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Chapter | Clearing Model Related Provisions

11.1.2 A separate Claim for Non- Performance shall be determined by Eurex Clearing AG for the
relevant Netting Seta A i
Client Transaction Account ‘by wi way of combining (caldioren) the CCP Single Transaction
Amounts of all terminated Swap Transactions in such account or-sub-account.Netting
Set.

(1) The Claim for Non-Performance for alt=GM-Clearing- Member Own ti
A ts or the rel t FCM Client Ti i ta Netting Set resulting
from such combination shall, following its determination in accordance with
Number 11.2.1 or Number 11.2.2 below, be automatically (i) set off with relevant
Termination Unpaid Amounts and/or (ii) added to relevant Termination Unpaid
Amounts in case they are payable by the debtor of the Claim for Non-
Performance, as the case may be, in order to result in one single difference
claim.

L.]

(3) If the Claim for Non-l Performance ji isa a positive figure for all FCM Clearing Member

Own tion-A th + FCM Client 71 tion A twith

respect to a Netting Set, that amount shall be owed by Eurex Clearing AG to the
FCM Clearing Member in respect of such account or-sub-accountNetting Set
(with the FCM Clearing Member acting as agent on behalf of its FCM Client in the
case of an FCM Client Fransaction AccountNetting Set).

If it is a negative figure for a particular AccountNetting Set, the provisions under
9.5.5 and 9.5.6 regarding the realization of Margin and the return of any balances
owed by Eurex Clearing AG shall apply accordingly. In case a negative figure
remains with respect to the relevant AccountNetting Set, such amount shall be
owed by the FCM Clearing Member to Eurex Clearing AG in respect of such
account.

(4) Eurex Clearing AG shall notify the determined value of the difference claim with
respect to all FCM-Clearing Member Own-Transaction Accounts or the relevant
FCM Glient Tr tion A Netting Sets to the relevant FCM Clearing
Member as soon as reasonably practicable after its determination, together with
reasonable detail regarding the data and information forming the basis of the
determination. The party with the payment obligation in respect of thealH=GM
Fransaction Accountrelevant Netting Set shall pay the determined value of the
difference claim to the other party as soon as reasonable practicable following
the notification of the payable amount by Eurex Clearing AG. Such party shall not
be obliged to pay any interest on the amount of the difference claim unless it is in
default following the receipt of a payment reminder by the other party. Default
interest shall be paid on the basis of the effective overnight interest rate
applicable to the currency of the difference claim.

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4.2.2

4.2.3

43
43.1

Ll

[1

5.2

(1) one ermere-transaction accounts for Own Transactions of the FCM Clearing
Member (each-accountan “FCM Clearing Member Own Transaction Account”);

(2) with respect to FCM Client Transactions, one or more aseparatetransaction
accounts for each FCM Client (each, an “FCM Client Transaction Account”) in
which the Swap Transactions to be cleared by the FCM Clearing Member acting as
agent on behalf of the respective FCM Client will be booked.

L.]

With respect to the FCM Clearing Member Own Transaction Accounts, the FCM Clearing
Member shall ensure that each instruction to book Own Transactions to the-its FCM
Clearing Member Own Transaction Account only relates to Own Transactions of such
FCM Clearing Member. Eurex Clearing AG may rely on, and is not obligated to verify,
the contents of any such instruction from the FCM Clearing Member.

[el

(2) | When establishing an FCM Client Transaction Account within the systems of Eurex
Clearing AG, the FCM Clearing Member must link each FCM Client Transaction
Account to the relevant FCM Client Margin Sub-Account and each relevant FCM
Client Margin Sub-Account to the relevant FCM Client Margin Account, provided
that if more than one FCM Client Transaction Account are established for the same
FCM Client, these FCM Client Transaction Accounts which are established for the
same FCM Client shall be linked to the same FCM Client Margin Sub-Account.

Internal Margin Accounts

[J
@) Ll

(a) separate margin sub-account linked to each-the relevant FCM Client
Transaction Account(s) for the same FCM Client (each an "FCM Client Margin
Sub-Account");

Clearing of Own Transactions

Proprietary Margin Requirement

The Clearing Member is required to provide Eligible Margin Assets as margin in respect
of all its Own Transactions booked into alt-the FCM Clearing Member Own Transaction
Accounts, in such amounts, in such forms and at such times as are required pursuant to
this Number 5, Number 3 and the Special Provisions.

