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Chapter | Clearing Model Related Provisions

(i)__call for FCM Further Contribution pursuant to Number 3.3 of the FCM Default
Rules,

(ii) terminate and settle in cash DMP Cash Settlement Transactions pursuant to
Number 9.6.1 above,

(iii) establish DM Swap Hedging Transactions, conduct additional DM Swap
Auctions, or establish Additional Swap Transactions pursuant to Number 9.6.2
above, or

(iv) terminate and settle in cash all Transactions of a Relevant Liquidation Group
pursuant to Number 9.6.3 (each a “Refrained Right”

the Resolution Authority shall be entitled to enforce any Refrained Right within 18
months after the CCP is considered to be failing or likely to fail in accordance with
Article 22 of the CCP Recovery and Resolution Regulation, provided that the reasons
for refraining from enforcing the relevant Refrained Right no longer exist. The
Resolution Authority shall notify the FCM Clearing Member three months before
enforcing the relevant Refrained Right. The proceeds from the enforced Refrained
Right shall be used to recover the use of public funds.

16.6.3 Recognition of Resolution Measures

(4)

The FCM Clearing Member agrees to be bound by any Resolution Measure taken b

(2)

the Resolution Authority in respect of the FCM Clearing Member's assets, rights.
obligations and liabilities under the FCM Clearing Agreement and the FCM
Regulations, including the application of Article 28 (position and loss allocation tools),
Article 32 (write down and conversion tool), Article 55 (power to suspend certain
obligations), Article 56 (power to restrict the enforcement of security interests) and
Article 57 (power to temporarily suspend termination rights) of the CCP Recovery
and Resolution Regulation.

“Resolution Measure" means the application of any resolution tool taken by the
Resolution Authority as set out in Article 27 (1) or the exercise of a resolution power
as set out in Articles 48 to 58 of the CCP Recovery and Resolution Regulation.

The FCM Clearing Member further acknowledges that, pursuant to Article 54 of the

CCP Recovery and Resolution Regulation, any Resolution Measure taken by the
Resolution Authority with respect to Eurex Clearing AG does not constitute a Failure
to Pay Event or an Insolvency Event with respect to Eurex Clearing AG pursuant to
Number 11.3 above.

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(iv)_terminate and settle in cash all Transactions of a Relevant Liquidation Group
pursuant to Chapter | Part 1 Number 7.5.4.3 (each a “Refrained Right’).

the Resolution Authority shall be entitled to enforce any Refrained Right within 18
months after the CCP is considered to be failing or likely to fail in accordance with
Article 22 of the CCP Recovery and Resolution Regulation, provided that the reasons
for refraining from enforcing the relevant Refrained Right no longer exist. The
Resolution Authority shall notify the Clearing Member or BCM Clearing Member
three months before enforcing the relevant Refrained Right. The proceeds from the
enforced Refrained Right shall be used to recover the use of public funds.

17.7.3 Recognition of Resolution Measures

(1)_The Clearing Member or Basic Clearing Member agrees to be bound by any
Resolution Measure taken by the Resolution Authority in respect of the Clearing
Member's or Basic Clearing Member's assets, rights, obligations and liabilities under
the Clearing Agreement and the Clearing Conditions, including the application of
Article 28 (position and loss allocation tools), Article 32 (write down and conversion
tool), Article 55 (power to suspend certain obligations), Article 56 (power to restrict
the enforcement of security interests) and Article 57 (power to temporarily suspend
termination rights) of the CCP Recovery and Resolution Requlation.

“Resolution Measure" means the application of any resolution tool taken by the
Resolution Authority as set out in Article 27 (1) or the exercise of a resolution power
as set out in Articles 48 to 58 of the CCP Recovery and Resolution Regulation.

