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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Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®,

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Quarterly Indexes are registered trademarks of Investment Property Databank Ltd. IPD and have been licensed for

the use by Eurex for derivatives. SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss Exchange AG. The

STOXX® indexes, the data included therein and the trademarks used in the index names are the intellectual property

of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX® indexes are in no way sponsored,

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The names of other companies and third party products may be trademarks or service marks of their respective

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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

investment products (PRIIPs Regulation), and provides key information documents (KIDs) covering PRIIPs traded on

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In addition, according to Art. 14(1) PRIIPs Regulation the person advising on, or selling, a PRIIP shall provide the

KID to retail investors free of charge.

28 July 202119