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y22, 9:38 AM Eurex IG Clear: Introduction of Additional validations tor tuncned Urder Worktlow and adoption of Advanced Risk Netting U.

Further information

¥, Attachment 1 to Eurex Clearing circular 064/22

_, Attachment 2 to Eurex Clearing circular 064/22

, Attachment 3 to Eurex Clearing circular 064/22

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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11.2.2

Lol

Calculation of the Claim for Non-Performance

Calculation in case of a Failure to Pay Event

In the case of a Failure to Pay’ Event, the value of the Claim for Non-Performance for
all
Transaction Accountr elevant Netting Sets shall be determined by EL Eurex Clearing AG in
accordance with this Number 11.2.1.

L.]

(2) The “CCP Single Transaction Amount” shall be determined with respect to each
terminated Swap Transaction forall FGM-Glearing Member Own} ti
Accounts-or the relevant FCM Client Transaction Accountunder the relevant Netting
Set and shall equal its CCP Market Price on the relevant CCP Valuation Date.

L.]

Calculation in case of an Insolvency Event

In the case of an Insolvency Event, the value of the Claim for Non-Performance for all
relevant Netting Sets FGM Clearing Member Own-Transaction Accounts-or the relevant
FGM Glen t-shall be determined by Eurex Clearing AG in
accordance with this Number 11.2.2. For the purpose of the determination of the Claim
for Non-Performance the following definitions shall apply:

(1) The “CCP Single Transaction Amount” shall be determined with respect to each
terminated Swap Transaction under the relevant Netting, Setfor atFEM Cleatag

and shall equal it its CCP Market Price on the second Business Day following the
Insolvency Event.

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el

9 Termination Rules with respect to the FCM Clearing Member

L.]

91 Application and Netting Sets
[J

The term “Netting Set” refers to

(1) all Own Transactions in alt-the FCM Clearing Member Own Transaction Accounts of
the FCM Clearing Member, which constitute a single Netting Set (“FCM Clearing

Member Netting Set”), and

(2) all FCM Client Transactions in the relevant FCM Client Transaction Account(s) for
each FCM Client (including, as applicable, any FCM Client Transaction Suspension
Account);; each-the FCM Client Transactions booked to a FCM Client Transaction

Account or, based on a Net Margin Instruction, set of relevant FCM Client

Transaction Accounts (as applicable)

efwhich constitutes a separate netting set (each an “FCM Client Netting Set”).

ia]
94 Porting of FCM Client Transactions

9.4.1 Reasonable Efforts to Port

(1) Following the Declaration of Termination with respect to the FCM Clearing Member,
Eurex Clearing AG will use reasonable efforts to transfer FCM Client Transactions in
anthe relevant FCM Client Transaction Account(s), along with Eligible Margin
Assets as provided in Number 9.4.4, to one or more other FCM Clearing Members,
subject to compliance with the FCM Clearing Member Replacement Requirements.

Ll
9.5 Consequences of a Termination
L.]
[1

9.6.5 Realization of Margin

L.]

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Chapter I: Clearing Model Related Provisions

FCM Regulations of Eurex Clearing AG

As of 26.09.2022

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Clearing Conditions of Eurex Clearing AG As of 26.09.2022

Page 1
Chapter I
AMENDED PARTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,
DELETIONS ARE CROSSED OUT.
[J

Part 1 General Clearing Provisions
[.]

3 General Provisions regarding Margin and Variation Margin

L.

34 Types of Margin and calculation of the Margin Requirement

[1

3.1.2 Calculation of the Margin Requirement
[el

(2) Optional settings-advanced risk netting units in accordance with the instructions of
the Clearing Member

Lal

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General Provisions

As of 26.09.2022

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(2) Eurex Clearing AG:

[el

(b) shall enforce and realize its security interests over all Eligible Margin Assets
booked into the relevant FCM Client Margin Account and shall apply the
proceeds to the Difference Claim relating to an FCM Client Netting Set of
any FCM Client of the Affected FCM Clearing Member whose FCM Client
Transaction Account(s) has/have been allocated to such FCM Client Margin
Account within the systems of Eurex Clearing AG.

