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Page 2

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

Lol

Part 2 Clearing of Interest Rate Derivative Transactions

21

[1

2.1.5 Novation Criteria and Process Regarding Interest Rate Derivative Transactions
Ll

2.1.5.1 Specific Novation Criteria and Terms for Swap Transactions

L.]

(2) Currencies
The currency must be
(i) for IRS (excluding basis swaps): EUR, WSB; DKK, SEK, NOK or PLN;
[Le]

Ll

(4) Maximum remaining term

The remaining term of the Interest Rate Derivative Transaction from the date of
novation to the termination date must be

(a) in case of IRS (excluding basis swaps

(i) for Original OTC Transactions in EUR, no more than 61 years
(22,335 calendar days);

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Recipients: All Clearing Members, ISA Direct Clearing Members, Disclosed
Direct Clients and FCM Clearing Members of Eurex Clearing AG,
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

Related Eurex Clearing Circular 022/21

circular:

Related Eurex Clearing Readiness Newsflash from 22 September 2022
Newsflash:

Web: Support > Technology > EurexOTC Clear

Authorized Dmitrij Senko

by:

Further information

, Attachment 1 to Eurex Clearing Circular 017/23
, Attachment 2 to Eurex Clearing Circular 017/23

, Attachment 3 to Eurex Clearing Circular 017/23

Eurex Eurex Clearing Eurex Repo EEX 360T Xetra Bérse Frankfurt

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Page 6

Led
(b) for OIS

Ll

(ii) between 1 and 2 Business Days for the legs referencing USD-SOFR-OIS
Compound, USD-Federal Funds-OIS Compound, -EUR-EuroSTR-OIS
Compound, JPY-TONA-OIS Compound,

L.]
(14) Business Days

[el

(b) Atleast the specification of the following financial center(s) and/or terms is
mandatory for the Interest Rate Derivative Transaction, further financial
center(s) and/or terms may be added optionally as set out in limb (a):

Referenced floating FpML code of the mandatory financial center(s)
rate index and/or terms
For Payment For Effective For Fixing Days
Date Date,
Termination
Date
USD-LIBOR-BBA USNY, USNY. GBLO
L.]
L.]
[1
Jebinneiniinie ie
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Page 4

under IRS (excluding basis swaps) in SEK the maximum length for long Interest
Rate Stub Periods is foursix months.

(c) For IRS floating payments, the floating rates for Interest Rate Stub Periods must
be specified in the Trade Record submitted via the ATS as follows:

|

(bb) if a floating rate index tenor is specified, which is used for the fixing in
respect of the Interest Rate Stub Period, the respective tenors. The
following tenors (W = week(s), M = month(s), Y = year) are eligible:

vii thi y-is- USD-and_the termination date is bef
04.40.2024: 4W_4M_2M_3M_6M-i th is USD-and

L.]
(8a) Floating Rate Options

For IRS, OIS, FRA, the following Floating Rate Options are eligible (where
applicable, the relevant Designated Maturity needs to be specified) subject to further
provisions:

(a) EUR-EURIBOR (also referred to as EUR-EURIBOR-Reuters);
fH JSB-LBOR tase tered ds ISE-LBOR-BBAL

(eb) USD-Federal Funds-OIS Compound (also referred to as USD-Federal Funds-
H.15-OlS-COMPOUND);

(dc) JPY-TONA-OIS Compound (also referred to as JPY-TONA-OIS-COMPOUND);
(ed) GBP-SONIA-OIS Compound (also referred to as GBP-SONIA-COMPOUND);
(fe) NOK-NIBOR (also referred to as NOK-NIBOR-OIBOR; NOK-NIBOR-NIBR);
(gf) SEK-STIBOR (also referred to as SEK-STIBOR-SIDE);

(Ag) DKK-CIBOR (also referred to as DKK-CIBOR-DKNA13);
DKK-CIBOR2 (also referred to as DKK-CIBOR2-DKNA13);

(ih) PLN-WIBOR (also referred to as PLN-WIBOR-WIBO);

(ji) CHF-SARON-OIS Compound (also referred to as CHF-SARON-OIS-
COMPOUND);

{kj) EUR-EuroSTR-OIS Compound (also referred to as EUR-EuroSTR-
COMPOUND);

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Chapter VIII of the Clearing Conditions of Eurex Clearing AG

