Expansion of Cross-Product Margining Service to FCM Clearing Members and Their Clients

1.  Introduction

This circular contains information with respect to the service offering of Eurex Clearing AG (Eurex Clearing) and includes amendments to the Clearing Conditions of Eurex Clearing AG (Clearing Conditions) and the FCM Regulations of Eurex Clearing AG (FCM Regulations) regarding the following topic:

A.   Introduction of Cross-Product Margining (CPM) for FCM Clearing Members
B.   Further minor amendments

The amendments will become effective as of 14 July 2025.

2.  Required action

FCM Clearing Members that wish to utilize cross-product margining for their clients should contact their Eurex Sales representative in the U.S. or email the account listed at the end of this circular.

3.  Details 

A. Introduction of Cross-Product Margining for FCM Clearing Members

As of 14 July 2025, Eurex Clearing will expand its cross-product margining service with respect to certain Futures Transactions listed for trading on Eurex Deutschland and Swap Transactions to FCM Clearing Members and their clients.

This will enable FCM Clearing Members and their clients to benefit from the same margin efficiencies to which non-U.S. Clearing Members have access. On 3 June 2025, Eurex Clearing received approval from the Commodity Futures Trading Commission pursuant to CFTC Regulations 39.15 and 40.5 to commingle certain Futures Transactions and Swap Transactions in accounts subject to 4d(f) of the Commodity Exchange Act (CEA) and offer cross-product margining between these products.

a.    Product Scope

The product scope available to FCM Clearing Members and FCM Clients for cross-product margining will be:

Eligible Swaps Transactions

• EUR- and CHF-denominated IRS, OIS, and FRAs

Eligible Futures Transactions

• CFTC-Approved Foreign Interest Rate Futures

o    German: Euro-Schatz Futures, Euro-Bobl Futures, Euro-Bund Futures, Euro-Buxl^® Futures 
o    Italian: Short-Term Euro-BTP Futures, Mid-Term Euro-BTP, Long-Term Euro-BTP Futures 
o    French: Mid-Term Euro-OAT Futures, Euro-OAT Futures 
o    Spanish: Euro-BONO Futures 
o    Swiss: CONF Futures

• CFTC-Approved Money Market Futures

o    EUR Denominated: Three-Month EURIBOR Futures, Three-Month Euro STR Futures 
o    Swiss Franc Denominated: Three-Month SARON^® Futures

• CFTC-approved Options on Futures are considered in the optimization calculation to identify the optimal portfolio for cross-margining but will not be moved to the FCM Clearing Membership accounts and thus not be considered in the cross-margining process.  

All Swap Transactions listed above are available for clearing by FCM Clearing Members and FCM Clients under Eurex Clearing’s DCO Order of Registration. All Futures Transactions listed above have been submitted by Eurex Deutschland to the Commodity Futures Trading Commission (CFTC) pursuant to CFTC Regulation 48.10, and all are currently available for direct access trading from the U.S.

All Swap Transactions and Futures Transactions share similar risk characteristics and are substantially and accurately correlated. Eurex Clearing uses its Prisma risk methodology, which provides for risk netting between Futures and Swaps by utilizing cross-product scenarios.

b.    Membership Requirements

To be permitted to engage in cross-product margining of the above-listed Futures and Swaps Transactions, an FCM will be required to obtain two clearing memberships from Eurex Clearing:

(i)    a membership for the clearing of Futures Transactions under the Clearing Conditions of Eurex Clearing (called a “U.S. Clearing Membership” under the Clearing Conditions); and
(ii)   a membership for the clearing of Swap Transactions under the U.S. law-governed FCM Regulations (called an “FCM Membership” under the FCM Regulations).

In addition, the relevant client of the FCM Clearing Member is required to be set up as a client under both memberships:

(i)    as a Disclosed Direct Client under the U.S. Clearing Membership, and
(ii)   as an FCM Client under the FCM Membership.

