Eurex04e

Clearing Conditions of Eurex Clearing AG

As of 01.08.2022
Page 1

Part 2

2.3

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

Clearing of Futures Contracts
[1

Clearing of Fixed Income Futures Contracts

Ll

Delivery and Payment Procedures

All physical deliveries shall be made versus payment (Zug-um-Zug) within the settlement
period determined by Eurex Clearing AG on the second Business Day after the
notification day (Number 2.3.4 _Paragraph-(2)) unless otherwise specified.

The Settlement Claims (as defined in Chapter | Part 1 Number 1.3) shall be settled via a
Settlement Location and the payments shall be settled via the respective account
determined by the respective Settlement Location.

All Clearing Members and Eurex Clearing AG must ensure that the transaction can be
handled on that Business Day when the delivery notice is given. All Clearing Members
must ensure their ability to effect deliveries and payments by having sufficient credit
balances (i) in their account at the respective custody institution; (ii) on the RTGS
Account or the euroSIC Account for euro-fixed-Fixed Income Futures Contracts
denominated in EUR; and (iii) on the SIC Account for CONF-_Futures Contracts.

368-22 (100)_h
Public


Eurex04e
As of 01.08.2022

Clearing Conditions of Eurex Clearing AG

Page 6

(87) Any amount received as a contractual penalty under this Number 2.3.5 by Eurex
Clearing AG from a Clearing Member shall be deducted from any potential claim for

compensation Eurex Clearing AG may assert against the relevant Clearing Member.

368-22 (100)_h
Public


Eurex04e

Clearing Conditions of Eurex Clearing AG

As of 01.08.2022
Page 3

E Contract Specifications}_othenvise_they_shall not be-deliverable_until th:

(2)

(3)

Adele: bligati isi ofa short position ina CONF Fut Contract

¥ 'g- Pi ¥
ly-be-pert d-with-obligati determined-by-E: Clearing AG-Obligati
ly be-p gi y ig AG- ig
f th, iss Confederation-d inated FE; ith. ining f
Heasteight to-4. a " be-ch For-obligati ith-earh

ighty P- ¥ ig iy
dempti tion_the first and last possible redemption date at thi intof-deli

iP HOR, is Ps Pp

The-obligati "
- ig

Two Business Days prior to the tenth calendar day of a quarter month (notification
day), the Clearing Members with open short positions must indicate the type of debt
securities bonds-they will deliver to Eurex Clearing AG after transaction closing until
the end of the post-trading full-period. Existing delivery notifications can be changed
until closing of the post-trading full period. If a delivery notice is not made in time,
Eurex Clearing AG determines the debt securities bonds-to be delivered by the
Clearing Member. The actual amount of notified debt securities have to be confirmed
by Clearing Members vis-a-vis Eurex Clearing AG one day prior to the delivery day.

After the end of the post-trading period on the Notice Day, Eurex Clearing AG shall
allocate to the Clearing Members with open long positions the debt securities bonds
notified for delivery, using a selection procedure that ensures the neutrality of the
allocation process. The Clearing Members will be informed on the next Business
Day as to which debt securities bonds-were allocated to them and at what tender.

368-22 (100)_h
Public


Eurex04e
As of 01.08.2022
Page 2

Clearing Conditions of Eurex Clearing AG

[J

2.3.3 Tender Price
The tender price shall equal the nominal value of the contract, multiplied with the final
settlement price of the respective contract, multiplied with the conversion factor of the
tendered debt security (Anleihe), plus the interest accrued since the last interest payment
date.

2.3.4 Fulfilment, Delivery

(1) A delivery obligation arising out of a short position in a Eure-fixedincomeFixed
Income Futures Contract may only be performed with debt securities as-determined
by Eurex-Clearing AG-which fulfil the criteria set out in Number 1.2.2 of the Eurex
Contract Spectications. For delivery, debt ities di inated in EUR with

8.5-up-to+4 d iginal-te fnod than 46 for Euro-BTP-

368-22 (100)_h
Public


Eurex04e
As of 01.08.2022

Clearing Conditions of Eurex Clearing AG

Page 5

earlier of (i) the date of actual delivery or (ii) the date of a replacement purchase
(whereby such earlier date will not be taken into account for the calculation).

