Eurex Clearing AG – ss. 144, 147
Variation and Restatement of the Commission Order made under section 147 of the Securities Act (Ontario) (Act) exempting Eurex Clearing AG from the requirement in section 21.2 of the Act to be recognized as a clearing agency.
Applicable Legislative Provisions
Securities Act, R.S.O. 1990, c. S.5, as am., ss. 21.2, 144 and 147.
IN THE MATTER OF THE SECURITIES ACT, R.S.O. 1990, CHAPTER S. 5, AS AMENDED (THE OSA) AND IN THE MATTER OF EUREX CLEARING AG
ORDER (Sections 144 and 147 of the OSA)
WHEREAS the Ontario Securities Commission (Commission) issued an order dated July 14, 2017 exempting Eurex Clearing AG (Eurex Clearing) from the requirement to be recognized as a clearing agency under subsection 21.2(0.1) of the OSA (Original Exemption Order);
AND WHEREAS Eurex Clearing has filed an application (Application) with the Commission pursuant to section 144 of the OSA requesting that the Commission issue an order varying the Original Exemption Order to (i) expand the scope of Eurex Clearing's permitted clearing services in Ontario to include clearing services with respect to derivatives under OSC Rule 91-506 Derivatives: Product Determination (OTC Derivatives), and (ii) reflect recent material changes to categories of participants at Eurex Clearing that impact the terms and conditions of the Original Exemption Order;
AND WHEREAS Eurex Clearing has represented to the Commission that:
1.1 Eurex Clearing is a stock corporation (Aktiengesellschaft) incorporated under German law and is a wholly owned subsidiary of Eurex Frankfurt AG and an indirect wholly owned subsidiary of Deutsche Börse AG, a publicly traded company listed on the Frankfurt Stock Exchange.
1.2 Eurex Clearing qualifies as a central counterparty (CCP) pursuant to Regulation (EU) No. 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (EMIR), which sets out clearing and bilateral risk-management requirements for over-the-counter (OTC) derivative contracts, reporting requirements for derivative contracts, and uniform requirements for the performance of activities of CCPs and trade repositories. It was granted authorization as a CCP under EMIR effective from April 10, 2014.
1.3 Eurex Clearing is of the opinion that it fully observes the international standards applicable to financial market infrastructures described in the April 2012 report Principles for financial market infrastructures (PFMI), having prepared a detailed assessment of its compliance against the PFMI and the associated disclosure framework as of February 2015, which was reviewed and validated by KPMG as an independent outside auditor. Eurex Clearing subsequently performed an updated detailed assessment of its compliance against the PFMI and the associated disclosure framework as of March 2018.
1.4 Eurex Clearing is subject to regulatory supervision by the German Federal Financial Supervisory Authority (Bundesanstalt für Finanzdienstleistungsaufsicht) (BaFin) and the German Central Bank.
1.5 Eurex Clearing is required to deliver to the German Central Bank monthly returns showing its liquidity and capital adequacy. The German Central Bank forwards these returns to BaFin, together with its comments. In addition, Eurex Clearing delivers its audited annual report and timely reports on specified types of organizational changes (e.g., new members of its executive board, departure of executive board members, establishment of subsidiaries, and opening of branches). The German Central Bank reviews Eurex Clearing's annual financial statements and auditors' reports and does an annual risk classification of Eurex Clearing, including an assessment of the adequacy of Eurex Clearing's capital and risk management procedures. The German Central Bank shares its findings with BaFin. In addition, BaFin may order site audits, which are also carried out by members of the German Central Bank and BaFin.
1.6 Eurex Clearing is a registered derivatives clearing organization (DCO) with the U.S. Commodity Futures Trading Commission (CFTC), and is thus subject to and complies with the CFTC's DCO Core Principles and applicable CFTC regulations.
1.7 Eurex Clearing functions as the CCP for all transactions concluded on Eurex Deutschland, which is operated by Eurex Frankfurt AG. Eurex Clearing also acts as the CCP for Eurex Repo GmbH and the Frankfurt Stock Exchange, including its Xetra® order book. In addition, Eurex Clearing offers clearing services for OTC interest rate swap transactions and inflation swaps as well as for securities lending transactions. Products cleared by Eurex Clearing include derivatives, equities, bonds, swaps, and secured funding and financing.