Clearing of OTC Interest Rate Derivative
Transactions, and OTC NDF Transactions

As of 24.04.2023

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Clearstream Qontigo

Disclaimer Privacy notice Imprint Eurex Clearing Rules & Regulations Sitemap
Cookie Settings

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BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. ("BFLP"). ISDA is a trademark and service
mark of the International Swaps and Derivatives Association, Inc. ("ISDA"). Bloomberg Index Services Limited ("BISL"
and, collectively with BFLP and their affiliates, "Bloomberg") maintains and calculates the ‘fallback’ data comprising the
‘all in’ fallback rates and their component parts, the adjusted ‘risk-free’ reference rates and the spread adjustment
(collectively with any other data or information relating thereto or contained therein, the “Fallback Data") under an
engagement between BISL and ISDA. Neither Bloomberg nor ISDA guarantees the timeliness, accurateness,
completeness of, or fitness for a particular purpose with respect to, the Fallback Data and each shall have no liability in
connection with the Fallback Data. Without limiting the foregoing, neither Bloomberg nor ISDA makes any
representations regarding whether the Fallback Data would be appropriate for derivative or non-derivative financial
instruments, including derivatives transacted outside of standard ISDA documentation and related protocols. Market
participants are encouraged to consider and analyze the details of the Fallback Data and determine independently
whether they would be appropriate for any such use.

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Page 3

(iii) for Original OTC Transactions in DKK, NOK or SEK, no more than 31
years (11,375 calendar days); and

(iii¥) for Original OTC Transactions in PLN, no more than 16 years (5,871
calendar days),

b) in case of basis swaps

(i) for Original OTC Transactions in EUR, no more than 61 years (22,335
calendar days);

(ii) _ for Original OTC Transactions in USD, no more than 51 years (18,675
calendar days);

(iii) _for Original OTC Transactions in DKK or NOK, no more than 31 years
11,375 calendar days); and

(iv) _for Original OTC Transactions in PLN, no more than 16 years (5,871
calendar days).

(bc) in case of OIS,

bel

(ed) in case of FRA, for Original OTC Transactions in EUR, USB; DKK, NOK, PLN
or SEK, no more than 3 years (1,225 calendar days);previded however_in-case

fter-04.04.2023; and

(de) in case of ZCIS,

(5) Minimum remaining term

[.]

In case of FRA which are settled in advance or in arrears, the minimum period
between the date of novation and the payment date must be at least one Business
Day for EUR-USB-and PLN and two Business Days for DKK, NOK and SEK.

(b) The minimum period length of short Interest Rate Stub Periods is one day. The
maximum period length for long Interest Rate Stub Periods for both, fixed rate
payments under IRS in any eligible currency, and OIS is not restricted. The
maximum period length for long Interest Rate Stub Periods is one year and one
month for floating rate payments under IRS (including basis swaps) in EUR_and
under basis swaps in USD. For floating rate payments under IRS (including
basis swaps) in USD; DKK, NOK and PLN, the maximum length for long
Interest Rate Stub Periods is seven months and for floating rate payments

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22 Mar 2023
Eurex Clearing

EurexOTC Clear: Amendments to the
Clearing Conditions and FCM Regulations
of Eurex Clearing AG related to USD
LIBOR Trade Conversion

Eurex Clearing Circular 017/23 EurexOTC Clear: Amendments to the
Clearing Conditions and FCM Regulations of Eurex Clearing AG related to
USD LIBOR Trade Conversion

1. Introduction

This circular contains information with respect to amendments to the Clearing
Conditions of Eurex Clearing AG (Clearing Conditions) and the FCM
Regulations of Eurex Clearing AG (FCM Regulations) regarding the EurexOTC
Clear conversion of cleared OTC transactions referencing the USD LIBOR
index.

The amendments to the Clearing Conditions and FCM Regulations will come
into effect as of 24 April 2023.

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.

3. Details of the initiative

As announced in Eurex Clearing Circular 022/21 and Eurex Clearing Newsflash
from 22 September 2022, Eurex Clearing will actively convert the remaining
cleared legacy USD LIBOR-based Interest Rate Swaps (IRS) and basis swap
trades to standard and liquid SOFR Overnight Index Swap (OIS) trades before
the fallback provisions are triggered.

