Collateral management

Collateral valuation

A key component of our safeguards mechanisms is the margin required of Clearing Members with open positions. These margins are used to satisfy any obligation the Clearing House has taken over in the event of a Clearing Member default.

In order to cover your margin requirements, collateral is posted to the Clearing House. Non-cash collateral is subject to fluctuations in market prices, therefore, Eurex Clearing applies haircuts on every instrument for collateralization purposes. These haircuts are calibrated to guarantee the high (99.9 percent) confidence level for extreme market conditions.

Haircuts alone are not sufficient, however, if market prices of collateral are outdated. Therefore, reliable bond prices are essential for determining collateral values. We monitor and validate all prices on a regular basis in compliance with regulatory requirements.

Eurex Clearing uses confidence factors for each theoretical price which accounts for uncertainties arising from the appliance of any theoretical pricing model.

Only bonds where theoretical prices can be calculated are eligible as bond collateral. These are bonds with the following coupon structures:

  • Non-callable fixed rate bonds with zero- or non-zero coupon
  • Non-callable floating rate bonds with constant structure
  • Non-callable reverse floating rate bonds with constant structure