eurex clearing services clearstream dubai conference 22 october 2015
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EurexOTC Clear – Generating Segregation, Margin, Capital & Collateral Efficiencies
Dubai, 22nd October 2015
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
• Eurex Clearing – Overview
• Segregation
• Collateral
• Capital & Margin
Agenda
2
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Continued product and service development and integration across Eurex, Eurex Clearing and Clearstream will provide our members with sustainable capital and operational efficiencies
• €6.7m contracts €285bn notional cleared every day
• 333 clearing licenses in 17 European countries
• 545 NCM‘s
• €205bn notional outstanding in ETD
• €200bn OTC IRS
• 115 GCP members €203.7bn daily volume, €153.8bn Outstanding
• X-product clearing under a single legal netting set lowers capital and lowers funding costs
• Integration of Derivatives and Securities Financing
• Collateral demand and supply equilibrium
• Large spectrum of eligible collateral and access to central-bank
Lower risk Lower costs and capital Greater efficiency
The single legal netting structure across asset class results in lower risks, lower costs and greater efficiency
3
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Key operational differentiators exist between CCP’s
• Early return of cash removes double funding
• Early return of cash reduces counterparty risk
• Central bank access provides liquidity in a crisis, reduces systemic risk
Eurex Clearing Operational Differentiators
• Direct delivery of cash and securities removes CM operational cost
• Over 25,000 eligible securities lowers funding costs of IM and DF
• Single netted margin call across all asset classes
• Direct delivery of cash and securities means no transit risk
• No mutualisation of client excess allows pre-funding at no risk
• Protection of clients own assets. No liquidation and replacement risk
Ope
ratio
nal e
ffici
enci
es
Collateral Management
Portability and Legal Certainty
Central Bank Access
• Portability of clients actual / own assets in CM default
• Ability to become Interim Participant allows 5 + days for porting
• Legal certainty: porting, close-out netting, asset protection at fund level
Protection and Segregation
4
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Key cost differentiators exist between CCP’s
• 5 day MPOR applied to OTC IRS for both house and client accounts
• 0% capital risk weight for house collateral
• 2% capital risk weight for individual segregation
• Lower DF and IM means lower funding costs
• Over 30,000 eligible securities lowers funding costs of IM and DF
• GC Pooling allows re-use of securities
• Real-time margin and intraday return of cash removes double funding
Eurex Clearing Cost Differentiators
• Cross asset class CCP , single legal netting lowers EaD and capital
• Cross product margins in Liquidation Groups
• Payment netting across asset class with a single margin call
• DF segmentation decreases total size of CF by 40%
• DF allocated as 7% of IM.
• Cross margins lowers IM by 20 – 40% and hence DF contribution
Cap
ital a
nd fu
ndin
g ef
ficie
ncie
s
Capital Costs
Netting
Default Fund
Funding Costs
5
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Lines of defence waterfall ensures loss coverage in normal and extreme market conditions
Remaining equity of EurexClearing
Position Netting
Eurex Clearing Lines of Defence
Dedicated amount of EurexClearing
Assessments to the Clearing Fund
Clearing Fund contributionof other members
Coverage in normal market conditions
Lines of Defense before Eurex Clearings Capital sum up to more than EUR 11 bn
Close-out of all positions
EUR 265 m
Clearing Fund contribution of member in defaultMinimum EUR 1 m (DCM) or EUR 5 m (GCM)
Clearing Fund contribution of other membersapprox. EUR 3.31 bn
EUR 50 m EUR
Max 2 assessment limit liability of CM to 3x prefunded Clearing Fund contribution
Collateral of member in default
as of 31/03/2015
Position Netting
Margin of Clearing Member in default
Clearing Fund contribution of Clearing Member in
default
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Default Fund Efficiency: An Integrated Default Fund reduces the risk and the size of the default fund by 30%
Ring-Fenced Default Funds Integrated Default Fund Eurex Clearing
Structure
Default Fund Size*
in % of Initial Margin
2.9 bn EUR
7% of Initial Margin
4.1 bn EUR
10% of Initial Margin
- 30%
• Integrated default fund structure benefits from portfolio effects between different products and asset classes
Equi
ty
Der
iv.
