Contents(hide)
| 0. Overview | |
| 0.0 Date Finalised and Effective Date | Date Finalised: July 12, 2025Date of Most Recent Update: January 23, 2026 |
| 0.1 Products Cleared | Clearing of OTC Interest Rate Derivative Contracts (Chapter VIII Part 2 of the Clearing Conditions for Eurex Clearing AG) (the “Service”)Products:Based on the Rules, under the Service, the CCP provides the clearing of the following products (the “Products”):Interest rate swaps (including “basis” swaps, zero coupon swaps, zero coupon inflation swaps and standard coupon inflation swaps)Overnight index swapsForward rate agreementsZero coupon inflation swapsin each case to the extent that these are of a product type recognised by the CCP as published on its website.In respect of the Products to be cleared by the CCP, any bilateral master agreement may be specified and, in respect of the applicable contractual definitions, the following frameworks are allowed:the contractual definitions issued by ISDA (the 2000 ISDA Definitions and the 2006 ISDA Definitions, the 2021 ISDA Definitions, the 2006 ISDA Inflation Derivatives Definitions and the 2008 ISDA Inflation Derivatives Definitions);the German Master Agreement for Financial Derivatives Transactions (Rahmenvertrag für Finanztermingeschäfte, the “DRV”);the AFB/FBF (Federation Bancaire Francais) Master Agreement; ora blank field.All responses apply to all Products, unless otherwise specified. |
| 0.2 Other products and clearing services of the CCP | Other clearing services offered by the CCP and products cleared under such clearing services:Clearing of derivatives transactions concluded at Eurex Deutschland (including derivatives transactions concluded off-book) (Chapter II of the Clearing Conditions for Eurex Clearing AG)Money Market Futures ContractsFixed Income Futures ContractsIndex Futures ContractsFutures Contracts of Exchange Traded Fund SharesVolatility Index Futures ContractsSingle Stock Futures ContractsIndex Dividend Futures ContractsCommodity Index Futures ContractsFX Rolling Spot FuturesSingle Stock Dividend FuturesEurex Daily Futures Contracts on KOSPI 200 Derivatives of the Korea Exchange (KRX)Futures Contracts on Xetra-GoldFutures Contracts on Exchange Traded Commodities SecuritiesFX Futures ContractsVariance Futures ContractsIndex Total Return Futures ContractsBond Index Futures ContractsEurex Market-on-Close Futures ContractsEquity Total Return Futures ContractsStock Tracking FuturesOptions Contracts on Money Market Futures ContractsOptions Contracts on Fixed Income Futures ContractsIndex Options ContractsOptions Contracts on Shares of Exchange-Traded Funds (EXTF Options)Options Contracts and Low Exercise Price Options on SharesIndex Dividend Options ContractsOptions Contracts on Xetra-GoldCommodity Index Options ContractsOptions Contracts and Low Exercise Price Options on Exchange-Traded Commodities SecuritiesOptions Contracts on FX Futures ContractsOptions Contracts on Volatility Index Futures ContractsFutures Contracts on BTCetc – ETC Group Physical BitcoinEurex Daily USD/KRW Futures Contracts on US Dollar Futures of the Korea Exchange (KRX)Crypto Index Futures ContractsClearing of transactions at Eurex Repo GmbH (Chapter IV)Eurex Repo TransactionsGC Pooling Repo TransactionsClearing of transactions at Frankfurter Wertpapierbörse (“FWB”) (Chapter V)Transactions in securities and rights concluded at the Frankfurter WertpapierbörseOTC Transactions in securities and rights, provided that such OTC Transactions are transmitted for Clearing to Eurex Clearing AG via the electronic trade system of the FWB or via a financial service provider or credit institution active at the FWBClearing of OTC derivative transactions (Chapter VIII)OTC NDF TransactionsClearing of OTC Interest Rate Derivative Transactions for entities that are futures commission merchants as defined in the CFTC Regulations (a “FCM Clearing Member” or “FCM CM”) under a separate rulebook (the “FCM Clearing Conditions“) that consists of a U.S. law governed part (the “FCM Regulations”) and a German law governed part (the “FCM Default Rules”)This document does not consider the implications of any clearing service other than the Service |
| 0.3 Regulators & Key Statutes/Regulations | RegulatorsGerman Federal Agency for Financial Services Supervision (Bundesanstalt für Finanzdienstleistungsaufsicht, BaFin) Key statutes and regulationsThe CCP is regulated under EMIR and by the BaFin as the competent authority under EMIR.The CCP is a credit institution under the German Banking Act (Kreditwesengesetz).*The CCP has been authorised as a central counterparty under EMIR.The CCP has been notified as a “system” under the Settlement Finality Directive.The CCP is established as a German stock corporation (Aktiengesellschaft) and subject to German corporate law (including the German Stock Corporation Act (Aktiengesetz)** and the German Insolvency Code (Insolvenzordnung)***). * The German Banking Act (German version) is available under http://www.gesetze-im-internet.de/kwg/.** The German Stock Corporation Act (German version) is available under http://www.gesetze-im-internet.de/aktg/.*** The German Insolvency Code (German version) is available under http://www.gesetze-im-internet.de/inso/. |
| 0.4 US/EU registration Status | US registration statusNot applicable EU authorisation/recognition status Authorised under EMIRThe CCP has been granted authorisation as a Central Counterparty (CCP) under the European Market Infrastructure Regulation (EMIR) effective from 10 April 2014. |
| 0.5 QCCP status | Treated as a QCCP under the EU Capital Requirements Regulation by virtue of authorisation under EMIR. |
| 0.6 Documents Reviewed | 1. Clearing Conditions for Eurex Clearing AG 12. DM Auction Rules23. DMC Rules34. Disciplinary Procedures Rules45. Statutes for the Disciplinary Committee56. Statutes for the FIC Board Advisory Committee67. Statutes for the Credit Sub-Committee78. Statutes for the EMIR Risk Committee89. Price List for Eurex Clearing AG910. FCM Regulations1011. FCM Default Rules11Hide note1 Chapter I: 01.01.2026, Chapter VIII: 08.12.2025, Appendix 1: 27.06.2022, Appendix 7: 28.04.2025; Appendix 10: 15.07.2022, Appendix 11: 24.10.2022, Appendix 12: 10.01.2018, Appendix 14: 24.10.2022;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/Clearing-Conditions-536742 13.11.2025;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/Clearing-Conditions-536743 02.01.2026;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/Clearing-Conditions-536744 15.07.2022;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/Clearing-Conditions-536745 15.07.2022;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/Clearing-Conditions-536746 01.01.2026;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/Clearing-Conditions-536747 01.08.2025;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/5.-Ancillary-Clearing-Documents-2824830813.01.2025;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/Clearing-Conditions-536749 01.01.2026;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations10 Chapter I, 14.07.2025; Chapter II, 22.01.2026; Appendix 1, 14.07.2025 ; Appendix 2, 20.09.2021; Appendix 3, 17.09.2018;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/FCM-Regulations-139421611 01.07.2025;https://www.eurex.com/ec-en/rules-regs/rules-and-regulations/FCM-Regulations-1394216 |
| 0.7 Reviewing Law Firms | Primary Reviewer: Linklaters LLP; |
| 1. Requirements for Client business services | |
| 1.1 Do the Rules contemplate Client business? | Yes, subject to the ECM (GOSM and NOSM) and the ISA Model. The subject matter of this Client Clearing Module is the NOSM. Separate Client Clearing Modules are available for the GOSM and the ISA Model. |
