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

FCM Regulations of Eurex Clearing AG

As of 08.05.2023

144-23 (100)_h

Dobie


Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 08.05.2023
Page 10

Ll

(14) Business Days

(a) For purposes of defining the applicable Business Days, the following financial
center(s) and/or terms may be specified:

Financial center(s) and/or terms fpML code
[-]

Zurich CHZU
Prague CZPR

[.]

Athens GRAT
Budapest HUBU

Le]

[el

(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)

Public

rate index and/or terms
For Payment For Effective For Fixing
Dates Date, Dates
Termination
Date
|
USD-LIBOR-BBA USNY USNY GBLO
EUR-EURIBOR-Reuters | EUTA EUTA EUTA
DKK-CIBOR-BKNA43, DKCO DKCO DKCO
DKK-CIBOR2-BKNA43.
145-23 (100)_h



Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 5

In case of IRS, OIS and ZCIS, the minimum period between the date of novation and
the Termination Date must be at least one Business Day for CHF, EUR, GBP, USD
and PLN and two Business Days for JPY, CZK, DKK, HUF, 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, USD and PLN and two Business Days for CZK, DKK, HUF, NOK and
SEK.

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

[el

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

[Lo]
(bb) [..]

the-termination-date i fter-04.10.2024-4M,3M, 6M:

(vi)_in case the currency is CZK or HUF: 1W, 2W, 1M, 2M, 3M, 6M.

[.]

[.-]
(8a) Floating Rate Options

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

144-23 (100)_h

Dobie


Eurex04e

Clearing Conditions of Eurex Clearing AG
learing Conditions of Eurex Clearing As of 08.05.2023

Page 1

Chapter VIII of the Clearing Conditions of Eurex Clearing AG

Clearing of OTC Interest Rate Derivative
Transactions and OTC NDF Transactions

As of 08.05.2023

145-23 (100)_h
Public


Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 2

AMENDMENTS ARE MARKED AS FOLLOWS:

INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

Part 1 General Provisions
[.-]

1.7 Certain Definitions
Le]

(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

Swiss Franc | CHF Switzerland Zurich

Czech CZK The Czech Republic Prague
Koruna

[el

Sterling GBP The United Kingdom London

Hungarian HUF The Republic of Hungary
Forint

Rounding: To
the nearest
whole (with one
half Hungarian
Forint being
rounded up).

144-23 (100)_h

Dobie


Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 8

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

(A)_CZK-PRIBOR, DKK-CIBOR, DKK-CIBOR2, HUF-BUBOR, SEK-
STIBOR, NOK-NIBOR: -10 to -2 Business Days; and

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

(9a) Delayed Payments
[Lo]
(a) for IRS:

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

(11) Calculation periods

The calculation period(s) for payment(s) of floating amounts and/or fixed amounts
(other than stub periods covered by Paragraph (7)) under the relevant Interest Rate
Derivative Transaction must be:

(a) for OIS: monthly, quarterly, semi-annually, annually, Zero coupon;

(b) for IRS: if the relevant rate is

i, _ EUR-EURIBOR:

For the floating leg and fixed leg: monthly, quarterly, semi-annually,
annually, Zero coupon;

ii, _CZK-PRIBOR, DKK-CIBOR, DKK-CIBOR2, HUF-BUBOR, NOK-NIBOR or
SEK-STIBOR:

a.__For the floating leg: quarterly, semi-annually, annually, zero coupon;

b. For the fixed leg: monthly, quarterly, semi-annually, annually, zero
coupon

(c) for basis swaps: if the relevant floating rate is

144-23 (100)_h

Dobie


Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 4

(3)

(4)

(5)

[Lo]
Payment types
[J

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, USD and PLN and two days after the
termination date for JPY, CZK, DKK, HUF, NOK and SEK. In case of maturity,
fees are settled on the maturity date.

Ll
Maximum remaining term_/ Termination Date

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

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

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

(v)__ for Original Swap Transactions in CZK or HUF, no more than 16 years

(5,871 calendar days).
(b) in case of basis swaps

(i)__ for Original OTC Transactions in CZK and HUF, no more than 16 years

5,871 calendar days).

(cb) in case of OIS,

bel

(ed) in case of FRA, for Original Swap Transactions in EUR, USD, CZK, DKK, HUF,
NOK, PLN 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

(de) in case of ZCIS,

[J

Minimum remaining term

144-23 (100)_h

Dobie


Eurex04e
Clearing Conditions of Eurex Clearing AG

As of 08.05.2023
Page 14
Led
[J
2.2.5 Rates for calculating the Floating Amount
L.]
Floating Category / Underlying Designate | Fixing Fixing Floating | Rounding
Rate style index and d Maturity | Time Day Rate Day
Option: index Count
label administrato (unless | (unless Fraction
specified in r specified | specified
the OTC otherwis | otherwis
Trade ein the einthe
Novation OTC oTc
Report Trade Trade

