Eurex05e

FCM Regulations of Eurex Clearing AG As of 03.04.2023
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6 oni
iF of CIS. thy 3 d-bet the -Effecti Dat th.
ti tion Dat t be-at least. 28-calendar-d

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

(a)

(b)

(c)

a short or long first calculation period (“Interest Rate Front Stub Period”)
and/or a short or long last calculation period (“Interest Rate Back Stub
Period”) may be specified for IRS and OIS per leg, provided that:

Ll

(cc) Interest Rate Stub Periods must not be specified for Interest Rate
Derivative Transactions with (i) payments of floating amounts which are
calculated on a compounding basis (except OIS) as set out in
Paragraph (167) below, or (ii) zero coupon payments.

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. For floating rate payments
under IRS in USD, DKK;_and 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.

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:

L.]
(iv) in case the currency is SEK: 1W, 1M, 2M, 3M;

(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.

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1.8
1.8.1

1.8.7

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

JO IESE SO USO ODO ISIS IO UO DOI ISIS ISO AI IAS IT ISI AI III III III

General Clearing Provisions

General Rules

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

In relation to OTC Interest Rate Derivative Transactions, the Clearing Member (other than
any OTC IRS U.S. Clearing Member_and subject to Number 1.8.7 below) represents and
warrants by way of an independent guarantee and irrespective of fault (se/bststandiges,
verschuldensunabhangiges Garantieversprechen) to Eurex Clearing AG that, at the time
it enters into a Clearing Agreement and each time when entering into an OTC Interest
Rate Derivative Transaction, it

[.]

Notwithstanding the provisions under Number 1.8.1 above, an OTC IRS U.S. Clearing

Member represents and warrants by way of an independent guarantee and irrespective of
fault (selbststandiges, verschuldensunabhangiges Garantieversprechen) to Eurex
Clearing AG that it will not submit any a Zero coupon inflation swaps as defined under
Chapter Vill Part 2 Number 2.1.3 of the Clearing Conditions for Clearing to Eurex

Clearing AG.

oeeererereereed

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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
JPY-TONA-OIS- JPTO JPTO JPTO
COMPOUND
HIGPxF, EUTA EUTA Ala
FRGPIx
UKRPI GBLO GSLO Ala

(145) Business Day Convention

L.]

(156) Special eligibility criteria for FRA

L.]
(16%) Compounding
L.]

(178) Caps, floors, collars

Ll
(189) Effective Date

IRS, OIS and FRA may have an Effective Date at present (spot starting), in the
future (forward starting) or in the past (backloading).ZC1S-mayonly-be-spot starting

and_starting inthe past.

(1920) Payment Dates

(202) If Original Swap Transactions containing break clauses (KUndigungsrechte)
(including, but not limited to optional and/or mandatory early termination rights) are

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Chapter II

2.21

2.21.1

2.22

2.22.1

2.23

2.23.1

2.25

2.25.1

[el

Clearing of Variance Futures Contracts

[.]

Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
(Number 1.20.4 of the Eurex Contract Specifications) following the final settlement day.
All Clearing Members must ensure their ability to effect payments on the due date thereof
through sufficient credit balances in the RTGS AceeuntDCA or the euroSIC Account.

Clearing of Index Total Return Futures Contracts

[.]

Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
following the final settlement day as specified in Number 1.22.4 of the Eurex Contract
Specifications. All Clearing Members must ensure their ability to effect payments on the
due date thereof through sufficient credit balances in the RTGS Account DCA or the
euroSIC Account.

Clearing of Bond Index Futures Contracts

[el

Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
following the final settlement day (Number 1.23.4 of the Eurex Contract Specifications).
All Clearing Members must ensure their ability to effect payments on the due date thereof
by having sufficient credit balances in the RTGS Account DCA or the euroSIC Account.

Clearing of Equity Total Return Futures Contracts

[el

Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
following the final settlement day as specified in Number 1.26.4 of the Eurex Contract
Specifications. All Clearing Members must ensure their ability to effect payments on the

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[ed
(78) Floating Amount

In respect of the Floating Amount, the Floating Amount Payer and the criteria to
determine the Floating Amount shall be specified.

