Eurex Clearing AG Collateral Management Services

Collateral Management Services October 2012 

Eurex Clearing AG 

Collateral Management Services 

October 2012 

www.eurexclearing.com


Agenda 

• Introduction 

• Eurex Clearing’s Collateral Management Services 

– Broad Range of Eligible Collateral 

– Transparent Margining & Reporting 

– Efficient Collateral Processing 

– Asset Protection & Regulatory Compliance 

www.eurexclearing.com 

2


Eurex Clearing is the leading European CCP providing 

services for the whole trade life cycle 

Trade 

Management 

• Trade capture 

• Post-trade 

management 

• Give Up/ Take Up 

processing 

Position 


Risk 


• Position 

• Calculation 

Maintenance of margin 

• Position Transfers requirements 

• Exercises-/ • Margin 

Assignments of requirements are 

options 

matched with 

• Notification/ 

deposited 

Allocation 

collateral 

Eurex Clearing System 

Collateral 


• Procedure to 

control collateral 

compared 

to risk exposure 

• Collection and 

release of cash 

and securities 

collateral 

Focus of this 

presentation 


Cash 


• Instruction 

of Cash Payments 

on behalf of 

Clearing Members 

• Use of Central 

Bank money 

(EUR/CHF) or 

Commercial Bank 

money (GBP/USD) 

Delivery 


• Settlement 

netting 

• Creation of 

settlement/ 

delivery 

instructions 

• Provide 

information on 

pending trades 

and deliveries 

3


Eurex Clearing offers a variety of services to guarantee 

an optimal usage of provided collateral 

• Flexibility, due to broad range of eligible collateral 

– Clearing Members can satisfy margin and Clearing Fund requirements by depositing cash, 

securities or commodities 

– Cash collateral can be paid in a variety of currencies 

– Eurex Clearing stipulates and publishes which currencies are permitted as cash collateral and also 

which securities and commodities are eligible as non cash collateral 

– Eligible securities and commodities are validated on a daily basis 

• Transparency, due to comprehensive reporting 

– Collateral processing takes place in a straightforward manner with transparency for Clearing staff 

through intraday reports and monitoring functionalities 

• Efficiency, due to timely validation of collateral and margin requirements 

– Eurex Clearing’s margin requirements are balanced against the collateral deposited from Clearing 

Members intraday or on a day-to-day basis, as well as through the reuse of GC Pooling® Basket 

Collateral * 

• Safety, due to the highest protection for positions and collateral 

– Eurex Clearing ensures the highest protection by providing asset segregation and near-time 

portability in line with regulatory requirements 

* Presentation “Reuse GCP Collateral for Eurex Margining” is published under: 

http://www.eurexclearing.com/blob/clearing-en/46792/149090/2/data/reuse_gcp_service_description.pdf 


4


Clearing Members are able to provide collateral through 

a number of standardized interfaces 

• Clearing Members are required to have at 

least access to a cash account in one of 

the selected Clearing currencies 

– Central bank EUR account (TARGET2) 

– SNB CHF account 

• Clearing Members can open security 

pledge accounts in Cascade or Creation at 

Clearstream Banking AG Frankfurt (CBF) 

and/ or SegaInterSettle AG Zurich (SIS), 

whereas only one is mandatory 

– Alternatively, collateral can be 

managed within the Clearstream 

collateral management system Xemac 

– Corporate actions remain in favour of 

the account owner 

Provision of securities collateral 

through the collateral locations 

Clearing Members 

Securities 


Locations 

SIS 1 

CBF 2 

GUI 

Eurex Clearing 

Collateral Module 

Standardized 

Interfaces 

Cash 


Locations 

1 SIX SIS (formerly SIS SegaInterSettle AG) 

2 Clearstream Banking Frankfurt 

3 Schweizerische Nationalbank 

4 The following payment banks are admitted for British pound (GBP): Barclays plc, Citibank N.A. (London branch), 

Deutsche Bank AG (London branch), JP Morgan Chase N.A., HSBC Bank plc, Royal Bank of Scotland plc 

5 The following payment banks are admitted for U.S. dollar (USD): Bank of America, Citibank N.A., Deutsche Bank 

Trust Company Americas (DBTCA), HSBC Bank USA N.A., JP Morgan Chase N.A. 


5 

SNB - CHF 3 

GBP Payment Banks 4 

USD Payment Banks 5 

Central Bank 

in Target 2 - EUR 

Provision of cash collateral 

through the correspondent banks


Agenda 




• Cash 

• Securities 

• Commodities 





6


Eurex Clearing accepts a broad range of assets as 

eligible collateral 

Clearing Members can satisfy margin and Clearing Fund requirements by depositing 

cash, securities or commodities 

Cash 

Clearing House stipulates 

• Eligible currencies 

• Investment guidance 

Securities 


• Eligible securities 

• Haircuts 

• Concentration limits 


Commodities 


• Eligible Certificates 

• Haircuts 

7


Agenda 




• Cash 







8


Eurex Clearing allows cash collateral to be deposited in 

numerous currencies at different collateral locations 

• Cash call payments are processed in EUR and CHF 

– EUR/CHF: Clearing Members must fund their accounts at one of the participating 

central banks, Eurex Clearing will then debit the relevant accounts 

• For additional margin deposits cash accounts can be established at selected payment 

banks for other currencies (GBP, USD) or with the relevant central bank for non-selected 

clearing currencies (EUR/CHF) 

– EUR/CHF: Clearing Members must fund their accounts at one of the participating 

central banks, Eurex Clearing will then debit the relevant accounts 

– USD/GBP: Eurex Clearing will use its Power of Attorney to debit the required funds 

from the payment bank that the Clearing Member has registered with Eurex Clearing. 

