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Clearing Conditions of Eurex Clearing AG ‘As of 01,08,2022

Page 1
Chapter |
AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,
DELETIONS ARE CROSSED OUT.
[-.-]

Part 1 Part 1 General Clearing Provisions

1 General Rules
14 Scope of Application
1.1.1 The procedures maintained and operated by Eurex Clearing AG for the Clearing of the

Transactions specified in Number 1.1.2 (the “Clearing Procedures”) shall be carried out
on the basis of the following clearing agreements:

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(3) aclearing agreement between Eurex Clearing AG, the relevant Clearing Agent and
a Basic Clearing Member with respect to their respective Basic Clearing Member
Transactions under the Basic Clearing Member Provisions pursuant to Part 6 in the
form appended hereto as Appendix 10,

which, in each case, incorporate the Clearing Conditions (each a “Clearing Agreement’,

hich term shall_ unless the context oth quires include-each ICM-Cl
Agreement),
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18 No Clearing of OTC Interest Rate Derivative Transactions for U.S. Persons

18.1 Ll

Subparagraph (ii) of the preceding paragraph of this Number 1.8.1 shall not apply, if the
Clearing Member submits Client-Related Transactions for Clearing to Eurex Clearing AG
with respect to Direct Clients (other-than-an1CM-Client)-that fall within any of the U.S.
Person Categories provided that the Direct Client (i) is an affiliate of the relevant Clearing
Member and (ii) is considered as proprietary account of the relevant Clearing Member
under CFTC Rule 1.3. Under this Number 1.8.1, “affiliate” means any entity that controls,
directly or indirectly, the Clearing Member, any entity that the Clearing Member controls,

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AMENMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

Chapter | General Provisions

18

1.8.1

1.8.3

General Clearing Provisions

No Clearing of OTC Interest Rate Derivative Transactions for U.S. Persons

(i) reasonably believes that it does not fall within any of the U.S. Person Categories and
believes in good faith that it would not otherwise be deemed to be a “U.S. person”
under the Interpretive-Cross Border Guidance (the “CM-OTC U.S. Person
Representation’) and

(ii) will not submit any Client-Related Transaction for Clearing to Eurex Clearing AG,
unless the Clearing Member (a) has either obtained a representation from the
relevant Direct Client that such Direct Client reasonably believes that it does not fall
within any of the U.S. Person Categories and/or believes in good faith that it would
not otherwise be deemed to be a “U.S. person” under the Interpretative Guidance,
or (b) in case the Clearing Member has not obtained a representation as described
under (a) above, reasonably believes that the relevant Direct Client does not fall
within any of the U.S. Person Categories and believes in good faith that the relevant
Direct Client would not otherwise be deemed to be a “U.S. person” under
the tnterpretiveCross Border Guidance (the “CM-Customer OTC U.S. Person
Representation”). Number 7.2.1 (2) shall apply accordingly.

In relation to OTC Interest Rate Derivative Transactions, the Clearing Agent represents
and warrants by way of an independent guarantee and irrespective of fault
(selbstandiges, verschuldensunabhangiges Garantieversprechen) to Eurex Clearing AG
that, at the time it enters into a Basic Clearing Member Clearing Agreement, it reasonably

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AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

Chapter | General Provisions

[1

Part 1 General Clearing Provisions
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2 Clearing Members

24 Clearing License

2.1.1 Granting of Clearing License

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(4) As specified in the relevant Clearing Agreement, a Clearing License is issued either
as a general clearing license (a “General Clearing License”) or a direct clearing
license (a “Direct Clearing License’).

Unless otherwise provided in the relevant Special Clearing Provisions, a General
Clearing License entitles the holder thereof (a “General Clearing Member’)

(i) _to clear Own Transactions and; Client-Related Transactions or_ia-respect-of
OTC4IRS-US.Clearing Members Own Ti tions-and

(ii) _ to participate in the Clearing of Basic Clearing Member Transactions as a
Clearing Agent subject to further requirements as set out in the Basic Clearing
Member Provisions.

A Direct Clearing License entitles the holder thereof (a “Direct Clearing Member’)

to clear Own Transactions, Client-Related Transactions (in the case of DC-Related

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Chapter | of the Clearing Conditions of Eurex Clearing AG

General Provisions

As of 01.08.2022

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General Provisions

As of 01.08.2022

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04 Jul 2022
Eurex Clearing

Amendments to the Clearing Conditions
of Eurex Clearing AG and other related
documents

Eurex Clearing Circular 048/22 Amendments to the Clearing Conditions of
Eurex Clearing AG and other related documents

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) and other related
documents regarding the following topics:

A. Amendments due to the reclassification of US OTC Clearing Members as
Direct Clearing Members

B. Amendments to the “US Person” definition

C. Clarifying amendments to the Clearing Conditions with regards to several
topics.

The amendments will become effective as of 1 August 2022.
2. Required action

There is no required action.