| 1.2 What are the non-documentary requirements for a CM to offer Client business services? | StatusThe Rules differentiate between different categories of membership. Only a general Clearing License for OTC interest rate derivatives entitles its holder to also clear Client OTC interest rate derivative Contracts.1A general Clearing License for OTC interest rate derivatives may only be granted to:2(1) (i) a credit institution or investment firm: a credit institution within the meaning of point (1) of Art 4 (1) of Regulation (EU) No 575/2013 (“CRR”) or an investment firm within the meaning of point (1) of Article 4 (1) of Directive 2014/65/EU domiciled in a member state of the European Union (“EU”) or (ii) an undertaking domiciled in Switzerland whose functions correspond to those of a credit institution or an investment firm in the aforementioned sense and which is supervised by the Swiss Financial Market Supervisory Authority (Eidgenössische Finanzmarktaufsicht – FINMA);(2) a branch domiciled in a member state of the EU (i) qualifying as a branch of a credit institution pursuant to point (17) of Art 4 (1) of the CRR or as a branch of an investment firm pursuant point (30) of Article 4 (1) of Directive 2014/65/EU and the credit institution or investment firm is domiciled in a member state of the EU (“Host Member State”) (ii) a notification procedure has been completed in the Host Member State, and (iii) the branch and the credit institution or investment firm comply with certain conditions.(3) a branch within the meaning of Article 2 Paragraph 1 of the Swiss Federal Banking and Savings-Bank Act (Schweizer Bundesgesetz über die Banken und Sparkassen) in connection with Section 1 et seq. of the Regulation of the Swiss Financial Market Supervisory Authority concerning Foreign Banks in Switzerland (Verordnung der Eidgenössischen Finanzmarktaufsicht über die ausländischen Banken in der Schweiz), provided that such branch complies with certain conditions; (4) an undertaking domiciled outside the EU or Switzerland (i) whose functions correspond to those of a credit institution or an investment firm pursuant to no (1) above, (ii) which is supervised in its country of domicile according to standards equivalent as determined by the CCP to the regulatory standards of the EU applicable to credit institutions or investment firms, and (iii) the competent supervisory authority is a signatory to Appendix A of the IOSCO Multilateral Memorandum of Understanding or has signed an applicable bilateral memorandum of understanding with the BaFin;(5) a branch not falling within one of the categories pursuant to (2) to (4) above, provided that (i) the branch and the main office are domiciled outside the EU or Switzerland, such branch and main office comply with the certain conditions and (ii) depending on whether the brand and/or the main office are domiciled outside the EU or Switzerland, such branch and/or main office meet certain further conditions;(6) with respect to a direct Clearing License relating to house business only, an insurance undertaking, reinsurance undertaking, collective investment undertaking (in the case of an unincorporated fund, a sub-fund or a fund segment, acting through an authorised manager) as defined in Article 4 Paragraph 1 of the CRR or an institution for occupational retirement provision as defined in the Occupational Pension Funds Directive 2003/41/EC, provided that, in each case, (i) it is domiciled in a member state of the EU or in Switzerland, or (ii) it is domiciled outside the EU or Switzerland and whose functions correspond to those described in lit. (i) and which is supervised in its country of domicile according to a standard equivalent to the applicable regulatory standards of the EU as determined by the CCP, or(7) with respect to a direct Clearing License relating to house business and Client business (where the relevant Client is an affiliated company of the CM), a proprietary trading firm legally organised and with its principal place of business in the United States of America which is sufficiently supervised (as determined by the CCP).Certain applicants must provide a written guarantee on first demand issued vis-à-vis the CCP by the institution to which the applicant belongs, to the effect that such institution will guarantee all obligations of its branches, offices or branch offices arising out of, and in connection with, the clearing of transactions by these branches, offices and branch offices.The key prerequisites for the granting of a Clearing License are set out in item 11.2 of the Base Module.Consents and/or agreements Before offering Client business to UDCs, no further consents/agreements have to be provided by the CM. The Clearing Agreement for house business also serves as a basis for the clearing of UDC-related Contracts.Hide note1 Chapter I Part 1 Number 2.1.1, Chapter VIII Part 2 Number 2.1.3 2 Chapter I Part 1 Number 2.1.2 (2) |
| 1.3 What are the non-documentary requirements for a Client to receive Client business services? | There are only specific rules that relate to Disclosed Direct Clients (but not for UDCs). Disclosed Direct Clients may only be subject to the GOSM (but not to the NOSM) or the ISA Model. |
| 1.4 What documents must the CCP, CM and Client exchange, enter into or agree to for a CM to offer Client business services to a particular Client? | A precondition for the offering of Client business is that the CM enters into a Clearing Agreement for house business.1 This Clearing Agreement also serves as a basis for the clearing of UDC-related Contracts.In addition, the CM is required to enter into a pledge agreement in order to provide non-cash collateral in the form of securities as initial margin for its Client business by way of a pledge.2Hide note1 Appendix 12 Chapter I Part 2 Subpart A Number 4.3.2.4; Appendix 7 |
| 1.5 Detail whether these Client clearing arrangements are based on an FCM structure (i.e., agency) or principal to principal arrangements or both. | The Client clearing arrangements are based on principal to principal arrangements. |
| 2. Required provisions in CM Client Clearing Agreements | |
| 2.1 Do the Rules specify any provisions that must be included in a CM’s Client Clearing Agreement (e.g., provisions specified as Mandatory CCP Provisions)? | Yes. |
| 2.2 If so, please specify each provision. | Each CM is required to separately demand initial margin and variation margin from its relevant UDCs in an aggregate amount which shall at least be equal to the aggregate margin requirement and variation margin requirement for the Client Contracts between the CCP and such CM corresponding to the Client Legs between the CM and such UDCs.Hide noteChapter I Part 2 Subpart C Number 6.3 (ii) and 7.3 |
| 3. Specified Core Provisions | |
| 3.1 Do the Rules specify any provisions as Core Provisions? | The Rules do not expressly specify any Core Provisions within the meaning of the ISDA/FOA Client Clearing Addendum. |
| 3.2 If so, please specify each provision. | N/A. |
| 4. Indirect Client business and Indirect Clients | |
| 4.1 Do the Rules contemplate Indirect Client business? | Yes. The Rules provide that the CCP opens and maintains with respect to Indirect Client business of a CM one or more of the following accounts:1one or more accounts, in each case relating to Indirect Client business with respect to one particular Indirect Client of the relevant UDCs; andone or more accounts, in each case relating to Indirect Client business of more than one Indirect Client of the relevant UDCs.Hide noteChapter I Part 2 Subpart C Number 2.1.1; Chapter VIII Part 1 Number 1.3 (2) |
| 4.2 If so, please describe any specific requirements applicable to Indirect Clients. | The Rules only contain the rules with respect to contract accounts relating to Indirect Clients as referred to in item 4.1 and with respect to Indirect Clients from Japan, Singapore and/or China referred to in item 10.2, but not any further provisions relating to Indirect Clients. |
| 4.3 Please describe the CM’s role, if any, in an Indirect Client obtaining access to the CCP. | See item 4.2. |
| 4.4 If Indirect Clients are contemplated in the Rules, do the Rules require a CM to monitor risks associated with these types of arrangements? | See item 4.2. |
| 4.5 How does the CCP manage a default of an Indirect Client? | See item 4.2. |
| 5. Client default rules and processes | |
| 5.1 Are there any specific rules relating to a Client default? | There are no specific default rules for UDCs. |
| 5.2 Are there separate default processes for house business and Client business? | No. While the scope of the close-out netting and the provisions on default porting for Client business differ depending on the applicable clearing model, the default process equally applies. See items 31 – 40. |
| 5.3 If so, please describe the differences. | N/A. |
| 6. CM rights to reject Client Transactions | |
| 6.1 Will a CM always need to “accept” a Client Transaction for clearing or does the CM have a right of rejection prior to registration of a Contract? | N/A. This question does not arise as a UDC is not permitted to transmit a Client OTC interest rate derivative Transaction relating to a UDC to the CCP. This may only be done by the CM via a third-party service provider that is recognised by the CCP.Hide noteChapter I Part 1 Number 1.2.2 (2); Chapter VIII Part 1 Number 1.2 |
| 7. CCP trading limits for Client business | |
| 7.1 Can the CCP impose trading limits in respect of Client business? | No such requirements are specified in the Rules. However, limits applicable to both house and Client business based on emergency resolutions may apply and the CCP is also entitled to define one or more credit risk thresholds in order to mitigate credit risk relating to a CM (see also item 39.1 of the Base Module).Hide noteChapter I Part 1 Number 1.6.2; Chapter VIII Part 1 Number 1.5 |
| 7.2 If so, what types of limits may be imposed? | See items 39.1 and 39.4 of the Base Module. |
| 7.3 Is there a notice period before new limits become effective? | Not addressed in the Rules. See item 39.4 of the Base Module. |
| 7.4 Is there a shorter (or zero) notice period in special or emergency circumstances, and what are the notice period and circumstances? | Not addressed in the Rules. |