Active transfers are also possible. Funds will also be released to this account 

– Current payments banks*: 

• USD: Bank of America, Citibank N.A., Deutsche Bank Trust Company Americas 

(DBTCA), HSBC Bank USA N.A., JP Morgan Chase Bank N.A. 

• GBP: Barclays Bank PLC, Citibank N.A. (London branch), Deutsche Bank AG 

(London branch), JP Morgan Chase Bank N.A., HSBC Bank plc, Royal Bank of 

Scotland plc 

* More Information can be found under: 

http://www.eurexclearing.com/clearing-en/transaction-management/cash-management/ 


9


A strict treasury policy determines re-investment of 

provided cash collateral 

• Eurex Clearing passes on interest earned from cash investments to its Clearing Members 

on a monthly basis 

• Eurex Clearing applies a restrictive treasury policy for cash deposits 

– The cash investment takes place on a short term basis (primarily overnight) 

– Cash investments are secured to the extent possible 

– The securities to be deposited have first class credit ratings 

– The counterparts to cash investment have high creditworthiness 

• For clearing currencies EUR and CHF, 20 basis points are deducted 

• For margin currencies USD and GBP, a deduction of 50 basis points is applied 


10


Agenda 




• Cash 







11


Stringent criteria apply to pledged collateral in order to 

ensure the integrity of the Clearing House* 

Fixed Income in EUR Fixed Income in CHF 

• ECB eligible marketable assets 

• ECB liquidity classes I-IV 

• Exchange listing and price (except Bubills) 

• Types of Securities 

– Government and Short Term Issues (Bubills) Bonds 

– State Issues 

– City and Municipality Bonds 

– State Agencies 

– Corporates and Other Bonds 

– Bank Bonds 

Fixed Income in foreign currencies Equities 

• Government Bonds in USD, GBP, DKK, NOK, SEK, AUD, 

CAD, JPY 

• Exchange listing and price 

• Swiss National Bank (SNB) Repo eligible 

• Exchange listing and price 

• Types of Securities 

– Federal Bonds and Bills (GMBF), Loan obligations 

– Kantonal obligations, Bonds, Bills (GMBF) 

– City and Municipality Bonds 

– State Agencies 

– Corporates and other Bonds 

– Bank Bonds, Mortgage Bonds (Pfandbriefzentralen), 

no ABS 

• EUR denominated 

– DAX, EuroStoxx 50 

– Top 50 HDAX (Eligible equities for GC Pooling Equity 

Basket) 

– Specific Equity Collateral (equity derivative underlying, 

not part of previous groups) ** 

• CHF denominated 

– SMI constituents 

* A detailed list of the acceptable ISINs can be found under: 

http://www.eurexclearing.com/clearing-en/risk-management/risk-parameters/ 

( Admissible Securities) 

** Specific Equity collateral is used to cover equity derivatives positions with upside risk 


12


A sophisticated haircut methodology reflects the bond 

collateral’s individual risk 

• A dynamic haircut methodology expresses the actual price movements in the markets 

• A dynamic calculation method takes into account price sensitivity of bonds as a function of a shift in the 

yield to maturity and thereby reflects the individual risk characteristics of bonds: 

– Minimum haircuts are defined for different security types 

– Depending on the age of the respective price of collateral an additional factor (a multiplier) 

increases gradually the applied yield shift 

– Haircuts are calculated on a daily basis taking into consideration the remaining time to maturity of 

each bond 

Minimum haircut and yield shift for different types of bonds (as of November 2011): 

Collateral Type MIN Haircut Yield Shift 

Bunds/Confederation Bonds & Federal State Bonds/Canton Bonds 3.1 % 0.8 % 

Local Government Bonds & Agencies 6.9 % 2.1 % 

Corporate & Other Bonds 18.3 % 5.7 % 

Foreign Government Bonds 3.1 % 0.8 % 

Current haircuts can be found under: 

http://www.eurexclearing.com/clearing-en/risk-management/risk-parameters/haircut-and-adjusted-exchange-rate/ 


13


Theoretical Prices for Bond Collateral 

• As a large number of bonds is not traded daily, sometimes market prices are outdated. However, 

theoretical bond prices are applied to derive appropriate collateral values. 

• Only bonds where theoretical prices can be calculated will be eligible as bond collateral.* These are 

bonds with the following coupon structures: 

– Non-callable fixed rate bonds with zero or non-zero coupon 

– Non-callable floating rate bonds with constant structure 

– Non-callable reverse floating rate bonds with constant structure 

• Eurex Clearing calculates, monitors and validates prices and corresponding confidence factors 

– Theoretically calculated prices are constantly monitored and validated against available market prices. Only if 

these prices have been confirmed by Clearing & Risk Operations they will be applied 

– The usage of confidence factors for each theoretical price accounts for uncertainties arising from the appliance of 

any theoretical pricing model 

• Collateral valuation distinguishes two cases 

1. Current market price is available Market price is used and respective haircut is applied 

2. Current market price is not available Theoretical price is used and haircut as well as confidence factor is 

applied 

* Downloadable files containing theoretical collateral prices and confidence factors may be requested under: 

http://www.eurexclearing.com/clearing-en/risk-management/risk-parameters/theoreticals/bond-collateral/ 


14


Theoretical Bond Pricing – Pricing Components 

• Standard Pricing Components 

– Determination of the appropriate issuer specific credit curve corresponding to peer 

groups (i.e. issuer, guarantor, tier and currency) 

– Appliance of an individual spread that accounts for issue specifics. This spread is 

derived based on the difference between observed market prices and calculated 

prices 

• Confidence Factor 

– Theoretical prices might have a model inherent uncertainties. Different confidence 

factors help to mitigate risk arising from approximation errors and are to be applied to 

any theoretical price. 

theo 

i, 

eval. 

