Adaption of handling for currencies settling on a T+2 basis for ETD business

1. Introduction

Eurex Clearing AG (Eurex Clearing) herewith adapts risk handling for currencies settling on a T+2 basis (T+2 currencies) for ETD business. It introduces the supplementary margin considering operational thresholds aiming at collateralizing cash settlements with an extended settlement period, currently applicable for AUD, DKK, NOK, NZD, SEK, and JPY. The list of T+2 currencies is subject to change. Any changes will be communicated in advance. 

The supplementary margin shall become effective as of 1 October 2026 and will be effective for intraday margining only. 

2. Required action

With this circular, Eurex Clearing provides detailed information on the new Supplementary Margin Category including the calculation methodology. Affected Clearing Members are requested to be prepared to meet the new Supplementary Margin requirements as of 1 October 2026. The add-on only applies to Clearing Members active in any ETD business at Eurex Clearing where the product currency is a T+2 currency
 

3. Details of the initiative

Eurex Clearing herewith introduces a new Supplementary Margin with respect to cash settlements for ETD business in currencies settling T+2. The new Supplementary Margin is an add-on booked as Current Liquidating Margin (CLM) which has the purpose of collateralizing ETD settlements which settle after T+1.

Calculation 

The add-on for uncollateralized ETD cash settlements will be charged as Supplementary Margin intraday only. The charges will only take place whenever the aggregate debit payment amount across all T+2 currencies in a collateral pool exceeds 10 million EUR equivalent. The size of the margin add-on will be the outstanding T+2 debit transactions aggregated per currency per risk account. 

The following payment transactions from the CD710 Daily Cash Account CM report are considered: 

224 – Premium Paid 

226 – Premium Received 

235 – Variation Margin Received 

236 – Variation Margin Paid 

294 – Cash Settlement Paid 

296 – Cash Settlement Received 

These transactions stem from ETD business, including option premiums, daily PnLs and cash settlements. As such, details on the composition can be found in the CB012 Account Statement. 

Supplementary Margin process 

The add-on will be booked as CLM Supplementary Margin under the Margin Class “SUMS”. It will not be booked for the end-of-day processing but intraday only. For the avoidance of doubt, the Supplementary Margin will be charged in the respective product currencies and converted at haircut exchange rates. Since intraday margin increases are only enforced via event-driven intraday margin calls, the supplementary margin will only require additional collateral when intraday margin call thresholds are exceeded for an affected collateral pool. The margins will be released automatically with the end-of-day processing. Note that it may be possible for margins to be charged on consecutive days due to differences in local bank holidays. 

There will be email communication informing about the bookings to the designated Supplementary Margin contacts.

Reporting 

Clearing Members can find the Supplementary Margin bookings in the CI050 Daily Margin Report which shows Margins on “Margin Class- / Liquidation Group” level intraday. A detailed description of the report fields can be found in the Prisma Report Reference Manual in the Member Section of Deutsche Boerse Group. 

Additional information 

Supplementary Margin is regulated under Chapter I Part 1 Number 3.5 of the Clearing Conditions of Eurex Clearing AG, or Chapter I Number 3.1.4 of the FCM Regulations of Eurex Clearing AG. The documents are available on the Eurex Clearing website under the following paths: 

Rules & Regs > Eurex Clearing Rules & Regulations > 1. Clearing Conditions   

Rules & Regs > Eurex Clearing Rules & Regulations > 2. FCM Regulations and FCM Default Rules  

Please do not hesitate to contact the Risk Department under risk@eurex.com in case you have any questions or require further information. 

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