08 Sep 2022

Eurex Clearing

OTC IRD: Introduction of three new OTC IRD Pricing Pack Special Offers and prolongation of OTC IRD CCP Switch Incentive Program

Eurex Clearing Circular 066/22 OTC IRD: Introduction of three new OTC IRD Pricing Pack Special Offers and prolongation of OTC IRD CCP Switch Incentive Program

1. Introduction

As part of the annual review for OTC Interest Rate Derivatives (IRD) Transactions, Eurex Clearing will introduce the following amendments with effect from 12 September 2022:

A.    Introduction of two new Discounted OTC IRD GOLD Packs which include unlimited clearing of own OTC Interest Rate Derivatives Transactions (IRS, OIS, FRA and Basis swaps) as well as Zero-Coupon Inflation Swap (ZCIS) transactions across all currencies:

  1. 17-months Discounted OTC IRD GOLD Pack for a fixed term from 1 August 2022 until 31 December 2023 for EUR 215,000 per month (equal to a discount of circa 17 percent on the regular fees for the combined GOLD Packs) – This offer is only available until 19 September 2022.
  2. 3-year Discounted OTC IRD GOLD Pack for a term of three years for EUR 200,000 per month (equal to a discount of circa 23 percent on the regular fees for the combined GOLD Packs)

Current OTC IRD BASIC Pack subscribers may upgrade to either one of the new Discounted OTC IRD GOLD Packs or the regular OTC IRD GOLD Pack. 

B.    Introduction of an OTC IRD BASIC Pack Special Offer which includes a fixed-fee based clearing of own OTC Interest Rate Derivatives Transactions (IRS, OIS and FRA and Basis swaps) as well as Zero-Coupon Inflation Swaps (ZCIS) for EUR 125,000 per month.

Compared to the Basis Pack as outlined in Number 10.4 of the Price List, the included volume thresholds are circa 50 percent higher, and also unlimited clearing of ZCIS is included.

C.    Prolongation of the CCP Switch Incentive Program until 31 December 2023:

Under the CCP Switch Incentive Program, Clearing Members and Disclosed Direct Clients receive a 100 percent discount on all regular booking fees on individually selected switch days for OTC Interest Rate Swap (IRS), Overnight Index Swap (OIS) and Zero-Coupon Inflation Swap (ZCIS) transactions. Clearing Members may apply for a 5-day switch Package whereas Disclosed Direct Clients may apply for a 10-day switch Package. Registration for either switch Package is free of charge. Also Clearing Members and Disclosed Direct Clients which have participated in a CCP switch incentive program in the past may register again for this CCP Switch Incentive Program.

Features of the 17-months Discounted OTC IRD GOLD Pack:

  • This offer is available to all Clearing Members (including FCM Clearing Members) and to a group of affiliated Clearing Members (including FCM Clearing Members) and eligible affiliated Disclosed Clients which fulfil the personal prerequisites for a clearing license (an upgrade from the OTC IRD BASIC Pack or OTC IRD BASIC Pack Special Offer is possible within the available booking time)
  • Unlimited clearing of all OTC IRD products including IRS, OIS, Basis, FRA and ZCIS across all currencies – no limits on cleared or outstanding volumes apply
  • Subscription deadline for the 17-months Discounted OTC IRD GOLD Pack: 19 September 2022
  • Term 17-months Discounted OTC IRD GOLD Pack: The 17-months Discounted OTC IRD GOLD Pack will have a fixed term of 17 months, starting on 1 August 2022 until 31 December 2023
  • Price 17-months Discounted OTC IRD GOLD Pack: EUR 2,580,000 p.a. payable in equal monthly instalments of EUR 215,000 (compared to the IRS, OIS and FRA GOLD Pack and the ZCIS GOLD Pack this offer is equal to a circa 17 percent discount)
  • Current OTC IRD BASIC Pack subscribers may upgrade to the 17-months Discounted OTC IRD GOLD Pack until 19 September 2022; If booked, the benefits and terms and conditions of the 17-months Discounted OTC IRD GOLD Pack will automatically be applied with retrospective effect from 1 August 2022 and replace the terms and conditions of the previous OTC IRD BASIC Pack rebate scheme subscription

Features of the 3-year Discounted OTC IRD GOLD Pack:

