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(146) Further Contributions of FCM Clearing Members and Clearing Members that are
not qualifying as non-bidding auction participant

FeurteenthSixteenth, Eurex Clearing AG will, with respect to the losses arising from
a Relevant Liquidation Group, realise the applicable Liquidation Group Ratio of

Lol

“Liquidation Group Ratio” with respect to this Paragraph (164) means the fraction
of the available FCM Further Contribution, CM Further Contribution, Non-Affected
ISA Direct Clearing Member Further Contribution and Further Dedicated Amount
which may be realised under this Paragraph (14) and which will be determined as
follows:

L

3.2.2 Further requirements with respect to the order of priority

In addition, Eurex Clearing AG considers the following requirements when determining
the order of priority in accordance with Number 3.2.1:

(a) With respect to the realisation of the Contributions and the Dedicated Amount under

Paragraphs (1) to (16)-2}-{3} {48} {6} {){9)- 44-43} and 44), the order of

priority shall be applied to all Relevant Liquidation Groups simultaneously before, in
each case, the respective next paragraph is applied.

(b) If, in the case of Paragraphs (7), (9), (13+), (4315) and (164), with respect to a
Relevant Liquidation Group the available

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128122, 9:24 AM. Amenaments to tne Glearing Conaitions of Eurex Clearing - Consultation - Implementation ot Article y (14) of Kegulation (E

a Consultation which will end with the expiry of 28 December 2022.

Eurex Clearing herewith invites all Affected Customers to submit
comments on the proposed changes and amendments within the
Consultation Period.

During the Consultation Period, comments on proposed changes or
amendments shall be only submitted through a web-based commenting
service for which a registration form is available on the Eurex Clearing website
under the following link: link: Find > Forms.

The form has to be duly signed and returned to Eurex Clearing via e-mail to
SpecialProvisions@eurex.com, in order to obtain a User ID and Password
together with a link for accessing the web-based commenting service.

To the extent that Eurex Clearing decides to implement any comments
received during the Consultation, the so-amended version of the Clearing
Conditions will be published after the Consultation.

The currently envisaged effective date of the changes is 12 February 2023.
However, after the Consultation Period, Eurex Clearing will issue a separate
circular to announce the concrete date on which the proposed changes (as the
case may be, implementing comments received during the Consultation) will
come into effect.

This announcement will be made with at least 15 Business Days’ notice
(Regular Notification Period). However, if Eurex Clearing should receive a
request for a Prolonged Notification Period from more than two Affected
Customers during the Consultation Period, a Prolonged Notification Period as
set out in the Clearing Conditions will be applied and Eurex Clearing will notify
all affected parties accordingly.

Publication of amendments to the Clearing Conditions, FCM Regulations
and the FCM Default Rules

As of the effective date, the full versions of the amended Clearing Conditions,
FCM Regulations and the FCM Default Rules will be available for download on
the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

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

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Twelth, Eurex Clearing AG will realise the Remainder Amount relating to the SSITG.

“Remainder Amount” means with respect to this Paragraph (12) the aggregate of

(i) all remainders of the SSITG under all Relevant Liquidation Groups which have
been determined but have not been realised pursuant to Paragaph (10), and

(ii) the Liquidation Group Ratio of the SSITG determined under Paragraph (10)
relating to any other Liquidation Group which is not a Relevant Liquidation

Group.

Eurex Clearing AG will allocate the Remainder Amount to all Relevant Liquidation
Groups, with respect to which not all losses have been discharged under Paragraph
11), on a pro-rata basis.

(134) Seniorised Hedging Contribution

EleventhThirteenth, Eurex Clearing AG will, with respect to the losses arising from a
Relevant Liquidation Group, realise the applicable Liquidation Group Ratio of

Lol

“Liquidation Group Ratio” with respect to this Paragraph (4413) means the fraction
of the available Non-Affected CM Contributions, Non-Affected ISA Direct Clearing
Member Contributions or Non-Affected FCM Contributions which may be realised
with respect to the Relevant Liquidation Group under this Paragraph (4413) and
which will be determined as follows:

Ll
(4214) Remaining Seniorised Hedging Contributions

FwelfthEourteenth, Eurex Clearing AG will realise the Applicable CM/FCM
Remainder Amount of all FCM Clearing Members, Clearing Members and Clearing
Agents that are Winning Hedging Auction Participants.

