Attachment 1 to Eurex Clearing Circular 063/23

A. Product Overview

product Underlying CG product Currency Bloomberg* Refinitiv*
Code ISIN ISIN
TAZN AstraZeneca GB0009895292 GB40 B10 DEOOOA30BLD1 GBX TAZN=A GR Equity .TAZN
THSB HSBC GB0005405286 GB40 B10 DEOOOA30BLE9 GBX THSB=A GR Equity .THSB
TULV Unilever GBOOB10RZP78 GB40 B10 DEOOOA30BLF6 GBX TULV=A GR Equity .TULV
TBPT BP GB0007980591 GB40 B10 DEOOOA30BLG4 GBX TBPT=A GR Equity .TBPT
TDGE Diageo GB0002374006 GB40 B10 DEOOOA30BLH2 GBX TDGE=A GR Equity TDGE
TGLE Glencore JEOOB4T3BW64 GB40 B10 DEOOOA30BLI8. GBX TGLE=A GR Equity TGLE
TBAT British American Tobacco | GB0002875804 GB40 B10 DEOOOA30BLK6 GBX TBAT=A GR Equity .TBAT
TRIO Rio Tinto GB0007188757 GB40 B10 DEOOOA30BLL4 GBX TRIO=A GR Equity TRIO
TGSK GSK GBOOBN7SWP63, GB40 B10 DEOOOA30BLM2 GBX TGSK=A GR Equity .TGSK
TREL | RELX GB008280DG97 | GB40 | B10 | DEOOOAS0BLNO | GBX | TREL-AGREquity | .TREL
TRKT Reckitt Benckiser GBOOB24CGK77 GB40 B10 DEOOOA30BLP5, GBX TRKT=A GR Equity .TRKT
TAAL Anglo American GBOOB1XZS820 GB40 B10 DEOOOA30BLQ3 GBX TAAL=A GR Equity TAAL
NGG | National Grid GBooBDROSCo1 | B40 | B10 | DEOOOAZ0BLR1 | Gax | TNGG=AGREquity | .TNGG
TLLO Lloyds GB0008706128 GB40 B10 DEOOOA30BLS9 GBX TLLO=A GR Equity .TLLO
TRU. | Prudential GB0007099541 | GB40 | B10 | DECOOAS0BLT? | GBX | TPRU-AGREquity | .TPRU
TCPG Compass GBOOBD6K4575 GB40 B10 DEOOOA30BLUS GBX TCPG=A GR Equity .TCPG
TBAR | Barclays GB0031348658 | GB40 | B10 | DEOOOA30BLV3 | GBX | TBAR-AGREquity | .TBAR
TEXP: Experian GBOOB19NLV48 GB40 B10 DEOOOA30BLW1 GBX TEXP=A GR Equity .TEXP.
TLSE London Stock Exchange GBOOBOSWJX34 GB40 B10 DEOOOA30BLX9 GBX TLSE=A GR Equity .TLSE
TBAE | BAE Systems GBo002634946 | Ge4o | 610 | DECOOA30BLY7 | GBX | TBAE-AGREquity | .TBAE
TAHT Ashtead GB0000536739 GB40 B10 DEOOOA30BLZ4 GBX TAHT=A GR Equity .TAHT
TVOD Vodafone GBOOBH4HKS39 GB40 B10 DEOOOA30BM07 GBX TVOD=A GR Equity -TVOD
TIMB. Imperial Brands GB0004544929 GB40 B10 DEOOOA30BM15 GBX TIMB=A GR Equity .TIMB
Tse | SSE 680007908733 | GB40 | B10 | DECOOA30BM23 | GBX | TSSE-AGREquity |  .TSSE
Trsc_ | Tesco GBoos.czes62 | Ge4o | B10 | DECOOA30BM31 | GBX | TTSC=AGREquity | TSC
THLN Haleon GBOOBMX86B70 GB40 B10 DEOOOA30BM49 GBX THLN=A GR Equity .THLN
TSTA Standard Chartered GB0004082847 GB40 B10 DEOOOA30BM56 GBX TSTA=A GR Equity .TSTA
Tul 3i GBOOB1YW4409 GB40 B10 DEOOOA30BM64 GBX TIII=A GR Equity TH
TNWG | NatWest Group GBOOBM8PJY71 GB40 B10 DEOOOA30BM72 GBX TNWG=A GR Equity .TNWG
TLGE Legal & General GBO005603997 GB40 B10 DEOOOA30BM80 GBX TLGE=A GR Equity .TLGE
TRTO Rentokil Initial GBOOBO82RF11 GB40 B10 DEOOOA30BM98 GBX TRTO=A GR Equity .TRTO
TAVI Aviva GBOOBPQY8M80 | GB40 B10 DEOOOA30BMA5 GBX TAVI=A GR Equity LTAVI
TwpeP ‘WPP JEOOB8KF9B49° GB40 B10 DEOOOA30BMB3 GBX TWPP=A GR Equity .TWPP
TSGR Segro GBOOB5ZN1N88 GB41 B11 DEOOOA30BMC1 GBX TSGR=A GR Equity .TSGR
TNPW Smith & Nephew GB0009223206 GB40 B10 DEOOOA30BMD9 GBX TNPW=A GR Equity sTNPW
TBNZ Bunzl GB00B0744B38 GB40 B10 DEOOOA30BME7 GBX TBNZ=A GR Equity .TBNZ
TIHG InterContinental Hotels GBOOBHJYCOS7 GB40 B10 DEOOOA30BMF4 GBX TIHG=A GR Equity .TIHG
TCRD Croda International GBOOBJFFLVO9 GB40 B10 DEOOOAZ0BMG2 GBX TCRD=A GR Equity .TCRD