  • This offer is available to all Clearing Members (including FCM Clearing Members) and to a group of affiliated Clearing Members (including FCM Clearing Members) and eligible affiliated Disclosed Clients which fulfil the personal prerequisites for a clearing license (an upgrade from the OTC IRD BASIC Pack or OTC IRD BASIC Pack Special Offer is possible within the available booking time)
  • Unlimited clearing of all OTC IRD products including IRS, OIS, Basis, FRA and ZCIS across all currencies – no limits on cleared or outstanding volumes apply
  • Subscription deadline for the 3-year Discounted OTC IRD GOLD Pack: 31 December 2022
  • Term 3-year Discounted OTC IRD GOLD Pack: The 3-year Discounted OTC IRD GOLD Pack will have a term of 36 months and automatically be applied once the previous OTC IRD Pricing Pack subscription expires or, in case of new joiners, as of the first calendar day of the subsequent month of booking (current Discounted OTC IRD GOLD Pack subscribers have explicitly the possibility to already book the new 3-year Discounted OTC IRD GOLD Pack in order to extend and secure their “all clear”-subscription under the new beneficial terms)
  • Price 3-year Discounted OTC IRD GOLD Pack: EUR 2,400,000 p.a. payable in 12 monthly instalments of EUR 200,000 (compared to the IRS, OIS and FRA GOLD Pack and the ZCIS GOLD Pack this offer is equal to a circa 23 percent discount)
  • Current OTC IRD BASIC Pack subscribers may upgrade to the 3-year Discounted OTC IRD GOLD Pack until 31 December 2022; If booked, the benefits and terms and conditions of the 3-year Discounted OTC IRD GOLD Pack will automatically be applied with retrospective effect from the first calendar day of the month of booking and replace the terms and conditions of the previous OTC IRD BASIC Pack rebate scheme subscription

Features of the OTC IRD BASIC Pack Special Offer:

  • This offer is available to all Clearing Members (including FCM Clearing Members) and to a group of affiliated Clearing Members (including FCM Clearing Members) and eligible affiliated Disclosed Clients which fulfil the personal prerequisites for a clearing license (a downgrade from GOLD Pack or Discounted GOLD Pack to BASIC Pack Special Offer is not possible)
  • Term: The OTC IRD BASIC Pack Special Offer rebate scheme will have a term of up to 15 months, ending on 31 December 2023. Once booked, it will automatically be applied once the previous OTC IRD BASIC Pack subscription expires or, in case of new joiners, as of the first calendar day of the subsequent month of booking (current OTC IRD BASIC Pack subscribers have explicitly the possibility to already book the new OTC IRD BASIC Pack Special Offer rebate scheme in order to extend and secure their subscription under the new beneficial terms)
  • The OTC IRD BASIC Pack Special Offer allows the clearing of IRS, OIS, FRA, Basis swaps and ZCIS transactions without extra booking fees and maintenance fees up to certain volume thresholds (see below)
  • Booking Fees: no booking fees up to the following volume thresholds (cumulated cleared notional, measured as of the month in which the subscription started until 31 December 2023):
    • IRS/OIS/Basis: EUR 300 bn (instead of EUR 200 bn as in the standard BASIC Pack according to the Price List)
    • FRA: EUR 750 bn (instead of EUR 500 bn as in the standard BASIC Pack)
    • ZCIS: unlimited (not included in the standard BASIC Pack)
  • Maintenance Fees: no maintenance fees up to the following thresholds (outstanding notional at the end of a month covered by the BASIC Pack Special Offer subscription):
    • IRS/OIS/Basis: EUR 750bn (instead of EUR 500 bn as in the standard BASIC Pack)
    • FRA: n/a
    • ZCIS: unlimited (not included in the standard BASIC Pack)
  • Price: EUR 1,500,000 p.a. payable in equal monthly instalments of EUR 125,000 (compared to the regular BASIC Pack and the ZCIS GOLD Pack this offer is equal to an implied discount of 60 percent)
  • Cleared volumes covered by other rebate schemes such as the CCP Switch Rebate Scheme do not count against the volume thresholds of this OTC IRD BASIC Pack Special Offer

2. Required action

Regarding point A and B: Registration for one of the Discounted OTC IRD GOLD Packs or OTC IRD BASIC Pack Special Offer: 

Clearing Members (including FCM Clearing Members) may register for either of the Discounted OTC IRD GOLD Packs or the OTC IRD BASIC Pack Special Offer by way of submitting the corresponding registration form attached to this circular. Please proceed the following steps:

i.    Registration for the Discounted OTC IRD GOLD Pack: Complete the attached EurexOTC-Interest-Rate-Derivative-Registration-Form-for-CM-Discounted-GOLD-Pack and select one of the two Discounted GOLD Packs; if desired, select “Registration of affiliated Clearing Members and Disclosed Clients for GOLD Pack Rebate Scheme” to apply the Discounted OTC IRD GOLD Pack to a group of affiliates.

