Eurex Otc Clear Services

Clearing services
EurexOTC Clear for IRS EMIR QCCP

June 2014
www.eurexclearing.com
EurexOTC Clear IRS June 2014
Eurex Clearing Overview
EurexOTC Clear for IRS
Risk management
Client Asset Protection
Collateral management
Key contacts
Agenda
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Core competencies
Eurex Clearing Central component of the silo structure of Deutsche Brse Group
*OTC: Over The Counter, FWB: Frankfurter Wertpapierbrse, ISE: Irish Stock Exchange, EEX: European Energy Exchange
Information
Streaming data feeds
Physical terminals
Indices
Trading
Operate open electronic
books
Connectivity to
international trading
members
Clearing
Verification of trade-
related information
Margining
Risk management
Position & trade
management incl. give-
up/take-up
Exercise &
assignment/notification
& allocation
Netting services
Delivery management
Settlement
Delivery of securities
Financing services
Securities lending &
borrowing
Custody
New issues services
Income & redemption
payments
Tax services for both
release at source and
claims
Corporate action
notification &
processing
Proxy voting service
Information Services
Eurex/OTC*
FWB/ISE
Eurex Bonds
Eurex Repo
Eurex Clearing
Clearstream Banking
(Frankfurt and Luxembourg)
IT services and software development (Deutsche Brse MD&S)
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We will continue to integrate our products and services, not only across Eurex Clearing but across Eurex and Clearstream to provide
sustainable capital and operational efficiencies
European leader in long-
term interest rate futures
and options 2.2mn
contracts with EUR 285bn
notional cleared every day

333 clearing licenses in 17
European countries

545 Non-Clearing Members

More than 6.7 million
cleared derivatives
contracts daily

EUR 205bn notional
outstanding in January 2014

Clearing of different
products under a single
legal netting set and
liquidation structure can
lower capital and funding
requirements

Integrated cross-product
structures and significant
existing exposures can
lower default fund capital
requirements

Large spectrum of eligible
collateral, re-use of other
assets (e.g. GC pooling)
and access to central-bank
accounts can mitigate
funding requirements

Lower risk Lower costs and capital Greater efficiency
Eurex Clearing is the only fully integrated CCP across
asset classes with a single legal netting structure
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5 5 Oliver Wyman
Netting
efficiency
Default fund
efficiency
Collateral
efficiency
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Multilateral risk netting may be complemented by cross-
product netting between OTC, exchange-traded and
cleared repo transactions
Balance sheet netting of exposure at default under a
single legal CCP construct and netting of positions in
Liquidation Groups for initial margin
Higher netting
efficiency lowers capital
and funding
requirements
Higher Default Fund
efficiency lowers capital
and funding
requirements
Higher collateral
efficiency lowers
funding requirements
Required default fund contributions depend on the risk
characteristics of the CCP
CCPs with significant existing exposures across products
under a single netting agreement and reflecting
segregation tend to lead to lower Default Fund contribution
and capital requirements
CCPs with a large spectrum of eligible collateral and
re-use of other assets (e.g. GC pooling) mitigate funding
issues for clients
CCPs with access to central bank accounts remove
double funding requirement for individual clearing brokers
Source: Eurex Clearing, Oliver Wyman analysis
An integrated cross-product CCP for all EUR-denominated products under a single netting agreement with
a large eligible collateral spectrum offers the highest efficiency
In light of tightening global regulation, an integrated CCP
model can increase cost efficiencies for clients

Cost of clearing may vary substantially across CCPs along 3 key drivers..
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Sell-side cost savings of clearing over
bilateral with initial margin
Bps of notional
Global dealer
Savings on
a baseline
CCP
Additional
cost
efficiencies
Savings on
Eurex
Clearing
Savings on a
baseline
CCP
Additional
cost
efficiencies
Savings on
Eurex
Clearing
+50-75% ~0.3-0.35 bps
~0.2 bps
3
2
1
Regional bank
~0.25-0.3 bps +65-100%
~0.15 bps
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2
3
Savings on
a baseline
CCP
Additional
cost
efficiencies
Savings on
Eurex
Clearing
Fixed income mutual fund
~2.0-2.4 bps +45-70%
~1.4 bps
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2
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Savings on
a baseline
CCP
Additional
cost
efficiencies
Savings on
Eurex
Clearing
~20-35 bps
-10 bps
2
3
Fixed income hedge fund
Buy-side cost savings of clearing over
bilateral with initial margin
Bps of AuM
Netting
efficiency
Cross-product exposure
netting and cross-margining
Default
fund
efficiency
Integrated, segmented
default fund structure

Collateral
efficiency
Large eligible collateral
spectrum, re-use of assets &
central bank acc.
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Banks can improve cost efficiencies of central clearing
substantially on a diversified CCP such as Eurex Clearing
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7 7 Oliver Wyman
The benefits of an integrated CCP become much more
pronounced for leveraged buy-side firms
0.1 1.5
0.1
2.5
1.5
100 150
10
35
Savings of cleared vs. bilateral trades with IM
in bps of assets under management
Leverage
(notional interest
rate derivatives
over assets under
management)

Non-leveraged buy-side firm
savings on Eurex Clearing
Insurer
Mutual
fund
Hedge fund
Perspectives
Differences on the buy-side are
primarily driven by
Leverage in the portfolio
CCP netting efficiencies
Differences in efficiencies
between CCPs become more
pronounced the higher the
leverage
For buy-side firms with a relative
small OTC interest rate portfolio
(e.g. insurers), cost differentials
are less relevant
For a more leveraged buy-side
firm like a fixed income hedge
fund with a large OTC portfolio,
CCP efficiencies can have a
substantial impact on returns
Eurex Clearing
Baseline CCP
Source: Eurex Clearing, Oliver Wyman analysis
Leveraged buy-side firm
savings on Eurex Clearing
Hedge fund

Relationship of buy-side savings to leverage
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Value proposition
Integrated full
asset class offering
Breadth of the CCP service offering is key prerequisite to deliver efficiencies!
Can existing business be leveraged for operational and capital efficiency?
What are the differences in costs between CCPs?
Can I fulfil my margin requirements with assets in my investment portfolio?
What is my clearing fund contribution and what is my capitalization factor?
How does the buy side client benefit from the capital efficiencies?
Capital efficiency
Efficient collateral
management
Major aspects to be assessed
Protection and
portability of client
assets
The central counterparty is your counterpart. How safe is the CCP to
withstand defaults and crisis situations?
Are my assets protected? What is the risk if another counterparty fails?
Is portability possible? What is ported and when? What are the conditions?
Is the segregation service operationally viable? What are the costs?
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Proven and robust
CCP risk manager
Level of safety plus cost and capital efficiency are key
differentiators between the CCPs
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The safety of the CCP through its lines of defense is a
key criteria deciding where to clear
Values as of May, 2014
* Monthly average collateral value after haircut
Eurex Clearings lines of defense are crisis proven default fund has never been
employed.
Lines of Defence
before Eurex
Clearings capital
sum up to more
than 7.5 bn
Remaining equity of Eurex
Clearing AG
Assessments to
the Clearing Fund
Approx. 249 m, Eurex Clearing
thus fully EMIR compliant
Min. 1.0 m (DCM) or 5.0 m (GCM)
Total collateral held at Eurex Clearing
approx. 48.35 * bn
Close-out of all positions
Approx. 2.84 bn
50 m
Position netting
Collaterals of Member
in default
Clearing Fund contribution
of Member in default
Dedicated amount of Eurex
Clearing AG
Clearing fund contribution
of other Members
Coverage
in normal
market
conditions
(Lehman/
MF Global)
Coverage in
extreme
market
conditions
Max 2 assessment limit liability of CM to 3x
prefunded clearing fund contribution
Eurex Clearing lines of defense
Parental Guarantee
700 m guaranteed by Deutsche Brse AG
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Key operational differentiators to be assessed
between CCPs
Early return of cash removes double funding
Early return of cash reduces counterparty risk and funding costs to the CCP
Central bank access provides liquidity in a crisis and reduces systemic risk
Direct delivery of cash and securities removes operational cost / burden for CM
Approx. 30,000 eligible securities lowers funding costs of IM and DF
GC Pooling allows re-use of securities to cover IM requirements
Intraday return of cash
Single margin call across all asset classes
Direct delivery of cash and securities means no transit risk
Full protection of client excess allows pre-funding at no risk
Full protection of clients own assets means no liquidation risk / no replacement risk
No mutualization of risks with fellow customers
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Efficient collateral
management
Portability and legal
certainty
Central Bank access
Portability of clients actual / own assets in CM default
Ability to become Interim Participant allows 5 + days for porting
Legal certainty for clients and Clearing Members domiciled in EU
Legal certainty for porting, close-out netting and protection of assets at fund level
Protection and
segregation
10
Key operational differentiators to be assessed
between CCPs
5 day MPOR applied to OTC IRS for both house and client accounts lowers margin
requirement, which lowers DF and funding costs
which lowers DF contribution which lowers capital cost and lowers funding cost
0% capital risk weight for house collateral
2% capital risk weight for individual segregation
Efficiencies