Page 1 of 3



Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 06.11.2023

Page 2
Chapter II
Parameter Format Description
Underlying Close British pence | Official closing price of the underlying share
for Equity Total per share on the relevant primary cash market as
Return Futures specified in Annex G of the Eurex Contract
Specifications
Annualisation Integer 365
Factor
2.25.3 Final Settlement Price

Ll

(2) The following shall apply to Equity Total Return Futures denominated in EUR (Euro
in conjunction with the Eurex Contract Specifications and formulas used for the
calculation of the final settlement price in index points:

Parameter Format Description
Final Settlement Euro per Official closing price of the underlying share
Underlying for share on the relevant primary cash market as

Equity Total
Return Futures

specified in Annex G of the Eurex Contract
Specifications provided that such day is a
trading day on the relevant primary cash
market; otherwise, it shall be the official
closing price on the trading day on the
relevant primary cash market immediately
preceding such day

(3) The following shall apply to Equity Total Return Futures denominated in GBX (Great

British pence) in conjunction with the Eurex Contract Specifications and formulas

used for the calculation of the final settlement price in index points:

Parameter

Format

Description

Final Settlement

British pence

Official closing price of the underlying share

Underlying for

per share

on the relevant primary cash market as

Equity Total
Return Futures

specified in Annex G of the Eurex Contract
Specifications provided that such day is a
trading day on the relevant primary cash
market; otherwise, it shall be the official
closing price on the trading day on the
relevant primary cash market immediately

