Eurex05e

FCM Regulations of Eurex Clearing AG As of 20.11.2023
Page 8
Indices
FRGPIx-(for ZCIS in trad: y-EUR):
HIGPxT (for ZCIS in trade-currency EUR);
UK-RPHfor ZCIS in-trad y-GBP)

[J
(7d) Fixing Day offset
L.]
(b) for IRS: -10 to 0 Business Days
[1

(B): EUR-EuroSTR-OIS Compound, GBP-SONIA-O1S-Compound,JPY-FONA-
OlS-Gompound-USD-SOFR-OIS Compound, USD-Federal Funds-OlS
Compound: 0 Business Days.

(c) for FRAs:
(i) where settlement in advance is specified, for the floating leg referencing
[J

(B) EUR-EURIBOR, PLN-WIBOR: -10 to -1 Business Days;

(ii) where settlement in arrears is specified, -10 to 0 Business Days.
(8) Fixed Amounts
L.]
(8a) Delayed Payments
L..]
(a) for IRS:

(i) between 0 and 2 Business Days for legs referencing EUR-EURIBOR, CZK-
PRIBOR, DKK-CIBOR, HUF-BUBOR, SEK-STIBOR, NOK-NIBOR,_PLN-
WIBOR,

[1
(b) for OIS

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Eurex05e

FCM Regulations of Eurex Clearing AG As of 20.11.2023

Page 2

Part 1

1.2

1.2.1

AMENDMENTS ARE MARKED AS FOLLOWS:

INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

General Provisions

Ll

Conclusion of Transactions

L.]

Novation of Original Swap Transactions
Le]

(3) Any acceptance of the Original Swap Transaction by Eurex Clearing AG for inclusion
in the Clearing and the related novation pursuant to Chapter | Number 1.3.3 (1) will
be subject to the novation criteria pursuant to Number 1.2.3 and will be based on the
Trade Record, including, as the case may be, a Credit Limit Token, provided by the
ATS on behalf of the parties to the Original Swap Transaction. Eurex Clearing AG
relies on the accuracy of the data set out in the Trade Record, including, as the case
may be, a Credit Limit Token, _and that such data reflect any and all adjustments to
the Original OTC Transaction that were conducted after the conclusion of the
Original OTC Transaction based on law, contract or regulation and is neither able
nor obliged to verify whether the Trade Record received properly reflects the terms
of the Original Swap Transaction entered into by the relevant parties,- nor whether
the respective FCM Clearing Member — as indicated in the Credit Limit Token
submitted to Eurex Clearing AG via the ATS — has actually approved that it will act
as a FCM Clearing Member for the respective party with respect to such Original
Swap Transaction and any novated Swap Transaction and clear such transactions.

(5)__If an Original Swap Transaction or a FCM-Client Transaction, or any provision
thereof, is not valid or not enforceable vis-a-vis the other party or the respective FCM

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FCM Regulations of Eurex Clearing AG As of 20.11.2023

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2.2.5 Rates for calculating the Floating Amount

(1) Subject to Number 1.8, when calculating the Floating Amounts, the applicable
Relevant Rate will be determined by Eurex Clearing AG on the basis of the Floating
Rate Option label (and Designated Maturity, where applicable) as specified in the
Swap Trade Novation Report in accordance with the following matrix (the “Floating
Rate Matrix”):

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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 20.11.2023

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FCM Regulations of Eurex Clearing AG As of 20.11.2023

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(i) subject to (ii)_and (iii), between 0 and 2 Business Days,

(ii) between 1 and 2 Business Days for the legs referencing USD-SOFR-OIS.
Compound, USD-Federal Funds-OIS Compound, EUR-EuroSTR-OIS
Compound, JPY-TONA-OIS Compound,

(iii) _2 Business Days for the legs referencing DKK-DESTR-OIS Compound

(c) for FRA: 0 Business Days, and
Ll

(10) Calculation periods
L.]
(b) for IRS: if the relevant rate is
(.-]

ii. _CZK-PRIBOR, DKK-CIBOR, DKK-CIBOR2, HUF-BUBOR, NOK-NIBOR,
PLN-WIBOR or SEK-STIBOR:

Lo]
(c) for basis swaps: if the relevant floating rate is
Lo]

ii. | CZK-PRIBOR, DKK-CIBOR, DKK-CIBOR2, HUF-BUBOR,-or NOK-NIBOR
or PLN-WIBOR:

for both legs: quarterly, semi-annually, annually, zero coupon;
[J
(11) Notional amount

The minimum notional amount must be (i) 0.01 for CHF, EUR, GBP, USD, CZK,
DKK, NOK,-of SEK or PLN or (ii) 1.00 for JPY and HUF.

