Eurex05e
FCM Regulations of Eurex Clearing AG As of 21.11.2022

Page 4

(ab) If

|

(be) If an index is formally designated, nominated or recommended as a fallback
index by

[-]

(cd) If Eurex Clearing AG states (in accordance with Chapter | Number 15.1) the
application of an index as a fallback, then, as of the Index Cessation Date, this
index shall be applied as the Successor Index. Before announcing an index as
a fallback index, Eurex Clearing AG shall take into account inter alia market
practice, recommendations and documents by ISDA, |OSCO and competent
authorities. If reasonably possible, Eurex Clearing AG shall consult affected
FCM Clearing Members prior to announcing any Successor Index in
accordance with lit. (cd).

L.]
Part 2 Clearing of Interest Rate Derivative Transactions
L.]

2.1.5. Novation Criteria and Process Regarding Interest Rate Derivative Transactions
[J
2.1.5.1 Specific Novation Criteria and Terms for Swap Transactions
[J
(2) Currencies
The currency must be

(i) for IRS (excluding basis swaps)-and RA: CHF-EUR-GBP_JP¥, USD, DKK,
SEK, NOK or PLN;

(ii) for O}S-and-basis swaps: GHF,EUR;GBP;JPY, or USD, DKK, NOK or PLN;
and

(iii) for OIS: CHF, EUR, GBP, JPY or USD;

(iv) for ZCIS: EUR or GBP.

578-22 (100)_h_v1

Robe


Eurex04e
As of 21.11.2022
Page 10

Clearing Conditions of Eurex Clearing AG

Chapter VIII

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
SBP-LIBOR-BBA SBLO SBLO GBLO
ASSL Hebe tthe =
SLES cohat shel! ——
DKK-CIBOR-DKNA13, _DKCO DKCO DKCO
DKK-CIBOR2-
DKNA13
|
EUR-EONIA-OIS- EUTA EUTA EUTA
COMPOUND
EUR-EuroSTR- EUTA EUTA EUTA
COMPOUND
[.]

(16) Special eligibility criteria for FRA

2.2.5 Rates for calculating the Floating Amount

(1) Subject to Number 1.8, when calculating the Floating Amounts, the applicable
Relevant Rate will be determined by Eurex Clearing AG on the basis of the Floating
Rate Option label (and Designated Maturity, where applicable) as specified in the
OTC Trade Novation Report in accordance with the following matrix (the “Floating
Rate Matrix”):

577-22 (100)_h_v1
Public


Eurex05e
FCM Regulations of Eurex Clearing AG As of 21.11.2022

Page 8

(A): GHE-LIBOR-EUR-EURIBOR, GBP-LIBOR_JPY-LIBOR_USD-LIBOR:
-10 to 0 Business Days; and

(B): EYUR-EONIA-O}S- Compound EUR-EuroSTR-OIS Compound, GBP-
SONIA-OIS Compound, JPY-TONA-OIS Compound, USD-SOFR-OIS
Compound, USD-Federal Funds-OlS Compound: 0 Business Days.

(c) for FRAs:
(i) where settlement in advance is specified, for the floating leg referencing

(A) JP¥-LIBOR,DKK-CIBOR, DKK-CIBOR2, SEK-STIBOR, NOK-NIBOR: -10 to -2
Business Days;_and

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

[J

(9a) Delayed Payments
[J
(a) for IRS:

(i) between 0 and 2 Business Days for legs referencing USD-LIBOR, EUR-
EURIBOR, GBP-LIBOR,JPY-LIBOR,CHF-LIBOR,-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-OlS Compound, EUR-EONIA-O!S.
Goerpound-EUR-EuroSTR-OIS Compound, GBP-SONIA-OIS Compound,
JPY-TONA-OIS Compound,