Lower DF means lower funding costs
Lower IM means lower funding costs
30,000 eligible securities lowers funding costs of IM and DF
GC Pooling allows re-use of securities
Near real-time margins and intraday return of cash removes double funding for clients
and reduces funding costs on risk reducing positions
Cross asset class CCP with single legal netting lower EaD which lowers capital costs
Cross product margins in Liquidation Groups
Payment netting across asset class with a single margin call
CRR opinions
DF segmentation decreases total size of CF by 40%
DF allocated as 7% of IM.
Cross margins lowers IM by 20 40% and hence DF contribution
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Lower capital costs
Netting efficiencies
Efficient Default
Fund
Lower funding costs
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Risk management
Key contacts
Agenda
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13 13 Oliver Wyman
We have seen a significant increase in new CMs & RCs
33 OTC IRS Clearing Members admitted and over 141 Registered Customers onboarding
Union Invest first major KVG live in Individual Segregation with approx. 100 underlying funds
Admitted Clearing Members:
13
14 14 Oliver Wyman
CRD IV
Clearing demand
Liquidity
Collateral
End clients
New capital requirements
introduced in Jan 2014
Mid tier European banks
becoming direct CMs and
increasing Eurex activity
Liquidity provided by all
major broker dealers
GC pooling collateral re-
use and late return of
Central Bank cash
Over 140 RCs have
qualified for the fee
waiver and many
starting to actively clear
Fee waiver
No OTC IRS clearing fees
until Jan 2016
Eurex Clearing volumes have increased significantly
since the beginning of 2014
0
5,000,000,000
10,000,000,000
15,000,000,000
20,000,000,000
25,000,000,000
Sep Oct Nov Dec Jan Feb Mar Apr
CHF
EUR
Total (EUR)

Outstanding Total turnover

EUR 11,557,000,000 14,457,000,000

CHF 14,156,100,000 17,056,100,000

Total (EUR) 21,420,949,281 28,470,721,062

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Currencies:

Types:
Vanilla IRS (Fix vs Float)
Basis swap (Float vs Float)
OIS, FRA
Zero coupon
Compounding
Variable notional
Structures:
Spot, forward start & stub periods,
linear interpolation
EUR (EURIBOR) and GBP (LIBOR),
1m, 3m, 6m, 12m
USD and CHF (LIBON) 1m, 3m, 6m
EUR USD GBP CHF
Product description
JPY
OTC derivative classes
Derivative
classes
Current Product classes
Asset-class Type Underlying 1 Notional Currency
Settlement
Currency
Maturity/Range of
maturities/Tenor
Settlement
conditions
Range of payment
frequency
Interest Rate Fixed to Float EURIBOR EUR EUR 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate Fixed to Float LIBOR CHF CHF 2D-30Y Cash 1M, 3M, 6M
Interest Rate Fixed to Float LIBOR USD USD 2D-50Y Cash 1M, 3M, 6M
Interest Rate Fixed to Float LIBOR GBP GBP 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate Fixed to Float EURIBOR EUR EUR 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate Fixed to Float LIBOR CHF CHF 2D-30Y Cash 1M, 3M, 6M
Interest Rate Fixed to Float LIBOR USD USD 2D-50Y Cash 1M, 3M, 6M
Interest Rate Fixed to Float LIBOR GBP GBP 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate Basis EURIBOR EUR EUR 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate Basis LIBOR CHF CHF 2D-30Y Cash 1M, 3M, 6M
Interest Rate Basis LIBOR USD USD 2D-50Y Cash 1M, 3M, 6M
Interest Rate Basis LIBOR GBP GBP 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate Basis EURIBOR EUR EUR 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate Basis LIBOR CHF CHF 2D-30Y Cash 1M, 3M, 6M
Interest Rate Basis LIBOR USD USD 2D-50Y Cash 1M, 3M, 6M
Interest Rate Basis LIBOR GBP GBP 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate OIS EONIA EUR EUR 2D-3Y Cash 1M, 3M, 6M, 1Y
Interest Rate OIS TOIS CHF CHF 2D-3Y Cash 1M, 3M, 6M
Interest Rate OIS Fed Fund USD USD 2D-3Y Cash 1M, 3M, 6M
Interest Rate OIS SONIA GBP GBP 2D-3Y Cash 1M, 3M, 6M, 1Y
Interest Rate FRA EURIBOR EUR EUR 28D-2Y Cash 1M, 3M, 6M, 1Y
Interest Rate FRA LIBOR CHF CHF 28D-2Y Cash 1M, 3M, 6M
Interest Rate FRA LIBOR USD USD 28D-2Y Cash 1M, 3M, 6M
Interest Rate FRA LIBOR GBP GBP 28D-2Y Cash 1M, 3M, 6M, 1Y
Interest Rate Fixed to Float LIBOR JPY JPY 2D-50Y Cash 1M, 3M, 6M, 1Y
Interest Rate Fixed to Float LIBOR JPY JPY 2D-50Y Cash 1M, 3M, 6M, 1Y
EurexOTC Clear for IRS was launched in Nov. 2012 and
was authorized as a QCCP on 10 April 2014
15
Initiative Description Planned launch
Products
enhancements
Inflation swaps Nov 2014
Swap futures Jun 2014
Swaptions N/A
IRS CCY expansion Nordics Planned 2015
Extension of OIS maturities Nov 2014
Combination of stub periods Nov 2014
Introduction of OIS for JPY Nov 2014
Service
enhancements
ECAG advanced netting Nov 2014
TriOptima D2d linked compression N/A
TriOptima D2d/ client unlinked compression Nov-14/ Q1-2015
Bloomberg VCON connectivity (Trade Source/ Capture) Q2 2014
OTC Margin Calculator enhancements May 2014
Cross Margining Prisma May 2014
Fund level cross margining Sep 2014
Product/ service roadmap
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More than 1.9bn contracts were cleared on Eurex Clearing in 2013
Central Bank
TARGET2 / SNB
Trade Warehouse
Central
Depository
Confirmed Trade
MarkitSERV/VCON Affirmation/Confirmation
platforms
Affirmation/
confirmation
Margin payments Collateral
Risk
Management
Position
Management
Risk management Position management
Eurex Clearing
CCP
Trade
execution
Executing Broker
Client
Execution
Trade Submission
Existing market
infrastructure
Front to back processing
Near time clearing
Direct access via
affirmation/ confirmation
platforms
Real time risk
Manage your risk and
positions intra-day
Secure payment
networks
Utilisation of Central
Bank money
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Collateral &
trade
warehouse
Eurex Clearing provides a flexible solution via existing
market infrastructure
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Deal
submitted
Eligibility
Check
CM take-up
trade?
Risk
Check
Collateral to
Novate?
Update to
MarkitWire
Legal CCP
Novation
OTC
Trade
Novation
Report
CI201
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Process Repeat
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MarkitWire submits allocated, affirmed and released
eligible deals for clearing
Eurex Clearing checks if the trade is eligible
Clearing Member takes-up the trade for clearing
ECAG performs a incremental risk check i.e. calculates
margin requirements and incremental portfolio increase
Eurex Clearing verifies if pending deals can be covered by
available collateral
If sufficient collateral is available ECAG will novate the
trade:
Trade novated immediately via OTC Trade
Novation CI200 report distributed
Trades updated to Cleared Status in MarkitWire
If sufficient collateral is not available, the trade returns to
incremental risk check.
After clearing cut-off, remaining pending as well as new
deals submitted during closure from MarkitWire are
queued for processing next day
Eurex Clearing issues daily overnight margin call covering
the entire portfolio risk.
Three times a day, ECAG will issue a margin call for
any trades that have not novated due to missing
collateral: 12:00, 14:00 & 18:00. A direct debit will
take place 1h after the call.
Any trades not novated by closure (22:00) are
included in the End-Of-Day overnight Margin calls
Take-up
Accept/
Reject
Novation flow - (Near) real-time clearing
Eurex Clearing will continuously novate trades during opening hours:
08:00-22:00 CET.
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Eurex OTC IRS Clear netting / accumulation functionality
O Eligible trades marked with the same netting string will be netted together (default)
Y Eligible trades marked with the same netting string will be netted together
Also, eligible trades without a netting string will be netted together (i.e. blank is a value)
N No netting will be performed on this account

