Eurex05e

FCM Default Rules of Eurex Clearing AG As of 01.05.2023

Page 2

4.2

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

Default Management Process

[.]

DM Hedging Transactions
[Ll

(2) Hedging Auctions

L.]

(viii) Residual Hedging Auction Settlement

(a)

If during a Hedging Auction only some (but not all) Hedging Auction Units

have been successfully auctioned in accordance with the DM Auction
Rules (each Hedging Auction Unit which has not been so auctioned a
“Residual Hedging Auction Unit”), Eurex Clearing AG shall offer to each
FCM Non-Bidding Hedging Auction Participant to enter with Eurex
Clearing AG into the Pro Rata Share of the DM Hedging Transactions of
the relevant Residual Hedging Auction Units without undue delay after the
Hedging Auction, at its Hedging Auction Pro Rata Share of the highest
Auction Price (as defined in the DM Auction Rules) for any Hedging
Auction Unit that was accepted by Eurex Clearing AG for an Hedging
Auction Unit in the respective Hedging Auction (the “Residual Hedging

Auction Unit Price”).
The “Hedging Auction Pro Rata Share” of an FCM Non-Bidding Hedging

Auction Participant shall be the ratio of (A) the Residual Hedging Auction
Units for which the FCM Non-Bidding Hedging Auction Participant provided
an invalid or no Mandatory Hedging Bid in the relevant Hedging Auction
and (B) the total number of valid Mandatory Hedging Bids which all FCM
Non-Bididng Hedging Auction Participants and Non-Bidding Hedgign
Auction Participants failed to provide in the relevant Hedging Auction.

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AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

JR II SESS SO IO IO IO IOS O IO IIIS III IS ISO ISI ISI AI ASIII AOI

Part 1 General Clearing Provisions

7 Termination Rules with respect to the Clearing Member
[J

L.]

7.5 Default Management Process
[J

Ll

7.5.2 DM Hedging Transactions

[.]

(2) Hedging Auctions
[.]

(viii) Residual Hedging Auction Settlement

(a)__If during a Hedging Auction only some (but not all) Hedging Auction Units
have been successfully auctioned in accordance with the DM Auction
Rules (each Hedging Auction Unit which has not been so auctioned a
“Residual Hedging Auction Unit’), Eurex Clearing AG shall offer to each
Non-Bidding Hedging Auction Participant to enter with Eurex Clearing AG
into the Pro Rata Share of the DM Hedging Transactions of the relevant
Residual Hedging Auction Units without undue delay after the Hedging
Auction, at its Hedging Auction Pro Rata Share of the highest Auction
Price (as defined in the DM Auction Rules) for any Hedging Auction Unit
that was accepted by Eurex Clearing AG for an Hedging Auction Unit in

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EUREX

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

1. [el

The ISA Direct Clearing Member and the Clearing Agent may also elect to execute this
Agreement in their capacities as both

(i)_ISA Direct Clearing Member and Clearing Agent for the purposes of the ISA Direct
Provisions and

(ii)_ISA Direct Indemnified Clearing Member and Indemnifying Clearing Agent for the
purposes of the ISA Direct Indemnified Provisions,

provided that enlyOTC Interest Rate Derivative Transactions pursuant to Chapter VIII
Part 2 of the Clearing Conditions are only selected in Annex A_-hereto-as applicable

Transaction Type for the Clearing of Transactions pursuant to the General ISA Direct
Provisions.

L.]

3. With respect to the Clearing of ISA Direct Transactions under this ISA Direct Clearing
Agreement, Eurex Clearing AG will charge fees in accordance with the provisions under
Chapter | Part 1 Number 5.1 of the Clearing Conditions and in accordance with the daily

cash clearing procedure pursuant to Chapter | Part 1 Number 1.4.1 of the Clearing
Conditions.

Generally, all fees arising from the Clearing of ISA Direct Transactions will be charged to
the Clearing Agent.

If the ISA Direct Clearing Member provides an own account as ISA Direct Cash Account,
the Parties have the following options:

(i) with respect to the fees for the granting of the ISA Direct Clearing License in
accordance with the Price List (“License Fee”), the Parties may agree that Eurex
Clearing AG shall charge the License Fee to (I) an account of the Clearing Agent
or (II) the ISA Direct Cash Account held by the ISA Direct Clearing Member, and

(ii) __ with respect to the fees for the technical connection to the systems of Eurex
Clearing AG in accordance with the Price List to the Agreement on Technical

Appendix 10 to the Clearing Conditions for Eurex Clearing AG (as of 03.04.2023) 1/2

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hittne: Hhananas

G. Interest Rate Derivatives (IRD): Amendments in order to clarify
clearing eligibility for Zero Coupon Inflation Swaps (ZCIS) and Polish Zloty
(PLN)-denominated Interest Rate Derivatives

The amendments to the Clearing Conditions and FCM Regulations provide
further clarifications that: (i) for OTC IRS U.S. Clearing Members, which may
clear OTC Interest Rate Derivative Transactions for Own Accounts, clearing of
ZCIS, however, is not offered; and (ii) for FCM Clearing Members, clearing of
ZCIS and PLN-denominated IRD is not offered.

