Eurex Clearing AG Mergenthalerallee 61, 65760 Eschborn 

Mailing address: 60485 Frankfurt/Main 

Chairman of the Supervisory Board: Jeffrey Tessler 

Executive Board: Erik Tim Müller (CEO), Matthias Graulich, Jens Janka, Manfred Matusza, Dmitrij Senko 

Aktiengesellschaft mit Sitz in Frankfurt/Main, HRB Nr. 44828 

USt-IdNr. DE194821553, Amtsgericht Frankfurt/Main

VIA CFTC PORTAL

Division of Clearing and Risk 

Commodity Futures Trading Commission 

1155 21st Street NW 

Three Lafayette Centre 

Washington, DC 20581 

December 13, 2021 

Re: Submission of Swaps for the Commission’s Mandatory Clearing 

Determination Pursuant to Commission Regulation 39.5(b) 

Dear Mr. Kirkpatrick, 

Eurex Clearing AG (“Eurex Clearing”), a derivatives clearing organization 

(“DCO”) registered with the Commodity Futures Trading Commission (the 

“Commission” or “CFTC”), is submitting the following contracts (the “Contracts”) 

for the Commission’s mandatory clearing determination under Commission 

Regulation 39.5(b): 

Interest Rate Swap: 

Product: 

- Secured Overnight Financing Rate (“SOFR”) overnight index swap (“OIS”) and 

basis swap 

- Reformed Sterling Overnight Index Average (“SONIA”) OIS 

- Tokyo Overnight Average rate (“TONA”) OIS 

Currency: 

U.S. Dollar (“USD”) 

Great Britain Pound (“GBP”) 

Japanese Yen (“JPY”) 

The maximum remaining term for the Contracts is no more than 51 years (SOFR 

OIS and basis swaps, SONIA OIS) and 31 years (TONA OIS). The minimum 

term for the Contracts is at least one business day. 

Eurex Clearing AG 

Mergenthalerallee 61 

65760 Eschborn 

T 312-544-1087 

www.eurex.com/clearing
2 

SONIA OIS with a date range of between 7 days and 3 years are already 

subject to a mandatory clearing obligation in the European Union and U.S.1 In 

addition, Eurex Clearing notes that there are consultations ongoing regarding the 

mandatory clearing obligation as related to SOFR OIS, SONIA OIS, and TONA 

OIS.2 Eurex Clearing respectfully believes the Commission and other regulators 

in other jurisdictions should coordinate in such determinations in order to facilitate 

international cooperation and global convergence. Eurex Clearing is eligible to 

accept the Contracts and, in the event that the Contracts were required to be 

cleared, would be able to maintain compliance. 

Required Information under Commission Regulation 39.5(b)(3) 

The existence of significant outstanding notional exposures, trading 

liquidity, and adequate pricing data 

The rates referenced in the Contracts are functional replacements for the 

corresponding LIBORs: SOFR for USD LIBOR, SONIA for GBP LIBOR, and 

TONA for JPY LIBOR. These alternative reference rates resulted from efforts in 

the U.S. and around the world to identify replacements for LIBOR, as described 

in CFTC, Swap Clearing Requirement Amendments for the Transition from 

LIBOR and Other IBORs to Alternative Reference Rates, 86 Fed. Reg. 66476 

(Nov. 23, 2021). 

SOFR has been identified by the Alternative Reference Rate Committee 

as the rate that represents best practice for use in certain new USD derivatives 

and other financial contracts. SONIA is the Working Group on Sterling Risk Free 

Reference Rates’ preferred benchmark for the transition to GBP risk-free rates 

from LIBOR. TONA has been identified as the main alternative benchmark for 

JPY LIBOR by the Cross-Industry Committee on Japanese Yen Interest Rate 

Benchmarks, supported by the Bank of Japan. 