Netting parameters Set per account
Eligible netting strings are a list of alphanumeric strings. Only these pre-defined eligible netting strings can be assigned as netting strings
on trade level for a particular Member.
Eligible netting strings can be defined via the data reference sheet as well as in the EurexOTC Clear GUI. Updates and changes to
eligible netting strings can be done in the EurexOTC Clear GUI.
Netting strings are assigned on a trade basis (MarkitWire upon affirmation, EurexOTC Clear GUI or API).
Eligible netting strings Set per Member (CM,RC)
Identical parameters to allow netting/accumulation
Product type
Account
Currency
Rate index
Rate index tenor
All future coupon dates
Maturity date
Current applicable fixed floating rate
Spread over floating rate
Day count convention (per leg)
Reset lag
Payment lag
Fixed rate
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Registered Customers can change the Clearing Member to which a trade is assigned to if:
Both have accepted the change via the GUI.
A risk check has been performed to ensure sufficient margin is in place.

Trades can be transferred to another account within the same Clearing Member, providing
there is sufficient margin available.
Registered Customers and Clearing Members can transfer trades, fully or partially, across
their accounts.

The Clearing Member or Registered Customers can change internal references or split trades
into smaller notional.
No risk check will be required.
In case of Registered Customer initiation the Clearing Member has to agree.

Clearing Members or Registered Customers can request that an inter dealer or client
clearing trade is de-cleared from Eurex Clearing to reverse an error trade.
The original bi-lateral counterparty must accept it.
A risk check has to be performed to ensure sufficient margin is in place.
The de-clear option is only available until end of the business day following the novation
day.

Account
transfer/ re-
allocations
Trade
amendment
Trade transfer
De-clear
Supported lifecycle events
Once trades have been successfully cleared and registered with Eurex Clearing, they
can be managed and amended.
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Netting/
accumulation
Trade rejection
Termination
Clearer change

Clearing Members and Registered Customers can request a full or partial trade termination
The other party has to accept the change.
Risk checks for sufficiency of margin have to be made.

The Clearing Member or Registered Customer can mark two or more offsetting trades (fully or
partially) for netting in order to close out two identical trades opposite or reversing trades.
It is also possible to add up the notional of two or more risk neutral trades (accumulation of
trades).
A new trade will be created with the outstanding notional of the original trades.

The Clearing Member or Registered Customer can request a trade rejection for trades that
are pending for novation due to missing collateral.
This allows members to reduce the risk emerging from OTC margin calls.
Both Clearing Members need to accept the rejection.

Registered Customers have the possibility to change their Clearing Member and to transfer
all open transactions to a new Clearing Member.
Before the open transactions can be moved an official transfer agreement has to be
signed by the old Clearing Member, the Registered Customer, the new Clearing Member
and Eurex Clearing.
Supported lifecycle events
21
With release 2.1, EurexOTC Clear Members have several
options for backloading trades
Standard MarkitWire GUI
Historical trades can be entered through the standard MarkitWire GUI

Internally developed API connection to MarkitWire
Variable functionality, depending on system
Requires an internal build on the part of the customer against the EurexOTC FpML Interface

MarkitWire Bulk Action Tool
Option for Members who do not wish to build against the FpML interface
MarkitWire offers support for new users of the MarkitWire Bulk Action Tool

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Bulk backloading processing (1/2)

Market participants (Executing Brokers and Clients) select trades with
a trade date in the past (older than 10 business days) and upload them

These trades are sent to EurexOTC Clear and will be processed
separately from new trades. These trades will need to pass the initial
validations and need to be taken up by the Clearing Member (client
clearing only) and will then be placed in the status BS_BACKLOADED

Every two hours starting at 09:00 CET a report including all trades in
status BS_BACKLOADED will be generated (CI218)

At 17:00 CET there is a cut-off time, all trades delivered to the system
after 17:00 CET will not be considered in that days novation cycle, but
will stay in that status until the next day

Starting 17:00 CET an incremental risk check for the backloaded
portfolio will be performed and a report (CI217 Preliminary
Backloading Margin Report) will be created notifying the clearing
member of the incremental risk (= forecasted margin requirement) of
the portfolio. The incremental risk in only calculated on a portfolio basis
No trades will be cleared based on this calculation

Bulk backloading will enable Members to load historic deals on block and clear them
without interfering with the intraday novation process
T-1
T
08:00
17:00
Members
submit trades
for bulk
backloading
EurexOTC processes
trades and CMs
perform take-up

Trades with trade
date -10 bus days
are moved to
BS_BACKLOADED
Portfolio risk check is performed
on trades in BS_BACKLOADED
and Preliminary Backloading Margin Report
is distributed
Times in CET
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Bulk backloading processing (2/2)
Bulk backloading will enable Members to load a huge number of historic deals and
clear them without interfering with the intraday novation process
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22:30
09:00
Portfolio risk check is performed
on trades in BS_BACKLOADED
which serves as basis for novation
and Preliminary Backloading Margin
Report
is distributed
21:00
Times in CET
T+1
Trades are legally novated or
Members with shortfalls are included
in the EOD OTC Margin Call
EOD OTC Margin Call needs to be
fulfilled

The Clearing Member and client have the possibility to post additional
securities collateral if required or to reject the trades until 21:00 CET.

At 21:00 CET a second incremental risk check for the backloaded
portfolio will be performed and the Preliminary Backloading Margin
Report (CC217) will be sent again. The clearing decision is based on
the 21:00 CET calculation.

The trades to be backloaded can be uploaded at any time of the day
until 22:00h but only trades accepted by 17:00 CET will be included in
the bulk backloading run on that day.

In case sufficient collateral is available at 22:00 CET the trades will
be novated and will appear as such in the EOD reports.

In case the collateral is not sufficient the backloaded trades will be
included in the regular EOD OTC Margin Call process.