preceding such day

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Public


Attachment 1 to Eurex Clearing Circular 063/23

D. Product Group

The product group of the new products is as follows

Regulatory Settlement
status type

Product

Product group

Equity Total
Return Futures
(ETRF) on UK
underlying
equities

Equity Total
Return Futures

Not admitted Cash
for US. trading | Settlement

Product
type

FSTK

Product
segment

Equity Total
Return
Derivatives

Product
currency

GBX

Product capacity
name

ETRF/BTRF-GBX

Page 3 of 3


Attachment 1 to Eurex Clearing Circular 063/23

Eurex
Product
Code

Underlying

Underlying
ISIN

Group
ID

Bucket

Product
ISIN

Currency

Bloomberg*

Refinitiv*

TBTG | BT GB0030913577 | GB40 | B10 | DEOOOA30BMHO | GBX TBTG=A GR Equity .TBTG
TINF | Informa GBOOBMJ6DWS54 | GB40 | B10 | DEOOOA30BMJ6 GBX TINF=A GR Equity TINE
TBRB | Burberry GB0031743007 | GB40 | B10 | DEOOOA30BMK4 GBX TBRB=A GR Equity TBRB
TENT | Entain IMOOBSVQMV65 | GB40 | B10 | DEQOOA30BML2 GBX TENT=A GR Equity TENT
TRRG | Rolls-Royce GB00B63H8491 | GB40 | B10 | DEQOOA30BMMO| GBX TRRG=A GR Equity -TRRG
THLM | Halma GB0004052071 | GB40 | B10 | DEOOOA30BMNS | GBX THLM=A GR Equity -THLM
TSPX | Spirax-Sarco Engineering | GBOOBWFGQN14 | GB40 | B10 | DEOOOA30BMP3 GBX TSPX=A GR Equity -TSPX
TSAG | Sage GBOOB8C3BL03 | GB40 | B10 | DEOOOA30BMQ1 | GBX TSAG=A GR Equity -TSAG
TMND | Mondi GBOOB1CRLC47 | GB40 | B10 | DEOOOA30BMR9 GBX TMND=AGR Equity | .TMND.
TUUT | United Utilities GB00B39J2M42 | GB40 | B10 | DEOOOA30BMS7 GBX TUUT=A GR Equity -TUUT
TITR | Intertek GB0031638363 | GB40 | B10 | DEOOOA30BMTS GBX TITR=A GR Equity cTITR
TSVT | Severn Trent GBOOB1FH8J72 | GB40 | B10 | DEQOOA30BMU3 | GBX TSVT=A GR Equity -TSVT
TST) | StJames's Place GB0007669376 | GB40 | B10 | DEOOOA30BMV1 | GBXx TSTJ=A GR Equity TST)
TABF | Associated British Foods | GBO006731235 | GB40 | B10 | DEOOOA30BMW9 | GBX TABF=A GR Equity -TABF
TPSO | Pearson GB0006776081 | GB40 | B10 | DEOOOA30BMX7 GBX TPSO=A GR Equity -TPSO
TADM | Admiral GB00B02J6398 | GB40 | B10 | DEOOOA30BMYS GBX TADM=A GR Equity .TADM
TWTB | Whitbread GBO0B1KJ408 | GB40 | B10 | DEOOOA30BMZ2 GBX TWTB=A GR Equity TWTB
TSMI | Smiths GBOOB1WY2338 | GB40 | B10 | DEOOOA30BNO6 GBX TSMI=A GR Equity .TSMI
TANT | Antofagasta GB0000456144 | GB40 | B10 | DEOOOA30BN14 GBX TANT=A GR Equity -TANT
TCNA | Centrica GB00B033F229 | GB40 | B10 | DEOOOA30BN22 GBX TCNA=A GR Equity -TCNA
TMRO | Melrose Industries GBOOBNGDN821 | GB40 | B10 | DEOOOA30BN30 GBX TMRO=A GR Equity .TMRO
TAUT | Auto Trader GBOOBVYVFW23 | GB40 | B10 | DEOOOA30BN48 GBX TAUT=A GR Equity .TAUT
TKGF | Kingfisher GB0033195214 GB40 B10 DEOOOA30BN55, GBX TKGF=A GR Equity -TKGF
TLAN | Land Securities GBOOBYWOPQ60 | GB41 | B11 | DEOOOA30BN63 GBX TLAN=A GR Equity -TLAN
TPSN | Persimmon GB0006825383 | GB40 | B10 | DEOOOA30BN71 GBX TPSN=A GR Equity -TPSN
TBDE | Barratt Developments GB0000811801 | GB40 | B10 | DEOOOA30BN89 GBX TBDE=A GR Equity -TBDE
TSBR | J Sainsbury GBOOBO19KW72 | GB40 | B10 | DEOOOA30BN97 GBX TSBR=A GR Equity -TSBR
TOCD | Ocado GB00B3MBS747 | GB40 | B10 | DEOOOA30BNA3 GBX TOCD=A GR Equity .TocD
TTWG | Taylor Wimpey GB0008782301 | GB40 | B10 | DEOOOA30BNB1 GBX TTWG=A GR Equity -TTWG
TBLN | British Land GB0001367019 | GB41 | B11 | DEOOOA30BNC9 GBX TBLN=A GR Equity .TBLN
TSCH | Schroders GBOOBPSLHF23 | GB40 | B10 | DEOOOA30BND7 GBX TSCH=A GR Equity .TSCH
TNXT | Next GB0032089863 | GB40 | B10 | DEOOOA30BNES GBX TNXT=A GR Equity -TNXT
Twel | Weir GB0009465807 | GB40 | B10 | DEQOOA30BNF2 GBX TWEI=A GR Equity -TWEL
TABD | abrdn GBOOBF8Q6K64 | GB40 B10 DEOOOA30BNGO GBX TABD=A GR Equity .TABD
TJMA | Johnson Matthey GBO0BZ4BQC70 | GB40 | B10 | DEOOOA30BNH8 GBX TJMA=A GR Equity -TIMA