Such contractual penalty shall be the sum of the Penalty Amount and the
Interest of Delay.

“Penalty Amount” shall amount to 0.40 per cent of the nominal value of the
non-delivered bonds per Business Day,

“Interest of Delay” shall mean an amount per each calendar day, on which no
delivery of the debt securities bonds-has occurred, calculated as a percentage of
the counter value of the non-delivered bonds.

Such percentage shall be determined by Eurex Clearing AG in advance and
shall be based- on (i) ()4 f Euro-fixed Fut Gentraets,the effective
rate for the marginal lending facility of the European Central Bank (as published
or referred to on its website) plus 100 basis points, or (ii), -and-(H)in-case-ofwith
respect to CONF Futures Contracts, the effective rate for the liquidity-shortage
financing facility of the Swiss National Bank (as published or referred to on its
website) plus 100 basis points.—the-afere-mentioned interest rates_are
published on-th bsites-of the European Central Bank and th iss National

Bank respectively.

(c) Eurex Clearing AG will pay any Interest Of Delay it has received from the
Clearing Member, which failed to deliver the debt securitiesbords, to the
Clearing Member, which is entitled to receive the debt securitiesbonds.

(d) For the avoidance of doubt, the provisions of this Number 2.3.5 Paragraph-(4)
shall apply in addition to Chapter | Part 1 Number 14.2.

(6) If on a delivery day only a partial delivery of debt securities occurs, the Paragraphs
above shall apply accordingly with regard to the outstanding partial deliveries. Due to
different average price calculation of the T2S system and the system of Eurex
Clearing AG concerning partial deliveries, it may occur for incomplete deliveries on
the delivery day, that the Clearing Member obliged to deliver is credited an amount
which, in total, exceeds the selling price. Eurex Clearing AG shall notify the Clearing
Member obliged to deliver accordingly and is authorised to debit any exceeding
amounts accordingly and to credit these amounts to the buyer. The Clearing
Member obliged to deliver must ensure that a respective amount is available on its
relevant RTGS Account or euroSIC Account.

(QE Clearing AG-will net rt-thi tractual Ity if. iti "
€ 'g Pi ¥
delivered-on-the-first Busi Day-following-LabourDay-(4-M: .d-if with, t
iy iS) wt a r i
to-thi iti te-actis to Chapter V Part 2 Number 2.3-is-t
. Pe Pi i me

368-22 (100)_h
Public


05 Jul 2022
Eurex Clearing

Fixed Income Futures: Amendments to
the Clearing Conditions of Eurex Clearing
AG

Eurex Clearing Circular 049/22 Fixed Income Futures: Amendments to the
Clearing Conditions of Eurex Clearing AG

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) regarding the following
topics:

A. Amendments to the Clearing Conditions regarding the delivery of Fixed
Income Futures Contracts on debt securities of the Republic of Italy,

B. Editorial changes to the provisions on the Clearing of Fixed Income Futures
in the Clearing Conditions.

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

Eurex Clearing invites Clearing Members who clear above-mentioned
contracts to familiarize themselves and their clients with the adjusted
obligations for performance for the delivery of Italian Fixed Income futures.

3. Details

A. Amendments to the Clearing Conditions regarding the delivery of
Fixed Income Futures Contracts on debt securities of the Republic of Italy

To perform the delivery obligation arising out of a short position in a Fixed
Income Futures Contract, Eurex Deutschland decided to change the original
term for deliverable debt securities of the Republic of Italy ("Buoni del Tesoro
Polienali"). Please refer to Eurex Circular 068/22 for detailed trading-related


Eurex04e

Clearing Conditions of Eurex Clearing AG

As of 01.08.2022
Page 4

2.3.5 Failure to Deliver

(1)

(4)

In the event that a Clearing Member fails to deliver the debt securities bords-to be
delivered notified by it on the delivery day (as per Number 2.3.1) according to the
instructions of Eurex Clearing AG during the delivery times determined for the
delivery day (as published by Eurex Clearing AG on the Eurex Clearing Website),
Eurex Clearing AG shall be entitled to take the following measures:

= Eurex Clearing AG is entitled to obtain by means of securities lending the notified
debt securities bonds-and deliver them to the Clearing Member which did not
receive delivery in time.