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Access to the service for Clearing Members
General Clearing Members (GCM) may clear their own transactions and those of their
Registered Customers and clients that do not hold a clearing license
Membership
criteria
Liable equity
Access to the clearing system infrastructure of Eurex Clearing as well as being a user of an approved
trade source (ATS).
Default management obligations.
Cash accounts, EUR or CHF, USD and JPY cash accounts are required, also a GBP account if
clearing swaps in GBP.
Evidence of a pledge account at CBF or SIX SIS for deposit of securities collateral.
Each IRS OTC GCM must meet the minimum liable equity capital requirements of ECAG, being the
largest of the following amounts;
20 percent of the 30-day average of additional margin plus futures spread margin
20 percent of the 250-day average of additional margin plus futures spread margin
EUR 30 million
Requirements
Clearing Fund
Description
Each IRS OTC GCM must make a contribution to the Clearing Fund of ECAG, being the largest of the
following amounts;
7% of the 30-day average of the initial margin requirement
7% of the 250-day average of the initial margin requirement
EUR 5 million
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Access type
Access to the service for clients
Eurex Clearing will provide a variety of options for clients to connect indirectly
Requirements
To become a Registered Customer, the legal entity must have concluded a tripartite agreement with a
Clearing Member and Eurex Clearing AG.

A Member/user of an approved trade source (MarkitWire for Phase 1).

Access to the Common Report Engine.

As such, the primary relationship is between the client and the Clearing Member. Clearing Members
are entitled to set their own eligibility criteria for clients.

No direct relationship with Eurex Clearing AG.

The primary relationship is between the client and the GCM, therefore GCMs are entitled to set their
own eligibility criteria for clients.

A Member / user of an approved trade source (MarkitWire for Phase 1).

Volume incentives on transaction fees.

Zero collateral fee for Individually segregated accounts.

Lowest capital costs of any CCP due to c-factor of 0.5%.
Cost
Registered
Customer (CR)
Client
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Risk management
Key contacts
Agenda
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The Eurex Clearing Prisma portfolio risk management
module delivers significant benefits.

Margin efficiencies of Eurex Clearing Prisma highly depend on the size and structure
of a portfolio, but show up to 80 percent reductions in individual margin requirements.
Aligned Default Management process between listed and OTC.
Positions deemed suitable for simultaneous liquidation are
assigned to the same Liquidation Group.
Risk offsets are only granted within the same Liquidation Group
(e.g. equity, commodity or fixed income).
Consistency
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2
3
Central benefits
Adjustments to enable stable margin requirements: concentration,
uncertainty in correlations, model error adjustments if compression
is used.
Flooring for stability: stressed period scenarios and dynamic volatility
scaling to at least long-run volatility percentiles.
Robustness
More accurate risk-netting effects for listed, and also between listed
and OTC positions.
Higher capital efficiency for customers through risk calculation on
portfolio basis.
Capital
efficiency
Reduced time-to-market for new products. Flexibility
1
5
Cross-product scenarios enable consistent way to account for portfolio
correlation and diversification effects.
Risk covered at 99 percent through margin calculation consisting of
a mark-to-market component
a forward-looking component
an adequate liquidation time horizon
Accuracy
28
Eurex Clearing
LCH.Clearnet ICE Clear Europe
Long-term ETD
(Bund, Bobl, Schatz)
OTC / Swaps

Inefficient for participants from a margin & DF perspective
Plain vanilla IRS
Zero coupons
Overnight index swap
Variable notional swaps
Compounding swaps
FRAs
Euro-Bund, Bobl, Schatz, Buxl Futures
Long-, Mid, and Short-Term Euro-BTP Futures
Mid-,Long-Term Euro-OAT Futures
Options on Euro-Bund, Bobl, Schatz and Euro-OAT
Futures
E
U
R
O

I
R
S

F
i
x
e
d

I
n
c
o
m
e

Three-Month Euribor Futures & Options
1-4 year Euribor Mid-Curve Options
One-Month EONIA Futures

M
M

Additional efficiency from new products being delivered in 2014

EURO Deliverable Swap Futures, 2-, 5-, 10- and 30 year
Cash settled One-Month Euro Secured funding (Repo) Futures
Eurex Clearing PRISMA margin optimiser for Euro Derivatives
Short-term ETD
(Euribor)
Clearing IR Derivatives is Fragmented Across 3 CCPs
29
Cross-margining determines optimal allocation of
products considering liquidation horizon + margin offsets
* Depending on portfolio diversity
Overall initial margins for cross-margined portfolios might be lower which reflects risk reduction.
Without cross-margining With cross-margining
IRS and fixed income futures / futures-style options
are margined separately:
IRS with a 5 day liquidation horizon
Futures and futures-style options with a proposed two day
liquidation horizon
OTC IRS FI listed products
IR swaps
FI futures /
futures-style
options
2 day horizon
5 day horizon
Margin requirements:
Futures / future
-style options
OTC IRS
T
o
t
a
l

If IRS and futures positions are hedged:
Futures are transferred to the IRS split such that the reduced risk
is reflected in lower margins*
IRS+FI
IR swaps
FI futures / opt.
Allocation of
FI listed
products
that hedge IRS
exposure
FI-only
FI futures /
futures-style
options
2 day horizon 5 day horizon
Margin reduction by cross-margining:
Cross-margined
portfolio
Total

Lower costs through cross-margining OTC and listed positions
30
Calculated initial margin results for
Single position fixed income portfolios consisting of futures (long positions)
Compared with EUR single position swap portfolios (paying)
IM saving of portfolio margining is defined as 100% minus the initial margin of the portfolio divided by the sum of the initial
margins of the single positions.
The underlying swaps start at 4 July 2013
Valuation date is 4 July 2013
Initial margins for Prima OTC IRS Swaps and Prisma Cross FI OTC IRS margin calculated by means of robust VaR mean
99% with correlation break including liquidity adjustment.

Significant margin reduction for fixed income portfolios
-
500
1,000
1,500
2,000
2,500
3,000
3,500
T
h
o
u
s
a
n
d
s

E
U
R

Prisma OTC IRS Margin
RBM FI Margin
Prisma Cross FI OTC IRS Margin*
Portfolio 1
Portfolio 3
FI portfolios
Portfolio Position Quantity
IM savings in
case of Cross
Margining
Portfolio 1
FGBL_201309 359 70%
Portfolio 3
FGBM_201309 1000 62%
Swap portfolios
Portfolio Maturity Direction Notional
Portfolio 1 9Y Pay fix 50 Mio.
Portfolio 3 5Y Pay fix 119 Mio.
Comparison
Savings
60-70%
* Liquidity Adjustment calculated for aligned DMP excluding options
Eurex Clearing creates margin efficiency for strategy
trades such as the futures asset swap of up to 70%
31
Margin Calculator EurexOTC Clear for IRS
Prisma margin calculation for test portfolios allows Clearing Members and Registered Customers to
evaluate the indicative margin requirements that would be attributed to a portfolio of positions or trades.

The margin calculator supports the whole product scope of EurexOTC Clear, in particular IRS, basis,
OIS, FRAs, VNSs, compounding and zero coupon swaps. The tool is implemented as an on-line service.

The following functionalities are available in the Margin Calculator:

Download of a trade template
Trade/ portfolio upload and trade validation
Display and download of the result summary
What-if trade scenarios

Margin Calculator is a web-based tool used to calculate margins for OTC IRS products.

Outputs in GUI and for download include portfolio MtM, IM (including the breakdown of components),
and per trade MtM.

Access to the Margin Calculator via the OTC GUI, save portfolios in the GUI to re-run/edit in the future.

