Chapter VIII of the Clearing Conditions of Eurex Clearing AG

Clearing of OTC Interest Rate Derivative
Transactions, and OTC NDF Transactions

As of 03.07.2023

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FCM Regulations of Eurex Clearing AG As of 03.07.2023

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Part 1
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1.2
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1.2.3

AMENDMENTS ARE MARKED AS FOLLOWS:

INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

General Provisions

Conclusion of Transactions

Novation Criteria for the Novation of Original Swap Transactions

(1) Eurex Clearing AG will accept an Original Swap Transaction for inclusion in the
Clearing in accordance with the novation process if all of the following novation
criteria are fulfilled:

If it is specified in a form satisfactory to Eurex Clearing AG in the Trade Record

(i)

of an Original Swap Transaction that the Original Swap Transaction shall be
understood as a transaction to allocate an Unallocated FCM Client Transaction
the corresponding Unallocated FCM Client Transaction must already exist and
the allocating Original Swap Transaction must be nettable against the relevant
Unallocated FCM Client Transaction. and

Original Swap Transactions may, subject to further restrictions set out in the

systems of Eurex Clearing AG, also be transmitted to Eurex Clearing AG as a
package containing a certain number of single Original Swap Transactions
(‘Package Original Swap Transactions”). Each Original Swap Transaction
contained in the Package Original Swap Transactions transmitted to Eurex
Clearing AG needs to fulfil the novation criteria contained in this

Number 1.2.3 (1). In case one or more Original Swap Transaction does not fulfil
the novation criteria contained in this Number 1.2.3 (1), Eurex Clearing AG shall
reject all Original Swap Transactions contained in the Package Original Swap
Transactions. For the purpose of Package Original Swap Transactions the
assessment in accordance with Number 1.2.3 (1) (f) whether the FCM Clearing
Member has delivered sufficient Eligible Margin Assets is performed on a net

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2.1.5

2.1.5.1

the novation criteria of this Number 1.2.3 (1), Eurex Clearing AG shall reject all
Original OTC Transactions contained in the Package Original OTC
Transactions. For the purpose of Package Original OTC Transactions the
assessment in accordance with Part 1 Number 1.2.3 (1) Clause 8 whether the
Clearing Member or ISA Direct Clearing Member has delivered sufficient
Eligible Margin Assets is performed on a net basis across all such Original OTC
Transactions contained in the Package Original OTC Transactions.

Original OTC Transactions are not eligible for Package Original OTC
Transactions in case of a bunched order or a transaction to allocate a bunched
order CCP Transaction, Bulk Backloaded Original OTC IRD Transactions
according to Part 2 Number 2.1.5.3 and Bulk Backloading of Original OTC NDF
Transactions according to Part 5 Number 5.1.5.3.

Clearing of OTC Interest Rate Derivative Transactions

General Provisions

Novation Criteria and Process Regarding OTC Interest Rate Derivative
Transactions

L.]

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

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(4) Maximum remaining term / Termination Date

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

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(e) incase of ZCIS,

(i) for transactions in EUR (indexices H1GPx-and FRCPI), no more than
30 years and 10 Business Days;-and

(ii) _ for transactions in EUR (index HICPxT), no more than 50 years and
10 Business Days; and

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Clearing Conditions of Eurex Clearing AG

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Part 1
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1.2

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1.2.3

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

General Provisions

Conclusion of Transactions

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Novation Criteria

(1) Eurex Clearing AG will accept an Original OTC Transaction for inclusion in the
Clearing in accordance with the novation process if all of the following novation
criteria are fulfilled:

L..

10.

11.

12.

If it is specified in a form satisfactory to Eurex Clearing AG in the Trade Record
of an Original OTC Transaction that the Original OTC Transaction shall be
understood as a transaction to allocate a prior bunched order CCP Transaction,
the corresponding bunched order CCP Transaction must already exist and the
allocating Original OTC Transaction must be nettable against the relevant
bunched order CCP Transaction; and

All applicable additional novation criteria set forth in Part 2and Part 5 (as
applicable) (and, if one of the transactions that shall result from the novation of
the Original OTC Transaction is a Swap Transaction, the applicable novation
criteria pursuant to the FCM Regulations) are fulfilled; and.

Original OTC Transactions may, subject to further restrictions set out in the

systems of Eurex Clearing AG, also be transmitted to Eurex Clearing AG as a
package containing either a certain number of single Original OTC Interest Rate
DerivativeTransactions or a certain number of single Original OTC NDF
Transactions (“Package Original OTC Transactions”). Each Original OTC
Transaction contained in the Package Original OTC Transactions transmitted to
Eurex Clearing AG needs to fulfil the novation criteria contained in this

Number 1.2.3 (1). In case one or more Original OTC Transaction does not fulfil

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

FCM Regulations of Eurex Clearing AG

As of 03.07.2023

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o/2i23, 1:18 PM EurexU IG Ulear Kelease 15.U: AMenaments to tne Uiearing Gonaitions and KUM Kegulations of Eurex Uiearing AG

02 Jun 2023
Eurex Clearing

EurexOTC Clear Release 15.0:
Amendments to the Clearing Conditions

and FCM Regulations of Eurex Clearing
AG

Eurex Clearing Circular 034/23 EurexOTC Clear Release 15.0: Amendments
to the Clearing Conditions and FCM Regulations of Eurex Clearing AG

1. Introduction

This circular contains information with respect to amendments to the Clearing
Conditions of Eurex Clearing AG (Clearing Conditions) and the FCM
Regulations of Eurex Clearing AG (FCM Regulations) regarding the following
topics:

A. EurexOTC Clear Release 15.0
B. Further minor amendments

The amendments to the Clearing Conditions and FCM Regulations will come
into effect as of 3 July 2023.