* provisional vendor tickers

Page 2 of 3


Eurex04e
As of 06.11.2023

Clearing Conditions of Eurex Clearing AG

Page 1

Chapter II

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSED OUT

Part 2 Clearing of Futures Contracts
[1

2.25 Clearing of Equity Total Return Futures Contracts
[J

2.25.2 Daily Settlement Price
Le]

(3) The following shall apply to Equity Total Return Futures Contracts denominated in
EUR (Euro) in conjunction with the Eurex Contract Specifications and provisions
specified above under Paragraph (1) for the daily settlement price:

Parameter Format Description

Underlying Close | Euro per Official closing price of the underlying share

for Equity Total share on the relevant primary cash market as

Return Futures specified in Annex G of the Eurex Contract
Specifications

Annualisation Integer 360

Factor

(4) The following shall apply to Equity Total Return Futures Contracts denominated in
GBX (Great British pence) in conjunction with the Eurex Contract Specifications and
provisions specified above under Paragraph (1) for the daily settlement price:

490-23 (100)_h
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06 Oct 2023
Eurex Clearing

Equity and Basket Total
Return Futures: Introduction

of UK ETRF products
denominated in GBX (Great
British pence)

Eurex Clearing Circular 063/23 Equity and Basket Total Return Futures:
Introduction of UK ETRF products denominated in GBX (Great British
pence)

1. Introduction

Effective 6 November 2023, Eurex Clearing AG will offer clearing services for
new GBp (GBX) denominated Equity Total Return Futures (ETRFs) introduced
at Eurex Deutschland.

In this context, the following measures will apply effective 6 November 2023:

@ Amendments to the Clearing Conditions of Eurex Clearing AG (Clearing
Conditions) regarding the inclusion of GBp (GBX) denominated Equity
Total Return Futures (ETRFs),

@ Amendments to the Price List of Eurex Clearing AG (Price List) regarding
the inclusion of GBp (GBX) denominated Equity Total Return Futures
(ETRFs).

Please refer to Eurex Circular 083/23 for detailed trading-related information,
including fee classification and the related amendments to the Rules and
Regulations of Eurex Deutschland.

Production start: 6 November 2023


Eurex08e

Price List of Eurex Clearing AG As of 06.11.2023

Page 2

3.4 Cash Settlement

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

Maximum Fee
for Contracts on
the same
underlying

Product / Product Group Account | Fee per Contract

ic

Equity Total Return Futures with Group ID assigned in Annex G of the Eurex
Contract Specifications

The cash settlement fee per contract for Equity
Total Return Futures is defined as a percentage of
the contract value, i.e. the following percentage
multiplied by the contract size multiplied by the
underlying equity price. The underlying equity price

AA4O, AA41, AX40, AX41, BA40, is the official closing price of the underlying share

BA41, BX40, BX41 on the relevant primary Cash Market on the
respective expiration day.

A 0.0006% na.

EUR P 0.0003% na.
M 0.0003% na.

The cash settlement fee per contract for Equit
Total Return Futures is defined as a percentage of
the contract value, i.e. the following percentage
multiplied by the contract size multiplied by the
underlying equity price in pence divided by 100.
The underlying equity price is the official closing

GB40, GB41 price of the underlying share on the relevant
primary Cash Market on the respective expiration
day.

0.0006% na.

GBP 0.0003% na.

0.0003% na.

IZ 10 >

3.14 Maintenance Fees
Ll

(1) For open positions the daily accrued maintenance fee shall be as follows:

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Price List of Eurex Clearing AG

Eurex08e

As of 06.11.2023

Page 1

AMENDMENTS ARE MARKED AS FOLLOWS:

INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

L-]
3 Transaction Fees for Derivatives Transactions (Order Book Transactions and
Off-Book Transactions on the Eurex Exchange)
Le
3.1 Matching / Registration of Derivatives Transactions
[.-]
Standard Reduced
Fee per Fee per Thres-
Contract Contract hold
(contract (contract (number
Product / Execution volume < volume > of con-
Product Group Currency Type Accounts threshold) | threshold) _ tracts)
LJ

Equity Total Return Derivatives

Equity Total Return Futures with Group ID assigned in Annex G of the Eurex Contract Specifications

AAA, AA41, AX40, AX41,
BA40, BA41, BX40, BX41

The transaction fee per contract for Equity Total Return Futures is defined as a
percentage of the contract value,

the following percentage multiplied by the contract
size multiplied by the underlying equity price. The underlying equity price is the official
closing price of the underlying share on the relevant primary Cash Market on the
respective trade day.