List
ed
IR D
eriv
.
OTC
IRS
Rep
os
Equi
ty
Der
iv.
List
ed
IR D
eriv
.
OTC
IRS
Rep
os
Reduced Funding AND Capital Costs
* Figures illustrative for Eurex Clearing
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
• Eurex Clearing – Overview
• Segregation
• Collateral
• Margin & Capital
Agenda
8
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
FM FM
Standard Omnibus Segregated Account (N-OSA) Multiple Gross Omnibus Account (G-OSA)
Segregated multiple omnibus collateral pool for FM only
One collateral pool for all OSA by asset clients
CCP MR per
RC/NCM
Agency position accounts
…
CCP MR per
FN
Fund N
CCP MR per
F1
CCP MR per
F2
F1 F2
…
CCP MR per
F1
CCP MR per
F2
CCP MR per
FN…
… Fund NF2F1
RC/NCMposition
accounts
CCP MR per A
account
FM
…
F1SegPool
F2SegPool
FNSegPool
Individual Segregated Accounts (ISA)
CCP MR per
F1
CCP MR per
F2
CCP MR per
FN…
F1 F2 Fund N
Mar
gin
calc
ulat
ion
Posi
tion
acco
unts
Eure
x C
lear
ing
Col
late
ral p
ools
Fund position individually segregated
Each fund has its own collateral pool
Asset Tagging available per client.
No fellow customer risk
The fund’s positions are individually segregated
Margin is called gross per fund
Co-mingled collateral pool across all position a/c’s
Client exposed to fellow customer risk
Positions remain individually segregated
Margin is called gross per fund
Collateral sits in its own omnibus pool.
Fellow customer risk between own funds
Client Asset Segregation - options for the Fund ManagerReduced operational and documentation effort for fund managers allows the asset management company to sign on behalf of underlying funds
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
10
Master Fund Structure for Eurex OTC IRS
Fund Manager
MF1SegPool
CCP MR per
MF1
MF1
Mar
gin
calc
ulat
ion
Posi
tion
acco
unts
Eure
x C
lear
ing
Col
late
ral p
ools
MF2SegPool
CCP MR per
MF2
MF2
MF3SegPool
CCP MR per
MF3
MF3
MF4SegPool
CCP MR per
MF4
MF4
Master Fund 1 – Position Account
Segment 1 – MW BIC 123
Segment 2 – MW BIC 124
Segment 3 – MW BIC 125
Segment 4 – MW BIC 126
Segment 6 – MW BIC 127
• The master fund is the legal identity
• Individual segregation is not required on fund segment level but on the master fund level.
• Each master fund sits in it’s own position account with its own collateral pool i.e. each master fund has its own ISA
• Each segment has an individual MarkitWire ID (MW BIC) which is used by the respective segment asset manager for entering OTC IRS trades at MarkitWire. It is the MW BIC that is used to identify each segment within the master fund
• Initial margin is calculated net per position account i.e. on the master fund level. Therefore each master fund benefits from risk offsetting between different segments within one master fund. The master fund can however calculate hypothetical margin per MarkitWire BIC by using the CC208 report)
Master funds contain a number of segments which might be (externally) managed by different asset managers requiring separate management / performance reporting
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
11
Asset tagging reduces overhead & operational effort
Multiple CBF accounts Eurex collateral pools Single CBF account Eurex collateral pools
Ref. ID 2
Full Physical Segregation Asset Tagging
Account: 61111
Account: 62222
Account: 63333
Pool ID: 1111
Pool ID: 2222
Pool ID: 3333
Pool ID: 1111
Pool ID: 2222
Pool ID: 3333
Account: 61111
• Security collateral for ISA clients is delivered to Eurex Clearing on a double-title (direct-transfer) basis
• At the CSD*, individual (sub)accounts can be opened per collateral pool providing physical segregation
• Pools can be linked to the same (sub)account and security collateral allocated to the client pool by asset tagging
• Tagged security collateral is held in one CSD account but the legal model and protection remains exactly the same• CM tags assets using the predefined 4 digit ‘Client Reference ID’** to the SWIFT message
• Upon settlement, the CSD confirms settlement via SWIFT message incl. the Client Reference ID
• Asset tagging is also available for multiple omnibus collateral pools under the Standard OSA and/or CASS OSA.