LJ

(13) Business Days

iD)

(b) Atleast the specification of the following financial center(s) and/or terms is
mandatory for the Interest Rate Derivative Transaction, further financial
center(s) and/or terms may be added optionally as set out in limb (a):

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FCM Regulations of Eurex Clearing AG As of 20.11.2023

Page 11

case these payments (i) are in CHF, EUR, GBP, e+ USD and PLN and were due on
or before the day of novation or (ii) are in JPY, CZK, DKK, HUF, NOK or SEK and
will become due on the next Business Day following the day of novation.

Ll

(5) The following additional primary payment obligations apply:
[.-]

(b) A price alignment amount (“Price Alignment Amount” or “PAA”) shall be
payable by the FCM Clearing Member or Eurex Clearing AG, as the case may
be, together with the Variation Settlement Amount.

(aa) The Price Alignment Amount means the overnight interest paid or received
on the cumulative Variation Settlement Amounts over the lifetime of the
Interest Rate Derivative Transaction.

[.]

For CHF and PLN, PAA is defined as:

PAA(T) = - MtM_exCF(T-1) * ONR(T,T+1) * YF(T,T+1),
Ll

For T+2 currencies (JPY, CZK, DKK, HUF; NOK and SEK) the Variation
Settlement Amount is settled on T+2 (in contrast to CHF, EUR, GBP,-and
USD, PLN where the Variation Settlement Amount is settled on T+1). The
value of the Variation Settlement Amount instructed on T settles on T+2
and reflects the interest payment from T+1 to T+2. It is calculated as:

[.]
(bb) The relevant indices to determine the PAA are
[.]

(x) In case the currency is SEK then STIBOR TIN (the day-to-day fixing
(known as the Tomorrow/Next (or T/N fixing)) of the rate for deposits
in Swedish Krona known as the Stockholm Interbank Offered Rate);

(xi)_In case the currency is PLN then WIBOR (Warsaw Interbank Offered
Rate);

(xii)_In case the currency is DKK then DESTR (Denmark Short Term
Rate).

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FCM Regulations of Eurex Clearing AG As of 20.11.2023

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(5)

(6)

[.]

(iii) for Original Swap Transactions in PLN, CZK ander HUF, no more than 16
years (5,871 calendar days),

(b) in case of basis swaps,

Lo]

(iv) for Original OTC Transactions in PLN, CZK and HUF, no more than 16
years (5,871 calendar days).

(c) in case of OIS,

Lo]

(ii) for Original Swap Transactions in CHF or JPY, no more than 31 years
(11,375 calendar days); -and

(iii) for Original Swap Transactions in GBP or USD, no more than 51 years
(18,675 calendar days); and

(iv) for Original OTC Transactions in DKK, no more than and 11 years (4,050
calendar days).

(d) in case of FRA, for Original Swap Transactions in EUR, USD, CZK, DKK, HUF,

PLN, NOK or SEK, no more than 3 years (1,225 calendar days).

Minimum remaining term

In case of IRS and OIS, the minimum period between the date of novation and the
Termination Date must be at least one Business Day for CHF, EUR, GBP,-and USD
and PLN and two Business Days for JPY, CZK, DKK, HUF, NOK or SEK.

In case of FRA which are settled in advance or in arrears, the minimum period
between the date of novation and the payment date must be at least one Business
Day for EUR and PLN and two Business Days for CZK, DKK, HUF, NOK and SEK.

Shortened or extended calculation period (stub period)

ve]

(b) The minimum period length of short Interest Rate Stub Periods is one day. The

maximum period length for long Interest Rate Stub Periods for both, fixed rate
payments under IRS in any eligible currency, and OIS is not restricted. The
maximum period length for long Interest Rate Stub Periods is one year and one
month for floating rate payments under IRS (including basis swaps) in EUR and
under basis swaps in USD. For floating rate payments under IRS in CZK, DKK
HUF,-and NOK and PLN, the maximum length for long Interest Rate Stub
Periods is seven months and for floating rate payments under IRS (excluding

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Clearing Conditions of Eurex Clearing AG As of 20.11.2023