1.8 Eurex Clearing currently has the following categories of members (Clearing Members), all of which will be available to Ontario residents:
1.8.1 General Clearing Member (GCM)
A GCM is a Clearing Member that may clear proprietary and client transactions for any type of instrument listed in paragraph 1.10 (Instrument).
1.8.2 Direct Clearing Member (DCM)
A DCM is a Clearing Member that is restricted in respect of its clearing activities through Eurex Clearing. The degree of restriction depends on the Instrument the DCM is clearing. For OTC Derivatives, a DCM may only clear proprietary transactions. For all other Instruments, a DCM may clear proprietary and client transactions, except that a DCM may only clear transactions for DC Market Participants and Indirect Client Market Participants (discussed further below in subparagraph 1.12.1) if the DCM and the DC Market Participant or Indirect Client Market Participant are affiliated.
1.8.3 Futures Commission Merchant (FCM) Clearing Member (FCM Clearing Member)
An FCM Clearing Member is a Clearing Member that clears transactions under Eurex Clearing's LSOC Clearing Model (discussed in subparagraph 1.13.3).
1.8.4 Basic Clearing Member (BCM)
A BCM is a Clearing Member that participates in clearing under Eurex Clearing's BCM Clearing Model, with facilitation by a clearing agent (discussed in subparagraph 1.13.4).
1.9 When an entity applies to be a GCM, DCM, BCM and/or an FCM Clearing Member it will concurrently apply for a clearing license for each Instrument it may clear. There are specific requirements for each license. BCMs may only apply for licenses for transactions concluded at Eurex Repo GmbH and OTC Interest Rate Derivative Transactions. FCM Clearing Members may only clear Swaps.
1.10 Eurex Clearing currently offers clearing licenses for the following categories of Instruments, and all such clearing licenses will be available to Ontario residents:
• Transactions concluded at Eurex Deutschland (Chapter II of Eurex Clearing's Clearing Conditions (Clearing Conditions));
• Transactions concluded at Eurex Repo GmbH (Chapter IV of the Clearing Conditions);
• Transactions concluded at Frankfurter Wertpapierbörse (Chapter V of the Clearing Conditions);
• OTC Interest Rate Derivative Transactions (Chapter VIII, Part 2 of the Clearing Conditions);
• OTC FX Transactions, including OTC foreign exchange spot transactions, OTC foreign exchange swap transactions and OTC foreign exchange forward transactions (Chapter VIII, Part 3 of the Clearing Conditions);
• OTC XCCY (cross currency swap) Transactions (Chapter VIII, Part 4 of the Clearing Conditions);
• Securities Lending Transactions (Chapter IX of the Clearing Conditions); and
• Transactions that qualify as swaps (Swaps) as defined in section 1a(48) of the U.S. Commodity Exchange Act and CFTC Regulation 1.3 (Chapter I of Eurex Clearing's FCM Regulations (FCM Regulations)).
1.11 Eurex Clearing currently offers the following additional clearing licenses for participation in securities lending and repo markets, both of which will be available to Ontario residents:
1.11.1 Specific Lender License
A "specific lender license" (Specific Lender License) allows a participant to transact in the securities lending market. The holder of a Specific Lender License (in such capacity, a Specific Lender) is accepted by Eurex Clearing as a direct participant. Specific Lenders are not required to post margin to Eurex Clearing or contribute to its clearing fund. Specific Lenders do not create a risk position for Eurex Clearing.
1.11.2 Specific Repo License
A "specific repo license" (Specific Repo License) allows a participant to transact in the repo market at Eurex Repo GmbH. The holder of a Specific Repo License (in such capacity, a Specific Repo Participant) is accepted by Eurex Clearing as a direct participant, without being required to post margin to Eurex Clearing or contribute to its clearing fund. Specific Repo Participants do not create a risk position for Eurex Clearing.
1.11.3 Specific Lenders and Specific Repo Participants are treated as Clearing Members under the Clearing Conditions for most purposes.