Novation | Novation
Report) Report)

Category: Index: Swiss | Not 18:00, The day Actual/36_ | To the
Calculated Average applicable | Zurich vw 0 nearest
CHF- Rate Rate time one ten-
7 Overnight thousandt
Comoeund Style: (“SARON") hofa
Compounde percentag
7 d Floating Index e point
(or CHF. Rate Option | Administrator (0.0001 %
SARON- ; ’
ols- : SIX Swiss )

Compoundin | Exchange
COMPOUN | g Method: | AG

>) ols
Compoundin
g
Category: Index: The Applicable 2Prague | As
Screen Rate | Prague Business | specified
Interbank Days: in the
ZK. Style: Term | Offered Rate precedin | OTC
PRIBOR Rate known as gthe Trade
PRIBOR) Reset Novation
(or CZ2K- \ Date Report
Index
BEBOR Administrator
PRO} i Czech
Financial
Benchmark
Facility .
Led
GBP-SONIA- | Category: Index: Sterlin | Not 09:00, 1 London | Actual/36 | To the
ols Calculated Overnight applicable | London Business | 5 (Fixed) | nearest
Compound Rate Index time Day one ten-
Average rate following thousandt
(or GBP- Style: (“SONIA”) the day hofa
SONIA- Compounde i percentag
COMPOUN | d Floating Index e point
D) Rate Option | Administrator

145-23 (100)_h
Public



Eurex04e

Clearing Conditions of Eurex Clearing AG As of 08.05.2023

Page 6

LJ
(8a) Floating Rate Options

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

Floating Rate Options (major currencies)

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

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

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

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

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

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

USD-LIBOR (also referred to as USD-LIBOR-BBA):;

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

Floating Rate Options (minor currencies)

CZK-PRIBOR (also referred to as CZK-PRIBOR-PRBO);

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

HUF-BUBOR (also referred to as HUF-BUBOR-Reuters):;"

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

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

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

145-23 (100)_h
Public



sae

Y(OOL) €2-rrL

pue|6u3,

Jo yueg JoJeysIUIWUpY xepu] | _UONdO eyey Buyeo|s _Wannosivog

(% 1000'0) pepunodwog :ajig
julod eBeueosed Aep ayy Bumoyjoy (.WINOS,) punodwog

Jo yypuesnoU (paxi4) Aeq sseursng ajqeoidde ayes aBesany Xepul yey . .
-U9] 8U0 }Sa/e9U BY) OL sgejlenjoy uopuo7 | wy UOPUCT ‘00:60 JON IUBIWAAG UILaIg :xepUl | pareiNg|eD :AioBayeq | SIO"VINOS-daD
tl
yreuyoueg feoueuly
yodsy WOS75 TISIEHSILID XSDUT (Ogud-sOated
podey Yoez— -JOyeNSIUIWIpY Xepuy O8dd pee
TOHENON seq esey sey USL INS 4Z9

peal ayy buipeoeid woad Oa

dems uy skeq ssouisng Se UMOUH) SJEY PSleO aeg

ur payioeds sy anBelgc auiy enBelg 00-1) aiqeciddy yuequayuy enbeig ey -Xepuy Waaldg -AIOBS}ED

Bulpunodwog

SIO :poueI
sirediog  ungaeg
9Vv eBueyoxy ssimg uondo ayey Bujeoj4 “4HO 40)

(% 1L000°0) XIS JOWeNSIUIWpY xeput papunodwiog ais
quiod aBeyuaoled Punodwoo slo
e Jo upuesnouy aiqeoidde (.NOUWS,) 1UBILEAO arey NOUVS"SIH

-ua} 8u0 JSa/e9U BY} OL ogejienoy 1, Aep euL aul YNZ ‘00:81 JON — ayey eBesany ssimg :xapul | payeingjeg :AuobayeQ

(yioday uoleAoN
apes, dems = (yodey uoeaon apes podey uoeAoN
24} UI asIMueyjo | AeMg ay} UI asIMUAaYyIO ope, dems
uoNse14 | payloads ssajun) payloads ssejun) 9uyj ul payloads
yunog Aeq Aunyew 40324}: jpe xapul Jaqe| :uondo.
Burlpunoy | a}ey Buyeoj4 Aeg Buixig ew, Buixiy payeubiseq pue xepu! BulApapun, alAys | AsoBaye5 ayey Bueol4
pl abed

€Z02'S0'80 Jo sv

Ov Burea|g xeing jo suoyeinBey WO

agoxeing



Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023
Page 11
Referenced floating FpML code of the mandatory financial center(s)
rate index and/or terms
For Payment For Effective For Fixing
Date Date, Days
Termination
Date
USD-SOFR- USNY USNY USGS
GOMPOUNDOIS
Compound
USD-Federal Funds- USNY USNY USNY
H.15-OlS Compound-
COMPOUND
EUR-EuroSTR-OIS EUTA EUTA EUTA
CompoundGCOMPOUND
GBP-SONIA-OIS GBLO GBLO GBLO
CompoundGOMPOUND
JPY-TONA-OIS JPTO JPTO JPTO
Compound-
SSHPOINS
Ld
[J
LJ
2.2 Product-related terms for Interest Rate Derivative Transactions
L.]
2.2.1 Payment Obligations

[Ll

(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, USD or PLN and were due on or
before the day of novation or (ii) are in JPY, CZK, DKK, HUF, NOK or SEK and will
become due on the next Business Day following the day of novation.