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(b) Atleast the specification of the following financial center(s) and/or terms is
mandatory for the OTC Interest Rate Derivative Transaction, further financial
center(s) and/or terms may be added optionally as set out in limb (a):

Referenced floating FpML code of the mandatory financial center(s)
rate index and/or terms
For Payment For Effective For Fixing
Dates Date, Dates
Termination
Date
USD-LBOR-BBA USNY. USNY GBLO
EUR-EURIBOR- EUTA EUTA EUTA
Reuters
[J
|
Led
peereeecereveerceceetcccersts
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(ik) USD-SOFR-OIS Compound (also referred to as USD-SOFR-COMPOUND).
[Lo]
Ll
(8d) Fixing Day offset
A Fixing Day offset may be specified in the limits of the following parameters:
[J
(b) for IRS: -10 to 0 Business Days
For basis swaps: for the floating leg referencing
(A): EUR-EURIBOR,-USB-LIBOR: -10 to 0 Business Days; and
L.]
(c) for FRAs:
(i) where settlement in advance is specified, for the floating leg referencing
Ll
(B) EUR-EURIBOR, ¥SD-LBOR,-PLN-WIBOR: -10 to -1 Business Days;
Ll
L.]
(9a) Delayed Payments

Delayed Payments (also called payment lags or payment offsets and which shall be
interpreted in accordance with Section 3.1.9 of the 2021 ISDA Definitions) may be
specified within the following parameters:

(a) for IRS:

(i) between 0 and 2 Business Days for legs referencing USD-LIBOR,-EUR-
EURIBOR, DKK-CIBOR, SEK-STIBOR, NOK-NIBOR, PLN-WIBOR,

(ii) between 1 and 2 Business Days for legs referencing USD-SOFR-OIS
Compound, USD-Federal Funds-OIS Compound, EUR-EuroSTR-OIS
Compound, GBP-SONIA-OIS Compound, JPY-TONA-OIS Compound,

L.]

(14) Business Days

[el

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Clearing Conditions of Eurex Clearing AG

Eurex04e
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Page 2

[J
Part 2

24
Lol

2.1.5

2.1.5.1

IES SSIES SSSI SISSIES ISSN ISIS IIE IIA

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

TESS SISSIES SISSIES IIIS ISIS S IIIS III IA EIS II IIIA

Clearing of OTC Interest Rate Derivative Transactions

General Provisions

Novation Criteria and Process Regarding OTC Interest Rate Derivative
Transactions

L.]

Transaction Type Specific Novation Criteria and Terms for OTC Interest Rate
Derivative Transactions

L.]

(2) Currencies
The currency must be
(i) for IRS (excluding basis swaps): EUR, USB, DKK, SEK, NOK or PLN;
[el

[ed

(4) Maximum remaining term / Termination Date

The remaining term of the OTC Interest Rate Derivative Transaction from the date of

novation to the Termination Date must be

(a) in case of IRS (excluding basis swaps),

(i) for Original OTC Transactions in EUR, no more than 61 years (22,335
calendar days);

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booklet explaining the LIBOR conversion from an operational and
methodological perspective. The booklet is available in the Member Section of
Deutsche Borse Group under the following path:

Resources > Eurex Clearing > Documentation and Files > Benchmark Transition
Information > LIBOR Trade conversions

Further, as of 24 April 2023, OTC transactions with a floating rate referencing
to USD LIBOR will no longer be eligible for the EurexOTC Clear service.

To reflect the change of eligibility, the following provisions will be amended as
outlined in Attachment 1 and 2 together with a minor editorial change:

@ Chapter VIII Part 2 Number 2.1.5.1 of the Clearing Conditions
® Chapter II Part 2 Number 2.1.5.1 of the FCM Regulations

As of the effective date, the full versions of the Clearing Conditions and 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 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:

1. Amended section of Chapter VIII of the Clearing Conditions
2. Amended section of Chapter II of the FCM Regulations
3. Bloomberg Disclaimer

Further information

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(iii) for Original Swap Transactions in DKK, NOK or SEK, no more than
31 years (11,375 calendar days); and

(liv) for Original Swap Transactions in PLN, no more than 16 years (5,871
calendar days),

b) in case of basis swaps,

(i) for Original OTC Transactions in EUR, no more than 61 years

22,335 calendar days);

(ii) __for Original Swap Transactions in USD, no more than 51 years
18,675 calendar days);

(ili)_for Original Swap Transactions in DKK or NOK no more than 31 years
11,375 calendar days); and

(iv) _for Original Swap Transactions in PLN, no more than 16 years (5,871

calendar days).
(bc) in case of OIS,
Ll

(ed) in case of FRA, for Original Swap Transactions in EUR,WSB; DKK, NOK, PLN
or SEK, no more than 3 years (1,225 calendar days).;providedhoweverin

dat tnot-bi fter-04.04.202

(de) in case of ZCIS,

(5) Minimum remaining term

[.]