(b) for OIS
(i) subject to (ii), between 0 and 2 Business Days,

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

[J
(11) Calculation periods

The calculation period(s) for payment(s) of floating amounts under the relevant

Interest Rate Derivative Transaction in USD {other than-OlS-erannterest Rate

BD tive H tion-in-CHFUSD-or JPY} must be one month, three months, six

578-22 (100)_h_v1

Robe


Chapter VIII of the Clearing Conditions of Eurex Clearing AG

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

As of 21.11.2022

577-22 (100)_h_v1
Public


Eurex05e

FCM Regulations of Eurex Clearing AG As of 21.11.2022

Page 5

(4)

(5)

[1

Maximum remaining term
[LJ

(a) in case of IRS

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

(ii) for Original Swap Transactions in&UR-GBP-or USD, no more than 51 years
(18,675 calendar days);

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

(ivii) for Original Swap Transactions in PLN, no more than 164 years
(4,0505,871 calendar days),

(b) in case of OIS,

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

ii) for Original Swap Transactions in CHF or JPY, no more than 31 years
(11,375 calendar days), and

(ii) for Original Swap Transactions in EUR-GBP or USD, no more than 51 years
(18,675 calendar days),

(c) in case of FRA, for Original Swap Transactions in GHF-EUR-GBP-JPY, USD,
DKK, NOK, PLN or SEK, no more than 3 years (1,225 calendar days), provided,
however

——ii)-in case of FRA referencing USD-LIBOR as the relevant floating rate for any
eligible tenor, the termination date must not be on or after 01.04.2023

[el

Minimum remaining term

[el

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-CHF-EUR, GBP-USD and PLN and two Business Days for JP¥-DKK, NOK
and SEK.

578-22 (100)_h_v1

Robe


seu

Wu (O01) 22-825

a . (vas
FERSHUTLEP YY HEYSUOg res Oty
SOrHerensittupy xeput yOstTdas +o)
(pexta) ered

seenemey | ereqeseapout eu UOPUOT 'GSLL ——eldeoudehy doar Suitergepur yeeng Kobo) BostT des

Cl
juiod eBejuesied Aep out Suimorjoy
ejotipuesneyy REG TUOLHOHIOS
“Hey eHEyseieet OYT Ot ogertemoy teSevi+

pedey

HOREACN eeqiesed
epett euy Buipeseid
urpeHioeds sy wOpuCTS
(oday uoneaon

apes, demg = (iodey UoeAON epesL Moday uoHeAON

eu} Ul esiMseyjo EMS 84} UI as!MuEtjO apes dems

uojoel4 ads ssajun) payloads ssajun) 94} Ul paljioeds

yunog Aeq Aunyew 403e.3S|UjWpe Xepul lege} :uondo,

Buipunoy | ajey Buneoj4 Aeq Buixig euly Buixiy | payeubiseq pue xepu! BurAjepun als / Aiobaye9 ayey Buyeojy

LL e6eq

2207 LLLZ 40 SV
agoxeing

Ov Buea xeing jo suojeinBey WO4



Eurex05e
FCM Regulations of Eurex Clearing AG As of 21.11.2022

Page 7

Le
(8a) Floating Rate Options

(cf) USD-Federal Funds-OIlS Compound (also referred to as USD-Federal Funds-
H.15-OlIS-COMPOUND);

(dg) JPY-TONA-OIS Compound (also referred to as JPY-TONA-OIS-COMPOUND);

(eh) GBP-SONIA-OIS Compound (also referred to as GBP-SONIA-COMPOUND);

(fj) NOK-NIBOR (also referred to as NOK-NIBOR-OIBOR; NOK-NIBOR-NIBR);

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

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

(if?) PLN-WIBOR (also referred to as PLN-WIBOR-WIBO);

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

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

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

[

(8d) Fixing Day offset
[.]
(b) for IRS: -10 to 0 Business Days

|

578-22 (100)_h_v1

Robe


FCM Regulations of Eurex Clearing AG

Eurex05e

As of 21.11.2022

Page 2

[J
Part 1

1.7

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

Je SSSI IIIS IIIS ISO IOI II IOI III eeeeeneet errant oe ony

General Provisions
[.]
Certain Definitions

L.]