9.5.6 Return of any balance owed by Eurex Clearing AG and return or release of Eligible
Margin Assets after completion of the default management process

If an FCM Clearing Member Termination Time has occurred with respect to alltthe FCM
Clearing Member Own Transaction Accounts and an FCM Client Termination Time has
occurred with respect to any FCM Client Transaction Accounts, Eurex Clearing AG shall
return any balance owed by it in respect of any FCM Clearing Member Netting Set or
relevant FCM Client Netting Set following the completion of the default management
process with respect to the FCM Clearing Member as follows:

L.]
[1

10 Termination of FCM Client Transactions when the FCM Client is in default

[el

10.2 Transfers
L.]

(4) For purposes of this Number 10, when used in relation to a Non-FCM Clearing
Member, the terms Own—Fransaction Account_‘Own Transaction” and “Client
Transaction Account” have the meanings assigned to them in the Clearing
Conditions, and the term “Own Transaction Account” shall have the meaning
assigned to the term “Clearing Member Own Account” and/or “ISA Direct Own
Account" (as applicable) in the Clearing Conditions.

11 Termination Rules with respect to Eurex Clearing AG
114 Claim for Non-Performance and Single Difference Claim
Ld

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Clearing Conditions of Eurex Clearing AG

Eurex04e

As of 26.09.2022
Page 2
Chapter VIII
AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,
DELETIONS ARE CROSSED OUT.
[.]
Part 1 General Provisions
1.2 Conclusion of Transactions
1.2.3 Novation Criteria

[1

(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:

ad

10. Ifitis 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

d-this-Oy ig 1 OTC-T ti ji yt bmittedto-E: Gh Hf S AG by +h
ATS-thath: i brmitted-the-O} igi 1 OTCT: ti that fe dthe-b:
for the bunched order CCP T ition, the corresponding bunched order CCP

Transaction must already exist and the allocating Original OTC Transaction
must be nettable against the relevant netional- value-ofthe-bunched order CCP

JERI SSI SO SOI ISO III III

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y22, 9:38 AM

01 Sep 2022
Eurex Clearing

EurexOTC Clear: Introduction of
Additional Validations for Bunched Order
Workflow and adoption of Advanced Risk
Netting Units under EMIR as well as
LSOC Clearing Models: Amendments to
the Clearing Conditions and FCM
Regulations of Eurex Clearing AG

Eurex Clearing Circular 064/22 EurexOTC Clear: Introduction of Additional
Validations for Bunched Order Workflow and adoption of Advanced Risk
Netting Units under EMIR as well as LSOC Clearing Models: 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. Additional Validations for Bunched Order Workflow
B. Adoption of Advanced Risk Netting Units under EMIR as well as LSOC
Clearing Models

The amendments of the Clearing Conditions and FCM Regulations will come
into effect as of 26 September 2022.

2. Required action

Clearing Members, Basic 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.

httne:/iwww erirex eam/ec-enifind/cirenlars/clearina-circiilar-2918179

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Led

(2) Optional advanced risk netting units in accordance with the instructions of the FCM
Clearing Member

(a) Eurex Clearing AG shall, if so instructed by the FCM Clearing Member (which
instruction shall be provided in the form requested by Eurex Clearing AG, and
such instruction, a “Net Margin Instruction”), calculate each margin
requirement on a net basis across several FCM Client Transaction Accounts
selected by the FCM Clearing Member for such purpose subject to the
restrictions set out in lit. (b) and any technical restrictions in the systems of
Eurex Clearing AG (as disclosed by Eurex Clearing AG).

(b) Eurex Clearing AG will not calculate any relevant Margin Requirement on a net
basis

(iii) across FCM Client Transaction Accounts that are not allocated to the same
FCM Client Netting Set; and

(iv) across FCM Client Transaction Accounts that are not allocated to the same
FCM Client Margin Sub-Account.

(c)_ A Net Margin Instruction will become effective (provided that it complies with the
restrictions set out in lit. (b)) at the point in time it is reflected in the systems of
Eurex Clearing AG, but no earlier than on the day determined by the FCM
Clearing Member in the Net Margin Instruction. Eurex Clearing AG will inform
the FCM Clearing Member of the effective date of a Net Margin Instruction
given by such FCM Clearing Member.