Le]

(5) The following additional primary payment obligations apply:

144-23 (100)_h

Dobie


Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 08.05.2023
Page 3

tel

Part 2

2.1.3.1

Ll

2.1.5

2.1.5.1

Clearing of OTC Interest Rate Derivative Transactions

General Provisions

Interest Rate Derivative Clearing License
L.]
Requirements for the Granting of an Interest Rate Derivatives Clearing License

L.]

(d) if the Interest Rate Derivatives Clearing License of the relevant Clearing Member or
ISA Direct Clearing Member covers OTC Interest Rate Derivative Transactions in
CHF, EUR, GBP, JPY, USD, CZK, DKK, HUF NOK, PLN and/or SEK, bank cash
account(s) in the relevant currency or currencies; and

Novation Criteria and Process Regarding OTC Interest Rate Derivative
Transactions

L.]

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

[.]
(2) Currencies
The currency must be

(i) for IRS (excluding basis swaps) and FRA: EUR, USD, CZK, DKK, HUF, SEK,
NOK or PLN;

(ii) basis swaps: EUR, USD, CZK, HUF, DKK, NOK or PLN;

[el

(3) Payment types

bel

145-23 (100)_h
Public


Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 08.05.2023

Page 2

TES SSSI SISSIES SSIS ERIS SISSIES IS ISI III

AMENDMENTS ARE MARKED AS FOLLOWS:

FESS SSS SSSR SSS SSS SISSIES SIE I ISI I RII

Ll

INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

Part 1 General Provisions

[.-.]
el

1.7 Certain Definitions

Led

(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

Swiss CHF Switzerland Zurich

Franc

Czech CZK The Czech Republic Prague

Koruna

Led

Sterling GBP The United Kingdom London

Hungarian | HUF The Republic of Rounding: To the

Eorint Hungary nearest whole (with

one half Hungarian
Forint being rounded
up).

145-23 (100)_h
Public



Eurex04e
Clearing Conditions of Eurex Clearing AG

As of 08.05.2023
Page 15
Floating Category / Underlying Designate | Fixing Fixing Floating | Rounding
Rate style index and d Maturity | Time Day Rate Day
Option: index Count
label administrato (unless | (unless Fraction
specified in r specified | specified
the OTC otherwis | otherwis
Trade einthe einthe
Novation oTc oTc
Report Trade Trade

Novation | Novation
Report) Report)

Compoundin | : Bank of (0.0001 %
g Method: England )
ols
Compoundin
g
Category: Index: The Applicable | 11:00. 2 As Rounding:
Screen Rate | Budapest Budapest | Budapest | specified | To the
Interbank time Business | inthe nearest
HUE- awe: Term Offered Rate Days oi ore whale
BUBC Rate own as precedin rade ‘with one
BUBOR (or BUBOR) athe Novation | half
BUBOR- Reset Report Hungarian
Reuters) Index Date Forint
Reuters) Administrator being
: Central rounded
Bank of up).
Hungary

145-23 (100)_h
Public



Eurex04e
As of 08.05.2023
Page 5

Clearing Conditions of Eurex Clearing AG

In case of IRS, OIS and ZCIS, the minimum period between the date of novation and
the Termination Date must be at least one Business Day for CHF, EUR, GBP, USD
and PLN and two Business Days for JPY, CZK, DKK, HUF, 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, USD and PLN and two Business Days for CZK, DKK, HUF, NOK and
SEK.

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

[el

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

[el

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

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

(vi)_in case the currency is CZK or HUF: 1W, 2W, 1M, 2M, 3M, 6M.

145-23 (100)_h
Public


Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 6

Floating Rate Options (major currencies)

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

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

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

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

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

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

USD-LIBOR (also referred to as USD-LIBOR-BBA);

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

Floating Rate Options (minor currencies)

CZK-PRIBOR (also referred to as CZK-PRIBOR-PRBO);

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

HUF-BUBOR (also referred to as HUF-BUBOR-Reuters):;"

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

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

SEK-STIBOR (also referred to as SEK-STIBOR-SIDE):

(a) EUR-EURIBOR {al forred-t EUR-EURIBOR-Reuters):

(b}—-USD-LIBOR {also-referred-t USD-LIBOR-BBA):

144-23 (100)_h

Dobie


4113123, 1U:9/ AML EurexU IU Clear — New products launcn: A. introduction of Gzecn Koruna (CZK) and Hungarian Forint (HUF) Interest Kate ...

