Default Waterfall

Assessments and replenishment

If Clearing Members’ pre-funded Default Fund contributions (including the prior layers of the default waterfall) are insufficient to cover all losses resulting from a member’s default, Clearing Members have to provide Eurex Clearing with additional financial resources, the so-called Assessments. In case of ISA Direct Clearing Model, the Clearing Agent provides the assessments related to the ISA Direct Clearing Member. 

Assessments are capped within a so-called capped period. The maximum of Assessments to be provided is two times each Clearing Member’s Default Fund contribution at the time the default was declared. As a result, a Clearing Member’s liability in case of another Clearing Member’s default is limited to a total of three times its currently applicable Default Fund contribution, at all times. 

A capped period is a period of 20 (rolling) business days, starting on the day the default was declared. If during a capped period one or more additional defaults occur, the capped period is, in each case, extended by an additional 20 business days, starting on the day the additional default is declared. Further, any capped period is subject to a maximum duration of 3 months.

If a default is resolved without non-defaulted Clearing Members’ Default Fund contributions being utilised, the capped period ends with finalisation of the default management process.

Unused Assessments are returned by Eurex Clearing, upon finalisation of the default management process.  

If a Clearing Member decides to leave the CCP during a capped period, such member remains liable for the full amount of assessments to be provided during this capped period. Only if a Clearing Member has terminated all its clearing licenses and has settled all its transactions with Eurex Clearing before a capped period commences, such Clearing Member is no longer liable to provide assessments. 

Independent of any assessments provided, and once a capped period has ended, all Clearing Members are required to replenish their Default Fund contributions. For this purpose, Eurex Clearing will recalculate each Clearing Member’s contribution requirement, using the established methodology.