Amendments to OTC Interest Rate Derivatives and Collateral Pricing

1.    Introduction

As part of the annual review of the OTC Interest Rate Derivatives (“IRD”) and collateral pricing, Eurex Clearing will introduce the following amendments:

2.    Required action

a) Multilateral compression fee for Forward Rate Agreements (FRA): No action required

b) OTC IRD Booking Fee for Standard Pricing Model B for Disclosed Clients: No action required

c) OTC IRD Basic Swap Pack for affiliated groups of Clearing Members
Registration for OTC IRD Basic Swap Pack:

Clearing Members may apply for the OTC IRD Basic Swap Pack by way of the attached registration form. To subscribe to the OTC IRD Basic Swap Pack, please proceed the following steps:

i.    Fill in the attached EurexOTC-Interest-Rate-Derivative-Registration-Form-for-CM-Basic-Pack and select Basic Swap Pack (IRS, FRA, OIS) to subscribe to the Basic Swap Pack.

ii.    Submit the signed form to your Key Account Manager Clearing latest by 31 January 2020 to benefit from the special offer.

d) Security Collateral fee for Basic Clearing Members: No action required

3.    Details

a)    Eurex Clearing will amend the Price List of Eurex Clearing AG with respect to OTC IRC Multilateral Compression fee. Effective 3 February 2020, the Multilateral Compression fee for Forward Rate Agreements will be reduced from currently 0.15 to 0.03 in trade currency per million trade notional terminated. 

For the avoidance of doubt, the Multilateral Compression fee for Swaps (including Interest Rate Swaps, Overnight-Index Swaps and Zero-Coupon Inflation Swaps) will stay at 0.15 in trade currency per million trade notional terminated.

To reflect the amendments, the following provisions will be amended as outlined in Attachment 1:

• Number 10.5.2 of the Price List

b)    Eurex Clearing introduced the OTC IRD Standard Pricing Model B (No. 10.2.2 of the Price List) for Disclosed Clients with System Access and Basic Disclosed Clients with access to reports (i.e. with Member ID) in March 2019 to provide for an alternative fee schedule for clients which prefer clearing fee charges based on initial margin requirements. The new model was initially introduced with a fixed discount of 15 percent on the applicable booking fee and supposed to expire on 31 December 2019. With this circular, Eurex Clearing prolongs the fixed discount of 15 percent on the booking fee for Standard Pricing Model B until and including 31 December 2020. Eurex Clearing intends to introduce, as of 1 January 2021, a volume-depending rebate scheme to replace the fixed discount of 15 percent on the Booking Fee. The conditions for the volume-depending rebate scheme will be determined and announced in 2020.

c)    For the novation of OTC IRD Transactions until 31 January 2020, Eurex Clearing makes by this circular the OTC IRD Basic Swap Pack available for groups of affiliated Clearing Members with respect to their own accounts. In case of subscription on a group level, the included cleared notional volume for applicable Booking Fees as well as the included notional outstanding for applicable Maintenance Fees of the OTC IRD Basic Swap Pack may be shared among the group. The corresponding fixed fee of the OTC IRD Basic Swap Pack will be evenly split and charged in equal monthly instalments to each participating Clearing Member that forms part of the group. 

The Terms and Conditions for the provision of the OTC IRD Basic Swap Pack rebate scheme on Clearing Member group level as outlined in Attachment 2 apply.

d)    To strengthen the robustness of the CCP risk management framework and client asset protection, Eurex Clearing provides an incentive scheme to support clients in Gross Omnibus (GOSA) and Individual Segregation (ISA). With Eurex Clearing circular 29/18, Eurex Clearing has introduced a temporary fee waiver for Basic Clearing Members for the service fee for Eligible Margin Assets in the form of Securities. As of 3 February 2020, Eurex Clearing will cease this fee waiver. For the avoidance of doubt, the fee waiver for the concentration add-on will not be altered as per Eurex Clearing circular 091/18. Therefore, as of 3 February 2020 and in accordance with Number 9.2 of the Price List, Basic Clearing Members will pay the following service fees for Eligible Margin Assets in the form of Securities on the cash collateral delivered: 5, 3.75 or 2.5 bps.
 

As of the effective date, the full version of the amended documents will be available for download on the Eurex Clearing AG website www.eurexclearing.com under the following link: 

Resources > Rules and Regulations > Price list

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.

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.
 

Attachments: 

• Amended sections of the Price List of Eurex Clearing AG
• Registration form for OTC IRD Basic Swap Pack (including Terms and Conditions)

Further information