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Eurex Clearing –
Partnership
Programme
July 2021
Public
“Thanks to you for your contribution”
“Eurex has earned the praise of many dealers
thanks to its adaptive and conservatively
calibrated margin model, as well as its
willingness to learn from the crisis.”
“What is better with Prisma is that it’s fully
predictable,” says a senior source at a large
European clearing member. “Prisma is a
positive achievement and clearly leading the
way versus the Span model.”
“Some of Eurex Clearing’s expansion efforts
also stood out last year. The CCP gained
market share in the clearing of over-the-
counter rates products…”
Selected quotes from Risk.Net article1:
1 Clearing house of the year: Eurex Clearing - Risk.net
28 July 2021
Public
This industry partnership programme is designed to benefit the broader market
All Eurex Clearing Members and Registered Clients are
eligible to participate in the Partnership Programme
Governance
Representation on Eurex Clearing Supervisory Board
Participation in FIC Board Advisory Committee
+
Revenue Sharing
Attractive Performance Based Sharing
Turning into Perpetual Revenue Share after year 4
Direct rewards to 10 most active participants…Programme designed to deliver benefits for all
Eurex Clearing clients
▪ Price transparency and tight bid-offer spreads for Eurex
cleared swaps
▪ Cross-Margining across listed and OTC optimizes margin
requirements „PRISMA“
▪ Broad eligible collateral spectrum reduces funding costs
and liquidity needs
▪ Innovative direct buy-side access models reduce capital
requirements and improve asset protection “ISA Direct”
28 July 20213
Public
TOP Performers will be represented in the FIC Board Advisory Committee and the Supervisory Board
1Subject to minimum average daily volume during applicable measuring period of €35BN; otherwise mearing period and
assignment shifted by 12 months for Supervisory Board and extended by 6 months for FIC Board Advisory Committee
Scope Permanent Partnership 2018-2021 Perpetual Phase
Eurex FIC Board
Advisory Commitee
▪ Will consist of 10 members
▪ Advised the Executive Board of
Eurex Clearing on
▪ the general Fixed Income and
Currencies strategy and
▪ product and service expansions in
Fixed Income and Currencies
10 Seats assigned to
TOP performers
▪ TOP 10 performers based
on time-weighted
multiplied undiscounted
gross revenues during
applicable measuring
period
▪ 2 terms of each 2 years
starting June 20181
▪ TOP 10 performers based
on time-weighted
multiplied undiscounted
gross revenues during
Phase 1
Eurex Clearing
Supervisory Board
▪ Currently 12 members
▪ Appoints the Executive Board
▪ Appoints chairman/ -woman
▪ Approves important decisions and
planning
5 Seats assigned to
TOP performers
▪ TOP 5 performers based
on time-weighted
multiplied undiscounted
gross revenues during
applicable measuring
period
▪ 2 terms of each 2 years
starting June 20181
▪ TOP 10 performers based
on time-weighted
multiplied undiscounted
gross revenues over
Phase 1 receive
nomination right
▪ 5 representatives are
elected
▪ Right to nominate
Chairman/ -woman
28 July 20214
Public
Eurex’ Partnership Programs gains broad market support with 40 participants around the globe
35OTC IRD
Participants
31Repo
Participants
28 July 20215
Approved Platforms at Eurex Clearing for OTC IRS Approved Platforms at Eurex Clearing for Repo
Public
OTC IRD Volume Development at Eurex Clearing (1/2)Volumes as of 30th June 2021
1) Based on ADV and subject to the ECAG Trading Calendar 2020/2021
2) Average ADV Excludes volume due to compression
% YoY3 : ADV June 21 vs June ’20 excluding volumes due to compression
% YoY4: Average YTD ADV ‘21 vs Average YTD ADV ’20 excluding volumes due to compression
Market share source: Clarus FT
Market share excludes volumes generated from post trading events
