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which thes other ¥eh-Eligible Margin Assets shall actually be-delivered to Eurex
Clearing AGbe delivered (“Exchange Period”).

QA) Once the /ftherelevant other Eligible Margin Assets Assets-+requested
pursuantto-Sentence-t_(b)-have been actually delivered to Eurex Clearing AG after
an Exchange Request, the Clearing Member or ISA Direct Clearing Member may
request the release or redelivery of the Affected other Eligible Margin Assets in
accordance with the relevant provisions of the Elementary Clearing Model
Provisions, the ISA Provisions or the ISA Direct Provisions, as applicable.

(23) Fethe-extentlf the Clearing Member or ISA Direct Clearing Member does not deliver

other Eligible Margin Assets upon an Exchange Request within the Exchange

Period, requested-p tto Sent +H{b}4 +t been-delivered-within-th:

specified period of time, Eurex Clearing AG shall be entitled to directly debit the
relevant Clearing Member Cash Account_or -ISA Direct Cash Account;-or OFCIRS.
ULS-Glearing Member Gash Account in accordance with the daily cash clearing
procedure pursuant to Number 1.4.1 ofthe General Clearing Provisiensin an

amount equal to the amountefcurrent value of the Affected-Eligible Margin Assets
tod. t to Sent 4b}.
{6}.

Ll

3.2.6 Cash Ratio

Eurex Clearing AG shall be ientitled to implement a specific Cash Ratio and to require the
Clearing Member or ISA Direct Clearing Member to comply with such Cash Ratio when
providing Eligible Margin Assets with respect to the relevant Margin Requirements.
provided that Eurex Clearing AG determines that the implementation of such Cash Ratio
is required (i) to enable Eurex Clearing AG to comply with its regulatory obligations to
have access to adequate liquidity (in particular in accordance with Art 44 of EMIR) and (ii)
to ensure that Eurex Clearing AG is able to perform a prudent liquidity risk management.

“Cash Ratio” means a specific ratio, expressed as a percentage, of (i) the value of all
Eligible Margin Assets in form of cash (“Cash Margin”) to (ii) the sum of the overall
margin requirement calculated by Eurex Clearing AG with respect to the relevant internal

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Amenamenis to the Securities Collateral Add-Un Fee Scneme and Vasn Kato Kignt: AMenaments to the Ulearing Conalto...

¢ Chapter I Part 1 Numbers 3.2.4 and 3.2.6 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 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.

Further information

Recipients: All Clearing Members, FCM Clearing Members, ISA Direct Clearing

Members, Disclosed Direct Clients, FCM Clients of Eurex Clearing
AG and vendors

Target Front Office/Trading, Middle + Backoffice, IT/System
groups: Administration, Auditing/Security Coordination
Related Eurex Clearing Circular 062/21

circular:

Contact: FixedIncome.Sales@eurex.com

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

Authorized Matthias Graulich

by:

Further information

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and/or (ii) delivered as Contributions to the Default Fund by or on behalf of such

Clearing Member or+SA Direct Clearing Memberthat are needed to cover the
relevant margin requirements.

Ifthe- Cash Ratio i Memb. ISA Direct Clearing Membertevel-bet 0-400.
29.99:100-the-additional tration fee-is-ch: -only-with- +t to-(i)-thi
994.00, g ry P tt

h-deli d-as-Contributi tothe Default Fund b: behalfofsuch Ch

y
Memb: ISA Direct Clearing Memberto-the Contribution Requi tof such Cl

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Page 1

JER EEO UI SEI SOI SISO ADIOS ISIS IIIS AI II II IIASA SOS AIDS AIA

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;
DELETIONS ARE CROSSED OUT

tel

9 Service Fees for Eligible Margin Assets, Default Fund Contributions and Funds
provided for the Fulfilment of Own Funds or equivalent Regulatory Capital
Requirements

el

9.2 Service Fees for Eligible Margin Assets in the Form of Securities

(1) For Eligible Margin Assets in the form of Securities delivered to Eurex Clearing AG,
a service fee in the corresponding clearing currency will be charged in accordance
with the tables below:

Standard fees:

Standard service fee rate (applied to Eurex Clearing’s | 0.10 %
exposure collateralized by the delivered Securities,
per annum)

No/reduced fees:

Fee rate according to Paragraph (2): Securities 0.00 %
constituting excess margin and Securities delivered
as cover for disclosed client-related OTC Interest
Rate Derivative Transactions

Fee rate according to Paragraph (3) (i): Securities 0.05 %
booked on an Internal ISA Direct Margin Account

Fee rate according to Paragraph (3) (ii): Securites 0.05 %

delivered via GC Pooling re-use functionality (0.075 % as of 01 January
2025

Fee rate according to Paragraph (3) (iii): Securites 0.00 %

delivered via GC Pooling re-use functionality for
collateralizing Repo Transactions

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4/13/23, 10:91 AML Amenaments to the Securities Collateral Add-Un Fee Scheme and Vasn Kato Right: AMenaments to tne Clearing Conatto...

, Attachment 1 to Eurex Clearing Circular 023/23
Attachment 2 to Eurex Clearing Circular 023/23

, Attachment 3 to Eurex Clearing Circular 023/23

Eurex Eurex Clearing Eurex Repo EEX 360T Xetra Borse Frankfurt

Clearstream Qontigo

Disclaimer Privacy notice Imprint Eurex Clearing Rules & Regulations
Cookie Settings

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(4)

(i) that are booked on an Internal ISA Direct Margin Account: a service fee of 0.05%

(ii) which are delivered through the GC Pooling® re-use functionality: a service fee of
0.05% (0.075 % as of 01 January 2025)

[.]

In addition to the foregoing fees, Eurex Clearing rray-will charge en-anen-

discriminatory-basis-forallaffected-Clearing Members and/ortSA Direct Clearing
Members with an additional concentration fee in the amount of 0.10075 % p.a.,

if the ratio of

(y) all cash

(i) booked to any internal margin account of such Clearing Member-ortSA

Direct Clearing Member, other than (I)

internal margin accounts exclusively linked to to Client Transaction Accounts
on which no Transactions other than OTC Derivatives have been recorded
and (II) internal margin accounts for ISA Clients that are actively using cross-
margining (where active means that cross-margining has been enabled and
OTC IRD and Eurex Transactions have been recorded on the internal margin

accounts), er-and

(ii) delivered as Contributions to the Default Fund by or on behalf of such

Clearing Member er SA Direct Clearing Memberto

(x) the sum of the overall margin requirement for the relevant internal margin
accounts (excluding any parts attributable to Supplementary Margin) and the
Contribution Requirement

is below 40% between-0:400-and 29.99:400(the ratio the “Cash Ratio”)—Eurex

Cleari halt icate-to-the-affected-Clearing Memb d th:

tion 2-shall
p'

In any case, the additional concentration fee shall not apply to Securities recorded in
the internal margin accounts whose delivery is not required to cover the respective

margin requirements by or on behalf of such Clearing Member-or+SA Direct Clearing

bebveen HA0G-and 29-00-4007 he: additional ¢ concentration ee i is charged for all
Securities (i) booked to an Internal Proprietary Margin Account, Internal Omnibus
Margin Account relating to a NOSA UDC Transaction Accounts Group eraternal
1SA-Direct Margin Accountof such Clearing Member ertSA Direct Clearing Member

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12 Apr 2023
Eurex Clearing

Amendments to the Securities Collateral
Add-On Fee Scheme and Cash Ratio
Right: Amendments to the Clearing
Conditions and the Price List of Eurex
Clearing AG

Eurex Clearing Circular 023/23 Amendments to the Securities Collateral
Add-On Fee Scheme and Cash Ratio Right: Amendments to the Clearing
Conditions and the Price List of Eurex Clearing AG

1. Introduction

This circular contains information with respect to the service offering of Eurex
Clearing AG (Eurex Clearing) and introduces amendments to the Clearing
Conditions of Eurex Clearing AG (Clearing Conditions) and the Price List of
Eurex Clearing AG (Price List) regarding the following topics:

A. Amendments to the Securities Collateral Concentration Add-On Fee

B. Amendments to the Service Fees for Default Fund Contributions

C. Increase of the GC Pooling re-use collateral fee

D. Introduction of a Cash Ratio Right

The amendments for topics A, C and D will come into effect as of 5 May 2023.
The amendments for topic B will come into effect as of 1 August 2023.