P P Confidence 

Factor 

theo 

i 

– If a reasonable market price is available, there is no need for a theoretical price. 

However, even though a theoretical price will be calculated and used to calibrate the 

different Confidence Factors. 


i 

15


Theoretical Bond Pricing – Calculation Methods 

• Implied Credit Spread for both fixed and floating rate bonds 

– Peer group specific yield curve adjustments constructed out of fixed rate bonds with 

current market prices. 

– Only peer groups with reasonable results will be used for pricing 

• Own Spread 

For each fixed bond with current market price an implied own spread can be calculated. 

This parallel shift of the implied yield curve is used the following business day to modify 

the applied yield curve in case there is no market price 

• No spread 

• Pricing of fixed rate bonds by discounting the future coupon payments with a 

respective yield curve (dependent on currency) 

• Pricing floaters with General Hull & White model using different yield curves 

(dependent on the currency) 


16


Theoretical Bond Pricing Validation 

• In order to have reasonable collateral values, even for those ISINs for which no market 

price is available over a longer period of time, the theoretical prices derived are validated 

against external sources 

• The received quotes are also used for back-testing and for measuring the 

conservativeness of the applied confidence factors. 

• Daily price checks on market and theoretical prices 

– Data staleness 

– Outlier detection 

– Divergence of market and theoretical prices (after application of the confidence factor) 

– Divergence of evaluation price as of today and evaluation price as of yesterday 

• Model validation 

– Validation of theoretical pricing methods and underlying assumptions, e.g. confidence 

factor, via back-testing 

– Testing of conservativeness, i.e. economic impact, in order not to revoke too much 

liquidity from the markets 

– External validation of selected bond prices (“Trader Polls”) 


17


A dynamic haircut methodology for equities reflects the 

inherent risk profiles of different assets 

• The dynamic methodology is in line with the determination of the margin parameters for 

equity and equity-style trading instruments 

– Haircuts are based on the actual volatility of the respective instrument 

– A minimum haircut is currently set at 20% 

– Equity collateral haircuts are reviewed and adjusted on a regular basis 

Current Equity haircuts are published together with bond haircuts under: 


( Collateral Acceptance and Haircuts) 


18


Eurex Clearing stipulates general rules for the 

acceptance of security collateral 

• Eligible Collateral 

– Collateral needs to be secure, liquid and accessible 

– Collateral is composed of highly liquid security collateral as well as of central bank or 

commercial bank cash collateral 

• Exceptions 

– Own issues are not accepted as collateral due to procyclical effects (wrong-way risk) 

– Debt securities that have a remaining term of 15 calendar days or less are not 

accepted 

– ‘Close Links’ Securities, where a participation, i.e. by ownership, directly or by way of 

control, of 50 p or more of the voting rights or capital of a company, or by control, i.e. 

by the relationship between a parent company and a subsidiary or a similar relationship 

between the member and a company. 

• Concentration Limits (clearing house level) 

– For bonds the admissible proportion of the issued capital is 25% 

– For equities the admissible proportion of free float is 5% 

• Concentration Limits (clearing member level) 

– A maximum of 30% of the required collateral can be deposited in equities 


19


Agenda 




• Cash 







20


Eurex Clearing accepts Xetra-Gold bearer bond as 

collateral 

• Xetra-Gold is a cost efficient, safe and transparent instrument serving as a high grade 

collateral 

• The Xetra-Gold bearer bonds are pledged to Eurex Clearing 

• Currently, a haircut of 15%* is applied; the haircut is reviewed and adjusted on a regular 

basis 

*The actual haircut is published under: 


( Collateral Acceptance and Haircuts –> Others) 


21


Agenda 





• Eurex Clearing System 

• Enhanced Risk Solution 




22


Eurex Clearing requires all Clearing Members to provide 

margin and to pay a Clearing Fund contribution 

• Clearing Members are required to provide 

margin to cover their obligations resulting 

from open positions 

– The amount of margin required from 

each Clearing member is calculated on 

a real-time basis 

• Clearing Members are obligated to pay a 

contribution to the Clearing Fund 

– The amount of the Clearing Fund 

contribution depends on the risk 

exposure of the Clearing Member 

– Clearing Fund contributions are 

reviewed quarterly 


Eurex Clearing’s 

“Lines of Defence” 

Position Netting 

Collateral of Member in 

Default 

Clearing Fund Contribution of 

Member in Default 

Reserve Fund of Eurex 

Clearing 

Clearing Fund Contribution of 

Other Members 

Liable Equity of Eurex 


23


Eurex Clearing gives Clearing Members different 

possibilities to monitor their risk exposure 

• Eurex Clearing provides its Clearing Members with two in-house risk management systems 

to monitor their risk exposure: the Eurex Clearing System (ECS) and the Enhanced Risk 

Solution (ERS) 