(2) The Clearing Member or the Basic Clearing Member further acknowledges that.
pursuant to Article 54 of the CCP Recovery and Resolution Regulation, an
Resolution Measure taken by the Resolution Authority with respect to Eurex Clearing
AG does not give constitute a Failure to Pay Event or an Insolvency Event with
respect to Eurex Clearing AG pursuant to Chapter | Part 1 Number 9.3 of the

Clearing Condition:

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Chapter | Clearing Model Related Provisions

(c)

(i)__after the occurrence of the FCM Clearing Member Termination Time, the
Clearing Member Termination Time or the Basic Clearing Member
Termination Time, or

(ii) __in case of the occurrence of a Non-Default Loss

Eurex Clearing AG is obliged to pay a Variation Settlement Amount to a (non-
defaulting) FCM Clearing Member with respect to any Swap Transaction
pursuant to Chapter Il Part 2 Number 2.2.1 (5) of the FCM Regulations, the
Resolution Authority is entitled to partly or fully reduce any IRS STM Amount
and any IRS PAA arising from any Swap Transaction, (“Daily Profit

Reduction”

The total Daily Profit Reduction, which is needed to cover any outstanding

(d)

Default Loss incurred by Eurex Clearing AG, shall be shared on a pro-rata basis
between all Clearing Members, Basic Clearing Members and FCM Clearing
Members and shall be proportional to the open amounts Eurex Clearing AG
owes to the relevant Clearing Member, Basic Clearing Member or FCM
Clearing Member.

If the Daily Profit Reductions is used by the Resolution Authority to cover an’

(e)

outstanding Non-Default Loss, it shall only be applied up to a cumulative
amount equal to the FCM Contribution Requirement to the Default Fund of the
relevant FCM Clearing Member.

The total Daily Profit Reduction, which is needed to cover all outstanding Non-
Default Loss incurred by Eurex Clearing AG, shall be shared on a pro-rata basis
between all FCM Clearing Members, Clearing Members and BCM Clearing
Members and shall be proportional to the FCM Contribution Requirement, CM
Contribution Requirement or BCM Contribution Requirement of the relevant
FCM Clearing Member, Clearing Member or Basic Clearing Member.

The Resolution Authority shall inform each affected FCM Clearing Member

ct)

about the exercice of any Daily Profit Reduction without undue delay. If the
Daily Profit Reduction relates to a FCM Client Transaction, the relevant FCM
Clearing Member shall inform any affected FCM Client about the exercice of the
Daily Profit Reduction by the Resolution Authority and the effects of the
exercise for such FCM Clients.

If, after the exercise of the Daily Profits Reduction, the Resolution Authority

determines that the total amount gained through the Daily Profit Reductions
exceeds the amounts needed to cover all Default Losses or Non-Default
Losses, all FCM Clearing Members, Clearing Members and Basic Clearing
Members, which were subject to the Daily Profits Reductions, will be
reimbursed accordingly on a pro-rata basis.

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Clearing Conditions of Eurex Clearing AG

(b) The Resolution Authority shall further be entitled to exercise the following rights
with respect to a Clearing Member or Basic Clearing Member:

(i)__ to terminate and settle in cash DMP Cash Settlement Transactions
pursuant to Chapter | Part 1 Number 7.5.4.1 of the Clearing Conditions;

(ii) _ to establish DM OTC Hedging Transactions, to conduct one or more
additional DM OTC Auctions and to establish Additional OTC Transactions
pursuant to Chapter | Part 1 Number 7.5.4.2 of the Clearing Conditions; or

(ili)_to terminate and settle in cash all Liquidation Group Transactions under a
specific Liquidation Group pursuant to Chapter | Part 1 Number 7.5.4.3 of

the Clearing Conditions.

(c)_ Prior to exercising any rights under Paragraphs (a) and (b) above, the
Resolution Authority shall inform the relevant Clearing Member or Basic
Clearing Member about (i) the date on which such right will be exercised and (ii)
any net amount being payable by or to the relevant Clearing Member or Basic

Clearing Member.

(d) Any net amount being payable by the Clearing Member or Basic Clearing
Member pursuant to Paragraph (a) or (b) shall be provided in accordance with
the daily cash processing pursuant to Chapter | Part 1 Number 1.4.1 of the

Clearing Conditions.

(e) For the avoidance of doubt, if the Clearing Member or Basic Clearing Member is
not able to pay the relevant net amount determined pursuant to Paragraphs (a)
or (b), such non-payment will constitute a Termination Event pursuant to
Chapter | Part 1 Number 7.2.1 (1) of the Clearing Conditions.