In case of FRA which are settled in advance or in arrears, the minimum period
between the date of novation and the payment date must be at least one Business
Day for EUR-USD-and PLN and two Business Days for DKK, NOK and SEK.

(7) Shortened or extended calculation period (stub period)

[el

(b) The minimum period length of short Interest Rate Stub Periods is one day. The
maximum period length for long Interest Rate Stub Periods for both, fixed rate
payments under IRS in any eligible currency, and OIS is not restricted. The

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(Ag) DKK-CIBOR (also referred to as DKK-CIBOR-DKNA13);
DKK-CIBOR2 (also referred to as DKK-CIBOR2-DKNA13);

(ih) PLN-WIBOR (also referred to as PLN-WIBOR-WIBO);

(ji) CHF-SARON-OIS Compound (also referred to as CHF-SARON-OIS-
COMPOUND);

(ki) EUR-EuroSTR-OIS Compound (also referred to as EUR-EuroSTR-
COMPOUND);

(Ik) USD-SOFR-OIS Compound (also referred to as USD-SOFR-COMPOUND);

[.]
(8d) Fixing Day offset
[J
(b) for IRS: -10 to 0 Business Days
For basis swaps: for the floating leg referencing
(A): EUR-EURIBOR-USD-LIBOR: -10 to 0 Business Days; and
[-J
(c) for FRAs:
(i) where settlement in advance is specified, for the floating leg referencing
[.]

(B)EUR-EURIBOR, USD-LIBOR,PLN-WIBOR: -10 to -1 Business Days;

(9a) Delayed Payments.

Delayed Payments (also called payment lags or payment offsets and which shall be
interpreted in accordance with Section 3.1.9 of the 2021 ISDA Definitions) may be
specified within the following parameters:

(a) for IRS:

(i) between 0 and 2 Business Days for legs referencing USD-LIBOR-EUR-
EURIBOR, DKK-CIBOR, SEK-STIBOR, NOK-NIBOR, PLN-WIBOR,

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3122123, 8:22 AM

Tenor

1M

EurexU IU Clear: Amenamenis to the Clearing Conaitons and FUM Kegulations of turex Clearing AG related t0 USU LIBUR..

usD
0,11448%

3M

0,26161%

6M

0,42826%
Eurex Clearing does not have any outstanding

transactions referencing the 12M USD LIBOR index.

Treatment of fixed leg

The terms and conditions of the fixed leg of the amended trade are preserved
from the original USD LIBOR trade.

Cash compensation

A one-off cash compensation on trade level is introduced and carried out by
Eurex Clearing as calculation agent to mitigate the associated residual change
in net present value between the LIBOR trade and the amended trade.

Treatment of irregular periods

Irregular stub periods having linear interpolation specified are calculated
compounding SOFR over the length of the calculation period and adding a
spread adjustment. This spread is not calculated by interpolating between the
Bloomberg spreads for the tenors which are next shorter and next longer than
the length of the calculation period, but reflect the spread adjustment
associated with the regular tenor of the floating leg. The value transfer caused
by the divergence with the treatment specified in the ISDA fallback provision is
included in the cash compensation.

Pre- and post-conversion trade specification

In order to preserve fixings and settlements as well as the fixed leg cash flows
in all trade type cases, the amended trade might comprise more than one
individual replacement trade. In case of a conversion of an interest rate swap,
it comprises three individual replacement trades. In case of a LIBOR basis
swap having no compounding, it comprises one replacement trade. Notable
exception of the conversion mechanism is the treatment of LIBOR basis swaps
having compounding specified on at least one leg. Such swaps will be
terminated on the conversion weekend with a termination fee equal to the net
present value of the trade and no replacement trade.

