Collateral Processing

The processing of securities collateral deposit instructions is not different to that prior to the introduction of the Client Asset Protection. The processing of deposit and withdrawal instructions is described in the following sections. Note that the following sections outline the processing for all possible types of collateral.

2.2.7.1 Collaterals Pledged on Xemac® New for Eurex Release 14.0:

 The ISIN based representation of collaterals pledged on Xemac® is replaced by a claim amount based representation.

On Xemac® members can enter a claim amount to fulfill the margin requirements. Xemac® itself selects the securities. Eurex just receives deposit/withdrawal instructions from Xemac® which only contain the claim amount.

Xemac® users must maintain their collateral by adjusting their claim amount on Xemac®. This is used to update the evaluated balance on Eurex. Xemac® collaterals cannot be maintained on the Eurex @X-tract Clearing GUI.

The deposit instruction is processed automatically by Eurex. The received deposit request from Xemac® is checked and if the validation succeeds, the corresponding collateral balance and the evaluated balance are updated to the new amount.

Segregation Level Offered to Clearing Member Agent Clients

Clearing Member Account Holding the Positions Mapped To

No Segregation A1-A9 mapped to Default Pool

A withdrawal instruction requires an additional confirmation step. In this case Xemac® sends a request containing the new claim amount. Eurex needs to check whether the remaining collateral will be sufficient to cover the minimum requirement or the margin requirement. As a result, either an approval or a rejection is sent back to Xemac®. If the request is approved, the corresponding collateral balance and the evaluated balance are updated automatically.

For each deposit and withdrawal requests a new collateral transaction entry is created. They can be monitored in the Collateral Transaction Overview [Modified] window. For a successful collateral adjustment this entry shows the state “CF” (confirmed) to reflect the new balances. Otherwise the request is blocked. Withdrawal requests might be blocked because the remaining amount would not cover the minimum requirements or because Market Supervision has to approve the transaction manually.

2.2.7.2 Collateral Deposits

New for Eurex Release 14.0:

 Cash collateral transactions can be entered for all pool types; i.e. the Net Omnibus pools can now be used for those transactions as well.

CSD accounts for securities collateral are mapped in the Eurex System to the Clearing Member member ID. Furthermore, different CSD collateral accounts are used for the usages ‘Clearing Fund’, ‘Company Capital’ and ‘Margin’. With the pool concept, the securities collateral accounts are related to a collateral pool in the Eurex System. The securities collateral balances are still maintained per CSD account.

Taking this into consideration, together with the fact that one CSD account can only be assigned to one collateral pool, the Eurex System automatically maps the incoming security collateral deposit transaction to the correct pool using the account information contained in the

confirmation received from the collateral location/CSD. Incoming securities collateral transactions are still credited near-time to the respective collateral pool in the Eurex System.

To deposit cash collateral, the Clearing Member can maintain the ‘Permanent Cash Balance’ for their default collateral pool using the Collateral Pool Overview window in the Eurex @X-tract Clearing GUI.

The currencies Euro, CHF, GBP, USD are accepted by Eurex Clearing as cash collateral. However, it must be deposited from cash accounts that Clearing Members have communicated to Eurex Clearing as relevant cash settlement accounts.

As of 10 October 2012, the procedure for maintaining the cash balance in cash collateral pools for segregated clients with pool type “Omnibus Segregated” and “Fully Segregated” has changed so that it will no longer be possible to use the PCB functionality. All cash deposited in a

segregated pool will remain until its withdrawal is requested by the Clearing Member. Therefore, cash in the segregated pools will not be automatically returned to the Clearing Members the next day in the morning (based on the previous end-of-day processing).

However, the change in maintaining the cash balance of cash collateral pools for segregated clients will not disable the PCB functionality in the Eurex @X-tract Clearing GUI. Clearing Members will still have access to this functionality in the system, but the values entered for the PCB will be ignored and no booking (i.e. deposit or withdrawal) will be initiated by the system.

Therefore, all cash will remain in the segregated pools until it is withdrawn by the Clearing Member, regardless of the values entered for the PCB.

The new procedure applies to all currencies (Swiss franc, euro, British pound, U.S. dollar) in segregated client pools.

The general processing of (intraday) margin calls remains unchanged. Therefore, (intraday) margin calls are issued against the Clearing Member ‘default’ pool regardless of which pool caused the under-collateralisation. As a result, cash collateral deposits to meet the (intraday) margin call are credited in the Eurex System in favour of the ‘default’ pool of the Clearing Member unless a Clearing Member has specifically requested (via Eurex Market Supervision or via Eurex Clearing GUI) to credit cash collateral to any of the individually segregated collateral pools.

2.2.7.3 Collateral Withdrawals New for Eurex Release 14.0:

 Cash collateral transactions can be entered for all pool types; i.e. the Net Omnibus pools can now be used for those transactions as well.

Withdrawals of security collaterals are triggered by the Clearing Member using the Collateral Transaction Entry [Modified] window in the Eurex @X-tract Clearing GUI. The Collateral Transaction Entry [Modified] window displays the pool ID in order to withdraw securities collateral for a specific collateral pool.

Cash collateral which has been deposited for the ‘default’ collateral pool is automatically released as long as there is still sufficient collateral available. If the ‘Permanent Cash Balance’ is used, the amount of cash collateral deposited can be reduced by amending the ‘Permanent Cash Balance’ in the Collateral Pool Overview window.

Cash Collateral deposited for the ‘Net Omnibus’ and individually segregated pool will not automatically be re-paid to the Clearing Member during the overnight processing.

Clearing Members can instead instruct the withdrawal of cash collateral via Eurex Market Supervision or via Eurex Clearing GUI.

Before any withdrawal request (for securities and cash collateral) is processed on external accounts, the Eurex System checks whether there is still sufficient collateral available after the collateral release. To enable the deposit of securities collateral, a CSD account must be assigned to a pool using the Collateral Account Overview [Modified] window in the Eurex @X-tract Clearing GUI. The assignment is done by Eurex Market Supervision based on the data provided by the Clearing Member. A CSD account can only be assigned to one pool. Once a CSD account is set up, securities collateral can be transferred into the collateral account.

To delete a pool, the collateral balance must first be cleaned up. Thus, all collaterals assigned to this pool must be withdrawn and transferred into a new CSD account. After all balances are zero, the CSD accounts can be deleted by Eurex Market Supervision.