“Applicable CM/FCM Remainder Amount’ with respect to this Paragraph (1214)
means the available Non-Affected FCM Contribution, Non-Affected CM Contribution
or Non-Affected ISA Direct Clearing Member Contributions of the relevant FCM
Clearing Member, Clearing Member, or Clearing Agent which may be realised under
this Paragraph (4214) and which will be determined as the product of (A) the ratio of
(AA) the Remainder Amount of the relevant FCM Clearing Member, Clearing
Member, or Clearing Agent and (BB) the aggregate of all Remainder Amounts of all
FCM Clearing Members, Clearing Members and Clearing Agents and (B) the Default
Fund Secured Caims which have not been discharged. The Applicable CM/FCM
Remainder Amount cannot exceed the Remainder Amount of the relevant FCM
Clearing Member, Clearing Member, or Clearing Agent.

“Remainder Amount’ with respect to this Paragraph (4214) means with respect to
the relevant FCM Clearing Member, Clearing Member, or Clearing Agent the

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6.2

6.2.1

to change the order in which the SSITG shall be realised within the order of priority
under Number 6.2.1 below.

The SSITG will be published on the Eurex Clearing Website.

For the avoidance of doubt, the SSITG shall also be used by Eurex Clearing AG to
cover any losses arising from the occurrence of a Non-Default Loss.

Realisation of the Default Fund

L-]

Order of Priority

In the case of a Realisation Event, the Contributions and Further Contributions will be
realised in accordance with the following order of priority:

|
(10) SSITG

Tenth, Eurex Clearing AG will, with respect to the losses arising from a Relevant

Liquidation Group, realise the applicable Liquidation Group Ratio of the SSITG.

“Liquidation Group Ratio” with respect to this Paragraph (10) means the fraction of

the available SSITG which may be realised with respect to the Relevant Liquidation
Group under this Paragraph (10) and which will be determined as the ratio of (A) the
part of the sum of all Initial Margin requirements (under the Clearing Conditions or
the FCM Regulations) and all Additional Margin requirements of all Clearing
Members and FCM Clearing Members determined for such Relevant Liquidation
Group and (B) the sum of all Initial Margin requirements (under the Clearing
Conditions and the FCM Regulations) and all Additional Margin requirements of all
Clearing Members and FCM Clearing Members determined for all Liquidation

Groups.

(4011 Remainder of Contributions of Clearing Members and FCM Clearing

Members that are not non-bidding auction participants

FenthEleventh, Eurex Clearing AG shall realise the Applicable CM/FCM Remainder
Amounts of all Clearing Members, Clearing Agents and FCM Clearing Members.

“Applicable CM/FCM Remainder Amount’ with respect to this Paragraph (110)
means the available Non-Affected CM Contribution, Non-Affected ISA Direct
Clearing Member Contribution or Non-Affected FCM Contribution of the relevant
Clearing Member, Clearing Agent or FCM Clearing Member which may be realised
under this Paragraph (4911) and which will be determined as the product of (A) the
ratio of (AA) the Remainder Amount of the relevant Clearing Member, Clearing
Agent or FCM Clearing Member and (BB) the aggregate of all Remainder Amounts
of all Clearing Members, Clearing Agents and FCM Clearing Members and (B) the

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128122, 9:24 AM.

Eurex

Amenamenis to tne Uearing Conaitions of Eurex Clearing - Consultation - Implementation oF Article Y (14) of Kegulation (&

Eurex Clearing Eurex Repo EEX 360T Xetra Bérse Frankfurt

Clearstream Qontigo

Disclaimer

Privacy notice Imprint Eurex Clearing Rules & Regulations Sitemap

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128122, 9:24 AM. Amenaments to tne Glearing Conaitions of Eurex Clearing - Consultation - Implementation ot Article y (14) of Kegulation (E

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. Updated sections of the Clearing Conditions of Eurex Clearing AG
2. Updated sections of the FCM Default Rules of Eurex Clearing AG