Registration for the OTC IRD BASIC PACK Special Offer: Complete the attached EurexOTC-Interest-Rate-Derivative-Registration-Form-for-CM-BASIC-Pack-Special-Offer and select the OTC IRD BASIC PACK Special Offer; if desired, select “Registration of affiliated Clearing Members and Disclosed Clients for OTC IRD BASIC PACK Special Offer” to apply the OTC IRD BASIC PACK Special Offer to a group of affiliates.

ii.    Submit the signed form to your Key Account Manager Clearing latest by the end of the month to apply the chosen Discounted OTC IRD GOLD Pack from the first calendar day of the month of booking.

Regarding point C: Registration for CCP Switch Incentive Program(s):

Clearing Members and Disclosed Clients (via their Clearing Member) may register for the relevant CCP Switch Incentive Program(s) by way of the attached application form; please proceed with the following steps:

i.    Fill in the respective CCP Switch Incentive Program application form for Clearing Members or Disclosed Direct Clients, respectively.

ii.   The signed form is to be sent to your dedicated Key Account Manager Clearing in advance of the switch activity.

iii.    Nominate CCP Switch Dates as further outlined in the respective terms and conditions.

3.    Details of the initiative

A. Overview of Discounted OTC IRD GOLD Pack offering 2022/2023

a) Overview of the Discounted OTC IRD GOLD Packs

The Discounted OTC IRD GOLD Packs allow subscribing Clearing Members (including FCM Clearing Members) and groups of affiliated Clearing Members (including FCM Clearing Members) unlimited clearing of all OTC IRD products including IRS, OIS, Basis, FRA and ZCIS across all currencies

The 17-months Discounted OTC IRD GOLD Pack has a fixed term of 17 months, starting on 1 August 2022 and ending on 31 December 2023, whereas the 3-year Discounted OTC IRD GOLD Pack has a term of three years (36 subsequent calendar months). The term of the 3-year Discounted OTC IRD GOLD Pack starts on the first calendar day of the month subsequent to the last subscription day of the previous OTC IRD Pricing Pack subscription or, in case of new joiners, as of the first calendar day of the subsequent month of booking. 

The 17-months Discounted OTC IRD GOLD Pack is offered at a fixed fee of EUR 215,000 per month which is equal to a discount of circa 17 percent compared to the regular fees for the combined GOLD Packs. The 3-year Discounted OTC IRD GOLD Pack is offered at a fixed fee of EUR 200,000 per month which is equal to a discount of circa 23 percent compared to the regular fees for the combined GOLD Packs. 

The 17-months Discounted OTC IRD GOLD Pack can be booked until 19 September 2022. The 3-year Discounted OTD IRD GOLD Pack can be booked until 31 December 2022. Current OTC IRD GOLD Pack subscribers can book the 3-year Discounted OTC IRD GOLD Pack to already secure and extend their “all-clear” subscription under the new beneficial terms.

b) Eligible Participants of the Discounted OTC IRD GOLD Pack rebate scheme for Clearing Members

The Discounted OTC IRD GOLD Packs are available to all Clearing Members (including FCM Clearing Members), groups of affiliated Clearing Members (including FCM Clearing Members) and affiliated Disclosed Direct Clients, which fulfil the personal prerequisites for a clearing license according to Chapter I Part 1 Number 2.1.2 (2) of the Clearing Conditions of Eurex Clearing AG. All benefits of the Discounted OTC IRD GOLD Packs may be shared by all Clearing Members (including FCM Clearing Members) and eligible Disclosed Direct Clients that form part of the same group for the same fixed fee. The fixed fee will be allocated monthly to the group affiliates according to their individual performance measured as the sum of the monthly undiscounted gross revenues.

c) Upgrade from the OTC IRD BASIC Pack rebate scheme to either of the OTC IRD GOLD Pack rebate schemes

All OTC IRD BASIC Pack subscribers and groups of subscribers may upgrade from the OTC IRD BASIC Pack rebate scheme to either one of the Discounted OTC IRD GOLD Packs or the regular OTC IRD GOLD Pack rebate scheme within the given booking period of the respective Package (i.e. until 19 September 2022 for the 17-months Discounted OTC IRD GOLD Pack or until 31 December 2022 for the 3-year Discounted OTC IRD GOLD Pack). 