13 Apr 2023
Eurex Clearing

EurexOTC Clear — New products launch:
A. Introduction of Czech Koruna (CZK)
and Hungarian Forint (HUF) Interest Rate
Derivatives; B. Editorial changes to the
Clearing Conditions and FCM Regulations
for the new products

Eurex Clearing Circular 024/23 EurexOTC Clear - New products launch: A.
Introduction of Czech Koruna (CZK) and Hungarian Forint (HUF) Interest
Rate Derivatives; B. Editorial changes to the Clearing Conditions and FCM
Regulations for the new products

1. Introduction

This circular contains information with respect to Eurex Clearing AG's service
offering and corresponding amendments to the Clearing Conditions and FCM
Regulations of Eurex Clearing AG (“Clearing Conditions”, “FCM Regulations”)
regarding the following topics:

A. Introduction of the Czech Koruna (CZK) and the Hungarian Forint (HUF)
Interest Rate Derivatives for EurexOTC Clear,

B. Editorial changes to the provisions for the clearing of the Czech Koruna
(CZK) and the Hungarian Forint (HUF) Interest Rate Derivatives in the Clearing
Conditions and FCM Regulations.

The amendments to the Clearing Conditions and FCM Regulations will come
into effect as of 8 May 2023.

2. Required action

Clearing Members, who would like to clear products in the Czech Koruna (CZK)
and the Hungarian Forint (HUF) Interest Rate Derivatives for the EurexOTC
Clear market, are required to have the necessary bank infrastructure for the

httne:/www etiray camlec-en/findicircularsiclearina-circiilar-250NGR? 414,


Eurex04e

Clearing Conditions of Eurex Clearing AG
learing Conditions of urex Clearing As of 08.05.2023

Page 8

A Fixing Day offset may be specified in the limits of the following parameters:
(a) for OIS: 0 Business dDays
(b) for IRS: -10 to 0 Business Days

For basis swaps: for the floating leg referencing

(A): EUR-EURIBOR, USD-LIBOR, CZK-PRIBOR, HUF-BUBOR: -10 to 0
Business Days; and

(B): 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) CZK-PRIBOR, DKK-CIBOR, DKK-CIBOR2, HUF-BUBOR, SEK-
STIBOR, NOK-NIBOR: -10 to -2 Business Days; and

(B) EUR-EURIBOR, USD-LIBOR, PLN-WIBOR: -10 to -1 Business Days;
[1
Le]
(9a) Delayed Payments
[.

(a) for IRS:

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

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

LJ]
(11) Calculation periods

The calculation period(s) for payment(s) of floating amounts_and/or fixed amounts
(other than stub periods covered by Paragraph (7)) under the relevant OTC Interest
Rate Derivative Transaction inEUR{otherthan-OlS) must be: th, th

145-23 (100)_h
Public


Eurex04e
learing Conditi f E Clearing AG
Clearing Conditions of Eurex Clearing As of 08.05.2023

Page 7

(k) EUR-EuroSTR-OIS-Compoundal

For ZCIS, the following indices are eligible:

Indices

FRCPIx (for ZCIS in trade currency EUR);

HICPxT (for ZCIS in trade currency EUR);

UK RPI (for ZCIS in trade currency GBP);

(8d) Fixing Day offset

145-23 (100)_h
Public



Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 13

Ll

2.2.5

(iv) In case the currency is JPY then TONAR (Tokyo Overnight Average
Rate);

(v) In case the currency is USD then SOFR (Secured Overnight
Financing Rate);

(vi)_In case the currency is CZK then CZEONIA (Czech Overnight Index
Average);

(vii) In case the currency is DKK then T/N (the rate for tomorrow next
deposits in Danish Krone as published by the Danish Financial

Benchmark Facilitypublished-by_Danish-National Bank);

(viii) In case the currency is HUF then HUFONIA (Hungarian Forint

Overnight Index Average);

(ixviii) In case the currency is NOK then NOWA (Norwegian Overnight
Weighted Average);

(vilix) In case the currency is PLN then POLONIA (Polish Zloty
interest rate on overnight unsecured interbank depositsPolish.
Overnightindex Average);

(ix) In case the currency is SEK then STIBOR T/N (the day-to-day fixing

(known as the Tomorrow/Next (or T/N fixing)) of the rate for deposits
in Swedish Krona known as the Stockholm Interbank Offered Rate).

