Exchange for Swaps

Interest Rate Derivatives

Futures Leg
A list of all combinations of Eurex interest rate futures and off-book interest rate swaps as well as off-book interest rate swaptions admitted as a Futures Leg for the EFS Service can be found in the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland, chapter 3.2.4.

Cash Leg
Cash transactions in EFS Trades must have the following characteristics:

• Off-book interest rate swap or swaption
• Agreement under the terms of an ISDA Master Agreement or any similar framework agreements

Equity Index Futures

Futures Leg
A list of all Equity Index Futures admitted as a Futures Leg for the EFS Service can be found in the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland, chapter 3.2.4.

Cash Leg
Cash transactions in EFS Trades for equity indexes are equity index swaps with the following characteristics:

• The share basket reflected via the swap shall be composed of at least ten different index components or a number of shares which represent at least half of the equity index underlying the futures contract
• The market value of the part of the share basket reflected via the swap whose values are part of the equity index underlying the futures contract shall be at minimum 20 percent of the market value of the entire cash transaction.
• All single shares in the share basket reflected via the swap shall be part of the STOXX® Europe TMI Index, the MSCI World Index, the MSCI Emerging Markets Index, the MSCI Frontier Markets Index, the ATX® or the CECE® EUR Index.
• Written under the terms of an ISDA Master Agreement
• All swap payments must be denominated in a currency of the OECD Member States

Clearing of Exchange for Swaps
EFS Trades are supported by Eurex Clearing for clearing and settlement.

• The EFS Service allows Eurex Trading Participants to clear futures positions resulting from EFS Trades through Eurex Clearing.
• The EFS Service is not used to conclude cash transactions (see Cash Leg)
• Equity index futures positions resulting from EFS Trades are administered as normal exchange positions by the Eurex system and may be closed through the regular market