Further information

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

Target Front Office/Trading, Middle + Backoffice, IT/System
groups: Administration, Auditing/Security Coordination
Contact: client.services@eurex.com
Web: www.eurex.com/ec-en/
puthorized Dmitrij Senko

yy:

Further information

, Attachment 1 to Eurex Clearing circular 088/22

, Attachment 2 to Eurex Clearing circular 088/22

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aggregate of all remainders of Non-Affected FCM Contribution, Non-Affected CM
Contribution or Non-Affected ISA Direct Clearing Member Contribution of the
relevant FCM Clearing Member, Clearing Member, or Clearing Agent under all
Relevant Liquidation Groups which have been determined but have not been
realised pursuant to Paragraph (134).

Eurex Clearing AG will allocate all Applicable CM/FCM Remainder with respect
Amounts of all FCM Clearing Members, Clearing Members and Clearing Agents to
all Relevant Liquidation Groups, with respect to which not all losses have been
discharged under Paragraph (134), on a pro-rata basis.

(153) Further Contributions of non-bidding auction participants

FhirteenthFifteenth, Eurex Clearing AG will, with respect to the losses arising from a
Relevant Liquidation Group, realise the applicable Liquidation Group Ratio of

(i) the FCM Further Contributions of all FCM Clearing Members that are FCM Non-
Bidding Participants with respect to at least one DM Auction in the Relevant
Liquidation Group and

(ii) | the CM Further Contributions and Non-Affected ISA Direct Clearing Member
Further Contributions of all Clearing Members and Clearing Agents that are CM
Non-Bidding Participants with respect to at least one DM Auction in the
Relevant Liquidation Group.

“Liquidation Group Ratio” with respect to this Paragraph (153) means the fraction
of the available FCM Further Contribution, CM Further Contribution and Non-
Affected ISA Direct Clearing Member Further Contribution which may be realised
under this Paragraph (135) and which will be determined as follows:

(I) in the case of FCM Further Contribution, the ratio of (A) the part of the
requirement to provide FCM Further Contributions of the relevant FCM
Clearing Member applicable to such Relevant Liquidation Group and (B) the
aggregate requirement to provide FCM Further Contributions of the relevant
FCM Clearing Member,

(Il) in the case of CM Further Contribution, the ratio of (A) the part of the
requirement to provide CM Further Contributions of the relevant Clearing
Member applicable to such Relevant Liquidation Group and (B) the aggregate
requirement to provide CM Further Contributions of the relevant Clearing
Member, or

(Ill) in the case of Non-Affected ISA Direct Clearing Member Further Contribution,
the ratio of (A) the part of the requirement to provide Non-Affected ISA Direct
Clearing Member Further Contributions relating to the relevant ISA Direct
Clearing Member applicable to such Relevant Liquidation Group and (B) the
requirement to provide Non-Affected ISA Direct Clearing Member Further
Contributions relating to the relevant ISA Direct Clearing Member.

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Part 1
[el

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

General Clearing Provisions

Default Fund
[-]

Contributions to the Default Fund

Eurex Clearing AG’s dedicated own resources to the Default Fund

(1) Eurex Clearing AG will dedicate own resources to the Default Fund (the “Dedicated
Amount”) to be used, if a Clearing Member Termination Date with respect to one or
more Clearing Members, an ISA Direct Clearing Member Termination Date with
respect to one or more ISA Direct Clearing Members or an FCM Clearing Member
Termination Time with respect to one or more FCM Clearing Members occurs in
accordance with the order of priority as defined under Number 6.2.1 below.

The Dedicated Amount will be published on the Eurex Clearing Website.

IS

In addition to the Dedicated Amount, Eurex Clearing AG will further dedicate
additional own resources to the Default Fund in accordance with the CCP Recovery
and Resolution Regulation (the so-called second skin in the game - “SSITG”).