(9) The “Currency/Business Day Matrix” shall be the following matrix:

Currency Defined | Definition: The lawful Financial
Term currency of: Center(s)

Currency
specific
provision/
rounding of
amounts

Japanese JPY Japan Tokyo
Yen

578-22 (100)_h_v1

Robe



Eurex04e
Clearing Conditions of Eurex Clearing AG As of 21.11.2022
Page 6

Chapter VIII

bl
'g iy igtbte;

(ii) in case of FRA referencing USD-LIBOR as the relevant floating rate for any
eligible tenor, the termination date must not be on or after 01.04.2023; and

L.]

(5) Minimum remaining term

[el

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 GHF,EUR, GBP-USD and PLN and two Business Days for JPY, DKK, NOK
and SEK.

L.]

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

Lol

(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 in EUR-or-GBP. For floating rate
payments under IRS in-GHF,JPY, USD, DKK, NOK and PLN, the maximum
length for long Interest Rate Stub Periods is seven months and for floating rate
payments under IRS in SEK the maximum length for long Interest Rate Stub
Periods is six 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:

i) in case the currency is EUR: 1W, 1M, 3M, 6M, 1Y;

(ii) _in case the currency is DKK: 1W, 1M, 3M, 6M;

(iii) _in case the currency is NOK: 1W, 1M, 2M, 3M, 6M;

(iv)_in case the currency is PLN: 1W, 2W, 1M, 3M, 6M;

{9(v)in case the currency is SEK: 1W, 1M, 2M, 3M;

577-22 (100)_h_v1
Public


Eurex04e
Clearing Conditions of Eurex Clearing AG As of 21.11.2022
Page 3

Chapter VIII

Currency | Defined | Definition: The lawful Financial Currency specific
Term currency of: Center(s) provision/ rounding
of amounts.

Japanese | JPY Japan Tokyo Tokyo and London will
Yen be the financial

Rounding: To the next
lower whole (including
for one half JPY)

L.]

1.8 Index-related Provisions

L.]

1.8.2 Permanent Index Cessation
L.]

(2) For the avoidance of doubt, the change of the definition, methodology, formula or
other means of calculating an index per se does not constitute a Permanent Index
Cessation Event, but only if Paragraph (1) lit. (a) — (e) is triggered by this change. !A

577-22 (100)_h_v1
Public


Eurex04e

i iti f ing A‘
Clearing Conditions of Eurex Clearing AG As of 21.11.2022

Page 2
Chapter VIII
AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,
DELETIONS ARE CROSSED OUT.
[..]

Part 1 General Provisions

1.6 US Reporting for Original OTC Transactions (via non-SEF ATS)

L.]

(3) If the relevant Clearing Member or ISA Direct Clearing Member having a reporting
obligation under Part 45 of the CFTC Regulations transmits a Trade Record that
contains an Original OTC Transaction via an ATS which is not a SEF, the relevant
Clearing Member or ISA Direct Clearing Member must provide Eurex Clearing AG
with the unique swap identifier (provided that from 5 Decmeber 2022 it must provid
Eurex Clearing AG with the unique transaction identifier) (as that term is used in
Part 45 of the CFTC Regulations) for each Original OTC Transaction submitted to
Eurex Clearing AG by or on behalf of the Clearing Member, along with the legal entity
identifier (as that term is used in Part 45 of the CFTC Regulations) for the swap data
repository to which the Original OTC Transaction was reported, when the Original
OTC Transaction is submitted or immediately thereafter.

1.7

(12) The “Currency/Business Day Matrix’ shall be the following matrix:

Currency | Defined | Definition: The lawful Financial Currency specific
Term currency of: Center(s) provision/ rounding
of amounts

577-22 (100)_h_v1
Public


Eurex05e
FCM Regulations of Eurex Clearing AG As of 21.11.2022
Page 3

Currency Defined | Definition: The lawful Financial Currency
Term currency of: Center(s) specific
provision/
rounding of
amounts

calculated by
reference to any
LIBOR Floating
Rate Option.

