Amendments to the Clearing Conditions, the Price List, the Default Management Auction Rules and other related documents of Eurex Clearing AG - Consultation

1.    Introduction

This circular contains information with respect to the service offering of Eurex Clearing AG (Eurex Clearing) and introduces amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions), the Price List of Eurex Clearing AG (Price List), the Default Management Auction Rules (DM Auction Rules) and other related documents of Eurex Clearing AG regarding the following topics:

A.    Amendments to the Price List with respect to the introduction of Equity Total Return Futures  
B.    Introduction of MSCI Index Dividend Futures
C.    Introduction of STOXX^® Europe ESG Leaders Select and ESG-X Index Derivatives
D.    Exemption to maintain securities/cash settlement accounts for the clearing of Eurex Transactions
E.    Discontinuation of clearing of LDX IRS Constant Maturity Futures
F.    Clarification and further amendments to the Default Management (DM) Auction Rules

The amendments regarding A. will become effective as of 7 October 2019.

The amendments regarding B. and C. will become effective as of 14 October 2019.

The amendments regarding D. and E. will become effective as of 1 November 2019.

The amendments regarding F. are within the scope of Special Provisions of the Clearing Conditions and are hence subject to a consultation process (Consultation). The Consultation will end on 21 October 2019.

2.    Required actions

Regarding F.:  the proposed changes and amendments to the DM Auction Rules are subject to a Consultation which will end with the expiry of 21 October 2019 (“Consultation Period”).

Eurex Clearing herewith invites all Affected Customers to submit comments on the proposed changes and amendments within the Consultation Period.

3.    Details of the initiative

A.  Amendments to the Price List with respect to the introduction of Equity Total Return Futures  

This circular contains information about changes and amendments to the Price List with respect to the introduction of Equity Total Return Futures. 

To reflect the amendments, the following provisions will be amended as outlined in Attachment 1 with effect as of 7 October 2019:

• Section 3 Numbers 3.1, 3.4 and 3.14 of the Price List

B.    Introduction of MSCI Index Dividend Futures

Eurex Clearing will offer clearing of futures contracts on the index dividends of MSCI Emerging Markets Index, MSCI EAFE Index and MSCI World Index, introduced at Eurex Deutschland as of 14 October 2019, which was announced with Eurex circular 091/19.

To reflect the amendments, the following provisions will be amended, as outlined in Attachment 2, which will come into effect on 14 October 2019:

• Chapter II Part 1 Number 2.9.2 of the Clearing Conditions
• Section 3 Numbers 3.1, 3.3 and 3.4 of the Price List

C.    Introduction of STOXX^® Europe ESG Leaders Select and ESG-X Index Derivatives

Eurex Clearing will offer clearing of futures and options contracts on the STOXX^® Europe ESG Leaders Select 30 index and Options Contracts on the STOXX^® Europe 600 ESG-X index, introduced at Eurex Deutschland, as announced in Eurex circular 088/19.

The Price List will be amended accordingly in order to include a new pricing model for options on the STOXX^® Europe 600 ESG-X index. The futures and options contracts on the STOXX^® Europe ESG Leaders Select 30 index will be priced based on the existing pricing provisions for options and futures “on other STOXX^® Indices (denominated in EUR)” thus they will not be explicitly explained in the Price List.

To reflect the amendments, the following provisions will be amended as outlined in Attachment 3 and will come into effect on 14 October 2019:

• Chapter II Part 2 Number 2.4.2 of the Clearing Conditions
• Chapter II Part 3 Number 3.4.3 of the Clearing Conditions
• Section 3 Numbers 3.1 and 3.7 of the Price List

D.    Exemption to maintain securities/cash settlement accounts for clearing of Eurex Transactions 

Upon request, Eurex Clearing may grant an exemption from the requirement to maintain securities accounts or corresponding cash accounts, pursuant to Chapter I Part 1 Number 2.1.2 (4) (a) (gg) of the Clearing Conditions, for the purposes of clearing Eurex Transactions, if Eurex Clearing determines that it would be impossible or impracticable for the applicant to open and/or maintain such a securities account and/or corresponding cash accounts.

To reflect these changes, the following provisions will be amended as outlined in Attachment 4, and will come into effect on 1 November 2019:

• Chapter II Part 1 Number 1.1.2 (5) of the Clearing Conditions
• Chapter II Part 1 Number 1.11 of the Clearing Conditions

E.    Discontinuation of clearing of LDX IRS Constant Maturity Futures 

The Management Board of Eurex Deutschland decided to delist the LDX IRS Constant Maturity Futures on 30 September 2019, as announced in Eurex circular 089/19. Consequently, Eurex Clearing will discontinue the clearing services for these products as of this date. 