The SSITG shall be used, if a Clearing Member Termination Date with respect to one
or more Clearing Members, an ISA Direct Clearing Member Termination Date with
respect to one or more ISA Direct Clearing Members or an FCM Clearing Member
Termination Time with respect to one or more FCM Clearing Members occurs in
accordance with the order of priority as defined under Number 6.2.1 below. In case
Eurex Clearing AG exercises one of its rights under Number 7.5.4 and provided that
one or more recovery indicators as outlined in Eurex Clearing AG’s recovery plan
have been triggered when exercising such rights, Eurex Clearing AG shall be entitled

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28 Nov 2022
Eurex Clearing

Amendments to the Clearing Conditions
of Eurex Clearing - Consultation -
Implementation of Article 9 (14) of
Regulation (EU) 2021/23 (“Second Skin
in the Game”)

Eurex Clearing Circular 088/22 Amendments to the Clearing Conditions of
Eurex Clearing - Consultation - Implementation of Article 9 (14) of
Regulation (EU) 2021/23 (“Second Skin in the Game”)

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 (Clearing Conditions) and the FCM Default Rules
of Eurex Clearing (FCM Default Rules) regarding the following topic:

¢@ Implementation of the regulatory requirement on a “Second Skin in the
Game” (SSITG) stipulated by Article 9 (14) Regulation (EU) 2021/23 (CCP
Recovery & Resolution Regulation).

The amendments to the Clearing Conditions regarding the above topic are
subject to a consultation process (Consultation). The Consultation will end on
28 December 2022 (Consultation Period). The planned effective date of these
amendments is 12 February 2023, depending on the outcome of the
Consultation which will be communicated in a separate Eurex Clearing
circular.

The amendments to the FCM Default Rules will become effective as of 12
February 2023.

2. Required action

The amendments to the Clearing Conditions are subject to a Consultation
which will end with the expiry of 28 December 2022.

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FwelfthEourteenth, Eurex Clearing AG will realise the Applicable CM/FCM
Remainder Amounts of all Clearing Members, Clearing Agents and FCM Clearing
Members that are Winning Hedging Auction Participants.

“Applicable CM/FCM Remainder Amount’ with respect to this Paragraph (4214)
means the available Non-Affected CM Contribution, Non-Affected ISA Direct
Clearing Member Contribution or Non-Affected FCM Contribution of the relevant
Clearing Member, Clearing Agent or FCM Clearing Member which may be realised
under Paragraph (4214) and which will be determined as the product of (A) the ratio
of (AA) the Remainder Amount of the relevant Clearing Member, Clearing Agent or
FCM Clearing Member and (BB) the aggregate of all Remainder Amounts of all
Clearing Members, Clearing Agents and FCM Clearing Members and (B) the Default
Fund Secured Claims which have not been discharged. The Applicable CM/FCM
Remainder Amount cannot exceed the Remainder Amount of the relevant Clearing
Member, Clearing Agent or FCM Clearing Member.

“Remainder Amount’ with respect to this Paragraph (4214) means with respect to
the relevant Clearing Member, Clearing Agent or FCM Clearing Member, the
aggregate of all remainders of Non-Affected CM Contribution, Non-Affected ISA
Direct Clearing Member Contribution or Non-Affected FCM Contribution of the
relevant Clearing Member, Clearing Agent or FCM Clearing Member under all
Relevant Liquidation Groups which have been determined but have not been
realised pursuant to Paragraph (4413).

Eurex Clearing AG will allocate all Applicable CM/FCM Remainder Amounts of all
Clearing Members, Clearing Agents and FCM Clearing Members to all Relevant
Liquidation Groups, with respect to which not all losses have been discharged under
Paragraph (4413), on a pro-rata basis.

(153) Further Contributions of non-bidding auction participants

ThirteenthFifteenth, Eurex Clearing AG will, with respect to the losses arising from a
Relevant Liquidation Group, realise the applicable Liquidation Group Ratio of

[.]

“Liquidation Group Ratio” with respect to this Paragraph (+315) means the fraction
of the available CM Further Contribution, Non-Affected ISA Direct Clearing Member
Further Contribution and FCM Further Contribution which may be realised with
respect to the Relevant Liquidation Group under this Paragraph (4315) and which
will be determined as follows:

Lol

(164) Further Contributions of Clearing Members and FCM Clearing Members that are
not non-bidding auction participants

FeurteenthSixteenth, Eurex Clearing AG will, with respect to the losses arising from

a Relevant Liquidation Group, realise the applicable Liquidation Group Ratio of

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Default Fund Secured Claims which have not been discharged. The Applicable
CM/FCM Remainder Amount cannot exceed the Remainder Amount of the relevant
Clearing Member, Clearing Agent or FCM Clearing Member.

