Germany
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Neue Börsenstrasse 1
60487 Frankfurt/Main
Germany
Tel: 0049 69 211 18218
Fax.: 0049 69 211 618218
URL: www.eurexchange.com
Established: 1998
Type: Electronic |
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Contracts:
Standardized derivatives (futures and/or options) on financial products
Equity Index Derivatives |
Dow Jones (EURO) STOXX 50® Index (Futures and Options)
Dow Jones STOXX® 600 Index (Futures and Options)
Dow Jones STOXX® Large, Mid and Small 200 Index (Futures and Options)
Dow Jones EURO STOXX® Sector Index Futures (Futures only)
Dow Jones STOXX® 600 Sector Index (Futures and Options)
Dow Jones Global Titans 50SM Index (Futures and Options)
Dow Jones EURO STOXX ® Select Dividend 30 Index
DAX® (Futures and Options)
TecDAX® (Futures and Options)
MDAX® (Futures only)
SMI® (Futures and Options)
SMIM® (Futures only)
OMX Helsinki 25 (Futures and Options)
SLI Swiss Leader Index ®
RDXxt ® USD (Futures only) |
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Equity Derivatives |
Options/LEPOs on 54 German shares
Options/LEPOs on 36 Swiss shares
Options/LEPOs on 11 Scandinavian shares
Options/LEPOs on 22 Dutch shares
Options/LEPOs on 10 Italian shares
Options/LEPOs on 42 French shares
Options/LEPOs on 10 US shares
Options/LEPOs on 5 Spanish shares
Options/LEPOs on 4 Russian shares
Options/LEPOs on 16 Austrian shares
Futures on 498 equities of leading European and national indexes such as Dow Jones (EURO) STOXX 50® Index, DAX® and SMI® and 19 Futures on all index components of the RDxt® index |
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EXTF Derivatives |
DAX® EX Futures & Options
Dow Jones EURO STOXX 50® EX Futures & Options
iShares Dow Jones EURO STOXX 50® Futures & Options
XMTCH on SMI® Futures & Options |
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Volatility Index Futures |
VDAX-NEW ® Futures
VSMI ® Futures
VSTOXX ® Futures |
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Interest Rates Derivatives – Fixed Income |
Euro-Schatz Futures
Euro-Bobl Futures
Euro-Bund Futures
Euro-Buxl® Futures
CONF Futures
Options on Euro-Schatz Futures
Options on Euro-Bobl Futures
Options on Euro-Bund Futures |
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Interest Rates Derivatives – Money Market |
One-Month EONIA Futures
Three-Month EURIBOR Futures
Options on Three-Month EURIBOR Futures |
ACCESS TO MARKET/ EXCHANGE MEMBERSHIP
Institutions wishing to trade directly at Eurex via the Eurex integrated trading and clearing system must be admitted as Eurex trading members. Companies may apply for trading admission as long as they fulfill the membership conditions. Eurex does not permit personal memberships. However, once a company becomes a Eurex member, Eurex does not limit the number of registered traders on its behalf.
Exchange members who seek trading participation only are so-called Non-Clearing Members (NCMs). NCMs take part in the clearing process indirectly via a NCM-Clearing Member Agreement with a Clearing Member and Eurex Clearing AG.
Members who wish to take part in the clearing process as Direct Clearing Member (DCM) or General Clearing Member (GCM) need to apply for a Clearing License.
Additionally, all exchange members may apply for a Market Maker license. Supplementary approvals for the use of quote machines, electronic eyes, order routing systems, OTC Facilities or trading screens in branch offices are possible.
INITIAL MARGIN
Premium Margin
Premium margin must be deposited by the writer of an option. It covers the potential loss that could be incurred if the writer were forced today to liquidate the position. The premium margin is continuously adjusted, i.e. if prices fluctuate so that the potential loss upon liquidation increases, the writer will be obliged to deposit additional premium margin. If on the other hand, prices fluctuate so that the potential loss upon liquidation decreases, the writer will receive a credit for his premium margin.
Premium margin is calculated for all positions in options products that are subject to the procedure known as “traditional-style premium posting”. This involves those options for which the premium is paid in full at the time of purchase (equity and equity index options). The premium margin covers the costs that would arise upon liquidating all positions of a specific margin class at their respective closing prices. The purchaser of a traditional option need not deposit any margin because, with the payment of the options premium, he acquires a right but not an obligation to take any further action. His maximum close-out risk simply amounts to a total loss of the options premium if the contract is allowed to expire without having been exercised or sold in a closing transaction.
In the case of options on futures, no premium margin is required because here a daily profit and loss adjustment (variation margin) is made by the procedure known as “marking-to-market”. The profit of one party to the contract is the loss of the other party. The resulting gains and losses are either debited or credited to the appropriate account on a daily basis via the mark-to-market process.
Current Liquidating Margin
Current liquidating margin is collected from buyers or sellers of bonds and equities. The current liquidating margin covers losses that would occur in the case that positions were closed out today. As with the premium margin, the current liquidating margin is readjusted daily.
Contrary to premium margin, the current liquidating margin is collected from either the buyer or seller, depending on the relation of the agreed upon purchase price to the current market price.