Page 6

Floating Rate Options (minor currencies)

DKK-CIBOR (also referred to as DKK-CIBOR-DKNA13);
DKK-CIBOR2 (also referred to as DKK-CIBOR2-DKNA13);

DKK-DESTR-OIS Compound;

Lo]

Le]
(8d) Fixing Day offset
iD)
(b) for IRS: -10 to 0 Business Days
For basis swaps: for the floating leg referencing
Lo]

(B): EUR-EuroSTR-OIS Compound, GBP-SONIA-OIS Gompound, JPY-
FONA-GIS-Gompound,USD-SOFR-OIS Compound, USD-Federal
Funds-OlS Compound: 0 Business Days.

Le]
(9a) Delayed Payments
Le]
(b) for OIS
(i) subject to (ii)_and (iii), between 0 and 2 Business Days,

(ii) between 1 and 2 Business Days for the legs referencing USD-SOFR-OIS
Compound, USD-Federal Funds-OIS Compound, EUR-EuroSTR-OIS.
Compound, JPY-TONA-OIS Compound,

(iii) 2 Business Days for the legs referencing DKK-DESTR-OIS Compound.

Le]
(14) Business Days
Le]

(b) Atleast the specification of the following financial center(s) and/or terms is
mandatory for the OTC Interest Rate Derivative Transaction, further financial
center(s) and/or terms may be added optionally as set out in limb (a):

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Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 20.11.2023
Page 3

1.2.4

(6)

Ifan Original OTC Transaction or a CM-Customer Transaction, or any provision
thereof, is not valid or not enforceable vis-a-vis the other party or the respective
customer, this shall not affect the validity and enforceability of the CCP Transaction
between Eurex Clearing AG and the relevant Clearing Member._The Clearing
Member or ISA Direct Clearing Member shall be liable vis-a-vis Eurex Clearing AG
for any Trade Records transmitted to Eurex Clearing AG via an ATS.

Special Provisions with respect to the Conclusion of CCP Transactions

(1)

(4)

If (A) in the case of OTC Interest Rate Derivative Transactions, the Clearing Member
or, if applicable, the ISA Direct Clearing Member holds an Interest Rate Derivatives
Clearing License or (B) in the case of OTC NDF Transactions, the Clearing Member
holds an OTC Currency Products Clearing License, the Clearing Member or, if
applicable, the ISA Direct Clearing Member (i) authorises Eurex Clearing AG to
capture and maintain records vis-a-vis the respective ATS, and (ii) confirms that it
has appointed the relevant ATS to receive trade communications and generate and
send trade communications to Eurex Clearing AG for the Clearing Member or, if
applicable, the ISA Direct Clearing Member. Eurex Clearing AG may rely on such
trade communications. The Clearing Member and the ISA Direct Clearing Member
authorize Eurex Clearing AG to submit information on the trade economics of
selected OTC Interest Rate Derivate Transactions to the relevant ATS. Eurex
Clearing AG will provide the ATS after validation of a respective request sent on
behalf of the FCM Clearing Member with the requested trade economics of the
selected OTC Interest Rate Derivative Transaction (“Trade Economic’s Request").
The FCM Clearing Member may revoke such authorization vis-a-vis Eurex Clearing
AG.

The Clearing Member and the ISA Direct Clearing Member acknowledge that Eurex
Clearing AG does not assume any liability vis-a-vis them

Ld

(ii) if the Trade Record or Trade Economic’s Request has not been initiated by the
Clearing Member, the ISA Direct Clearing Member or DC With System
Access/Basic DC,

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Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 20.11.2023
Page 2

1.2

1.21

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;

DELETIONS ARE CROSSED OUT

General Provisions

Conclusion of Transactions

Ld

Novation of Original OTC Transactions
[J

(3) Any acceptance of the Original OTC Transaction by Eurex Clearing AG for inclusion
in the Clearing and the related novation pursuant to Chapter | Part 1
Number 1.2.2 (2) or, in case of an ISA Direct Transaction, Chapter | Part 6 Subpart
A Number 1.2 (3), as applicable, will be subject to the novation criteria pursuant to
Number 1.2.3 and will be based on the Trade Record including, as the case may be,
the Credit Limit Token, provided by the ATS on behalf of the parties to the Original
OTC Transaction. Eurex Clearing AG relies on the accuracy of the data set out in the
Trade Record, including, as the case may be, the Credit Limit Token and that such
data reflect any and all adjustments to the Original OTC Transaction that were
conducted after the conclusion of the Original OTC Transaction based on law,
contract or requlation and is neither able nor obliged to verify whether the Trade
Record received properly reflects the terms of the Original OTC Transaction entered
into by the relevant parties, nor whether the respective Clearing Member — as
indicated in the Credit Limit Token submitted to Eurex Clearing AG via the ATS —
has actually approved that it will act as a Clearing Member for the respective party
with respect to such Original OTC Transaction and any novated CCP Transaction
and clear such transactions.