(78a) 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:

L-

(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);

(Ik) USD-SOFR-OIS Compound (also referred to as USD-SOFR-COMPOUND).;
(c) UK RPH(for ZCIS in trade-currency-GBP).
(78b) Floating Rate Day Count Fraction
For each floating leg, a Floating Rate Day Count Fraction is to be specified.
(78c) Reset Dates
For each floating leg, the Reset Dates shall be specified.
(78d) Fixing Day offset
A Fixing Day offset may be specified in the limits of the following parameters:
Ll
(c) for FRAs:
(i) where settlement in advance is specified, for the floating leg referencing

Ll

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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”):

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period(s) for payment(s) of floating amounts must be three months and for DKK, or
NOK-or-PEN three months and six months.
[-.]

Except for ZG!S-and- FRA, the start and end dates can be different for each leg of an
Interest Rate Derivative Transaction.

(112) Notional amount

The minimum notional amount must be (i) 0.01 for CHF, EUR, GBP, USD, DKK,
NOK;,.or SEK-oF PEN or (ii) 1.00 for JPY.

Except for ZCG}S-and- FRA, the notional amounts can be different for each swap leg
and may vary across the calculation periods relative to their value in the relevant
preceding calculation period. The changes in notional can only take place at the start
of the calculation periods and must be pre-determined and specified in the Trade
Record submitted via the ATS. Changes in the notional amount across calculation
periods may not be specified for ZC}S-and- FRA.

Ll

(123) Day Count Fraction conventions

Ll
(134) Business Days

Ll

(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
[.]
NOK-NIBOR-OIBOR NOOS NOOS NOOS
NOK-NIBOR-NIBR
PEAR ORMABO PLA PAA PLA
[.]

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2.1.5.1 Specific Novation Criteria and Terms for Swap Transactions

The following specific novation criteria must be fulfilled for Interest Rate Derivative
Transactions (based on the Trade Record transmitted to Eurex Clearing AG via the ATS).
To the extent the values are actually reflected in the Swap Trade Novation Report of an
Interest Rate Derivative Transaction, they shall form the basis of the respective Interest
Rate Derivative Transaction.

(1) Categories of Interest Rate Derivative Transactions

The Interest Rate Derivative Transactions must be (i) an interest rate swap
(including “basis” swaps and zero coupon swaps) (“IRS”), (ii) an overnight index
swap (“OIS”), or (iii) a forward rate agreement (“FRA”)-oF¥4)-a-ZGIS and, in each
case, a Product Type recognized by Eurex Clearing AG;

(2) Currencies
The currency must be
(i) for IRS (excluding basis swaps): EUR, USD, DKK, SEK_or; NOK-or PEN;
(ii) for basis swaps: EUR, USD, DKK;_or NOK-or PEN; and
(iii) for OIS: CHF, EUR, GBP, JPY or USD;
L.]
(3) Payment types
The payments by the parties must be of the following types:

(a) Fixed Rate or Fixed Amount (in each case including zero coupon payments)
versus Floating Amount floating rate (including zero coupon payments); _or

(b) (in case of IRS only) Floating Amount versus Floating Amount (in each case
including zero coupon payments).; oF

rf f-th flation-ind:

Payments of any amounts due under IRS;-ZGIS or OIS (other than fees) must be in
arrears (and not prior to or at the beginning of a calculation period).

Fees or other payments are defined at contract conclusion. The fees must be in
trade currency.

(a) For IRS, OIS and FRA, in case of a termination, fees are settled one day after
the termination date for CHF, EUR, GBP,;_and USD arndPLN-and two days after
the termination date for JPY, DKK, NOK and SEK. In case of maturity, fees are
settled on the maturity date.

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2.2

2.21

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT

FRIESE IIIA SOO IASI IOI III II III III II II AS AI ISITE

Clearing of Transactions concluded at the Frankfurter
Wertpapierbérse (FWB)

Failure to Deliver

Failure to Deliver Securities
[.]

(1) General Provisions

L.]
(c) Partial deliveries

If only a partial delivery of securities occurs, the Paragraphs (a) and (b) above
as well as the following rules 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 AceountDCA or euroSIC Account.

FESO IE ISI IIIA III

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L.]
2.6 Trade Netting and Accumulation
Ll
2.6.1 Inclusion of Swap Transactions in the Netting and Accumulation Process

(1) All Swap Transactions that are Interest Rate Derivative Transactions are eligible for
Netting provided that:

L.]

“Interest Rate Trade Criteria” means the commercial terms of the relevant Swap
Transactions, in particular:

(a) with respect to IRSZGHS and OIS:

Lel

Jet adeiiobrinionibk

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Clearing of Repo Transactions

As of 03.04.2023

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Chapter II

due date thereof through sufficient credit balances in the RTGS Account DCA or the
euroSIC Account.

L.]