• Via the Eurex Clearing System, Clearing Members can access comprehensive near-time 

information regarding their margin requirements and collateral composition as well as 

reporting regarding their margin and Clearing Fund contribution* 

• Via the Enhanced Risk Solution Clearing Members can monitor their risk exposure by 

receiving real-time data for all exchanges and trading venues for which Eurex Clearing 

offers its clearing services** 


*Screenshots regarding margining are explained on slides 26-31 

**An overview of the available data is shown on slide 35 

24


Agenda 










25


Clearing Members receive comprehensive information via 

the Eurex Clearing System 

• All Clearing Members can use the Eurex Clearing System free of charge 

• The data is updated in 10 minute-intervals 

• A menu bar indicates where relevant information regarding margining can be found in the 


1 

Position Overview 

4 

2 

Daily Margin Overview 

3 

Collateral Pool Status 

Margin Requirement Information 

5 


Collateral Security Information 

6 

Selection of different reports 

26


1 The Position Overview Window shows all positions 

currently held by a Clearing Member 


Member ID 

Trading 

Member ID 

Account 

Type 

• The displayed positions form the basis for margin requirement calculation 

• Positions are subdivided for the different Non-Clearing Members (NCMs) and account types 


Basis for margin 

calculation 

27


2 

The Daily Margin Overview Window displays the 

different margin components that add up to a Clearing 

Member’s total margin requirement 

Sum of margin requirement 

arising from all different 

accounts of Non-CM SIMAA 


Sum of margin requirement 

arising from all different 

accounts of CM SIMAA 

• The “UnadjMargReq” column displays the risk transferred to Eurex Clearing in case the Clearing 

Member fails (resulting from the described position per account type – see columns “ExchMbr” & “Act”) 

A negative value in this column indicates no risk arising from the particular position and consequently 

no margins are required 

• The “TotMargReq” column shows the actual margin charged by Eurex Clearing 

28


3 

The Margin Requirement Information Window gives an 

overview of a Clearing Member’s margin requirement 

• Margin requirements are shown for a CM and subdivided for its NCMs 

• The window is updated in 10 minute intervals to provide intraday information on collateralization levels 

Total 

margin 

requirements 

of the 

CM 

• The “Surp/Shortf” figure indicates the difference between a Clearing Member’s margin requirement 

and its collateral currently deposited with Eurex Clearing 

• The intraday monitoring allows for a proactive management of the collateral balance at Eurex Clearing 

to prevent intraday margin calls 


A positive value 

indicates a 

surplus of 

deposited 

collateral over 

margin 

requirements 

29


4 

The Collateral Pool Status Window shows current 

requirements and balances of a Clearing Member’s 

margin, Clearing Fund and company capital 

• Margin requirements are calculated in real-time 

• Requirements for the Clearing Fund and company capital are calculated on a 

quarterly basis 


30


5 

Via the Collateral Security Information Window 

Clearing Members can check on ISIN eligibility to be 

deposited as collateral 

• All eligible ISINs are stored 

within the collateral 

management system 

• Clearing Members can perform 

the eligibility check directly via 

the “DepositAllowed” flag 

A detailed list of all acceptable instruments can be found under: 


(→ Admissible securities) 


31


6 

A comprehensive set of standard reports supports the 

management and monitoring of collateralization levels 

• Reports can be ordered online via the Eurex Clearing System and will be delivered on a regular basis 

• The table below gives an overview of available collateral reports (printable and raw data) 

Report ID Report Title 


Format Frequency Availability 

Printable XML Daily CM NCM 

CC045 Additional Margin X X X* X X 

CC050 Daily Margin X X X* X X 

CC055 Daily Margin Offset X X X* X X 

CC060 Daily Margin Summary X X X* X 

CD020 Collateral Movement / Coverage X X X X 

CD031 Daily Collateral Valuation X X X X 

CD033 Collateral Composition X X X X 

CD037 Claim Amount Based Collaterals X X X X X 

CD042 Daily Settlement Statement X X X X 

CI140 Variation Premium X X X X 

CD090 Overall Asset Summary X X X X 

CD091 OTC Clearing Fund Contribution X X X* X 

* CC reports are created during end-of-day processing 

32


Agenda 










33


The Enhanced Risk Solution allows for an efficient use 

of collateral 

• The ERS is an important and valuable tool that Clearing Members can use either 

separately or together with their existing in-house risk management systems to monitor 

their risk exposure 

• Via the ERS Clearing Members can subscribe for broadcasts to receive real-time data 

based on actual market information 

• The ERS provides indications of intra-day margin calls so that risk managers can monitor 

margin surpluses/ shortfalls in real time 

• The ERS is a JAVA based tool, which can be ordered via the member’s key account 

manager 

• The interface uses FIXML-based messages and Advanced Message Queuing Protocol 

(AMQP) 

• To access the ERS, members require a dedicated technical connection of 1mbit/s 

− Eurex Clearing offers either a leased line and/or an internet connection * 

* Current connection fees can be found under: 

https://www.eurexclearing.com/clearing-en/resources/rules-and-regulations/136804/ 


34


An online broadcasting functionality in the Eurex 

Clearing System allows risk monitoring and 

reconciliation of intra-day margin calls 

Overview of real-time data that can be requested by Clearing Members: 

Inquiry 

End of Day 

Inquiry 

Margin 

Parameter Utilization 

Position 

Report 

Margin 

Components 


Total Margin 

Requirement 

YES YES YES YES YES 

YES YES YES YES YES 

Margin 

Shortfall or Surplus 

Broadcasts 

(Intraday only) YES (public) YES (private) YES (private) YES (private) YES (private) 

Data Provided • Margin Class 

• Timestamp 

• Absolute / 

Percentage Flag 

• Margin Parameter 

Old (optional) 

• Absolute Percentage 

Flag Old (optional) 