1.12 Eurex Clearing currently offers the following client categories:
1.12.1 Disclosed Direct Client (DDC)
A DDC is a direct client of a GCM or DCM that is disclosed to Eurex Clearing. A DDC does not enter into any clearing agreement with Eurex Clearing and therefore has no contractual clearing relationship with Eurex Clearing. The only contractual relationship between Eurex Clearing and a DDC would be a connection or similar agreement that would grant the DDC technical access to Eurex Clearing's systems. The Clearing Conditions do not govern the legal relationship between a DDC and its Clearing Member.
There are currently three sub-categories of DDCs:
• A Direct Client Market Participant (or DC Market Participant) is a DDC that is a trading participant on one or more exchanges to which Eurex Clearing provides clearing services (a trading participant) and which conducts post-trade management with respect to the transactions relating to the DC Market Participant.
• A DC With System Access is a DDC that has access to the systems of Eurex Clearing and can conduct post-trade management with respect to the transactions relating it. Unlike a DC Market Participant, a DC With System Access is not a trading participant.
• A Basic DC is a DDC that does not conduct post-trade management with respect to transactions relating to it. A Basic DC is not a trading participant and does not have access to the systems of Eurex Clearing or have the ability to conduct post-trade management like a DC With System Access. A client of a Disclosed Direct Client of a Clearing Member that is a trading participant may be classified by the Clearing Member as an Indirect Client Market Participant.
Eurex Clearing does not currently permit Clearing Members to classify Ontario entities as DC Market Participants or Indirect Client Market Participants, because Eurex Clearing does not currently provide clearing services to any exchange that is recognized in Ontario or exempt from Ontario's exchange recognition requirement.
1.12.2 Undisclosed Direct and Indirect Clients
An Undisclosed Client is a direct or indirect client of a GCM or DCM that is not disclosed to Eurex Clearing.
1.12.3 FCM Client
An FCM Client is a direct client of an FCM Clearing Member under the LSOC Clearing Model (as discussed in subparagraph 1.13.4). An FCM Client is disclosed to Eurex Clearing.
1.13 Eurex Clearing currently offers the following clearing models, all of which will be available to Ontario resident Clearing Members and their clients (subject to the exceptions noted in subparagraphs 1.13.1 and 1.13.2, which are not in line with certain requirements under National Instrument 94-102 Derivatives: Customer Clearing and Protection of Customer Collateral and Positions (NI 94-102) and accordingly will not be offered to local customers (unless these account models are otherwise deemed to be compliant with applicable Canadian derivatives legislation or Eurex Clearing has obtained any required exemptive relief)):
1.13.1 The Elementary Clearing Model (ECM)
The ECM is an omnibus client segregation model within the meaning of Article 39(2) of EMIR. The ECM provides for the segregation of proprietary positions and assets of a Clearing Member from its client-related positions and assets. Within the ECM, Eurex Clearing distinguishes between: (i) "net omnibus client segregation", where margin is posted by the Clearing Member to Eurex Clearing on a net basis across transactions relating to multiple direct clients of the Clearing Member, and (ii) "gross omnibus client segregation", where margin is posted by the Clearing Member to Eurex Clearing on a gross basis across transactions relating to a particular direct client.
Ontario "local customers" within the meaning of NI 94-102 may only clear OTC Derivatives using the "gross omnibus segregation" (GOSA) offering. Under the GOSA offering, there is no mutualisation of loss and no pooling of risk between direct clients' positions recorded in different margin accounts, which are transaction accounts for which the margin collateral requirement is calculated and called on a gross basis.
Eurex Clearing will not, for OTC Derivatives, on-board any indirect client of any Canadian resident GOSA direct client or any Canadian resident indirect client of any direct client until such time as it has obtained any required exemptive relief from any applicable provisions of NI 94-102 or such offering is otherwise in compliance with applicable Canadian derivatives legislation.
1.13.2 The Individual Segregated Account Model (ISA Model)
The ISA Model is an individual client segregation model within the meaning of Article 39(3) of EMIR. The ISA Model provides for the segregation of proprietary positions and assets of a Clearing Member, and for the segregation of each Clearing Member's client's positions and assets. Under the ISA Model Eurex Clearing determines margin requirements on a gross basis.