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Eurex05e

FCM Regulations of Eurex Clearing AG As of 20.11.2023

Page 7

basis swaps) in SEK the maximum length for long Interest Rate Stub Periods is
four months.

(c) For IRS floating payments, the floating rates for Interest Rate Stub Periods must
be specified in the Trade Record submitted via the ATS as follows:

[1

(bb) if a floating rate index tenor is specified, which is used for the fixing in
respect of the Interest Rate Stub Period, the respective tenors. The
following tenors (W = week(s), M = month(s), Y = year) are eligible:

[el
(iii) in case the currency is NOK: 1W, 1M, 2M, 3M, 6M;

(iv)_in case the currency is PLN: 1W, 2W, 1M, 3M, 6M;

(iv) in case the currency is SEK: 1W, 1M, 2M, 3M.
(vi) in case the currency is CZK or HUF: 1W, 2W, 1M, 2M, 3M, 6M.
[1
(7) Floating Amount
L.]
(7a) Floating Rate Options

cD)

Floating Rate Options (minor currencies)

CZK-PRIBOR (also referred to as CZK-PRIBOR-PRBO);

DKK-CIBOR (also referred to as DKK-CIBOR-DKNA13);
DKK-CIBOR2 (also referred to as DKK-CIBOR2-DKNA13);

DKK-DESTR-OIS Compound;
HUF-BUBOR (also referred to as HUF-BUBOR-Reuters);*

[el

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Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 20.11.2023
Page 5

2.1.5.1

Novation Criteria and Process Regarding OTC Interest Rate Derivative
Transactions

[el

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

Led
(2) Currencies
LJ
(iii) for OIS: CHF, EUR, GBP, DKK, JPY or USD; and
Le]
(4) Maximum remaining term / Termination Date
Lo]
(c) in case of OIS,
Lo]

(ii) for Original OTC Transactions in CHF or JPY, no more than 31 years
(11,375 calendar days);;-and

(iii) for Original OTC Transactions in GBP or USD, no more than-and 51 years
(18,675 calendar days);; and

(iv) for Original OTC Transactions in DKK, no more than 11 years (4,050
calendar days);

[J
(6) Minimum term

In case of ZCIS, the minimum period between the Effective Date and the
Termination Date must be at least one year28-calendardays.

[.]
(8a) Floating Rate Options

Lo]

Floating Rate Options (minor currencies)

[el

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24 Oct 2023
Eurex Clearing

EurexOTC Clear Release 16.0:
Amendments to the Clearing
Conditions and the FCM

Regulations of Eurex Clearing
AG

Eurex Clearing Circular 070/23 EurexOTC Clear Release 16.0: Amendments
to the Clearing Conditions and the 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:

@ EurexOTC Clear Release 16.0
@ Further minor amendments

The amendments to the Clearing Conditions and FCM Regulations will come
into effect as of 20 November 2023.

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


Clearing Conditions of Eurex Clearing AG

Eurex04e

As of 20.11.2023

Page 8

OTC Trade Novation Report in accordance with the following matrix (the “Floating
Rate Matrix”):

Floating Category/ | Underlying Designated Fixing Fixing Day =‘ Floating = Rounding
Rate style index and Maturity Time Rate
Option: index (unless Day
label administrat (unless specified Count
specified or specified otherwise Fraction
in the OTC otherwise | in the OTC
Trade inthe OTC | Trade
Novation Trade Novation
Report Novation Report)
Report)
L.]
Category: | Index: Applicable | 11:00, Two As
Screen Copenhage Copenhage | Copenhage | specified
Rate n Interbank ntime n Business | in the
DKK- Offered Days OTC
CIBOR2 Style: Term | Rate preceding | Trade
Rate the Reset Novation
(or DKK- Index Date Report
CIBOR2- Administrat
DKNA13) or: Danish
Financial
Benchmark
Facility
Category: | Index: Not 10:00, One As To the
Calculated | Denmark Applicable Copenhage | Copenhage | specified | nearest one
Rate Short Term ntime nBusiness _ inthe ten-
Rate OTC thousandth
Style: Trade ofa
Compound | Index the day “i” Novation | percentage
DKK- ed Floating | Administrat Report | point
DESTR- Rate or: National (0.0001 %
os Option Bank ot
Cor jenmari
Compound | Compoundi
ng Method:
ols
Compoundi
ng