To implement these changes, the following provisions will be amended as
outlined in Attachments 11 and 12:

® Chapter I Part I Numbers 1.8.1 and 1.8.7 of the Clearing Conditions
Chapter II Numbers 1.7, 1.8.1, 2.1.3.1, 2.1.5.1, 2.1.5.2, 2.2.1, 2.2.3, 2.2.4,
2.2.5, 2.2.6 and 2.6.1 of the FCM Regulations

Consultation with respect to the amendments to the Clearing Conditions

Pursuant to Chapter I Part 1 Number 17 of the Clearing Conditions, the
proposed changes and amendments to the Clearing Conditions are subject to
a Consultation which will end with the expiry of 27 March 2023.

Eurex Clearing herewith invites all Affected Customers to submit
comments on the proposed changes and amendments within the
Consultation Period.

During the Consultation Period, comments on proposed changes or
amendments shall only be submitted through a web-based commenting
service for which a registration form is available on the Eurex Clearing website
under the following link:

Find > Forms: Consultation Form

The form has to be duly signed and returned to Eurex Clearing via e-mail to
SpecialProvisions@eurex.com in order to obtain a User ID and Password
together with a link for accessing the web-based commenting service.

To the extent that Eurex Clearing decides to implement any comments
received during the Consultation, the so-amended version of the Clearing
Conditions will be published after the Consultation.

The currently envisaged effective date of the changes to the Clearing
Conditions is 1 May 2023. However, after the Consultation Period, Eurex
Clearing will issue a separate circular to announce the concrete date on which
the proposed changes (as the case may be, implementing comments received
during the Consultation) will come into effect.

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FCM Default Rules of Eurex Clearing AG As of 01.05.2023
Page 3
(b) If after the offer in accordance with Paragraph (a) Residual Hedging

(c)

Auction Units are still remaining, Eurex Clearing AG may offer any
remaining Residual Hedging Auction Units to each FCM Non-Bidding
Hedging Auction Participant at a price determined by Eurex Clearing AG
on the basis of the then prevailing market conditions.

If an FCM Non-Bidding Hedging Auction Participant accepts any offer

pursuant to Paragraph (a) or (b) (each a “Residual Hedging Auction
Settlement”), a DM Hedging Transaction shall be established between
Eurex Clearing AG and such FCM Clearing Member based on the
economic details agreed between them. Upon the establishment of the DM
Hedging Transaction pursuant to the preceding sentence, the Contributions
of such FCM Clearing Member shall not be juniorised pursuant to

Paragraph (vii) above.

If the Residual Hedging Auction Settlement results in a split of the relevant

DM Auction Transactions in accordance with the relevant Hedging Auction
Pro Rata Share of any FCM Non-Bidding Hedging Auction Participant,
Eurex Clearing AG shall, in its reasonable discretion, be entitled to round
up the Hedging Auction Pro-Rata Share of such FCM Non-Bidding
Hedging Auction Participant and to accordingly allocate DM Hedging
Transactions to such FCM Non-Bidding Hedging Auction Participant as
part of the Risidual Hedging Auction Settlement.

If all FCM Non-Bidding Hedging Auction Participants accepted the offers
submitted by Eurex Clearing AG pursuant to Paragraphs (a) and (b) and if
Eurex Clearing AG is not able to allocate DM Hedging Transactions to all
of FCM Non-Bidding Hedging Auction Participants due to the rounding up
of any Hedging Auction Pro-Rata Shares, the Contributions of all FCM
Non-Bidding Hedging Auction Participants, which have accepted an offer,
shall not be juniorised pursuant to Paragraph (vii) above.

Eurex Clearing AG shall use best efforts to find a fair and proportionate

(verhaltnismaBig) distribution of the DM Hedging Transactions between the
relevant FCM Non-Bidding Hedging Auction Participants.

Each FCM Non-Bidding Hedging Auction Participant is required to take all

such steps, to make all further statements and to comply with all such
formalities as may be reasonably required or desirable to perfect or more
fully evidence the Residual Hedging Auction Settlement made.

(ix)_In addition to the Residual Hedging Auction Settlement, Eeach FCM Non-

Bidding Hedging Auction Participant shall have the option to partly or fully
remedy the juniorisation of its Contribution pursuant Paragraph (vii) above, by
providing the winning Bid (in accordance with the DM Auction Rules) in DM
Auctions to which the FCM Non-Bidding Hedging Auction Participant was
invited by Eurex Clearing AG as FCM Mandatory Participant (“Remedied
Juniorised Hedging Contribution”).

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Clearing Conditions of Eurex Clearing AG

As of 03.04.2023
Page 1

1.4

1.41

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

JR II SESS SO IO IO IO IOS O IO IIIS III IS ISO ISI ISI AI ASIII AOI

General Clearing Provisions

General Rules

Settlement of Transactions

[el

Cash Clearing

(1) In order to make cash payments in EUR, the Clearing Member or, with respect to the
Clearing of ISA Direct Transactions, the Clearing Agent or the ISA Direct Clearing
Member is obliged to instruct the bank of its relevant RTGS Account DCA
(Dedicated Cash Account) or relevant euroSIC Account to honour the transfer
instructions (Lastschriften) received from Eurex Clearing AG.

[.]
Clearing Members

Clearing License
[1
General Prerequisites for Clearing Licenses

[.]

(4) The applicant (other than an applicant that intends to become an OTC IRS
U.S. Clearing Member) shall have available the following accounts:

L.]