| 7.5 Can separate limits be applied in respect of separate Clients? | Not addressed in the Rules. |
| 8. CM trading limits for Client business | |
| 8.1 Can the CM impose trading limits in respect of one or more of its Clients or Client accounts at the CCP level prior to registration? | No such requirement specified in the Rules with respect to UDCs. |
| 8.2 If so, what types of limits may be imposed? | N/A. |
| 8.3 What is the usual notice period before new limits become effective? | N/A. |
| 8.4 Is a CM liable for all of its Client accounts? | Yes, the Rules provide for a principal-to-principal model so that the CM is liable for all its Contracts with the CCP. |
| 9. Physical Settlement | |
| 9.1 In case of products subject to physical delivery, what are the obligations of a CM in case a Client fails to meet its delivery obligations? | The Rules do not provide for physical delivery obligations in respect of the Service. |
| 9.2 Is it mandatory for the CM to ensure physical settlement or can such CM use alternative delivery procedures/cash settle to discharge its obligation on behalf of Clients? | N/A. |
| 10. Liability of CMs for Clients | |
| 10.1 Is a CM liable for non-compliance by its Clients with the Rules or applicable law in relation to the clearing services? | The Rules provide for a principal to principal model. Accordingly, a CM is, in principle, only liable for its obligations vis-à-vis the CCP. |
| 10.2 Is a CM required to make any representations on behalf of its Clients or confirm that its Clients meet certain criteria? | Each CM is required to represent and warrant to the CCP that, at the time it enters into a Clearing Agreement or into an OTC interest rate derivative Contract, it will not submit any UDC-related Transaction (other than a Transaction relating to a UDC that is an affiliate of the relevant CM and is considered as proprietary account of the relevant CM under Section 1.3 of the CFTC Regulations) for clearing to the CCP, unless the CM (a) has either obtained a representation from the relevant Client that the Client reasonably believes that it does not fall within any of the U.S. Person Categories and believes in good faith that it would not otherwise be deemed to be a “U.S. person” under the Interpretive Guidance, or (b) in case the CM has not obtained a representation as described under (a) above, reasonably believes that the relevant Client does not fall within any of the U.S. Person Categories and/or believes in good faith that the relevant Client would not otherwise be deemed to be a “U.S. person” under the Interpretive Guidance.“U.S. Person Categories” means the enumerated categories of “U.S. persons” that are provided in the “Cross-Border Application of the Registration Thresholds and Certain Requirements Applicable to Swap Dealers and Major Swap Participants”, (85 Fed.Reg. 56,924, Sept. 14, 2020) or the “Interpretive Guidance and Policy Statement Regarding Compliance with Certain Swap Regulations”, (78 Fed. Reg. 45,292, Jul. 26, 2013) by the Commodity Futures Trading Commission (the “CFTC”) (the “Cross-Border Guidance”) within its jurisdiction pursuant to Section 722(d) of the Dodd-Frank Wall Street Reform and Consumer Protection Act, as may be amended or otherwise interpreted in writing by the CFTC from time to time.The CM is required to represent and warrant that it shall not clear the Contracts for Financial Instruments Business Operators or Registered Financial Institutions under the Japanese Financial Instruments and Exchange Act that would qualify as Indirect Clients or UDCs.2A CM that (i) is a bank or financial institution domiciled and/or incorporated in Singapore pursuant to the Companies Act (Chapter 50 of Singapore) or (ii) is or acts through a Singapore-registered branch of a foreign bank or financial institution holding the requisite capital markets services licence issued by the Monetary Authority of Singapore under the Securities and Futures Act (Chapter 289 of Singapore) (“SFA”) (or which is duly exempted from holding such licence) is required to represent and warrant by way of an independent guarantee and irrespective of fault (selbständiges, verschuldensunabhängiges Garantieversprechen) to the CCP that any UDCs and Indirect Clients of the CMs that are domiciled and/or incorporated in Singapore are accredited investors, institutional investors and/or expert investors for the purposes of the SFA.3Regarding Chinese Clients (as defined below) that are UDCs, the CM is required to represent and warrant by way of an independent guarantee and irrespective of fault (selbständiges, verschuldensunabhängiges Garantieversprechen) to the CCP that, with regard to Transactions relating to a Chinese Client, it will use reasonable endeavors to obtain a representation from its Chinese Clients that (i) the Chinese Client will not submit for clearing any such Transaction that was originally concluded between the respective Chinese Client and another party that fulfils the requirements under (i) – (iii) of the definition of Chinese Client (a “Chinese Party”), and (ii), if the Transaction is entered into with a party other than a Chinese Party, that any such transaction is entered into by the Chinese Client in compliance with the laws of the PRC (including but not limited to PRC’s restrictions on cross border Contracts).Regarding Chinese Clients that are Indirect Clients, the previous paragraph shall apply mutatis mutandis, provided that the CM may obtain the representation either from its UDCs through which the Chinese Client clears or from the Chinese Client itself. If the representation is obtained from the UDC, the CM shall use reasonable endeavors to oblige the Direct Client to obtain a comparable representation from its Indirect Client.The term “Chinese Clients” shall cover UDCs and Indirect Clients (i) that are domiciled in the People’s Republic of China (for this purpose, excluding Hong Kong, Macau and Taiwan – “PRC”), (ii) that are incorporated in accordance with PRC’s laws (but, in respect of (i) and (ii), excluding any clients insofar as they act through a branch outside the PRC) and/or (iii) insofar as they act through a branch in the PRC.4Further, the CM is required to represent and warrant by way of an independent guarantee and irrespective of fault (selbständiges, verschuldensunabhängiges Garantieversprechen) to the CCP that it will not clear Transactions for (i) any UDC that is domiciled in Ontario (Canada), and (ii) for any Indirect Client of a UDC that is domiciled in Ontario (Canada).5Any CM that is legally organised and has its principal place of business in the United States of America (or any state thereof) is required to represent and warrant by way of an independent guarantee and irrespective of fault (selbständiges, verschuldensunabhängiges Garantieversprechen) to the CCP that it will repo transactions relating to an underlying security which the SEC considers to be a “U.S. security” for purposes of Section 17A of the U.S. Securities Exchange Act of 1934 in accordance with any applicable U.S. law or decisions, orders or publications by the SEC. 6 Any CM that is legally organised and has its principal place of business in Switzerland that is a public entity and/or a cantonal bank is required to represent and warrant (and is deemed to repeat such representations and warranties whenever it entered into a Transaction) that all Transactions and eligible margin assets delivered to the CCP constitute financial (Finanzvermögen/patrimoine financier) rather than administrative assets (Verwaltungsvermögen/patrimoine administratif) of the CM and are not subject to immunity.7Hide note1 Chapter I Part 1 Number 1.82 Chapter I Part 1 Number 1.113 Chapter I Part 1 Number 1.134 Chapter I Part 1 Number 1.145 Chapter I Part 1 Number 1.156 Chapter I Part 1 Number 1.16 7 Chapter I Part 1 Number 1.17 |
| 11. CM indemnities for its Client | |
| 11.1 Does the CM provide an indemnity for the conduct of its Client? | No. |
| 12. Compression services in respect of Client business | |
| 12.1 If the CCP offers compression services, does it apply to Client business in the same way as to house business? Please explain any differences. | Compression:1The CCP only offers compression services for house business.Accumulation and netting:2The CCP may agree with a CM upon the mutual cancellation (“netting”) and the accumulation of Contracts. Mutual cancellation is, in principle, available for both Client business and house business of the CM and is subject to the same criteria. However, house business of the CM may not be netted with Client business and Contracts booked on one Client account may not be netted with Contracts booked on another Client account. Such agreement may be terminated by the CM with the effect on the business day following the receipt of the termination notice by the CCP.Whether as a result of such netting or accumulation, the relevant Client Legs between the CM and the relevant UDC shall be subject to netting or accumulation is a matter of the relevant agreements between such CM and such UDC.Hide note1 Chapter VIII Part 2 Number 2.52 Chapter VIII Part 2 Number 2.6 |