The chosen GOLD Pack may be applied with effect from the first calendar day of the month of booking, if the respective GOLD Pack is booked via one of the eligible registration forms and the form submitted to the respective Key Account Manager by the end of that month. Subscribers that wish to upgrade to the OTC IRD GOLD Pack after 31 December 2022 need to obtain the Package for the regular fixed fee in accordance to the Price List of Eurex Clearing AG.

Upgrade and registration for the Discounted OTC IRD GOLD Pack rebate scheme can be done using the attached registration form. Please submit your completed registration form to your Key Account Manager Clearing. 

B. Overview of Discounted OTC IRD BASIC PACK Special Offer 2022/2023

a) Overview of the Discounted OTC IRD BASIC PACK Special Offer

The OTC IRD BASIC Pack Special Offer allows subscribers the clearing of own transactions (that are booked to the respective house account (i.e. P account) for all OTC IRD products including IRS, OIS, Basis swaps, FRA and ZCIS across all currencies without extra booking fees and maintenance fees up to the following volume thresholds:

  • Booking Fees: no booking fees up to the following volume thresholds (cumulated cleared notional, measured as of the month of subscription until 31 December 2023):
    • IRS/OIS/Basis: EUR 300 bn (instead of EUR 200 bn as in the standard BASIC Pack according to the Price List)
    • FRA: EUR 750 bn (instead of EUR 500 bn as in the standard BASIC Pack)
    • ZCIS: unlimited (not included in the standard BASIC Pack)
  • Maintenance Fees: no maintenance fees up to the following thresholds (outstanding notional at the end of a month covered by the BASIC Pack Special Offer subscription):
    • IRS/OIS/Basis: EUR 750bn (instead of EUR 500 bn as in the standard BASIC Pack)
    • FRA: n/a
    • ZCIS: unlimited (not included in the standard BASIC Pack)

All transactions above these volume thresholds are billed according to the Standard Pricing Model A (as set out in the Price List) and will be charged in addition to the monthly fee for the OTC IRD BASIC Pack Special Offer.

OTC IRD BASIC Pack Special Offer applies from the subsequent month of booking (with 1 January 2023 being the latest start date possible for the subscription) until 31 December 2023. For each month a participant (or a group of participants – see below) has subscribed to the OTC IRD BASIC Pack Special Offer, a flat fee of EUR 125,000 per month is payable by such participant or group of participants which is not eligible for further rebates.

To the extent not provided otherwise in the attached registration form, the provision in Number 10.4 on the BASIC Pack applies mutatis mutandis to the OTC IRD BASIC Pack Special Offer.

b) Eligible Participants of the OTC IRD BASIC Pack Special Offer rebate scheme

The OTC IRD BASIC Pack Special Offer is available to all Clearing Members, groups of affiliated Clearing Members and eligible affiliated Disclosed Clients which fulfil the personal prerequisites for a clearing license according to Chapter I Part 1 Number 2.1.2 (2) of the Clearing Conditions. 

If a group registers for the OTC IRD BASIC Pack Special Offer, all benefits of the Discounted OTC IRD BASIC Pack may be shared by all Clearing Members and eligible Disclosed Clients that form part of the same group. The fixed fee will be allocated monthly to the group affiliates according to their individual performance measured as the sum of the monthly undiscounted gross revenues with regards to covered products.

c) Consideration of further rebate schemes and eligibility of Clearing Members

A downgrade from a GOLD Pack or Discounted GOLD Pack to the BASIC Pack Special Offer is not possible.

The fixed fee of EUR 125,000 per month for the OTC IRD BASIC Pack Special Offer may not be subject to additional rebates. 

