Default Management Process simulation planned for 13 - 14 November 2023 (“Fire Drill”)

1.   Introduction

A. Fire Drill

As an EMIR-compliant CCP, Eurex Clearing conducts at least one simulation of its Default Management Process per year, designated as Fire Drill. The purpose of a Fire Drill is to confirm that the procedures which Eurex Clearing and its Clearing Members have in place for managing an actual Clearing Member default are fit for purpose. 

Following the Eurex Clearing Fire Drill in May 2023 (please refer to Eurex Clearing Circular 005/23), Eurex Clearing will participate in the multi-CCP Fire Drill coordinated by CCP Global with a common narrative and timing. 

Fire Drill Dates: 13 - 14 November 2023

Liquidation Groups:

• I.    Equity (Index) Derivatives Liquidation Group (PEQ01): Hedging and Liquidation Auction of Futures and Options
• II.   Fixed Income Liquidation Group (PFI01): Hedging Auction of a combined EUR IRS and Fixed Income Futures book
• III.  Bond Liquidation Group (PBN01): Liquidation Auction of European Government bonds

For each asset class, Eurex Clearing nominates Clearing Members for whom participation is mandatory. Mandatory participation is detailed in Chapter I Part 1 Number 7.5.5 of the Clearing Conditions of Eurex Clearing AG.

B. Default Management Contacts

With respect to the Default Management Process (DMP), Eurex Clearing foresees according to Chapter I Part 1 Number 7.5 (4) of the Clearing Conditions of Eurex Clearing AG, that each Clearing Member shall appoint one employee as coordinator (“DMP Coordinator”) and another of its employees as a deputy (“DMP-deputy”). Both the DMP Coordinator and the DMP-deputy act as central contacts for all general matters related to the DMP of Eurex Clearing, including Fire Drills.

2.   Required action

A. Fire Drill

• I.   Mandatory Participants (Clearing Members) in the Liquidation Groups mentioned above: will be invited to the Fire Drill by 16 October 2023 and will be informed about further details.
• II.  All other Clearing Members and Clients who have not been invited bilaterally by 16 October 2023 are not considered Mandatory Participants in the respective Liquidation Groups for the purpose of this Fire Drill.

B. Default Management Contacts

Clearing Members are asked to:

• I.   Review the current contact details for the “DMP Coordinator” and the “DMP-deputy” in the Company Contacts tab of the Member Section of Deutsche Börse Group 
• II.  Update the contact details where necessary in the Company Contacts tab of the Member Section.

3.   Details of the initiative

The simulation is an opportunity for Clearing Members to ensure that they can comply with and understand the Eurex Clearing Default Management Process and that they have access to the Eurex Clearing Auction Tool (ECAT) where information about portfolios is shared and quotes are submitted.

Please note that in case of a real Termination Event (default), non-compliance with mandatory bidding obligations in an auction can result in a juniorization of Default Fund contributions and monetary penalties. In the Fire Drill, non-compliance is reported to Eurex Clearing’s National Competent Authority.

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.

Further information