Eurex Clearing will not, for OTC Derivatives, on-board any indirect client of any Canadian resident ISA direct client or any Canadian resident indirect client of any direct client until such time as it has obtained any required exemptive relief from any applicable provisions of NI 94-102 or such offering is otherwise in compliance with applicable Canadian derivatives legislation.
1.13.3 The Legally Separated Operationally Commingled Clearing Model (LSOC Clearing Model)
The LSOC Clearing Model is a client-clearing framework that complies with Part 22 of the CFTC regulations. The LSOC Clearing Model must be used by Clearing Members that are registered as FCMs with the CFTC that clear Swaps for U.S. Persons, as defined under applicable CFTC regulations and guidance. In addition, FCM Clearing Members may use the LSOC Clearing Model for non-U.S. Person clients.
1.13.4 The BCM Clearing Model (BCM Clearing Model)
The BCM Clearing Model, also called the ISA Direct Model, is a sponsored direct access model. It permits buy side customers, such as regulated financial services companies, investment funds, pension funds, insurance companies and reinsurance companies, to become BCMs and gain direct access to Eurex Clearing. BCMs have a complete clearing relationship with Eurex Clearing, and their transactions are established directly between the BCM and Eurex Clearing. The BCM's access to Eurex Clearing is facilitated by a clearing agent. BCMs may only enter into proprietary transactions under the BCM Clearing Model.
1.14 For purposes of reporting value and volume required under paragraphs 9(e)a and 9(e)b of Schedule "A" to this order, Eurex Clearing may, subject to any changes in reporting that may result from regulatory, operational or other changes in relation to Eurex Clearing, use the following asset classes, providing separate figures for futures and options as applicable:
• Equity Index Futures/Options
• Interest Rate Futures/Options
• Equity Futures/Options
• Exchange Traded Fund and Exchange Traded Commodity Futures/Options
• Volatility Index Futures/Options
• Dividend Futures/Options
• Commodity Futures/Options
• Property Futures/Options
• Foreign Exchange Futures/Options
• OTC Derivatives (including OTC Interest Rate Derivative Transactions, OTC FX Transactions, OTC XCCY Transactions and Swaps)
1.15 For purposes of reporting margin required under paragraphs 9(e)c and 9(e)d of Schedule "A" to this order, Eurex Clearing will report on the Liquidation Group level. Eurex Clearing has introduced the concept of Liquidation Groups and calculates risk on this level. Cleared products that share similar risk characteristics are assigned to the same Liquidation Group. This allows for a more comprehensive portfolio risk calculation and also enables cross margining across Liquidation Group Splits. Eurex Clearing currently has the following ten Liquidation Groups, which are subject to change:
• Listed Equity (Index) Derivatives Liquidation Group
• Listed Fixed Income Liquidation Group
• Listed Corporate Bond Liquidation Group
• Asian cooperation KOSPI/TAIFEX Liquidation Group
• Commodity (Index) Derivatives Liquidation Group
• Derivatives on Fixed Income ETFs Liquidation Group
• Precious Metal Derivatives Liquidation Group
• Property Futures Liquidation Group
• FX Derivatives Liquidation Group
• IRS Constant Maturity Futures Liquidation Group
The Listed Fixed Income Liquidation Group contains all OTC Interest Rate Derivatives Transactions.
1.16 Eurex Clearing anticipates that banks, pension plans, asset managers and insurance companies that are resident in Ontario may be interested in participating in its offerings listed in paragraphs 1.8, 1.11 and 1.12. Potential bank participants could be interested in becoming GCMs or DCMs. Pension plans, asset managers and insurance firms, among other institutions, could be interested in the Specific Lender License or the Specific Repo License. It is possible there could be further, other unanticipated interest.
1.17 An applicant to become a Clearing Member is required to have sufficient financial resources and operational capacity to meet the obligations arising from participation in Eurex Clearing and enter into a Clearing Agreement with Eurex Clearing. The admission requirements are set forth in the Clearing Conditions and FCM Regulations, which are available on Eurex Clearing's website. Eurex Clearing's participation requirements are non-discriminatory and objective so as to ensure fair and open access. The admission requirements do not limit access on grounds other than risk (e.g., sufficient liable equity capital, compliance with technical requirements, and verification of the legal validity and enforceability of the Clearing Conditions and FCM Regulations).