Rounding: To
the next lower
whole (including
for one half JPY)

1.8 Index-related Provisions

1.8.2 Permanent Index Cessation
L.]

(2) For the avoidance of doubt, the change of the definition, methodology, formula or
other means of calculating an index per se does not constitute a Permanent Index
Cessation Event, but only if Paragraph (1) lit. (a) — (e) is triggered by this change. !n

(3) Ifa Permanent Index Cessation Event occurs, Eurex Clearing AG will determine
each index level for a date from (and including) the Index Cessation Date based on
the following fallbacks (any such fallback index a “Successor Index”), whereby
lit. (a) — (cd) mark the order of application of the relevant fallback. For the avoidance
of doubt, (i) a Successor Index may also consist of a fallback index plus or minus a
certain fixed spread, and (ii) this provision shall not hinder Eurex Clearing AG to
apply an Index Conversion before or on the respective Index Cessation Effective
Date.

(a) anind listed-below-the-foll S Ind hall-b lied:

578-22 (100)_h_v1

Dek



Eurex04e

Clearing Conditions of Eurex Clearing AG

Chapter VIII

As of 21.11.2022
Page 5

2.1.5.1

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

Le.
(2)

(4)

Currencies
The currency must be

(i) for IRS (excluding basis swaps)-and RA: GHF-EUR, GBP-JPY-USD, DKK,
SEK, NOK or PLN;

(ii) fer O}S-and basis swaps: GHF-EUR-GBP-JPY, er USD, DKK, NOK or PLN;

(ili) for OIS: CHF, EUR, GBP, JPY or USD; and

(ivii) for ZCIS: EUR or GBP.

[.]

Maximum remaining term / Termination Date
[J

(a) incase of IRS,

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

(ii)_for Original OTC Transactions in EYUR-GBP-or-USD, no more than 51
years (18,675 calendar days);

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

(ivii) for Original OTC Transactions in PLN, no more than 44-16 years
(4,0595,871 calendar days),

(b) in case of OIS,

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

ii) for Original OTC Transactions in CHF or JPY, no more than 31 years
(11,375 calendar days), and

(iii) for Original OTC Transactions in EUR-GBP or USD, no more than
50-years-and 51 years (18,675 calendar days),

(c) in case of FRA, for Original OTC Transactions in GHF-EUR, GBP-JP¥, USD,
DKK, NOK, PLN or SEK, no more than 3 years (1,225 calendar days), provided
however,

577-22 (100)_h_v1
Public


Eurex05e
FCM Regulations of Eurex Clearing AG As of 21.11.2022

Page 9

months or twelve months and the calculation period(s) for payment(s) of floating
amounts under an Interest Rate Derivative Transaction in GHF-USD-or JPYEUR
(other than OIS) must be one month, three months or six months (in all cases except
for Interest Rate Stub Periods, zero coupon payments and payments on a
compounding basis). For OTC Interest Rate Derivative Transaction (other than OIS)
in SEK calculation period(s) for payment(s) of floating amounts must be three
months and ;for DKK, NOK or PLN three months and six months-are-supported.

[.]
(14) Business Days

L

(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
Ll
GBP-LIBOR-BBA GBLO GBLO GBLO
JPY-LIBOR-BBA JPTO JPTO GBLO
SEF-LIBOR-BEA GHW SHZU CSLo
|
EUR-EONIA-OIS- EUTA EUTA EUTA
COMPOUND,
|

L.]

