A member of
Eurex Clearing
Eurex Clearing amends the auction format for Default Management (DM) Auctions (i.e. auctions which are conducted as part of the Default Management Process (DMP)) regarding IRS (OTC interest rate deriva-tive) transactions and improves further aspects of the overall auction process to further optimize its DMP:
-Upon default of a Clearing Member holding an IRS Clearing License, Eurex Clearing conducts, as part of the DMP, one dedicated single unit auction for each currency comprised in the defaulted Clearing Member’s portfolio. Any member participating in such auction provides Eurex Clearing with one bid for the entire portfolio (in this currency) and Eurex Clearing accepts the highest bid.
- Any monetary fine resulting from non-participation in a DM Auction is capped at 5,000,000 Euro.
- With respect to any multi unit auction (i.e. an auction within the DMP for asset classes other than IRS transactions), Eurex Clearing determines the maximum spread value based on the recommendation of the relevant Default Management Committee or the overall market.
- Prior to terminating any transactions of non-defaulted Clearing Members as a result of an unsuccessful DM Auction, Eurex Clearing commits to approach all Mandatory Participants of such auction and to offer them a final opportunity to provide bids for the respective transactions.
Attached to this circular you will find the updated sections of the Clearing Conditions for Eurex Clearing AG and the updated Default Management Auction Rules, as approved by the Executive Board of Eurex Clearing AG on 18 December 2013 after previous consultation with the Risk Committee. The changes will come into effect on 3 February 2014.