1.18 Eurex Clearing's risk model, known as Eurex Clearing Prisma, is used for all exchange-traded derivatives and OTC products. Prisma is based on the view of each member's entire portfolio, accounting for hedging and cross-correlation effects by determining the margin requirement on a portfolio level rather than a product-by-product view. The elements of the model are selected to ensure the ability to withstand new shocks and changes to the financial markets and to flexibly adapt to changes in the risk environment. Eurex Clearing Prisma integrates both a backward looking and a forward looking margin component. The backward looking component encompasses price alignment interest, variation margin and premium margin. The forward looking component encompasses liquidity risk, market risk based on filtered historical simulation, market risk based on stress scenarios, and model error add-on. A separate Risk Based Margining Method is used for equities, bonds, repos and securities lending; however, these products will be migrated to Prisma at some point in the future.
1.19 Eurex Clearing's clearing fund serves as a safeguard for the viability of the clearing system against Clearing Member defaults. Each Clearing Member has to contribute to the clearing fund. It consists of Clearing Members' direct deposited cash and securities. It is used for securing the counterparty risk in case of a default of a Clearing Member in case the provided margin deposits are not sufficient to cover all losses of Eurex Clearing. The clearing fund is separated into clearing fund segments (CFSs), whereby each Liquidation Group is assigned to a particular CFS. The size of each CFS depends on the exposure of the Clearing Members active in the liquidation group relative to the overall exposure of all Clearing Members.
1.20 Eurex Clearing would provide its services to Ontario residents without establishing an office or having a physical presence in Ontario or elsewhere in Canada.
1.21 Eurex Clearing submits that it does not pose a significant risk to the Ontario capital markets and is subject to an appropriate regulatory and oversight regime in a foreign jurisdiction.
AND WHEREAS Eurex Clearing has agreed to the respective terms and conditions as set out in Schedule "A" to this order;
AND WHEREAS based on the Application and the representations made to the Commission by Eurex Clearing, the Commission has determined that it would be not prejudicial to the public interest to vary and restate the Original Exemption Order;
AND WHEREAS Eurex Clearing has acknowledged to the Commission that the scope of and the terms and conditions imposed by the Commission attached hereto as Schedule "A" to this order, or the determination whether it is appropriate that Eurex Clearing continue to be exempted from the requirement to be recognized as a clearing agency, may change as a result of the Commission's monitoring of developments in international and domestic capital markets or Eurex Clearing's activities, or as a result of any changes to the laws in Ontario affecting trading in derivatives or securities;
IT IS HEREBY ORDERED, pursuant to section 144 of the Act, that the Application to vary and restate the Original Exemption Order is granted.
IT IS HEREBY ORDERED, pursuant to section 147 of the Act, that Eurex Clearing continues to be exempt from the requirement to be recognized as a clearing agency under subsection 21.2(0.1) of the Act, provided that Eurex Clearing complies with the Terms and Conditions attached hereto as Schedule "A".
DATED July 14, 2017 as varied and restated on February 6, 2020.
Terms and Conditions
For the purposes of this Schedule "A":
"client clearing" means the ability of a Clearing Member to clear transactions on Eurex Clearing for and on behalf of a client.
"Ontario Clearing Member" means a Clearing Member resident in Ontario that uses the Permitted Clearing Services, as defined below.
"Ontario Lender/Repo Participant" means an Ontario resident holding the Specific Lender License or Specific Repo License that uses the Permitted Clearing Services.
Unless the context requires otherwise, other terms used in this Schedule "A" shall have the meanings ascribed to them in Ontario securities law (including terms defined elsewhere in this order).
COMPLIANCE WITH ONTARIO LAW
1. Eurex Clearing will comply with Ontario securities law (as defined in the OSA) and, where applicable, Ontario commodity futures law (as defined in the Commodity Futures Act (Ontario)).