3. Details of the initiative

A. Amendments due to the reclassification of US OTC Clearing Members
as Direct Clearing Members

When the role of US OTC Clearing Members (US OTC CMs) was introduced, the
category of Direct Clearing Members (DCM) had not existed yet. As a
consequence, an US OTC Clearing Member was automatically categorized as a


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Direct Client does not fall within any of the U.S. Person Categories and/or believes in
good faith that the relevant Direct Client would not otherwise be deemed to be a
“U.S. person” under the {nterpretiveCross Border Guidance (the “CM-Customer FX
U.S. Person Representation’).

In relation to FX Options contracts, the Clearing Agent represents and warrants by

way of an independent guarantee and irrespective of fault (se/bstandiges,
verschuldensunabhangiges Garantieversprechen) to Eurex Clearing AG that, at the
time it enters into a Basic Clearing Member Clearing Agreement, it reasonably believes
that it does not fall within any of the U.S. Person Categories and believes in good faith
that it would not otherwise be deemed to be a “U.S. person” under the InterpretiveCross
Border Guidance (the “CA FX U.S. Person Representation’); the Clearing Agent
repeats such representations at each time when the Clearing Agent enters an order or
quote into the trading systems in relation to an FX Options contract. Number 7.2.1 (2)
shall apply accordingly.

In relation to FX Options contracts, each of the Basic Clearing Members represents and
warrants by way of an independent guarantee and irrespective of fault (selbstandiges,
verschuldensunabhangiges Garantieversprechen) to Eurex Clearing AG that at the time
it enters into a Clearing Agreement, it reasonably believes that it does not fall within any
of the U.S. Person Categories and believes in good faith that it would not otherwise be
deemed to be a “U.S. person” under the !nterpretiveCross Border Guidance (the “Basic
Clearing Member FX U.S. Person Representation’); the Basic Clearing Member
repeats such representations at each time when it enters directly or through its Clearing
Agent an order or quote into the trading systems. The Basic Clearing Member shall
promptly inform Eurex Clearing AG if it becomes aware that the Basic Clearing Member
FX U.S. Person Representation ceases to be true.

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1.8.5

1.8.6

1.9

1.9.1

believes that it does not fall within any of the U.S. Person Categories and believes in
good faith that it would not otherwise be deemed to be a “U.S. person” under the
daterpretiveCross Border Guidance (the “CA OTC U.S. Person Representation"); the
Clearing Agent repeats such representation each time when any of its Basic Clearing
Members enters into an OTC Interest Rate Derivative Transaction. Number 7.2.1 (2) shall
apply accordingly.

In relation to OTC Interest Rate Derivative Transactions, the Basic Clearing Member
represents and warrants by way of an independent guarantee and irrespective of fault
(selbstandiges, verschuldensunabhangiges Garantieversprechen) to Eurex Clearing AG
that at the time it enters into a Basic Clearing Member Clearing Agreement, it reasonably
believes that it does not fall within any of the U.S. Person Categories and believes in
good faith that it would not otherwise be deemed to be a “U.S. person” under the
dnterpretiveCross Border Guidance (the “Basic Clearing Member OTC U.S. Person
Representation”); the Basic Clearing Member repeats such representations at each time
when it directly or through its Clearing Agent submits an Original OTC Transaction for
clearing to Eurex Clearing AG. The Basic Clearing Member shall promptly inform Eurex
Clearing AG if it becomes aware that the Basic Clearing Member OTC U.S. Person
Representation ceases to be true.

“U.S. Person Categories” means the enumerated categories of “U.S. persons” that are
provided in the in the “Cross-Border Application of the Registration Thresholds and
Certain Requirements Applicable to Swap Dealers and Major Swap Participants”,
(85 Fed. Reg. 56,924, Sept. 14. 2020) or the “Interpretive Guidance and Policy
Statement Regarding Compliance with Certain Swap Regulations’, (78 Fed.

Reg. 45,292, Jul. 26, 2013) by the Commodity Futures Trading Commission (the “CFTC”)
(the “Cross Borderinterpretive Guidance’) within its jurisdiction pursuant to

Section 722 (d) of the Dodd-Frank Wall Street Reform and Consumer Protection Act, as
may be amended or otherwise interpreted in writing by the CFTC from time to time.