• Margin Parameter 

Utilization 

• Clearer 

• Member 

• Account Type 

• Product ID 

• Call / Put Flag 

• Expiry Year 

• Expiry Month 

• Exercise Price 

• Version Number 

• Timestamp 

• Short 

• Long 

• Exercised / Allocated 

• Assigned / Notified 

• Clearer 

• Member 


• Timestamp 

• Currency 

• Variation Margin 

• Options Premium 

• Premium Margin 

• Current 

Liquidating Margin 

• Spread Margin 

• Additional Margin 

• Margin Class 

• Clearer 

• Member 


• Timestamp 

• Currency 

• Unadjusted Margin 

Requirement 

• Adjusted Margin 

Requirement 

• Clearing Currency 

• Timestamp 

• Currency 

• Margin 

Requirement 

• Security Collateral 

• Cash Balance 

• Guarantees 

• Surplus / Shortfall 

• Margin Call 

35


Agenda 






• Cash Processing 

• Securities Processing 



36


Established infrastructure ensures an efficient 

processing for both cash and securities collateral 

• Cash collateral is held at an account of Eurex Clearing with a specified central bank and/or 

payment bank 

• Cash collateral is accepted in EUR, CHF, GBP and USD 

• The “Permanent Cash Balance” option offers improved cash handling in order to reduce 

the operational effort and cash balances to a minimum 

• Via Xemac*, Clearing Members have the opportunity to manage collateral in real-time and 

to deposit and release securities online 

• The Reuse service enables cash providers of the Repo Business to use the received 

collateral for fulfilling Eurex Clearing margin requirements. 

* Xemac is the collateral management system of Clearstream Banking Frankfurt 

providing Global Securities Financing services 


37


Agenda 










38


Clearing Members benefit from intuitive process for the 

deposit and release of cash collateral (1/2) 

Member ID 

CM 

Target 2 Account 

CM 

1 4 


Pool ID 

CM 

Currency 

DE0001137271 EUR 10.000.000 10.000.000 

2 3 

EUR accounts 

Balance 

CM Eurex Clearing 

2 

* 


1 

2 

3 

4 


Collateral Deposit 

CM instructs Eurex Clearing about desired 

provision of cash collateral 

Eurex Clearing debits the CM’s EUR TARGET2 

account and credits the respective amount in the 

TARGET2 account of Eurex Clearing on the next 

morning 

The credit of the cash collateral on the Eurex 

Clearing account is confirmed and the collateral 

balance of the respective Pool ID is updated in 

the Eurex Clearing system near-time 

CM receives daily reports 

39


Clearing Members benefit from intuitive process for the 

deposit and release of cash collateral (2/2) 

Member ID 

CM 


CM 

1 4 


Pool ID 

CM 

Currency 

DE0001137271 EUR 10.000.000 5.000.000 

2 3 

EUR accounts 

Eurex Clearing CM 

2 

* 

Balance 


1 

2 

3 

4 


Collateral Release 

CM instructs Eurex Clearing about desired 

release of deposited cash collateral 

Eurex Clearing credits the Clearing Member’s 

EUR TARGET2 account from the TARGET2 

account of Eurex Clearing with the respective 

amount on the next morning only if sufficient 

collateral is available 

As soon as the payment instruction has been 

sent, the collateral balance is updated in the 

Eurex Clearing system near-time 

CM receives daily reports 

40


Currency specific funding and investment timelines are 

applied 

EUR 

Currency 

Deadlines for cash collateral deposits 

requests for same day processing 

Receipt of requests 

via Eurex@X-tract 

Clearing GUI 

Receipt of 

requests via fax 

avis (on behalf 

service only) 

Deadlines for cash 

collateral release 

requests for same 

day processing via 

Eurex@X-tract 

Clearing GUI 


Deadline for cash collateral release 

requests for next day processing 

(fax only) 

Receipt of fax avis 

at Eurex Clearing 

(on behalf service 

only) 

Earliest timeline 

for payback of 

cash collateral by 


(upon request)* 

Deadlines to 

determine the 

credit balance for 

the interest 

calculation on the 

collateral pool 

Target 2 14:00 CET 17:00 CET 09:30 CET 18:00 CET 8:00 CET 15:00 CET 

EuroSIC 14:00 CET 13:45 CET 09:30 CET 18:00 CET 8:00 CET 15:00 CET 

USD 21:00 CET 20:45 CET 09:30 CET 21:00 CET 8:00 CET 21:00 CET 

CHF 13:30 CET 13:15 CET 09:30 CET 18:00 CET 9:00 CET 10:00 CET 

GBP 16:30 CET 16:15 CET 09:30 CET 18:00 CET 9:00 CET 10:00 CET 

Current funding and investment timelines can be found under: 

http://www.eurexclearing.com/clearing-en/collateral-management/cash-collateral / 

41


The Permanent Cash Balance service offers an improved 

cash handling to reduce operational effort and cash 

balances to a minimum 

• To meet the Clearing Members requirements to efficiently manage of deposited cash collateral, Eurex 

Clearing offers an enhanced service for the handling of cash collateral 

• With the "Permanent Cash Balance" functionality, Clearing Members are enabled to maintain their 

permanent cash balances via the Collateral Pool Overview window 

• The Permanent Cash Balance represents the requested permanent cash holding in each individual 

currency accepted at Eurex Clearing and might lead to an mandatory cash call or withdrawal on the 

next day. This is independent from an under- or over-collateralization 

• Late USD Margin Call amounts can be released automatically to registered accounts 

• Clearing Members are able to optimize / reduce any cash pledged to Eurex Clearing by instructing via 

this facility to refund any surplus funds not required to cover margin requirements 

• Report CD042 (Daily Settlement Statement) shows the overnight collateralization with the Permanent 

Cash Balance values, whereas report CD020 (Security Movement and Coverage) shows the deposited 

values 


42


The Permanent Cash Balance Option helps Clearing 

Members to avoid intraday margin calls 

• The cash balance will not fall below the Pre-defined Clearing Members’ predefined Permanent Cash 

Balance even when the margin requirement is lower than the predefined Permanent Cash Balance, but 

can be above the predefined Permanent Cash Balance due to a clearing members margin call. 