(d)_A Net Margin Instruction that has become effective in accordance with lit. (c)
may be revoked or amended by the FCM Clearing Member by submitting a
revised Net Margin Instruction in respect of the relevant FCM Client Transaction
Accounts; lit. (c) applies mutatis mutandis to any such revised Net Margin
Instruction. Eurex Clearing AG may reject a revocation or amendment of a Net
Margin Instruction, in particular, if such revocation or amendment would
increase the applicable Margin Requirement and the aggregate value of Eligible
Margin Assets actually delivered as margin is less than such applicable Margin

Requirement.

A Net Margin Instruction of an FCM Clearing Member shall cease to have effect
with respect to FCM Client Transactions that are (following the occurrence of a
Termination Event or Insolvency Termination Event with respect to such FCM
Clearing Member) subject to a Transfer to a Replacement FCM Clearing
Member. In respect of any relevant FCM Client Transaction Account to which
following a Transfer, such FCM Client Transactions are booked, the
Replacement FCM Clearing Member may give a Net Margin Instruction in
accordance with this Paragraph (2).

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AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED,

DELETIONS ARE CROSSED OUT.

[-]

1
L.]

1.2 ions and Interpretation

124 Led
“Initial Margin” means, with respect to the amount of Eligible Margin Assets attributable
to a particular FCM Clearing Member Proprietary Margin Account or FCM Client Margin
Sub-Account, the portion of such Eligible Margin Assets held in respect of Eurex
Clearing AG’s initial margin requirements in respect of the Swap Transactions recorded
in the corresponding FCM Clearing Member Own Transaction Account or FCM Client
Transaction Account(s) for such account or sub-account.
L.]

[LJ

3 General Provisions regarding Margin and Variation Settlement

3.1 General Provisions

3.1.1 Calculation of the Margin Requirement, Margin Methodology and Settlement Cycles

(1) Standard settings

Subject to Paragraph (2), Eurex Clearing AG will calculate each margin requirement
in accordance with this Number 3, the Special Provisions and (as applicable) the
provisions under Number 6 as follows:

[el

(b) onanet basis separately with respect to each FCM Client Transaction Account
o-which FCM -Client -Transactions-of_a relevant FCM Clientare ed(each
an “FCM Client Margin Requirement”);

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Chapter VIII of the Clearing Conditions of Eurex Clearing AG

Clearing of OTC Interest Rate Derivative
Transactions and OTC NDF Transactions

As of 26.09.2022

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y22, 9:38 AM Eurex IG Clear: Introduction of Additional validations tor tuncned Urder Worktlow and adoption of Advanced Risk Netting U.

(4), 11.1.2 (1), (3) and (4), 11.2.1 (2) and 11.2.2 (1) of the FCM
Regulations
® Chapter I Part 1 Number 3.1.2 (2) of the Clearing Conditions

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 within the first fifteen (15) Business Days after
publication. Any ordinary right of Eurex Clearing AG to terminate the
respective contract (including a Clearing Agreement, if applicable) shall remain
unaffected.

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 Regulations of Eurex Clearing AG, as applicable.

Attachments:

1. Amended sections of Chapter I of the Clearing Conditions
2. Amended section of Chapter VIII of the Clearing Conditions
3. Amended sections of Chapter I of the FCM Regulations

Further information

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

Target Front Office/Trading, Middle + Backoffice

groups:

Related Eurex Clearing Circular 031/20, Eurex Clearing Circular 050/20
circulars:

Contact: client.services@eurex.com

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

Authorized Jens Janka

by:

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[1

62

6.2.5

6.2.6

Ll

64

Eurex Clearing AG calculates the FCM Clearing Member Proprietary a-separate-Margin
Requirement for each-the FCM Clearing Member Own Transaction Account_of an FCM

Clearing Member in accordance with Number 3.1.1,and addsthe-sums-of all such

ts-te Iculate-the-FCM-Clearing- Member-Proprietary_M:
g ‘) ig 1 ¥ g

Requirement. The FCM Clearing Member Proprietary Margin Requirement will be notified
by Eurex Clearing AG to the relevant FCM Clearing Member.

The FCM Clearing Member Proprietary Margin Requirement may, in the case of an intra-
day Margin Call, include amounts as determined by Eurex to cover potential Variation
Settlement payments that the FCM Clearing Member may owe in respect of any Own
Transactions in any-the FCM Clearing Member Own Transaction Account during the end-
of-day settlement cycle.

Clearing of FCM Client Transactions

L.]

General
L.]

Each FCM Client, by virtue of clearing any Swap Transaction subject to the provisions of
the FCM Clearing Conditions, is deemed to acknowledge and agree that:

L.]