| 13. Participants in the CCP that are not CMs | |
| 13.1 Are there specific rules relating to participants in the CCP that are not CMs? | To a limited extent, specific rules (including those referred to in items 10.2 and provisions relating to the internal account structure of the CCP) relate to UDCs, i.e. Clients unknown to the CCP which have no contractual relationship with the CCP.The Rules relating to UDCs and Indirect Clients only apply to the CM and not directly to the relevant UDC and Indirect Client. |
| 13.2 Are such participants treated as Clients or is there additional documentation that CMs must sign? | No additional documentation must be signed by a CM for the clearing of Client Contracts relating to UDCs.Appendix 1 and Appendix 7 to the Clearing Conditions serve as a basis for the clearing of UDC-related Contracts.Hide noteAppendix 1 serves as basis for the clearing of UDC-related Contracts |
| 14. Types of Client accounts | |
| 14.1 What types of Client account are made available by the CCP for the CM (omnibus vs. individual account)? | Under the NOSM, a CM is permitted to provide Client business for the clearing of OTC interest rate derivative Contracts on a net omnibus segregated basis by opening one or more of the following types of accounts relating to Client Legs with multiple UDCs:one or more internal accounts for Contracts1;one or more internal cash accounts2; andone or more internal margin accounts3.In addition, the CCP may open separate internal margin accounts in respect of supplementary margin.4The CM may instruct the CCP to link an excess collateral pool (cash only) to an internal margin account relating to UDCs in order to provide cash excess margin.5 Hide note1 Chapter I Part 1 Number 4.2.1; Part 2 Subpart C Number 2.1.1; Chapter VIII Part 1 Number 1.32 Chapter I Part 2 Subpart C Number 2.3; Subpart D Number 4 (CASS)3 Chapter I Part 2 Subpart A Number 3, Subpart C Number 4; Subpart D Number 3 (CASS)4 Chapter I Part 1 Number 3.5 (5)5 Chapter I Part 2 Subpart A Numbers 4.2.4 (3) |
| 14.2 For each type of Client account please provide the account structure for Contracts, both cash and securities with respect to Client collateral along with related margining processes, i.e., Client omnibus gross model, Client omnibus net model, individual segregation of Clients, detail of whether Client is known to CCP, etc. | General: The CCP establishes and maintains internal accounts for each CM, on which the Contracts, cash amounts and margin of such CM are booked. As regards house accounts of the CM, refer to item 67 of the Base Module.Contract account structure:The CCP establishes and maintains in its books and records one or more of the following internal accounts with respect to UDCs:1one account for Contracts relating to UDCs of the CM provided that such account must relate to more than one UDC;upon request of the CM, one or more additional accounts for Contracts relating to UDCs of the CM provided that each such account must relate to more than one UDC;upon request of the CM, one or more additional accounts with respect to client-related contracts of the relevant UDCs, in each case relating to contracts with multiple Indirect Clients; andupon request of the CM, one or more accounts with respect to client-related contracts of the relevant UDCs, in each case relating to contracts with a particular Indirect Client.Each account for Contracts relating to UDCs of the CM and all accounts for contracts of multiple Indirect Clients or a particular Indirect Client relating to such UDCs form a separate “transaction accounts group”.2The rights and obligations between the CCP and the CM under Contracts recorded in accounts allocated to the same transactions accounts group constitute for the purposes of porting and close-out netting a separate arrangement (each such relevant separate arrangement is a Standard Agreement between the CCP and the CM).3Collateral account structureIn addition to the internal margin account for house business, the CCP opens and maintains one or several internal margin account(s) for Client business in accordance with the instructions of the CM.4 The CM provides margin separately to the internal margin account for house business and each of its internal margin account(s) for Client business. Accordingly, the assets provided for recording in one particular internal margin account will always remain separately recorded from the assets provided for recording in any other internal margin account – there will be no (re-) allocation of margin assets across the internal margin account for house business and any internal margin account for Client business.5Those margin assets that will, from time to time, be recorded in one particular internal margin account for Client business will continuously be allocated (and, in the case of changes in any values, re-allocated) by the allocation algorithm to (only) those Client accounts that are linked to that internal margin account for Client business. The linkage of Client accounts is established upon the instructions by the CM, provided that each Client account must be, and can only be, linked to only one particular internal margin account for Client business.6Any overall margin excess, i.e. any excess over the aggregate margin requirements for all Client accounts linked to a particular internal margin account for Client business will not be allocated to particular Client accounts (“excess collateral”). To the extent that the excess collateral consists of cash, this will constitute an “unallocated redelivery claim” of the CM.7 Excess collateral (including any unallocated redelivery claims) is paid/released by the CCP to the CM for the account of its Clients (and it is then upon the CM or its insolvency administrator to distribute such assets among its relevant Clients) or transferred to an authorised manager (for the account of the relevant Clients) if all Clients whose Client accounts relate to the internal margin account to which such excess collateral is booked have appointed, are represented by, or are acting through, the same authorised manager, unless such excess collateral is subject to a porting (see item 31.3).Initial margin requirementThe CCP calculates the margin requirement for Client business with respect to each Client account of such CM.8The amount of margin assets to be delivered as cover in respect of initial margin for Client business is determined by the CCP separately with respect to each internal margin account for Client business reflecting the sum of the calculations for all Client accounts that relate to such internal margin account for Client business.9 The CM may also instruct the CCP to calculate each margin requirement on a net basis across several Client accounts provided that the CCP will not calculate any relevant margin requirement on a net basis(i) across a group of Client accounts that includes both Direct Client accounts and Indirect Client accounts;(ii) across a group of (gross omnibus segregated) Indirect Client accounts relating to more than one particularIndirect Client;(iii) across Client accounts that are not allocated to the same Standard Agreement, and(iv) across Client accounts that are not allocated to the same internal margin account for Client business.Such instruction of the CM shall cease to have effect with respect to Contracts that are subject to a porting of positions and assets to a Replacement CM.10 Cash account structureThe CCP establishes with respect to each currency accepted by the CCP (i) in relation to each internal margin account for Client business, one internal cash account for the settlement of claims arising from Contracts booked on a Client account that, as per the specification made by the CM, relates to such internal margin account for Client business including, in particular, all daily settlement payments, option premiums and payments in respect of variation margin but excluding settlement claims and (ii) one internal cash account for settlement claims.11The daily balance of each internal cash account (after taking into account set-offs) shall be debited or credited, as the case may be, to the cash account of the CM to the extent that the CCP does not claim any credit balance in such account as initial margin or variation margin.12The CCP calculates net variation margin requirements separately with respect to each relevant internal cash account for Client business reflecting the sum of the calculations with respect to all Client accounts of such CM that relate to such internal cash account for Client business.13With respect to the bank cash account structure please refer to item 11.2 of the Base Module.Internal records of the CMThe CM shall establish an internal accounting to record in relation to the CCP and the relevant UDCs (i) all Contracts, (ii) all payments and deliveries under Contracts, (iii) all collateral and (iv) all redelivery claims.14Special provisions relating to clearing in compliance with the CASS rulesIf, under the NOSM, the CM wishes to clear Client Contracts that are OTC interest rate derivative Contracts in accordance with CASS, the following special rules apply:the CM may designate one or several Client Contract accounts groups (to constitute (either individually or collectively) a Client account for the purposes of CASS. Each Client account for the purposes of CASS is in the name of the CM;15each CASS Contract booked on a Client account that forms part of a Client account for the purposes of CASS qualifies as “CASS Contract”;16the CCP, in its internal systems, establishes and maintains, upon instruction of the CM, for each CM one or more internal margin accounts with respect to CASS Contracts, subject to the following requirements:17an internal margin account may only and must only relate to one CASS Client account;margin assets for CASS Contracts shall only secure all present and future claims under any CASS Contract, any difference claim and any other present and future claims, in each case, of the CCP against the CM under any Standard Agreement relating to any CASS Client account of the CM;the CCP establishes with respect to each currency accepted by the CCP (i) in relation to each internal margin account for CASS, one internal cash account for the settlement of claims arising from CASS Contracts booked on a Client account that, as per the specification made by the CM, relates to such internal margin account for CASS (including, in particular, all daily settlement payments, option premiums and payments in respect of variation margin but excluding settlement claims and (ii) one internal cash account for settlement claims; andan internal cash account for CASS may only and must relate to one Client account for the purposes of CASS.18Hide note1 Chapter I Part 1 Number 4.2.1; Part 2 Subpart C Number 2.1.1 (1), (3), (4); Chapter VIII Part 1 Number 1.3 (2)2 Chapter I Part 2 Subpart C Number 2.2 (1)3 Chapter I Part 2 Subpart C Number 54 Chapter I Part 2 Subpart A Number 35 Chapter I Part 2 Subpart A Number 4.4.16 Chapter I Part 2 Subpart C Number 47 Chapter I Part 2 Subpart A Number 4.4.18 Chapter I Part 2 Subpart A Number 4.1.19 Chapter I Part 2 Subpart A Number 4.1.210 Chapter I Part 1 Number 3.1.2 (2)11 Chapter I Part 2 Subpart C Number 2.312 Chapter I Part 2 Subpart C Number 2.313 Chapter I Part 2 Subpart A Number 5.1; Chapter VIII Part 2 Number 2.1.714 Chapter I Part 2 Subpart C Number 315 Chapter I Part 2 Subpart D Number 2.116 Chapter I Part 2 Subpart D Number 2.317 Chapter I Part 2 Subpart D Number 318 Chapter I Part 2 Subpart D Number 4 |
| 14.3 In whose name (Client/CM/CCP) are these accounts held? | Each Client account is an account in the name of the relevant CM, opened at the CCP, in respect of which the CM acts as principal vis-à-vis the CCP and that relates to more than one UDC. |
| 15. Segregation of Client accounts | |
| 15.1 If segregated Client account structures exist, are they mandated by the Rules or is such segregation applied at the discretion of each CM? | The account structure is generally mandated by the clearing model chosen by the CM (acting on behalf of its Client). The subject matter of this Client Clearing Module is the NOSM which provides for net omnibus segregation as described under item 14.2. |
| 15.2 Do CMs or Clients have to sign any particular documentation in order to achieve the requisite segregation of collateral? | No. |
| 15.3 Does the CCP have to sign any particular documentation in order to achieve the requisite segregation of collateral? | No. |
| 16. CCP segregation of Client margin | |
| 16.1 Is the CCP obligated to segregate collateral received through margin calls on CMs for Client accounts from the CM’s house margin, the margin of other CMs, or the margin of other Clients? | We understand that cash collateral is not segregated from the CM’s house margin, the margin of other CMs or the margin of other Clients through the use of separate accounts with its custodian(s) but only in the CCP’s books and records as described in item 14.2.Non-cash collateral in the form of securities of a CM with respect to house business and Client business is held in separate securities accounts with the relevant custodian.Although not required by the Rules, we understand that collateral received for a particular Client accounts group relating to several UDCs is segregated at the level of the custodian from the CM’s margin or margin of other Clients by booking them into separate securities accounts or identifying them by a common identifier.The CCP further segregates non-cash collateral in its books and records as described in item 14.2.Hide noteChapter I Part 1 Number 2.1.2 (4) (a) (aa); Part 2 Subpart A Number 4.3.2.1 |
| 17. Margining of Client Contracts | |
| 17.1 Are Clients’ Contracts margined differently (i.e., higher confidence interval, longer holding period, etc.) than those of CMs? | No. |
| 17.2 If so, please elaborate on these differences. | N/A. |
| 18. Provision of cash collateral in respect of Client business | |
| 18.1 How is cash collateral in respect of Client business provided to the CCP (by way of title transfer or by way of security interest)? | Cash collateral is provided by the CM to the CCP by way of title transfer.Hide noteChapter I Part 1 Number 1.4.1; Part 2 Subpart A Number 4.3.1, 5.2 |
| 19. Provision of non-cash collateral in respect of Client business | |
| 19.1 How is non-cash collateral in respect of Client business provided to the CCP (by way of title transfer or by way of security interest)? | Under the ECM (NOSM), non-cash collateral (securities) is provided in the form of pledges over such securities. Upon maturity of the pledges, the pledges can, in principle, be enforced without prior notice in a private sale or by way of appropriation of such securities.1The security purpose (Sicherungszweck) of the pledges over securities granted by the CM in favour of the CCP comprises all present and future claims relating either to house business or Client business under the ECM.2The CCP shall, however, upon a pledge granted by the CM becoming enforceable, only enforce the pledge with respect to such pledged securities, and only apply any proceeds from the enforcement of the pledge over such securities, to satisfy those secured claims that relate to the Standard Agreement for Client business to which such pledged securities, in the books and records of the CCP, have been allocated.3Hide note1 Appendix 7 Clause 2.2.12 (in relation to securities pledged on a securities account with Clearstream Europe AG); Clause 2.4.8 (in relation to securities pledged on a securities account with SIX SIS AG), Schedule 1 to Appendix 7 Clause 6.1 (in relation to securities pledged on a securities account with Clearstream Banking Luxembourg) and Schedule 4 Clause 8.1 (in relation to securities pledged on a securities account with Euroclear)2 Chapter I Part 2 Subpart A Number 4.3.3; Appendix 7 Clause 2.63 Appendix 7 Clause 3 |
| 20. Posting of house collateral in respect of Client Contracts | |
| 20.1 Can the CCP require CMs to post house collateral in respect of Client Contracts? | No. However, a CM may elect to use any excess collateral relating to the CM’s house business to cover any collateral shortfalls relating to the CM’s Client business (see item 44.6 of the Base Module). |
| 20.2 If so, under what circumstances? | N/A. |
| 21. Use of collateral belonging to Clients of a defaulting CM to cover losses of such defaulting CM | |
| 21.1 Could the CCP, under the Rules, utilise collateral belonging to the Clients of a defaulting CM (cash and securities) to cover losses incurred by that CM, or do segregated Client account structures ensure that this would not happen? | No, as a consequence of the net omnibus segregation account structure, collateral for Client Contracts cannot be used to cover losses relating to house Contracts of a CM. |
| 22. Use of collateral of the non-defaulting Clients of a defaulting CM to cover losses of such defaulting CM’s defaulting Client | |
| 22.1 Could the CCP, under the Rules, utilise collateral of the non-defaulting Clients of a defaulting CM to cover losses incurred by that member’s defaulting Client? | Yes, as a consequence of the net omnibus account structure (as described in item 14.2.), an internal margin account is not attributed to one particular Client. The CCP may utilise collateral posted with respect to non-defaulting Clients to cover losses incurred with respect to the CM’s defaulting Clients. |
| 23 Close-out of Client Contracts upon Client default | |