Part 3 Clearing of Options Contracts
[Ll

3.4 Clearing of Index Options Contracts
[Ll

3.41 Payment Procedures
To the extent not provided otherwise, all payments shall be made on the Business Day
following the exercise day; this shall also apply if the exercise is not assigned to the writer
until the Business Day following the exercise day. All Clearing Members must ensure
their ability to effect payments on the due date thereof through sufficient credit balances
in the RTGS Account-DCA or the euroSIC Account, for SMI® Options Contracts, SLI®
Options Contracts and for SMIM® Options Contracts, credit balances shall be ensured on
the SIC Account or the RTGS AccountDCA.

Ll

3.8 Clearing of Index Dividend Options Contracts
[Ll

3.8.1 Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
following the final settlement day (Number 2.8 of the Eurex Contract Specifications). All
Clearing Members shall ensure their ability to effect payments on the due date by having
sufficient credit balances on the RTGS Account DCA or euroSIC Account.

Jett aiobiobntiniaii i

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FCM Regulations of Eurex Clearing AG As of 03.04.2023
Page 5
1 Fy ‘CIS, i fate inati fe tHled. dd. 3 fterthet inati
date FE maturity-f ttled-on-th: turity date.

(4)

(5)

(be) For IRS, also initial other payments/fees are eligible (the respective payer, the
amount and the payment date then need to be specified).

L.]
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

(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); and

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

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

Minimum remaining term

In case of IRS; and OlS-and- ZGIS, the minimum period between the date of novation
and the Termination Date must be at least one Business Day for CHF, EUR, GBP;
and USD-and-PLN and two Business Days for JPY, DKK, NOK or SEK.

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;_and USD-arnd-PLN and two Business Days for DKK, NOK and SEK.

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2.1.5.2

22

2.2.1

submitted to Eurex Clearing AG for clearing, such break clauses will not become
part of the Interest Rate Derivative Transactions.

(213) No application of unscheduled holiday provisions to Period End Dates or
Termination Dates

L.]

(224) No application of Rate Cut-off Dates
|

Documentation of Original Swap Transactions

(1) In the Trade Record submitted via the ATS in respect of an Original Swap
Transaction for purposes of Clearing of Interest Rate Derivative Transactions, any
bilateral master agreement may be specified and, in respect of the applicable
contractual definitions, the following frameworks are allowed:

(i) the 2000 ISDA Definitions, the 2006 ISDA Definitions _and; the 2021 ISDA
Definitions the-20064SD/nflation-Derivati Definiti d-the 2008 ISDA,

flation Derivatives Definitions),
L.]

Product-related terms for Interest Rate Derivative Transactions

The following product-related terms shall apply to Interest Rate Derivative Transactions.

Payment Obligations
[J

(3) Payments under the relevant Original Swap Transaction will not be owed under the
relevant Swap Transaction and are not subject to these FCM Clearing Conditions in
case these payments (i) are in CHF, EUR, GBP;_or USD-or PLN and were due on or
before the day of novation or (ii) are in JPY, DKK, NOK or SEK and will become due
on the next Business Day following the day of novation.

[.]
(5) The following additional primary payment obligations apply:

L.]

(b) A price alignment amount (“Price Alignment Amount’ or “PAA’) shall be
payable by the FCM Clearing Member or Eurex Clearing AG, as the case may
be, together with the Variation Settlement Amount.

(aa) [...]
For CHF-and-PEN, PAA is defined as:

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JR II SESE IE SOO ISSO ISSO O IIIS DISS IEIISAIIIISAIAIISIIAA

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT

Part 1 General Provisions
[..]

17 Certain Definitions

In this Chapter VIII:

[.]

(13) “TARGET Settlement Day” means any day on which TARGET2 (the Trans-
European Automated Real-time Gross Settlement Express Transfer system) (or any
successor transfer system) is open for the settlement of payments in EUR.
References in the OTC Trade Novation Report to “TARGET” in respect of any day
shall be construed as references to a TARGET Settlement Day.

Jett edobiobniiniiniiicit

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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 03.04.2023

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Clearing vConditions of Eurex Clearing AG
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Page 1

Chapter IV

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

JERI ESOC SIO IO IOUS DSI ISIS ISO III SOIT ISI ARIA III II

Part 2 Clearing of Repo Transactions

2.4 Payment of Interests and Dividends, as well as other Corporate Actions
(Compensation)

(1) If interests or dividends are paid with respect to the underlying Securities during the
term of a Repo Transaction, Eurex Clearing AG shall arrange for the credit of the
accrued amount of interests or dividends (“Compensation Amount”) to the relevant
cash account of the Clearing Member or ISA Direct Clearing Member which was the
seller of the underlying Securities under the Front Leg of the relevant Repo
Transaction.