2. Required action

There is no required action.

3. Details of the initiative

A. Amendments to the Securities Collateral Concentration Add-On Fee

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Chapter | of the Clearing Conditions of Eurex Clearing AG

General Provisions

As of 05.05.2023

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9.3

tel

IESE SII IEEE SIDS IASI ASIII AHI II SII IAI II IAI II

AMENDMENTS ARE MARKED AS FOLLOWS:
INSERTIONS ARE UNDERLINED;
DELETIONS ARE CROSSED OUT

IEEE IIE ASSES IIA S IDES IIIS EASE ASSIS IASI II

Service Fees for Eligible Margin Assets, Default Fund Contributions and Funds
provided for the Fulfilment of Own Funds or equivalent Regulatory Capital
Requirements

Le]

Service Fees for Default Fund Contributions

For Contributions to the Default Fund in the form of cash Number 9.1 applies mutatis
mutandis, provided that the discounts set out in Number 9.1 (3) — (5) will not be granted.

For Contributions to the Default Fund in the form of Securities Number 9.2 applies
mutatis mutandis, i.e. the standard service fee rate of 0.10% shall apply. The calculation
of the service fee will be performed act / 365 based on the value of the entire
Contributions in the form of Securities which are recorded-required to cover the

requirement ofn the internal Default Fund account-+{i-e-including-any-E: Gontributi

or FCM Excess-Contributionas-_applicable).

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Fee rate according to Paragraph (3) (iv): 0.05 %
Securities delivered as cover for disclosed client-
related transactions under use of the cross-margining
functionality

Additional fees

Additional concentration fee according to 0.10075 %

Paragraph (4)-#Htriggered by Eurex Clearing)

[el

(2) The following is not part of the calculation basis, hence no fees according to
Paragraph (1), (3) and/or (4) will be charged for:

a) Eligible Margin Assets in the form of Securities recorded in the internal margin
accounts whose delivery is not required to cover the respective margin
requirements,

b) Eligible Margin Assets in the form of Securities e-Securities-delivered as cover
for margin requirements determined for OTC Interest Rate Derivative
Transactions relating to an FCM Client Margin Account, an account within a DC
Transaction Accounts Group relating to a Basic DC or DC with System Access
or; an account within an ISA Transaction Accounts Group-eran-accountwithin-2

Access, provided that ) only OTC Interest Rate Derivatives Transactions are
booked on each-any ef-such accounts enty-and (ii) in case of an account within
a DC Transaction Accounts Group relating to a Basic DC or DC with System
Access, the respective Clearing Member has set up a separate internal margin
account for thea DC Transaction Accounts Group relating-to-the- Basic DC-or
DC-with System -Access-with Eurex-Clearing AG-and exclusively allocated the

respective accounts of such DC Transaction Accounts Group to the internal
margin account itfor the purpose of calculating the discounts (OTC Collateral
Incentive Pool). For the avoidance of doubt and only for purposes of the
calculation of fees, under these circumstances it is permissible that a single DC
Transaction Accounts Group or any Transaction Account within such
Transaction Accounts Group be assigned as the only Transaction Accounts
Group/Transaction Account to a separate internal margin account,
notwithstanding Chapter | Part 2 Subpart C Number 4.2 (iii) of the Clearing
Conditions.

(3) Instead of the standard fees, Eurex Clearing charges the following service fees
referred to in Paragraph (1) with respect to Eligible Margin Assets in the form of
Securities

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The following provision of the Price List will be amended as outlined in
Attachment 1:

@ Number 9.2 of the Price List

D. Introduction of a Cash Ratio Right

As a further measure, the amendment of the Clearing Conditions foresees the
right for Eurex Clearing to introduce a mandatory Cash Ratio.