(3) the FCM Client is bound by the terms of each Swap Transaction cleared by its FCM
Clearing Member on its behalf in its FCM Client Transaction Account(s); and

L.]

The FCM Clearing Member must require an FCM Client to provide it with collateral in
respect of the FCM Client’s open Swap Transactions in its FCM Client Transaction
Account(s) that has a value not less than the sum of (a) (i) Eurex Clearing AG’s Margin
Requirements for such Transactions if they are hedge transactions for the FCM Client or
(ii) 110% of Eurex Clearing AG’s Margin Requirements for such Transactions if they are
non-hedge transactions for the FCM Client, and (b) any Variation Settlement requirement
for such Transactions as determined by Eurex Clearing AG in accordance with the
relevant Special Provisions in Chapter II.

L.]

LSOC Without Excess Model
LJ

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65.3

65.4

FCM Client Buffer

(1)

(2)

lf Eurex Clearing determines at any time prior to the end of a Business Day that the
applicable Margin Requirement with respect to an-the relevant FCM Client
Transaction Account(s) exceeds the relevant FCM Client Margin Sub-Account
Balance (which with respect to this Number 6.5 includes the related FCM Client
Assumed Allocation Sub-Account Balance as a component) for such FCM Client
Transaction Account(s) (“FCM Client Margin Shortfall”), Eurex Clearing AG is
permitted to apply any portion of the FCM Client Buffer carried in the FCM Client
Buffer Sub-Account in the same FCM Client Margin Account as the FCM Client
Margin Sub-Account to satisfy the FCM Client Margin Shortfall (the “Encumbered
FCM Client Buffer’).

Eurex Clearing AG will calculate the Margin Requirement for each-the relevant FCM
Client Transaction Account(s) for the end-of-day settlement cycle and issue a Margin
Call for the corresponding FCM Client Margin Sub-Account without regard to any
Encumbered FCM Client Buffer applied to such FCM Client Margin Sub-Account on
the Business Day to which the end-of-day Margin Call applies.

Margin Calls; Application of FCM Client Buffer

(1)

(2)

(3)

Eurex Clearing AG calculates a separate FCM Client Margin Requirement for each
the relevant FCM Client Transaction Account(s) (including any FCM Client
Transaction Suspension Account) in accordance with Number 3.1.1. Eurex

Clearing AG will notify an FCM Clearing Member of the relevant FCM Client Margin
Requirement for (i) each FCM Client Transaction Account _or (ii) based on a Net
Margin Instruction, a set of FCM Client Transaction Accounts. Notification of an FCM
Client Margin Requirement is not a Margin Call.

Eurex Clearing AG will issue a Margin Call with respect to an-the relevant FCM
Client Transaction Account(s) at any time prior to the end of a Business Day
provided that the following requirements are met:

(i) Eurex Clearing AG has determined there is an FCM Client Margin Shortfall with
respect to the relevant FCM Client Transaction Account(s), and

(ii) the FCM Client Margin Shortfall with respect to the relevant FCM Client
Transaction Account(s) cannot be fully met by unencumbered FCM Client
Buffer provided with respect to the relevant FCM Client Margin Account to
which the FCM Client Account(s) is/are linked.

[el

In the end-of-day settlement cycle, Eurex Clearing AG will issue a Margin Call with
respect to an-the relevant FCM Client Transaction Account(s), if Eurex Clearing
determines there is an FCM Client Margin Shortfall with respect to such FCM Client
Transaction Account(s) without regard to any FCM Client Buffer.

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B. Adoption of Advanced Risk Netting Units under EMIR as well as LSOC
Clearing Models

Eurex Clearing started to offer risk netting across several client Transaction
Accounts on the OTC derivatives side via Advanced Risk Netting Units (ARNUs)
under EMIR Clearing Models on 4 May 2020. Eurex Clearing will enhance its
Advanced Risk Netting Unit functionality on the OTC derivatives market under
EMIR as well as LSOC Clearing Models in Prisma and in (partially) Calypso. The
ARNU functionality enables customers (with multi-branch setups or sub-funds
structures) to benefit from portfolio netting effects for Initial Margin
calculation, even if transactions are booked to separate transaction accounts
for proper position keeping and accounting. ARNUs do neither change the risk
model nor the margin model - the calculation is always portfolio based.