(f)__If the Resolution Authority exercised its rights under Paragraph (a) or (b), the
Resolution Authority is entitled to suspend or limit the Clearing of such
Transaction Types with respect of which it has exercised its rights.

( Daily Profits Reduction

The Resolution Authority shall be entitled to exercise Daily Profit Reductions in
accordance with this Paragraph (3) to cover any outstanding Default Loss or Non-
Default Loss.

(a)_This Paragraph (3) applies to Default Losses and Non-Default Losses.

“Default Loss” means any loss incurred by Eurex Clearing AG caused by a
Termination, a Basic Clearing Member Termination or the occurrence of a
termination with respect to a FCM Clearing Member pursuant to the FCM

Clearing Conditions.

“Non-Default Loss” means any loss incurred by Eurex Clearing AG, which
does not qualify as a Default Loss.

b) If

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Default Management Auction Rules

The relevant Disclosed Direct Client, other customer or FCM Client shall qualify as Client

Participant pursuant to this Number 3.4.

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3.4.4

3.4.5

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,
DELETIONS ARE CROSSED OUT.

Participation in DM Auctions

Client Participant

The appointment of the Client Participant can be terminated by the Clearing Member or
FCM Clearing Member at any time. Such termination requires a written notice to Eurex
Clearing AG by the Clearing Member or FCM Clearing Member with a prior notice period
of 30 calendar days.

If BaFin requires Eurex Clearing AG to instruct Clearing Members or FCM Clearing

Members to invite their clients to participate in DM Auctions, DM Bonds Auction or
Hedging Auctions pursuant to Article 18 (1) (1) of the Regulation (EU) 2021/23 dated 16
December 2020 on a framework for the recovery and resolution of central counterparties,
Eurex Clearing AG shall be entitled to instruct the Clearing Member to inform its
Disclosed Direct Clients or any other customer or to instruct the FCM Clearing Member to
inform its FCM Clients about (i) the option to participate in DM Auctions, DM Bonds
Auctions or Hedging Auctions and (ii) the cut-off time, as determined by Eurex Clearing
AG with respect to the relevant DM Auction, DM Bonds Auction or Hedging Auction, until
which the relevant Disclosed Direct Client, other customer or FCM Client has to take the
decision to participate or not to participate (“Client Participation Cut-Off Time’).

The Clearing Member or FCM Clearing Member shall inform the relevant Disclosed Direct

Client, other customer or FCM Client about the fact that, if it is willing to participate in a
DM Auction, DM Bonds Auction or Hedging Auction, it shall contact its Clearing Member
or FCM Clearing Member and Eurex Clearing AG about its willingness to participate prior
to the Client Participation Cut-Off Time.

In such case, the Clearing Member or FCM Clearing Member shall be obliged to submit a

completed Client Participation Appointment Form to Eurex Clearing AG with respect to
such Disclosed Direct Client, other customer or FCM Client.

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Chapter | Clearing Model Related Provisions

(q)_ All claims for damages or any other restitution or compensation claim against
Eurex Clearing AG which may arise in connection with a Daily Profit Reduction
shall be excluded.

(4) Resolution Cash Calls

(a) The Resolution Authority shall be entitled to require from (non-defaulting) FCM
Clearing Members and Clearing Members (pursuant to the Clearing Conditions)
to provide further contributions to the Default Fund in the form of cash
(‘Resolution Cash Calls”) to cover any outstanding Default Loss or Non-
Default Loss.

(b) The Resolution Cash Calls may amount up to twice the applicable FCM
Contribution Requirement of the relevant FCM Clearing Member.

(c)_ The total amount of Resolution Cash Calls, which is needed to cover all
outstanding Default Losses or Non-Default Losses, shall be shared on a pro-
rata basis between all FCM Clearing Members and Clearing Members and shall
be proportional to the FCM Contribution Requirement or the CM Contribution
Requirement of the relevant FCM Clearing Member or Clearing Member.

(d) Notwithstanding Paragraph (1) above, the Resolution Authority is entitled to
exercise Resolution Cash Calls regardless of whether Eurex Clearing AG has or
has not fully exhausted any calls for FCM Further Contribution pursuant to
Number 3.3 of the FCM Default Rules.