* So far, only Clearstream Banking Frankfurt (incl. 6 series creation accounts) is an approved collateral location for ICM
** If a Client Ref ID is missing, the transfer will not be processed; CM will be informed. If the Client Ref ID is valid, the transfer will be processed accordingly, even if it is erroneous
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Disclosed Client (NCM / RC)
No
Undisclosed clientUndisclosed client
Only to known clients
ValueValueAssetAsset
Yes
Individual Segregation Account (ISA)
Multiple Omnibus Segregation
Account (OSA)
Standard Omnibus
Segregation Account (OSA)
Type of client position account?
ustomer riskFellow customer risk acceptable?
ollateralType of collateral protection?
Type of segregation
12
Client Asset Protection Decision TreeEMIR segregation and porting requirements provide different levels of protection.
Our Clearing models Individual Clearing Model
Elementary Clearing models
*Net Omnibus Clearing model
*Offers CASS Protection
Non-Disclosed / Agency Client
• The RC legal entity needs a tripartite agreement with a CM/ECAG
• Have access to the Common Report Engine for transparencyRegistered Customer (RC)
• No direct relationship with Eurex Clearing AG
• Eurex Clearing only knows the Clearing Member
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
• Eurex Clearing – Overview
• Segregation
• Collateral
• Capital & Margin Efficiencies
Agenda
13
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
14
Reuse of GC Pooling Collateral for MarginingIncrease the efficiency of your collateral
What is reuse?
How to reuse GC Pooling®collateral?
What are the member benefits?
• In light of the increasing demand for collateral, efficient usage of collateral is becoming increasingly important.
• Therefore, Eurex Clearing accepts reuse of collateral which has been received from GC Pooling cash provider activities across all GC Pooling Baskets1) covering the margin requirement from Clearstream Banking Frankfurt (CBF) and Clearstream Banking Luxemburg clients (CBL).
• German clients acting as cash providers utilize the CBF collateral management system Xemac for the reuse facility.
• For international clients using the collateral management service CmaX, CBL acts as an agent on behalf of the Clearing Member to allocate reuse collateral via Clearstream Banking Frankfurt to Eurex Clearing.
• The Reuse of GC Pooling collateral brings benefits by:– reducing margin collateral funding cost.– increasing the trading flexibility of own securities.– reducing the operational effort to manage collateral substitutions.– mobilizing less flexible security pools.– lowering securities handling fee (initially set to zero to encourage the reuse).