| 23.1 Upon the default of a Client, do the Rules permit the transfer of Client Contracts from a Client account into a CM’s house account or the creation of offsetting Contracts between a Client account and the CM’s house account to effect a close-out of one or more Client Contracts? | Although not specifically addressed in the Rules with respect to a default of a UDC, we understand that the Rules generally permit the transfer of a Client Contract relating to a UDC from a CM’s Client account into a CM’s house account.Hide noteChapter VIII Part 2 Number 2.7.2.1 |
| 24. Return of net/surplus amounts in relation to Client accounts after resolution of a CM default | |
| 24.1 To whom does the CCP return net/surplus amounts in relation to Client accounts after the resolution of a CM default and when does that occur? | Under the NOSM, unless a porting of assets and positions in relation to the relevant Standard Agreement relating to the relevant UDCs has occurred and if the CCP is the debtor of the difference claim, then the CCP will pay and discharge such difference claim to the defaulted CM and such payment shall constitute a return to the defaulted CM for the account of all its relevant UDCs.1 In such case (as well as in a scenario in which the CCP is the creditor of the difference claim, but not all pledged and allocated securities pledged as margin are required to discharge its difference claim) the CCP will release any of its pledges in respect of securities allocated to such relevant Standard Agreement to the defaulted CM and such release shall constitute a return to the defaulted CM for the account of all its relevant UDCs.2Unless excess collateral is subject to a porting, excess collateral (including any unallocated redelivery claims) (please refer to item 14.2) istransferred to an authorised manager (for the account of the relevant Clients) if all Clients whose Client accounts relate to the internal margin account to which such excess collateral is booked have appointed, are represented by, or are acting through, the same authorised manager;3 orpaid/released by the CCP to the CM for the account of its Clients (and it is then upon the CM or its insolvency administrator to distribute such assets among its relevant Clients).4Hide note1 Chapter I Part 2 Subpart C Number 9.1(ii)2 Chapter I Part 2 Subpart C Number 9.23 Chapter I Part 2 Subpart C Number 9.4 (i); Chapter I Part 2 Subpart C Number 8.144 Chapter I Part 2 Subpart C Number 9.4 (iii); Chapter I Part 2 Subpart C Number 8.14 |
| 24.2 How do the Rules address fluctuations in the value of the collateral in such cases? | The Rules do not contain any particular provisions as to this issue. Fluctuations in the value of the collateral will, in the case of title transfer collateral, be reflected in the relevant difference claim. |
| 25. Pre-default porting | |
| 25.1 Does the CCP offer pre-default porting? | An individual Client Contract may be transferred from a CM to another CM upon a respective request of the CM entered into the systems of the CCP.1It is a matter of the relevant parties to agree whether, as a result of such transfer, any corresponding Client Leg is transferred or terminated.2A CM may with the consent of the CCP also transfer an OTC interest rate derivative Contract to an FCM CM upon a prior agreement with such FCM CM.3A CM or a DC with System Access may request a full portfolio transfer of all OTC interest derivative Contracts booked into a specific transaction account to another CM or FCM CM holding the required Clearing License. 4Hide note1 Chapter VIII Part 2 Number 2.7.1 (1)2 Chapter VIII Part 2 Number 2.7 (6)3 Chapter VIII Part 2 Number 2.7.1 (3)4 Chapter VIII Part 2 Number 2.7.5 (1) |
| 25.2 If so, what does it cover (Contracts or Contracts and collateral)? | The transfer of an individual OTC interest rate derivative Contract is performed against payment of a cash settlement amount in the amount of the net present value of each transferred OTC interest rate derivative Contract. The net present value (a) for the transferring CM is the difference between zero and the daily evaluation price of the preceding business day and (b) for the receiving CM the difference between zero and the daily evaluation price of the day of the transfer. Furthermore, the relevant CM may specify in the systems of the CCP an additional amount payable by a CM in connection with the transfer or request an adjustment of the calculated net present value. Such amounts will be settled via the CCP.1 In combination with the full portfolio transfer of OTC interest rate derivative Contracts, the transferor may also request the transfer of all eligible margin assets relating to the relevant account subject to the full portfolio transfer.2 Hide note1 Chapter VIII Part 2 Numbers 2.7 (3) 2 Chapter VIII Part 2 Numbers 2.7.5 (2) |
| 25.3 If a Client in an omnibus account wishes to port its Contracts to a Receiving CM, is that Client also able to port any collateral associated to those Contracts? | Yes. See item 25.2. |
| 26. Process for pre-default porting of Client Contracts | |
| 26.1 For pre-default porting, what steps must a Client and/or the relevant CMs take and what conditions must be satisfied in order for such Client’s Contracts to be transferred from one CM to another? | For the porting of an individual OTC interest rate derivative Contract the CM has (upon obtaining the relevant instruction from the UDC) to enter the respective request in the systems of the CCP.1If such Contract relates to an UDC, it is a matter of the relevant parties to agree whether, as a result of such transfer, any corresponding Client Leg is transferred or terminated.2A transfer of a Client Contract to a FCM CM occurs by way of novation as follows:3a Contract will be established between the CCP and the FCM CM by way of novation on terms identical to the relevant Client Contract, subject to and in accordance with the FCM Regulations; andthe CM and the CCP will be released from their obligations to each other under the Client Contract (except that any outstanding obligations relating to payments and deliveries that have become due, but have not been discharged on or before the date of novation, shall continue to exist under the contractual provisions of the relevant Client Contract).For a full portfolio transfer, the transferor has to enter the respective request in the system of the CCP prior to the applicable cut-off times and will be executed by the CCP if the request meets all relevant risk checks. 4Hide note1 Chapter VIII Part 2 Number 2.7.1 (1) and 2.7 (6)2 Chapter VIII Part 2 Numbers 2.7 (6)3 Chapter VIII Part 2 Numbers 2.7.1 (3)4 Chapter VIII Part 2 Numbers 2.7.5 (1) |
| 26.2 What is the timeline for pre-default porting of Client Contracts? | Pre-default porting of individual OTC interest rate derivative Contracts Where an (individual) OTC interest rate derivative Contract shall be transferred (by way of novation) to a Receiving CM pursuant to the specific provisions on transfers of OTC interest rate derivative Contracts, such novation takes , subject to the fullfilment of the applicable novation criteria, effect when a respective OTC trade daily summary report is made available to the Carrying CM and the Receiving CM electronically via the CCP’s system. The effectiveness of a novation vis-à-vis an FCM CM involved in such transfer is subject to the FCM Regulations.1 Full portfolio transfer A full portfolio transfer will be executed by the CCP at the next transfer cycle as determined by the CCP.2 Hide note1 Chapter VIII Part 2 Number 2.7 (4) 2 Chapter VIII Part 2 Numbers 2.7.5 (1)(iii) |
| 27. Process for pre-default porting of Client collateral | |
| 27.1 For pre-default porting, what steps must a Client and/or the relevant CMs take and what conditions must be satisfied in order for such Client’s collateral to be transferred from one CM to another? | See item 25.2. |
| 27.2 What is the timeline for pre-default porting of Client’s collateral? | See item 25.2. |
| 28. How the CCP and CMs effect pre-default porting of Client Contracts | |
| 28.1 How do the CCP and relevant CMs effect the pre-default porting of Client Contracts? | The transfer of a OTC interest rate derivative Client Contract will be effected by way of novation.Hide noteChapter VIII Part 2 Number 2.7 |
| 29. How the CCP and CMs effect pre-default porting of collateral | |
| 29.1 How do the CCP and relevant CMs effect the pre-default porting of collateral? | See item 25.2. |
| 30. Partial pre-default porting | |
| 30.1 For pre-default porting, is partial porting (of some but not all Contracts and/or collateral) permitted? | Yes. A transfer of individual Client Contracts by way of novation is permitted.Hide noteChapter VIII Part 2 Number 2.7.1 (2) |
| 31. Post-default porting | |