Eurex Clearing provides swap volumes for each of the respective 

currencies at: https://www.eurex.com/ec-en/clear/clearing-volume. As of 

December 6, 2021, Eurex Clearing had: (i) approximately USD 9.3 bn in notional 

outstanding in OIS (USD); (ii) approximately GBP 28.2 bn in notional outstanding 

in OIS (GBP); and (iii) JPY 0 notional outstanding in OIS (JPY). 

Daily figures for the notional exposures are provided daily at: 

1

 Commission Delegated Regulation (EU) 2015/2205 of 6 August 2015 supplementing 

Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard 

to regulatory technical standards on the clearing obligation, as amended, available at: 

http://data.europa.eu/eli/reg_del/2015/2205/2021-02-18; CFTC Regulation 50.4(a). 

2

 E.g., European Securities and Markets Authority, Final Report: On draft RTS on the 

clearing and derivative trading obligations in view of the benchmark transition to risk free 

rates (Nov. 18, 2021), available at: 

https://www.esma.europa.eu/sites/default/files/library/esma70-156-

4953_final_report_on_the_co_and_dto_re_benchmark_transition.pdf; Bank of England, 

Policy statement: Derivatives clearing obligation – modifications to reflect interest rate 

benchmark reform: Amendments to BTS 2015/2205 (Sept. 29, 2021), available at: 

https://www.bankofengland.co.uk/paper/2021/derivatives-clearing-obligationmodifications-to-reflect-interest-rate-benchmark-reform.
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https://www.eurex.com/ec-en/clear/clearing-volume. Current and past figures for 

current swap volume in USD, GBP, and JPY are also provided at this link. 

In addition, settlement prices are provided at: 

https://www.eurex.com/ec-en/clear/eurex-otc-clear/settlement-prices. 

Settlement prices for current swap volume in USD, GBP, and JPY are also 

provided at this link. 

Chapter II, Part 2, Number, 2.1.6 (1) (Daily Evaluation Price and 

Discounting of Future Cashflows) of the FCM Regulations of Eurex Clearing 

(“FCM Regulations”) and Chapter VIII, Part 2, Number 2.1.5 (Daily Evaluation 

Price) of the Clearing Conditions of Eurex Clearing (“Clearing Conditions”) 

provide, 

“Eurex Clearing AG determines the daily evaluation price on the 

basis of (i) the rates determined in accordance with Number 

2.2.5 and (ii) the raw market quotes underlying the discount and 

forecast curve provided by a recognized third party provider (the 

respective quotes and third party provider to be selected at the 

reasonable discretion of Eurex Clearing A), in each case as of 

the day of the determination of the daily evaluation price (each 

such day a “Reset Date” for the purposes of Number 2.2.5 (1)). 

Where no information on the relevant rates as referred to in (i) 

is available, Eurex Clearing AG will determine the daily 

evaluation price in accordance with Number 1.8. The relevant 

discount and forecast curves are laid out in the EurexOTC Clear 

Risk Methodology Description Interest Rate Swaps of Eurex 

Clearing AG.” 

Eurex Clearing believes use of Reuters is adequate because it is a readily 

available conventional source. In addition, Eurex Clearing can receive data from 

Bloomberg if necessary and has multiple backups for receiving pricing data. 

The FCM Regulations and Clearing Conditions are available for 

download at: https://www.eurex.com/ec-en/rules-regs/rules-and-regulations. 

The availability of rule framework, capacity, operational expertise and 

resources, and credit support infrastructure to clear the contract on terms 

that are consistent with the material terms and trading conventions on 

which the contract is then traded 

Eurex Clearing already has a well-developed rule framework and support 

infrastructure for clearing the Contracts. Eurex Clearing leverages this existing 

operational capacity when clearing the Contracts on the DCO. Eurex Clearing 

ensures that it has the appropriate risk management, operations, and technology 

capabilities in place to ensure that it is able to liquidate positions in the Contracts 

in an orderly manner in the event of a default. The Contracts are subject to 

margin and clearing fund requirements set forth the FCM Regulations and the 

Clearing Conditions. 