Additionally, the FCM will be required to obtain a Trading License for exchange-traded derivatives from Eurex Deutschland.

Under the FCM Membership, the FCM Clearing Member will not have direct market access to Eurex Deutschland. Rather, all Futures Transactions that will be used for cross-product margining must be already established under the U.S. Clearing Membership by way of matching orders and quotes in the trading systems of Eurex Deutschland pursuant to Chapters I and II of the Clearing Conditions.

c.    Account Setup

For more clarity, Eurex Clearing provides the following diagram regarding the account setup for cross-product margining:

As shown above, to be eligible for cross-product margining, an FCM Clearing Member will be required to set up the following accounts:

• Under the U.S. Clearing Membership, the FCM Clearing Member must specify the relevant transaction account relating to the relevant Disclosed Direct Client that will be eligible for cross-product margining in the systems of Eurex Clearing (Clearing Conditions Futures Transaction Account). 

Eurex Clearing will link each Clearing Conditions Futures Transaction Account to the relevant CPM Transaction Accounts Group (as explained below) under the FCM Membership.

• Under the FCM Membership, Eurex Clearing maintains one or more transaction accounts for Swap Transactions relating to each FCM Client (each an FCM Client Swaps Transaction Account). For CPM purposes, Eurex Clearing will open and maintain an additional transaction account for Futures Transactions (FCM Client Futures Transaction Account).

The FCM Client Swaps Transaction Account and the FCM Client Futures Transaction Account relating to a specific FCM Client will be treated as operational sub-accounts that constitute a single account with respect to such FCM Client (called the “CPM Transaction Account Group”). By the creation of a CPM Transaction Account Group, Eurex Clearing ensures that all Futures and Swap Transactions booked into all sub-accounts forming part of the same CPM Transaction Account Group are treated as a combined netting set with the following consequences:

-    Combined margin requirement: Eurex Clearing will calculate a net margin requirement with respect to all Futures and Swap Transactions forming part of the same CPM Transaction Account Group.

-    Combined collateral pool: All Eligible Margin Assets provided by the FCM Clearing Member under the FCM Membership to fulfill the relevant margin requirement calculated with respect to the CPM Transaction Accounts Group form part of the same internal collateral pool (FCM Client Margin Account). The margin collateral will be held with custodians as cleared swaps customer collateral consistent with Part 22 of the CFTC Regulations.

-    Combined close-out netting: In case of the occurrence of a termination with respect to the FCM Clearing Member, Eurex Clearing will perform a single close-out and will calculate a single close-out amount (a Difference Claim) with respect to each CPM Transaction Accounts Group.

d.    Cross-Product Margining Operational Process

if the FCM Clearing Member wishes to use Futures Transactions established under the U.S. Clearing Membership for cross-product margining under the FCM Membership, the relevant Futures Transactions must be transferred from the U.S. Clearing Membership to the FCM Membership.

For each CPM Transaction Accounts Group, Eurex Clearing’s Prisma margin methodology will identify, once per business day, specific Futures Transactions held in the U.S. Clearing Membership Transaction Account under the U.S. Clearing Membership that will be transferred to the linked FCM Client Futures Transaction Account to achieve the optimal and reduced margin requirement for the relevant CPM Transaction Accounts Group under the FCM Membership.

Immediately after the performance of the margin optimization, Eurex Clearing will either transfer the identified Futures Transactions from the U.S. Clearing Membership to the FCM Membership or re-transfer the Futures from the FCM Membership to the U.S. Clearing Membership. Each transfer and re-transfer will occur automatically without the need for any approval or acceptance action to be taken by the FCM Clearing Member.

The margin optimization calculation will be conducted between 10:15 to 10:25 PM Frankfurt local time (4:15 to 4:25 PM EST), and the resulting position transfer, if any, will be conducted between 10:25 to 10:30 PM Frankfurt local time (4:25 to 4:30 PM EST). The final portfolios under the FCM Membership and the U.S. Clearing Membership, after the margin optimization, will be booked, recorded, and effective at 10:30 PM Frankfurt local time (4:30 PM EST). The transferred positions and final portfolios become visible in Eurex Clearing’s systems via the C7 GUI directly after the transfer at 10:30 PM Frankfurt local time (4:30 PM EST). Cross-product margining and portfolio reports that show the updated portfolio, taking into account the transferred position, will be available in the early morning the following day.

