EurexOTC Clear Services. NCMF Clearing Conference January, 2013
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1 EurexOTC Clear Services NCMF Clearing Conference January, 2013
2 Compliance with regulatory initiatives dependent on timelines Rule Set Scope Assessment Global Basel III CPSS - IOSCO Strengthen banking sector regulation, supervision and risk management Improve shock absorption, risk management, governance and banks' transparency and disclosures Review of existing standards for financial market infrastructures (FMIs) e.g. CCPs, SSSs, CSDs and TRs New and more demanding international standards for FMIs to be more robust & better placed to withstand financial shocks. To avoid regulatory arbitrage, all regions to adopt requirements Latest proposal on capitalisation of bank exposures to CCPs to be finalised New Principles have been recently published on April 16; consultation for assessment methodology closed mid 2012 Finalisation timeline not clarified yet EMIR Reporting and clearing obligation for OTC derivatives, and defining measures reducing risks of bilaterally cleared OTC derivatives Common rule setting for CCPs and trade repositories Regulation (Level 1) in force since 16 August 2012 ESMA published approx. timelines for reporting, reconciliation and clearing Europe CRD IV The Capital Requirements Directive transposes Basel III requirements into European Regulation In Europe it is high priority to pursue Basel III standards, currently subject to frequent amendments Publication date of final version uncertain MiFID Creating a robust common regulatory framework for Europe's securities markets Leading to greater market transparency and efficiency, as well as investor protection EU Commission proposals on regulation and directive published in Q Currently discussions within EU Council and Parliament; timeline for adoption not clear yet US Dodd - Frank Promote financial stability of the US by improving accountability and transparency in the financial system Protect American taxpayer by ending bailouts, to protect consumers from abusive financial services practices Dodd-Frank Act partly in effect already Uncertainty around extra-territoriality 2
3 Eurex Clearing offers Central Counterparty Services for multiple asset classes across multiple markets Providing the perfect foundation for your OTC business needs Market Participants Eurex Exchanges (Derivatives) EurexOTC Frankfurt Stock Exchange (Equities, ETFs) Irish Stock Exchange (Equities) Eurex Bonds (Bonds, Basis) Eurex Repo (General collateral, Specials) Securities Lending EEX (Emissions rights, power, natural gas, coal) Eurex Clearing Central Securities Depositories International Central Securities Depositories SIX SIS Clearstream Banking Frankfurt / Luxembourg Euroclear Bank Euroclear UK & Ireland 3
4 Combining the flexibility of the OTC market with the advantages of exchange-traded derivatives Equity Equity Index *EURO STOXX 50 SMI *Euro-Schatz Interest Rates *One-Month EONIA Dividend & Volatility EURO STOXX 50 Dividend DAX OMXH25 *Euro-Bobl *Three-Month EURIBOR EURO STOXX Select Dividend 30 Euro EURO STOXX / STOXX Europe Large MSCI Japan *Euro-Bund * Euro-Buxl DivDAX Dividend OTC Listed GBP USD CHF EURO STOXX / STOXX Europe Mid EURO STOXX / STOXX Europe Small EURO STOXX Sector Index MDAX Mid Cap Variance futures Under analysis OTC equity derivatives MSCI Russia SENSEX Kospi TecDAX *Euro-BTP *Euro-OAT (launched 16 April) Swap futures Under analysis SMI Dividend DAX Price Index Dividend VSTOXX Individual dividend on EURO STOXX 50 components OTC interest rate derivatives IRS - fixed versus floating, basis, OIS and FRA s * Available for trading in the US 4
5 EurexOTC Clear IRS enhances our established OTC facilities Combining the flexibility of the OTC market with the advantages of exchange-traded derivatives 100% OTC Trades - Constant Part of the Business Supports bilateral off-exchange trading of standard Eurex products in large block sizes and customised futures and options. 70% of the high growth dividend futures product is entered via this facility Cleared Volume 90% 80% 70% 60% 50% 40% 30% Average number of contracts traded per month in 2012 approx. 120 million 20% 10% 0% May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Percentage OTC Trades Percentage Listed Trades Allows traders to tailor their trades to meet their individual needs by defining any of the following parameters: Exercise Price Expiration Date Exercise Style (American or European) Settlement Type (Cash or Physical) 5
6 Eurex Repo GC Pooling market Take advantage of secured funding GC Pooling Market has become the benchmark of electronic trading for secured funding transactions in Europe The GC Pooling Market ensures straight-through processing with automated connectivity to Eurex Clearing AG as central counterparty and the settlement organization Clearstream Banking Benefits of GC Pooling Re-use of received collateral for the Eurex Clearing margining process allowing participants to use GC Pooling collateral to fulfil their overall Eurex Clearing margin obligations Re-use of received collateral to pledge to ECB / Bundesbank and refinance within the framework of European Central Bank open market operations 6