With this change, Eurex Clearing will be entitled to implement a specific Cash
Ratio provided that Eurex Clearing determines that the implementation of
such Cash Ratio is required to enable Eurex Clearing to (i) comply with its
regulatory obligations to have access to adequate liquidity and (ii) to ensure
that Eurex Clearing is able to perform a prudent liquidity risk management.

The introduction of the right itself does not lead to any direct impact on the
Clearing Members. However, such measure might be activated if other
measures such as the economic incentives as outlined under part A. of this
circular are not deemed sufficient to sustain Eurex Clearing’s liquidity
requirements due to regulatory obligations and risk management standards.

In case of activation, Eurex Clearing will determine a reasonable start date as
of which Eurex Clearing will begin to request the delivery of additional Cash
Margin, if the relevant Clearing Member does not comply with the Cash Ratio.
In such cases, Eurex Clearing will furthermore be entitled to reject redelivery
requests with respect of cash margin provided that the amount of Cash
Margin is needed to comply with the Cash Ratio.

The decision to activate a Cash Ratio will be taken by the Executive Board in its
reasonable discretion. When determining the applicable Cash Ratio, Eurex
Clearing will use best efforts to find a fair and proportionate size of the Cash
Ratio taking into account the interests of all Clearing Members.

In connection with the implementation of the Cash Ratio under Number 3.2.6,
certain provisions previously contained in Number 3.2.4 will be merged into
the new Number 3.2.6. The remaining Number 3.2.4 will continue to govern
the replacement/rejection of certain affected Eligible Margin Assets.

Eurex Clearing will publish any activation of the Cash Ratio including all
relevant details via electronic circular and on the Eurex Clearing website
www.eurex.com/ec-en/.

The amendments to the Clearing Conditions will come into effect as of 5 May
2023.

The following provisions of the Clearing Conditions will be amended as
outlined in Attachment 3:

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margin accounts (specified as relevant for the Cash Ratio in accordance with

Paragraph (1) below).

In addition, the following provisions shall apply:

(1)_ Eurex Clearing AG shall be entitled to limit the scope of application of the Cash Ratio
to specific internal margin accounts.

(2) Eurex Clearing AG will determine a reasonable start date as of which Eurex Clearing
AG will begin to request the delivery of additional Cash Margin, if the relevant
Clearing Member or ISA Direct Clearing Member does not comply with the Cash
Ratio (‘Cash Ratio Delivery Period”).

(3) Eurex Clearing AG shall publish the Cash Ratio, the Cash Ratio Delivery Period and
any limitations specified in accordance with Paragraph (1) above via electronic
circular and on the Eurex Clearing Website.

(4) The decision to implement a Cash Ratio and the Cash Ratio Delivery Period shall be
taken by the Executive Board in its reasonable discretion (billiges Ermessen).

When determining the applicable Cash Ratio, Eurex Clearing AG shall use best efforts to
find a fair and proportionate (verhaltnismaBig) size of the Cash Ratio taking into
account the interests of all Clearing Members, ISA Direct Clearing Members and
FCM Clearing Members.

When determining the Cash Ratio Delivery Period, Eurex Clearing will consider the
interests of the relevant Clearing Member or ISA Direct Clearing Member. If - due to
the specific circumstances of the case — a reasonable Cash Ratio Delivery Period
could lead to an immediate violation of a regulatory liquidity obligation by Eurex
Clearing AG or could endanger a prudent liquidity risk management of Eurex
Clearing AG, Eurex Clearing AG is entitled to specify a shorter Cash Ratio Delivery
Period enabling Eurex Clearing AG to comply with its obligations.

(4) Eurex Clearing AG will constantly monitor the Cash Ratio and adjust the Cash Ratio.
if required.

