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Amendments to Chapter II of the Clearing Conditions of Eurex Clearing AG

Release date: 06 Feb 2020 | Eurex Clearing

No. 013/2020 Amendments to Chapter II of the Clearing Conditions of Eurex Clearing AG

Eurex Clearing Circular 013/20

1.   Introduction

This circular contains information with respect to the service offering of Eurex Clearing AG (Eurex Clearing) and introduces amendments to Chapter II of the Clearing Conditions of Eurex Clearing AG (Clearing Conditions), regarding the following topics:

A.    Clarification and correction of the parameters to determine STM Variation Margin and the relationship between STM Variation Margin applied throughout the lifetime of a Eurex Transaction and any amounts payable upon expiry of a Eurex Transaction

B.    Amendment of due date of option premium for options with immediate premium payment    

C.    Deletion of references to Risk Based Margining

D.    Clarification that any CET times are Frankfurt am Main times

E.    Various small amendments, e.g. standardisation of terms

F.    Amendments regarding Group IDs, Cash Market names and Cash Market IDs

A change of the daily operations of Eurex Clearing is not intended.

All amendments will become effective as of 2 March 2020.

2.   Required action

There is no required action for Clearing Members, Basic Clearing Members and Disclosed Direct Clients of Eurex Clearing. 

3.   Details of the initiative

A.   Clarification and correction of the parameters to determine STM Variation Margin and the relationship between STM Variation Margin applied throughout the lifetime of a Eurex Transaction and any amounts payable upon expiry of a Eurex Transaction

The provisions clarify the following:

  • The process to determine STM Variation Margin: daily, based on the change of the daily settlement price from t-1 to t or from trade price to daily settlement price on t, if the transaction has been opened on that day
  • The due date of any claim for STM Variation Margin: immediately upon determination by Eurex Clearing, which takes place by issuing the respective end of day report
  • The fact that any STM Variation Margin paid or received by a Clearing Member or Eurex Clearing during the lifetime of a transaction is economically reflected in the respective amounts that are payable upon expiry of the transaction.

To reflect the amendments, the following provisions will be amended as outlined in the Attachment with effect as of 2 March 2020:

  • Chapter II Part 1 Number 1.2 of the Clearing Conditions
  • Chapter II Part 2 Number 2.1 of the Clearing Conditions
  • Chapter II Part 3 Numbers 3.1, 3.2, 3.3, 3.13 of the Clearing Conditions

B.   Amendment of due date of option premium for options with immediate premium payment

In line with the provisions for the due date of STM Variation Margin, any option premium for options with immediate premium payment becomes due and payable immediately upon determination thereof by Eurex Clearing AG (i.e. by displaying the premium in the respective end-of-day report).

To reflect the amendments, the following provisions will be amended as outlined in the Attachment with effect as of 2 March 2020:

  • Chapter II Part 3 Numbers 3.4 – 3.12 of the Clearing Conditions

C.   Deletion of references to Risk Based Margining

All Eurex Transactions are mandatorily cleared under application of the Eurex Clearing Prisma methodology, therefore the references to Risk Based Margining are deleted.

To reflect the amendments, the following provisions will be amended as outlined in the Attachment with effect as of 2 March 2020:

  • Chapter II Part 1 Number 1.2 of the Clearing Conditions
  • Chapter II Part 2 Number 2.1.3 of the Clearing Conditions
  • Chapter II Part 3 Numbers 3.4.4, 3.6.4 of the Clearing Conditions

D.   Clarification that any CET times are Frankfurt am Main times

Chapter II contains various mentions of times that are stated as “CET“ (Central European Time). It is now clarified that any such time should also include “CEST“ (Central European Summer Time), if applicable in Frankfurt am Main on the relevant day.

To reflect the amendments, the following provisions will be amended as outlined in the Attachment with effect as of 2 March 2020:

  • Chapter II Part 1 Number 1 of the Clearing Conditions
  • Chapter II Part 2 Numbers 2.1 – 2.6, 2.12, 2.18 – 2.22, 2.25 of the Clearing Conditions
  • Chapter II Part 3 Numbers 3.4, 3.6, 3.12 of the Clearing Conditions

E.    Various small amendments 

Eurex Clearing will introduce minor amendments to streamline its legal framework. Amongst others, the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland are now always referenced as “Eurex Contract Specifications” and transactions covered by Chapter II are now referred to as “Eurex Transactions”.

To reflect the amendments, the following provisions will be amended as outlined in the Attachment with effect as of 2 March 2020:

  • Chapter II Parts 1 – 3 of the Clearing Conditions

F.   Amendments regarding Group IDs, Cash Market names and Cash Market IDs

Due to updates in Annexes A, B, and H to the Eurex Contract Specifications, the following changes to the Clearing Conditions, Chapter II, are necessary: 

  • Deletion of obsolete Group IDs
  • Addition of new Group IDs
  • Update of the names of the relevant Cash Markets 
  • Update of the Cash Market IDs

To reflect the amendments, the following provisions will be amended as outlined in the Attachment with effect as of 2 March 2020:

  • Chapter II Part 2 Numbers 2.1.2, 2.7.2, 2.26.2 and 3.6.3 of the Clearing Conditions

As of the effective date, the full version of the amended Clearing Conditions will be available for download on the Eurex Clearing website www.eurexclearing.com under the following link:

The changes and amendments to the legal framework of Eurex Clearing published by this circular under items A. – F. above are deemed accepted by each affected contractual party of Eurex Clearing, unless the respective contractual party objects by written notice to Eurex Clearing AG within the first ten (10) Business Days after publication. Any ordinary right of Eurex Clearing AG to terminate the respective contract (including a Clearing Agreement, if applicable) shall remain unaffected.

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions of Eurex Clearing AG.

Attachment:

  • Amended sections of Chapter II of the Clearing Conditions

Further information

Recipients:All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors
Target groups:Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination
Contact:client.services@eurexclearing.com
Web:www.eurexclearing.com
Authorised by:Dmitrij Senko