7 EurexOTC Clear Eurex Clearing provides innovative clearing services to address your requirements in the new regulatory environment Client Asset Protection - our unique Individual Clearing Model offers the maximum protection and portability of positions and collateral. Cross margining - portfolio margining across your listed and OTC business. Regulatory capital netting - under Basel III taking offsets between futures, swaps, repos and more products into account. Robust risk management - capabilities to ensure market integrity and stability, with a spotless track record managing defaults. Collateral management services - accepting a broad range of collateral. "One-Stop shop" for all your OTC & listed clearing needs. 7
8 EurexOTC IRS product rollout Product expansion decided in close consultation with OTC Product Committee Type Currencies Maturity Supported types Other characteristics IRS EUR, GBP, USD CHF Up to 50 Years Up to 30 Years Plain Vanilla (fixed/float) Basis/Tenor (float/float) OIS EUR, GBP, USD, CHF Up to 3 Years Plain Vanilla (fixed/float) FRA EUR, GBP, USD, CHF Up to 2 Years Plain Vanilla (fixed/float) Front end stubs, forward starts EUR (Euribor) and GBP (Libor), 1m, 3m, 6m, 12m USD and CHF (Libor) 1m, 3m, 6m Additional products and features in focus for Q1 2013: Zero coupon swaps Compounding flat & straight Variable notional Amortizing & roller coaster Variable spreads & fixed coupons Linear Interpolation, front and back stubs Negative interest rates IMM Rolldates Additional calendars (Frankfurt, Paris, Madrid, Brussels, Milan and Tokyo) Up to 6 fee payments during lifetime of swap Other; 6% CAD; 1% SEK; 1% JPY; 12% CHF; 1% GBP; 8% EUR; 36% USD; 33% Data from 8
9 Risk Management EurexOTC Clear IRS January, 2013 Eurex Clearing Prisma ensures consistency between default management process and risk margining method The default management process requires that the liquidation in case of a clearing member (CM) default will be on portfolio level and not on position level Eurex Clearing plans to introduce portfolio margining combining its OTC and listed business Guiding principle default management process Minimize losses to the clearing house s Lines of Defense Minimize the effect and disruption on the membership and the wider market Guiding principle Prisma risk margining method Portfolio margin off-sets can only be granted for portfolios which are liquidated at the same point in time Auctions shall be employed to ensure that the clearing house is able to quickly establish a fair price for the portfolios and to transfer them to buyers while minimizing market impact 9
10 Benefits are derived through the methodical cornerstones of the next generation risk management model Key benefits for customers through the new risk methodology Capital efficiency Higher capital efficiency through risk calculation on portfolio basis 1 2 Accuracy Cross-product scenarios enabling a consistent way to account for portfolio correlation and diversification effects Central benefits 3 Robustness Stable margin requirements with adjustments for concentration, uncertainty in correlations and changes in the volatility level 5 4 Consistency Aligned risk and default management framework between listed and OTC Flexibility Technically rapid new product introduction 10
11 Eurex Clearing focussed on providing maximum segregation and portability ECAG committed to enhancing the existing clearing service by offering customers different levels of segregation and portability Background Growing demand from clients for solutions addressing the requirements for Client Asset Protection In August 2011, Eurex Clearing (ECAG) successfully launched the Individual Clearing Model (ICM); The first segregated Non Clearing Member (NCM) was admitted in September 2011 ECAG is continuously developing further solutions to cover different customer needs and to be in line with regulatory initiatives that will be implemented during 2013 Benefits Maximum protection for clients under a secure legal construct Segregation of client margin collateral mitigating the impact on clients in the event of a CM s default Portability of positions enabling continued trading in the event of their CM s default Portability of client margin collateral in the event of a CM s default Further capital efficiencies with upcoming regulations Compliance with upcoming regulatory requirements 11
