OTC IRD: Introduction of OTC IRD Discounted GOLD Packs for 2021, refresh and extension of CCP Switch Incentive Program

1. Introduction

As part of the annual review for OTC Interest Rate Derivative Transactions, Eurex Clearing has introduced the following amendments with effect from 2 November 2020:

A.   Introduction of two new Discounted OTC IRD GOLD Packs which include unlimited clearing of own OTC Interest Rate Swap (IRS) (including OIS and FRA) and Zero-Coupon Inflation Swap (ZCIS) transactions across all currencies:

1)   1-year Discounted GOLD Pack for a term of one year for EUR 200,000 per month
(equal to a discount of ~23 percent on the regular fees of the combined GOLD Packs)
2)   3-year Discounted GOLD Pack for a term of three years for EUR 175,000 per month (equal to a discount of ~33 percent on the regular fees of the combined GOLD Packs)

B.   Refresh and extension of the CCP Switch Incentive Program until 30 June 2021:
Under the prerequisites of the CCP Switch Incentive Program, Clearing Members and Disclosed Direct Clients receive a 100 percent discount on all regular booking fees on individually selected switch days for OTC Interest Rate Swaps (IRS) and Overnight Index Swaps (OIS) transactions. Clearing Members as well as Disclosed Direct Clients may apply for a 5-day switch package, respectively. The 5-day switch package is free of charge. Clearing Members and Disclosed Direct Clients which have participated in a CCP switch incentive program in the past may register again for another CCP Switch Incentive Program under the terms laid out in this circular.

Introduction of a CCP Switch Rebate Model for Own Transactions of Clearing Members and FCM Clearing Members:
Clearing Members and FCM Clearing Members which participate in the CCP Switch Incentive Program for Clearing Member Own Transactions may qualify for fixed rebates of up to EUR 45,000 per month for up to 17 months (equal to a total rebate of up to EUR 765,000) once certain volume thresholds of the CCP Switch Incentive Program are exceeded. The fixed rebate will be credited against the monthly OTC IRD transaction fees for Own Transactions of Clearing Members according to the Price List of Eurex Clearing AG¹. The participation in the CCP Switch Rebate Model for Own Transactions of Clearing Members and FCM Clearing Members is free of charge and as part of the CCP Switch Incentive Program, no separate registration is required.

¹ No pay-out or credit against special offers and Discounted GOLD Packs possible.

2. Required action

Registration for the Discounted OTC IRD GOLD Pack:
Clearing Members may apply for either of the Discounted OTC IRD GOLD Packs by way of submitting the attached registration form. Please proceed with the following steps:

i.    Registration for the Discounted OTC IRD GOLD Pack: Complete the attached EurexOTC Interest-Rate Derivative Registration Form for CM-Discounted GOLD Pack (Attachment 1) and select one of the two Discounted GOLD Packs; if desired, select “Registration of affiliated Clearing Members and Disclosed Clients for GOLD Pack Rebate Scheme” to apply the Discounted OTC IRD GOLD Pack to a group of affiliates.
 
ii.   Submit the signed form to your Key Account Manager Clearing latest by 21 December 2020 to benefit from the Discounted OTC IRD GOLD Pack from 1 January 2021 onwards.

Registration for CCP Switch Incentive Program(s):
Clearing Members and Disclosed Clients (via their Clearing Member) may register for the relevant CCP Switch Incentive Program(s) by way of the attached application form; please proceed with the following steps:

i.    Fill in the respective CCP Switch Incentive Program application form for Clearing Members (Attachment 2) or Disclosed Direct Clients (Attachment 3), respectively.
ii.   The signed form is to be sent to your dedicated Key Account Manager in advance of the switch activity.
iii.   Nominate CCP Switch Dates as further outlined in the respective terms and conditions.

3. Details of the initiative

A. OTC IRD Discounted GOLD Packs for 2021

a) Overview of the Discounted OTC IRD GOLD Packs:

The Discounted GOLD Packs allow subscribing Clearing Members and groups of affiliated Clearing Members unlimited clearing of all OTC IRD products including IRS, OIS, Basis, FRA and ZCIS across all currencies. The 1-year Discounted GOLD Pack has a term of one year which starts on 1 January 2021 and ends on 31 December 2021. The 3-year Discounted GOLD Pack has a term of three years which starts on 1 January 2021 and ends on 31 December 2023.
The 1-year Discounted GOLD Pack is offered at a fixed fee of EUR 200,000 per month which equals a discount of ~23 percent on the regular fees of the combined GOLD Packs. The 3-year Discounted GOLD Pack is offered at a fixed fee of EUR 175,000 per month which equals a discount of ~33 percent on the regular fees of the combined GOLD Packs. Both Discounted GOLD Packs can only be booked until 21 December 2020.

b) Eligible Participants of the Discounted OTC IRD GOLD Pack rebate scheme for Clearing Members:

The Discounted OTC IRD GOLD Packs are available to all Clearing Members, groups of affiliated Clearing Members and affiliated Disclosed Direct Clients which fulfil the personal prerequisites for a clearing license according to Chapter I Part 1 Number 2.1.2 (2) of the Clearing Conditions of Eurex Clearing AG. All benefits of the Discounted OTC IRD GOLD Packs may be shared by all Clearing Members and eligible Disclosed Direct Clients that form part of the same group for the same fixed fee. The fixed fee will be allocated monthly to the group affiliates according to their individual performance measured as the sum of the monthly undiscounted gross revenues.