Libor fixings before cessation

The amended trade will preserve USD LIBOR coupons that have a fixing but
have not settled yet as well as USD LIBOR coupons that have a fixing after the
operational conversion but before the USD LIBOR cessation date of 30 June

2023.

For more information, please refer to Eurex Clearing Readiness Newsflash
from 22 September 2022 and to the detailed USD LIBOR trade conversion

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3122123, 8:22 AM Eurex IG Ulear: Amenaments to tne Clearing Conaitons and HUM Kegulations of Eurex Clearing AG related 10 USU LIBUR..

Forward Rate Agreements (FRAs) are out of scope for this transition as Eurex
Clearing does not have any outstanding FRA transactions referencing USD
LIBOR and with Eurex Clearing Circular 022/21, the clearing eligibility of FRAs
referencing USD LIBOR with an expiry on or after 1 April 2023 was revoked.

It is planned to execute the conversion of such EurexOTC Clear trades starting
on 21 April 2023 and executed over that weekend.

In this regard, this Eurex Clearing Circular shall be an announcement of the
referred Index Conversion pursuant to Chapter VIII Part 1 Number 1.8.4 of the
Clearing Conditions and Chapter II Part 1 Number 1.8.4 of the FCM
Regulations.

The conversion will be mandatory for all cleared OTC transactions referencing
the USD LIBOR floating rates on the above-mentioned date. It will be effective
as soon as it is reflected in Eurex Clearing’s systems. Eurex Clearing will legally
reflect the conversion as an amendment of the relevant transactions by
replacing the references to USD LIBOR floating rates with the SOFR index
underlying its fallback.

The cornerstones of the conversion are as follows:
Operational form of the conversion

The conversion will be executed as a termination of each original (LIBOR)
trade and a novation of one or more replacement trades for each original
(LIBOR) trade. In what follows, we will denote group of replacement trades for
each original trade as the “amended trade”.

LIBOR based settlements

The roll dates and accrual periods of the SOFR floating coupons of the
amended trade are the same as the USD LIBOR trade. Coupons that require a
USD LIBOR fixing after 30 June 2023 are calculated without observation period
shift by compounding the SOFR index over the USD LIBOR coupon periods.
The settlement of these coupons is aligned with SOFR OIS conventions, i.e.,
having two business days payment offset.

Conversion spreads

The conversion preserves the economic equivalence of the amended trade
with the original trade by adding the relevant (not compounded) spread
adjustment specified in the respective fallback provisions and published by
Bloomberg Index Services Limited. No rounding or other modifications to
that spread apply. In specific, below spreads will be applied:

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Chapter II: Special Provisions for Clearing of Interest Rate Derivative Transactions

FCM Regulations of Eurex Clearing AG

As of 24.04.2023

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maximum period length for long Interest Rate Stub Periods is one year and one
month for floating rate payments under IRS (including basis swaps) in EUR_and
under basis swaps in USD. For floating rate payments under IRS in USB, DKK,
NOK and PLN, the maximum length for long Interest Rate Stub Periods is
seven months and for floating rate payments under IRS (excluding basis swaps
in SEK the maximum length for long Interest Rate Stub Periods is six-four
months.

(c) For IRS floating payments, the floating rates for Interest Rate Stub Periods must
be specified in the Trade Record submitted via the ATS as follows:

el

(bb) if a floating rate index tenor is specified, which is used for the fixing in
respect of the Interest Rate Stub Period, the respective tenors. The
following tenors (W = week(s), M = month(s), Y = year) are eligible:

the-termination-date-i: fter-04.40.2024-4M_3M_6M-

L.]
(8a) Floating Rate Options

For IRS, OIS, FRA, the following Floating Rate Options are eligible (where
applicable, the relevant Designated Maturity needs to be specified) subject to further
provisions:

(a) EUR-EURIBOR (also referred to as EUR-EURIBOR-Reuters);

(eb) USD-Federal Funds-OIS Compound (also referred to as USD-Federal Funds-
H.15-OlS-COMPOUND);

(dc) JPY-TONA-OIS Compound (also referred to as JPY-TONA-OIS-COMPOUND);
(ed) GBP-SONIA-OIS Compound (also referred to as GBP-SONIA-COMPOUND);
(fe) NOK-NIBOR (also referred to as NOK-NIBOR-OIBOR; NOK-NIBOR-NIBR);

(gf) SEK-STIBOR (also referred to as SEK-STIBOR-SIDE);

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