“Remainder Amount’ with respect to this Paragraph (+911) means with respect to
the relevant Clearing Member, Clearing Agent or FCM Clearing Member, the
aggregate of

[el

Eurex Clearing AG will allocate all Applicable CM/FCM Remainder Amount of all
Clearing Members, Clearing Agents and FCM Clearing Members to all Relevant
Liquidation Groups, with respect to which not all losses have been discharged under
Paragraph (910), on a pro-rata basis.

12) Remainder of SSITG

Twelth, Eurex Clearing AG will realise the Remainder Amount relating to the SSITG.

“Remainder Amount’ means with respect to this Paragraph (12) the aggregate of

(i)__all remainders of the SSITG under all Relevant Liquidation Groups which have
been determined but have not been realised pursuant to Paragaph (10), and

(ii) _the Liquidation Group Ratio of the SSITG determined under Paragraph (10)
relating to any other Liquidation Group which is not a Relevant Liquidation
Group.

Eurex Clearing AG will allocate the Remainder Amount to all Relevant Liquidation
Groups, with respect to which not all losses have been discharged under Paragraph
11), on a pro-rata basis.

(134) Seniorised Hedging Contributions

EleventhThirteenth, Eurex Clearing AG will, with respect to the losses arising from a
Relevant Liquidation Group, realise the applicable Liquidation Group Ratio of

[1

“Liquidation Group Ratio” with respect to this Paragraph (4413) means the fraction
of the available Non-Affected CM Contributions, Non-Affected ISA Direct Clearing
Member Contributions or Non-Affected FCM Contributions which may be realised
with respect to the Relevant Liquidation Group under this Paragraph (4413) and
which will be determined as follows:

[el

(124) Remainder of Seniorised Hedging Contributions

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General Provisions

As of 12.02.2023

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Contributions remain and with respect to which the non-defaulting Clearing
Members won Hedging Auctions (so-called spill-over)

7. “Juniorized” Further Contribution of non-defaulted Clearing Members
(Assessments)

a. Further Contributions relating to segments where losses remain (so-called
Liquidation Group Ratio) - here no spill-over applies

8. “Standard” Further Contributions of non-defaulted Clearing Members
(Assessments) and Further Dedicated Amount by Eurex Clearing (FDA 300
million euro maximum)

a. Further Contribution / FDA relating to segments where losses remain (so-
called Liquidation Group Ratio) - here no spill over applies

For further details on Eurex Clearings Liquidation Groups please refer to the
Eurex Clearing website www.eurex.com/ec-en/ under the following
link: Services > Risk parameters

DFCs of defauter (EQ) DFCs of defautter (FI) =
Remaining contributions of defaulted CM

. Tqurdation
Group n

DFCs of defauiter (LG n)

= Loe

Remaining defauit fund contributions of non-defaulted CMs

FCs of non-defaulted CMs DFCs of non-defaulted CMs DFCs of non-defaulted CMs
(€a) )

Simplified Illustration of Eurex Clearing’s Default Waterfall

In order to ensure compliance with regulatory requirements stipulated by
Regulation (EU) 2021/23, Eurex Clearing is entitled to use SSITG earlier within
the above illustrated order of priority.

To reflect the proposed changes, the following provisions will be added as
outlined in Attachments 1 to 2:

@ Attachment 1: Chapter I Part 1 Numbers 6.1.3 and 6.2.1 of the Clearing
Conditions
@ Attachment 2: Numbers 3.1.3 and 3.2.1 of the FCM Default Rules

Consultation with respect to the amendments to the Clearing Conditions

Pursuant to Chapter I Part 1 Number 17 of the Clearing Conditions, the
proposed changes and amendments to the Clearing Conditions are subject to

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AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

Contributions to the Default Fund by an FCM Clearing Member

3.1 Contributions to the Default Fund

3.1.3 Eurex Clearing AG’s dedicated own resources to the Default Fund

(1) Eurex Clearing AG will dedicate own resources to the Default Fund (the “Dedicated
Amount”) to be used, if a Termination Time with respect to one or more FCM
Clearing Members, a Clearing Member Termination Date with respect to one or
more Clearing Members or an ISA Direct Clearing Member Termination Date with
respect to one or more ISA Direct Clearing Members occurs in accordance with the
order of priority as defined under Number 3.2 below.

