There are no additional price sources required as prices are readily available from the price
sources already used by Eurex Clearing.

Eurex Clearing has a sound framework for the comprehensive management of all material
risks. In this regard Eurex Clearing has established documented policies, procedures, and systems
to identify, monitor, and manage such risks.

The rules, policies, and procedures that apply to the clearing of the Contract are set forth in
the FCM Regulations and the Clearing Conditions.

The maximum remaining term for the Contracts is no more than 50 years (to align with Euribo
and fallback scenarios). The minimum term for the Contracts is at least one business day.

Eurex Clearing is providing notice of this submission to Clearing Members by posting this
submission under the CFTC DCO Filings webpage at: http:/Awww.eurexclearing.com/clearing-
en/resources/cftc-dco-filings.

If you have any questions, please contact Eric Seinsheimer, US CCO, Eurex Clearing AG,
at eric.seinsheimer@eurexchange.com or (312) 544-1087.

Yours faithfully,

GS a

Eric Seinsheimer
US CCO, Eurex Clearing AG



clear to trade

Christopher Kirkpatrick

Secretary

Commodity Futures Trading Commission
1155 21st Street NW

Three Lafayette Centre

Washington, DC 20581

November 11, 2019

Re: Submission of Swap for the Commission's Mandatory Clearing Determination
Dear Mr. Kirkpatrick,

Eurex Clearing AG (“Eurex Clearing’), a derivatives clearing organization (“DCO”) registered
with the Commodity Futures Trading Commission (the “Commission” or “CFTC’), is submitting the
following contracts (the “Contracts”) for the Commission's mandatory clearing determination under
Commission Regulation 39.5(b):

Interest Rate Swap:

Products:

- €STR-OIS

- EURIBOR-€STR basis swaps
- EURIBOR-EONIA basis swaps

Currency:
EUR

There currently is no mandate in place for the Contracts. Eurex Clearing is eligible to accept
the Contracts and, in the event that the Contracts were required to be cleared, would be able to
maintain compliance. Eurex Clearing plans to begin accepting the Contracts for clearing starting
November 18, 2019.

Required Information under Commission Regulation 39.5(b)(3)

The existence of significant outstanding notional exposures, trading liquidity, and adequate
Pricing data

The Contracts are a replacement for EONIA swaps as a consequence of the European
Central Bank (“ECB”)-organized private sector working group recommendation in September 2018
that the euro short-term rate (“€STR") replace the euro overnight index average ("EONIA’) as the
new euro risk-free rate. The €STR rate has been published by ECB since October 2, 2019. At the

Eurex Clearing AG 7312 544 1087 Chairman of the Executive Board: Aktiengeselischatt mit
Mergenthalerallee 61 Supervisory Board: Enk Tim Miller (CEO), Sitz in Frankfurt/Main
65760 Eschborn eric seinsheimer@ Jettrey Tessier Heike Eckert (Deputy CEO), HRB Nr. 44828

‘eurexchange,com Matthias Graulich, USt-loNr. DE194821553,
Mailing address, Internet: Manfred Matusza, Amtsgericht

60485 Frankfurt/Main © www.eurexclearing.com Dmitri Senko Frankfurt/Main


same time, EONIA’s methodology has been recalibrated as €STR plus a fixed spread of 8.5 basis
points.

All EurexOTC Clear derivatives denominated in euro reside in an EONIA-based Price
Alignment Interest (“PAI”) Price Alignment Amount (“PAA”) and discounting regime. An important
step in the market-wide transition process to €STR as the new euro risk-free rate is the transition of
the EONIA-based PAI (PAA) to a PAI (PAA) based on €STR. According to the recommendations
issued by the ECB-organized private sector working group on euro risk-free rates, this transition step
should be from EONIA to €STR-flat (no spread) and be ideally carried out on the same date across
the cleared market and the clearing houses. Eurex Clearing supports the industry's transition efforts
and has consulted on various aspects of transitioning the PAI (PAA) and the discounting to €STR
with its Members.

Regarding existing outstanding notional exposures and trading liquidity, on October 21,
2019, LCH announced that it had begun clearing €STR-based swaps.' With the replacement of
€STR for EONIA taking place over the next two years, Eurex Clearing expects that some volume for
EONIA-based swaps will shift to €STR-based swaps. Eurex Clearing provides such. volume for
EONIA swaps under the EUR tab, and OIS listing at: https://www.eurexclearing.com/clearing-
en/markets-services/eurex-otc-clear/interest-rate-swaps/clearing-volume. As of November 6, 2019,
Eurex Clearing had approximately EUR 426.1 bn in notional outstanding in OIS (EUR).

Daily figures for the notional exposures will be provided daily at:
https://www.eurexclearing.com/clearing-en/markets-services/eurex-otc-clear/interest-rate-
swaps/clearing-volume. Current and past figures for current OIS volume in EUR are also provided
at this link.