Variation Margin
For those products which are handled on a mark-to-market basis, Eurex Clearing AG books the trading day’s profits and losses of all open positions held in an account. Marking-to-market is carried out on futures and options on futures. Using variation margin, profits and losses that arise due to the price fluctuations of open positions are offset daily. In this particular instance, the difference to other types of margin is the fact that, here, it is not a matter of depositing collateral, but rather one of offsetting in cash the daily profits and losses in an account.
With the mark-to-market procedure, the owner of a long position which was purchased at a lower price than the daily settlement price is credited with the difference between the two prices, whereas the owner of the related short position must pay that difference. When options positions are marked-to-market, calculation of the appropriate credits and debits depends on how the value of a call or put position changed during the trading day.
The mark-to-market procedure ensures that each position is revalued at the daily settlement price. The difference between today’s and the previous day’s settlement price is offset by daily compensating payments.
Therefore, the essential effect of marking positions to market is the “extraction” of potential liquidation profits or losses, so that on the last trading day only the difference between the daily settlement price of the previous day and the final settlement price of all open positions has to be calculated.
In the case of options on futures, the final valuation is made at the final settlement price of either the expiration date of the option or the day on which it was exercised.
Additional Margin
Additional margin serves to cover through the next trading any potential additional costs that could arise if the positions had to be liquidated immediately. These possible close-out costs would arise if, based on the current prices of contracts / securities held in an account, the worst case loss would occur during the subsequent trading day. Additional margin is imposed on options (also options on futures), non-spread futures positions, as well as equities.
Futures Spread Margin
If an account holds a number of futures positions that are based on the same underlying instrument, then the long and short positions can be offset against each other as long as they have the same maturity (“netting of positions”). In such a case, the price risks are equal and opposite.
Only those long or short positions remain which have expiration dates that are not identical. These positions can also be offset against each other (spreading) because, generally speaking, the associated risks roughly offset each other, e.g. a long FGBL Sept. versus a short FGBL Dec. Counterbalanced positions of this kind are called “spreads”, and those which are not are referred to as “non-spreads”. However, a latent risk still exists, one arising from the fact that contracts with differing expiration dates do not demonstrate a perfect price correlation. The purpose of futures spread margin is to cover this risk until the next trading day.
MARGIN FUNDING:
Depositing Margin
Essentially, the Clearing Member can satisfy all margin requirements by depositing the appropriate amount of cash. Cash collateral can be paid into the account in various currencies. The Board of Directors of Eurex Clearing AG stipulates which currencies are permitted for the deposit of cash collateral.
When it comes to depositing the total margin, the choice can be made to cover the required amount of collateral by depositing securities instead of cash. In that Eurex Clearing AG does not pay interest on cash that has been deposited as collateral, depositing securities that the Clearing Member has in its own inventory offers the benefit that those instruments will continue to provide returns.
It is absolutely necessary that coverage of variation margin (i.e. the daily settlement of profits and losses), as well as margin calls, be made in cash. In addition, the payments of premiums on traditional options, as well as premium settlement payments on options on futures, must always be made in cash.
Intra-Day Margin
Eurex Clearing AG, based on its own risk assessment carried out during the course of a given trading day, at all times reserves the right to demand from the Clearing Member a higher, or additional, amount of either cash collateral or those securities or rights to securities that are accepted by Eurex Clearing AG. Additional collateral must be deposited immediately in the appropriate currency in the appropriate account. The same right exists with respect to a General Clearing Member or a Direct Clearing Member vis-a-vis any Non Clearing Members with which they are associated.Procedure in Cases of Default
If a market participant is no longer able to fulfill its obligations, Eurex Clearing AG will liquidate all of its open positions. All liquidation gains or losses will be offset against each other, and any remaining debit balance will be covered from the margin which has been deposited. If, thereafter, an uncovered debit balance still exists, the next step will be to liquidate the cash and securities collateral of the Clearing Member that is in arrears, and – insofar as it is necessary – a claim will be made against the clearing guarantee of that Clearing Member. If any surplus remains, it will be paid out.
If uncovered debit balances still exist, however, then a pro-rata claim will be made against the clearing guarantees which have been deposited in the guarantee fund by those institutions which are not in default, given that the reserves which Eurex Clearing AG has set aside for such purposes are also insufficient to cover the remaining amounts due.
This procedure guarantees that the fulfillment of all contracts traded via Eurex Clearing AG can be unconditionally assured.
Procedure in Cases of Default
If a market participant is no longer able to fulfill its obligations, Eurex Clearing AG will liquidate all of its open positions. All liquidation gains or losses will be offset against each other, and any remaining debit balance will be covered from the margin which has been deposited. If, thereafter, an uncovered debit balance still exists, the next step will be to liquidate the cash and securities collateral of the Clearing Member that is in arrears, and – insofar as it is necessary – a claim will be made against the clearing guarantee of that Clearing Member. If any surplus remains, it will be paid out.
If uncovered debit balances still exist, however, then a pro-rata claim will be made against the clearing guarantees which have been deposited in the guarantee fund by those institutions which are not in default, given that the reserves which Eurex Clearing AG has set aside for such purposes are also insufficient to cover the remaining amounts due.
This procedure guarantees that the fulfillment of all contracts traded via Eurex Clearing AG can be unconditionally assured.