The usage of ARNU will be optional and Clearing Members and FCM Clearing
Member can assign ARNU setups via the Company Admission Tool (ValiT)
during the onboarding process of a Disclosed Client/FCM Client.

ARNU will be available under all EMIR Clearing Models as well as under LSOC
Clearing Models for transaction accounts of Disclosed Direct Clients and
Indirect Clients. To comply with EMIR and CFTC regulations and due to
technical limitations, the following restrictions apply:

@ ARNU is only possible across transaction accounts that relate to the
same Disclosed Direct/Indirect Client.

@ AnARNvwU is only possible with respect to transaction accounts that are
allocated to the same segregation model and to the same collateral
pool.

@ Incase of LSOC Clearing Models, only one ARNU can be linked to one
LSV Collateral Pool.

@ Following the creation of an ARNU, the Initial Margin requirement will
be reported at ARNU level for the accounts assigned to an ARNU.

@ The name of an ARNU has always to start with ‘ARNU’, e.g.,
‘ARNUBIGCLIENT1’, ‘ARNU2392199’, etc. The name may only consist of
alphanumeric uppercase characters; special characters will be not
allowed. The maximum number of characters for the name of an ARNU
will be 20 (including the first 4 characters specified as ‘ARNU’).

Please note that ARNUs have no impact on the Variation Margin requirement,
i.e., the calculation and reporting of the Variation Margin will still take place on
transaction level respective transaction account level.

To reflect the changes, the following provisions will be amended as outlined in
Attachments 1 and 3:

@ Chapter I Number 3.1.1, Number 4.2.1 (1) and (2), 4.2.2, 4.2.3 (2), 4.3.1
(3), 5.2, 6.2.5 (3), 6.2.6, 6.4.2 (1), 6.4.3 (1), (2) and (3), 6.5.3 (1) and (2),
6.5.4 (1), (2) and (3) Number 9.1 (1) and (2), 9.4.1 (1), 9.5.5 (2), 9.5.6, 10.2

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y22, 9:38 AM Eurex IG Clear: Introduction of Additional validations tor tuncned Urder Worktlow and adoption of Advanced Risk Netting U.

3. Details of the initiative
A. Additional Validations for Bunched Order Workflow

Bunched order clearing is a functionality to facilitate the clearing of OTC IRD
block trades that are initially booked into a “suspense account” for post-
novation allocation to different target accounts (so-called “bunched orders”).
For the initial clearing of a client’s bunched orders by a “stand-by” Clearing
Member, “Bunched Orders Suspense Accounts” are used as a client position
account type. Any trade booked into the “Bunched Orders Suspense
Accounts” are cleared the same way as any other client trade. For the
successful novation of the bunched orders, sufficient client collateral should
be available, as well as the stand-by Clearing Member must accept the
bunched orders.

After clearing on a block level, the bunched orders are allocated from
“Bunched Orders Suspense Account” into the target accounts of the Clearing
Member which clears the transactions of the client to which the bunched order
relates, on a pre-condition that the target accounts must be sufficiently
collateralized. The allocation of bunched orders to target accounts is carried-
out either via 1) third-party allocation service provider or 2) via post-trade
events (PTE) directly at Eurex Clearing.

1) Allocation via third-party

For an allocation trade that is submitted to Eurex Clearing via a third-party
allocation service provider Eurex Clearing validates: (i) if the respective
bunched order is already cleared by Eurex Clearing, (ii) if the notional value of
the respective bunched order is equal to or greater than the notional value of
the respective allocation trade that is to be novated.

Starting from 26 September 2022 changes for the EurexOTC Clear interfaces,
Eurex Clearing will further validate: (iii) trade economics of allocation trade
should match with the trade economics of the bunched order. If (i), (ii) or (iii)
fails, the allocation trade will be rejected directly, and a rejection notification
message will be sent to the submitting Approved Trade Source (ATS).

2) Allocation via PTEs

For an allocation of bunched orders through already-existing PTE, the stand-by
Clearing Member can use either “Account Transfer” - to allocate it to any
other of its own accounts, or “Trade Transfer” - to allocate it to accounts of
another Clearing Member. There is no update planned with 26 September
2022 changes regarding the allocation via PTEs.