(16) Special eligibility criteria for FRA

578-22 (100)_h_v1

Robe


luizo/2z, 9:24 AM EurexU IU Clear Kelease 14.U: AMenaments to the Clearing Conaitions and FGM Kegulations of Eurex Clearing AG

25 Oct 2022
Eurex Clearing

EurexOTC Clear Release 14.0:
Amendments to the Clearing Conditions

and FCM Regulations of Eurex Clearing
AG

Eurex Clearing Circular 078/22 EurexOTC Clear Release 14.0: Amendments
to the Clearing Conditions and FCM Regulations of Eurex Clearing AG

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 following
topics:

A. EurexOTC Clear Release 14.0
B. Further minor amendments

The amendments to the Clearing Conditions and FCM Regulations will come
into effect as of 21 November 2022.

Learn now more about the EurexOTC Clear Release 14.0 on our dedicated
initiative page under the following link: Support > Initiatives & Releases >
EurexOTC Clear Releases > EurexOTC Clear Release 14.0. System
documentation, circulars, timeline and much more information is available
there for you.

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

httne:/iwww erirex eam/ec-enifind/cirenlars/clearina-circiilar-279R45R 414


Eurex04e
Clearing Conditions of Eurex Clearing AG As of 21.11.2022
Page 8

Chapter VIII

(ipa) PLN-WIBOR (also referred to as PLN-WIBOR-WIBO),;

(ip) CHF-SARON-OIS Compound (also referred to as CHF-SARON-OIS-
COMPOUND):

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

(Ip) USD-SOFR-OIS Compound (also referred to as USD-SOFR-COMPOUND).
[J
(8d) Fixing Day offset

[J

(b) for IRS: -10 to 0 Business Days

L.

(A): GHF-LIBOR,EUR-EURIBOR,-GBP-LIBOR, JPY-LIBOR-USD-LIBOR:
-10 to 0 Business Days; and

(B): EUR-EONIA-O!S-Gompound;EUR-EuroSTR-OIS Compound, GBP-
SONIA-OIS Compound, JPY-TONA-OIS Compound, USD-SOFR-OIS.
Compound, USD-Federal Funds-OIS Compound: 0 Business Days.

(c) for FRAs:
(i) where settlement in advance is specified, for the floating leg referencing

(A) JP¥-LIBOR;-DKK-CIBOR, DKK-CIBOR2, SEK-STIBOR, NOK-NIBOR: -
10 to -2 Business Days;_and

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

[.]
(9a) Delayed Payments
[J
(a) for IRS:

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

577-22 (100)_h_v1
Public


Eurex04e
Clearing Conditions of Eurex Clearing AG As of 21.11.2022
Page 7

Chapter VIII

Hi(Vi in case the currency is USD and the termination date is before
01.10.2021: 1W, 1M, 2M, 3M, 6M; in case the currency is USD and
the termination date is on or after 01.10.2021: 1M, 3M, 6M.

Only neighboring tenors of the Interest Rate Stub Period length are allowed
(e.g. 3M or 6M for Interest Rate Stub Period length 3M+1W);-4n-case-the
currency is DKK. NOK. PLN or SEK, only subcase {aa} is accepted: or

(cc) Whether “Linear Interpolation” applies, and if so, the respective floating
rate index and tenors. The tenors used for interpolation must be the two
neighbours of the Interest Rate Stub Period length (e.g. 3M and 6M for
Interest Rate Stub Period length 3M+1W). The eligible tenors are the same
as set out under lit. (bb) above.

¥

1 th DKK,NOK,PLN-or SEK, only-sub: " ted.

L.]

(8a) Floating Rate Options

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

(dg) JPY-TONA-OIS Compound (also referred to as JPY-TONA-OIS-COMPOUND);

(eh) GBP-SONIA-OIS Compound (also referred to as GBP-SONIA-COMPOUND);

(fj) NOK-NIBOR (also referred to as NOK-NIBOR-OIBOR; NOK-NIBOR-NIBR);

(gk) SEK-STIBOR (also referred to as SEK-STIBOR-SIDE);
(h!) DKK-CIBOR (also referred to as DKK-CIBOR-DKNA13);
DKK-CIBOR2 (also referred to as DKK-CIBOR2-DKNA13);

577-22 (100)_h_v1
Public


Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 21.11.2022
Page 4

Chapter VIII

Part 2

(3) Ifa Permanent Index Cessation Event occurs, Eurex Clearing AG will determine
each index level for a date from (and including) the Index Cessation Date based on
the following fallbacks (any such fallback index a “Successor Index”), whereby
lit. (a) — (cd) mark the order of application of the relevant fallback. For the avoidance
of doubt, (i) a Successor Index may also consist of a fallback index plus or minus a
certain fixed spread, and (ii) this provision shall not hinder Eurex Clearing to apply
an Index Conversion before or on the respective Index Cessation Effective Date.