1) Eligible GC Pooling Baskets are: GC Pooling ® ECB Basket, GC Pooling ® ECB EXTended Basket, GC Pooling ® Equity Basket, GC Pooling ® INT MXQ Basket
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Eurex Clearing accepts the broadest range of eligible collateral across interest rate and equity instruments
• Eurex Clearing accepts approx. 30,000 ISINs based on liquidity categories of European Central Bank Eligible Asset Database as well as Swiss National Bank
• Additionally reuse of security collateral which has been received by GC Pooling® cash provider across all GC Pooling® Baskets
15
Eligible Initial
Margin Collateral
Range
Clearstream Triparty collateral services (CmaX)
• Efficient collateral management services for – Eurex Clearing initial margin collateral and– Eurex Clearing repo and securities lending transaction collateral
• Active and automatic collateral management facilities
Core Services• Automatic allocation of securities based on pre-defined eligibility criteria set between the CM and Eurex
Clearing• Automatic substitution of securities subject to corporate action events and respective reporting• Daily mark-to-market and detailed daily valuation reports by transaction and by net exposure
Tri-Party Collateral Manage-
ment Services
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
1616© Oliver Wyman
Overview of ISA Direct modelDirect contractual relationship between RC/NCM Direct and CCP with Clearing Agent providing certain service functions on behalf of RC/NCM Direct
16
RC/NCM Direct
Clearing Agent
CCPDirect contractual relationship
Provision of operational services by Clearing Agent to RC/NCM Direct
• Default Fund contribution
• Bidding obligation
TransactionManagement
Cash Management
Collateral Management
New client model with a new principal client relationship
between buy-side clients and the CCP
Existing Clearing Member acts as Clearing Agent
RC/NCMs Direct have to meet admission criteria equivalent to regular Clearing Members with
extended servicing functions by the Clearing Agent
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Rationale for ISA Direct modelMinimizes adverse impacts on client clearing and improves likelihood of finding a new Clearing Agent in case the existing Clearing Agent defaults
17
Challenges ISA Direct model
• In comparison to clients set up in omnibus accounts, porting of ISA clients has improved significantly
• However, operational challenges and significant obstacles due to capital constraints remain when porting ISA clients in a very short time frame
• In order to unlock the full benefits of central clearing, sell and buy-side participants need to look for superior capital, margin and collateral efficiencies, provided only by the most advanced CCP models
• Eurex Clearing has analyzed new direct clearing models across derivatives, repo and securities lending to eliminate bilateral and extra CCP leg exposures, thereby optimizing capital costs, resulting in higher capital efficiencies while maintaining the existing client clearing market structure
• This is achieved by making the buy-side organization a direct legal counterparty of the CCP
The ISA Direct model provides the best solution to achieve the targets of central clearing, including significantly improving market safety and integrity
• Client clearing for derivatives, repo and securities financing transactions is heavily impacted due to increasing regulatory pressure
– Basel III raises capital requirements significantly based on risk weighted assets (RWAs) and a new leverage ratio requirement against un-weighted on- and off-balance sheet exposure
– BCBS-IOSCO, EMIR and other regulations increase margin, haircut and collateral requirements whilst limiting re-use of collateral, particularly for bilateral transactions, with new Basel III liquidity rules putting additional strain on global collateral balances
• Compared to regular ISA clients, RC/NCMs Direct show greater independence with respect to their Clearing Member (Clearing Agent), therefore increasing the possibility of finding a new Clearing Agent
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Derivatives: Capital costs for providing (client) clearing services are significantly higher than direct clearing models
Capital cost of clearing agent (bps of IM)
Clearing agent CCPClient
Exposure
IMDF
IM
Exposure
~80%+
Capital costs for providing default fund (only applies if clearing agent provides default fund, otherwise this is a direct
costs for the client)
18
Client clearing
Direct clearing
Leverageratio
RWA
Leverageratio
RWA
Banks can take on a range of roles, enabling them to retain and service client relationships
CCPClientExposure
IM
DF
Trading activityClearing
agent
Derivatives clearing models and corresponding annual capital costs for a clearing agentExample based on ~5 year duration, directional EUR IRS swap portfolio
~85%-95%+
~25-701
~14
~3
~3
1. Depends on final leverage ratio rule (use of SA-CCR with collateral offset leads to reduced costs of ~25 bps vs. ~70 bps based on current proposal with CEMNote: Requirements are foreseen to only allow direct access for clients of high credit quality (requiring credit assessments required for each new clearing license, discussed within the Eurex Clearing Credit Committee, signed-off by the Eurex Clearing Executive board)
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Solution Concept: CCP-enabled Direct Buy Side Repo Clearing
Trusted Bank (TB)
Eurex Clearing
CM
BSSpecific
Repo License Holder (SRLH)
Eurex RepoGC Pooling
CollateralSecurities
Non-CashVariation Margin
3Eurex Clearing as single CCPfor IRS and GC Pooling repomarkets allows for reducedcapital requirements andbalance sheet netting forback-to-back repo andreverse repo transactions.