(e) Any amount being payable under a Resolution Cash Call by the FCM Clearing
Member shall be provided in accordance with the daily cash processing
ursuant to Number 1.4.1 above.

(f)__For the avoidance of doubt, if the FCM Clearing Member is not able to pa
amount due under a Resoultion Cash Call, such non-payment will constitute a
Termination Event pursuant to Number Number 9.2.1 (1) (a) above.

(g) If, after the exercise of the Resolution Cash Call, the Resolution Authority
determines that the total amount obtained through the Resolution Cash Calls
exceeds the amounts needed to cover all Default Losses or Non-Default
Losses, all FCM Clearing Members and Clearing Members, which were subject
to the Resolution Cash Calls, will be reimbursed accordingly on a pro-rata
basis.

(5) Enforcement of Outstanding Obligations

If the Resolution Authority makes use of resolution measures pursunt to Paragraph
(2) to (5) with respect to a FCM Clearing Member and the Resolution Authority prior
to such resolution measures refrained partially or fully from enforcing the following
rights with respect to a FCM Clearing Member to

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AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

Chapter! General Provisions

17.7.2

General Clearing Provisions

Miscellaneous

General Clearing Provisions in accordance with the CCP Recovery and Resolution
Regulation

Resolution Measures to be taken by the Resolution Authority

(1) General Requirements for Resolution Measures

If BaFin, acting in its capacity as Eurex Clearing AG’s resolution authority within the
meaning of the CCP Recovery and Resolution Regulation (“Resolution Authority’)
determines that all conditions for resolution pursuant to Article 22 (1) of the CCP
Recovery and Resolution Regulation are met, the Resolution Authority is entitled to
take one of the following resolution measures pursunt to Paragraph (2) to (5) with
respect to a Clearing Member or Basic Clearing Member.

(2)_Termination and Cash Settlement

(a) The Resolution Authority shall be entitled to exercise the termination right under
Chapter | Part 1 Number 7 of the Clearing Conditions in connection with
Chapter | Part 2 Subpart A Number 6, Chapter | Part 4 Number 8 and Chapter |
Part 6 Number 10 of the Clearing Conditions with respect to a Clearing Member
or Basic Clearing Member provided that the applicable requirements are met.

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06 Jul 2022
Eurex Clearing

Implementation of Regulatory
Requirements stipulated by the CCP
Recovery and Resolution Regulation
(Regulation (EU) 2021/23) into the Legal
Framework of Eurex Clearing AG

Eurex Clearing Circular 050/22 Implementation of Regulatory

Requirements stipulated by the CCP Recovery and Resolution Regulation
(Regulation (EU) 2021/23) into the Legal Framework of Eurex Clearing AG

1. Introduction

This circular contains information with respect to the service offering of Eurex
Clearing AG and introduces amendments to the Clearing Conditions of Eurex
Clearing AG (Clearing Conditions), the FCM Regulations of Eurex Clearing AG
(FCM Regulations) as well as the Default Management Auction Rules (DM
Auction Rules) regarding the following topic:

¢@ Implementation of the regulatory requirements stipulated by the
European regulation on a framework for the recovery and resolution of
central counterparties (Regulation (EU) 2021/23).

The planned effective date of these amendments is 12 August 2022.
2. Required action

No specific actions are required by clients.

3. Details of the initiative

Regulation (EU) 2021/23 requires Eurex Clearing AG to implement various
provisions into its legal framework to comply with regulatory requirements.

The contemplated amendments attached to this circular intend to implement
the following regulatory requirements:


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(c)_ The total Daily Profit Reduction, which is needed to cover any outstanding
Default Loss incurred by Eurex Clearing AG, shall be shared on a pro-rata basis
between all Clearing Members, Basic Clearing Members and FCM Clearing
Members and shall be proportional to the open amounts Eurex Clearing AG
owes to the relevant Clearing Member, Basic Clearing Member or FCM
Clearing Member.

(d) If the Daily Profit Reductions is used by the Resolution Authority to cover any
outstanding Non-Default Loss, it shall only be applied up to a cumulative
amount equal to the CM Contribution Requirement or the BCM Contribution
Requirement to the Default Fund of the relevant Clearing Member or Basic
Clearing Member.

