Amendments to the legal framework of Eurex Clearing AG with regard to the Clearing Conditions

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 (Clearing Conditions) regarding the following topics:

• Amendments to Chapter VIII Part 4 Numbers 4.1.5.1 (Transaction Type Specific Novation Criteria and Terms for OTC XCCY Transactions), 4.2.4 (Calculation of Floating Amounts), 4.2.7 (Day Count Fraction Conventions) and 4.8 (Trade Netting and Accumulation) in the context of the clearing introduction for the risk-free reference rate based OTC XCCY Transactions in the currency pair GBP/USD

The amendments will become effective on 13 December 2021.

2. Required action

There is no required action for the participants.

3. Details 

Amendments to Chapter VIII Part 4 in the context of the risk-free reference rate OTC XCCY Transactions in the currency pair GBP/USD

Eurex Clearing will amend the Clearing Conditions to introduce the clearing service for risk-free reference rate (RfR) based OTC XCCY Transactions in the currency pair GBP/USD. The RfR OTC XCCY Transactions are offered as part of the OTC Currency Clearing Service. With this initiative, Eurex Clearing also reactivates the clearing service for OTC XCCY Transactions in the currency pair GBP/USD which was temporarily decommissioned on 3 May 2021. 

The following amendments to Chapter VIII Part 4 of the Clearing Conditions of Eurex Clearing are introduced to reflect the new service offering:

• Number 4.1.5.1 Transaction Type Specific Novation Criteria and Terms for OTC XCCY Transactions,
• Number 4.2.4 Calculation of Floating Amounts,
• Number 4.2.7 Day Count Fraction Conventions, and
• Number 4.8 Trade Netting and Accumulation.

The amendments in Number 4.8 temporarily suspend Trade Netting and Accumulation for all eligible OTC XCCY Transactions. The Trade Netting and Accumulation functionality may be reinstated in 2022. 

Publication of amendments to the legal framework of Eurex Clearing

As of the effective date, the full version of the amended documents will be available for download on the Eurex Clearing website www.eurex.com/ec-en/ under the following link: 

Rules & Regs > Rules and Regulations > Clearing Conditions 

The 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 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.

Attachment:

• Amended section of Chapter VIII Part 4 Numbers 4.1.5.1, 4.2.4, 4.2.7 and 4.8 of the Clearing Conditions

Further information