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Supplementary Margins are risk mitigating measures to cover specific risks not fully calculated with the Standard Margin Model. They are an adequate risk mitigating action since they facilitate the 'Defaulter Pays' principle and protect the mutual Default Fund in case of a Clearing Member default. Any Supplementary Margin requested by Eurex Clearing will increase the applicable margin requirement.
Learn now more about the Clearing Conditions under the following link: Rules and Regulations > Rules and Regulations > Clearing Conditions > Chapter 1-General Provisions.
All Supplementary Margin information can be found there in Part 1, Chapter 3, 3.5 Supplementary Margin.
How are Supplementary Margin bookings communicated to the clients?
Which Supplementary Margins do exist?
Eurex Clearing differs currently between the following Supplementary Margins, which are booked in the following 'Margin Classes':
1. What is the 'Own Issue' Supplementary Margin SUPPL?
In case Clearing Members enter into positions, where they are exposed to the performance of their own stock (e.g. derivatives on their own equity) or other instruments issued by themselves or entities belonging to the same legal group, these positions are collateralized based on the assumption that the underlying becomes worthless in a default scenario.
So, 'Own Issue' is the amount of funds charged to the Clearing Members for trading own Futures and Options (only derivatives) and is a special 'Wrong-Way Risk' constellation.
2. What is the charging/payback process of SUPPL?
A daily monitoring process ensures a tight control of any 'Own Issue' positions.
For a more efficient Collateral Management process on the Clearing Member side, the Supplementary Margins are charged weekly based on the largest excess (i.e. loss given default minus already provided resources) over the previous week.
3. How is SUPPL communicated?
Clearing Members are directly informed vie e-mail (phone) about SUPPL on a weekly basis.
The booked amount can be checked e.g. in the Report CC750 under the 'Margin Class' SUPPL.
4. Where can I find more information?
More information about 'Wrong-Way Risk' can be found on the dedicated risk management page under the following path:
Services > Risk management > Credit, concentration & wrong way risk
1. What is SUMA?
SUMA represents additional margin that can be demanded by Eurex Clearing from the Clearing Members showing exceptional Stress Testing results, i.e. the stress shortage for a Clearing Member exceeds a predefined threshold.
Thresholds are defined as the percentage of the current Eurex Clearing’s Default Fund (including the 'Total Dedicated Amount' provided by Eurex Clearing that is divided between the First Skin in the Game and the Second Skin in the Game).
2. What is the charging/payback process of SUMA?
In order to mitigate the risk that Eurex Clearing’s prefunded financial resources are insufficient compared to Stress Testing results, assuming the default of at least the two largest Clearing Members ("cover-2" Stress Tests), pre-defined operational thresholds have been established and are continuously monitored.
We initiate risk mitigating actions whenever a threshold is breached.
The applicable thresholds:
Threshold | Mitigating actions |
40% of current Default Fund | Early warning threshold, where the respective Clearing Member is notified of its stress shortage and advised to comply with the thresholds. |
90% of current Default Fund for two Clearer Groups combined and 45% of current Default Fund for single Clearing Group | Additional collateral (supplementary margin) is required to cover the higher exposure. |
A Clearing Member is initially notified once the Clearing Member’s stress shortage consumes more than 40% of Eurex Clearing’s Default Fund (incl. Eurex Clearing’s 'Total Dedicated Amount' that is divided between the First Skin in the Game and the Second Skin in the Game).
SUMA is required when the sum of the worst stress shortage of two Clearing Member Groups consumes more than 90% of Eurex Clearing’s Default Fund (incl. Eurex Clearing’s 'Total Dedicated Amount' that is divided between the First Skin in the Game and the Second Skin in the Game) and when the worst stress shortage of a Clearing Member Group consumes more than 45% of Eurex Clearing’s Default Fund (incl. Eurex Clearing’s 'Total Dedicated Amount' that is divided between the First Skin in the Game and the Second Skin in the Game).
The difference between Clearing Member’s stress shortage and 90% of Eurex Clearing’s Default Fund (incl. Eurex Clearing’s 'Total Dedicated Amount' that is divided between the First Skin in the Game and the Second Skin in the Game) is called as Supplementary Margin (SUMA) and needs to be covered as additional Collateral in order to remedy the breach.
SUMA is released if the sum of the largest stress shortage of two Clearing Member Groups over the previous day is below the 90% consumption of Default Fund (incl. Eurex Clearing’s 'Total Dedicated Amount' that is divided between the First Skin in the Game and the Second Skin in the Game) .
3. How is SUMA communicated?
The SUMA Booking is communicated via e-mail (phone).
The charged amount can be checked e.g. in the Report CC750 under the 'Margin Class' SUMA.