The total Daily Profit Reduction, which is needed to cover all outstanding Non-
Default Loss incurred by Eurex Clearing AG, shall be shared on a pro-rata basis
between all Clearing Members, Basic Clearing Members and FCM Clearing
Members and shall be proportional to the CM Contribution Requirement, BCM
Contribution Requirement or FCM Contribution Requirement of the relevant
Clearing Member, Basic Clearing Member or FCM Clearing Member.

(e)_ The Resolution Authority shall inform each affected Clearing Member and FCM
Clearing Member about the exercice of any Daily Profit Reduction without
undue delay. If the Daily Profit Reduction relates to a Client-Related
Transaction, the relevant Clearing Member shall inform any affected client
about the exercice of the Daily Profit Reduction by the Resolution Authority and
the eaffects of the exercise for such clients.

(f)__If, after the exercise of the Daily Profits Reduction, the Resolution Authority
determines that the total amount gained through the Daily Profit Reductions
exceeds the amounts needed to cover all Default Losses or Non-Default
Losses, all Clearing Members, Basic Clearing Members and FCM Clearing
Members, which were subject to the Daily Profits Reductions, will be
reimbursed accordingly on a pro-rata basis.

(q) All claims for unjust enrichment (ungerechtfertigte Bereicherung) or any other
restitution or compensation claim against Eurex Clearing AG which may arise in
connection with a Daily Profit Reduction shall be excluded.

(4) Resolution Cash Calls

(a)_The Resolution Authority shall be entitled to require from (non-defaulting)
Clearing Members and FCM Clearing Members (pursuant to the FCM Clearing
Conditions) to provide further contributions to the Default Fund in the form of
cash (“Resolution Cash Calls") to cover any outstanding Default Loss or Non-
Default Loss.

(b)_ The Resolution Cash Calls may amount up to twice the applicable Contribution
Requirement of the relevant Clearing Member.

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(i)__ after the occurrence of the Termination Time, the Basic Clearing Member
Termination Time or the FCM Clearing Member Termination Time, or

(ii)__in case of the occurrence of a Non-Default Loss

the following occurs:

(a) Eurex Clearing AG is obliged to pay a STM VM Amount to a (non-
defaulting) Clearing Member with respect to any Eurex Transaction
pursuant to Chapter || Part 1 Number 1.2.5 of the Clearing Conditions.

(b)_ Eurex Clearing AG is Variation Margin Provider or Basic Clearing Member
Variation Margin Provider and the (non-defaulting) Clearing Member is
Variation Margin Taker or the (non-defaulting) Basic Clearing Member is
Basic Clearing Member Variation Margin Taker with respect to any CTM
Interest Rate Derivative Transaction pursuant to Chapter VIII Part 2 of the
Clearing Conditions.

(c) Eurex Clearing AG is obliged to pay an IRS STM Amount to a (non-
defaulting) Clearing Member or (non-defaulting) Basic Clearing Member
with respect to any STM Interest Rate Derivative Transaction pursuant to
Chapter Vill Part 2 Number 2.2.1 (5) of the Clearing Conditions.

(d) Eurex Clearing AG is Variation Margin Provider and the (non-defaulting)
Clearing Member is Variation Margin Taker with respect to any CTM NDF
‘Transaction pursuant to Chapter VIII Part 5 of the Clearing Conditions,

(e) Eurex Clearing AG is obliged to pay a NDF STM Amount to a (non-
defaulting) Clearing Member with respect to any STM NDF Transaction
pursuant to Chapter VIII Part 4 Number 4.2.1 (5) of the Clearing
Conditions,

the Resolution Authority is entitled to

(A) _in case of Paragraph (a), partly or fully reduce any STM VM Amount
arising from any Eurex Transaction,

(B)_in case of Paragraph (b), partly or fully reduce (i) any Variation Margin
Requirement or Basic Clearing Member Variation Margin Requirement and

ji) any PAL

(C)_in case of Paragraph (c), partly or fully reduce any IRS STM Amount and
any IRS PAA arising from any STM Interest Rate Derivative Transaction,

(D)_in case of Paragraph (d), partly or fully reduce (i) any Variation Margin
Requirement and (ii) any NDF PAI arising from any CTM NDF Transaction,

(E)_in case of Paragraph (e), parlty or fully reduce any NDF STM Amount and
any NDF PAA arising from any STM NDG Transaction

(each reduction under Paragraphs (A) to (E), a “Daily Profit Reduction’).

