Chapter II of the Clearing Conditions of Eurex Clearing AG

Transactions Concluded at
Eurex Deutschland

(Eurex Exchange)

As of 23.01.2023

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Price List of Eurex Clearing AG

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3.3 Position Closing Adjustments

(1) For Position Closing Adjustments, if these do not take place until 13:30 CET on the
trading day following the day of the transaction, the following fees shall be charged:

Product / Product Group Account | Fee per Contract

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Interest Rate Derivatives

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Three—Month EURIBOR Futures (incl. Strategies) EUR 0.40

Three-Month Euro STR Futures EUR 0.60

|Z lu i>|=/0)>

3.4 Cash Settlement

(1) The following fees are charged for cash settlement of the products listed below:

Maximum Fee for
Product / Product Group Account | Fee per Contract | Contracts on the
same underlying

LJ

Interest Rate Derivatives

LJ

A
Three-Month EURIBOR Futures
(incl. Strategies) P EUR 0.20 na.
M
A na.
Three-Month Euro STR Futures Pp EUR 0.30
M na

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2.2 Clearing of Money Market Futures Contracts
L.]
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2.2.2 Final Settlement Price
L.]

(3) With respect to Three-Month Euro STR Futures Contracts, the final settlement price
will be determined by Eurex Clearing AG in EUR on the final settlement day of the
respective contract (pursuant to Number 1.1.4 (3) of the Eurex Contract
Specifications) on the basis of the average of the Euro Short Term Rate (“€STR")
over a three-month period (taking into account the compounded interest effect) as
published by the European Central Bank (“ECB”) at 9 a.m. CE(S)T.

The final settlement price (FSP) is determined by the following formula:

FSP=100-

w
360 Fitwi
BOTT (4 -1)\/"1
N (LIC * 300) ] 00
te

Where:

M___is the number of observations of €STR in the respective contract
reference quarter.

N___is the number of calendar days in the reference quarter.

Fi__ is the €STR fixing (in percent) for the i-th TARGET2 business day in the
reference quarter (it being understood that €STR is published on each
TARGET2 business day based on transactions conducted and settled on the
previous TARGET2 business day, i.e. the reporting date “i-1” with a maturity
date of “i”).

For calendar days on which €STR is not published (e.g. Saturdays, Sundays
and bank holidays), €STR as published on the preceding TARGET2 business
day shall be applied.

Wi_is the number of days that Fi is applied.

(43) With respect to Three-Month EURIBOR Futures Contracts and 3M SARON®
Futures Contracts, the final settlement price will be determined by rounding the
result of the calculation between the respective outer pair of square brackets in the
respective formula as set out above to three decimal places and by subtracting the

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AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED
DELETIONS ARE CROSSED OUT

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Part 2 Clearing of Futures Contracts
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21 General Provisions
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2.1.2 Daily Settlement Price
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(4) Reference times

The scheduled reference times for the determination of the daily settlement prices
for the respective Futures Contracts (each a “Reference Time”) are set out in the

table below:
Contract Reference Time
(CE(S)T)

[.]

Index Dividend Futures Contracts 17:30

Money Market Futures Contracts:

FEU3,-and FSR3, FST3 17:15

FUG 18:00

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AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED

DELETIONS ARE CROSSED OUT

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3 Transaction Fees for Derivatives Transactions (Order Book Transactions and

Off-Book Transactions on the Eurex Exchange)

L.]

3.1 Matching / Registration of Derivatives Transactions
L.]

Standard Reduced
Fee per Fee per
Contract Contract
(contract (contract

Product / Execution volume $ volume >

Product Group Currency Type Accounts | threshold) threshold)

Threshold
(number
of
contracts)

L.]

Interest Rate Derivatives

Interest Rate Futures

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A na.

Order book P na.

M na.

A n.a.

CONF Future CHF Enlight P na.
M na.

A na.

TES P na.

M na.

A na.

Order book PB na.

M na

Three-Month Euro STR E A De:
M na.

A na

TES i na.