The Dedicated Amount will be published on the Eurex Clearing Website.

[iS

In addition to the Dedicated Amount, Eurex Clearing AG will further dedicate
additional own resources to the Default Fund in accordance with the CCP Recovery
and Resolution Regulation (the so-called second skin in the game - “SSITG").

The SSITG shall be used, if a Termination Time with respect to one or more FCM
Clearing Members, a Clearing Member Termination Date with respect to one or more
Clearing Members or an ISA Direct Clearing Member Termination Date with respect
to one or more ISA Direct Clearing Members occurs in accordance with the order of
priority as defined under Number 3.2.1 below. In case Eurex Clearing AG exercises
one of its rights under Chapter | Number 9.6 of the FCM Regulations and provided
that one or more recovery indicators as outlined in Eurex Clearing AG’s recovery
plan have been triggered when exercising such rights, Eurex Clearing AG shall be
entitled to change the order in which the SSITG shall be realised within the order of
priority under Number 3.2.1 below.

The SSITG will be published on the Eurex Clearing Website.

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(iii) in the case of Non-Affected ISA Direct Clearing Member Contribution, the ratio
of (A) the part of the ISA Direct Clearing Member Contribution Requirement
relating to the relevant ISA Direct Clearing Member applicable to such
Relevant Liquidation Group and (B) the ISA Direct Clearing Member
Contribution Requirement relating the relevant ISA Direct Clearing Member.

(10) SSITG

Tenth, Eurex Clearing AG will, with respect to the losses arising from a Relevant
Liquidation Group, realise the applicable Liquidation Group Ratio of the SSITG.

“Liquidation Group Ratio” with respect to this Paragraph (10) means the fraction of
the available SSITG which may be realised with respect to the Relevant Liquidation
Group under this Paragraph (10) and which will be determined as the ratio of (A) the
part of the sum of all Initial Margin requirements (under the FCM Regulations or the
Clearing Conditions) and _all Additional Margin requirements of all FCM Clearing
Members and Clearing Members determined for such Relevant Liquidation Group
and (B) the sum of all Initial Margin requirements (under the FCM Regulations and
the Clearing Conditions) and all Additional Margin requirements of all FCM Clearing
Members and Clearing Members determined for all Liquidation Groups.

11) Remainder of Contributions of FCM Clearing Members and Clearing Members that
are not qualifying as non-bidding auction participants

EleventhFerth, Eurex Clearing AG will realise the Applicable CM/FCM Remainder
Amount of all Clearing Members, Clearing Agents and the FCM Clearing Members.

“Applicable CM/FCM Remainder Amount’ with respect to this Paragraph (4011)
means the available Non-Affected FCM Contribution, Non-Affected CM Contribution
or Non-Affected ISA Direct Clearing Member Contribution of the relevant FCM
Clearing Member, Clearing Member of Clearing Agent which may be realised under
this Paragraph (4911) and which will be determined as the product of (A) the ratio of
(AA) the Remainder Amount of the relevant FCM Clearing Member, Clearing
Member, or Clearing Agent and (BB) the aggregate of all Remainder Amounts of all
FCM Clearing Members, Clearing Members, or Clearing Agents and (B) the Default
Fund Secured Claims which have not been discharged. The Applicable CM/FCM
Remainder Amount cannot exceed the Remainder Amount of the relevant FCM
Clearing Member, Clearing Member, or Clearing Agent.