After the delisting of the respective products, Eurex Clearing will amend the following provisions, as outlined in Attachment 5, which will come into effect on 1 November 2019:

• Chapter II Part 2 Number 2.1.2 and 2.8 of the Clearing Conditions
• Section 3 Number 3.1, 3.12 and 3.14 of the Price List

As of the effective dates, the full version of the amended Clearing Conditions and the Price List will be available for download on the Eurex Clearing website www.eurexclearing.com under the following link:

Resources > Rules and Regulations

The changes and amendments to the legal framework of Eurex Clearing, published in this circular under items A. – E. above, are deemed accepted by each affected contractual party of Eurex Clearing, 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.

F.    Clarification and further amendments to the Default Management (DM) Auction Rules

In line with the continuous development and improvement of the Default Management Process over time, Eurex Clearing introduced a variety of bidder roles for default management auctions. The proposed amendments to the default management auction rules seek to provide clarifications with respect to the responsibilities of the involved parties and the introduction of additional participation forms outlining the legal consequences under the relevant bidder roles. Further, many amendments are intended to improve the readability and structure of the provisions governing the default management auction process. 

Therefore, Eurex Clearing decided to: 

• Update the distribution procedure of auction terms to the auction participants and define the fall-back scenario for auction process in case of technical difficulties with the Auction Tool;
• Clarify Eurex Clearing’s discretion to invite only a selected number of Mandatory Participants to facilitate and to accelerate the auction process;
• Clarify the requirements and legal consequences for Clearing Members/Basic Clearing Members/FCM Clearing Members, which are represented in the auctions by third parties (i.e. clients, Bidding Agents, Clearing Agents) conditions for client participation in auctions;
• Due to strict legal consequences (i.e. establishment of Transactions), introduce new participation forms to be provided by Clearing Member/FCM Clearing Member/Basic Clearing Member when a Clearing Agent or a client is bidding on their behalf;
• Extend the “Selected Auction Participant” role to non-US Clearing Members granting flexibility on the transfer of auction portfolio to the bidding obligation insourcer.

To reflect the changes, the following provisions will be amended as outlined in Attachment 6:

• Numbers 1, 3, 4-7, 9-12 of the Default Management Auction Rules
• The following annexes to the Default Management Auction Rules: 

• Form of Specific Terms for DM Auctions
• Clearing Agent Participant Appointment Form
• Client Participant Appointment Form
• Bidding Agent Appointment Form 
• Selected Auction Participant Appointment Form

Pursuant to Chapter I Part 1 Number 17 of the Clearing Conditions, the proposed changes and amendments to the DM Auction Rules are subject to a Consultation which will end on 21 October 2019 (“Consultation Period”).

Eurex Clearing herewith invites all Affected Customers to submit comments on the proposed changes and amendments within the Consultation Period. Comments shall only be submitted through a web-based commenting service for which a registration form is available on the Eurex Clearing website www.eurexclearing.com under the following link:

Resources > Forms > Data Forms Subject: Consultation Form

After the Consultation Period, Eurex Clearing will issue a separate circular to announce when the proposed changes and amendments will come into effect.

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, if applicable.

Attachments: 

• Attachment 1: Amended Section 3 Numbers 3.1, 3.4 and 3.14 of the Price List
• Attachment 2: Amended sections of Chapter II Part 1 Number 2.9.2 of the Clearing Conditions and of section 3 Numbers 3.1, 3.3 and 3.4 of the Price List 
• Attachment 3: Amended sections of Chapter II Part 2 Number 2.4.2, Part 3 Number 3.4.3 of the Clearing Conditions and of Section 3 Numbers 3.1 and 3.7 of the Price List 
• Attachment 4: Amended sections of Chapter II Part 1 Numbers 1.1.2(5) and 1.11 of the Clearing Conditions
• Attachment 5: Amended sections of Chapter II Part 2 Numbers 2.1.2 and 2.8 of the Clearing Conditions and of Section 3 Numbers 3.1, 3.12 and 3.14 of the Price List
• Attachment 6: Amended sections of Numbers 1, 3, 4-7, 9-12 of the DM Auction Rules and affected related forms

Further information