B. CCP Switch Incentive Program

a) Offer for Clearing Members:

• The CCP Switch Incentive Program for Clearing Members is available for all Clearing Members including FCM Clearing Members and Basic Clearing Members (collectively referred to in the following as “Clearing Members”). The program allows enrolled Clearing Members to switch OTC IRS and OIS Own Transactions (i.e. transactions on its house/P accounts) from another CCP to Eurex Clearing on individually selected Business Days between 2 November 2020 and 30 June 2021 on special terms as set out below.
• The CCP Switch Incentive Program is free of charge and allows enrolled Clearing Members to individually select five Business Days and receive a 100 percent discount on all regular booking fees for covered transactions on these specific days. This offering is not limited in terms of notional volumes, number of trades or switch mechanisms.
• Enrolled clients notify Eurex Clearing of individually selected switch day using a provided online form under: CCP Switch Incentive Program. Selected switch days are to be notified at the latest by the end of the Business Day following the switch day.
• Interested Clearing Members may register for the CCP Switch Incentive Program for Clearing Members (Attachment 2) by way of the attached application form. The completed application form is to be sent to your Key Account Manager.
• The General Terms and Conditions of the CCP Switch Incentive Program for Clearing Member Own Transactions apply and shall be decisive.

b) Offer for Disclosed Clients:

• The CCP Switch Incentive Program for Disclosed Clients is available for all Disclosed Direct Clients and FCM Clients (collectively referred to in the following as “Disclosed Clients”). The program allows enrolled Disclosed Clients to switch OTC IRS and OIS transactions from another CCP to Eurex Clearing on individually selected Business Days between 2 November 2020 and
  30 June 2021 on special terms as set out below.
• Subject to submission of the application form, a Disclosed Client may apply for a 5-day switch package* which is free of charge. The CCP Switch Incentive Package allows enrolled Disclosed Clients to individually select three Business Days and receive a 100 percent discount on all regular booking fees on these specific days. This offering is not limited in terms of notional volumes, number of trades or switch mechanisms.
• Enrolled Disclosed Clients notify Eurex Clearing of individually selected switch day via the Clearing Member using a provided online form under: CCP Switch Incentive Program. Selected switch days are to be notified at the latest by the end of the Business Day following the switch day.
• Interested Disclosed Clients may register for the CCP Switch Incentive Program for Disclosed Clients by way of the attached application form (Attachment 3). The completed application form is to be sent via the Clearing Member to the Key Account Manager. In order to enjoy the maximum benefit, it is recommended for Disclosed Direct Clients with multiple Clearing Members to register all relationships. The discount will only be applied to registered relationships.
• The General Terms and Conditions of the CCP Switch Incentive Program for own transactions of Disclosed Direct Clients/FCM Client Transactions apply and shall be decisive.

^* Please note: Disclosed Clients must not apply for more than five switch days, also in case of a multiple clearing relationship setup.

The CCP Switch Incentive Programs are designed to support CCP switch activity to transfer existing OTC Interest Rate Swap (IRS) and Overnight Index Swap (OIS) portfolios at other CCPs to Eurex Clearing.
 

C. CCP Switch Rebate Model for Clearing Member Own Transactions

a) Overview of the CCP Switch Rebate Model

The CCP Switch Incentive Program allows enrolled Clearing Members to participate in the CCP Switch Rebate Model and to benefit from a fixed monthly rebate as soon as the cumulated notional cleared of all individually selected CCP switch days (i.e. transactions on its house/P accounts) exceed one of the CCP switch volume thresholds. The fixed rebate will be applied to the monthly invoice of the Clearing Member for booking and/or maintenance fees (according to the Price List) for OTC Interest Rate Derivative Transactions that are Own Transactions². The CCP switch volume thresholds and associated monthly rebates are:

• Cumulated CCP switch volume of EUR 50bn – monthly rebate: EUR 15,000
  (equal to a total rebate of up to EUR 255,000)

• Cumulated CCP switch volume of EUR 150bn – monthly rebate: EUR 30,000
  (equal to a total rebate of up to EUR 510,000)

• Cumulated CCP switch volume of EUR 250bn – monthly rebate: EUR 45,000
  (equal to a total rebate of up to EUR 765,000)

The conditions laid out in the General Terms and Conditions of the CCP Switch Incentive Program for Clearing Member Own Transactions apply and shall be decisive.

² No pay-out or credit against special offers and Discounted GOLD Packs possible.

b) Relevant dates for the application of the fixed rebates

The individually achievable fixed rebate for each Clearing Member will be determined on the following dates: 31 January 2021, 30 April 2021 and 30 June 2021. If a CCP switch volume threshold is exceeded on a determination date, the corresponding rebate will be granted on a monthly basis starting the month following the determination date until and including June 2022. 

c) Example

A Clearing Member participates in the CCP Switch Incentive Program for Clearing Member Own Transactions and transfers a notional volume of EUR 170 billion in IRS and/or OIS that qualify as Own Transactions to Eurex Clearing on three switch days in December 2020 and January 2021. Thus, the Clearing Member qualifies for a monthly rebate of up to EUR 30,000, starting February 2021 until June 2022. The Clearing Member transfers further qualifying transactions with a notional volume of EUR 90 billion to Eurex Clearing on two switch dates in April 2020. As on the next determination date on 30 April 2021, the CCP switch volume threshold of EUR 250 billion is exceeded on an aggregated basis, the Clearing Member now qualifies for a monthly rebate of up to EUR 45,000 (that replaces the prior rebate), starting May 2021 until June 2022.
 

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.

Attachments:

• 1 – EurexOTC Interest Rate Derivative Registration Form for CM-Discounted GOLD Pack
• 2 – Application for Participation in the CCP Switch Incentive Program for Clearing Members
• 3 – Application for Participation in the CCP Switch Incentive Program for Disclosed Direct Clients
• 4 – Fee Incentive Program 2021 for Clearing Members - Overview

Further information