A 0.0006% na nea.
Order book P 0.0003% na na.
M 0.0003% na na.
A 0.0006% na. na.
TES P 0.0003% na nea.
M 0.0003% na. na.

The transaction fee per contract for Equity Total Return Futures is defined as a

percentage of the contract value, i.

the following percentage

multiplied by the contract

size multiplied

by the underlying equity price in pence divided

by 100. The underlying

equity price is the official closin:

19 price of the underlying share

on the relevant primary

Cash Market on the respective trade day.

GB40, GB41 A 0.006% na na
Order book PB 0.0003%
M 0.0003% a
spe A 0.0006% a
Tes PB 0.003% na. .
M 0.003% na. na.

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Chapter II of the Clearing Conditions of Eurex Clearing AG

Transactions Concluded at
Eurex Deutschland

(Eurex Exchange)

As of 06.11.2023

490-23 (100)_h
Public


Authorized by: Jens Janka

Further information

, Attachment 1 to Eurex Clearing Circular 063/23
, Attachment 2 to Eurex Clearing Circular 063/23

, Attachment 3 to Eurex Clearing Circular 063/23

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

Disclaimer Privacy notice Imprint Eurex Clearing Rules & Regulations Sitemap


As of the effective date, the full versions of the amended Clearing Conditions
and Price List will be available for download on the Eurex Clearing website
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
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, Product overview, product parameters and product group with the list
of the new UK ETRF products

2. Amended sections of the Clearing Conditions of Eurex Clearing AG

3. 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, vendors, all FCM Clearing
Members and other affected contractual parties

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

Contact: client.services@eurex.com
Related circular: Eurex Circular 083/23

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


2. Required action

Participants interested to trade ETRF/BTRF will need to fill in and submit the
“Application Form for Participation in Trading/Clearing of Basket Trades
Functionality” for the assignment of the ETRF product capacity and
entitlement to Basket Trades functionality. The form will be sent to the
participants via their Key Account Managers.

No additional registration is required for the participants already active in
trading ETRF/BTRF. However, it is recommended that the participants analyze
the potential impact front-to-back of the above changes.

3. Details of the initiative

A. Product overview

Please refer to Attachment 1 for the list of the new UK ETRF products.

B. Contract specifications

For the detailed contract specifications, please refer to Eurex circular 083/23.
C. Capacity Group

The new products will be included in the new C7 Capacity Group - "ETRF/BTRF-
GBX".

D. Product group
Please refer to Attachment 1 for the product group of the new products.
E. Transaction fees

The transaction and maintenance fees for the new ETRFs can be retrieved
from the updated sections of the Price List, as outlined in Attachment 3.

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

To reflect this decision in the legal framework of Eurex Clearing AG, the
following provisions will be amended as outlined in Attachments 2 and 3:

@ Chapter II Part 2 Numbers 2.25.2, 2.25.3 of the Clearing Conditions
(Attachment 2)
@ Numbers 3.1, 3.4, 3.14 of the Price List (Attachment 3)


Price List of Eurex Clearing AG

Eurex08e
As of 06.11.2023
Page 3

Product / Product group

Currency | Accounts _ Fee per Contract

Equity Total Return Derivatives

Contract Specifications

Equity Total Return Futures with Group ID assigned in Annex G of the Eurex

AA4O, AA41, AX40, AX41, BA40, BA41,
BX40, BX41

The maintenance fee per contract for Equity
Total Return Futures is defined as a
percentage of the contract value, i.e. the
following percentage multiplied by the contract
size multiplied by the underlying equity price.
The underlying equity price is the official
closing price of the underlying share on the
relevant primary Cash Market on the
respective day or on the last trading day.

A 0,000024%
P/M 0.000012%

EUR

GB40, GB41

The maintenance fee per contract for Equity
Total Return Futures is defined as a
percentage of the contract value, i.e. the
following percentage multiplied by the contract
size multiplied by the underlying equity price in
pence divided by 100. The underlying equity
price is the official closing price of the
underlying share on the relevant primary Cash
Market on the respective day or on the last
trading day.

I>

0.000024%

GBP
0.000012%

IZ
i=

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