A member of
Eurex Clearing
1. Introduction
In order to meet Clearing Members’ demand for a safe funding alternative for their CTD instruments, Eurex Repo will introduce the new “GC Pooling Cheapest-to-Deliver (CTD) Basket” containing deliverable Bonds for Fixed Income Futures Expiries. The new basket will be available as of 12 August 2019 and can be traded in euro in the GC Pooling Market, including Select Finance GC Pooling transactions.
A fee waiver will be applied to the GC Pooling CTD Basket transactions until 30 September 2019. Thus, as of 1 October 2019, GC Pooling CTD Basket Transactions will be charged with the new transaction fee of two basis points.
This circular contains information with respect to the extended service offering of Eurex Clearing and introduces the related amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and the Price List of Eurex Clearing AG (Price List).
The amendments to the Clearing Conditions and Price List are attached to the circular and will become effective on 12 August 2019.
2. Required actions
Clearing Members who want to participate in the trading of the GC Pooling CTD Basket have to be set up by Eurex Repo GmbH.
3. Details of the initiative
Clearing Members trading Fixed Income Future Contracts are fined with high penalties for the late delivery of their futures obligations. In order to avoid late delivery fines, Clearing Members are warehousing their Cheapest-to-Deliver (CTD) instruments prior to the Future expiry date, financed through their internal Treasury department and thus leading to high financing costs.
In contrast to all other GC Pooling Baskets, the allocated collateral out of GC Pooling CTD Basket Transactions is exempted from the Reuse possibility for other GC Pooling Transactions, the pledge possibility towards Bundesbank or Banque Centrale du Luxembourg and the Reuse possibility for the collateralisation of Eurex Clearing’s margin requirements. This contributes to the availability of the collateral upon settlement of the Term Leg.
Transactions executed in the GC Pooling CTD Basket will settle as Early Settlement transactions, thus the Front Leg and the Term Leg are sent out for settlement at 07:30 CET in order to ensure a timely settlement of CTD collateral for the Futures Deliveries at 14:00 CET.
For GC Pooling CTD Basket Transactions, including Select Finance GC Pooling Transactions, a new transaction fee of two basis points, or a minimum fee of EUR 15, will be introduced and included in the Price List.
To implement the introduction of the new GC Pooling Cheapest-to-Deliver (CTD) Basket, the following provisions will be amended as outlined in the attachments:
As of the effective date, the full versions of the amended Clearing Conditions and Price List will be available for download on the Eurex Clearing website www.eurexclearing.com under the following link:
Resources > Rules and Regulations
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
The changes and amendments to the legal framework of Eurex Clearing AG published by this circular are deemed accepted by each affected contractual party of Eurex Clearing AG, unless the respective contractual party objects by written notice to Eurex Clearing AG within the first ten (10) Business Days after publication. Any ordinary right of Eurex Clearing AG to terminate the respective contract (including a Clearing Agreement, if applicable) shall remain unaffected.
Attachments:
Further information
| Recipients: | All Clearing Members, Disclosed Direct Clients, Basic Clearing Members, OTC-IRS-FCM Clients of Eurex Clearing AG, vendors and other affected contractual parties |
| Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination |
| Contact: | client.services@eurexclearing.com |
| Authorised by: | Matthias Graulich |