BSRegistered Customer
(RC)
TB IRSClearing Member
(CM)
EurexOTCClear IRS
Net Position
Initial Margin
EurexOTC Clear – Interest Rate Swap – Clearing Service
Eurex Repo GC Pooling – GC Pooling Select Finance – Clearing Service
Trusted Bank (TB) actingpotentially in dual capacityas IRS and GC Pooling.Clearing members areallowed to offer CCP-clearedrepo and reverse repotrading with BS in GCPooling repo market.
Buy Side Institution (BS):Registered Customer (RC) entersinto complementary SpecificRepo License Holder (SRLH)agreement. Account setup forcash and collateral based onintegrated Clearstream offering.
19
GCPSF Dealer Bank
(BDB)Eurex Repo
GCM
Cash
CollateralSecurities
Cash
SM
ICFC
Subject to chosen trading model,counterparty to a GCPSF GCPooling repo / reverse repo tradewould always be a GCPSFdealer bank (BDB), i.e., tradingwill only be allowed with a EurexRepo GCM / DCM.
1 42
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
• Eurex Clearing – Overview
• Segregation
• Collateral
• Capital & Margin
Agenda
20
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Money Market futures:
German government futures:
Bund
Bobl
Schatz
8.5-10.5
1M Eonia3M Euribor
24-35
correlation across
maturities
Buxl
EUR IRS interest rate risk:
~ 10y rate
~ 5y rate
~ 2y rate
FRAs
Bond / swap correlation
French government futures:
Long term
Mid term
short rate correlation
~ 30y rate
Cross-margining enhances Eurex Clearing’s portfolio margining by taking government futures, Euro-Swap futures and interest rate swap (IRS) links into account.
Euro yield curve coverage across listed and OTC productsHedging relations for cross-margining based upon correlation
24-35
1.75-2.25
4.5-5.5
Bond / swap correlation
correlation across
maturities
21
Euro-Swap futures:
FSWL
FSWM
FSWS
10y
correlation across
maturities
FSWX 30y
2y
5y
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
22
Overall initial margins for cross-margined portfolios might be lower which reflects risk reduction.
Prisma Cross-Margining Went Live in May 2014 –Portfolio Simulations Available Optimal allocation of positions delivers lowest cost through cross-margining of OTC and ETD
Without cross-margining With cross-margining
IRS and fixed income futures / futures-style options are margined separately:
IRS with a 5 day liquidation horizonFutures and futures-style options 2 day liquidation horizon
OTC IRSFI listed products
IR SwapsFI futures / futures-
style options
2 day horizon 5 day horizon
Margin requirements:
Futures / future-style options
OTC IRS
Tota
l
If IRS and futures positions are hedged: Futures are transferred to the IRS split such that the reduced
risk is reflected in lower margins*
IRS+FI
IR Swaps
FI futures / opt.