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Clearing Conditions of Eurex Clearing AG

Eurex04e
As of 20.11.2023
Page 7

2.2

2.2.5

Referenced floating FpML code of the mandatory financial center(s)
rate index and/or terms
For Payment For Effective For Fixing
Dates Date, Dates
Termination
Date
EUR-EURIBOR EUTA EUTA EUTA
DKK-CIBOR, DKCO DKCO DKCO
DKK-CIBOR2,
DKK-DESTR-OIS
JPY-TONA-OIS JPTO JPTO JPTO
Compound
CHF-SARON-OIS CHZU CHZU CHZU
Compound
LJ

(15) Business Day Convention

The Business Day Convention(s) for adjusting any relevant date must be one of the
following:

Ll

(iv) No Adjustment (which is entnot supported in respect of the Effective- Payment
Date).

LJ

Product-related terms for OTC Interest Rate Derivative Transactions

Ll

Rates for calculating the Floating Amount

(1) Subject to Number 1.8, when calculating the Floating Amounts, the applicable
Relevant Rate will be determined by Eurex Clearing AG on the basis of the Floating
Rate Option label (and Designated Maturity, where applicable) as specified in the

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Eurex04e

Clearing Conditions of Eurex Clearing AG “As of 20.11.2023 —

Page 4

Part 2 Clearing of OTC Interest Rate Derivative Transactions

21 General Provisions

Ll

2.1.4 CTM Interest Rate Derivative Transactions and STM Interest Rate Derivative
Transactions

(1) A Clearing Member may, by way of an IRS STM Election, elect that all (but not some
only) of the STM Eligible Interest Rate Derivative Transactions under a particular
Standard Agreement shall be cleared as STM Interest Rate Derivative Transactions.

In the case of Existing STM Eligible Interest Rate Derivative Transactions, the CTM
Interest Rate Derivative Transactions shall be established as STM Interest Rate
Derivative Transactions on the IRS STM Effective Date pursuant to Paragraph (2). In
the case of Original STM Eligible Interest Rate Derivative Transactions, the OTC
Interest Rate Derivative Transactions created by way of novation pursuant to Part 1
Number 1.2.1 shall be converted into STM Interest Rate Derivative Transactions
upon such novation pursuant to Paragraph (3) below. In the case of Transfer STM
Eligible Interest Rate Derivative Transactions, the OTC Interest Rate Derivative
Transactions created by way of novation pursuant to Number 2.7 in connection with
Chapter | Part 1 Number 1.2.2 (54) (c) shall be converted into STM Interest Rate
Derivative Transactions upon such novation pursuant to Paragraph (4) below. With
respect to OTC IRS U.S. Clearing Members, all OTC Interest Rate Derivative
Transactions can only be cleared as STM Interest Rate Derivative Transactions.

(4) Ifan IRS STM Election is made, the relevant Transfer STM Eligible Interest Rate
Derivative Transaction shall be amended upon the effectiveness of the novation
pursuant to Number 2.7 in connection with Chapter | Part 1 Number 1.2.2 (84) (c)
(provided the point in time of such effectiveness falls on or after the STM Interest
Rate Derivative Effective Date) so that the additional primary payment obligations of
the Clearing Member and Eurex Clearing AG set out in Number 2.2.1 (5) shall arise
under the relevant STM Interest Rate Derivative Transaction.

(6) For the purposes of this Chapter VIII,
bel

(g) “Transfer STM Eligible Interest Rate Derivative Transaction” means, an
OTC Interest Rate Derivative Transaction that is created by way of novation
pursuant to Number 2.7 in connection with Chapter | Part 1
Number 1.2.2 (84) (c).