Amount 

CM defined 

Permanent Cash 

Balance 

T T+1 T+2 T+3 T+4 T+5 

Margin requirement 

Cash Balance on account 


EUR Permanent 

Cash Account 

Time 

43


The Permanent Cash Balance allows eligible currencies 

to be converted into clearing currency automatically 

Example 

• The Permanent Cash Balance on the USD account is set to 0 with EUR being the clearing currency 

• The Permanent Cash Balance on the EUR account is set to EUR 30 

• Due to the Permanent Cash Balance of 0 in the USD account, the USD balance will be consolidated into 

the EUR account by a margin call during an overnight batch 

Sequence of 

Events 

Clearing Member 

defined Permanent 

Cash Balance for 

EUR account 

1. Intraday Margin Call 

issued matched with 

cash in USD 

Amount 

€ 100 

€ 30 

€ 0 

MR USD EUR Sec 

Margin 

requirement (MR) 

2. Permanent Cash Balance 

driven repayment of USD 

and overnight call in EUR 

EUR counter value 

of balance on USD 

account (USD) 


Balance on 

EUR account 

(EUR) 

3. Member driven provision of 

extra collateral triggers 

repayment of EUR 

MR USD EUR Sec MR USD EUR Sec 

T T+1 T+2 

Time 

EUR counter value of 

securities in securities 

collateral account (Sec) 

44


Permanent Cash Balance for Segregated Clients 

• For segregated collateral pools (i.e. type “Omnibus Segregated” and “Fully Segregated”) it is not 

possible to use the Permanent Cash Balance (PCB) to maintain the balance on the collateral pool. 

All cash deposited in a segregated pool remains until it is requested to be withdrawn by the CM 

• Therefore, the cash in the segregated pools will not be automatically returned to the Clearing 

Members on the next day in the morning (based on the prior end-of-day processing) 

• However, Clearing Members have access to this functionality in the system for the segregated 

collateral pools, but the values entered for the PCB functionality are ignored and no booking 

(i.e. deposit or withdrawal) is initiated by the system. Therefore, all cash remains in the segregated 

pools until it is withdrawn by the Clearing Member, regardless of the values entered for the PCB 

• For the segregated collateral pools, Clearing Members are able to perform cash deposits and 

withdrawals only as a standard procedure in the Eurex @X-tract Clearing GUI, through the 

Collateral Transaction Entry window 


45


Agenda 










46


Eurex Clearing provides an efficient and fast environment 

for processing securities collateral (1/2) 

Collateral Deposit 

1 

2 

3 

CM 

1 

3 

Collateral accounts with collateral location 

Clearing Member (CM) 

CM Collateral Account 

Member ID 

CM 

The Clearing Member instructs the pledge of collateral to its collateral account using the CSD interface 

Deposits are automatically credited near-time after the eligibility check was performed successfully by 


In the event that a deposit is not accepted, Eurex Clearing instructs a deposit reversal (back to the 

member's main account) in near-time 



Pool ID 

CM 

ISIN Code 

Balance 

DE0001137271 10.000.000 10.000.000 

2 

3 

47


Eurex Clearing provides an efficient and fast environment 

for processing securities collateral (2/2) 

Collateral Release 

1 

Withdrawals are requested using the Security Collateral Transaction Entry window 

• 2 Once the collateral is released the securities are debited in near-time on the collateral account of the 


3 

CM 

1 

2 

Member ID 

CM 

Collateral accounts with collateral location 

Clearing Member (CM) 

CM Collateral Account 

If a withdrawal request leads to an under-collateralization in the member's account, the transfer of 

requested securities is postponed (if necessary until the next business day); if a request is postponed, 

a cash call is initiated and the transfer is executed as soon as sufficient collateral is available 



Pool ID 

CM 

ISIN Code 

Balance 

DE0001137271 10.000.000 10.000.000 

1 

2 

3 

48


Specific cut-off times apply for processing of securities 

collateral 

• The deadline for deposits to be instructed is 18:00 CET for CBF and SIS 

• The deadline for withdrawals to be instructed is 17:30 CET for CBF and SIS 

• If an ISIN is to be withdrawn as early as possible on the next business day, a client can 

instruct this withdrawal up to 30 minutes past the cut-off time of the current business day 

(from 18:00 CET on) 

• The instruction is carried out automatically as early as possible on the next day. If a margin 

shortfall occurs, a cash call in the clearing currency is initiated 

• Clearing Members can also use Xemac to manage collateral in real-time * 

* Additional information can be found under: 

http://www.clearstream.com/ci/dispatch/en/kir/ci_nav/3_gsf/015_collateral_mgt/020_csd_services/010_xemac 


49


GC Pooling® - Trading, Clearing, Settlement 

• Eurex Repo GmbH provides the market place for transactions in which a cash provider 

gives cash – EUR or USD – and receives collateral from a cash taker 

– GC Pooling is the cash-driven general collateral market segment of Eurex Repo 

– Three different GC Pooling Baskets are available: 