2. Eurex Clearing's derivative services will comply with National Instrument 94-102 Derivatives: Customer Clearing and Protection of Customer Collateral and Positions (NI 94-102).
SCOPE OF PERMITTED CLEARING SERVICES IN ONTARIO
3. Eurex Clearing's activities in Ontario will be limited to the clearing of transactions described in paragraph 1.10 of Eurex Clearing's representations set out above in this order; including client clearing services of derivative products for and on behalf of Ontario residents (Permitted Clearing Services).
REGULATION OF EUREX CLEARING
4. Eurex Clearing will maintain its status as a CCP under EMIR and will continue to be subject to the regulatory oversight of BaFin or any successor, and, so long as Eurex Clearing remains a registered DCO with the CFTC or any successor, to the regulatory oversight of the CFTC or successor.
5. Eurex Clearing will continue to comply with its ongoing regulatory requirements as a CCP under EMIR, with the ongoing regulatory requirements of BaFin and, so long as Eurex Clearing remains a registered DCO with the CFTC, with the ongoing regulatory requirements of the CFTC.
6. Eurex Clearing will promote within Eurex Clearing a governance structure that minimizes the potential for any conflict of interest between Eurex Clearing and its shareholders that could adversely affect the Permitted Clearing Services or the effectiveness of Eurex Clearing's risk management policies, controls and standards.
Reporting with BaFin
7. Eurex Clearing will promptly provide staff of the Commission the following information, to the extent that it is required to provide to or submit such information to BaFin or its successor:
(a) details of any material legal proceeding instituted against Eurex Clearing;
(b) notification that Eurex Clearing has failed to comply with an undisputed obligation to pay money or deliver property to a Clearing Member for a period of thirty days after receiving notice from the Clearing Member of Eurex Clearing's past due obligation;
(c) notification that Eurex Clearing has instituted a petition for a judgment of bankruptcy or insolvency or similar relief, or to wind up or liquidate Eurex Clearing or has a proceeding for any such petition instituted against it;
(d) notification that Eurex Clearing has initiated its recovery plan;
(e) the appointment of a receiver or the making of any voluntary arrangement with creditors;
(f) the entering of Eurex Clearing into any resolution regime or the placing of Eurex Clearing into resolution by a resolution authority; and
(g) material changes to its bylaws and rules where such changes would impact the Permitted Clearing Services used by Ontario residents (whether as a Clearing Member or otherwise).
(h) new services or clearing of new types of products in the Permitted Clearing Services to be offered to Ontario residents or services or types of products that will no longer be available to Ontario residents; and
(i) any new category of membership in respect of the Permitted Clearing Services if Eurex Clearing expects that category of membership would be available to Ontario residents.
8. Eurex Clearing will promptly notify staff of the Commission of any of the following:
(a) any material change to its business or operations
(b) any material change or proposed material change in Eurex Clearing's status as a CCP under EMIR or in its regulatory oversight by BaFin or any successor or in its regulatory oversight by the CFTC or any successor;
(c) any material problems with the clearing and settlement of transactions that could materially affect the safety and soundness of Eurex Clearing;
(d) the admission of any new Ontario Clearing Member or the granting of any new Specific Lender License or Specific Repo License to any Ontario resident;
(e) any event of default by, or removal from Permitted Clearing Services of, a Clearing Member and Ontario Lender/Repo Participant; and
(f) any material system failure of a Permitted Clearing Service utilized by an Ontario Clearing Member and Ontario Lender/Repo Participant, including cybersecurity breaches.