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Chapter | of the Clearing Conditions of Eurex Clearing AG

General Provisions

As of 12.08.2022

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Business Days after publication. Any ordinary right of Eurex Clearing to
terminate the respective contract (including a Clearing Agreement or a FCM
Clearing Agreement, if applicable) shall remain unaffected.

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:

Attachment 1 - Amendments to the DM Auction Rules
Attachment 2 - Amendments to the Clearing Conditions
Attachment 3 - Amendments to the FCM Regulations

Further information

Recipients: All Clearing Members, Basic Clearing Members, Disclosed Direct
Clients and FCM Clearing Members of Eurex Clearing AG, vendors
and other affected contractual parties

Target Front Office/Trading, Middle + Backoffice, IT/System
groups: Administration, Auditing/Security Coordination
Contact: client.services@eurex.com
Web: www.eurex.com/ec-en/
futhorized Dmitrij Senko

yy:

Further information

, Attachment 1 to Eurex Clearing circular 050/22
, Attachment 2 to Eurex Clearing circular 050/22

, Attachment 3 to Eurex Clearing circular 050/22


Chapter I: Clearing Model Related Provisions

FCM Regulations of Eurex Clearing AG

As of 12.08.2022

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Chapter | Clearing Model Related Provisions

(b)_ The Resolution Authority shall further be entitled to exercise the following rights
with respect to a Clearing Member or Basic Clearing Member:

(i)__ to terminate and settle in cash DMP Cash Settlement Transactions
pursuant to Number 9.6.1 above;

(ii) _ to establish DM Swap Hedging Transactions, to conduct one or more
additional DM Swap Auctions and to establish Additional Swap
Transactions pursuant to Number 9.6.2 above; or

(iii)_to terminate and settle in cash all Liquidation Group Transactions under a
specific Liquidation Group pursuant to Number 9.6.3 above.

(c) Prior to exercising any rights under Paragraphs (a) and (b) above, the
Resolution Authority shall inform the relevant FCM Clearing Member about (i)
the date on which such right will be exercised and (ii) any net amount being
payable by or to the relevant FCM Clearing Member.

(d)_ Any net amount being payable by the FCM Clearing Member pursuant to
Paragraph (a) or (b) shall be provided in accordance with the daily cash
processing pursuant to Number 1.4.1 above.

(e) For the avoidance of doubt, if the FCM Clearing Member is not able to pay the
relevant net amount determined pursuant to Paragraphs (a) or (b), such non-
payment will constitute a Termination Event pursuant to Number 9.2.1 (1) (a)
above.

(f)__ If the Resolution Authority exercised its rights under Paragraph (a) or (b), the
Resolution Authority is entitled to suspend or limit the clearing of Swap
‘Transactions with respect of which it has exercised its rights.

3) Daily Profits Reduction

The Resolution Authority shall be entitled to exercise Daily Profit Reductions in
accordance with this Paragraph (3) to cover any outstanding Default Loss or Non-
Default Loss.

(a) This Paragraph (3) applies to Default Losses and Non-Default Losses.

“Default Loss” means any loss incurred by Eurex Clearing AG caused by the
occurrence of a termination with respect to a FCM Clearing Member, a Clearing
Member Termination or a Basic Clearing Member Termination pursuant to the
Clearing Conditions.

“Non-Default Loss” means any loss incurred by Eurex Clearing AG, which
does not qualify as a Default Loss.

b) If

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The total amount needed to cover Eurex Clearing AGS losses will be shared
between all Clearing Members on a pro-rata basis.

e) Resolution Cash Calls (Article 31 of Regulation (EU) 2021/23)

Pursuant to Article 31 of the Regulation (EU) 2021/23, Eurex Clearing AG is
required to implement provisions in its rulebooks, which entitle BaFin, acting
in its capacity as Eurex Clearing AG’s resolution authority, to require the non-
defaulting Clearing Members and FCM Clearing Members to provide further
contributions to the Default Fund in the form of cash (Resolution Cash Calls) to
cover any outstanding default loss or non-default loss.