| 31.1 Is post-default porting of Client Contracts to another CM mandated by the CCP within a specified timeframe? | Yes. The post-default porting mechanism as set out in items 31 to 40 applies to porting following both the occurrence of an event of default, i.e. an Insolvency Termination Event or any other Termination Event (unless expressly stated otherwise).Under the ECM (NOSM), a porting will occur, if, by 13:00 hours on the business after the Insolvency Termination Event or (in the case of another Termination Event) after the publication of a notice by the CCP that the porting period commences, various porting requirements (as described in item 31.2) have been met. The CCP may extend the porting period by giving notice to all CMs in accordance with the general provisions on publications (see item 124 of the Base Module).1If, with respect to a Standard Agreement, the porting requirements are not satisfied by the end of the porting period, then a close-out netting will occur with respect to such Standard Agreement.2Hide note1 Chapter I Part 2 Subpart C Number 8.32 Chapter I Part 2 Subpart A Number 6.3 |
| 31.2 If so, what conditions must be satisfied before a Client may port its Contracts? | Firstly, the porting of assets and positions in relation to an Omnibus Standard Agreement applies with respect to a CM, if the CCP has determined, based on the legal circumstances in the jurisdiction where such CM is domiciled, that the porting mechanics contemplated in its Rules shall be applicable with respect to such CM (the CCP publishes a list of the relevant jurisdictions in this respect). If the CCP is not able to apply or not fully apply the provisions for the porting of assets and positions in relation to an Omnibus Standard Agreement due to certain restrictions to the CM in the relevant jurisdiction, the CCP is entitled (i) to deviate from any provisions concerning the porting of assets and positions in relation to an Omnibus Standard Agreement to facilitate the porting and (ii) to terminate the relevant Omnibus Standard Agreement by giving written notice thereof to the CM specifying the date and time on which the termination shall occur. Further, the following porting requirements must be fulfilled for each Standard Agreement under the ECM (NOSM):(i) a Replacement CM has agreed with the CCP in writing on the assumption of contract (Vertragsübernahme) of the Client Contracts between the defaulting CM and the CCP in form and substance satisfactory to the CCP;(ii) the Replacement CM has (a) confirmed to the CCP that all UDCs of the defaulting CM, to which Client Contracts under the relevant Standard Agreement of the defaulting CM relate, have designated, and have taken all necessary steps to allow, the Replacement CM to act as their future CM in respect of their Client Legs that correspond to any Client Contracts under such Standard Agreement and (b) provided the CCP in writing with a list of all Contracts comprised in the relevant Client account group, provided that such list is not required if the CM has designated in advance by notice to the CCP a potential Replacement CM for the relevant Standard Agreement; and(iii) the Replacement CM has (a) provided the CCP with sufficient collateral to cover any shortfall in margin and variation margin in respect of all Contracts under the relevant Standard Agreement, that are subject to the transfer or (b) undertakes to the CCP to provide the relevant amount of collateral without undue delay following the transfer.If the porting requirements are not satisfied by 13:00 hours Frankfurt am Main time on the business day following the termination date or a longer period of time specified by the CCP in the individual case, porting shall not take place and close-out netting shall be effected.Hide noteChapter I Part 2 Subpart C Numbers 8.1, 8.4 |
| 31.3 If a Client in an omnibus account wishes to port its Contracts to a Replacement CM, is that Client also able to port any collateral associated to those Contracts? | The following mechanisms will apply to the porting in respect of one or more Standard Agreements relating to UDCs if the porting requirements are met within the porting period:all rights and obligations of the defaulting CM with respect to:(i) the relevant transferred Standard Agreement (including all related Client Contracts),(ii) the allocated redelivery claims relating to the relevant transferred Standard Agreement,(iii) all redelivery claims for variation margin relating to the relevant transferred Standard Agreement,(iv) the redelivery claims (if any) relating to the proceeds of the realisation of securities liquidated by the CCP to the extent such redelivery claims have arisen or will arise in relation to the relevant transferred Standard Agreement, and,(v) certain related unallocated redelivery claims (if any),will be transferred to a Replacement CM by way of an assumption of contract (Vertragsübernahme)1; andtitle to (pledged) margin securities will be transferred by the defaulting CM to a Replacement CM (the CCP will effect such transfer by exercising a power of attorney granted to it by the defaulting CM for such purpose).2Excess collateral (i.e. unallocated pledged margin securities and unallocated redelivery claims) (please refer to item 14.2) will not be part of the porting unless all Clients whose Client accounts are linked to the relevant internal margin account have opted for porting to one and the same Replacement CM (and the porting requirements are met with respect to all such Clients). If no such porting to one and the same Replacement CM occurs, then the CCP willtransfer such excess to an authorised manager (for the account of the relevant Clients) if all UDCs whose Client accounts relate to the internal margin account to which such excess collateral is booked have appointed, are represented by, or are acting through, the same authorised manager;3 orpay/release such excess to the CM for the account of its Clients (and it is then upon the CM or its insolvency administrator to distribute such assets among its relevant Clients).5Hide note1 Chapter I Part 2 Subpart C Number 8.42 Chapter I Part 2 Subpart C Number 8.83 Chapter I Part 2 Subpart C Number 9.4 (i); Chapter I Part 2 Subpart C Number 8.144 Chapter I Part 2 Subpart C Number 9.4 (iii); Chapter I Part 2 Subpart C Number 8.14 |
| 32. How the CCP and CMs effect post-default porting of Client Contracts | |
| 32.1 How do the CCP and relevant CMs effect the post-default porting of Contracts? | Under the ECM (NOSM), in order to effect a porting in respect of a Standard Agreement relating to UDCs, the UDCs do not have to send any notice to the CCP (as the CCP is not aware of their identities). Instead, the CCP will rely on a confirmation by the Replacement CM that all UDCs whose contracts are reflected by such Standard Agreement have designated the Replacement CM as their future CM for such contracts.See items 31.1 and 31.2.Hide noteChapter I Part 2 Subpart C Number 8.4 |
| 33. How the CCP and CMs effect post-default porting of collateral | |
| 33.1 How do the CCP and relevant CMs effect the post-default porting of collateral? | Cash collateralCash collateral in respect of Client Contracts is re-allocated to the Replacement CM and all redelivery claims relating thereto are assigned to the Replacement CM.1Non-cash collateralNon-cash collateral in the form of securities that is allocated to any Client account relating to the Standard Agreement (with respect to which the porting requirements are fulfilled) will be transferred by the CCP to the Replacement CM by way of a transfer of title therein. In order to effect such transfer, the Rules provide for an authorisation to the CCP by the defaulted CM to offer to transfer to the Replacement CM, on behalf of the defaulted CM, title in all such securities and to issue all other statements and to take all other acts on behalf of the defaulted CM that the CCP considers necessary or expedient to effect the transfer of such securities to the Replacement CM.If the allocation of securities by the CCP includes any fraction of a security to be transferred pursuant to the Replacement CM, the CM, by entering into the relevant Clearing Agreement, further authorises (bevollmächtigt) the CCP to liquidate the relevant security (of which such fraction forms part) on behalf of the CM and appropriate the proceeds of the liquidation of such security and only the resulting cash claim of the defaulted CM relating to the liquidation proceeds in respect of such fraction shall be subject to the transfer.2Excess collateral (i.e. unallocated pledged margin securities and unallocated redelivery claims) (please refer to item 14.2) will not be part of the porting unless all Clients whose Client accounts are linked to the relevant internal margin account have opted for porting to one and the same Replacement CM (and the porting requirements are met with respect to all such Clients).3Hide note1 Chapter I Part 2 Subpart C Number 8.42 Chapter I Part 2 Subpart C Number 8.83 Chapter I Part 2 Subpart C Number 8.14 |
| 34. Basis for post-default porting | |
| 34.1 Does the CCP allow for Client post-default porting on a per Contract basis or is post-default porting conducted on a bulk/omnibus basis? | Under the ECM (NOSM), the Rules allow for a porting on a Client Standard Agreement basis only.Hide noteChapter I Part 2 Subpart C Number 8.3 |