(b) Cash Accounts:

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EUREX

Appendix 10 to the Clearing Conditions of Eurex Clearing AG:

Clearing Agreement

with a Clearing Agent
and an ISA Direct Clearing Member

As of 03.04.2023

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Clearing Conditions of Eurex Clearing AG As of 01.05.2023

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Eurex Clearing AG shall use best efforts to find a fair and
proportionate (verhaltnismaBig) distribution of the DM Auction
Transactions between the relevant CM Non-Bidding Participants.

[1

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Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 03.04.2023
Page 1

15

15.1

15.1.2

15.1.3

JESSIE SSS IIS SII IOS III I III II III I I I

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;
DELETIONS ARE CROSSED OUT

IEEE IASI SISSIES ISAS SSSI OSSD IAI IS AI

General Clearing Provisions

Transmission of information by Eurex Clearing AG; Outsourcing of
Clearing Functions

Transmission of information relating to Clearing Members, Clearing Agents,
Disclosed Direct Clients and ISA Direct Clearing Members by Eurex Clearing AG

Lol

Notwithstanding the provisions in Number 15.1.1, Eurex Clearing AG shall be entitled to

15.1.43

15.1.54

disclose all data and information relating to Eurex Transactions of the relevant Clearing
Member (including Eurex Transactions qualifying as Own Transactions and Client-
Related Transactions) to the Trading Surveillance Office (Handelstiberwachungsstelle) of
the Eurex Exchange by granting the Trading Surveillance Office access to the clearing
system of Eurex Clearing AG for the purpose of monitoring position limits in accordance
with Section 14 of the Eurex Exchange Rules.

Notwithstanding the provisions in Number 15.1.1, Eurex Clearing AG shall also be
entitled to transmit or to request from clearing and settlement institutions or independent
auditors which are subject to confidentiality regulations comparable to those applicable to
Eurex Clearing AG, all data and information which refer to Clearing Members, Clearing
Agents, Disclosed Direct Clients and ISA Direct Clearing Members and which are
necessary for the orderly conduct of the Clearing and for the fulfilment of Transactions.

The Clearing Member agrees to obtain written (Textform) consent of each of its Disclosed
Direct Clients to the transmission of information related to such Disclosed Direct Client by
Eurex Clearing AG pursuant to this Number 15.

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Clearing Conditions of Eurex Clearing AG

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Fees

On the basis of its price list in effect (the “Price List of Eurex Clearing AG”
(Preisverzeichnis der Eurex Clearing AG)), which will be published in accordance with
Number 16.1, Eurex Clearing AG will charge to its Clearing Members and its ISA Direct
Clearing Members (i) a one-time fee upon conclusion of the first Clearing Agreement,

(ii) an annual fee for the granting of a Clearing License or an ISA Direct Clearing License,
payable by the Clearing Member or the ISA Direct Clearing Member, as applicable, on
January 31 of each year, and (iii) further fees for certain actions and Transactions, as
specified in the Price List of Eurex Clearing AG (together with fees (“Entgelte” and
“Gebtihren”) payable to Eurex Frankfurt AG according to the Agreement on Technical
Connection and Utilization of the Trading Systems of Eurex Deutschland (EFAG
Connection Agreement) and to Eurex Deutschland according to the Fee Regulations for
Eurex Deutschland the “Eurex-Fees”). Eurex Clearing AG shall be entitled to (and
without having an obligation towards the Clearing Member or ISA Direct Clearing Member
to do so, will on or around the time specified) directly debit the RTGS AccountDCA, the
euroSIC Account, the SIC Account, the Clearing Member Cash Account, the account with
a Correspondent Bank, the account with a Settlement Bank and an account with a
Settlement Bank maintained in the name of another bank, in an amount equal to the
requested amount of Eurex-Fees in accordance with the daily cash clearing procedure
pursuant to Number 1.4.1 of the General Clearing Provisions. Accordingly, the Clearing
Member or the ISA Direct Clearing Member is obliged to instruct the bank of the relevant
accounts to honour the transfer instructions (Lastschriften) received from Eurex Clearing
AG.The Price List of Eurex Clearing AG shall form part of the Clearing Conditions.

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221123, 10:23 AM

°

Amenaments to the Clearing Conaltuions, tne Price List, the FGM Derault Rules and the FUM Keguiations of Eurex Clearing ...

7 - Chapter II Part 1 and Part 3 of the Clearing Conditions of Eurex
Clearing AG

8 - Chapter IV Part 2 Number 2.4 of the Clearing Conditions of Eurex
Clearing AG

9 - Chapter V Part 2 Number 2.2.1 of the Clearing Conditions of Eurex
Clearing AG

10 - Chapter VIII Part 1 Number 1.7 of the Clearing Conditions of Eurex
Clearing AG

11 - Chapter I Part I Numbers 1.8.1 and 1.8.7 of the Clearing Conditions
of Eurex Clearing AG

12 - Chapter II Numbers 1.7, 1.8.1, 2.1.3.1, 2.1.5.1, 2.1.5.2, 2.2.1, 2.2.3,
2.2.4, 2.2.5, 2.2.6, 2.6.1 of the FCM Regulations of Eurex Clearing AG

