Infrastructure and collateral

Eurex Clearing, as well as the FCM CMs, are required to maintain at least one separate dedicated FCM Client account at each permitted depository (according to CFTC Rule 22.4) involved in the flow of initial margin. This applies to cash and securities collateral. Each permitted depository is required to sign an acknowledgement letter in relation to the relevant accounts holding customer funds in accordance with CFTC Rules 1.20 and 22.5. 

Payment infrastructure / Cash collateral:

• Separate cash accounts are used to hold initial margin and Supplementary Margin at Eurex Clearing. Initial margin and Supplementary Margin in the form of cash are held exclusively on Cash Trust Accounts.
• For LSOC, Eurex Clearing accepts EUR and USD for initial margin payments and cash collateral to cover intraday margin calls.
• Overnight margin calls take place only in the Clearing Member's nominated clearing currency which is EUR or USD, as requested by FCM CM.
• The following cut-off times will be in place for settlement and central bank accounts available for EUR initial margin deposits and withdrawals:
  • Citibank N.A. London, Barclays Bank PLC, Bank of New York Mellon New York Branch – 3:15 pm CET / 9:15 am EST
  • TARGET2 – 5:00 pm CET / 11:00 am EST
• The following cut-off times will be in place for settlement bank accounts available for USD cash deposits:
  • Deutsche Bank Trust Company Americas, Citibank N.A. New York – 9:00 pm CET / 3:00 pm EST
• USD cash withdrawals are permitted until 2:00 pm CET / 8:00 am EST
• Product related payments, such as variation margin, are settled in the underlying product currency which can be EUR, USD, GBP, CHF, DKK, JPY, NOK, SEK, CZK, HUF and PLN in accordance with the LSOC product scope. For cut-off times please refer to cut-off times.
• All relevant banks within Eurex Clearing's payment bank infrastructure can be used for product-related payments. For more information, please refer to Collateral management > Cash collateral
• The end of day margin call is issued at 9:00 am CET and must be settled by 10:00 am CET for EUR, CHF, GBP, USD and PLN whereas DKK, JPY, NOK, SEK, CZK and HUF (T+2 currencies) will be called for on Eurex Clearing's standard end-of-day settlement timeline.
• Any release of cash collateral has to be verified and approved by Eurex Clearing.

Securities collateral

• Under the LSOC model, Eurex Clearing only accepts a subset of the general admissible securities list allowed for LSOC. The relevant jurisdictions are: the US, Germany, France, UK, Canada and Japan.
• The list with the admissible securities is updated daily and published on the Eurex Clearing’s website. Please click here for a daily updated complete list of acceptable collateral (Global Admissible Securities). Securities eligible for LSOC have value "Y" in the field "LSOC_eligible". 
• There is no re-evaluation of collateral with the new FX rates at 5:00 pm CET. 
• Securities collateral will be provided to Eurex Clearing via a German law pledge.

Deposit / Release of Securities Collateral

• Clearstream Banking Frankfurt ("CBF") is the collateral location for the LSOC model; dedicated CBF-I accounts shall be used for the service.
• The cut-off times for the delivery or the release of securities collateral under the LSOC model have been aligned to 7:30 pm CET, afterwards this is done on a best effort basis.
• Any release of securities collateral must be verified and approved by Eurex Clearing.