9. Eurex Clearing will maintain and submit the following information to the Commission in a manner and form acceptable to the Commission on a quarterly basis within 30 days of the end of each calendar quarter, and at any time promptly upon the request of staff of the Commission:
(a) current lists of all Ontario Clearing Members, Ontario Lender/Repo Participants, DDC, FCM Clients or Indirect Client Market Participants (collectively called "Ontario Participants" or individually "Ontario Participant") and the legal entity identifier (LEI), if any, of each such Ontario Participant;
(b) a list of all Ontario Participants against whom disciplinary or legal action has been taken in the quarter by Eurex Clearing with respect to activities at Eurex Clearing, or to the best of Eurex Clearing's knowledge, by BaFin or any other authority in Europe or the United States that has or may have jurisdiction with respect to the relevant Ontario Participant's clearing activities at Eurex Clearing, provided that the Commission will maintain the confidentiality of the identity of any such Ontario Participant, unless (i) required by a court of competent jurisdiction, law, regulation or memorandum of understanding with a regulatory authority to release such identity, (ii) disclosure is permitted or consistent with the purposes of the OSA, or (iii) such identity is publicly available;
(c) a list of all investigations by Eurex Clearing in the quarter relating to Ontario Participants, provided that the Commission will maintain the confidentiality of the identity of any such Ontario Participant, unless (i) required by a court of competent jurisdiction, law, regulation or memorandum of understanding with a regulatory authority to release such identity, (ii) disclosure is permitted or consistent with the purposes of the OSA, or (iii) such identity is publicly available;
(d) a list of all Ontario resident applicants who have been denied Clearing Member, DDC, FCM Client or Indirect Client Market Participant status or Specific Lender or Specific Repo Licenses in the quarter by Eurex Clearing, provided that the Commission will maintain the confidentiality of the identity of such applicant, unless (i) required by a court of competent jurisdiction, law, regulation or memorandum of understanding with a regulatory authority to release such identity, (ii) disclosure is permitted or consistent with the purposes of the OSA, or (iii) such identity is publicly available;
(e) quantitative information in respect of the Permitted Clearing Services used by Ontario Participants for transactions in the asset classes listed in paragraph 1.14, broken down by membership and client category, if known, including in particular the following:
a. the end of quarter level, maximum and average daily open interest, number of transactions and notional value of transactions cleared during the quarter for each Ontario Participant;
b. the percentage of end of quarter level and average daily open interest, number of transactions and the notional value cleared during the quarter for all Clearing Members that represents the end of quarter and average daily open interest, number of transactions and the notional value of transactions cleared during the quarter for each Ontario Participant;
c. the aggregate total margin amount on deposit at Eurex Clearing ending on the last trading day during the quarter for each Ontario Participant;
d. the portion of the total margin on deposit at Eurex Clearing ending on the last trading day of the quarter for all Clearing Members that represents the total margin required during the quarter for each Ontario Participant; and
(f) quantitative information in respect of the Permitted Clearing Services used by Ontario Participants for transactions in cash, securities lending and repo, including in particular the following:
a. as at the end of the quarter, the notional value of cash, securities lending and repo transactions for each Ontario Participant;
b. where applicable, the aggregate total margin amount on deposit at Eurex Clearing ending on the last trading day of the quarter for each Ontario Participant; and
c. where applicable, the portion of the total margin on deposit at Eurex Clearing ending on the last trading day of the quarter for all Clearing Members that represents the total margin required during the quarter for each Ontario Participant;
(g) the guaranty fund contribution, for each Ontario Clearing Member on the last trading day of the quarter, and its proportion to the total guaranty fund contributions;
(h) a summary of risk management analysis related to the adequacy of the required margins and the guaranty fund requirement, including but not limited to stress testing and back testing results;
(i) if known to Eurex Clearing, for each Clearing Member (identified by its LEI) clearing for a client resident in Ontario (other than a DDC, FCM Client or Indirect Client Market Participant): (i) the identity of the Ontario resident client (including LEI, if any) (ii) the value and volume of trades cleared by asset class or transaction type during the quarter for and on behalf of each Ontario resident client and indicating the corresponding client category; (iii) and the aggregate total margin amount on deposit at Eurex Clearing, ending on the last trading day during the quarter, for each Ontario resident client, and indicating the corresponding client category;
a copy of all circulars published during the quarter that describe and show changes to the Clearing Conditions or FCM Regulations made during the quarter.
10. Eurex Clearing will promptly provide such information as may be requested from time to time by, and otherwise cooperate with, the Commission or its staff, subject to any applicable privacy or other laws that would prevent the sharing of such information and subject to the application of solicitor-client privilege.
11. Unless otherwise prohibited under applicable law, Eurex Clearing will share information relating to regulatory and enforcement matters and otherwise cooperate with other recognized and exempt clearing agencies on such matters, as appropriate.