To reflect the change, the following provision will be amended as outlined in
Attachment 2:

@ Chapter VIII Part 1 Number 1.2.3 (10) of the Clearing Conditions

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4.2.1

(3)_ Eurex Clearing AG shall determine each Margin Requirement in accordance with

the Eurex Clearing Prisma methodology. Eurex Clearing AG will publish further
information on the Eurex Clearing Prisma methodology on the Eurex Clearing
Website; such methodology shall form part of these FCM Clearing Conditions.

(43) Each Margin Requirement calculated by Eurex Clearing AG shall equal, in respect

of the relevant FCM Clearing Member Own Transaction Account or FCM Client
Transaction Account(s), the sum of:

(a) the Initial Margin,

(b) any Supplementary Margin that Eurex Clearing AG may impose in respect of
such FCM Clearing Member Own Transaction Account or FCM Client
Transaction Account(s), and

(c) in the case of an intra-day Margin Call, amounts as determined by Eurex to
cover potential Variation Settlement payments that the FCM Clearing Member
may owe in respect of any FCM Clearing Member Own Transaction Account or
FCM Client Transaction Account(s) during the end-of-day settlement cycle.

The “Initial Margin” equals the amount of any potential losses Eurex Clearing AG
would suffer as of the time of the determination of the Margin Requirement from

a closing of the Swap Transaction(s) in a-particularthe relevant FCM Clearing
Member Own Transaction Account or FCM Client Transaction Account(s) by
entering into (an) inverse transaction(s) within the respectively applicable holding
period for the respective set of Swap Transactions, as published by Eurex
Clearing AG on the Eurex Clearing Website, taking into account assumed price
changes due to extreme price movements in the market.

(54) Eurex Clearing AG will conduct an end-of-day settlement cycle each Business Day

to determine the end-of-day Margin Requirement, any Variation Settlement amounts
(or other amounts such as Price Alignment Interest in accordance with Chapter II
Part 2 Number 2.2.1 Paragraph (5) (b) of the FCM Regulations) owed or owing, and
any amounts owed or owing in respect of Swap Transactions that have been
terminated or which have expired, separately in respect of each-the relevant FCM
Clearing Member Own Transaction Account or FCM Client Transaction Account(s),
in accordance with the Special Provisions.

Internal Accounts

Internal Transaction Accounts

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6.5

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FCM Client Buffer

(1) If the applicable Margin Requirement with respect to an-the relevant FCM Client
Transaction Account(s) exceeds the relevant FCM Client Margin Sub-Account
Balance for such FCM Client Transaction Account(s) ("FCM Client Margin
Shortfall"), Eurex Clearing AG is permitted to apply any portion of the FCM Client
Buffer carried in the FCM Client Buffer Sub-Account in the same FCM Client Margin
Account as the FCM Client Margin Sub-Account to satisfy the FCM Client Margin
Shortfall (the “Encumbered FCM Client Buffer’).

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Margin Calls; Application of FCM Client Buffer

(1) Eurex Clearing AG calculates a-separatethe FCM Client Margin Requirement(s) for
each-the relevant FCM Client Transaction Account(s) (including any FCM Client
Transaction Suspension Account) in accordance with Number 3.1.1. Eurex
Clearing AG will notify an FCM Clearing Member of the relevant FCM Client Margin
Requirement for (i) each FCM Client Transaction Account with-a-correspending FCM
Client Margin Sub-Accountin the FCM Client Margin Accountor (ii) based on a Net

Margin Instruction, a set of FCM Client Transaction Accounts. Notification of an FCM
Client Margin Requirement is not a Margin Call.

(2) Eurex Clearing AG will issue a Margin Call with respect to an-the relevant FCM
Client Transaction Account(s) at any time prior to the end of a Business Day
provided that the following requirements are met:

(a) Eurex Clearing AG has determined there is an FCM Client Margin Shortfall with
respect to the relevant FCM Client Transaction Account(s), and

(b) the FCM Client Margin Shortfall with respect to the relevant FCM Client
Transaction Account(s) cannot be fully met by unencumbered FCM Client Buffer
provided with respect to the relevant FCM Client Margin Account to which the
FCM Client Transaction Account(s) is/are linked.

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(3) In the end-of-day settlement cycle, Eurex Clearing AG shall use the FCM Client
Buffer to meet (in whole or in part) any Margin Call Eurex Clearing AG determines
with respect to any-the relevant FCM Client Transaction Account(s).

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LSOC With Excess Model
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