Utilization of an API (IRS only) to allow Members to submit portfolio for calculation.
Online tool for margin simulation to calculate test portfolios
32
Risk management
Key contacts
Agenda
33
Eurex Clearing qualified as a CCP under EMIR on 10 April
2014 and provides full segregation and portability
EMIR article 39 requires CCPs and Clearing Members to offer at a minimum omnibus and individual
segregation models.
After the Lehman and MF Global defaults, the demand for segregation increased as clients have faced issues
around uncertainty of porting, double funding, mutualization of client and CM risks from co-mingling of assets and
potential misuse of client collateral.
Individual models are intended to secure the positions and the collateral assets at all times in the event of
default of a Clearing Member or other clients of the clearing member.
Some local investment laws require asset managers to segregate assets at the fund level to prevent co-mingling
of positions and assets between the clearing broker, other clients and funds of the same fund company.
The Eurex Clearing EMIR disclosure document is available on our website:
http://www.eurexclearing.com/blob/clearing-en/51546/284984/6/data/EMIR_disclosure_document_39.pdf
ESMA finally provided clarity that individual client segregation requires that the actual assets of the client are
segregated and available for porting. Models which merely segregate the value of collateral due to the accounts of
clients, 'do not meet the requirement to offer individual client segregation (ESMA Q&A 5 August 2013).
34
Overview of segregation models permitted under EMIR
Tagged asset
Individual physical
custodian account
Disclosed
RC
Gross
Allocated value
Allocated asset
Net
Allocated
value/asset
O
m
n
i
b
u
s

s
e
g
r
e
g
a
t
i
o
n

E
M
I
R

3
9
(
2
)

Pos Coll
Margin Segregation Porting Risk
Operational
simplicity
Capital
charge
Eurex Clearing
services
4 %
4 %
I
n
d
i
v
i
d
u
a
l

s
e
g
r
e
g
a
t
i
o
n

E
M
I
R

3
9
(
3
)

2 %
2 %
Live
Very likely
Unlikely
None
High
Easy
Complex
Fellow
customer
Liqui-
dation
Replace-
ment
Transit
Gross
Live
Live*
35
*The ECM is live today and will be amended during December 2013 to implement legal
changes to fulfil EMIR segregation and portability requirements.
The UK CASS Net Omnibus Clearing Model is live.
NCM Non-Clearing Member
RC Registered Customer
MR Margin Requirements
Overview of omnibus and individual client segregation
models according to EMIR Article 39
RCs/NCMs collateral pool
Clearing Member
RC/NCM
positions
RC/NCM
positions
Collateral for Client omnibus segregated account
(asset based)/ Collateral allocation in proprietary
account (value based)
Affiliated
Agency
position
account
Affiliated
agency
collateral pool
RC/NCM
positions
RC/NCM
collateral
pool
ECM collateral account (asset or value based)
NOCM collateral account
Multiple omnibus segregated collateral account
(asset tagging available per pool)
ISA tagged or
individual
account
Net Net Net or gross Gross Gross Gross Gross
36
C
o
l
l
a
t
e
r
a
l

p
o
o
l
s

C
S
D

a
c
c
o
u
n
t
s

P
o
s
i
t
i
o
n

a
c
c
o
u
n
t
s

M
R

Margin
requirement
per position
account or
RC/NCM
Margin
requirement
per RC/NCM
Margin
requirement
per A
account
Margin
requirement
per A
account
Margin
requirement
per RC/NCM
Margin
requirement
per RC/NCM
Margin
requirement
per RC/NCM
Affiliate
positions (agency
or disclosed)
Agency
position
account
RC/NCM
positions
Omnibus Segregation Accounts (OSA)
Individual
Segregation
Accounts (ISA)
Affiliate
positions (agency
or disclosed)
RC/NCM (xn) collateral pool
Agency
position
account
Clearing Member
RC/NCM
positions
RC/NCM
positions
Collateral for Client omnibus segregated account
(asset based)/ Collateral allocation in proprietary
account (value based)
RC/NCM
positions
Client Individual
Segregation
Accounts
Client Omnibus Segregation Accounts
Affiliated
Agency
position
account
Affiliated
agency
collateral pool
RC/NCM
positions
RC/NCM
collateral
pool
Margin
requirement
per A account
Margin
requirement
per RC/NCM
Margin
requirement
per RC/NCM
Margin
requirement
per RC/NCM
Client omnibus segregation accounts
Client omnibus segregation is available under the Elementary Clearing
Model (ECM) or the Net Omnibus Model (NOCM), which offers UK CMs
the ability to comply with CASS. The omnibus models offer net or gross
margining at a client level.

Net omnibus segregation is available through Agency position accounts.
The ECM allows separation of positions into A1 and six further position
accounts (A2-A7). CMs for example may wish to separate affiliate
positions. The ECM has one collateral pool. The NOCM relies upon the
same operational and functional infrastructure but segregates positions
and collateral in compliance with the CASS rules. NOCM positions are
segregated into A9, which has a segregated collateral pool.

Gross omnibus segregation is available by disclosing the client to Eurex
Clearing. Each disclosed client (RC or NCM) has their own position
account and is therefore effectively gross margined.

Each position account is held on a gross position keeping basis and is net
initial margined.

Legal agreements
Eurex Clearing has no documentation requirements for Agency clients.

Disclosed clients are required to sign a tripartite agreement to register with
Eurex Clearing (Appendices 2 & 8)
C
o
l
l
a
t
e
r
a
l

p
o
o
l
s

C
S
D

a
c
c
o
u
n
t
s

Margin
requirement
per position
account or
RC/NCM
Margin
requirement
per A
account
37
P
o
s
i
t
i
o
n

a
c
c
o
u
n
t
s

M
R

Margin
requirement
per RC/NCM
ECM collateral account (asset or value based)
NOCM collateral account
In addition to the standard client omnibus segregation accounts, Clearing
Members can also offer multiple client omnibus segregation accounts
under the ECM (and the NOCM in due course). Each multiple client
omnibus segregation pool must have more than one client in the pool and
the Clearing Member can allow Agency net omnibus pools or disclosed
client pools. Additional Agency pools would utilise the A2-7 accounts.
There is no limit on the number of disclosed clients per multiple client
omnibus segregation pools. This model may be attractive to buy side
firms or clients who are happy to share risk mutualisation within their
group.

NOCM multiple client omnibus segregation accounts would be made
available when the proposed multiple client money rules are implemented
by the FCA.

Currently, Eurex Clearing will allow ten additional multiple client omnibus
segregated pools.

Each position account is held on a gross position keeping basis and is net
initial margined.

Legal agreements
Eurex Clearing has no documentation requirements for Agency clients.

Disclosed clients are required to sign a tripartite agreement to register with
Eurex Clearing (due for publication in June 2014)

Multiple client omnibus segregation accounts
(target launch date, 1 July 2014)
RC/NCM (xn) collateral pool
Affiliated
agency
collateral pool
Margin
requirement
per RC/NCM
Multiple omnibus segregated collateral account
(asset tagging available per pool)
Clearing Member
Multiple Client Omnibus Segregation Accounts
RC/NCM
positions
RC/NCM
positions
Affiliated
Agency
position
account
Margin
requirement
per RC/NCM
Margin
requirement
per A
account
38
C
o
l
l
a
t
e
r
a
l

p
o
o
l
s

C
S
D

a
c
c
o
u
n
t
s

P
o
s
i
t
i
o
n

a
c
c
o
u
n
t
s

M
R

Client individual segregation accounts
ICM ensures maximum portability through individual position and collateral accounts
CM collateral
account for
NCM1
NCM1
NCM
E
u
r
e
x

C
l
e
a
r
i
n
g

C
S
D
/
C
n
t

B

MR
P1
MR
A1
RC dedicated
collateral
under CMs
account
structure
RC
M
a
r
g
i
n

c
a
l
c
.