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FCM Regulations of Eurex Clearing AG As of 20.11.2023

Page 10

2.2

2.21

Referenced floating FpML code of the mandatory financial center(s)
rate index and/or terms
For Payment For Effective For Fixing Days
Date Date,
Termination
Date
EUR-EURIBOR EUTA EUTA EUTA
DKK-CIBOR, DKCO DKCO DKCO
DKK-CIBOR2,
DKK-DESTR-OIS
Compound
LJ
NOK-NIBOR NOOS NOOS NOOS
PLN-WIBOR PLWA PLWA PLWA
(J
JPY-TONA-OIS JPTO JPTO JPTO
Compound
CHF-SARON-OIS CHZU CHZU CHZU
Compound

(14) Business Day Convention

(ed

(iv) No Adjustment (which is enly-not supported in respect of the Effective Payment
Date).

Le]

Product-related terms for Interest Rate Derivative Transactions

Le]

Payment Obligations

Led

(3) Payments under the relevant Original Swap Transaction will not be owed under the

relevant Swap Transaction and are not subject to these FCM Clearing Conditions in

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Further information

, Attachment 1 to Eurex Clearing Circular 070/23

, Attachment 2 to Eurex Clearing Circular 070/23

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

Disclaimer Privacy notice Imprint Eurex Clearing Rules & Regulations Sitemap


Eurex05e

FCM Regulations of Eurex Clearing AG As of 20.11.2023

Page 3

Client, this shall not affect the validity and enforceability of the Swap Transaction
between Eurex Clearing AG and the relevant FCM Clearing Member. The FCM
Clearing Member shall be liable vis-a-vis Eurex Clearing AG for any Trade Records
transmitted to Eurex Clearing AG via an ATS.

(65) For the purposes of this Chapter Il,

LJ

(b)_ “FCM-Client Transaction” means a transaction corresponding to a Swap
Transaction and which has been created between the FCM Clearing Member
and a FCM Client of the FCM Clearing Member in accordance with the
contractual arrangements between them. A FCM-Client Transaction shall
exclusively be subject to the contractual arrangements between the relevant
FCM Clearing Member and its FCM Client, which may refer to these FCM

Regulations.

(bc) “Swap Trade Daily Summary Report” means a report that lists events
occurring after the original novation which will be made available to FCM
Clearing Members electronically via Eurex Clearing AG's system on each
Business Day. The last Swap Trade Daily Summary Report will be made
available at or around 11:00 p.m. (Frankfurt am Main time).

(ed) “Swap Trade Novation Report” means a report produced by Eurex
Clearing AG on the basis of the Trade Records transmitted via the relevant ATS
which specifies the Original Swap Transactions to be novated into the
respective Swap Transactions.

1.2.4 Specific Provisions with respect to the Conclusion of Swap Transactions

(1) If the FCM Clearing Member (i) authorizes Eurex Clearing AG to capture and
maintain records vis-a-vis any ATS, and (ii) confirms that it has appointed the
relevant ATS to receive trade communications and generate and send trade
communications to Eurex Clearing AG for the FCM Clearing Member, Eurex
Clearing AG may rely on such trade communications. The FCM Clearing Member
authorizes Eurex Clearing AG to submit information on the trade economics of
selected Swap Transactions to the relevant ATS. Eurex Clearing AG will provide the
ATS after validation of a respective request sent on behalf of the FCM Clearing
Member with the requested trade economics of the selected Swap Transaction
(‘Trade Economic’s Request’). The FCM Clearing Member may revoke such
authorization vis-a-vis Eurex Clearing AG.

(4) The FCM Clearing Member acknowledges that Eurex Clearing AG does not assume
any liability vis-a-vis such FCM Clearing Member

(i)__in respect of inaccuracies in the Trade Record submitted to Eurex Clearing AG;

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2.1.3.1 Requirements for the Granting of an Interest Rate Derivatives Clearing License

2.1.5.1

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(4) if the Interest Rate Derivatives Clearing License of the relevant FCM Clearing
Member covers Interest Rate Derivative Transactions CHF, EUR, GBP, JPY, USD,
CZK, DKK, HUF, NOK, PLN and/or SEK, bank cash account(s) in the relevant
currency or currencies; and

Novation Criteria and Process Regarding Interest Rate Derivative Transactions
Le]
Specific Novation Criteria and Terms for Swap Transactions
Le]
(2) Currencies
The currency must be

(i) for IRS (excluding basis swaps) and FRA: EUR, CZK, DKK, HUF, PLN, SEK or
NOK;

(ii) for basis swaps: EUR, USD, DKK, PLN, NOK,; CZK or HUF and
(iii) for OIS: CHF, EUR, GBP, DKK, JPY or USD;

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(3) Payment types

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Fees or other payments are defined at contract conclusion. The fees must be in
trade currency.

