Derivatives

On its journey to become a truly multi-asset class CCP, EuroCCP extends its services to clear equity derivatives traded on Cboe’s new Amsterdam-based exchange, Cboe Europe Derivatives
 

EuroCCP clears futures and options based on six Cboe Europe indices: the Cboe Eurozone 50, Cboe UK 100, Cboe Netherlands 25, Cboe Switzerland 20, Cboe Germany 40, and Cboe France 40. EuroCCP brings efficiencies and cost savings to market participants and end investors, by allowing a broad range of pan-European index futures and options to be cleared at a single CCP.

EuroCCP provides EMIR compliant account structures. House Account, Client Accounts (Omnibus and Segregated) and Indirect Clearing accounts are all supported. Position and Margin Netting can be configured per Account based on your requirements.

Clearing information can be sent to Clearing Participants directly and/or their appointed vendor. FIS & ION will be able to support EuroCCP.

Access

If you wish to become a direct member of EuroCCP there are two membership options that you can choose. You can either;

  1. Become General Clearing Participant (GCP)
  2. Become a Direct Clearing Participant (DCP)

GCPs clear trades for themselves and/or for firms that are not EuroCCP members (Trading Participants or TPs). DCPs clear only for themselves.

Trading Participants do not have direct access to EuroCCP and their activity is cleared and managed via a General Clearing Member. A wide range of brokers, international banks and investment firms already utilise EuroCCP.  For details of Clearing Participants providing access to EuroCCP please see our participants page

Membership

Existing EuroCCP Clearing Participants wishing to clear equity derivatives can leverage their cash equities membership and connectivity arrangements to reduce onboarding formalities.
 
For new membership inquiries, please contact EuroCCP’s Relationship Management team who can guide you through the application process and provide the necessary forms and gather supporting information. At this stage we may request supporting information to confirm that your application will meet the minimum requirements for membership. Further information on EuroCCP’s Membership process can be found on our Membership page.

Clearing Fund Contribution and Costs

For all Clearing Participants there is a mandatory contribution to EuroCCP’s Clearing Fund. This is as follows;

– for a Direct Clearing Participant : € 1,000,000

– for a General Clearing Participant : € 3,000,000

These are the applicable base deposits pursuant to paragraph 8.2.2. (a) of the Clearing Rule Book.

The EuroCCP Clearing Fund (CLF) will be a single default fund comprising two distinct segments – one segment covering cash equities (CEQ) and the other covering equity derivatives (EQD).  

Sizing and determination of member contributions with respect to each CLF segment are performed independently based on the relevant product class exposures.

Pricing and fees

Our simple and transparent fee structure provides Clearing Participants easy access to a modern, efficient equity derivatives market.  Please see our regulations fees and penalties for further details.

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Regulation Fees and Penalties

Version 6 September 2021

Risk Management

  • Core IM is calculated as the weighted sum of two components: a Filtered Hist-Sim (75% weight) and a Stress Hist-Sim (25% weight).
  • Each component is calculated as the weighted sum of a portfolio-based Conditional Value-at-Risk (CVaR) (80% weight), and the sumof CVaRs calculated at gross individual product level (20% weight), in compliance with ESMA RTS article 27.
  • Margin Period of Risk (MPOR) for both models is 3 days.
  • In accordance with EuroCCP’s risk appetite the overall confidence level is 99%.
  • Additional margin add-ons are calculated to cover risks not captured by the core IM model.

Please note there is no portfolio margining permitted between cash equities and equity derivatives.

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EuroCCP Risk Management Overview

Version 6.8, September 2021

Connectivity

EuroCCP requires Clearing Participants to connect to its systems via either FIXML over Websphere MQ, or Fix connectivity.  EuroCCP additionally requires members to retrieve files from SfTP folders which are created specifically for each member.

Post Trade API

EuroCCP has developed a Clearing and Margin API to allow Clearing Participants to effectively manage trades, positions, and margin. The API provides details of;

  • Trade Splits
  • Trade Open / Close Adjustments
  • Give-Up / Take-Ups
  • Give Up’s to be supported until T+5
  • Close-Outs
  • Position update intraday
  • Position report intraday

FIXML over MQ messaging (preferred)

Post Trade API specs and sample messages are available on request, please contact EuroCCP’s Relationship Management Team.

Margin API

EuroCCP has developed an online user interface tool for Clearing Participants that includes:

  • Portfolio simulation
  • Margin Simulation held in a Java library (local install or via vendor)

Participants can connect to EuroCCP directly or leverage Vendor connections

Margin API spec, simulation files are only available via a members SfTP folder. Please contact EuroCCP’s Relationship Management Team for more information.

End of Day Reporting

EuroCCP will provide a full suite of end of day reports that include details of Positions and position Movements. Report specifications and sample messages are available on request, please contact EuroCCP’s Relationship Management Team.