GERMANY: Eurex Amendments to Clearing Conditions

Thursday May 19 2016

Eurex Clearing has issued a Circular containing information with respect to Eurex Clearing’s service offering and corresponding amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and other related documents regarding the following topics:

• Changes due to EurexOTC Clear IRS Release 6.1
• Clearing Member request to split ICM collateral pools

The amended sections of the Clearing Conditions and other related documents are attached to the circular.

The amendments related to topics 1 and 2 came into effect on 13 June 2016.

Changes due to EurexOTC Clear IRS Release 6.1

Bulk Backloading

Due to market demand, Eurex Clearing has decided to run the bulk backloading processing earlier on in the day as follows:

• The preliminary backloading batch will be brought forward from its current time of 17:00 (CET) to 15:00 (CET)
• Incremental risk check and backloading novation batch will be brought forward from its current time of 21:00 (CET) to 17:00 (CET) and
• The cut-off time for same-day trade novation is 15:00 (CET). Any trades received after this point will be considered for the next day’s cycle.

Price Alignment Interest (PAI)

In order to align the PAI as closely as possible with the market standard, Eurex Clearing will change the calculation methodology. This will be achieved by incorporating two changes into the PAI calculation:

• Replacement of “MtM” by “MtM_exCF”, so that PAI is based on cumulative Variation Margin
• Change to the calculation for PAI to consider overnight rate T instead of T-1

To reflect the recommended changes, the following provisions of the Clearing Conditions shall be amended:

• Chapter VIII Part 2 Number 2.1.4.5 (3 to 8)
• Chapter VIII Part 2 Number 2.1.6 (4)

Clearing Member request to split ICM collateral pools

Clearing Members requested to split the single ICM collateral pool concept for operational reasons. The introduction of the sub-pool concept does not amend the single Individual Segregation Framework Agreement.

For post-Clearing Member default scenarios, sub-pools are to be treated as one pool.

To split pools, Clearing Members are requested to contact their Key Account Manager.

To reflect the recommended changes, the following provisions shall be amended:

• Chapter I Part 1 Number 2.1.2(4)(a)(bb) as well as Chapter I Part 3 Subpart A Numbers 4, 5.2, 5.3, 5.4, 6.2, 11 and 16.3
• Number 1 and Annex B of each of Appendix 3 and 4 to the Clearing Conditions (ICM Clearing Agreements (ECD and CCD)).

Click on the link above for further details.