4. Where can I find more information?
For more information regarding risk mitigating actions in regards to Stress Testing, please visit the dedicated risk management page under the following path:
Services > Risk management > Stress testing > Risk mitigating actions
1. What are Portfolio Diversification and Margin Offsets (SUMMV)?
The regulatory amount of Margin reductions for every Clearing Member on sub portfolio level shall be not greater than 80 percent in a portfolio.
If the 80 percent limit is exceeded, corresponding amounts are booked in the 'Margin Class' SUMMV.
2. What is the charging/payback process of SUMMV?
The value of SUMMV is calculated and charged daily based on the previous End of Day (EOD) margin requirement. The Supplementary Margin difference against the previous day is booked overnight.
3. How is SUMMV communicated?
The SUMMV amount is communicated to customers via e-mail (phone).
The booked SUMMV amount can be checked e.g. in the Report CC750 under the 'Margin Class' SUMMV.
4. Where can I find more information?
Limits are set by the additional risk monitoring framework and outlined in the Eurex Clearing Circular 095/17: 'Regulatory requirements for monitoring of portfolio diversification and margin offsets'.
1. What is SUMME?
For sub-investment grade rated Clearing Members Supplementary Margin may be charged ('Margin Class' SUMME).
The margin (without Supplementary Margin) is multiplied by a margin multiplier, which is set dependently on the credit rating of the Clearing Member.
2. What is the charging/payback process of SUMME?
The calculation is done daily and is based on the previous End of Day (EOD) margin requirement.
The Supplementary Margin difference against the previous day is booked overnight.
3. How is SUMME & SUMMC communicated?
It is communicated to customers via e-mail (phone).
The booked amount can be checked e.g. in the Report CC750 under the 'Margin Class' SUMME.
1. What are SUMCR & SUMCO & SUMWR?
They are limit breaches from additionally monitored risk limits, such as 'Credit-, Concentration and Wrong-Way Risk' limits and could be mitigated by Supplementary Margins: SUMCR, SUMCO and SUMWR.
2. What is the charging/payback process of SUMCR & SUMCO & SUMWR?
The Supplementary Margin difference against the previous day is booked EOD.
3. How are SUMCR & SUMCO & SUMWR communicated?
The additional margin is booked into the respective 'Margin Classes' (SUMCR, SUMCO or SUMWR) e.g. in the CC750 Report.
The Members are informed via e-mail (phone).
4. Where can I find more information?
More information about 'Wrong-Way Risk' can be found on the Eurex Clearing Circular 131/13 and on the dedicated risk management page under the following path:
Services > Risk management > Credit, concentration & wrong way risk.
1. What are the Own Used and Closely Linked Covered Bonds' Supplementary Margin 'SUMOR & SUMOM'?
The Supplementary Margin for Own Used and Closely Linked Covered Bonds ('SUMOR' for Repo Collateral and 'SUMOM' for Margin and Default Fund Collateral) is an additional charge imposed by Eurex Clearing on covered bonds that qualify for specific exemptions under number 3 initially announced in Eurex Clearing Circular 126/14 (“Clarification of the Own Issues and Close Links Rule for margin collateral and principal collateral”), enhanced with 032/22 and 053/25. These exemptions allow certain covered bonds to be excluded from the complete prohibition under the “Own Issue” and “Close Link” rule.
2. What is the charging / payback process of SUMOR & SUMOM?
The Margin add-on will be set at 5% of the clean market value of own-issues and close-link securities and charged as Supplementary Margin daily eod.
3. How is SUMOR & SUMOM communicated?
The booked amount can be checked e.g. in the Report CC750 under the Margin Classes ‘SUMOR & SUMOM’
1. What is the margin concentration add-on for OTC IRS Portfolios SUMMC?
The SUMMC is a size-dependent margin concentration add-on applied at account level for large OTC Interest Rate Swap (IRS) portfolios. Its purpose is to increase the available margin for large exposures to balance the margin requirement with the default fund contribution.
2. What is the charging/payback process of SUMMC?
SUMMC is automatically applied during the end-of-day margin processing on the impacted risk account.
The amount is calculated based on the Market Risk Initial Margin and the Liquidity Adjustment component of the risk account.
For details regarding the calculation methodology, please refer to Circular 083/25.
3. In which reports can I find the values to calculate the supplementary margin amount SUMMC?
4. How is SUMMC communicated?
5. In which currency SUMMC is charged?
OTC IRS Supplementary Margin SUMMC is charged in EUR.
6. Where can I find more information?
More information about ‘SUMMC’ can be found on the Eurex Clearing Circular 083/25.
Download the Supplementary Margins Cheat Sheet
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Eurex Clearing AG
CCP Risk Management / Risk Exposure Management
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