(be) If an index is formally designated, nominated or recommended as a fallback
index by

[-]

(cd) If Eurex Clearing AG states in accordance with Chapter | Part 1 Number 16.1
the application of an index as a fallback, then, as of the Index Cessation Date,
this index shall be applied as the Successor Index. Before announcing an index
as a fallback index, Eurex Clearing AG shall take into account inter alia market
practice, recommendations and documents by ISDA, |OSCO and competent
authorities. If reasonably possible, Eurex Clearing AG shall consult affected
Clearing Members and ISA Direct Clearing Members prior to announcing any
Successor Index in accordance with lit. (cd).

Clearing of OTC Interest Rate Derivative Transactions

General Provisions

Novation Criteria and Process Regarding OTC Interest Rate Derivative
Transactions

L-]

577-22 (100)_h_v1
Public


Eurex05e
FCM Regulations of Eurex Clearing AG As of 21.11.2022

Page 6

Le

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

Lol

(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 in EUR-orGBP. For floating rate
payments under IRS in-GHF,JP¥, USD, DKK, NOK and PLN, the maximum
length for long Interest Rate Stub Periods is seven months and for floating rate
payments under IRS in SEK the maximum length for long Interest Rate Stub
Periods is six 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:

(i) in case the currency is EUR: 1W, 1M, 3M, 6M, 1Y;

(ii) in case the currency is DKK: 1W, 1M, 3M, 6M;

(iii) in case the currency is NOK: 1W, 1M, 2M, 3M, 6M;

(iv) in case the currency is PLN: 1W, 2W, 1M, 3M, 6M;

(v) in case the currency is SEK: 1W, 1M, 2M, 3M;

(viii) in case the currency is USD and the termination date is before
01.10.2021: 1W, 1M, 2M, 3M, 6M; in case the currency is USD and the
termination date is on or after 01.10.2021: 1M, 3M, 6M.

Only neighboring tenors of the Interest Rate Stub Period length are allowed
(e.g. 3M or 6M for Interest Rate Stub Period length 3M+1W)n-casethe
currency is DKK, NOK, PLN-or SEK, only subcase-(aa}is-accepted; or

(cc) Whether “Linear Interpolation” applies, and if so, the respective floating
rate index and tenors. The tenors used for interpolation be the two
neighbours of the Interest Rate Stub Period length (e.g. 3M and 6M for
Interest Rate Stub Period length 3M+1W).-The-eligible-tenors-are-the-same
as set out under lit. (bb) above. In case the currency is DKK, NOK, F + 7 7 EN-o

578-22 (100)_h_v1

Robe


seu

Wu (O01) 22-825

JESSE eco IO i ke ddaaiok

Hedey

woReAeN

oped
dems-eut
utperoeds- sy

oye ese

euyyBurpeseid

skeq ssouisng
YOpUOTZ ett} HOpUOT-“EEit + erqeonddy

PA
HOREASIUILUPY HEWYOUEg
BStteressietupy xepat

SOSH Hen =xoput

yey tHE + -OfA}S-

eee
yeeiss -Auebere9,

6Bulpunoy

uonoe14
yunos Aeq
yey Buneoj4

(oday uoneaon
apes, demg = (yiodey uoeAon epesL

poday uoHeAoN

@y} Ul asIMueyjO = AeMS 24} UI asIMey}O apes, dems
palioads ssajun) payloads ssajun) 94} Ul palyjioeds
Aunyew Jeqe| :uondo.
Aeq 6urxig euny Bux pajeubiseg pue xepu! BulAapun, alAys / AsoBaye5 ayey Buneoj4