• GC Pooling® ECB Basket 

• GC Pooling® ECB EXTended Basket 

• GC Pooling® Equity Basket 

– Eurex Repo transactions are cleared and netted by Eurex Clearing as CCP 

– Collateral is valued by Xemac prices (including accrued interest) and ECB haircuts 

Repo transaction cleared via the Central Counterparty: 

Cash 

Provider 

Cash 



Cash 

Settlement 

CCP 

CCP 

Clearing & 

Settlement 

Cash 



Cash 

Cash 

Taker 


Front Leg 

Purchase Date 

Term Leg 

Repurchase Date 

50


Clearing Members benefit from the offering to 

Reuse GC Pooling® collateral 

• Clearing Members can reuse collateral of the GC Pooling® ECB Basket for multiple 

purposes 

– Collateral can be pledged towards the ECB, Deutsche Bundesbank or Banque 

Centrale du Luxembourg 

– Collateral can be pledged to Clearstream Banking Frankfurt 

– Collateral can be pledged to Eurex Clearing for Eurex margining purposes 

• The GC Pooling® ECB Basket, GC Pooling® ECB EXTended Basket and the GC Pooling® 

Equity Basket are reusable for Eurex Clearing margining * 

Reuse of GC Pooling Collateral for Eurex Margining: 

Eurex 


Margining 

Reuse 



Cash 

Provider 

Cash 



Cash 

Settlement 

CCP 

CCP 

Clearing & 

Settlement 


Cash 



Cash 

Cash 

Taker 

Front Leg 

Purchase Date 

Term Leg 

Repurchase Date 

* More Information on the Reuse service can be found under: 

http://www.eurexclearing.com/blob/clearing-en/46792/149090/2/data/reuse_gcp_service_description.pdf 

51


Clearing Members have to meet the following 

requirements to participate in the Reuse Service * 

• The Reuse Service addresses Clearing Members with a Eurex Repo Clearing License who 

act as cash providers in the GC Pooling® market 

• Repo Clearing Members must be a Xemac® user for Eurex Clearing margining and 

confirm the new Xemac® Contract Conclusion “GC Pooling® for Eurex Margining” based 

on a new Contract Definition Type 

• Upon request, Eurex Clearing allows German Settlement Institutions that operate the 

settlement of GC Pooling® transactions to manage the Xemac® collateral pool for the 

Reuse Service under the new Xemac® Contract Conclusion 


*Required application forms are available under: 

http://www.eurexclearing.com/clearing-en/resources/forms/ 

( Clearing Repo & Bonds) 

52


Agenda 








53


Eurex Clearing ensures highest asset protection by 

providing segregation and near-time portability 

Regulatory Requirements 

• There has been a growing demand from clients for solutions to effectively address the requirements 

for Client Asset Protection 

• Central Counterparties and their Clearing Members face high regulatory requirements. The EMIR* 

proposal outlines segregation principles to be met: 

– Distinguish and segregate assets and positions of Non-Clearing Members and clients from those 

of the Clearing Member 

– Based on a predefined trigger event, the Central Counterparty should, at the request of a client, 

be able to move positions and assets to another Clearing Member 

– This needs to be possible within a predefined period of time and even without the consent of the 

defaulting Clearing Member 

Our Solution 

• Ensure highest protection: 

– Provision of segregation for client positions as well as for client cash and securities collateral 

– Mitigation of systemic risks that may arise in conjunction with a Clearing Member’s insolvency 

– Near-time portability through an automated close-out netting of positions and related collateral in 

the occurrence of a default event 

• Possibility of choice - the level of protection can be chosen depending on the individual risk-cost 

profile 

* European Markets Infrastructure Regulation 


54


Therefore, Eurex Clearing allows to individually negotiate 

the desired level of protection 

Elementary Model (see slide 55) 

• The elementary setup can be kept and Clearing Members use proprietary collateral to cover client and 

proprietary business 

• Portability of positions is possible but depends on the cooperation of the Clearing Member 

• Protection of client collateral is provided by the Clearing 

Individual Clearing Model (see slides 56 and 57) 

• The margin requirement of a Non-Clearing Member is covered by a dedicated collateral pool, which holds 

the collateral of this Non-Clearing Member only 

• Maximum portability is achieved through individual position and collateral accounts, completely independent 

from a defaulting Clearing Member 

Future Option to come: Omnibus Segregation 

• Positions and collateral will be separated from the Clearing Member’s proprietary positions and will be held 

in a segregated omnibus client account 

• The portability of collateral will be limited to an entire omnibus account transfer 

• The omnibus collateral can be returned as client collateral either to the defaulting Clearing Member or to a 

qualified third party, e.g. trustee 


55


Elementary Model 

Within the Elementary Model, Eurex Clearing segregates positions but does not 

segregate on collateral level since passing through of client securities is not 

allowed 

Eurex System 

Position 

Risk Mngt. 


Mngt. 