Further information

Recipients: All Clearing Members, ISA Direct Clearing Members, Disclosed

Direct Clients of Eurex Clearing AG, all FCM Clearing Members,
vendors, and other affected contractual parties

Target Front Office/Trading, Middle + Back Office, IT/System
groups: Administration, Auditing/Security Coordination
Contact: client.services@eurex.com

Web: www.eurex.com/ec-en/

Authorized Jens Janka

by:

Further information

a
na
na
a

v

ws

, Attachment 1 to Eurex Clearing Circular 009/23

Attachment 2 to Eurex Clearing Circular 009/23
Attachment 3 to Eurex Clearing Circular 009/23

Attachment 4 to Eurex Clearing Circular 009/23

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221123, 10:23 AM Amenaments to the Clearing Conaltuions, tne Price List, the FGM Derault Rules and the FUM Keguiations of Eurex Clearing ...

This announcement will be made with at least 15 Business Days’ notice
(Regular Notification Period). However, if Eurex Clearing should receive a
request for a Prolonged Notification Period from more than two Affected
Customers during the Consultation Period, a Prolonged Notification Period as
set out in the Clearing Conditions will be applied and Eurex Clearing will notify
all affected parties accordingly.

Publication of amendments to the Clearing Conditions, the Price List, the
FCM Default Rules and the FCM Regulations

As of the effective date, the full versions of the amended legal framework of
Eurex Clearing will be available for download on the Eurex Clearing website
www.eurex.com/ec-en under the following link:

Rules and Regulations > Eurex Clearing Rules and Regulations

The amendments to the legal framework of Eurex Clearing AG published by
this circular are deemed accepted by each affected contractual party of Eurex
Clearing AG, unless the respective contractual party objects by written notice
to Eurex Clearing AG prior to the relevant effective date(s) as stipulated in this
circular. In case of an objection by the respective contractual party pursuant
the preceding sentence, Eurex Clearing AG is entitled to terminate the
respective contract (including a Clearing Agreement, if applicable). Instead of
submitting an objection, the respective contractual party may submit in
writing to Eurex Clearing AG comments to any amendments of the legal
framework of Eurex Clearing AG within the first 10 Business Days after the
publication of the amendments. Eurex Clearing AG shall assess whether these
comments prevent the published amendments from becoming effective
taking into account the interests of Eurex Clearing AG and all contractual
parties.

Unless the context requires otherwise, terms used and not otherwise defined
in this circular shall have the meaning ascribed to them in the Clearing
Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.

Attachments:
Updated sections of the following rules and regulations:

@ 1-Chapter I Part 1 Number 15.1 the Clearing Conditions of Eurex
Clearing AG

@ 2-Numbers 5, 8.3.5 of the Price List of Eurex Clearing AG

@ 3-Chapter I Part 1 Numbers 7.5.2, 7.5.3 of the Clearing Conditions of
Eurex Clearing AG

@ 4-Number 4.2 of the FCM Default Rules of Eurex Clearing AG

5 - Appendix 10 to the Clearing Conditions of Eurex Clearing AG

 6-Chapter I Part 1 Numbers 1.4.1 to 2.4.1 of the Clearing Conditions of
Eurex Clearing AG

°

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FCM Default Rules of Eurex Clearing AG

As of 01.05.2023

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Chapter | of the Clearing Conditions of Eurex Clearing AG

General Provisions

As of 03.04.2023

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EUREX

Connection to the Clearing EDP (“Connection Fee”), the Parties may agree that
Eurex Clearing AG (I) charges the Connection Fee to an account of the Clearing
Agent, (Il) charges the Connection Fee to the ISA Direct Cash Account held by the
ISA Direct Clearing Member, or (Ill) submits an invoice to the ISA Direct

Clearing Member and the ISA Direct Clearing Member transfers the Connection
Fee to Eurex Clearing AG. Eur Ch ring, AG args fi tothe SA Direct

pereereee rere te eeeeenreed

Appendix 10 to the Clearing Conditions for Eurex Clearing AG (as of 03.04.2023) 212

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httne: /hananar

27 Feb 2023
Eurex Clearing

Amendments to the Clearing Conditions,
the Price List, the FCM Default Rules and
the FCM Regulations of Eurex Clearing
AG — Consultation

Eurex Clearing Circular 009/23 Amendments to the Clearing Conditions,

the Price List, the FCM Default Rules and the FCM Regulations of Eurex
Clearing AG - Consultation

1. Introduction

This circular contains information with respect to the service offering of Eurex
Clearing AG (Eurex Clearing) and introduces amendments to the Clearing
Conditions of Eurex Clearing AG (Clearing Conditions) - consultation, the Price
List of Eurex Clearing AG (Price List) and the FCM Regulations of Eurex
Clearing AG (FCM Regulations) regarding the following topics:

A. Access of the Trading Surveillance Office of Eurex Deutschland to the
clearing system of Eurex Clearing

B. Adjustment of Repo Transaction Fees for ISA Direct Light License Holders
C. Introduction of a Service Fee for change of Netting Method

D. Default Management: Introduction of Residual Settlement for Default
Management Hedging Auctions and further clarifications - Consultation