LL e6eg

2207 LLLZ 40 SV
agoxeing

OV Bueala xeung jo suojeinBey WO



luizo/2z, 9:24 AM EurexU IU Clear Kelease 14.U: AMenaments to the Clearing Conaitions and FGM Kegulations of Eurex Clearing AG

Further information

, Attachment 1 to Eurex Clearing circular 078/22

, Attachment 2 to Eurex Clearing circular 078/22

Eurex Eurex Clearing Eurex Repo EEX 360T Xetra Bérse Frankfurt
Clearstream Qontigo

Disclaimer Privacy notice Imprint Eurex Clearing Rules & Regulations Sitemap

httne:/iwww erirex eam/ec-enifind/cirenlars/clearina-circiilar-279R45R Ala


Eurex04e

Clearing Conditions of Eurex Clearing AG As of 21.11.2022

Page 11
Chapter VIII
Floating Category / Underlying Designate Fixing Fixing Floating | Rounding
Rate style index and d Maturity ie Day Rate Day
Option: index Count
label administrato (unless (unless Fraction
specified r specified specified
in the otherwis — otherwis
oTc ein the ein the
Trade oTc oTCc
Novation Trade Trade
Report Novation Novation
Report) Report)
Category: Index-Swiss | Applicable | 44:55, 2tender | As
CHF- Sereen Rate Franc tBOR Lender Business — specified
LIBOR time Days in the
StyleTerm | Index preceding | OTC
CHE. Rate Administrator the Reset | Trade
LBOR- HCE Date Novation
BBA) Benchmark Report
nttd:
Led
Category: Index-Euro | Not 09:45, 4 Actua36 | Tothe
Calculated Seeks applicable Brussels TARGET 0 nearest
EUR- Rate Index time Settlemen ene-ten-
EONIA- Average: tDay thousandt
Compound | Compounde the-day“i" percentag
d Floating Index epoint
(or EUR- Rate-Option | Administrator (0.0001 %
EONIA- +European }
Ols- Gompoundin | Money
Compound | gMethod: Markets
) ols Jnstitute
Gesssadsictin
g
Led
Sesserate  Stes.ec: Lasser Heset Sa Fixesh
GBP- UBOR time Date
LIBOR Style-Term
Rate Index
(or-GBP- Administrator
LIBOR- ACE
BBA} Benchmark
pttd:
[el
LIBOR ScreenRate | LIBOR London Business | specified
HERS Bays jache
LBOR- Rate Administrator Trade
BBA) ICE

577-22 (100)_h_v1
Public



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

FCM Regulations of Eurex Clearing AG

As of 21.11.2022

578-22 (100)_h_v1

Robie


luizo/2z, 9:24 AM EurexU IU Clear Kelease 14.U: AMenaments to the Clearing Conaitions and FGM Kegulations of Eurex Clearing AG

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 sections of Chapter VIII of the Clearing Conditions
2. Amended sections of Chapter II of the FCM Regulations

Further information

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

Target Front Office/Trading, Middle + Back Office, IT/System
groups: Administration, Auditing/Security Coordination

Related Eurex Clearing Circulars 055/22, 068/22

circulars:

Contact: client.services@eurex.com

Web: Support > Initiatives & Releases > EurexOTC Clear Releases >

EurexOTC Clear Release 14.0

Authorized Jens Janka
by:

httne:/iwww erirex eam/ec-enifind/cirenlars/clearina-circiilar-279R45R 314


Eurex05e

FCM Regulations of Eurex Clearing AG As of 21.11.2022
Page 10

[1

2.2.5 Rates for calculating the Floating Amount

(1) Subject to Number 1.8, when calculating the Floating Amounts, the applicable
Relevant Rate will be determined by Eurex Clearing AG on the basis of the Floating
Rate Option label (and Designated Maturity, where applicable) as specified in the
Swap Trade Novation Report in accordance with the following matrix (the “Floating
Rate Matrix”):