Eurex Clearing AG shall arrange for the the debit of the relevant cash account of the
Clearing Member or ISA Direct Clearing Member, which was the buyer of the
underlying Securities under the Front Leg of the relevant Repo Transaction, in an
amount equal to the Compensation Amount.

The relevant cash settlement shall be made through the RTGS AccountsDCAs, the
euroSIC Accounts, the accounts with Euroclear Bank S.A./N.V. in Brussels or
accounts with Clearstream Banking S.A. In case of GC Pooling Repo Transactions,
the Compensation Amount shall be initiated via Eurex Clearing AG through CmaxX or
the relevant other TPCM.

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

bel

(89) Fixed Amounts

L.]

Fixed Rates for IRS, OIS,ZGHS and FRA can have any value specified by up to
8 decimal points and may be less than zero, equal to zero or greater than zero.

L.]
(89a) 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-VW4BOR,

[-]
(499) Spreads

For IRS,ZGIS, OIS (but not for FRAs), spreads may be specified for the floating
leg(s) and/or fixed leg.

IRS (but not ZGIS,-OIS or FRA) may have a Floating leg and/or fixed leg spread
schedule, i.e. the spread applicable to the floating leg and/or fixed leg may vary
across the calculation periods relative to their value in the relevant preceding
calculation period provided that any such change to the spread may only occur at
the start of the relevant calculation period and must be pre-determined and specified
in the Trade Record submitted via the ATS. Spread schedules are not eligible for
zero coupon payments or payments made on a compounding basis.

(104) Calculation periods

The calculation period(s) for payment(s) of floating amounts under the relevant
Interest Rate Derivative Transaction in USD must be one month, three months, six
months or twelve months and the calculation period(s) for payment(s) of floating
amounts under an Interest Rate Derivative Transaction in EUR (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

95-23 (100) _h


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Chapter II

25

2.5.1

2.6

2.6.1

29

2.9.1

Clearing of Futures Contracts of Exchange Traded Fund Shares

[.]

Delivery and Payment Procedures

(1) All physical deliveries for the fulfilment of EXTF Futures Contracts shall be made
versus payment (Zug um Zug) on the second Business Day after the last trading day
of the contract.

Physical deliveries of securities shall be made through a Settlement Location, and
payments shall be made through the account specified by such Settlement Location.

Each Clearing Member and Eurex Clearing AG must ensure that Transactions can
be processed on the Business Day on which the delivery notice is given. All Clearing
Members must ensure their ability to effect deliveries and payments thereof through
sufficient deposits in the securities account at the respective depository institution
and credit balances in the RTGS AcceuntDCA, the euroSIC Account or the SIC
Account.

[.]

Clearing of Volatility Index Futures Contracts

[.]

Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
(Number 1.5.4 of the Eurex Contract Specifications) following the final settlement day. All
Clearing Members must ensure their ability to effect payments on the due date thereof
through sufficient credit balances in the RTGS AccountDCA or the euroSIC Account; for
VSMI contracts, respective credit balances shall be ensured on the SIC Account or the
RTGS AccountDCA.

Clearing of Index Dividend Futures Contracts

[.]

Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
following the final settlement day (Number 1.8.4 of the Eurex Contract Specifications). All
Clearing Members must ensure their ability to effect payments on the due date thereof by
having sufficient credit balances in the RTGS Account DCA or in the euroSIC Account.

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

FCM Regulations of Eurex Clearing AG

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1.8

1.8.1

Part 2

2.1.3.1

Index-related Provisions

[.]

Index Correction

(1) Subject to any overriding provisionsasfor HICPxt, FRCP and UK RPHA Number
2.2.5), for the purpose of determining the index level for a specific point in time (the
“Relevant Index Level’), the Relevant Index Level will be subject to corrections
(each an “Index Correction’), if any, to that information that are subsequently (i)
published by the Index Administrator and/or (ii) provided by the Index Administrator
to, and published by, authorised distributors of the Relevant Index Level, as
applicable, in each case,

Ll

Clearing of Interest Rate Derivative Transactions

General Provisions

Interest Rate Derivatives Clearing License

[el

Requirements for the Granting of an Interest Rate Derivatives Clearing License

The general requirements for obtaining an FCM Clearing License set out in Chapter |
Number 2 shall apply subject to the provisions set out in this Chapter II. In addition, the
applicant applying for an Interest Rate Derivatives Clearing License shall meet the
following requirements:

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(4) if the Interest Rate Derivatives Clearing License of the relevant FCM Clearing
Member covers Interest Rate Derivative Transactions CHF, EUR, GBP, JPY, USD,
DKK, NOK,PEN and/or SEK, bank cash account(s) in the relevant currency or
currencies; and

[.]