The Resolution Cash Calls may amount up to twice the applicable Contribution
Requirement of the relevant Clearing Member.

f) Recognition of Resolution Measures (Article 53 (2) of Regulation (EU)
2021/23)

Furthermore, according to Article 53 (2) of the Regulation (EU) 2021/23, Eurex
Clearing AG is required to implement provisions in its rulebooks pursuant to
which the Clearing Members and FCM Clearing Members agree to be bound
by any resolution tool taken by BaFin, acting in its capacity as Eurex Clearing
AG's resolution authority, in respect to the Clearing Member’s, Basic Clearing
Member's or FCM Clearing Member's assets, rights, obligations and liabilities
under Clearing Conditions or FCM Regulations, including the application of
Article 28 (position and loss allocation tools), Article 32 (write down and
conversion tool), Article 55 (power to suspend certain obligations), Article 56
(power to restrict the enforcement of security interests) and Article 57 (power
to temporarily suspend termination rights) of the Regulation (EU) 2021/23.

To reflect the proposed changes, the following provisions will be added as
outlined in Attachments 1 to 3:

® Attachment 1: Number 3.4.5 of the DM Auction Rules
Attachment 2: Chapter I Part 1 Number 17.7.2 of the Clearing Conditions
@ Attachment 3: Chapter I Number 16.6.2 of the FCM Regulations

Publication of amendments to the Clearing Conditions

As of the effective date, the full versions of the amended DM Auction Rules,
Clearing Conditions and the FCM Regulations will be available for download on
the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

Rules & Regs > Eurex Clearing Rules and Regulations

The changes and amendments to the DM Auction Rules, Clearing Conditions
and FCM Regulations published by this circular are deemed accepted by each
affected contractual party of Eurex Clearing, unless the respective contractual
party objects by written notice to Eurex Clearing within the first ten (10)


a) Client Participation in Auctions (Article 18 (1) Regulation (EU) 2021/23)

Pursuant to Article 18 (1) of the Regulation, BaFin, acting in its capacity as
Eurex Clearing AG’s resolution authority may require Eurex Clearing AG to
instruct Clearing Members to invite their clients to participate directly in
default management auctions organized by the CCP when the nature of the
auction justifies this exceptional participation.

Upon request of Eurex Clearing AG, Clearing Members shall inform their
clients about the option to participate in a Default Management auction (DM
Auction, DM Bonds Auction or Hedging Auction) following the instructions
received from the CCP.

Alternatively, Eurex Clearing AG may directly inform any Disclosed Direct Client
or FCM Client, if Eurex Clearing AG deems the participation as appropriate.

b) Enforcement of Outstanding Obligations (Article 27 (5) of Regulation
(EU) 2021/23)

If BaFin, acting in its capacity as Eurex Clearing AG’s resolution authority,
makes use of one or more resolution measures and if BaFin prior to such
resolution measures refrained partially or fully from enforcing certain rights
under the Clearing Conditions or FCM Regulations (i.e. to call for Further
Contributions, Further BCM Contributions or Further FCM Clearing Member
Contributions, to exercise its cash settlement rights (partial tear-up)), BaFin
shall be entitled to enforce any of such refrained rights within 18 months after
the CCP is considered to be failing or likely to fail.

c) Termination Right for Resolution Authorities of Eurex Clearing (Article
29 of Regulation (EU) 2021/23)

Article 29 of the Regulation (EU) 2021/23 requires a CCP to implement
provisions in its rulebooks, which entitle BaFin, acting in its capacity as Eurex
Clearing AG's resolution authority, to terminate some or all of the following
contracts under resolution: (i) contracts with the Clearing Member in default;
(ii) contracts of the affected clearing service or asset class; (iii) the other
contracts of the CCP under resolution.

d) Resolution “Variation Margin Gains Haircutting” (VMGH) (Article 30 of
Regulation (EU) 2021/23)

Pursuant to Article 30 of the Regulation (EU) 2021/23, Eurex Clearing AG is
required to implement provisions in its rulebooks, which entitle BaFin, acting
in its capacity as Eurex Clearing AG’s resolution authority, to reduce the daily
profits non-defaulting Clearing Members and FCM Clearing Members will
receive from cleared Transactions which foresee daily Variation Margin or
Settled-to-Market (STM) Amount payments after the occurrence of a
Termination with respect to a Clearing Member or FCM Clearing Member
(Variation Margin Gains Haircutting - VMGH).