Please note the following: 

• For avoidance of doubt, as a consequence of a transfer from the U.S. Clearing Membership to the FCM Membership, the transferred Futures Transactions will no longer form part of the U.S. Clearing Membership and will be no longer subject to EMIR. Instead, the relevant Futures Transactions will form part of the relevant CPM Transactions Account Group under the FCM Regulations and will be subject to the protection and segregation requirements established by the CEA and CFTC regulations, including Parts 22 and 190 of the CFTC regulations. 
• Conversely, in a re-transfer from the FCM Membership back to the U.S. Clearing Membership, the re-transferred Futures Transactions will no longer form part of the FCM Membership and will no longer be subject to the protection and segregation requirements established by the CEA and CFTC regulations. Instead, the relevant Futures Transactions will form part of the U.S. Clearing Membership again and will be subject to EMIR.

Eurex Clearing reiterates that, while Futures Transactions are transferred from the U.S. Clearing Membership to the FCM Membership pursuant to the above-described process, collateral associated with the Futures Transactions is not.  As discussed, once the transfer has occurred, there is then one combined collateral pool, the FCM Client Margin Account, for the Futures and Swaps positions.

At all times, Eurex Clearing maintains books and records that make clear to which clearing membership and netting set the Futures Transactions used for cross-product margining belong.

To reflect the change, the following provisions of the Clearing Conditions will be amended as outlined in the following Attachments:

• Chapter II of the Clearing Conditions (Attachment 2)
• Chapter I of the FCM Regulations (Attachment 3)
• Appendix 1 to the FCM Regulations (Attachment 4)
• Introduction of a new Chapter III of the FCM Regulations (Attachment 5)

B. Further minor amendments

Eurex Clearing applies further amendments to the definition of SEC-Licensed Proprietary Trading Firm in Chapter I Part I Number 2.5.2 of the Clearing Conditions to clarify that the scope of clearing Eurex Transactions is limited to CFTC-approved futures and options on futures transactions and does not include equity options or equity index options.

To reflect the change, the following provisions of the Clearing Conditions will be amended as outlined in the following Attachment:

• Chapter I of the Clearing Conditions (Attachment 1)

As of the effective date, the full version of the amended Clearing Conditions and FCM Regulations will be available for download on the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

Rules & Regs > Eurex Clearing Rules & Regulations

The amendments to the legal framework of Eurex Clearing AG published by this circular are deemed accepted by each affected contractual party of Eurex Clearing AG, unless the respective contractual party objects by written notice to Eurex Clearing AG prior to the relevant effective date(s) as stipulated in this circular. In case of an objection by the respective contractual party pursuant the preceding sentence, Eurex Clearing AG is entitled to terminate the respective contract (including a Clearing Agreement, if applicable). Instead of submitting an objection, the respective contractual party may submit in writing to Eurex Clearing AG comments to any amendments of the legal framework of Eurex Clearing AG within the first 10 Business Days after the publication of the amendments. Eurex Clearing AG shall assess whether these comments prevent the published amendments from becoming effective, taking into account the interests of Eurex Clearing AG and all contractual parties.

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 – Amended sections of Chapter I the Clearing Conditions of Eurex Clearing AG
• 2 – Amended sections of Chapter II the Clearing Conditions of Eurex Clearing AG
• 3 – Amended sections of Chapter I of the FCM Regulations of Eurex Clearing AG
• 4 – Amended Appendix 1 to the FCM Regulations of Eurex Clearing AG (as of 14 July 2025)
• 5 – Newly introduced Chapter III of the FCM Regulations of Eurex Clearing AG

Further information