Based on ADV and subject to the ECAG Trading Calendar 2019/2020
19.5%EUR Market Share1
as of 30th June 2021
↗ -6% YoY3
€ 161bnADVas of 30th June 2021
Average Daily Volume in € bn
6
17.7%EUR Market Share1
YTD 2021
↗ +18%YTD YoY4
€ 164bnAverage ADV
20212 YTD18
33 1219
26
2830
30
34
32
41
37 36
82
38
71 6780
6452
64 69
42
142
124117119
101
126114
57
75121
144
84
240
115
75
94
142
199
99
72
145
124
173
110
249
164
181167
136
161
Jan
18
Feb
18
Mar
18
Ap
ri 1
8
May
18
Jun
18
Jul 1
8
Au
g 1
8
Sep
18
Oct
18
No
v 1
8
Dec
18
Jan
-19
Feb
-19
Mar
-19
Ap
r-1
9
May
-19
Jun
-19
Jul-
19
Au
g-1
9
Sep
-19
Oct
-19
No
v-1
9
Dec
-19
Jan
-20
Feb
-20
Mar
-20
Ap
r-2
0
May
-20
Jun
-20
Jul-
20
Au
g-2
0
Sep
-20
Oct
-20
No
v-2
0
Dec
-20
Jan
-21
Feb
-21
Mar
-21
Ap
r-2
1
May
-21
Jun
-21
FRA OIS IRS Basis Compression cycle
28 July 2021
Public
OTC IRD Volume Development at Eurex Clearing (2/2)Volumes as of 30th June 2021
% YoY: Notional Outstanding Jun ’21 vs Jun ‘20
Market share source: Clarus FT
Notional Outstanding in € tn
7
21.9%EUR Market Share as
of 30th June 2021
↗ +19% YoY
€ 22.5trnNotional Outstandingas of 30th June 2021
33
5 56
78
9 910
11
8
10
1213
1415
11
13 13 12 12
1413
1718 18 18
19 1919 19
1819 19
17
20 2021
23
2122
Jan
18
Feb
18
Mar
18
Ap
ri 1
8
May
18
Jun
18
Jul 1
8
Au
g 1
8
Sep
18
Oct
18
No
v 1
8
Dec
18
Jan
-19
Feb
-19
Mar
-19
Ap
r-1
9
May
-19
Jun
-19
Jul-
19
Au
g-1
9
Sep
-19
Oct
-19
No
v-1
9
Dec
-19
Jan
-20
Feb
-20
Mar
-20
Ap
r-2
0
May
-20
Jun
-20
Jul-
20
Au
g-2
0
Sep
-20
Oct
-20
No
v-2
0
Dec
-20
Jan
-21
Feb
-21
Mar
-21
Ap
r-2
1
May
-21
Jun
-21
FRA OIS IRS Basis
28 July 2021
Public
Since launch, no. of Disclosed Clients tripled; new initiatives such as activation of buy-side on track
~200 to
>500Clearing Members1 and disclosed
Clients1,2
Activation rate3:
~54%
1 Price transparency & competitive quotes
2 Establish significant FRA Market Share
3 Onboard Buy-Side clients
4 Activation of Buy-Side clients on track
5 Grow open interest in IRS/OIS on track
6 Build Non-EUR Liquidity started
1) Period from October 2017 to Jun 2021
2) Multiple clearing relations of the same entity are not counted
3) Active clients (>100 mn cumulated cleared IRS volumes) and clearing
members8
28 July 2021
Public
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
Jan 1
8
Feb
18
Ma
r 18
Apr
18
Ma
y 1
8
Jun 1
8
Jul 18
Aug 1
8
Sep 1
8
Oct 18
No
v 1
8
De
c 1
8
Jan 1
9
Feb
19
Ma
r 19
Apr
19
Ma
y 1
9
Jun 1
9
Jul 19
Aug 1
9
Sep 1
9
Oct 19
No
v 1
9
De
c 1
9
Jan 2
0
Feb
20
Ma
r 20
Apr
20
Ma
y 2
0
Jun 2
0
Jul 20
Aug 2
0
Sep 2
0
Oct 20
No
v 2
0
De
c 2
0
Jan 2
1
Feb
21
Ma
r 21
Apr
21
Ma
y 2
1
Jun 2
1
Jul 21
2 Year 5 Year 10 Year 20 Year 30 Year
LCH-Eurex Basis is flattening for all Tenors (I)
Source: Bloomberg
LCH-Eurex Basis Development
Date 2yr 5yr 10yr 20yr 30yr
As of 21st July 2021 +0.15 +0.55 +0.90 +0.90 +0.85
9 28 July 2021
Public
LCH-Eurex Basis is flattening for all Tenors (II)
-1.00
0.00
1.00
2.00
3.00
4.00
45%
50%
55%
60%
65%
70%Portfolio balance indicator (PBI) Basis
BasisPBI
50% = full balance of payer and receiver flow
10
Client DV01 balance vs EUREX-LCH BasisS
ep-1
6
Oct-
16
Nov-1
6
Dec-1
6
Jan
-17
Fe
b-1
7
Ma
r-17
Ap
r-17
Ma
y-1
7
Jun
-17
Jul-1
7
Au
g-1
7
Se
p-1
7
Oct-
17
Nov-1
7
Dec-1
7
Jan
-18
Fe
b-1
8
Ma
r-18
Ap
r-18
Ma
y-1
8
Jun
-18
Jul-1
8
Au
g-1
8
Se
p-1
8
Oct-
18
Nov-1
8
Dec-1
8
Jan
-19
Fe
b-1
9
Ma
r-19
Ap
r-19
Ma
y-1
9
Jun
-19
Jul-1
9
Au
g-1
9
Se
p-1
9
Oct-
19
Nov-1
9
Dec-1
9
Jan
-20
Fe
b-2
0
Ma
r-20
Ap
r-20
Ma
y-2
0
Jun
-20
Jul-2
0
Au
g-2
0
Se
p-2
0
Oct-
20
Nov-2
0
Dec-2
0
Jan
-21
Fe
b-2
1
Ma
r-21
Ap
r-21
Ma
y-2
1
Jun
-21
Jul-2
1
Client Absolute Net DV01
28 July 2021
Public
LCH-Eurex Basis is flattening for all Tenors (1/3)
Date 2yr 5yr 10yr 20yr 30yr
20
20
End of January +0.05 +0.10 +0.20 +0.25 +0.45
End of February +0.05 +0.05 +0.10 +0.10 +0.20
End of March +0.20 +0.50 +0.70 +0.90 +1.20
End of April +0.30 +0.95 +1.45 +1.55 +1.80