(a) For IRS, OIS and FRA, in case of a termination, fees are settled one day after
the termination date for CHF, EUR, GBP,-aad USD and PLN and two days after
the termination date for JPY, CZK, DKK, HUF, NOK and SEK. In case of
maturity, fees are settled on the maturity date.

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(4) Maximum remaining term / Termination Date

cD)

(a) in case of IRS (excluding basis swaps)

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Rules and Regulations > 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-Amendments to Chapter VIII of the Clearing Conditions
@ 2-Amendments to Chapter II of the FCM Regulations

Further information

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

Target Front Office/Trading, Middle + Back Office, IT/System

groups: Administration, Auditing/Security Coordination

Contact: client.services@eurex.com

Web: Rules and Regulations > Eurex Clearing Rules and
Regulations

Authorized Jens Janka

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A. EurexOTC Clear Release 16.0

Eurex Clearing AG (Eurex Clearing) is introducing the automated trade offset
functionality to all EurexOTC Clear clients (Clearing Members, Direct Clients
and Fund Managers) through the Approved Trade Sources (ATS) connected to
Eurex Clearing’s Trade Entry API and is subject to the adoption of the service
by the ATS. This functionality will be enabled by default for all EurexOTC Clear
clients.

This authorizes Eurex Clearing to share trade economics with an ATS upon
validation of the respective client's request received from the ATS. The ATS
would then automatically create offsetting positions based on the trade
economics acquired from Eurex Clearing, ready to be executed and submitted
for clearing by the client.

This functionality can be disabled by contacting the Key Account Manager or
Eurex Clearing’s Onboarding team. The Clearing Conditions (Chapter VIII) and
FCM Regulations (Chapter II) will be amended to incorporate this functionality.

Furthermore, the Clearing Conditions (Chapter VIII) and FCM Regulations
(Chapter II) are updated to incorporate the following product changes:

introduction of Overnight Interest Swap (OIS) on DKK-DESTR (Denmark
Short-Term Rate) index with maximum maturity 11 years

@ the minimum clearing eligible term for Zero Coupon Inflation Swaps
(ZCIS) is amended from 28 calendar days to 1 year

@ Polish Zloty denominated IRD products which are eligible for clearing
under the Clearing Conditions (Chapter VIII) are also included in and
eligible under the FCM Regulations (Chapter II).

B. Further minor amendments

Eurex Clearing applies further minor amendments to the Clearing Conditions
(Chapter VIII) and FCM Regulations (Chapter II) to harmonize both these
chapters and to align the precision rules imposed on the fixed rate with the
existing implementation.

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

Chapter VIII Part 1 Numbers 1.2.1 and 1.2.4, Part 2 Numbers 2.1.5.1 and
2.2.5 of the Clearing Conditions

@ Chapter II Part 1 Numbers 1.2.1, 1.2.4 and 1.7, Part 2 Numbers 2.1.3.1,
2.1.5.1 and 2.2.5 of the FCM Regulations

As of the effective date, the full version of the amended legal framework of
Eurex Clearing will be available for download on the Eurex Clearing website
www.eurex.com/ec-en/ under the link:


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

FCM Regulations of Eurex Clearing AG

As of 20.11.2023

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(ii)_ ifthe Trade Record or Trade Economic’s Request has not been initiated by the
FCM Clearing Member or the FCM Client;

(iii) if the respective FCM Clearing Member has not approved outside the system of
Eurex Clearing AG and prior to the conclusion of the Original Swap Transaction
that it will act as a FCM Clearing Member for such party with respect to such
Original Swap Transaction and any novated Swap Transaction and clear such
transaction, as indicated in the Credit Limit Token, or

(iv) _if the Credit Limit Token was created incorrect or incomplete or should not have
been created.

17 Certain Definitions
Le]

(9) The “Currency/Business Day Matrix” shall be the following matrix:

Currency Defined Definition: The lawful Financial Currency
Term currency of: Center(s) specific

provision/
rounding of
amounts

Ll

Norwegian | NOK The Kingdom of Norway Oslo

Krone

Polish Zloty | PLN The Republic of Poland Warsaw

Ll

Part 2 Clearing of Interest Rate Derivative Transactions

21 General Provisions

2.1.3 Interest Rate Derivatives Clearing License

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