P1 P2 M1 M2 A1 


MR for Clearing 

Member prop 

positions 

MR = Margin Requirement 

MR for CM 

segregated agent 

positions 


NCM 1 

Margin 

requirement 

for NCM1 

positions 

Aggregated Margin Requirement for Clearing Member position 

Collateral pool to cover MR for overall Clearing Member positions 

NCM 2 

P1 P2 M1 M2 A1 P1 P2 M1 M2 A1 

Margin 

requirement 

for NCM2 

positions 

• One collateral account per Clearing Member is mirrored from Eurex Clearing through to 

the Central Security Deposit level 

56


Live Client Asset Protection Service (1/2) 

The Individual Clearing Model (ICM) is based on three cornerstones: 

Title transfer, close-out netting and pledges 

• The legal structure of the ICM is based on the existing principal to principal model and initially offered for 

Germany and England with further jurisdictions to follow 

• Insolvency protection will be achieved if Eurex Clearing, a CM and a NCM enter into the predefined 

Clearing (Tripartite) Agreement, governing the transactions and margin collateral intended to benefit 

from the Individual Clearing Model. CM and NCM may agree on additional terms and conditions to the 

Standard Clearing (Tripartite) Agreement as long as these terms and conditions comply with the 

Clearing Conditions and the Standard Clearing (Tripartite) Agreement 

Segregation via Title Transfer 

• Asset segregation is achieved by a title transfer mechanism where the NCM passes through 

collateral via its clearing member to Eurex Clearing 

Margin 


Transfer of 

legal title 


Member 

Margin 


Transfer of 

legal title 



NCM/RC All payments and deliveries by the 

Margin 


NCM/RC to the CM and the CM to Eurex 

Clearing are always made on the basis 

of a full title transfer 


* „Registered Customer“ for OTC-Clearing 

57

Client Asset Protection 

Live Client Asset Protection Service (2/2) 

Insolvency protection and portability is achieved through close-out netting and 

pledges 

• In case of a clearing members’ insolvency or expiry of the grace period of other pre-defined 

trigger event, a cash settlement taking the evaluation of all Covered Transactions and actual 

delivered collateral will take place (close-out netting) 

The close-out netting is processed between Eurex Clearing and the CM and equally between 

CM and NCM* 

• Due to the established pledges, Eurex 

Clearing is obliged to pay a positive final 

result of the close-out netting to the NCM 

without involvement of the defaulting 

clearing member 


Member 

2 Receivable pledges 2 



• If agreed in the Tri-partite Agreements, NCMs can request the immediate re-opening of the 

positions and collateral 

• To reduce the time pressure to find a Clearing Member and to ensure orderly markets, an 

individually segregated NCM has the possibility to become an Interim Participant for a limited 

period before the positions and collateral are finally transferred to a new clearing member 

* Pre-condition: Difference claims from close-out netting between CCP-CM and CM-NCM have to be equal (i.e. equal positions and equal 

margin collateral) 

NCM 

1 

Difference 

claim* 

following 

close-out 

netting 

1 

Difference 

claim* 

following 

close-out 

netting 

www.eurexclearing.com 58


© Eurex 2011 

Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex 

Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking 

S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are 

registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the 

following referred to as the “Eurex Exchanges”. 

All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are 

owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has 

been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex 

Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained 

herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, 

correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of any information contained herein under any 

circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. 

This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire 

or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, 

examples and calculations contained in this publication are for illustrative purposes only. 

Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products 

available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the 

clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, 

before doing so. 

Eurex derivatives (other than EURO STOXX 50® Index Futures contracts, EURO STOXX® Select Dividend 30 Index Futures contracts, STOXX Europe 50® Index Futures contracts, 

STOXX® Europe 600 Index Futures contracts, STOXX® Europe Large/Mid/Small 200 Index Futures contracts, EURO STOXX® Banks Futures contracts, STOXX® Europe 600 

Banks/Industrial Goods & Services/Insurance/Media/Personal & Household Goods/Travel & Leisure/Utilities Futures contracts, Dow Jones Global Titans 50 IndexSM Futures contracts, 

DAX® Futures contracts, MDAX® Futures contracts, TecDAX® Futures contracts, SMIM® Futures contracts, SLI Swiss Leader Index® Futures contracts, Eurex 

inflation/commodity/weather/property and interest rate derivatives) are currently not available for offer, sale or trading in the United States or by United States persons. 

Trademarks and Service Marks 

Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, EXTF®, FDAX®, FWB®, GC Pooling®, GCPI®, MDAX®, 

ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW®, Xetra® and XTF Exchange Traded Funds® are registered trademarks of DBAG. 

Phelix Base® and Phelix Peak® are registered trademarks of European Energy Exchange AG (EEX). 

The service marks MSCI Russia and MSCI Japan are the exclusive property of MSCI Barra. 

iTraxx® is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurex or 

iTraxx® Europe 5-year Index Futures, iTraxx® Europe HiVol 5-year Index Futures and iTraxx® Europe Crossover 5-year Index Futures. 

Eurex is solely responsible for the creation of the Eurex iTraxx® Credit Futures contracts, their trading and market surveillance. ISDA® neither sponsors nor endorses the product’s use. 

ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc. 

IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives. 

SLI®, SMI®, SMIM®, and VSMI® are registered trademarks of SIX Swiss Exchange AG. 

The STOXX® indices, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited, Zurich, Switzerland and/or its licensors 

which is used by Eurex Frankfurt AG under license. Eurex derivatives based on the STOXX® indices are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors 

and neither STOXX nor its licensors shall have any liability with respect thereto. 

Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSM 

and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. 

All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by STOXX Ltd., Dow Jones & Company, Inc. or UBS AG, and neither party makes any 

representation regarding the advisability of trading or of investing in such products. 

All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited, which 

for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced. 

PCS® and Property Claim Services® are registered trademarks of ISO Services, Inc. 

The names of other companies and third party products may be trademarks or service marks of their respective owners. 


59

Eurex Clearing AG Collateral Management Services

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