No Clearing of FX Options contracts, OTC XCCY Transactions and OTC NDF
Transactions for U.S. Persons

(i) reasonably believes that it does not fall within any of the U.S. Person Categories and
believes in good faith that it would not otherwise be deemed to be a “U.S. person”
under the InterpretiveCross Border Guidance (the “CM-FX U.S. Person
Representation’) and

(ii) will not enter an order or quote into the trading systems in relation to a Client-
Related Transaction, unless the Clearing Member (a) has either obtained a
representation from the relevant Direct Client that such Direct Client reasonably
believes that it does not fall within any of the U.S. Person Categories and/or believes
in good faith that it would not otherwise be deemed to be a “U.S. person” under the
Interpretative Guidance, or (b) in case the Clearing Member has not obtained a
representation as described under (a) above, reasonably believes that the relevant

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Transactions limited to Transactions relating to DC Market Participants, and in the
case of Transactions relating to Indirect Client Market Participants limited to Indirect
Client Market Participants, affiliated with it (as determined by Eurex Clearing AG and
notified to the Clearing Members)). The Direct Clearing Member shall be obliged to
inform Eurex Clearing AG promptly in the event that they cease to meet such
prerequisites.

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2 b. Amended sections of the “OffshoreFund_USPerson_ConfirmationLetter”
corresponding to topic B

3. Amended sections of Chapter I Part 1 No. 1.1, 1.8, 3.6, 11 and 12.1 and
amended sections of Chapter I Part 2 Subpart A No. 4.6 corresponding to topic
C

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 048/22
, Attachment 2 to Eurex Clearing circular 048/22

, Attachment 3 to Eurex Clearing circular 048/22


Clearing Conditions of Eurex Clearing AG

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3.6

11
11.1

directly or indirectly, and any entity in respect of which the Clearing Member and the
entity are both under common control, directly or indirectly, of another entity.

General Provisions regarding Margin and Variation Margin

Use of third-party securities accounts to provide Eligible Margin Assets in the form
of Securities by way of pledges or by way of full title transfer

Ll

(2) Unless explicitly waived by Eurex Clearing AG with respect to the relevant Third-
Party CM Account Holder, a Third-Party CM Account Holder needs to meet the
following requirements:

(a) The Third-Party CM Account Holder fulfils the personal prerequisites
for Clearing Members set out in in Number 2.1.2 Paragraph-(2), applied
mutatis mutandis;

o

the Third-Party CM Account Holder qualifies as a ‘participant’ in the system
operated by Eurex Clearing AG within the meaning of Art. 1 (f) of the Settlement

Finality Directive, and

(cb) the Third-Party CM Account Holder is not a Swiss entity.

Default Rules applicable to DCs With System Access/Basic DCs

If a DC With System Access or Basic DC fails to perform any of its obligations due under
a transaction or if an event of default occurs in respect of the DC With System Access or
Basic DC under a Client Ck g Ag it ther-client clearing arrangement
entered into between the Clearing Member and the DC With System Access or Basic DC,
as the case may be, Eurex Clearing AG will — upon written request by the Clearing
Member — no longer clear DC-Related Transactions relating to such DC With System
Access or Basic DC and reject novations of transactions relating to such DC With System
Access or Basic DC for the duration of such failure or event of default.

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Clearing Conditions of Eurex Clearing AG

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¢ OffshoreFund_USPerson_ConfirmationLetter

C. Clarifying amendments to the Clearing Conditions with regards to
several topics

Some provisions of the Clearing Conditions still contain references to the
decommissioned Individual Clearing Model (ICM) which are now without
function.

These references will be removed with this amendment. Furthermore, in the
context of the Third-Party CM Account Holder setup, it is clarified that a Third-
Party CM Account Holder needs to qualify as a ‘participant’ in the system
operated by Eurex Clearing AG within the meaning of Art. 1 (f) of the
Settlement Finality Directive (unless waived by Eurex Clearing AG). Besides
that, a reference to a Clearing Member in Part 2 Subpart A (currently referring
to a Clearing Member as “Clearing Clearing Member“) is corrected.