578-22 (100)_h_v1

Robie


luizo/2z, 9:24 AM EurexU IU Clear Kelease 14.U: AMenaments to the Clearing Conaitions and FGM Kegulations of Eurex Clearing AG

A. EurexOTC Clear Release 14.0

The following enhancements of Eurex Clear Release 14.0 related to Nordic
currencies and PLN require an update of the Clearing Conditions:

Introduction of Stub Interpolation for DKK, NOK, PLN and SEK
Clearing of IRS and FRAs referring to 3M Index in DKK, NOK and PLN
Clearing of Basis Swaps (3M vs 6M) for DKK, NOK and PLN

Maturity extension for PLN OTC trades from 11Y to 16Y (or 5,871
calendar days)

eo

Furthermore, the maximum maturity of EUR Swaps will be extended to 61
years (or 22,335 calendar days). The extension is applied to EUR Interest rate
swaps (IRS) (Fix/Float), Overnight index swaps (OIS), and Basis Swaps
(Float/Float).

In addition, original new OTC Transactions submitted via non-SEF Approved
Trade Source for the purposes of US Reporting shall contain unique
transaction identifiers as of 5 December 2022. Members are advised to check
the Functional Release Notes of EurexOTC Clear Release 14.0 for further
details.

To reflect the enhancements, the following provisions will be amended as
outlined in Attachments 1 and 2:

@ Chapter VIII Part I No 1.6 and Part II No 2.1.5.1 of the Clearing
Conditions
® Chapter II Part II No 2.1.5.1 of the FCM Regulations.

B. Further minor amendments

Eurex Clearing applies further minor amendments to the Clearing Conditions
and FCM Regulations to remove certain LIBOR references.

To implement these changes, the following provisions will be amended as
outlined in Attachment 1 and 2:

@ Chapter VIII Part I No 1.6, No 1.7 and No 1.8.2 and Part II No 2.1.5.1 and
2.2.5 of the Clearing Conditions

@ Chapter II Part I No 1.8.2 and Part II No 2.1.5.1 and 2.2.5 of the FCM
Regulations.

Publication of amendments to the Clearing Conditions

As of the effective date, the full version of the amended Clearing Conditions
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

httne:/iwww erirex eam/ec-enifind/cirenlars/clearina-circiilar-279R45R 21a


Eurex04e
Clearing Conditions of Eurex Clearing AG As of 21.11.2022
Page 9

Chapter VIII

(ii) between 1 and 2 Business Days for legs referencing USD-SOFR-OIS
Compound, USD-Federal Funds-OIS Compound, EYUR-EONIA-O}S.
Gompound,EUR-EuroSTR-OIS Compound, GBP-SONIA-OIS Compound,
JPY-TONA-OIS Compound,

(b) for OS
(i) subject to (ii), between 0 and 2 Business Days,

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

[J
(11) Calculation periods

The calculation period(s) for payment(s) of floating amounts under the relevant

OTC Interest Rate Derivative Transaction in USD (other than OIS-oran-OFC4rterest
Rate Derivative Transaction ian-CHF_USD-or JPY) must be one month, three months,
six months or twelve months and the calculation period(s) for payment(s) of floating
amounts under an OTC Interest Rate Derivative Transaction in GHF-USD-or
JPYEUR (other than OIS) must be one month, three months or six months (in all
cases except for Interest Rate Stub Periods, zero coupon payments and payments
on a compounding basis). For OTC Interest Rate Derivative Transaction (other than
OIS) in SEK calculation period(s) for payment(s) of floating amounts must be three
months and; for DKK, NOK or PLN three months and six months-are-supported,

L.]

(14) Business Days

[.]

(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

577-22 (100)_h_v1
Public


Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 21.11.2022
Page 12

Chapter VIII

FESO

877-22 (100)_h_v1
Public