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”):

144-23 (100)_h

Dobie


Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 12

(a)

(b)

bel

“Variation Settlement Amount” means an amount which shall equal the profit
or loss amount determined with respect to an outstanding Interest Rate
Derivative Transaction on the relevant Business Day on the basis of the daily
evaluation price (pursuant to Number 2.1.6) as follows: For Interest Rate
Derivative Transactions entered into on the relevant Business Day, the relevant
profit or loss amount shall be the difference between zero and the daily
evaluation price for such Business Day. For each outstanding Interest Rate
Derivative Transaction entered into prior to the relevant Business Day, the
relevant profit or loss amount shall be the difference between the daily
evaluation prices of the Interest Rate Derivative Transaction on the relevant
Business Day and the previous Business Day. On the Last Variation Settlement
Amount Payment Date, the relevant profit or loss amount shall be the difference
between the daily evaluation price of the Interest Rate Derivative Transaction of
the previous Business Day and zero. Additionally, the Variation Settlement
Amount includes two correction terms for considering the time delay between its
calculation and settlement. For this purpose, the coupon payments and
transaction fees on the current Business Day are added and the coupon
payments and transaction fees on the next Business Day (second next
Business Day for CZK, DKK, HUF, NOK, SEK and JPY) of the respective
currency are subtracted.

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 T+2 currencies (JPY, CZK, DKK, HUF; NOK and SEk) the Variation
Settlement Amount is settled on T+2 (in contrast to CHF, EUR, GBP, USD
and PLN 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:

PAA (T) = - MtM_exCF(T-1)* ONR(T, T+1) * YF(T+1,T+2),

with

MtM_exCF(T-1) = MtM(T-1)- DCF(T-1,T)-CF(T-1,T+1).
(bb) The relevant indices to determine the PAA are

(i) In case the currency is CHF then SARON (Swiss Average Rate
Overnight);

(ii) In case the currency is EUR then €STR (Euro Short-Term Rate);

(iii) In case the currency is GBP then SONIA (Sterling Overnight Index
Average rate);

144-23 (100)_h

Dobie


Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 08.05.2023
Page 4

(4)

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, USD and PLN and two days after the
termination date for JPY, CZK, DKK, HUF, NOK and SEK. In case of maturity,
fees are settled on the maturity date.

[Ll
Maximum remaining term / Termination Date
Ll

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

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

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

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

(iv) for Original OTC Transactions in PLN, CZK and HUF, no more than 16
years (5,871 calendar days).;

b) in case of basis swaps.

(i) for Original OTC Transactions in PLN, CZK and HUF, no more than 16
years (5,871 calendar days).

(bc) in case of OIS,

(.

(ed) in case of FRA, for Original OTC Transactions in EUR, USD, CZK, DKK, HUF,
NOK, PLN 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;
and

[el

(5) Minimum remaining term

145-23 (100)_h
Public


Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023
Page 3
Ll
(.]
Part 2 Clearing of Interest Rate Derivative Transactions
21 General Provisions
(.]
2.1.3 Interest Rate Derivates Clearing License
Le]
2.1.3.1 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:
Ll
(4) if the Interest Rate Derivatives Clearing License of the relevant FCM Clearing
Member covers Interest Rate Derivative Transactions CHF, EUR, GBP, JPY, USD,
CZK, DKK, HUF, NOK, PLN and/or SEK, bank cash account(s) in the relevant
currency or currencies; and
L.]
LJ
2.1.5 Novation Criteria and Process Regarding Interest Rate Derivative Transactions
Le]
2.1.5.1 Specific Novation Criteria and Terms for Swap Transactions

Le]
(2) Currencies
The currency must be

(i) for IRS (excluding basis swaps) and FRA: EUR, USD, CZK, DKK, HUF, SEK,
NOK or PLN;

(ii) for basis swaps: EUR, USD, DKK, NOK,-er PLN; CZK or HUF and

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

144-23 (100)_h

Dobie


Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 9

i, _ EUR-EURIBOR, EUR-EuroSTR-OIS Compound, USD-Federal Funds-OlS
Compound or USD-SOFR OIS Compound:

for both legs: monthly, quarterly, semi-annually, annually, zero coupon;

ii, _CZK-PRIBOR, DKK-CIBOR, DKK-CIBOR2, HUF-BUBOR or; NOK-NIBOR:

for both legs: quarterly, semi-annually, annually, zero coupon;

d) for FRAs: n/a.

If a payment date for a fixed or floating rate payment is adjusted in accordance with
any applicable Business Day Convention, the number of days in the relevant
calculation period may either be adjusted to the new payment date or remain
unadjusted, which is to be specified in the Trade Record submitted via the ATS.

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

(12) Notional amount

The minimum notional amount must be (i) 0.01 for CHF, EUR, GBP, USD, CZK,
DKK, NOK, SEK or PLN or (ii) 1.00 for JPY_and HUF.

[J
L.]
(14) Business Days

(a) For purposes of defining the applicable Business Days, the following financial
center(s) and/or terms may be specified:

Financial center(s) and/or terms fpML code

[.]

Zurich CHZU

Prague CZPR
144-23 (100)_h

Dobie


4113123, 1U:9/ AML EurexU IU Clear — New products launcn: A. introduction of Gzecn Koruna (CZK) and Hungarian Forint (HUF) Interest Kate ...

