Eurex Clearing AG 

ECAG Rule Certification 065-23

October 13, 2023

1. The text of the proposed amendments to the Price List (“Price List”) of Eurex Clearing AG (“Eurex 

Clearing”) is appended as Attachment A. Any additions are underlined and any deletions are struck 

through.

2. The dates of intended implementation are:

Amendment 1 below: December 1, 2023

Amendment 2 and 3 below: January 2, 2024

3. Attached please find a certification that: (1) these amendments comply with the Commodity Exchange 

Act (the “Act”), and the Commission’s regulations thereunder; and (2) concurrent with the filing of this 

submission, Eurex Clearing is posting a copy of this filing to its website at: 

https://www.eurex.com/ecen/rules-regs/regulations/cftc-dco-filings.

4. A concise explanation and analysis of the operation, purpose, and effect of the amended rule appears 

below. 

5. There were no opposing views expressed regarding these amended rules. 

6. Confidential treatment is not requested. 

___________________________________________________________________________________ 

CONCISE EXPLANATION AND ANALYSIS OF THE OPERATION, PURPOSE, AND EFFECT OF 

THE PROPOSED RULE AND ITS COMPLIANCE WITH APPLICABLE PROVISIONS OF THE ACT, 

INCLUDING CORE PRINCIPLES AND THE COMMISSION’S REGULATIONS THEREUNDER 

Eurex Clearing is proposing the below amendments.

1. Amendments to the benchmark for interest rate calculation on cash margin in EUR and CHF

The proposed amendments change the benchmark for: 

• cash margin in EUR from STOXX GC Pooling ON Index to ECB Deposit Rate minus an 

adjustment factor of 10 bps; and 

• for cash margin in CHF from SARON to SNB Policy Rate minus an adjustment factor of 50 bps.

The amendments provide for more stable benchmark rates without high volatility effects, more 

transparency to Clearing Members, and allow a higher level of predictability for the interest on 

cash margin. Further, the move to deposit rate minus adjustment factor addresses year end effects 

as seen in the market rates in the past. The adjustment factor will mitigate additional costs resulting 

from changes in the overall market conditions and regulatory requirements such as the changed 

interest rate applied on minimum reserve by the European Central Bank.

2. Amendments to the Price List regarding the securities collateral concentration add-on fee

Eurex Clearing is proposing amendments to the Price List in relation to the securities collateral 

concentration add-on fee (“Concentration Fee”) to further simplify the approach and to meet its 

client needs. The current scheme excludes all (i) client collateral pools only relating to OTC Interest 
Rate Derivatives Transactions and NDF Transactions, (ii) individual segregated client collateral 

pools that are actively using cross-margining, and (iii) ISA Direct Clearing Members. Eurex 

Clearing will amend the Concentration Fee scheme to exclude all segregated client pools 

independent of their active market; meaning all pure GOSA Omnibus pools (includes only GOSAsegregated accounts) and all individual segregated client pools. Therefore, based on the new 

scheme, Eurex Clearing will exclude all 

(i) Internal Omnibus Margin Accounts relating to Disclosed Direct Clients (GOSA-segregated 

accounts),

(ii) Internal ISA Margin Accounts (individual segregated accounts),

(iii) Internal ISA Direct Margin Accounts, and

(iv) FCM Client Margin Accounts 

from the calculation of the required cash ratio for the Concentration Fee. 

The determination of the Concentration Fee, which relates to the cash ratio, is outlined in detail in 

Eurex Clearing Circular 065-23, which is appended as Attachment A.

3. Activation of the securities collateral concentration add-on fee as of January 2, 2024

The proposed amendments provide for the activation of the Concentration Fee as of January 2, 

2024. The background for these amendments is Eurex Clearing’s observation of a trend of clients 

posting more securities collateral and reducing cash balances held and the need to ensure continued 

regulatory compliance and a balanced mix of cash and securities collateral.

Further information regarding the operation, purpose and effect of the proposed amendments is discussed 

in Attachment A. 

Eurex Clearing has identified the following DCO Core Principle as potentially being relevant to the above 

amendments: 

1. DCO Core Principles D (Risk Management): The proposed amendments will comply with DCO 

Core Principle D because the amendments change a fee related to the provision of securities 

collateral and change the benchmark for interest rate calculation on cash margin in EUR and CHF, 

and Eurex Clearing will continue to have margin requirements sufficient to cover potential 

exposures in compliance with this Core Principle.
U.S.C. §7a-2 AND COMMODITY FUTURES TRADING COMMISSION RULE 40.6, 17 C.F.R. §40.6

I hereby certify that:

(1) the amendments comply with the Commodity Exchange Act, and the Commission’s 

regulations thereunder; and

(2) concurrent with the filing of this submission, Eurex Clearing is posting a copy of this filing 

to its website at: https://www.eurex.com/ec-en/rules-regs/regulations/cftc-dco-filings.

/s/ Eric Seinsheimer

By: Eric Seinsheimer

Title: US CCO, Eurex Clearing AG

Dated: October 13, 2023