To reflect these amendments, the following provisions of the Clearing
Conditions will be amended as outlined in Attachment 3:

@ Chapter I Part 1 No. 1.1, 1.8, 3.6, 11 and 12.1
¢ Chapter I Part 2 Subpart A No. 4.6

The amendments with regards to topics A. to C. will become effective on 1
August 2022. As of the effective date, the full versions of the amended legal
framework of Eurex Clearing, as specified under items A. to C., will be available
for download on the Eurex Clearing website www.eurex.com/ec-en/ under the
following link:

Rules & Regulations > Eurex Clearing Rules & 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 within the first 10 Business Days after publication. Any
ordinary right of Eurex Clearing AG to terminate the respective contract
(including a 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 2b is available via your Key Account Manager):

1. Amended sections of Chapter I Part 1 Number 2.1.1 (4) of the Clearing
Conditions corresponding to topic A

2 a. Amended sections of Chapter I Part 1 Number 1.8 and 1.9 of the Clearing
Conditions corresponding to topic B


General Clearing Member (GCM) and its entitlements were explicitly restricted
under the definition of a GCM.

As the categorization of DCM has successfully been implemented in the
meanwhile, US OTC CMs shall be setup as DCMs. Thus, the restrictions under
the respective description of a GCM with regards to US OTC CMs shall be
deleted from the Clearing Conditions.

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

¢@ Chapter I Part 1 Number 2.1.1 (4) of the Clearing Conditions of Eurex
Clearing AG

B. Amendments to the “US Person” definition

To ensure that clearing for clients qualifying as “US Person” is conducted
under the LSOC-compliant FCM Regulations, Eurex Clearing requires its
Clearing Members to represent to Eurex Clearing that neither the Clearing
Members nor any of their clients fall under one of the “US Person Categories”
defined by the CFTC.

Currently, Eurex Clearing is only referring to the “Interpretive Guidance and
Policy Statement Regarding Compliance with Certain Swap Regulations” (78
Fed. Reg. 45,292, Jul. 26, 2013) by the CFTC with regards to “US Person
Categories”.

In 2020, the CFTC introduced further categories in the “Cross-Border
Application of the Registration Thresholds and Certain Requirements
Applicable to Swap Dealers and Major Swap Participants” (85 Fed. Reg. 56,924,
Sept. 14, 2020). The 2020 Rules note that the 2013 Guidance can still be used
until 2027.

In case of fund manager setups with the fund manager being located in the
US, Eurex Clearing further requires the Clearing Member to sign the attached
confirmation letter. By signing this confirmation letter, the relevant Clearing
Member represents to Eurex Clearing that it has either obtained a
representation from the fund manager, or has analyzed itself that all funds for
which it acts as fund manager do not fall under one of the US Person
Categories defined by the CFTC.

As a consequence of the introduction of further “US Person Categories” by the
CFTC, Eurex Clearing intends to amend the Clearing Conditions and the
Confirmation Letter accordingly. The Confirmation Letter is available via your
Key Account Manager.

To reflect these amendments, the following provisions will be amended as
outlined in Attachment 2:

@ Chapter I Part 1 Number 1.8 and 1.9 of the Clearing Conditions


Chapter | of the Clearing Conditions of Eurex Clearing AG

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12 Other Agreements and terms in respect of DC Market Participants and Indirect
Client Market Participants with regard to the Clearing of Eurex Transactions
and FWB Transactions; Determination of limits for Clearing Members by Eurex
Clearing AG with respect to Market Transactions
12.1 Additional Terms

A Clearing Member may (i) agree with any of its DC Market Participants on additional
terms to their existing }GM-Ch ig Ag 4 Client Gh ig Ag rt lient
clearing arrangement between the Clearing Member and such DC Market Participant, as
the case may be, with respect to the execution of Eurex Transactions and FWB
Transactions and/or (ii) set out additional terms with respect to any of its Indirect Client
Market Participants for the execution of Eurex Transactions and FWB Transactions (in
each case (i) and (ii) together the “Additional Terms”) in accordance with the applicable
rules of the relevant Market and the following provisions.

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Part 2 Elementary Clearing Model Provisions

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Part 2 Subpart A: General Elementary Clearing Model Provisions

4 Margin
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46 Redelivery of Margin in the form of cash; Release of Eligible Margin Assets in the

form of Securities

46.1 [ol

If Eurex Clearing AG has required the Clearing Clearing. Member to provide a GC Pooling
USD Cash Margin Contribution, the Redelivery Claim relating to the cash provided as a
GC Pooling USD Cash Margin Contribution only becomes due if the following
requirements are met in addition to the requirements set out in Sentence 1: (i) a
termination of the Clearing Member's Clearing License for Repo Transactions became
effective or (ii) 90 days after all of the Clearing Member’s GC Pooling Repo Transactions
denominated in USD have been cancelled, closed or fulfilled and the Clearing Member
has agreed (in form and substance satisfactory to Eurex Clearing AG) not to clear any
further GC Pooling Repo Transactions denominated in USD with Eurex Clearing AG.

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