In addition, settlement prices will be provided at:
https://www.eurexclearing.com/clearing-en/markets-services/eurex-otc-clear/interest-rate-

swaps/settlement-prices. Settlement prices for current OIS volume in EUR are also provided at this
link.

Chapter II, Part 2, Number, 2.1.6 (Daily Evaluation Price) of the FCM Regulations of Eurex
Clearing (‘FCM Regulations”) and Chapter VIII, Part 2, Number 2.1.5 (Daily Evaluation Price) of the
Clearing Conditions of Eurex Clearing (“Clearing Conditions”) provide,

“Eurex Clearing AG determines the daily evaluation price on the basis of (i) the
fixings published on the Reuters Screen page as defined for the relevant floating
rate in Number 2.2.5 Paragraph (1) below and (ii) the raw market quotes underlying
the discount and forecast curve provided by a recognized third party provider, in
each case as of the day of the determination of the daily evaluation price (each such
day a “Reset Date” for the purposes of Number 2.2.5 Paragraph (1)). Where no
information on the relevant rates is available on the relevant screen page, Eurex
Clearing AG will determine the daily evaluation price in accordance with Number
1.8 and 2.2.5 Paragraph (5).”

Eurex Clearing believes use of Reuters is adequate because it is a readily available conventional
source. In addition, Eurex Clearing can receive data from Bloomberg if necessary and has multiple
backups for receiving pricing data.

The FCM Regulations and Clearing Conditions are available for download at:
https://www.eurexclearing.com/clearing-en/resources/rules-and-regulations.

* https://www.|ch.com/resources/news/Ich-clears-first-eustr-swaps.



The availability of rule framework, capacity, operational expertise and resources, and credit
support infrastructure to clear the contract on terms that are consistent with the material
terms and trading conventions on which the contract is then traded

Eurex Clearing already has a well-developed rule framework and support infrastructure for
clearing the Contracts. Eurex Clearing intends to leverage this existing operational capacity when
clearing the Contracts on the DCO. Eurex Clearing ensures that it has the appropriate risk
management, operations, and technology capabilities in place to ensure that it is able to liquidate
positions in the Contracts in an orderly manner in the event of a default. The Contracts are subject
to margin and clearing fund requirements set forth the FCM Regulations and the Clearing Conditions.

The effect on mitigation of systemic risk, taking into account the size of the market for such
contract and the resources of the DCO available to clear the contract

The benefits of central clearing of the Contracts through Eurex Clearing are significant,
including reduction of counterparty risk, margin and collateral efficiencies, client asset segregation,
and legal certainty. With an overall collateral pool of EUR 55 billion, Eurex Clearing's stress-tested
lines of defense and with over 200 Clearing Members from 19 countries, Eurex Clearing has the
necessary resources to clear the Contracts from a market size and resources perspective.

The effect on competition, including appropriate fees and charges applied to clearing

Eurex Clearing does not believe that its clearing of the Contracts will have a negative or
material impact on the competition. The fee schedule for the contracts Eurex Clearing clears is
attached as Exhibit A.

The existence of reasonable legal certainty in the event of the insolvency of the relevant DCO
or one or more of its Clearing Members with regard to the treatment of customer and swap
counterparty positions, funds and property

Eurex Clearing observes the “Principles for financial market infrastructures” published by the
Committee on Payment and Settlement Systems and International Organisation of Securities
Commissions (the “PFMIs"). In February 2015, Eurex Clearing published an assessment of its
compliance with the PFMls, including the conclusion that it fully complies with the PFMIs. This
assessment and conclusion was reviewed and validated by KPMG as an independent outside
auditor. This assessment is available at:
http:/Awww.eurexclearing.com/blob/148684/58e6fe89e3f54ebe169e530ac2235b43/data/cpss-iosco-
pfmi_assessment 2014 en.pdf. As part of this assessment, Eurex Clearing's default management
procedures were assessed to be certain in the event of its or its Clearing Members’ insolvency with
regard to the treatment of customer and counterparty positions and collateral. Eurex Clearing
subsequently performed an updated detailed assessment of its compliance against the PFMI and
the associated disclosure framework as of March 2018.

Eurex Clearing also has previously provided a legal memorandum to the Commission on the
ting-fenced treatment of cleared swaps customer collateral pursuant to Part 22 of the Commission's
regulations.

A potential insolvency of Eurex Clearing and the operation of default management
procedures under the Clearing Conditions would be governed by German Law, except for certain
FCM Regulations and Clearing Conditions that relate to cleared swaps customer collateral that are
governed by U.S. federal laws.

Further information (CFTC Regulation §39.5(b)(iii-viii)

Product terms of the Contracts are market standard and follow the 2006 ISDA Derivatives
Definitions.

Participant eligibility standards are the same as Eurex Clearing’s general FCM Clearing
Member and Clearing Member standards.