E. ISA Direct billing: Amendment to the ISA Direct Clearing Agreement
F, T2-T2S Consolidation: Amendments based on the new TARGET Guideline
G. Interest Rate Derivatives (IRD): Amendments in order to clarify clearing

eligibility for Zero Coupon Inflation Swaps (ZCIS) and Polish Zloty (PLN)-
denominated Interest Rate Derivatives

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Price List of Eurex Clearing AG

As of 03.04.2023
Page 2
Transaction fee* Transaction fee* | Transaction Transaction
for all Repo for GC Pooling fee* for Select | fee* for GC
Transactions Select Invest Finance Repo Pooling CTD
(except GC Repo Transactions Basket
Pooling Select Transactions (except Select Transactions
Invest Repo Finance Repo (including GC
Transactions, Transactions Pooling CTD
Select Finance which also Basket
Repo qualify as GC Transactions
Transactions Pooling CTD which also
and GC Pooling Basket qualify as
CTD Basket Transactions) | Select Finance
Transactions) Repo
Transactions)
ISA Direct na. 0.0038 % p. a. or na. na.
Light License a
Holders minimum fee** of
EUR 15.00,
CHEF 17.00.
GBP 14.00 or
USD 17.00.
respectively
9.0000

In relation to the purchase price of the Front-Leg and the period of time between the starting date for the
Front-Leg (inclusive) and the end date for the Term-Leg of the respective Repo Transaction (exclusive),
such calculation being made on the basis of Act/360.

Per concluded transaction, depending on the currency of the underlying Repo Transaction. No minimum

fee shall be charged for Repo Transactions with a term group marked with the addition “open”.

8 Service Fees Eurex Clearing, Eurex Deutschland, Frankfurt Stock Exchange (FWB)
and Repo Transactions

[el

8.3 General Service Fees
L.]
8.3.5 Service Fees for Master Data Management
[J
Fee per Modification and
Service under C7 Securities Clearing Service Settlement Account
Ll
Cross Cash Marking Netting Flag EUR 100.00
Change of Netting Method (Dual Instruction Netting/Single EUR 100.00
Instruction Netting) —

JOH EO SO OOO SSIS IIIS OIF

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Pri ist of ing At
rice List of Eurex Clearing AG As of 03.04.2023

Page 1

ceeeerenesess eee eeeerenees eran Jobers

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

Repo Transaction Fees

For transactions pursuant to Chapter | Part 1 Number 5.1 of the Clearing Conditions,
Eurex Clearing shall charge fees for the settlement of Repo Transactions and positions:

Transaction fee* | Transaction fee* | Transaction Transaction
for all Repo for GC Pooling fee* for Select | fee* for GC
Transactions Select Invest Finance Repo | Pooling CTD
(except GC Repo Transactions Basket
Pooling Select Transactions (except Select | Transactions
Invest Repo Finance Repo (including GC
Transactions, Transactions Pooling CTD
Select Finance which also Basket
Repo qualify as GC Transactions
Transactions Pooling CTD which also
and GC Pooling Basket qualify as
CTD Basket Transactions) | Select Finance
Transactions) Repo
Transactions)
L-]
ISA Direct na. na. 0.0038 % p. a. 0.02 % p.a. ora
Clearing ora minimum fee**
Members minimum fee** of
of EUR 15.00
EUR 15.00,
CHF 17.00,
GBP 14.00 or
USD 17.00,
respectively

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221123, 10:23 AM Amenaments to the Clearing Conaltuions, tne Price List, the FGM Derault Rules and the FUM Keguiations of Eurex Clearing ...

Attachment 5 to Eurex Clearing Circular 009/23

, Attachment 6 to Eurex Clearing Circular 009/23
_, Attachment 7 to Eurex Clearing Circular 009/23
_, Attachment 8 to Eurex Clearing Circular 009/23
, Attachment 9 to Eurex Clearing Circular 009/23
_, Attachment 10 to Eurex Clearing Circular 009/23
, Attachment 11 to Eurex Clearing Circular 009/23

_, Attachment 12 to Eurex Clearing Circular 009/23

Eurex Eurex Clearing Eurex Repo. EEX 360T Xetra Borse Frankfurt

Clearstream Qontigo

Disclaimer Privacy notice Imprint Eurex Clearing Rules & Regulations

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Sitemap


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FCM Default Rules of Eurex Clearing AG As of 01.05.2023
Page 4
[ed
(ix) If a Hedging Auction Participant provides a winning Mandatory Hedging Bid in a

(xi)

Hedging Auction as determined by Eurex Clearing AG in accordance with the
DM Auction Rules (“Winning Hedging Auction Participant”), the Contributions
of such Winning Hedging Auction Participant shall be partly or fully seniorised
(“Seniorised Hedging Contributions’).

bel

If the applicable Auction Format (as defined in the DM Auction Rules) is “Multi
Unit — Pay as you bid” or “Single Unit — Pay as you bid” in accordance with the
DM Auction Rules, Eurex Clearing AG shall, with respect to any particular
Auction Unit, be obliged to accept the highest valid bid.