The effect on mitigation of systemic risk, taking into account the size of the 

market for such contract and the resources of the DCO available to clear 

the contract 

The benefits of central clearing of the Contracts through Eurex Clearing 

are significant, including reduction of counterparty risk, margin and collateral 

efficiencies, client asset segregation, and legal certainty. With an overall 
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collateral pool of EUR 55 billion, Eurex Clearing’s stress-tested lines of defense 

and with over 200 Clearing Members from 19 countries, Eurex Clearing has the 

necessary resources to clear the Contracts from a market size and resources 

perspective. 

The effect on competition, including appropriate fees and charges applied 

to clearing 

Eurex Clearing does not believe that its clearing of the Contracts will have 

a negative or material impact on the competition. The fee schedule for the 

contracts Eurex Clearing clears is available at: https://www.eurex.com/ecen/rules-regs/rules-and-regulations. 

The existence of reasonable legal certainty in the event of the insolvency 

of the relevant DCO or one or more of its Clearing Members with regard to 

the treatment of customer and swap counterparty positions, funds and 

property 

Eurex Clearing observes the “Principles for financial market 

infrastructures” published by the Committee on Payment and Settlement 

Systems and International Organisation of Securities Commissions (the 

“PFMIs”). In February 2015, Eurex Clearing published an assessment of its 

compliance with the PFMIs, including the conclusion that it fully complies with the 

PFMIs. This assessment and conclusion was reviewed and validated by KPMG 

as an independent outside auditor. This assessment is available at: 

https://www.eurex.com/resource/blob/247228/3bab45c5a4d22f090373d15dafd0

36d7/data/cpss-iosco-pfmi_assessment_2014_en.pdf. As part of this 

assessment, Eurex Clearing’s default management procedures were assessed 

to be certain in the event of its or its Clearing Members’ insolvency with regard to 

the treatment of customer and counterparty positions and collateral. Eurex 

Clearing’s most recent assessment against the international standards applicable 

to financial market infrastructures described in the April 2012 report Principles for 

financial market infrastructures, prepared as of February 2021, is available at 

https://www.eurex.com/resource/blob/2446522/22f4869a8649f15b54a1e86bf63

5c63c/data/cpss-iosco-pfmi_assessment_2020_en.pdf.

Eurex Clearing also has previously provided a legal memorandum to the 

Commission on the ring-fenced treatment of cleared swaps customer collateral 

pursuant to Part 22 of the Commission’s regulations. 

A potential insolvency of Eurex Clearing and the operation of default 

management procedures under the Clearing Conditions would be governed by 

German Law, except for certain FCM Regulations and Clearing Conditions that 

relate to cleared swaps customer collateral that are governed by U.S. federal 

laws. 

Further information (CFTC Regulation §39.5(b)(iii-viii) 

Product terms of the Contracts are market standard and follow the 2021 

ISDA Interest Rate Derivatives Definitions. 

Participant eligibility standards are the same as Eurex Clearing’s general 

FCM Clearing Member and Clearing Member standards. 

There are no additional price sources required as prices are readily 

available from the price sources already used by Eurex Clearing. 
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Eurex Clearing has a sound framework for the comprehensive 

management of all material risks. In this regard Eurex Clearing has established 

documented policies, procedures, and systems to identify, monitor, and manage 

such risks. 

The rules, policies, and procedures that apply to the clearing of the 

Contract are set forth in the FCM Regulations and the Clearing Conditions. 

Eurex Clearing is providing notice of this submission to Clearing 

Members by posting this submission under the CFTC DCO Filings webpage at: 

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

If you have any questions, please contact Eric Seinsheimer, US CCO, 

Eurex Clearing AG, at eric.seinsheimer@eurex.com or (312) 544-1087. 

Yours faithfully, 

/s/ Eric Seinsheimer 

Eric Seinsheimer