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December 16, 2011

Eurex sponsored page at the FT

Just came across this: http://eurex.ft.com/ a high level description of their planned OTC services, similar to this post I wrote a while back.

The footnotes are small and hard to read, so I have shown them here and added hyperlinks:

  • 1 See http://eurexchange.com/trading/eurexotc_en.html for an outline of EurexOTC Trade Entry service. In 2010 over 774 million contracts were traded via the facility and an excess of 654 million contracts have already been traded in 2011 up to the end of September.
  • 2 Phase 1, with connections to Bloomberg VCON, TradeWeb and RfQHub to follow.
  • 3 See link: http://www.eurexclearing.com/download/market/EurexOTC_Clear_Services.pdf which outlines the operational workflow of EurexOTC Clear via MarkitWire.
  • 4 See http://www.eurexchange.com/download/documents/circulars/cc0842011e.pdf for details and contact to participate in the simulation programme.
  • 5 The individual client asset protection offering is currently available for customers in England and Wales and Germany and will be extended to other jurisdictions and OTC instruments in 2011 and 2012 respectively.
  • 6 A number of papers on this topic have been written – M. Singh, ‘Velocity of Pledged Collateral: Analysis and Implications’, IMF Working Paper, TABB Report, ‘Initial Margin for OTC Derivatives: The Burden of Opportunity Costs’ and Morgan Stanley & Oliver Wyman, ‘The Future of Capital Markets Infrastructure’. The authors estimate that between $1.4 trillion and $2.5 trillion in collateral will be needed for OTC Clearing.
  • 7 See http://www.eurexchange.com/risk/parameters_en.html for the full list of eligible collateral for margin.
  • 8 Securities are deposited to pledged securities accounts at Clearstream Banking Frankfurt AG (CBF) or SegalInter Zurich (SIS).
  • 9 Stringent criteria apply to all collateral pledged at Eurex Clearing – be rated ECB eligible liquidity classes I – IV (V and ABS are not accepted). To maintain integrity of the Clearing House in terms of its eligible collateral there is a limit of 25% of each bond issue accepted as collateral and, no bond with less than 15 days to maturity will be accepted.

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