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Clearing Conditions of Eurex Clearing AG

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Page 2

(aa) for cash payments in EUR: (i) an account within the payment module at a

[.]

central bank of the Euro system which participates in TARGET2 with its
TARGET2 component system or an account at another central bank which
is not a central bank of the Euro system and, due to a special agreement,
connected to TARGET2 (“RTGS AcceuntDCA’), or (ii) an account with
SECB Swiss Euro Clearing Bank GmbH (“SECB Account”) and an
euroSIC account with SIX Interbank Clearing AG (both accounts jointly the
“euroSIC Account”), or, if it may be evidenced that neither (i)nor (ii) is
possible, (iii) an account with a Correspondent Bank in accordance

with (ee), or, if it may be evidenced that (iii) is not possible, (iv) an account
with a Settlement Bank in accordance with (ff), or, if it may be evidenced
that (iv) is not possible, (v) an account with a bank which maintains an
account with a Settlement Bank in accordance with (gg);

(cc) for cash payments in GBP: (i) an account with a Settlement Bank in

(ff

accordance with (ff), or (ii) an account with a bank which maintains an
account with a Settlement Bank in accordance with (gg)

(any RTGS Account DCA and SIC Account each being referred to as a
“Central Bank Account”); and

The applicant may choose to use an account with a commercial bank
recognized by Eurex Clearing AG (“Settlement Bank”). For cash
payments in EUR, CHF and GBP the following provisions apply:

L.]

(ii) Any payment obligation of the applicant towards Eurex Clearing AG
which may arise under the relevant Clearing Agreement, Standard
Agreement or Transaction shall only be deemed discharged with the
actual credit of the relevant cash amount to the designated TARGET2
account of Eurex Clearing AG, account of Eurex Clearing AG with the
SNB or Bank of England (each an “ECAG Central Bank Account’) or
an account of Eurex Clearing AG with the SIX Interbank Clearing AG
or Swiss Euro Clearing Bank GmbH (each an “ECAG euroSIC
Account”), respectively. Eurex Clearing AG ensures that it will instruct
its Settlement Bank immediately after any cash amount has been
credited to its account with the Settlement Bank to transfer such
amounts to the relevant ECAG Central Bank Account or ECAG
euroSIC Account.

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E. ISA Direct billing: Amendment to the ISA Direct Clearing Agreement

With respect to the ISA Direct offering, Eurex Clearing clarifies that the
majority of the clearing-related fees are always debited from the cash account
of the Clearing Agent, irrespective of whether an ISA Direct Clearing Member
is using an own cash account. These ISA Direct-related fees are included in the
Clearing Agent's invoice.

The Clearing Agents are charged with

the relevant fees from the Price List for their OTC/Repo business (except
for the Clearing License Fee), especially the cash handling and security
collateral handling fees, the fees for Default Fund contributions and the
fees in case of insufficient own funds (Numbers 9.1 to 9.4 of the Price
List) and

the relevant penalties in the Clearing Conditions (e.g. penalty on failure
to pay cash or CSDR penalty).

The ISA Direct Clearing Member will only be charged directly (via their own
account, if relevant direct debit mandate is provided)

@ the Clearing License Fees in Number 1 of the Price List (please note that
the Clearing License Fee is currently waived for ISA Direct Repo), and

@ the Eurex Clearing connection fees (for these fees, money transfer on
the basis of an invoice is also possible).

To reflect this, the following provision shall be amended as outlined in
Attachment 6:

@ Appendix 10 to the Clearing Conditions

F. T2-T2S Consolidation: Amendments based on the new TARGET
Guideline

Eurex Clearing intends to update the Clearing Conditions due to the T2-T2S
Consolidation, taking into account the terminologies in the new TARGET
Guideline of the ECB.

To reflect the changes, the following Chapters and Parts of the Clearing
Conditions will be amended as outlined in Attachments 6 to 10:

Chapter I Part 1 Numbers 1.4.1 to 2.4.1
Chapter II Part 1 and Part 3

Chapter IV Part 2 Number 2.4

Chapter V Part 2 Number 2.2.1
Chapter VIII Part 1 Number 1.7

. a a 2

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(b)

the respective Hedging Auction (the “Residual Hedging Auction Unit
Price”).

The “Hedging Auction Pro Rata Share” of a Non-Bidding Hedging
Auction Participant shall be the ratio of (A) the Residual Hedging Auction
Units for which the Non-Bidding Hedging Auction Participant provided an
invalid or no Mandatory Hedging Bid in the relevant Hedging Auction and
(B) the total number of valid Mandatory Hedging Bids which all Non-
Bidding Hedgign Auction Participants failed to provide in the relevant
Hedging Auction.

If after the offer in accordance with Paragraph (a) Residual Hedging

(c)

Auction Units are still remaining, Eurex Clearing AG may offer any
remaining Residual Hedging Auction Units to each Non-Bidding Hedging
Auction Participant at a price determined by Eurex Clearing AG on the
basis of the then prevailing market conditions.

Ifa Non-Bidding Hedging Auction Participant accepts any offer pursuant to

Paragraph (a) or (b) (each a “Residual Hedging Auction Settlement’), a
DM Hedging Auction shall be established between Eurex Clearing AG and
such Clearing Member based on the economic details agreed between
them. Upon the establishment of the DM Hedging Transaction pursuant to
the preceding sentence, the Contributions of such Clearing Member shall
not be juniorised pursuant to Paragraph (vii) above.