= Eurex Clearing AG is entitled to designate from the basket of deliverable debt
securities berds-other than those notified as debt securities bonds-to be delivered
and to deliver such debt securities bonds-to the Clearing Member which did not
receive delivery in time. The Clearing Member in default has to deliver the debt
securities boads-designated by Eurex Clearing AG. Eurex Clearing AG is entitled
to obtain the notified debt securities boads-by means of securities lending and
deliver them to the Clearing Member which did not receive delivery in time.

= Inthe event that the debt securities bonds-to be delivered are not delivered to
Eurex Clearing AG as part of the standard transfer arrangement of the respective
Settlement Location by the 5'" Business Day after the delivery day, Eurex
Clearing AG shall be entitled to make a replacement purchase with respect to the
undelivered debt securitiesberds. Such purchase constitutes a buy-in as referred
to in Chapter | Part 1 Number 1.4.4 (1), which shall be applicable with respect to
the purchase.

Eurex Clearing AG will deliver the debt securities bords-acquired through such
replacement transaction to the Clearing Member which did not receive delivery in
time.

In case of a failure to deliver debt securitiesbornds, the Clearing Member shall pay a
contractual penalty in accordance with the following provisions:

(a) Ifa Clearing Member fails to deliver debt securities bonds-on the delivery day
until 14:15 CE(S)T, but is able to deliver such debt securities bonds-until the
respective End-of-Settlement time (as published by Eurex Clearing AG on the
Eurex Clearing Website) (“Settlement Cut-Off Time”), such Clearing Member
shall pay to Eurex Clearing AG a contractual penalty in the amount of 0.04 per
cent of the nominal value of the non- delivered debt securitiesbonds.

(b) Ifa Clearing Member fails to deliver debt securities bonds-on the delivery day
until the respective Settlement Cut-Off Time, such Clearing Member shall pay to
Eurex Clearing AG a contractual penalty for the period from the delivery day
(whereby the delivery day will be taken into account for the calculation) to the

368-22 (100)_h
Public


Chapter II of the Clearing Conditions of Eurex Clearing AG

Transactions Concluded at
Eurex Deutschland

(Eurex Exchange)

As of 01.08.2022

368-22 (100)_h
Public


Target
groups:

Contact:

Related
circular:

Web:

Authorized
by:

Front Office/Trading, Middle + Backoffice

client.services@eurex.com

Eurex circular 068/22

www.eurex.com/ec-en/

Jens Janka

Further information

, Attachment to Eurex Clearing circular 049/22

Eurex Eurex Clearing Eurex Repo EEX 360T Xetra Borse Frankfurt

Clearstream

Disclaimer

Qontigo

Privacy notice Imprint Eurex Clearing Rules & Regulations

Sitemap


information and the amendments of the relevant rules and regulations of
Eurex Deutschland.

To reflect this decision in the legal framework of Eurex Clearing, the following
provisions will be amended as outlined in the Attachment:

@ Chapter II Part 2 Number 2.3.4 of the Clearing Conditions

B. Editorial changes to the provisions on the Clearing of Fixed Income
Futures in the Clearing Conditions

To improve the legibility, Eurex Clearing streamlines the provisions on Clearing
of Fixed Income Futures in the Clearing Conditions (i.e. standardization of
terms, deletion of terms that do not apply for Fixed Income Futures and
deletion of duplicates of provisions).

To reflect the changes, the following provisions will be amended as outlined in
the Attachment:

@ Chapter II Part 2 Numbers 2.3.1, 2.3.3, 2.3.4, 2.3.5, 2.3.6 of the Clearing
Conditions

As of the effective date, the full versions of the amended Clearing Conditions
will be available for download on the Eurex Clearing website under the
following link:

Rules & Regs > Eurex Clearing Rules & Regulations > 1. Clearing Conditions

The changes and 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 ten (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.

Attachment:

¢ Updated sections of the Clearing Conditions of Eurex Clearing AG

Further information

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