End of May +0.15 +0.40 +0.55 +0.65 +0.85
End of June +0.05 +0.20 +0.35 +0.40 +0.55
End of July +0.10 +0.15 +0.40 +0.50 +0.60
End of August +0.05 +0.20 +0.30 +0.40 +0.50
End of September +0.05 -0,05 -0.05 +0.15 +0.05
End of October 0.00 0.00 0.00 0.00 -0.05
End of November +0.05 +0.05 +0.05 +0.05 +0.05
End of December +0.20 +0.45 +0.40 +0.20 +0.20
20
21
End of January +0.05 +0.20 +0.20 +0.10 +0.15
End of February +0.05 +0.20 +0.20 +0.30 +0.30
End of March +0.05 +0.25 +0.25 +0.25 +0.25
End of April +0.10 +0.20 +0.20 +0.20 +0.25
End of May +0.05 +0.15 +0.15 +0.15 +0.15
End of June +0.10 +0.25 +0.35 +0.30 +0.3028 July 202111
LCH-Eurex Basis by Month
Public
Large dealers provide similar liquidity for Eurex Clearing compared to LCH for Euro Swaps
Top 10 quotes per tenor as of 1st July 2021
28 July 202112
2yr
Eurex LCH
0.2 0.2
0.2 0.2
0.2 0.2
0.3 0.7
0.3 0.6
0.3 0.2
0.3 0.3
0.4 0.4
0.4 0.4
0.4 0.4
5yr
Eurex LCH
0.2 0.3
0.2 0.2
0.2 0.2
0.2 0.2
0.3 0.3
0.3 0.3
0.3 0.2
0.4 0.4
0.4 0.4
0.4 0.3
10yr
Eurex LCH
0.2 0.3
0.2 0.3
0.2 0.2
0.2 0.2
0.2 0.2
0.3 0.3
0.3 0.2
0.4 0.4
0.4 0.4
0.4 0.4
30yr
Eurex LCH
0.2 0.3
0.3 0.4
0.3 0.3
0.3 0.3
0.4 0.4
0.4 0.2
0.4 0.4
0.5 0.5
0.5 0.4
0.6 0.5
Eurex-LCH Price Comparison
Public
Large dealers provide similar liquidity for Eurex Clearing compared to LCH for Euro Swaps
(D2C) dealer to clients
Hybrid Order Book
combining
voice/Trad-X
Central Limit Order Book (CLOB)
14Banks1
1) Number of banks providing EUR price data for Eurex Clearing
28 July 202113
23Banks1
5Banks1
Disclosed Streaming (DS) Request for Quote (RfQ)
D2D CLOB
Public
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
0
10
20
30
40
50
60
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
2018 2019 2020 2021
ADV Market Share
Market
ShareADV in
bn EUR
OTC IRS Analytics
OTC EUR IRS
* Dealer = global or local liquidity provider
** Client = traditional buy side client
IRS Notional Outstanding in trillion EUR
14
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
0.0
2.0
4.0
6.0
8.0
10.0
12.0
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
2018 2019 2020 2021
Notional Outstanding Market Share
Trn EUR Market
Share
28 July 2021
Public
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
0
1
2
3
4
5
6
7
8
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
2018 2019 2020 2021
ADV Market Share
Market
Share
ADV in
bn EUR
OTC OIS Analytics
OTC EUR OIS
* Dealer = global or local liquidity provider
** Client = traditional buy side client
OIS Notional Outstanding in trillion EUR
15
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
0
100
200
300
400
500
600
700
800
900
1,000
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
2018 2019 2020 2021
Notional Outstanding Market Share
Bn EUR Market
Share
28 July 2021
Public
Active clients have been steadily increasing
47
63
73
8289
94
104110
119127
132137
141148
155160
164171
175 175179
184189
194 196201
206
217
227 230
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
2019 2020 2021
>100mn Cumulated
Active Client Count based on Cleared IRS & OIS Volumes
16 28 July 2021
Public
0%
10%
20%
30%
40%
50%
0
50
100
150
200
250
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
2018 2019 2020 2021
ADV Market Share
ADV in
bn EUR
Market
Share
OTC FRA Analytics
OTC EUR FRA
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
0
2
4
6
8
10
12
14
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
Ju
l
Se
p
No
v
Ja
n
Mar
May
2018 2019 2020 2021
Notional Outstanding Market Share
Trn EURMarket
Share
FRA Notional Outstanding in trillion EUR
17 28 July 2021
Thank you!
Public
Disclaimer
© Eurex 2021
Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG
(Eurex Clearing) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law.
Eurex Global Derivatives AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a