C
o
l
l
a
t
e
r
a
l

A
c
c
o
u
n
t
s

P
o
s
i
t
i
o
n
s

RC
A1
Positions are held on
segregated NCM/RC position
accounts at the CCP level

Positions kept on gross basis

The margin requirement of an
NCM/RC is covered by a
dedicated collateral pool, which
only holds collateral for the
purpose of this NCM/RC
P1 P1 A1
MR
P1
MR
A1
ICM for Registered Customers/ Non-Clearing Members
Dedicated
segregated
collateral
pool
to cover MR
of RC
Collateral is segregated from
the proprietary collateral of the
CM and all other clients
The securities collateral
account is a sub-account of the
CM and is clearly labelled: a) to
hold collateral for the coverage
of the segregated NCM/RC
related transactions and b) that
the ownership is with Eurex
Clearing
Cash collateral is paid from the
account of the CM with an
identifier indicating the
respective NCM/RC
Collateral
pool to cover
MR of NCM1
ICM for Funds
MR
F1
FM
Fund ZZ
MR
F2
MR
ZZ
F1*

ZZ
Seg
Pool
F1
Seg
Pool
F2
Seg
Pool
F2
CM Collateral Account for
segregated Fund
Managers/KAGs (F1,
F2, FZZ)
The Fund Manager acts as a
technical RC umbrella for all its
funds allowing aggregated
reporting of individually
segregated accounts
Unlimited number of accounts
Complete flexibility in setting up
the account names
MR is calculated separately for
every position account
One collateral pool at single
fund/segment level
(i.e. individual position account
level)

Securities collateral is kept in
the same sub-account but is
individually segregated at single
fund/segment level at Eurex
Clearing.

Cash collateral is paid from the
account of the CM. A unique
reference is displayed in the
reports indicating the respective
client.
39
Eurex Clearing
Documentation (ECD)
Your own
documentation

Market Standard Client Clearing
Documentation (CCD)
Any additional documentation
can be used

(e.g. CRV, FOA, ISDA, proprietary)
Clearing
Rahmenverein-
barung (CRV)
ISDA/FOA Client
Clearing Addendum
FOA Client
Clearing Module
Proprietary Clearing
Member Documentation
available available available to be created by CM,
potentially based on
Market Standard Client
Clearing Documentation
available available
Clearing Agreement (ECD) Participation Agreement (CCD)
Eurex Annex Terms
available
Eurex Annex Terms Eurex Annex Terms
CRV Opinion
available
ISDA/FOA opinion
available
FOA opinion
available
Proprietary opinion
for CM CRR purposes
Ready for on-boarding Ready for on-boarding Ready for on-boarding
3 2 1
available
ECAG Netting Opinion
available
Ready for on-
boarding
available available
Client Clearing Documentation what is needed to get
started
40
Jurisdiction fund forms Jurisdiction fund segments in combination with CM from
Mutual fund company (CC), unit trust
(CUT) and limited partnership (LP)
operating in compliance with the
Mutual Fund Law (2013 Revision) of
Cayman Islands
Investment Gesellschaft mit variablem
Kapital (Swiss SICAV) oder mit festem
Kapital (Swiss SICAF), vertraglicher
Anlagefonds (CF),
Kommanditgesellschaft fr kollektive
Kapitalanlagen (SCPC)
Open-Ended Investment Companies
(OEIC), Authorised Unit Trust (AUT)
x
fonds communs de placement (FCP),
socits dinvestissement capital
variable (French SICAV)
Sondervermgen within the meaning
of the Investmentgesetz (InvG)/
Kapitalanlagengesetz (KAGB)
managed by a KAG/KVG

Common Contractual Fund (CCF),
Unit Trust (UT), Investment Company
(IC), Investment Limited Partnership
(ILP)
fonds commune de placement (FCP) ,
socit en commandite spciale
(SCP), socits dinvestissement
capital variable (Lux SICAV) or
capital fixe (Lux SICAF)

I
s
s
u
e
r

c
o
u
n
t
r
y

EN/
WA
FR
GER
IE
LU
* No exchange traded products for Germany
*
BE
FIN
EN/
WA
ES
AT
DK
FR
IE
GER
GR
IT
LU
SC
ML
NL
PO
S
CI
CH
1. ICM jurisdictions for RCs and Investment Funds

The ICM is available for all RCs and Funds in the EEA and for fund segments as below:
41
Risk management
Key contacts
Agenda
42
Eurex Clearing offers a variety of services to guarantee
an optimal usage of provided collateral
Flexibility, due to broad range of eligible collateral
CMs can satisfy margin and Clearing Fund requirements by depositing cash and/or security collateral
Eurex Clearing sets the industry standard and accepts approximately 30,000 instruments based on liquidity categories of European Central
Bank eligible asset database as well as Swiss National Bank and accepts cash collateral in multiple currencies
Eurex Clearing stipulates and publishes an admissible securities list on a daily basis*
Eligible securities are validated on a daily basis

Transparency, due to comprehensive reporting
Collateral processing takes place in a straightforward manner with transparency for CMs and their customers through intraday reports and
monitoring functionalities (online processing, real time update of collateral balances)

Safety, due to the highest protection for positions and collateral
Eurex Clearing ensures the highest level of protection for clients by providing asset segregation and near-time portability in line with
regulatory requirements

Efficiency, due to
Timely validation of collateral and margin requirements: Eurex Clearings margin requirements are balanced against the collateral deposited
by CMs intraday or on a day-to-day basis, as well as through the reuse of GC Pooling Basket Collateral **
Efficient cash handling: the permanent cash balance (PCB) service offers an improved cash handling to reduce operational effort and cash
balances to a minimum
Efficient processing: via Xemac***, CMs have the opportunity to manage collateral in real-time and to deposit and release securities online
* The full list of eligible collateral can be found under http://www.eurexchange.com/exchange-en/market-data/clearing-data/risk-parameters/
** Presentation Reuse GCP Collateral for Eurex Margining is published under http://www.eurexclearing.com/blob/clearing-en/46792/149090/2/data/reuse_gcp_service_description.pdf
*** Xemac is the collateral management system of Clearstream Banking Frankfurt providing Global Securities Financing services
43
Clearing Members are able to provide collateral through a
number of standardized interfaces
CMs are required to have at least access to a cash
account in one of the selected clearing currencies
Central bank EUR account (TARGET2)
SNB CHF account

CM must also have a USD cash account for margin calls
outside of TARGET2 and SNB hours

A GBP account is only required if a CM intends to support
clearing of GBP underlying products

CM can open accounts at Clearstream Banking AG
Frankfurt (CBF) and/ or SegaInterSettle AG Zurich (SIS)
and or Clearstream Banking Luxembourg (CBL)

Only CBF/CBF-I have been approved as settlement
location for ICM

Clearing Member
Securities
Collateral
Locations
G
B
P

P
a
y
m
e
n
t

B
a
n
k
s
6

S
N
B

C
H
F
4

U
S
D

P
a
y
m
e
n
t

B
a
n
k
s
5

C
e
n
t
r
a
l

B
a
n
k

i
n

T
A
R
G
E
T

2

-

E
U
R

S
I
S
1

Standardized
Interfaces
Eurex Clearing
Collateral Module
P
r
o
v
i
s
i
o
n

o
f

c
a
s
h

c
o
l
l
a
t
e
r
a
l

t
h
r
o
u
g
h

t
h
e

c
o
r
r
e
s
p
o
n
d
e
n
t

b
a
n
k
s

P
r
o
v
i
s
i
o
n

o
f

s
e
c
u
r
i
t
i
e
s

c
o
l
l
a
t
e
r
a
l

t
h
r
o
u
g
h

t
h
e

c
o
l
l
a
t
e
r
a
l

l
o
c
a
t
i
o
n
s

Cash Collateral
Locations
C
B
F
2

C
B
L
3

1
SIX SIS (formerly SIS SegaInterSettle AG)
2
Clearstream Banking Frankfurt

3
Clearstream Banking Luxembourg
4
Schweizerische Nationalbank
5
The following payment banks are admitted for U.S. dollar (USD): Bank of America, Citibank N.A., Deutsche Bank Trust Company Americas (DBTCA),
HSBC Bank USA N.A., JP Morgan Chase N.A
6
The following payment banks are admitted for British pound (GBP): Barclays plc, Citibank N.A. (London branch), Deutsche Bank AG (London branch),
JP Morgan Chase N.A., HSBC Bank plc, Royal Bank of Scotland plc
44
Eurex Clearing offers a variety of services to guarantee
optimal usage of provided collateral
Fixed income in EUR Fixed income in CHF Equities
ECB eligible marketable assets
ECB liquidity classes I-IV