(5) As of the publication the Cash Ratio by Eurex Clearing AG, the Cash Ratio becomes
effective and needs to be complied with by the Clearing Member or ISA Direct
Clearing Member subject to the following provisions under Paragraphs (a) and (b):

(a) Actual Cash Ratio does not comply with Cash Ratio

As of the publication of the Cash Ratio, Eurex Clearing AG will calculate the
actual cash ratio for each internal collateral account as determined in
accordance with Paragraph (1) (“Actual Cash Ratio”) and provide such
information to the Clearing Member or ISA Direct Clearing Member in its daily

reporting.

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exceptions. While Supplementary Margin requirement is not considered in the
denominator, the delivered cash is considered in the nominator for calculating
the cash ratio.

If the 40 percent threshold on an aggregate level is breached, the collateral
concentration add-on fee of 10 basis points per annum will be charged on the
security collateral that is needed to cover the margin requirement. Additional
securities collateral leading to an overcollateralization will not be affected and
will not be considered in the concentration add-on fee calculation. Eurex
Clearing will provide a new daily client report with detailed information that
allows Clearing Members to monitor their cash ratios and collateral
concentration fees.

In exceptional cases, if a Clearing Member can prove to Eurex Clearing that it
will have plausible issues to be able to comply with the new requirements as of
the go-live date of the collateral concentration add-on fee, Eurex Clearing may
grant specific Clearing Members an extended transitional period before Eurex
Clearing will actually begin to charge the add-on fee.

The go-live date for the application of the collateral concentration fee and for
the availability of the new report will be communicated via a separate Eurex
Clearing circular.

The following provision of the Price List will be amended as outlined in
Attachment 1:

@ Number 9.2 of the Price List

B. Amendments to the Service Fees for Default Fund Contributions

The securities over-collateralization charge for Default Funds Contribution will
be removed for the purpose of harmonization of the service sees for Default
Fund Contributions.

Eurex Clearing will activate the amendments to the Service Fees for Default
Fund Contributions with effect as of 1 August 2023.

The following provision of the Price List will be amended as outlined in
Attachment 2:

@ Number 9.3 of the Price List

C. Increase of the GC Pooling Re-use collateral fee

Eurex Clearing will increase the GC Pooling Re-use collateral fee from currently
5 basis points to 7.5 basis points effective as of 1 January 2025.

Note that the collateral fee rate for securities delivered via GC Pooling Re-use
functionality for collateralizing Repo transactions will remain at 0 basis points.

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4/13/23, 10:91 AML Amenaments to the Securities Collateral Add-Un Fee Scheme and Vasn Kato Right: AMenaments to tne Clearing Conatto...

Central Counterparties (CCP) are obliged to maintain adequate levels of
liquidity to comply with regulatory requirements. Cash margins represent the
most relevant source of liquidity for a CCP. Eurex Clearing is one of the very
few global CCPs to also have guaranteed access to the central bank
refinancing facilities in its main product currency (euro). Nevertheless, such
facility primarily addresses only default related liquidity requirements.

Against the background of changing market conditions, Eurex Clearing
observes a trend of clients posting more securities collateral and at the same
time reducing the cash balances held. In order to ensure continuous
compliance with regulatory and operational liquidity requirements Eurex
Clearing amends its collateral concentration add-on fee introduced with Eurex
Circular 062/21 in 2021.

For many years, the cash ratio at Eurex Clearing was fluctuating around 50
percent, which is still the desired level of Eurex Clearing. Eurex Clearing closely
monitors the collateral composition of their Clearing Members and observed
that a trend towards stronger securities collateralization has accelerated in
recent months. In order to ensure continued regulatory compliance and a
healthy mix of cash and securities collateral across all clients Eurex Clearing
intends to activate the concentration add-on fee and at the same time to
simplify the approach as outlined in detail below.

Based on the new scheme, Eurex Clearing will apply a concentration fee of 10
basis points for Clearing Members with an overall cash ratio below 40 percent.