corporate entity and is registered under Luxembourg law. Deutsche Boerse Asia Holding Pte. Ltd., Eurex Clearing
Asia Pte. Ltd. and Eurex Exchange Asia Pte. Ltd are corporate entities and are registered under Singapore law.
Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland
is in the following referred to as the “Eurex Exchange”.
All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof
(other than certain trademarks and service marks listed below) are owned by DBAG and its affiliates and subsidiaries
including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While
reasonable care has been taken in the preparation of this publication to provide details that are accurate and not
misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Repo as well as the Eurex
Exchange and their respective servants and agents (a) do not make any representations or warranties regarding the
information contained herein, whether express or implied, including without limitation any implied warranty of
merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality,
completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of
any information contained herein under any circumstances, including, without limitation, in connection with actual
trading or otherwise or for any errors or omissions contained in this publication.
This publication is published for information purposes only and shall not constitute investment advice respectively
does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in
any other transaction. This publication is not intended for solicitation purposes but only for use as general
information.
All descriptions, examples and calculations contained in this publication are for illustrative purposes only.
Eurex and Eurex Clearing offer services directly to members of the Eurex Exchange respectively to clearing
members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to
offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to
participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of
those jurisdictions relevant to them, as well as the risks associated with such products, before doing so.
Only Eurex derivatives that are CFTC-approved may be traded via direct access in the United States or by United
States persons. A complete, up-to-date list of Eurex derivatives that are CFTC-approved is available at:
http://www.eurexchange.com/exchange-en/products/eurex-derivatives-us. In addition, Eurex representatives and
participants may familiarise U.S. Qualified Institutional Buyers (QIBs) and broker-dealers with certain eligible Eurex
equity options and equity index options pursuant to the terms of the SEC’s July 1, 2013 Class No-Action Relief. A
complete, up-to-date list of Eurex options that are eligible under the SEC Class No-Action Relief is available at:
http://www.eurexchange.com/exchange-en/products/eurex-derivatives-us/eurex-options-in-the-us-for-eligible-
customers... Lastly, U.S. QIBs and broker-dealers trading on behalf of QIBs may trade certain single-security futures
and narrow-based security index futures subject to terms and conditions of the SEC’s Exchange Act Release No.
60,194 (June 30, 2009), 74 Fed. Reg. 32,200 (July 7, 2009) and the CFTC’s Division of Clearing and Intermediary
Oversight Advisory Concerning the Offer and Sale of Foreign Security Futures Products to Customers Located in the
United States (June 8, 2010).
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Eurex Deutschland qualifies as manufacturer of packaged retail and insurance-based investment products (PRIIPs)
under Regulation (EU) No 1286/2014 on key information documents for packaged retail and insurance-based
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In addition, according to Art. 14(1) PRIIPs Regulation the person advising on, or selling, a PRIIP shall provide the
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28 July 202119