“Remainder Amount’ with respect to this Paragraph (4011) means with respect to
the relevant FCM Clearing Member, Clearing Member, or Clearing Agent, the
aggregate of

Eurex Clearing AG will allocate all Applicable CM/FCM Remainder Amount of all
FCM Clearing Members, Clearing Members, or Clearing Agents to all Relevant
Liquidation Groups, with respect to which not all losses have been discharged under
Paragraph (9), on a pro-rata basis.

12) Remainder of SSITG

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b. Contributions relating to segments (Liquidation Groups) where all losses
are covered, and Contributions remain (so-called spill-over)

2. Incase of a defaulting Basic Clearing Member (BCM) only: Further
Contributions for such defaulted BCM (assessments) provided by Clearing
Agent

a. Further Contributions relating to the segments where losses remain (so-
called Liquidation Group Ratio)

b. Further Contributions relating to segments where all losses are covered,
and Further Contributions remain (so-called spill-over)

3. Dedicated Amount of Eurex Clearing (SITG - now amounting to 143
million euro)

a. Dedicated Amount relating to segments where losses remain (so-called
Liquidation Group Ratio)

b. Dedicated Amount relating to segments where no losses remain or from
segments not affected at all (so-called spill-over)

4. “Juniorized” Default Fund Contribution of non-defaulted Clearing
Members being Non-Bidders / any BCM Contributions of the defaulted
Clearing Agent

a. Contributions relating to segments where losses remain, and non-
defaulting Clearing Members did not provide auction bids (so-called
Liquidation Group Ratio)

b. Contributions relating to segments with respect to which the non-
defaulting Clearing Members did not provide bids, but where all losses are
covered, and Contributions remain

5. “Standard” Default Fund Contribution of non-defaulted Clearing Members
/ SSITG

a. Contributions of non-defaulting Clearing Members relating to segments
where losses remain (so-called Liquidation Group Ratio)

b. Additional contribution of Eurex Clearing (SSITG) relating to the
Segments where losses remain

c. Contributions of non-defaulting Clearing Members relating to segments
where all losses are covered, and Contributions remain, or segments not
affected at all (so-called spill-over)

d. Remaining additional contribution of Eurex Clearing (SSITG spill-over)
relating to segments where all losses are covered, and Contributions remain
or segments where no losses remain or segments not affected at all

6. “Seniorized” Default Fund Contribution of non-defaulted Clearing
Members, which won Hedging Auctions

a. Contribution relating to segments where losses remain and with respect
to which the non-defaulting Clearing Members won Hedging Auctions (so-
called Liquidation Group Ratio)

b. Contributions relating to segments where all losses are covered, and

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128122, 9:24 AM. Amenaments to tne Glearing Conaitions of Eurex Clearing - Consultation - Implementation ot Article y (14) of Kegulation (E

Eurex Clearing herewith invites all Affected Customers to submit comments on
the proposed changes and amendments within the Consultation Period.

3. Details of the initiative

Article 9 (14) of the CCP Recovery & Resolution Regulation requires Eurex
Clearing to implement a second layer of pre-funded own resources, called
SSITG. The SSITG shall cover default and non-default events.

Eurex Clearing’s participation in the Default Waterfall - Status Quo
Currently, Eurex Clearing contributes to the Default Waterfall at two levels:

@ Immediately after the Contributions of the defaulting Clearing Member
and prior to the Contributions of the non-Defaulting Clearing Members,
Eurex Clearing realizes its “Dedicated Amount” (First “Skin in the Game”
(SITG)) of 200 million euro

@ Secondly, when requesting the non-defaulting Clearing Members to
provide Further Contributions to the Default Fund (“Assessments”),
Eurex Clearing contributes on a pro-rata basis with its “Further
Dedicated Amount” (FDA) of up to 300 million euro.

Eurex Clearing’s participation in the Default Fund after the
implementation of the SSITG

With the introduction of SSITG, Eurex Clearing refines its participation to the
Default Waterfall. Overall, Eurex Clearing’s contribution will remain well above
the regulatory requirements. Eurex Clearing will redistribute its currently
prefunded amount of 200 million euro between the SITG and the SSITG, in the
same proportion to the regulatory requirements. The “Dedicated Amount”
(SITG) will amount to 143 million euro and the SSITG to 57 million euro.