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Clearing Conditions of Eurex Clearing AG

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(c)_The total amount of Resolution Cash Calls, which is needed to cover all
outstanding Default Losses or Non-Default Losses, shall be shared on a pro-
fata basis between all Clearing Members and FCM Clearing Members and shall
be proportional to the Contribution Requirement of the relevant Clearing
Member or FCM Clearing Member.

For the avoidance of doubt, when determining the amount of a Resolution Cash
Call with respect to a Clearing Member, any Contribution such Clearing Member
provided with respect to all Basic Clearing Member Transactions under all Basic
Clearing Member Standard Agreements with respect to which such Clearing
Member acted in its capacity as Clearing Agent, shall be considered in the
calculation.

(d)_ Notwithstanding Paragraph (1) above, the Resolution Authority is entitled to
exercise Resolution Cash Calls regardless of whether Eurex Clearing AG has or
has not fully exhausted any calls for Further Contribution pursuant to Chapter |
Part 1 Number 6.3 of the Clearing Conditions.

(e) Any amount being payable under a Resolution Cash Call by the Clearing
Member shall be provided in accordance with the daily cash processing
pursuant to Chapter | Part 1 Number 1.4.1 of the Clearing Conditions.

(f)__ For the avoidance of doubt, if the Clearing Member is not able to pay amount
due under a Resoultion Cash Call, such non-payment will constitute a
Termination Event pursuant to Chapter | Part 1 Number 7.2.1 (1) of the Clearing
Conditions.

(gq) If, after the exercise of the Resolution Cash Call, the Resolution Authority
determines that the total amount obtained through the Resolution Cash Calls
exceeds the amounts needed to cover all Default Losses or Non-Default
Losses, all Clearing Members and FCM Clearing Members, which were subject
to the Resolution Cash Calls, will be reimbursed accordingly on a pro-rata
basis.

(5) Enforcement of Outstanding Obligations

If the Resolution Authority makes use of resolution measures pursunt to Paragraph
(2) to (5) with respect to a Clearing Member and the Resolution Authority prior to
such resolution measures refrained partially or fully from enforcing the following
rights with respect to a Clearing Member or BCM Clearing Member to

(i) call for Further Contribution or Further BCM Contribution pursuant to Chapter |
Part 1 Number 6.3,

(ii)__ terminate and settle in cash DMP Cash Settlement Transactions pursuant to
Chapter | Part 1 Number 7.5.4.1

(iii) establish DM OTC Hedging Transactions, conduct additional DM OTC Auctions,
or establish Additional OTC Transactions pursuant to Chapter | Part 1 Number
7.5.4.2, or

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FCM Regulations of Eurex Clearing AG As of 12.08.2022

Page 2

Chapter | Clearing Model Related Provisions

Chapter I

Led

16
Led

16.6

16.6.1

16.6.2

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,
DELETIONS ARE CROSSED OUT.

Clearing Model Related Provisions

Miscellaneous

General Clearing Provisions in accordance with the CCP Recovery and Resolution
Regulation

Deviating Decisions (Article 9 (6) of the CCP Recovery and Resolution Regulation

(iii) closely monitor the relevant situation and notify BaFin about any new
developments in this regard.

Resolution Measures to be taken by the Resolution Authority

(1) General Requirements for Resolution Measures

If BaFin, acting in its capacity as Eurex Clearing AG's resolution authority within the
meaning of the CCP Recovery and Resolution Regulation (“Resolution Authority’).
determines that all conditions for resolution pursuant to Article 22 (1) of the CCP
Recovery and Resolution Regulation are met, the Resolution Authority is entitled to
take one of the following resolution measures pursunt to Paragraph (2) to (5) with
respect to the FCM Clearing Member.

(2) Termination and Cash Settlement

(a) The Resolution Authority shall be entitled to exercise the termination right under
Number 9 above provided that the applicable requirements are met.

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