Learn more about the EurexOTC Clear Release 15.0 on our dedicated initiative
page on the Eurex Clearing website www.eurex.com/ec-en/ under the
following link: Support > Initiatives & Releases > EurexOTC Clear Releases >
EurexOTC Clear Release 15.0. Circulars, timeline and much more information
are available there for you.

2. Required action

Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients, FCM
Clearing Members, vendors and other affected contractual parties should take
the amendments to the Clearing Conditions and FCM Regulations into
consideration.

3. Details

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2.1.5

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basis across all such Original Swap Transactions contained in the Package
Original Swap Transactions.

Unallocated FCM Client Transactions, as defined in Chapter | Number 1.3.3 (4)
of the FCM Regulation, Original Swap Transactions to allocate an Unallocated
FCM Client Transaction and Bulk Backloaded Original Swap Transactions
according to Part 2 Number 2.1.5.3 are not eligible for Package Original Swap
Transactions.

Clearing of Interest Rate Derivative Transactions

General Provisions

Novation Criteria and Process Regarding Interest Rate Derivative Transactions

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Specific Novation Criteria and Terms for Swap Transactions
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(8) Fixed Amounts

[.]

Fixed Rates for IRS, OIS and FRA can have any value specified by up to
8-10 decimal points and may be less than zero, equal to zero or greater than zero.

Also, the Fixed Amount Payer shall be specified.

Jebtiioboniniineiiiinet

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Clearing Conditions of Eurex Clearing AG

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(iii) for transactions in GBP (index UK-RPI), no more than 50 years and
10 Business Days.

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(9) Fixed Amounts

Led

Fixed Rates for IRS, OIS, ZCIS and FRA can have any value specified by up to
8-10 decimal points and may be less than zero, equal to zero or greater than zero.

Also, the Fixed Amount Payer shall be specified.

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o/2i23, 1:18 PM EurexU IG Ulear Kelease 15.U: AMenaments to tne Uiearing Gonaitions and KUM Kegulations of Eurex Uiearing AG

Further information

, Attachment 1 to Eurex Clearing Circular 034/23

, Attachment 2 to Eurex Clearing Circular 034/23

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

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

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o/2i23, 1:18 PM EurexU IG Ulear Kelease 15.U: AMenaments to tne Uiearing Gonaitions and KUM Kegulations of Eurex Uiearing AG

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 Chapter VIII of the Clearing Conditions
2. Amended sections of Chapter II of the FCM Regulations

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 Clearing Circulars 064/22, 010/23

circular:

Contact: client.services@eurex.com

Web: Support > Initiatives & Releases > EurexOTC Clear Releases >

EurexOTC Clear Release 15.0

Authorized Jens Janka
by:

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o/2i23, 1:18 PM EurexU IG Ulear Kelease 15.U: AMenaments to tne Uiearing Gonaitions and KUM Kegulations of Eurex Uiearing AG

A. EurexOTC Clear Release 15.0

To extend the maximum maturity of EUR Zero Coupon Inflation Swaps (ZCIS)
from 30 years to 50 years, as part of EurexOTC Clear Release 15.0, the novation
criteria in the Clearing Conditions (Chapter VIII) require being updated.

Furthermore, to facilitate clearing of package trades, the novation criteria in
the Clearing Conditions (Chapter VIII) and FCM Regulations (Chapter II)
require being updated with the following:

¢@ All trades submitted for clearing as a package must independently meet
the ECAG novation criteria,

@ The submitted Package trade should only comprise trades belonging to
the same product type,

@ The submitted Package trade will be novated on an all-or-nothing basis,
implying that all trades in the submitted package must be valid and
clearable at Eurex for the package trade to be cleared,

@ No backloaded trades should be included in the submitted package,

¢ Bunched order allocations or block trades submitted as part of a
package trade will not go through the typical validation checks that are
performed for bunched order clearing.

To reflect the enhancements, the following provisions will be amended as
outlined in Attachments 1 and 2:

® Chapter VIII Part I No 1.2.3 and Part II No 2.1.5.1 of the Clearing
Conditions
® Chapter II Part I No 1.2.3 of the FCM Regulations

B. Further minor amendments

Eurex Clearing applies further minor amendments to the Clearing Conditions
and FCM Regulations to harmonize the rulebooks on novation criteria for
bunched order clearing, and to align the precision rules imposed on the fixed
rate with the existing implementation.

To reflect the changes, the following provisions will be amended as outlined in
Attachment 1 and Attachment 2:

® Chapter VIII Part 2 Number 2.1.5.1 (9) of the Clearing Conditions
Chapter II Part 1 Number 1.2.3 (1) and Part II 2.1.5.1 (8) of the FCM
Regulations

As of the effective date, the full version of the amended Rules and Regulations
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

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