EurexOTC Clear: Clearing of interest rate swaps and forward rate agreements with highest safety and efficiency

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Vincent Ross
7 years ago
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1 June 2015 EurexOTC Clear: Clearing of interest rate swaps and forward rate agreements with highest safety and efficiency Although the clearing obligation for OTC derivatives has been pushed, and firms may not be impacted until 2016 or even 2017, many are already onboarding and looking to an early adoption of voluntarily clearing. This is mainly being driven by new regulation and capital rules, which are driving financial institutions to look at how they can improve their capital, margin and collateral efficiencies. Efficiency Safety State of the art risk and default management capabilities and experience A variety of strong segregation models available across exchange-traded and OTC derivatives Capital efficiency Our product legal framework allows for maximum risk exposure netting across listed and OTC derivatives Capital efficient direct clearing models Margin efficiency Eurex Clearing Prisma enables for portfolio margining across listed and OTC products along the complete interest rate curve Full interest rate derivatives coverage Collateral efficiency Broad eligible collateral spectrum of more than 25,000 ISINs covering government and corporate bonds as well as equities Integrated collateral re-use and transformation possibilities with our repo and securities lending CCP services Our solution Increasing capital and collateral requirements across the derivatives and securities financing business keep raising costs for market participants, sell side and buy side alike. At Eurex Clearing, we provide innovative and integrated solutions across exchangetraded and OTC derivatives as well as securities financing. Our solutions are geared to improve your economics and help you tap into new opportunities arising from the new regulatory framework. Unlock the full benefits of a CCP leverage our superior solutions and services to maximize your capital, margin and collateral efficiencies. 1

2 Product scope Eurex Clearing is the market leader in European interest rate derivatives in terms of volume and scope. Euro interest rates derivatives product scope at Eurex Group Euro-Bund Euro-Bobl EURIBOR Euro-Schatz EONIA Short-term IR Long-term IR Eurex Clearing Euro-OAT (5Y, 10 Y) EUR Secured Funding Futures Euro-BTP (2Y, 5Y, 10 Y) clearing Swaps* Deliverable Swap Futures Interest rate product scope Type Currencies Maturity Supported types EUR, GBP, USD 50 years CHF, JPY 30 years Basis/tenor (float/float) OIS CHF 30 years FRA CHF, JPY 2 years Other characteristics ISDA, German framework agreements Constant notionals Front, end stubs, forward starts EUR (EURIBOR) and GBP (Libor), 1m, 3m, 6m, 12m USD, CHF and JPY (Libor) 1m, 3m, 6m Zero-coupon Variable notional amortizing & roller coaster Negative interest rates IMM roll dates Variable spreads & fixed coupons Compounding 2 * Launch planned for June 2015, subject to regulatory approval.

3 Providing margin efficiency across interest rate derivatives and OTC Eurex Clearing Prisma allows portfolio margining not only across tenors and currencies, but also across interest rate products. Portfolio margining overview Government bond derivatives Interest rate swaps Money market futures OTC Euroswap futures Listed swaps Products Portfolio margining Tenors Currencies 1m, 3m 2Y, 5Y, 10Y, 30Y, 50Y FRF, JPY Product spreads Type Government bond future (GBF) Interest rate swaps () Money market futures (MMF) swaps (IS) Euro-Swap Futures (DSF) GBF 50% 60% 85% 50% MMF 65% IS 65% DSF By continuously providing smart solutions for your OTC business, we are keeping you clear to trade. 3

4 For more information please contact Clearing Relations U.K. Representative Office Westferry House 11 Westferry Circus, Canary Wharf London, E14 4HE United Kingdom T eurex.clearingrelations@eurexlcearing.com Visit us at or follow us on Order Number: C1E ARBN Number: Eurex Frankfurt AG ARBN This publication is provided solely for information purposes and does not purport to be complete. No representation or warranty is given with respect to the accuracy or completeness of the information herein. Additional information is available from Eurex Clearing AG upon request. Only Eurex Clearing AG s Clearing Conditions and further legal documents should be the basis for your legal and commercial assessment of Eurex Clearing AG s clearing models and further structures. The content of this publication is restricted to a descriptive summary. It does not provide (and does not purport to provide) any analysis of, or legal advice regarding, any legal, accounting or other effects of the Clearing Conditions or Eurex Clearing AG s clearing models or clearing structures. This publication has been prepared with respect to Eurex Clearing AG s structures and legal documents as of the date mentioned above. 4

5 June 2015 EurexOTC Clear: Strong development in 2015 Volumes Members More than 100 Clearing Members for interest rate derivatives, thereof 42 Clearing Members Over 400 disclosed clients from 35 countries globally, thereof 84 disclosed clients Average daily volume of 2 million contracts with a daily notional of over EUR 275 billion cleared in listed interest rate derivatives in Q1/2015 Thereof OAT and BTP with almost 200,000 contracts per day and y-o-y growth of over 60% OTC cumulated cleared volume of roughly EUR 180 billion Average daily notional volume in Interest Rate Swaps* Apr 13 Jul 13 Oct 13 Jan 14 Apr 14 Jul 14 Oct 14 Jan 15 Apr 15 Average notional value (in billion EUR) Average daily outstanding notional volume (in billion EUR) * At date 31 May 2015

New access models for the buy side ISA DIRECT

New access models for the buy side ISA DIRECT London, May 9 2016 Matthias Graulich, Chief Strategy Officer, Member of the Eurex Clearing Executive Board Why ISA Direct Responding to Change 1 2 Capital