Allocation of FI listed products
that hedge IRS exposure
FI-only
FI futures / futures-style
options
2 day horizon 5 day horizon
Margin reduction by cross-margining:
Cross-marginedportfolio
* Depending on portfolio diversity
Total
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
2323© Oliver Wyman
Benefits for the sell side of clearing EURIBOR, Fixed Income Futures & EUR IRS through Eurex Clearing
23
Comments• Cross-product
netting benefits result in reduction of funding requirements
• RWA for DF reduced mainly due to lower DF contribution on Eurex Clearing & low c-factor
• Significant capital cost reduction driven by lower DF contribution/ c-factor & cross-margining benefits for the portfolio
Eurex FI F&O + Euribor Futures Optimised IRS Portfolio
EUR MM OTC IRS Eurex FI F&O Euribor On separate
CCPsCombined on
Eurex Clearing % Reduction
Initial margin posted 54.0 26.9 10.4 91.3 27.9 69%
Default fund 5.4 1.9 1.0 8.3 2.0 77%
Funding requirements 59.4 28.8 11.4 99.6 29.8 70%
EAD 25.2 12.5 4.9 42.6 13.0 69%
Trade exp. (RWA) 0.5 0.3 0.1 0.9 0.3 69%
Default fund (RWA) 13.5 0.1 2.6 16.2 0.1 99%
CVA VaR (RWA) - - - - - -
Total RWA 14.0 0.3 2.7 17.1 0.4 98%
Capital requirements 1.8 0.0 0.3 2.1 0.0 98%
Capital costs 0.2 0.0 0.0 0.2 0.0 98%
Funding costs 0.7 0.3 0.1 1.2 0.3 72%
CVA - - - - - -
Total costs 0.9 0.3 0.2 1.4 0.3 76%
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
Cross-Product Margining: Example – Futures Asset Swap
24
Inte
rest
R
ate
Sw
aps
Inte
rest
R
ate
Futu
reMaturity: 10YFixed Payer
Notional: 50MM
BUND Future364 contracts
Notional: 50MM
Initial MarginIn ‘000 EUR
Default FundIn ‘000 EUR
Total Costs1
In EURIn bps
of notional
1.100
850
110
60
17,000
11,000
2.8 bps28,000
Inte
rest
R
ate
Sw
aps
Inte
rest
R
ate
Futu
re
Maturity: 10YFixed Payer
Notional: 50MM
BUND Future364 contracts
Notional: 50MM
700 48 0.9 bps9,000
Bas
elin
eC
CP
Eur
ex C
lear
ing
PR
ISM
A
- 69%
Eur
ex
Cle
arin
g
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
25
TED Spread - Schatz Futures vs Euribor Strip – Example of the Benefits of Cross- Margining through one CCP
TED
Spr
ead
TED
Spr
ead
Euribor + Schatz
Euribor + Schatz
RBM
IM Euribor
48,750 + 25,200
48,750
TED
Spr
ead
Euribor
Schatz
Two
CC
Ps
Eur
ex C
lear
ing
PR
ISM
AE
urex
C
lear
ing
IM SchatzTE
D S
prea
d
-
10,000
20,000
30,000
40,000
50,000
60,000
70,000
80,000
1 2 3
PRISMAsaving
49%
RBM saving34%
RBM Margin
PRISMA Margin
EuriborMargin
SchatzMargin
37,614
73,650
Two CCPs Eurex RBM Prisma
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
IRS CCP SwitchA EUR 250 million 10 year fixed payer IRS position is switched from another CCP to EurexOTC Clear – what are the benefits?
Current position
Notional€ 250MM
IRS10 Year Fixed Payer
IM DFCCP
Current position
Notional € 250MM
IRS 10 Year Fixed Payer
IM DFECAG
Current position
IM DF
If there is already an existing position in Eurex Exchange’s Fixed Income Futures with Eurex Clearing:
€250 million 10 year fixed payerIM
€ 7.5m
€ 5.3m€ 4.2m* € 309,456*
€ 7.5m* € 529,563*
€ 787, 500*€ 7.875m*
2,500 long Eurex Exchange’s Bund Futures
* Calculated September 2014.
www.eurexclearing.com
EurexOTC Clear - Segregation, Margin, Capital & Collateral Efficiencies Dubai, 22 October 2015
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© Eurex 2015Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and EurexRepo 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 BankingS.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 andare 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 inthe 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) areowned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care hasbeen 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, EurexBonds, 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 containedherein, 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 anycircumstances, 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 acquireor 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 productsavailable 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 theclearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with suchproducts, before doing so.Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50® Index Futures, EURO STOXX 50®
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