If the Residual Hedging Auction Settlement results in a split of the relevant
DM Auction Transactions in accordance with the relevant Hedging Auction
Pro Rata Share of any Non-Bidding Hedging Auction Participant, Eurex
Clearing AG shall, in its reasonable discretion, be entitled to round up the
Hedging Auction Pro-Rata Share of such Non-Bidding Hedging Auction
Participant and to accordingly allocate DM Hedging Transactions to such
Non-Bidding Hedging Auction Participant as part of the Risidual Hedging
Auction Settlement. If all Non-Bidding Hedging Auction Participants have
accepted the offers submitted by Eurex Clearing AG pursuant to
Paragraphs (a) and (b) and if Eurex Clearing AG is not able to allocate
DM Hedging Transactions to all of such Non-Bidding Hedging Auction
Participants due to the rounding up of any Hedging Auction Pro-Rata
Shares, the Contributions of all Non-Bidding Hedging Auction Participants.
which have accepted an offer, shall not be juniorised pursuant to

Paragraph (vii) above.

Eurex Clearing AG shall use best efforts to find a fair and proportionate
(verhaltnismaBig) distribution of the DM Hedging Transactions between the
relevant Non-Bidding Hedging Auction Participants.

Each Non-Bidding Hedging Auction Participant is required to take all such
steps, to make all further statements and to comply with all such formalities

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[..

]

respective account, which corresponds to these Transaction
Types comprised in the relevant Liquidation Group, and

(v) A Mandatory Participant that does not submit a Mandatory Bid or does not

submit a valid Mandatory Bid for an Auction Unit (in respect of all its capacities
as a Clearing Member and a Clearing Agent, as applicable) during such DM
Auction qualifies with respect to the relevant Liquidation Group, to which the DM
Auction relates, as “CM Non-Bidding Participant”.

(d) Residual Settlement

wd]

(cc) If a CM Non-Bidding Participant accepts any offer under (aa) or (bb)

(each a “Residual Settlement”), a DM Auction Transaction shall be
established between Eurex Clearing AG and such CM Non-Bidding
Participant based on the economic details agreed between them.
Upon the establishment of the DM Auction Transaction pursuant to
the preceding sentence, no contractual penalty pursuant to
Paragraph (a) and (c) above shall be payable by such CM Non-
Bidding Participant, provided that any contractual penalty pursuant to
Paragraph (a) and (c) above which has already been received by
Eurex Clearing AG from such CM Non-Bidding Participant shall not
be re-paid by Eurex Clearing AG.

If the Residual Settlement results in a split of the relevant DM Auction
Transactions in accordance with the relevant Pro Rata Share of any
CM Non-Bidding Participant, Eurex Clearing AG shall, in its
reasonable discretion, be-entitled to-allocaie rumps-to-CM Non-

B 8 e nt-be entitled to
round up the Pro- Rata Share of such cM Non idding Participant and
to accordingly allocate DM Auction Transactions to such CM Non-
Bidding Participant as part of the Risidual Settlement. If all CM Non-
Bidding Participants have accepted the offers submitted by Eurex
Clearing AG pursuant to Paragraphs (aa) and (bb) and if Eurex
Clearing AG is not able to allocate DM Auction Transactions to all of
such CM Non-Bidding Participants due to the rounding up of any Pro-
Rata Share, all CM Non-Bidding Participants, which have accepted an
offer, shall not be obliged to pay a contractual penalty pursuant to

Paragraph (a) and (c) above.

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C. Introduction of a Service Fee for change of Netting Method

Today, if a Clearing Member requests a change in their Master Data, a Service
Fee is charged for the operational effort and is reflected accordingly in the
Price List.

With the migration of the Repo Market to C7 SCS, there is the possibility for
Repo Clearing Members to change the applicable Netting Method from Dual
Instruction Netting Method to Single Instruction Netting Method and vice
versa.

Eurex Clearing will introduce a Service Fee for changing the Netting Method
into the Price List amounting to EUR 100.00.

In this context, the Price List will be amended as outlined in Attachment 2:

Number 8.3.5 of the Price List

D. Default Management: Introduction of Residual Settlement for Default
Management Hedging Auctions and further clarifications - Consultation

Eurex Clearing proposes to introduce a Residual Settlement for Hedging
Auctions in order to harmonize the process with the Default Management
Liquidation Auction.

Mandatory Hedging Auction Participants, who did not provide valid Bids ina
Hedging Auction, are subject to the juniorization of their Default Fund
Contributions. The Residual Settlement process offers such Non-Bidding
Hedging Auction Participants the opportunity to enter into a DM Hedging
Transaction with Eurex Clearing at the highest accepted Hedging Auction
price, thereby avoiding the juniorization of their Contributions to the Default
Fund.

For Default Management Liquidation Auctions and Hedging Auctions, Eurex
Clearing will offer residual units remaining after partially successful Hedging
Auctions to each Non-Bidding Hedging Auction Participant on a pro-rata basis
at the highest accepted Hedging Auction price. Due to the applicable rounding
mechanism, Eurex Clearing may not be able to fill each accepted offer. The
proposed amendments clarify that the Default Fund Contribution will not be
juniorized as long as the offer is accepted by the relevant Non-Bidding
Hedging Auction Participant.

Furthermore, Eurex Clearing proposes some minor changes with regard to the
definition of Mandatory Auction Participants.

To reflect the amendments, the following provisions shall be amended as
outlined in Attachments 3 and 4:

@ Chapter I Part 1 Numbers 7.5.2, 7.5.3 of the Clearing Conditions

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The amendments for topics A., B., C., E. and F. will become effective as of 3
April 2023.