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

Related Eurex Clearing Circular 007/22

circular:

Contact: client.services@eurex.com or your dedicated Clearing Key

Account Manager

Web: www.eurex.com/ec-en/
Authorized Dmitrij Senko
by:

Further information

=, Attachment 1 to Eurex Clearing Circular 024/23

, Attachment 2 to Eurex Clearing Circular 024/23

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

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

httns:/iwww erirex eam/ec-enifind/cireulars/clearina-circiilar-250N9R2 Ala


Eurex04e
Clearing Conditions of Eurex Clearing AG

As of 08.05.2023
Page 11

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

SEK-STIBOR-SIDE SEST SEST SEST
NOK-NIBOR-O!BOR NOOS NOOS NOOS
Poth be
PLN-WIBOR-WiBO- PLWA PLWA PLWA
CZK PRIBOR CZPR CZPR CZPR
HUF-BUBOR HUBU HUBU HUBU
USD-SOFR-OIS USNY USNY USGS
CompoundGOMPOUND
USD-Federal Funds- USNY USNY USNY
H.15-OlS-
CompoundGOMPOUND
EUR-EuroSTR-OIS EUTA EUTA EUTA
CompoundGOMPOUND
GBP-SONIA-OIS GBLO GBLO GBLO
CompoundGOMPOUND
JPY-TONA-OIS- JPTO JPTO JPTO
CompoundGOMPOUND
[J

2.1.7 Margin Requirements
L.]

(4) In addition to Variation Margin and ISA Direct Variation Margin, as applicable, and as
part of the primary payment obligations of CTM Interest Rate Derivative
Transactions, interest (the so-called price alignment interest (“PAI”)) shall be

145-23 (100)_h
Public


Eurex04e
As of 08.05.2023
Page 13

Clearing Conditions of Eurex Clearing AG

not subject to these Clearing Conditions in case these payments (i) are in CHF,
EUR, GBP, USD or PLN and were due on or before the day of novation or (ii) are in
JPY, CZK, DKK, HUF, NOK or SEK and were due on or before the day of novation
or will become due on the next Business Day following the day of novation.

(5) The following additional primary payment obligations apply under STM Interest Rate
Derivative Transactions:

(a) [..]

“IRS STM Amount’ means, an amount which shall equal the profit or loss
amount determined with respect to an outstanding STM Interest Rate Derivative
Transaction on the relevant Business Day on the basis of the daily evaluation
price (pursuant to Number 2.1.6) as follows: For STM Interest Rate Derivative
Transactions concluded on the relevant Business Day, the relevant profit or
loss amount shall be the difference between zero and the daily evaluation price
for such Business Day. For each outstanding STM Interest Rate Derivative
Transaction concluded (whether as STM Interest Rate Derivative Transaction or
CTM Interest Rate Derivative Transaction) prior to the relevant Business Day,
the relevant profit or loss amount shall be the difference between the daily
evaluation prices of the STM Interest Rate Derivative Transaction on the
relevant Business Day and the previous Business Day. On the Last IRS STM
Amount Payment Date, the relevant profit or loss amount shall be the difference
between the daily evaluation price of the STM Interest Rate Derivative
Transaction of the previous Business Day and zero. Additionally, the IRS STM
Amount includes two correction terms for considering the time delay between its
calculation and settlement. For this purpose, the coupon payments and
transaction fees on the current Business Day are added and the coupon
payments and transaction fees on the next Business Day (second next
Business Day for CZK, DKK, HUF, NOK, SEK and JPY) of the respective
currency are subtracted.

(b) L.]
(aa) [...]

The equation above is also applied with respect to GBP FRAs with
settlement in advance, where the IRS STM Amount and the IRS PAA are
instructed intraday before the SONIA overnight rate is available.

For T+2 currencies (JPY, CZK, DKK, HUF, NOK and SEK) the IRS STM
Amount is settled on T+2 (in contrast to CHF, EUR, GBP, USD and PLN
where the IRS STM Amount is settled on T+1). The value of IRS PAA
instructed on T settles on T+2 and reflects the interest payment from T+1
to T+2. It is calculated as:

145-23 (100)_h
Public


4113123, 1U:9/ AML EurexU IU Clear — New products launcn: A. introduction of Gzecn Koruna (CZK) and Hungarian Forint (HUF) Interest Kate ...

