Derivatives

Cboe Clear Europe clears Cboe Europe Derivatives' futures and options contracts based on ten Cboe Europe indices and Single Stock Options based on over 130 equity underlying’s. Our pan-European model affords all market participants the ability to access a modern, efficient equity derivatives market through one single access point, streamlining trading and clearing, offering operational efficiencies and margin offsets.

  • Robust market infrastructure that provides efficiencies for customers, and promotes the growth of European capital markets.
  • First phase of a one-stop shop for equity derivatives trading, built on a modern platform.
  • Product and asset base that delivers collateral and margin benefits against derivatives positions.

The ten Cboe Europe indices that we clear:

Cboe UK 100
Cboe Eurozone 50
Cboe Netherlands 25
Cboe Switzerland 20
Cboe Germany 40
Cboe France 40
Cboe Sweden 30
Cboe Norway 25
Cboe Italy 40
Cboe Spain 35

The full list of the equity single stock options contracts can be found in Regulation Derivatives .

Cboe Clear Europe brings efficiencies and cost savings to market participants and end investors, by allowing a broad range of pan-European Index Futures, Index Options and Single Stock Options to be cleared at one single CCP.

Cboe Clear Europe 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 Cboe Clear Europe.

Access

If you wish to become a direct member of Cboe Clear Europe there are two membership options that you can choose. You can either:

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

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

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

Membership

If you wish to clear equity derivatives with Cboe Clear Europe you have two options. You can either become a direct participant of Cboe Clear Europe or utilise the services of a General Clearing Participant (‘GCP’). Existing Cboe Clear Europe Clearing Participants wishing to clear equity derivatives can leverage their cash equities membership and connectivity arrangements to reduce onboarding formalities.

Those wishing to activate clearing for single stock options will require a membership or GCP relationship for the equities service, in order to manage equity expires and physical deliveries.

For new membership inquiries, please contact Cboe Clear Europe’s Relationship Management team who can guide you through the application process.

Further information on Cboe Clear Europe’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 Cboe Clear Europe’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 Cboe Clear Europe 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.

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 Cboe Clear Europe’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.

Connectivity

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

Post Trade API

Cboe Clear Europe 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 Cboe Clear Europe’s Relationship Management Team.

Margin API

Cboe Clear Europe 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 Cboe Clear Europe directly or leverage Vendor connections.

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

End of Day Reporting

Cboe Clear Europe 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 Cboe Clear Europe’s Relationship Management Team.

Cboe Europe Derivatives