12 Client Asset Protection - Segregation model overview ECAG offers different segregation models designed to satisfy customers wish for level of segregation as well as to be in line with regulations Model Characteristics Benefits Individual Clearing Model Fully segregated accounts for collateral Based on Title transfer, close-out netting and receivable pledges Maximum segregation and portability Full portability of assets (not cash equivalent) Capital efficiency (2% risk weighting) Flexible Account Structure within ICM Extension of ICM model to cover more flexible structures for fund structures Same protection as ICM for segregation and portability purposes, but on a more granular level Net Omnibus Clearing Model Applicable for Listed derivatives UK CMs and in line with the UK CASS rules Omnibus segregation of client transactions and margin on CCP level Net margin call on omnibus account Supports segregation of collateral for non-disclosed clients under the UK CASS rules Elementary Clearing Model Segregation on Clearing Member Level (not Clearing House Level) No new documentation required Net margin call 12
13 Collateral management EurexOTC Clear IRS January, 2013 Eurex Clearing offers a variety of services to guarantee optimal usage of provided collateral Eurex Clearing Admissible Collateral* Bonds** Government Corporate State Agencies Mortgage Equities** DAX Euro STOXX 50 SMI Cash EUR CHF USD GBP Other Xetra Gold Certificates Value proposition Eurex Clearing accepts a broad range of securities as collateral, approximately 25,000 ISINs Online processing including collateral substitution Real time update of collateral balances Benefits for buy-side Denominated in EUR, USD, CHF, JPY, GBP, DKK, NOK, SEK, AUD and CAD Denominated in EUR and CHF Denominated in EUR Usage of available securities from investment portfolio Avoidance of collateral upgrades for Initial Margin requirements 13
14 Eurex Clearing: Safer and more efficient markets Eurex Clearing s main concern is to provide a safer market, which is needed if financial products are to deliver their full economic benefits. A safer derivatives market is transparent, to inspire trust It s efficient, so processes are simple and capital costs are lower It ensures that investors positions are protected And above all it s neutral, so that counterparty risk is mitigated Which is exactly what Eurex Clearing helps to provide. Because the more people have faith in the markets, the more they ll feel clear to trade. 14
15 Eurex 2012 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the Eurex Exchanges. All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only. Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so. Eurex derivatives (other than EURO STOXX 50 Index Futures contracts, EURO STOXX Select Dividend 30 Index Futures contracts, STOXX Europe 50 Index Futures contracts, STOXX Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures contracts, Dow Jones Global Titans 50 IndexSM Futures contracts, DAX Futures contracts, MDAX Futures contracts, TecDAX Futures contracts, SMIM Futures contracts, SLI Swiss Leader Index Futures contracts, Eurex inflation/commodity/weather/property and interest rate derivatives) are currently not available for offer, sale or trading in the United States or by United States persons. Trademarks and Service Marks Buxl, DAX, DivDAX, eb.rexx, Eurex, Eurex Bonds, Eurex Repo, Eurex Strategy WizardSM, Euro GC Pooling, FDAX, FWB, GC Pooling,,GCPI, MDAX, ODAX, SDAX, TecDAX, USD GC Pooling, VDAX, VDAX-NEW and Xetra are registered trademarks of DBAG. Phelix Base and Phelix Peak are registered trademarks of European Energy Exchange AG (EEX). The service marks MSCI Russia and MSCI Japan are the exclusive property of MSCI Barra. itraxx is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurex or itraxx Europe 5-year Index Futures, itraxx Europe HiVol 5-year Index Futures and itraxx Europe Crossover 5-year Index Futures. Eurex is solely responsible for the creation of the Eurex itraxx Credit Futures contracts, their trading and market surveillance. ISDA neither sponsors nor endorses the product s use. ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc. IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives. SLI, SMI and SMIM are registered trademarks of SIX Swiss Exchange AG. The STOXX indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto. Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSM and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products. All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited, which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced. PCS and Property Claim Services are registered trademarks of ISO Services, Inc. Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc. BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE. Any violation of the above would constitute an offence under the laws of India and international treaties governing the same. The names of other companies and third party products may be trademarks or service marks of their respective owners. 15
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