Novation Criteria and Process Regarding Interest Rate Derivative Transactions

[.]

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2.3 Clearing of Fixed Income Futures Contracts

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2.3.1 Delivery and Payment Procedures
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(3) 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 DCA or the euroSIC Account for Fixed Income Futures
Contracts denominated in EUR; and (iii) on the SIC Account for CONF Futures
Contracts.

2.3.5 Failure to Deliver
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(6) If on a delivery day only a partial delivery debt of 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 DCA or euroSIC Account.

2.4 Clearing of Index Futures Contracts

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244 Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
following the final settlement day (Number 1.3.4 of the Eurex Contract Specifications). An
exception are payments in Japanese Yen (JPY) under Futures Contracts on MSCI
Indices, which shall be made two Business Days after the final settlement day. All
Clearing Members must ensure their ability to effect payments on the due date thereof by
having sufficient credit balances in the RTGS Account DCA or the euroSIC Account; for
Futures Contracts on SMI, SLI® and SMIM®, respective credit balances on the SIC
Account shall be ensured.

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For T+2 currencies (JPY, DKK, NOK and SEK) the Variation Settlement
Amount is settled on T+2 (in contrast to CHF, EUR, GBP;_and USD-ard
PEN where the Variation Settlement Amount is settled on T+1). The value
of the Variation Settlement Amount instructed on T settles on T+2 and
reflects the interest payment from T+1 to T+2. It is calculated as:

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(bb) The relevant indices to determine the PAA are

(ixviii) In case the currency is SEK then STIBOR T/N.

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2.2.3 Calculation of a Fixed Amount
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(b) Fixed Amount — Non-Compounded

Subject to limb (c), if an amount is not specified in the Swap Trade Novation Report
as the Fixed Amount payable by that party for that Payment Date or for the related
Calculation Period, and if such amount is not otherwise determined as provided in
the Swap Trade Novation Report, an amount calculated that Payment Date or for the
related Calculation Period as follows:

Fixed Amount = Calculation Amount x Fixed Rate x Fixed Rate Day Count Fraction.

2.2.4 Calculation of a Floating Amount

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Part 1 General Provisions
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14 Clearing Licenses

1.1.2 Prerequisites for Clearing Licenses
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(2) The applicant shall meet the following additional requirements:
(a) Evidence of an account for cash payments in Euro:
= RTGS AccountDCA, or

= SECB Account and euroSIC Account,

Part 2 Clearing of Futures Contracts

2.2 Clearing of Money Market Futures Contracts

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2.24 Payment Procedures

To the extent not provided otherwise, all payments shall be made on the Business Day
following the final settlement day (pursuant to Number 1.1.4 of the Eurex Contract
Specifications). All Clearing Members must ensure their ability to effect payments on the
due date thereof by having sufficient credit balances in the RTGS Account DCA or the
euroSIC Account.

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(6) Floating Rates for ZCIS.
¢ ) “HICP» TT” +h ised-E: H:; isedtnad. fC

(b)
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(6?) [...]

If a Floating Rate is to be determined with respect to an Interest Rate Stub Period
and “Linear Interpolation” is not specified as applicable with respect to such
determination, the floating rate for such Interest Rate Stub Period shall be
determined pursuant to Number 2.1.5.1 (76) (c) (aa), (bb) or (dd) and/or Part 1
Number 1.8.3, as applicable.

2.2.6 Day Count Fraction Conventions

The following Day Count Fraction conventions may be specified in the Swap Trade
Novation Report based on the Trade Record transmitted via the ATS for determining the
applicable day count fraction:

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(8) 1/1, which shall have the meaning given to “1/1” in the 2021 ISDA Definitions-and

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Clearing of Interest Rate Derivative Transactions

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DELETIONS ARE CROSSED OUT

Part 1 General Provisions

1.7 Certain Definitions

In this Chapter II:

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

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

provision/
rounding of
amounts

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Norwegian NOK The Kingdom of Norway Oslo

Krone

Polish-Zloty = PLN The-Republic-of Poland Warsaw

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