Frankfurt, Germany - April 29, 2003 - Eurex, the international derivatives market, will further enhance efficiency in the netting of risks for derivatives transactions, so-called cross margining, as well as flexibility by expanding the depositable collateral. The world's largest derivatives market
announced this on Tuesday. As of June 2nd, 2003, offsetting risks from positions in derivatives on equities and indices in the same sector will be netted in the calculation of margin payments. Bundling the margin collateral reduces the margin requirements for Eurex customers, and thus also the costs for provision of collateral, by as much as 50 percent. Moreover, effective immediately, Eurex will accept the fixed-income ETF eb.rexxÂ® Government Germany EX as collateral in Eurex Clearing AG.
The Eurex risk-based margining method on which the realigned margin groups are based takes into account the risk-reducing effect of combinations to avoid excess cover for clearing transactions by netting offsetting risks. This is done by dividing the products into margin classes and margin groups. A margin class comprises all products that are based on the same underlying instrument.
All of the positions in a margin class are netted. A margin group comprises several margin classes whose underlying instruments are largely subject to the same kinds of price risks.
Given the growing significance of exchange-traded funds (ETFs) on bond indices, Eurex will accept the fixed-income ETF eb.rexxÂ® Government Germany EX as collateral in Eurex Clearing AG, effective immediately. This makes the fixed-income ETF eb.rexxÂ® Government Germany EX the first fixed-income ETF in Europe to be accorded the same quality status as traditional securities with regard to its eligibility as depositable collateral. Since December 2002 Clearing members have already been able to deposit the exchange-traded funds DAX EX, DJ Euro STOXX 50 EX, DJ Euro STOXX 50 LDRS, Fresco DJ Euro STOXX 50 and Xmtch on SMI as collateral to cover the risks resulting from trading activities. The eb.rexxÂ® Government Germany EX was the first fixed-income ETF listed in Europe, on February 6th in Deutsche BÃ¶rse's XTF segment. The eb.rexxÂ® Government Germany Index comprises the 25 most liquid German government bonds on the Eurex
Bonds trading platform and is calculated by Deutsche BÃ¶rse.
Through Eurex Clearing AG, Eurex makes available to the market all clearing services for derivatives transactions, bonds and repos, in addition to trading in these instruments. Since March 27th, 2003, Eurex Clearing has also been functioning as the central counterparty for equities trading at the Frankfurt Stock Exchange (FWB Frankfurter Wertpapier BÃ¶rse). With over 800 million futures and option contracts cleared in 2002, as well as bonds and repos, Eurex Clearing AG is the world's second largest clearing organization.
Walter Allwicher, Uwe Velten
Tel: + 49-69-21 01-1500