Services > Risk parameters
E. Amendments to the legal framework of Eurex Clearing

The following provisions will be amended as outlined in the Attachments 1 and
2:

© Chapter VIII Part 1 Number 1.7; Part 2 Numbers 2.1.3, 2.1.5, 2.1.7, 2.2.1,
2.2.5 of the Clearing Conditions

¢ Chapter II Part 1 Number 1.7; Part 2 Numbers 2.1.3, 2.1.5, 2.1.7, 2.2.1,
2.2.5 of the FCM Regulations

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

Rules & Regs > 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 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 the Clearing Conditions of Eurex Clearing AG
2 - Amended sections of the FCM Regulations of Eurex Clearing AG

Further information
Recipients: All Clearing Members, all FCM Clearing Members, ISA Direct

Clearing Members, Disclosed Direct Clients of Eurex Clearing AG
and vendors

httne:/www etiray camlec-en/findicircularsiclearina-circiilar-250NGR? R14


Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023

Page 7

()}_USD-SOFR-O1S-Compound (also-referred-t USD-SOFR-GOMPOUND):

For ZCIS, the following indices are eligible:

Indices

ERCPIx (for ZCIS in trade currency EUR);

HICPxT (for ZCIS in trade currency EUR);

UK RPI (for ZCIS in trade currency GBP)

(a) -HICPxT_(for ZCIS-in-trad. EUR):
4 € ¥ He

(b)_-FRCPIx (for ZCIS-in-trad: EUR):
u € y¥ He

fo} UK RPL or 26 Ssiniads-cuneney-GBIYy-
[.]
(8d) Fixing Day offset
A Fixing Day offset may be specified in the limits of the following parameters:
(a) for OIS: 0 Bbusiness Ddays
(b) for IRS: -10 to 0 Business Days
For basis swaps: for the floating leg referencing

(A): EUR-EURIBOR, USD-LIBOR, CZK-PRIBOR, HUF-BUBOR:
-10 to 0 Business Days; and

[J

(c) for FRAs:

144-23 (100)_h

Dobie


4113123, 1U:9/ AML EurexU IU Clear — New products launcn: A. introduction of Gzecn Koruna (CZK) and Hungarian Forint (HUF) Interest Kate ...

payments in the given currencies. For more setup related questions, please
reach out to your dedicated Clearing Key Account Manager or send an e-mail
to client.services@eurex.com.

3. Details of the initiative

As announced in Eurex Clearing Circular 007/22, Eurex Clearing has extended
its clearing product offerings for the Czech Koruna (CZK) and the Hungarian
Forint (HUF) products technically starting from 27 June 2022. Upon receiving
the regulatory approval, Eurex Clearing is pleased to inform its Clearing
Members that clearing services for the Czech Koruna (CZK) and the Hungarian
Forint (HUF) products for EurexOTC Clear will be offered in the production
environment starting from Monday, 8 May 2023.

A. Product overview

The Czech Koruna (CZK) and the Hungarian Forint (HUF) Interest Rate
Derivatives which will be supported by EurexOTC Clear are:

Interest Rate Swap (IRS): Vanilla Fixed/Float with max maturity 16Y
Single Currency Basis Swaps: Vanilla Float/Float with max maturity 16Y
Forward Rate Agreement (FRA): Vanilla with max maturity 3Y

Interest Rate Swap (IRS) and Single Currency Basis Swaps allowing
Variable Notionals, Fixed Rate and Index Spreads

a a

B. Indices and tenors overview
The new floating rate indices and tenors are:

 CZK-PRIBOR on 3M and 6M
@ HUF-BUBOR on 3M and 6M

In connection with the introduction, please also consider the “EurexOTC Clear
Product List” which has already been updated for the simulation and
published, and will be updated for the production as of 8 May 2023 in the
Member Section of Deutsche Borse Group under the following path:

Resources > Eurex Clearing > Documentation & Files > EurexOTC Clear >
System documentation > Overview

C. Transaction fees

The fees for the new products can be retrieved from the Price List of Eurex
Clearing AG that was not amended for the introduction of the new products.

D. Risk parameters

Margins for the new products are calculated in Prisma. For the risk parameters
of the new products, please refer to the Eurex Clearing website
www.eurex.com/ec-en/ under the link:

httne:/www etiray camlec-en/findicircularsiclearina-circiilar-250NGR? 21h


sae

Y(OOL) €2-rrL

SOCCER EEE

yodey
(dn pepunos UONEAON aye seu
Bulag juno uevebunH apelL Su) bulpaseid
Fey auo UM) ajoum dems our skeq ssauisng

ebuny jo yueg
jenuag JO}eRSUWpY Xepuy

(goa se MOUs
yey Psss7#O YUeQIa}U]

yey WEL -a/S

yey

‘sTeney
“uOand-3NH
40) YOsNg-4NH

ysoaueou 8} Of “buipunoy Ul peyioeds sy jsedepng Z ow ysedepng “00-11 aiqeojddy ysedepng ey] -xepuj weeds -AobayeD
Bulpunodwos
SIO :pourel)
Bulpunodwo9
apes, demg = (ywodey uoyeAon apes podey uoHeAoN
284} Ul aSIMueyZO | GEMS ey} U! es|MIAaY30 apes, dems
uoyse14 | payloads ssajun) 84} ul paljioeds
yunog Aeg Aunyew 40}e4}S|UIWpe Xapul Jaqe| :uondo.
Burlpunoy | 2a}ey Buyeoj4 Aeg Bux peyeubiseq pue xepul BulApepun, alAys | AsoBaye9 ejyey Buneol4
S| a6ed

€Z02'S0'80 Jo sv

Ov Burea|g xeing jo suoyeinBey WO

agoxeing



Eurex05e

FCM Regulations of Eurex Clearing AG As of 08.05.2023
Page 10
Financial center(s) and/or terms fpML code
[-]
Athens GRAT
Budapest HUBU
LJ

The same financial center(s) and/or terms must be specified for the Effective Date,
the Termination Date and Payment Dates. However, for Fixing Days, different
financial center(s) and/or terms may be specified.