Eurex Clearings FDA of up to 300 million euro will remain unchanged.

SSITG will follow the current segmented structure of the Default Waterfall as
described and shown in the graph below. SSITG will be split in segments
proportionally to the Liquidation Group size, similarly to the Default Fund of
the Clearing Members. Each SSITG segment will be utilized just after the
corresponding segment of the non-defaulted Clearing Members. The
remaining order of priority of other layers in the Default Waterfall remains
unchanged.

Eurex Clearings affected Default Fund layers shall be refined as described
below (new or changed layers shown in bold):

1. Default Fund Contribution of the Defaulted Clearing Member
a. Contributions relating to the segments (Liquidation Groups) where losses
remain (so-called Liquidation Group Ratio)

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Eurex04e

Clearing Conditions of Eurex Clearing AG

As of 12.02.2023
Page 5

6.2.2

[el

[1

“Liquidation Group Ratio” with respect to this Paragraph (4416) means the fraction
of the available CM Further Contribution, Non-Affected ISA Direct Clearing Member
Further Contribution, FCM Further Contribution and Further Dedicated Amount
which may be realised with respect to the Relevant Liquidation Group under
Paragraph (4416) and which will be determined as follows:

[el

Further requirements with respect to the order of priority

In addition, Eurex Clearing AG considers the following additional requirements when
determining the order of priority in accordance with this Number 6.2.1:

(a) With respect to the realisation of the Contributions and the Dedicated Amount under

Paragraphs (1) to (16)-#2}-43) 44} {8} {6} 14) (9} 44) 43} and44), the order of

priority shall be applied to all Relevant Liquidation Groups simultaneously before, in
each case, the respective next paragraph is applied.

(b) If in case of Paragraphs (7), (9), (4413), (4315) and (4416), with respect to a
Relevant Liquidation Group the available

[el

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Eurex05e
FCM Default Rules of Eurex Clearing AG As of 12.02.2023
Page 3

For the avoidance of doubt, the SSITG shall also be used by Eurex Clearing AG to
cover any losses arising from the occurrence of a Non-Default Loss.

3.2 Realization of the Default Fund
Ll

3.2.1 In the case of a Realization Event, the Contributions and Further Contributions will be
realised in accordance with the following order of priority:

(1) Affected FCM Contribution, Affected CM Contribution or Affected ISA Direct Clearing
Member Contribution

[el

(9) Contributions of FCM Clearing Members and Clearing Members that are not
qualifying as non-bidding auction participants

Ninth, Eurex Clearing AG will, with respect to the losses arising from a Relevant
Liquidation Group, realise the applicable Liquidation Group Ratio of

(i) the Non-Affected FCM Contributions of all FCM Clearing Members that are not
FCM Non-Bidding Participants with respect to the relevant Liquidation Group
(excluding any Juniorised Hedging Contributions and any Seniorised Hedging
Contributions), and

(ii) the Non-Affected CM Contributions and the Non-Affected ISA Direct Clearing
Member Contributions of all Clearing Members and Clearing Agents that are not
CM Non-Bidding Participants with respect to the relevant Liquidation Group
(excluding any Non-Affected ISA Direct Clearing Member Contributions of the
CM Affected Clearing Member, any Juniorised Hedging Contributions and any
Seniorised Hedging Contributions).

“Liquidation Group Ratio” with respect to this Paragraph (9) means the fraction of
the available Non-Affected FCM Contributions, Non-Affected CM Contributions or
Non-Affected ISA Direct Clearing Member Contributions which may be realised with
respect to the Relevant Liquidation Group under this Paragraph (9) and which will
be determined as follows:

(i) in the case of Non-Affected FCM Contribution, the ratio of (A) the part of the
FCM Contribution Requirement of the relevant FCM Clearing Member
applicable to such Relevant Liquidation Group and (B) the FCM Contribution
Requirement of the relevant FCM Clearing Member,

(ii) in the case of Non-Affected CM Contribution, the ratio of (A) the part of the CM
Contribution Requirement of the relevant Clearing Member applicable to such
Relevant Liquidation Group and (B) the CM Contribution Requirement of the
relevant Clearing Member, or

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