The amendments for topic D. are subject to a consultation process
(Consultation); the Consultation will end upon expiry of 27 March 2023
(Consultation Period). The planned effective date of these amendments is 1
May 2023, depending on the outcome of the Consultation which will be
communicated in a separate Eurex Clearing circular.

2. Required action

Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients, FCM
Clearing Members, vendors and other affected contractual parties should take
the amendments to the Clearing Conditions and FCM Regulations into
consideration.

The amendments to the Clearing Conditions with respect to topic D. are
subject to a Consultation which will end with the expiry of 27 March 2023.

Eurex Clearing herewith invites all Affected Customers to submit comments on
the proposed changes and amendments within the Consultation Period.

3. Details

A. Access of the Trading Surveillance Office of Eurex Deutschland to the
clearing system of Eurex Clearing

The Management Board of Eurex Deutschland may set position limits for
Eurex Transactions to ensure orderly trading. To appropriately monitor
compliance with these position limits, the Trading Surveillance Office of Eurex
Deutschland requires access to the position data of the Trading Participants
held at Eurex Clearing.

To reflect these requirements, the following provisions will be amended as
outlined in Attachment 1:

@ Chapter I Part 1 Number 15.1 of the Clearing Conditions

B. Adjustment of Repo Transaction Fees for ISA Direct Light License
Holders

The Transaction fee for GC Pooling Select Invest Repo Transactions for ISA
Direct Light License Holders will be adjusted to 0.0038% p.a. or Minimum Fee
of EUR 15.00, CHF 17.00, GBP 14.00 or USD 17.00, respectively.

In this context, the following provisions will be amended as outlined in
Attachment 2:

@ Number 5 of the Price List

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2.3

2.3.4

24

2.41

Specific Provisions and additional continuing Obligations for OTC IRS
U.S. Clearing Members

[Ll
Special prerequisites and provisions for OTC IRS U.S. Clearing Members

[.]

(5) Instead of the accounts set out in Number 2.1.2 Paragraph (4) the applicant shall
have available the following accounts (as applicable):

L.]
(b) Cash Accounts:

(aa) for cash payments in Euro: an RTGS Acceunt DCA in respect of payments
relating to its Own Transactions; and

LJ

Specific Provisions for Clearing Agents and ISA Direct Clearing Members

[.]
Special prerequisites in respect of ISA Direct Clearing Members

[.]

(2) With respect to each applicant for an ISA Direct Clearing License, the applicant shall
procure that the following accounts are available (as applicable):

L.]
(b) Cash Accounts:

(aa) for cash payments in Euro: an RTGS Account DCA held by the Clearing
Agent or the ISA Direct Clearing Member in respect of payments relating to
the ISA Direct Transactions of the ISA Direct Clearing Member; and

L.]

(3) A Clearing Member that intends to act as an Indemnifying Clearing Agent pursuant
to Subpart B of the ISA Direct Provisions shall procure that (i) for payments of any
Applicable Indemnity Payment Amount in Euro, an RTGS Account DCA held by it
and (ii) for payments of any Applicable Indemnity Payment Amount in CHF, a SIC
Account held by it are available.

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7.5.3

as may be reasonably required or desirable to perfect or more fully
evidence the Residual Hedging Auction Settlement made.

(ix)_In addition to the Residual Hedging Auction Settlement, eEach Non-Bidding
Hedging Auction Participant shall have the option to partly or fully remedy the
juniorisation of its Contribution pursuant Paragraph (vii) above, by providing the
winning Bid (in accordance with the DM Auction Rules) in DM Auctions to which
the Non-Bidding Hedging Auction Participant was invited by Eurex Clearing AG
as Mandatory Participant (“Remedied Juniorised Hedging Contribution’).

|

(ix) If a Hedging Auction Participant provides a winning Mandatory Hedging Bid in a
Hedging Auction as determined by Eurex Clearing AG in accordance with the
DM Auction Rules (“Winning Hedging Auction Participant”), the Contributions
of such Winning Hedging Auction Participant shall be partly or fully seniorised
(‘Seniorised Hedging Contributions’).

[.

(xi) If the applicable Auction Format (as defined in the DM Auction Rules) is “Multi
Unit — Pay as you bid” or “Single Unit — Pay as you bid in accordance with the
DM Auction Rules, Eurex Clearing AG shall, with respect to any particular
Auction Unit, be obliged to accept the highest valid bid.

Establishment of Transactions by way of independent trades or by conducting
DM Auctions

[J
(3) General Provisions
[.]

(ii) A Mandatory Participant shall be obliged to participate in DM Auctions in
accordance with the DM Auction Rules.

“Mandatory Participant” means each Clearing Member

L-]

(iii) with respect to which within 3 months prior to the relevant Termination, ISA
Direct Clearing Member Termination or FCM Clearing Member
Termination Time at least one Transaction or at least one ISA Direct
Transaction of an ISA Direct Clearing Member (other than an ISA Direct
Indemnified Clearing Member (as-definedin- Subpart B-of the ISA Direct
Provisions}that qualifies as an Affected ISA Direct Clearing Member) of
such Clearing Member (acting as Clearing Agent) has been booked on a

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