Details:

Eurex Clearing is in favor of an economic incentive scheme, which allows
Clearing Members still to actively monitor and steer their cash ratio and
collateral composition according to their needs and preferences. Eurex
Clearing will further continuously monitor the overall cash ratio and reserves
the right to activate a mandatory cash quota for all Clearing Members in case
the targeted level of the cash ratio is not achieved.

Determination of Cash Ratio and application of Concentration Add-on Fee:

The 40 percent cash threshold shall apply to all collateral pools on an
aggregated level, but shall not be applied with respect to (i) client collateral
pools only relating to OTC Interest Rate Derivatives Transactions and NDF
Transactions, (ii) individual segregated client collateral pools that are actively
using cross-margining (margin exposure for OTC IRD and ETD products) and
(iii) ISA Direct Clearing Members.

The determination of the respective cash ratio on Clearing Member Level is
calculated on a daily basis and considers the delivered cash collateral and
margin requirement on all standard pools, omnibus collateral pools, Default
Fund pools and ISA segregated collateral pools besides the outlined

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[ed
Part 1 General Clearing Provisions
3 General Provisions regarding Margin and Variation Margin
LJ
3.2 Eligible Margin Assets;-and Valuation; Rejection or Exchange Request; Large
Exposures; Cash Ratio
[-J
3.2.4 If Eurex Clearing AG becomes aware of
{i} +t: hich-iustify high isk. tof Es Ch af AG-with ft
() 5 justify a-hig! ig PA
tothe Clearing Memb ISA Direct Clearing Member,

¢j unanticipated market developments, which have an adverse impact on specific Eligible
Margin Assets (“Affected Margin Assets”) that either have been announced to be
delivered to or have actually-been actually delivered to Eurex Clearing AG-orthathave

Eurex Clearing AG is entitled to

(a) reject the delivery of the Affectedspecific Eligible Margin Assets _ (“Rejection”), or

(b) request atanytime-andinits-diseretion-from the Clearing Member or ISA Direct

Clearing Member the exchange of the Affected Margin Assets, which have already
been delivered to Eurex Clearing AG against any other Eligible Margin Asset to be
selected by the Clearing Member or ISA Direct Clearing Member

“Exchange Request’).

of Marain-the-deli Lother-Eligible- Margin Asset: ified-by_E:
9 ¥ ig y

In addition, the following provisions shall apply:

{4)—The FRejection pursuantto-Sentence-t{a)-and the Exchange Request shall be made
in writing, specity the Affected Margin Assets and-and Shalt include a reasoning.

the ejecion-The ‘Exchange ‘Request parvantto Sentence (shal tre further

foresee bi J iting-and-shalL include the-specifi fthe-rek LE:

Margin Assets to be deli d, thei ue—and-a reasonable period of time within

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(b)

If the Actual Cash Ratio with respect to an internal margin account does not
comply with the Cash Ratio, the Clearing Member or ISA Direct Clearing
Member shall provide the amount of Cash Margin, which is needed to comply
with the Cash Ratio, at the latest by the end of the applicable Cash Ratio
Delivery Period.

If the Clearing Member or ISA Direct Clearing Member fails to comply with the
Cash Ratio with respect to an internal margin account at the latest by the end of
the applicable Cash Ratio Delivery Period, Eurex Clearing AG is entitled to
directly debit the Clearing Member Cash Account or the ISA Direct Cash
Account in accordance with the daily cash clearing procedure pursuant to
Number 1.4.1.

Rejection of Redelivery Request with respect of Cash Margin

Ifa Clearing Member or ISA Direct Clearing Member submits a request for the
redelivery of Cash Margin in accordance with the relevant provisions of the
Elementary Clearing Model Provisions, the ISA Provisions or the ISA Direct
Provisions, as applicable, and provided that the amount of Cash Margin
remaining after the fulfilment of such request does not meet the Cash Ratio.
Eurex Clearing AG shall be entitled to reject such redelivery request limited to
the amount of Cash Margin needed to comply with the Cash Ratio.

Eurex Clearing AG shall inform the Clearing Member or ISA Direct Clearing

Member about the rejection by submitting a written notice without undue delay.

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