(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
Date Date, Days
Termination
Date
USD-LIBOR-BBA USNY USNY GBLO
EUR-EURIBOR-Reuters | EUTA EUTA EUTA
DKK-CIBOR-BKNA43, DKCO DKCO DKCO

DKK-CIBOR2-BKNA43,

SEK-STIBOR-SIDE SEST SEST SEST

NOK-NIBOR-O!}BOR NOOS NOOS NOOS

NOK-NIBOR-NIBR_

PLN-WIBOR-WiBO- PLWA PLWA PLWA

CZK-PRIBOR CZPR CZPR CZPR

HUF-BUBOR HUBU HUBU HUBU
144-23 (100)_h

Dobie



Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 08.05.2023
Page 9

for OIS: monthly, quarterly, semi-annually, annually, Zero coupon;

for IRS: if the relevant rate is

(c)

i EUR-EURIBOR:

For the floating leg and fixed leg: monthly, quarterly, semi-annually,

annually, Zero coupon;

CZK-PRIBOR, DKK-CIBOR, DKK-CIBOR2, HUF-BUBOR, NOK-

NIBORPLN-WIBOR or SEK-STIBOR:

a.__ For the floating leg: quarterly, semi-annually, annually, zero coupon;

b. For the fixed leg: monthly, quarterly, semi-annually, annually, zero
coupon;

for basis swaps: if the relevant floating rate is

EUR-EURIBOR, EUR-EuroSTR-OIS Compound, USD-Federal Funds-OIS

Compound or USD-SOFR OIS Compound:

for both legs: monthly, quarterly, semi-annually, annually, zero coupon;

CZK-PRIBOR, DKK-CIBOR, DKK-CIBOR2, HUF-BUBOR, NOK-NIBOR or

PLN-WIBOR:

for both legs: quarterly, semi-annually, annually, zero coupon;

d) for FRAs: n/a;

‘e) for ZCIS: zero coupon

If a payment date for a fixed or floating rate payment is adjusted in accordance
with any applicable Business Day Convention, the number of days in the relevant
calculation period may either be adjusted to the new payment date or remain
unadjusted, which is to be specified in the Trade Record submitted via the ATS.

Except for ZCIS and FRA, the start and end dates can be different for each leg of an
OTC Interest Rate Derivative Transaction.

(12) Notional amount

The minimum notional amount must be (i) 0.01 for CHF, EUR, GBP, USD, CZK,
DKK, NOK, SEK or PLN or (ii) 1.00 for JPY_and HUF.

145-23 (100)_h
Public


Eurex04e
As of 08.05.2023
Page 12

Clearing Conditions of Eurex Clearing AG

payable on the cumulative Variation Margin or ISA Direct Variation Margin,
respectively, at the applicable overnight interest rate.

[Lo]
(b) The relevant indices to determine the PAI are:

(i) In case the currency is CHF then SARON (Swiss Average Rate Overnight);

(ii) In case the currency is EUR then €STR (Euro Short-Term Rate);

(ili) In case the currency is GBP then SONIA (Sterling Overnight Index
Average rate);

(iv) In case the currency is JPY then TONA (Tokyo Overnight Average Rate)R;

(v) In case the currency is USD then SOFR (Secured Overnight Financing
Rate);

(vi)_In case the currency is CZK then CZEONIA (Czech Overnight Index
Average);

(vii) In case the currency is DKK then T/N (the rate for tomorrow next deposits
in Danish Krone as published by the Danish-National BankDanish Financial
Benchmark Facility);

(viii) In case the currency is HUF then HUFONIA (Hungarian Forint Overnight
Index Average);

(viiix) In case the currency is NOK then NOWA (Norwegian Overnight Weighted
Average);

(vilix) In case the currency is PLN then POLONIA (Polish Zloty interest rate on
overnight unsecured interbank deposits Pelish Overnightindex Average):;

(xiix) In case the currency is SEK then STIBOR T/N (the day-to-day fixing
(known as the Tomorrow/Next (or T/N fixing)) of the rate for deposits in
Swedish Krona known as the Stockholm Interbank Offered Rate).:

Le]

2.2 Product-related terms for OTC Interest Rate Derivative Transactions
L.]

2.2.1 Payment obligations
L.]

(3) Payments under the relevant Original OTC Interest Rate Derivative Transaction will
not be owed under the relevant OTC Interest Rate Derivative Transaction and are

145-23 (100)_h
Public