M na

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1n4i22, 9:09 AM. Money Market Futures: Introduction of I nree-lviontn Euro 51K Futures (F513)

14 Nov 2022
Eurex Clearing

Money Market Futures: Introduction of
Three-Month Euro STR Futures (FST3)

Eurex Clearing Circular 083/22 Money Market Futures: Introduction of
Three-Month Euro STR Futures (FST3)
1. Introduction

Effective 23 January 2023, Eurex Clearing will offer clearing services for Three-
Month Euro STR Futures introduced at Eurex Deutschland.

In this context, the following measures will apply effective on 23 January 2023:

@ Amendments to the Clearing Conditions of Eurex Clearing (Clearing
Conditions) regarding the inclusion of Three-Month Euro STR Futures,

@ Amendments to the Price List of Eurex Clearing (Price List) regarding
the inclusion of Three-Month Euro STR Futures.

Please refer to Eurex circular 108/22 for detailed trading-related information,
including fee classification, as well as the amendments of the relevant Rules
and Regulations of Eurex Deutschland.

Simulation start date: 1 July 2021
Production start date: 23 January 2023

2. Required action
There is no action required for participation.
3. Details of the initiative

A. Product overview

Product name Product Currency Product ISIN
ID

Three-Month Euro STR FST3 EUR DEOOOA3CNWO06

Futures

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(5)

amount from 100 (as set out above). When rounding to the third decimal place, the
following procedure shall be used. If the value of the fourth decimal place lies
between 1 and 5, the third decimal place shall be rounded down; if the value of the
fourth decimal place lies between 6 and 9, the third decimal place shall be rounded
up. (Example: If a EURIBOR interest rate is determined at 1.2235, it shall be
rounded down to 1.223 and this amount be subtracted from 100).

With respect to Three-Month Euro STR Futures Contracts, the final settlement price

will be determined by rounding the result of the calculation between the respective
outer pair of square brackets in the respective formula as set out above to four
decimal places and by subtracting the amount from 100 (as set out above). When
rounding to the fourth decimal place, the following procedure shall be used. If the
value of the fifth decimal place lies between 1 and 5, the fourth decimal place shall
be rounded down; if the value of the fifth decimal place lies between 6 and 9, the
fourth decimal place shall be rounded up.

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1n4i22, 9:09 AM. Money Market Futures: Introduction of I nree-lviontn Euro 51K Futures (F513)

Further information

, Attachment 1 to Eurex Clearing circular 083/22

, Attachment 2 to Eurex Clearing circular 083/22

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

Disclaimer Privacy notice Imprint Eurex Clearing Rules & Regulations Sitemap

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1n4i22, 9:09 AM. Money Market Futures: Introduction of I nree-lviontn Euro 51K Futures (F513)

Rules & Regs > Eurex Clearing Rules and 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 Price List of Eurex Clearing AG

Further information

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

Target Front Office/Trading, Middle + Back Office, IT/System
groups: Administration, Auditing/Security Coordination
Related Eurex Circular 108/22

circular:

Contact: client.services@eurex.com

Web: www.eurex.com/ec-en/

Authorized Jens Janka

by:

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1n4i22, 9:09 AM. Money Market Futures: Introduction of I nree-lviontn Euro 51K Futures (F513)

B. Contract specifications
For the detailed contract specifications, please refer to Eurex circular 108/22.
C. Product group

The product group of the new product is as follows:

Product Product Regulatory Settlement Product Product Capacity

group status type type currency name
Three- Money Approved Cash F EUR Cash
Month Market for trading EUR
Euro Derivative in the U.S
STR
Futures

D. Transaction fees

The fees for the new products can be retrieved from the updated sections of
the Price List, as outlined in Attachment 2.

E. Simulation

From 1 July 2021, the new products are available in the Eurex simulation
environment for testing purposes. For further information, please refer to the
simulation calendar on the Eurex website www.eurex.com under the following
link:

Support > Initiatives & Releases > Simulation calendar
F. 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:

Services > Risk parameters
G. Amendments to the legal framework of Eurex Clearing AG
The following provisions will be amended as outlined in the attachments:

@ Chapter II Part 2 Number 2.1.2 and 2.2.2 of the Clearing Conditions
@ Numbers 3.1, 3.3 and 3.4 of the Price List

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

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