a Clearing Model Change Agreement.

Already established CSD Accounts and respective collateral pools under the ICM Provisions can be re-used and do not require any amendments and re-bookings in case the securities margin collateral are still be delivered by way of full title transfer.

 
 
Under ICM, each Disclosed Direct Client bears neither the risk of losses relating to the Own Transactions of its Clearing Member nor the risk of losses relating to other Client-Related Transactions of the Clearing Member either relating to Undisclosed Direct clients or other Disclosed Direct Clients. ICM also segregates excess collateral at the level of the CCP. 

            

  • By opting for ICM the Clearing Member, Disclosed Direct Client and Eurex Clearing enter into a tripartite clearing arrangement (Clearing Agreement).
  • Eurex Clearing established detailed requirements for the client clearing documentation between Clearing Member and the client.
  • Eurex Clearing will set-up the ICM Client in its system as DC Market Participant, DC with System Access or Basic DC with its own Member ID.
  • For DCs with System Access or Basic DCs Eurex Transaction and/or OTC Interest Rate Derivatives Transaction are eligible for the ICM.
  • The model provides the highest likelihood of porting. Should there be a Clearing Member default, the ICM Client can choose to port immediately to a Replacement Clearing Member or become an Interim Participant, directly facing Eurex Clearing for a limited period until a Replacement Clearing Member is identified and accepts the porting.
  • Alternatively, the ICM Client can elect to close-out and directly receive their close-out proceeds and remaining collateral back. 
  • The ICM Client and the Clearing Member can agree on direct delivery and redelivery of Eligible Margin Assets to Eurex Clearing which avoids transit risk for the client when providing collateral to cover the margin requirement calculated by the CCP.
  • Collateral management options ensure the model is operationally simple to manage at the CCP. 
  • In Eurex Clearing's view, this model benefits from a 2% risk weight for trade and collateral exposure.