Swiss National Bank (SNB) Repo eligible EUR-denominated
DAX, EURO STOXX 50 constituents
DAX Ex products, iShares EURO STOXX 50
Other stocks as announced by ECAG
Exchange listing and price
(except bills)

Exchange listing and price CHF-denominated
SMI constituents
XMTCH on SMI products
Other stocks as announced by ECAG
Types of securities
Government and short term
issues (Bubills) bonds
State issues
City and municipality bonds
State agencies
Corporates and other bonds
Bank bonds

Types of securities
Federal bonds and bills (GMBF), loan obligations
Kantonal obligations, bonds, bills (GMBF)
City and municipality bonds
State agencies
Corporates and other bonds
Bank bonds, mortgage bonds (Pfandbriefzentralen),
no ABS

Fixed Income in foreign currencies Cash Other
Government Bonds in USD, GBP, DKK, NOK, SEK, AUD, CAD, JPY EUR, GBP, USD,
CHF
Xetra Gold Certificates denominated in EUR

Exchange listing and price
45
GC Pooling 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.

Easily trade extremely large tickets and have deals
seamlessly completed and then processed automatically
without any issues over credit or security allocation.

The GC Pooling market provides real-time substitution of
securities through the cash taker and creates one virtual collateral pool, by linking CBL and CBF assets.

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*.

Attributes and benefits
Benefits of GC Pooling
* Provided the bank has a German banking license
46
Reuse of GC Pooling collateral for margining
Increase the efficiency of your collateral
What is reuse?
How to reuse
GC Pooling
collateral?
What are
the Member
benefits?

In light of the increasing demand for collateral, efficient usage of collateral is becoming
increasingly important.
Therefore, Eurex Clearing accepts reuse of collateral which has been received from GC
Pooling cash provider activities across all GC Pooling Baskets
1
) covering the margin
requirement from Clearstream Banking Frankfurt (CBF) and Clearstream Banking Luxemburg
clients (CBL).

German clients acting as cash providers utilize the CBF collateral management system
Xemac for the reuse facility.
For international clients using the collateral management service CmaX, CBL acts as an
agent on behalf of the Clearing Member to allocate reuse collateral via Clearstream Banking
Frankfurt to Eurex Clearing.

The Reuse of GC Pooling collateral brings benefits by:
reducing margin collateral funding cost.
increasing the trading flexibility of own securities.
reducing the operational effort to manage collateral substitutions.
mobilizing less flexible security pools.
lowering securities handling fee (initially set to zero to encourage the reuse).

1) Eligible GC Pooling Baskets are: GC Pooling ECB Basket, GC Pooling ECB EXTended Basket, GC Pooling Equity Basket
47
Reuse of GC Pooling collateral for Eurex Clearing
margins
Claim based allocation and automatic substitution of basket securities
The cash provider gives cash EUR or USD in turn for collateral in scope of the respective GC
Pooling
Basket
The cash taker collateralizes the cash amount with eligible securities and receives the cash
amount in return
The transaction is processed anonymously via Eurex Clearing

Once the respective reuse contract for Eurex Clearing margining is concluded, the transferred
collateral is automatically allocated
CBL acts as an agent on behalf of the CBL serviced Clearing Members using CmaX
to allocate
reuse collateral via Clearstream Banking Frankfurt (Xemac
) to Eurex Clearing

Once a repo reaches the term leg settlement date, the allocated transferred securities will be
automatically substituted by other transferred securities, if sufficiently available in
Xemac
/CmaX
to ensure settlement of the GC Pooling
transactions in due time

Alternatively the Reuse amount should be reduced in time and replaced by other eligible collateral
Reuse
Automatic
substitution
GCP
front leg
Eurex
Clearing
Margining
Xemac

Pool
Cash
CCP
Clearing &
Settlement
A
Cash provider
B
Cash taker
Collateral
Cash
Collateral
Cash
Collateral
Cash
Collateral
Settlement
Front Leg
Purchase Date
Term Leg
Repurchase Date
Collateral
Collateral
48
Risk management
Key contacts
Agenda
49
Market Participant Name Phone Email
ABN Amro
Alexander Jacobs
+31 20 343 5137
Alexander.jacobs@nl.abnamro.com
Banca IMI
Katia Pellegrini
+390272612821
Katia.Pellegrini@bancaimi.com
Fabio Frigerio
+390272615695
Fabio.Frigerio@Bancaimi.com
Massimo Sinisi
+390272615375
Massimo.Sinisi@Bancaimi.com
Bank Of America / Merrill Lynch
Samantha Page
+44 (0)20 7995 3955
Samantha.page@baml.com
Richard Clark
+44 (0)20 7996 7100
richard.d.clark@baml.com
Oliver W Blower
+44 (0)20 7995 4253
oliver.w.blower@baml.com
Barclays
Stephen Li
+44 203 134 8748 Stephen.li@barclays.com
Ben Parker
+44 20 3555 0224 ben.parker@barclays.com
Basler Kantonalbank Gerhard Hartsleben
+41 (0)61 2663 410
gerhard.hartsleben@bkb.ch
BayernLB Bernhard Egger
+49-89-2171-24177
bernhard.egger@bayernlb.de
Berner Kantonalbank Dorothea Piczak
+41 31 666 64 69
dorothea.piczak@bekb.ch
Fiona Thalmann
+41 31 666 64 32
fiona.thalmann@bekb.ch
BNP Paribas Gavin Dixon
+44 (0)20 7595 8417
gavin.dixon@uk.bnpparibas.com
Sarah Walsh
+44 (0)20 7595 1270
sarah.a.walsh@uk.bnpparibas.com
Marco Baggioli
+44 20 7595 8618
marco.baggioli@uk.bnpparibas.com
EurexOTC Clearing Member contacts
50
Deutsche Bank Stephen Ingle
+44 (0)20 7545 8200
stephen.ingle@db.com
Jason Vitale
+44 20 7545 6358
Jason.Vitale@db.com
DZ BANK Claus Schnee
+49 69 7447 4903
Claus.schnee@dzbank.de
Goldman Sachs Richard Pape +44 (0)20 7774 1075
richard.pape@gs.com
Stuart Connolly
+44 (0)20 7774 1191
stuart.connolly@gs.com
HSBC Martin Taylor
+44 (0)20 7991 5001
martin.taylor@hsbcgroup.com
Neill Pattinson
+44 (0)20 7991 5661
neill.pattinson@hsbcib.com
Richard Ingram
+44 (0)20 7991 9271
richard.ingram@hsbcib.com
Citigroup