| 35. Liquidation of non-defaulting Client Contracts | |
| 35.1 Does the CCP liquidate non-defaulting Client Contracts if post-default porting does not occur within specified timeframes? | If the porting requirements are not fulfilled with respect to a Standard Agreement within the prescribed porting period (or any extension thereof), a termination and close-out netting occurs between the CCP and the CM in respect of the Client Contracts entered into under such Standard Agreement.The effect on the Client Clearing Agreements between the defaulting CM and the relevant Clients depends on the contents of such Client Clearing Agreements.Hide noteChapter I Part 2 Subpart A Number 6.1 (iii) |
| 36. Simultaneous porting of Client Contracts and collateral | |
| 36.1 Is Client collateral ported simultaneously with the post-default porting of Client Contracts? | If a porting of Client collateral takes place (see item 33.1) it is effected in connection with the transfer of the relevant Client Contracts between the defaulting CM and the CCP.Hide noteChapter I Part 2 Subpart C Number 8 |
| 37. Post-default porting consent procedures and back-up porting arrangements | |
| 37.1 For post-default porting, how does the CCP obtain the consent of the CMs to which Client Contracts and collateral are to be ported? | The consent of the defaulted CM to both a transfer of the relevant Client Contracts and the collateral is included in the Rules and is given by the CM when it enters into the relevant Clearing Agreement.The consent of the Replacement CM is provided as part of the transfer agreement to be entered into between the CCP and the Replacement CM.Hide noteChapter I Part 2 Subpart C Numbers 8.4, 8.8 and 8.10 |
| 37.2 Are the consent procedures set out in the Rules? | The consent procedures (if required) are set out in the Rules and the related transfer agreement. |
| 37.3 If so, please describe them, including any exceptions. | See item 37.1. |
| 37.4 Are Clients required to have backup porting arrangements in place at all times? | No. |
| 37.5 If so, are these backup arrangements subject to acknowledgement by the backup CM and subsequent vetting by the CCP? | N/A. |
| 38. CCP role in identifying Replacement CMs for Client Contracts | |
| 38.1 Do the Rules indicate that the CCP will assist Clients in identifying an alternate CM that would be willing to take Client Contracts and clear going forward? | No. |
| 39. Execution of Client Contracts during post-default porting process | |
| 39.1 What Contracts of ‘portable’ Clients (i.e., ones with verified porting arrangements) if any are allowed to be executed during the post-default porting process (assuming their CM has defaulted)? | No such Contracts (between the CCP and the defaulting CM) can be executed, because during the porting period the clearing of Client Contracts under the relevant Standard Agreement between the CCP and the defaulting CM is always suspended.To the extent that such Clients enter into new Client Legs with another CM (that has not defaulted), such Client Legs are not affected by the post-default porting and can be executed during the post-default porting process.Hide noteChapter I Part 2 Subpart A Number 6; Subpart C Number 8.16 |
| 40. Client ability to post collateral directly to CCP upon CM default | |
| 40.1 Is there a way for the Client to continue to post collateral directly to the CCP if the Client is facing a defaulting CM and Contracts have not yet been ported? | No. |
| 41. Netting and set-off of Client and house Contracts upon a CCP default | |
| 41.1 What are the rules with respect to the netting and set off of obligations with respect to Client and house Contracts in the event of a CCP default? | The Rules provide for a close-out netting between the CCP and the CM in the event of a default of the CCP (failure to pay event or insolvency event, see item 145 of the Base Module) on a per Standard Agreement basis, so that Client Contracts are not netted or set off with house Contracts.Hide noteChapter I Part 1 Numbers 7.3.2 and 9 |
| 42. Allocation of investment profits/losses in respect of Client collateral | |
| 42.1 Are investment profits/losses in respect of Client collateral borne by the CCP or are they distributed back to CMs? | See item 166.1 of the Base Module. |
| 42.2 If they are distributed to CMs, what is the basis of distributing profits/losses? | See item 166.2 of the Base Module. |
| 43. CCP investment of Client cash collateral | |
| 43.1 Do the Rules permit the CCP to invest Client cash collateral? | See item 153.1 of the Base Module. |
| 43.2 If so, what investments are permissible? | See item 153.2 of the Base Module. |
| 44. CCP rehypothecation of Client non-cash collateral | |
| 44.1 Does the CCP have the right to rehypothecate Client non-cash collateral under the Rules? | No. The CCP has only the right to rehypothecate non-cash collateral provided with respect to house business and default fund contributions. See items 94.1 and 156.1 of the Base Module. |
| 44.2 If so, are there any restrictions on this ability? | N/A. |
| 44.3 Will the proceeds or instruments received by the CCP be held in the same manner as the cash or non-cash collateral invested or rehypothecated by the CCP? | N/A. |
| 45. Name under which CCP investment/rehypothecation of CM/Client collateral is made | |
| 45.1 In case the CCP has the ability to invest/rehypothecate CM/Client collateral (per the items 43 – 44 above), please clarify if such investments/rehypothecations are made, in the name of the CM or Client or in the name of the CCP. | Investments (of margin in the form of cash) are made in the name of the CCP. See also items 153 and 156 of the Base Module.Note that there is no rehypothecation concept with respect to non–cash collateral under the Rules for NOSM.Hide noteChapter I Part 1 Number 3.4.2 |
| 46. Allocation of liability in respect of Client Contracts and collateral upon a CCP default | |
| 46.1 Upon a CCP default, do the Rules or other documentation specify any allocation of liability between the CM and Client in respect of the Client’s Contracts (or Client related Contracts in the principal model) and collateral? | Not addressed in the Rules. |
| Global Glossary of Terms and CCP Specific Glossary of Terms | Eurex Clearing AG – OTC IRS – Global Glossary (071823) |
| Archive – yearly blacklines | Eurex Clearing AG – OTC IRS – CCM 1 (01.23.26 against 01.20.25)Eurex Clearing AG – OTC IRS – CCM 1 (01.20.25 against 01.24.24)Eurex Clearing AG – OTC IRS – CCM 1 (01.24.24 against 01.13.23)Eurex Clearing AG – OTC IRS – CCM 1 (01.13.23 against 01.26.22)Eurex Clearing AG – OTC IRS – CCM 1 (01.26.22 against 01.22.21)Eurex Clearing AG – OTC IRS – CCM 1 (01.22.21 against 01.31.20)Eurex Clearing AG – OTC IRS – CCM 1 (01.31.20 against 12.03.18)Eurex Clearing AG – OTC IRS – CCM 1 (10.31.19 against 12.03.18)Eurex Clearing AG – OTC IRS – CCM 1 (06.15.19 against 08.24.18) |
| Archive spreadsheet | Eurex Clearing AG – OTC IRS – CCM 1 (01.23.26 against 10.18.25)Eurex Clearing AG – OTC IRS – CCM 1 (10.18.25 against 07.12.25)Eurex Clearing AG – OTC IRS – CCM 1 (07.12.25 against 04.17.25)Eurex Clearing AG – OTC IRS – CCM 1 (04.17.25 against 01.20.25)Eurex Clearing AG – OTC IRS – CCM 1 (01.20.25 against 10.18.24)Eurex Clearing AG – OTC IRS – CCM 1 (10.18.24 against 07.18.24)Eurex Clearing AG – OTC IRS – CCM 1 (07.18.24 against 04.16. 24)Eurex Clearing AG – OTCIRS – CCM 1 (04.16.24 against 01.24.24)Eurex Clearing AG – OTC IRS – CCM 1 (01.24.24 against 10.18.23)Eurex Clearing AG – OTC IRS – CCM 1 (10.18.23 against 07.18.23)Eurex Clearing AG – OTC IRS – CCM 1 (07.18.23 against 04.18.23)Eurex Clearing AG – OTC IRS – CCM 1 (04.18.22 against 01.13.23)Eurex Clearing AG – OTC IRS – CCM 1 (01.13.22 against 10.17.22)Eurex Clearing AG – OTC IRS – CCM 1 (10.17.22 against 07.14.22)Eurex Clearing AG – OTC IRS – CCM 1 (07.14.22 against 04.12.22)Eurex Clearing AG – OTC IRS – CCM 1 (04.12.22 against 01.26.22)Eurex Clearing AG – OTC IRS – CCM 1 (01.26.22 against 10.21.21)Eurex Clearing AG – OTC IRS – CCM 1 (10.21.21 against 07.21.21)Eurex Clearing AG – OTC IRS – CCM 1 (07.21.21 against 04.23.21)Eurex Clearing AG – OTC IRS – CCM 1 (04.23.21 against 01.22.21)Eurex Clearing AG – OTC IRS – CCM 1 (01.22.21 against 10.23.20)Eurex Clearing AG – OTC IRS – CCM 1 (10.23.20 against 07.22.20)Eurex Clearing AG – OTC IRS – CCM 1 (07.22.20 against 04.28.20)Eurex Clearing AG – OTC IRS – CCM 1 (04.28.20 against 01.31.20)Eurex Clearing AG – OTC IRS – CCM 1 (01.31.20 against 10.31.19)Eurex Clearing AG – OTC IRS – CCM 1 (10.31.19 against 06.15.19)Eurex Clearing AG – OTC IRS – CCM 1 (06.15.19 against 12.03.19)Eurex Clearing AG – OTC IRS – CCM 1 (12.03.18 against 08.24.18)Eurex Clearing AG – OTC IRS – CCM 1 (08.24.18 against 05.17.18) |
| Diagrams | Hide noteEurex Clearing AG (OTC) – Waterfall StructureEurex Clearing AG (OTC) – Default Liability of a Withdrawing CMEurex Clearing AG (OTC) – Porting Process for Client Contracts |
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