Any other rebates a Clearing Member may qualify for with respect to booking fees and/or maintenance fees for products covered by the OTC IRD BASIC Pack Special Offer will expire with the registration to the OTC IRD BASIC Pack Special Offer, except for CCP Switch-related rebates. Transactions benefitting from CCP Switch-related rebates will not count towards the volume thresholds under the OTC IRD BASIC Pack Special Offer.

C. Prolongation of the CCP Switch Incentive Program until 31 December 2023

a) Offer for Clearing Members:

  • The CCP Switch Incentive Program for Clearing Members is available for all Clearing Members including FCM Clearing Members and ISA Direct Clearing Members (collectively referred to in the following as “Clearing Members”). 
  • The program is free of charge and allows enrolled Clearing Members to switch OTC IRS, OIS and ZCIS own transactions (i.e. transactions on its house/P accounts) from another CCP to Eurex Clearing on five individually selected Business Days between 1 January 2023 and 31 December 2023. On these days, eligible transactions will receive a 100 percent discount on all regular booking fees. This offering is not limited in terms of notional volumes, number of trades or switch mechanisms.
  • Enrolled Clearing Members notify Eurex Clearing of individually selected switch day using a provided online form (https://www.eurex.com/ec-en/survey/ccp-switch-incentive-program). Selected switch days are to be notified at the latest by the end of the Business Day following the switch day.
  • Interested Clearing Members may register for the CCP Switch Incentive Program by way of the attached application form. The completed application form is to be sent to your Key Account Manager.
  • Also Clearing Members which have participated in a CCP switch incentive program in the past may register again for this CCP Switch Incentive Program.
  • The General Terms and Conditions of the CCP Switch Incentive Program for Clearing Member Own Transactions apply and shall be decisive.

b) Offer for Disclosed Clients:

  • The CCP Switch Incentive Program for Disclosed Clients is available for all Disclosed Direct Clients and FCM Clients (collectively referred to in the following as “Disclosed Clients”). 
  • The program allows enrolled Disclosed Clients to switch OTC IRS, OIS and ZCIS transactions from another CCP to Eurex Clearing on individually selected ten* Business Days between 1 January 2023 and 31 December 2023. On these days, eligible transactions will receive a 100 percent discount on all regular booking fees. This offering is not limited in terms of notional volumes, number of trades or switch mechanisms.
  • Enrolled Disclosed Clients notify Eurex Clearing of individually selected switch days via the Clearing Member using a provided online form (https://www.eurex.com/ec-en/survey/ccp-switch-incentive-program). Selected switch days are to be notified at the latest by the end of the Business Day following the switch day.
  • Interested Disclosed Clients may register for the CCP Switch Incentive Program for Disclosed Clients through their Clearing Member(s) by way of the attached application form. The completed application form is to be sent via the Clearing Member to the Key Account Manager. In order to enjoy the maximum benefit, it is recommended for Disclosed Direct Clients with multiple Clearing Members to register all relationships. The discount will only be applied to registered relationships.
  • Also Disclosed Direct Clients which have participated in a CCP switch incentive program in the past may register again for this CCP Switch Incentive Program.
  • The General Terms and Conditions of the CCP Switch Incentive Program for own transactions of Disclosed Direct Clients/FCM Client Transactions apply and shall be decisive.

* Please note: Disclosed Clients must not apply for more than ten switch days under this program (also in case of a multiple clearing relationship setup).

The CCP Switch Incentive Program is designed to support CCP switch activity to transfer existing OTC Interest Rate Swap (IRS), Overnight Index Swap (OIS) and Zero-Coupon Inflation Swap (ZCIS) portfolios at other CCPs to Eurex Clearing.

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:

  1. EurexOTC-Interest-Rate-Derivative-Registration-Form-for-CM-Discounted-GOLD-Pack
  2. EurexOTC-Interest-Rate-Derivative-Registration-Form-for-CM-BASIC-Pack-Special-Offer 
  3. Application for Participation in the CCP Switch Incentive Program for CLEARING MEMBERS
  4. Application for Participation in the CCP Switch Incentive Program for DISCLOSED CLIENTS


Further information

Recipients:

All Clearing Members, FCM Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients, FCM Clients of Eurex Clearing AG and vendors

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Contact:

client.services@eurex.com

Web:

www.eurex.com/ec-en/

Authorized by:

Matthias Graulich