Silas Findley
+44 20 3569 4171
silas.j.findley@citi.com
John Frewin
+44 (0) 20 7986 0573
john.frewin@citi.com
Commerzbank
Nick Chaudhry
+44 (0)20 7475 2510
nicholas.chaudhry@commerzbank.com
Eugene Stanfield
+44 (0)20 7475 4828
eugene.stanfield@commerzbank.com
Stuart Abrahams
+44 (0)20 7475 7811
stuart.abrahams@commerzbank.com
Credit Suisse
Neil Burke (US)
+1 212 538 0761
neil.burke@credit-suisse.com
Steve Plestis (Europe)
+44 (0)20 7888 3053
stephen.plestis@credit-suisse.com
Daniel Harding
+44 20 7888 2131
daniel.harding@credit-suisse.com
Yves Marcel (Asia)
+65 6 212 2055
yves.marcel@credit-suisse.com
51
JP Morgan Brian Oliver (Europe)
+44 207 134 8627
brian.r.oliver@jpmorgan.com
Thomas Alterson (US) +1 212 622 0335
thomas.p.alterson@jpmorgan.com
Jonathan Caldwell (Asia) +61 (2) 9220 1411
jonathan.caldwell@jpmorgan.com
KAS Bank Raymond Van Putten
+31 20 557 2060
raymond.van.putten@kasbank.com
Morgan Stanley
Andrew Ross
+44 (0)20 7677 7865
andrew.ross@morganstanley.com
Mark Bortnik
+44 (0)20 7425 8465
Mark.Bortnik@morganstanley.com
Owain Roberts
+44 (0)20 7425 8465
Owain.Roberts@morganstanley.com
National Bank of Greece SA
Ekaterini Manoli
+30 210 332 8766
emano@nbg.gr
Newedge
John Wilson
+ 44 20 7676 8913 john.d.wilson@newedge.com
Laetitia Teuber +33 (0) 1 5507 2407 laetitia.teuber@newedge.com
Will Davies +44 (0) 20 7550 2413
will.davies@newedge.com

Nomura
Mark Croxon +44 (0)20 7102 7191 mark.croxon@nomura.com
Simon Weetman +44 (0)20 7102 2334 simon.weetman@nomura.com
Michael Schneider
+1 212 436 8009 Michael.Schneider1@nomura.com
52
Rabobank
Sytse Dotinga +31 30 7123469 sytse.dotinga@rabobank.com
Raiffeisen Patrick Chalverat +41 44 226 73 99 patrick.chalverat@raiffeisen.ch
Royal Bank of Scotland Phil Hermon (EMEA) +44 20 7678 6865 phil.hermon@rbs.com
Fred Matt +44 20 7085 1520 fred.matt@rbs.com
Madlen Dorosh (US) +1 20 3897 9869
madlen.dorosh@rbs.com
Societe Generale
Mohamed Braham
+44 (0)20 7676 7805
mohamed.braham@sgcib.com
Ian Morgan
+44 (0)20 7676 7889
ian.morgan@sgcib.com
Philippe de Brossard
+33 1 58 98 26 03
Philippe.de-brossard@sgcib.com
Edouard Knipillaire
+33 1 58 98 02 69
Edouard.knipillaire@scgibcom
UBS Investment Bank Marco Stano +41 (0)44 239 1899 marco.stano@ubs.com
Antonietta Toro +44 (0)20 7567 2102 antonietta.toro@ubs.com
Mike Jansen +65 6495 3862 michael.jansen@ubs.com
Scott Alpaugh +1 212 713 2549 scott.alpaugh@ubs.com
Zurcher Kantonalbank Reto Ziltener +41 44 293 60 96
reto.ziltener@zkb.com
53
Eurex Clearing Business Development
Head of Section Risk management Client Asset Protection
Jens Quiram

T +44 (0) 20 7862 7268
M +44 (0) 755 726 7009

E jens.quiram@eurexclearing.com
Alexander Rose

T +49 69 211 14975

E alexander.rose@eurexclearing.com
Beth Jones-Williams

T +44 (0) 20 7862 7277
M +44 (0) 788 131 4590

E beth.jones-williams@eurexclearing.com
OTC IRS Collateral management Bonds and repos
Eva Barber

T +44 (0) 20 7862 7267
M +44 (0) 786 739 3423

E eva.barber@eurexclearing.com
Ferdina Yarzada

T +49 (0) 692 111 4162
M +49 (0) 172 191 3718

E ferdina.yarzada@eurexclearing.com
Maximilian Dannheimer

T +44 (0) 20 7862 7640
M +44 (0) 755 117 0286

E maximilian.dannheimer@eurexclearing.com
Exchange traded derivatives Client Asset Protection Equity
Cameron Teague

T +44 (0) 20 7862 7233
M +44 (0) 786 739 2557

E cameron.teague@eurexclearing.com
Richard Wilding

T +44 (0) 20 7862 7279
M +44 (0) 782 414 2703

E richard.wilding@eurexclearing.com
Krasimira Rayanova

T +49 (0) 692 111 3021
M +44 (0) 172 106 3380

E krasimira.rayanova@eurexclearing.com
Contacts at Eurex Clearing
Business support Business support Product development
Momcilo Stanic

T +44 (0) 20 7862 7641

E Momcilo.stanic@eurexclearing.com
Charmaine Newman

T +44 (0) 20 7862 7276
M +44 (0) 787 688 3616
E charmaine.newman@eurexclearing.com
Danny Chart

T +44 (0) 20 7862 7257
M +44 (0) 755 117 3524
E danny.chart@eurexclearing.com
54
Eurex Clearing Sales & Relationship
Head of Section UK + Netherlands Buy side UK Sell side
Philip Simons

T +44 (0) 20 7862 7239
M +44 (0) 782 414 1618

E philip.simons@eurexclearing.com
Ricky Maloney

T +44 (0) 20 7862 7612
M +44 (0) 755 117 1212

E ricky.maloney@eurexclearing.com
Byron Baldwin

T +44 (0) 20 7862 7266
M +44 (0) 788 465 5089

E byron.baldwin@eurexchange.com
Client solutions France, Luxembourg + Belgium Business support
Afriyie Ola Dimeji

T +44 (0) 20 7862 7218
M +44 (0) 782 724 0086

E afriyie.ola.dimeji@eurexclearing.com
Florence Besnier

T +33 (0) 1 55 27 67 70
M +33 (0) 6 10 32 74 20

E florence.besnier@eurexclearing.com
Charmaine Newman

T +44 (0) 20 7862 7276
M +44 (0) 787 688 3616

E charmaine.newman@eurexclearing.com
Germany + Austria Scandinavia Securities lending
Andreas Stadelmaier

T +49 (0) 692 111 3859
M +49 (0) 172 614 7753

E andreas.stadelmaier@eurexclearing.com
Deborah Garlick

T +44 (0) 20 7862 7217
M +44 (0) 781 851 2101

E Deborah.garlick@eurexchange.com
Gerard Denham

T +44 (0) 20 7862 7634
M +44 (0) 787 688 5276

E gerard.denham@eurexclearing.com
Contacts at Eurex Clearing
55
Eurex 2014
Deutsche Brse 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 Zrich 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 Zrich 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 partys 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 are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50
Index Futures, EURO STOXX 50

ex Financials Index Futures, EURO STOXX
Select Dividend 30 Index Futures, EURO STOXX Index Futures, EURO STOXX Large/Mid/Small Index Futures, STOXX
Europe 50
Index Futures, STOXX Europe 600 Index Futures, STOXX
Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX Europe
Large/Mid/Small 200 Index Futures, Dow Jones Global Titans 50 Index
SM
Futures (EUR & USD), DAX
/MDAX/TecDAX Futures, SMIM
Futures, SLI Swiss Leader Index Futures,

MSCI World/Europe/Japan/AC Asia Pacific ex Japan Index Futures and VSTOXX Futures as well as Eurex inflation/commodity/weather/property and interest rate derivatives).

Trademarks and Service Marks
Buxl
, DAX
, DivDAX
, eb.rexx
, Eurex
, Eurex Bonds
, Eurex Repo
, Eurex Strategy Wizard

SM
, 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). All MSCI indexes are service marks and the exclusive property of MSCI Barra. RDX is a registered trademark of Vienna Stock Exchange AG.
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 Index
SM
and Dow Jones Sector Titans Indexes
SM
are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity Index
SM
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.
56

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Index Futures, EURO STOXX 50

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