EurexOTC Clear for Interest Rate Swaps

EurexOTC Clear for Interest Rate Swaps
IMA Clearing House Day 12th November, 2013

Agenda Overview of Eurex Clearing Services and EMIR Status Client Asset Protection and Collateral Management Risk and Default Management Process Appendix EurexOTC Clear - Service Details Clearing Process and Reporting Governance, Risk and Default Management

Eurex Clearing governance overview
Regulatory Oversight Supervisory Board Independent external members Market participants Home regulator participation BaFin (home regulator) Advisory Committees Default Related Committees Disciplinary Committee Service Related Committees Derivatives Clearing OTC Product / Buy- Side Working Group Cash Equity Clearing Repo & Bonds Clearing Default Management Committees (internal) Emergency Committee College of regulators*** Advisory Committee for Executive Board and Supervisory Board Risk Committee 2 Supervisory Board members 6 Clearing Members 6 Clients Home Regulator participation ESMA*** FCA* Executive Board Chief Risk Officer, Chief Operating Officer, Treasury (all on board level) Credit, Compliance and Chief Technology Officer are directly reporting to Executive Board CFTC** * Eurex Clearing is „Recognised Overseas Clearinghouse“. This status will be obsolete once Eurex Clearing is reauthorized under EMIR ** Application to become „Derivatives Clearing Organization“ *** Application to become EMIR compliant CCP 3 3

Eurex Clearing is an integrated multi asset class clearing house
EUR 229bn notional outstanding in May 2013 European market leader in long-term interest rate futures and options – 2.2mn contracts with a notional of EUR 285bn cleared every day Equity Interest Rate Index Repo / GC Pooling Securities Lending Equities Bonds Commo-dity & others Eurex Clearing Swaps Dividend Credit Derivatives We will continue to integrate our products and services, not only across Eurex Clearing but across Eurex and Clearstream to provide sustainable capital and operational efficiencies Bund/ Bobl/ Schatz Futures & Options Cash Securities Financing Cross Margins between ETD and IRS May 2014 Ability to re-use GC Pooling collateral for Initial Margin Consultation on Buyside Variation Margin (BSVM)

EurexOTC IRS product overview
Product expansion decided in close consultation with OTC Product Committee Type Currencies Maturity Supported types Other characteristics IRS EUR, GBP, USD Up to 50 years Plain vanilla (fixed/float) Basis / tenor (float/float) Front end stubs, forward starts EUR (EURIBOR) and GBP (LIBOR), 1m, 3m, 6m, 12m USD and CHF (LIBOR) 1m, 3m, 6m CHF Up to 30 years OIS EUR, GBP, USD, CHF Up to 3 years FRA Up to 2 years Additional products and features; Zero coupon swaps Compounding – flat & straight Variable notional – Amortizing & roller coaster Variable spreads & fixed coupons Linear Interpolation, front and back stubs Negative interest rates IMM Roll dates Products scheduled for November 2013; Type Currencies Maturity Supported types Other characteristics IRS JPY Up to 30 years Plain vanilla (fixed/float) Basis / tenor (float/float) LIBOR 1m, 3m, 6m FRA Up to 2 years Data from

Costs and benefits for the buy-side are primarily driven by CCP netting and collateral efficiencies
Netting efficiency Multilateral risk netting may be complemented by cross- product exposure netting (& cross-margining) between OTC, exchange-traded and cleared repo transactions Netting of positions in liquidation groups for initial margin and balance sheet netting of exposure at default under a single legal CCP construct 1 Higher netting efficiency lowers capital and funding requirements Default fund efficiency Required default fund contributions depend on the risk characteristics of the CCP CCPs with significant existing exposures across products under a single netting agreement and strong segregation services tend to lead to lower default fund contribution and capital requirements 2 Higher default fund efficiency lowers capital and funding requirements Collateral efficiency CCPs with a large spectrum of eligible collateral, re-use of other assets (e.g. GC pooling) and central bank access mitigate funding issues for clients 3 Higher collateral efficiency lowers funding requirements Netting and default fund efficiencies for clearing members will likely affects buy-side firms via more competitive spreads and costs for clearing Source: Eurex Clearing, Oliver Wyman analysis

Default fund efficiency Collateral efficiency
Quantitative case studies show that an integrated cross-product CCP with a broad collateral spectrum like Eurex Clearing can increase the cost efficiency of central clearing substantially Fixed income mutual fund Fixed income hedge fund Cost efficiency drivers Netting efficiency 1 Default fund efficiency 2 Collateral efficiency 3 Cross-product exposure netting and cross- margining Integrated default fund structure reflecting segregation Large eligible collateral spectrum, re-use of assets & central bank acc. % ~ bps ~30-40 bps 1 2 ~1.4 bps 3 1 2 3 -10 bps Cost savings for the buy-side in Europe may run up to EUR 4-9 BN compared to EUR 9-14 BN on an integrated CCP like Eurex Clearing based on the case study results and estimated amounts outstanding of OTC interest rate derivatives in Europe of EUR ~140 TN1 7

Service offering and membership
Status EurexOTC Clear for Interest Rate Swaps Regulatory framework Eurex Clearing handed-in its application for re-authorization on 1 August and received confirmation of completeness by BaFin on 11th October 2013 Final decision from BaFin about granting or refusing authorization is expected lastest beginning of Q2 2014 ESMA confirmed that clearing members have to offer segregation models across all business lines upon CCP re-authorization Service offering and membership Eurex Clearing has a ready to use asset based individual segregation service; launched in August 2011 Significant efficiency improvements since launch offering capital efficiencies, removal of transit risk and removal of double funding 21 Clearing Members (CM’s) already offering client clearing and quoting prices for execution Fee waiver on new Clearing Members and Registered Customers (RC’s) admitted by year end Until end of CM’s and 30 RC’s are expected to be on-boarded

Eurex Clearing’s overview of omnibus and individual client segregation models according to EMIR Article 39 Clearing Member Segregation services offered across products and asset classes Proprietary Business Client Business Proprietary 39(2) Omnibus Client Segregation 39(3) Individual Client Seg Proprietary positions Undisclosed client positions NCM 1 positions RC 1 positions NCM 2 positions RC 2 positions Margin requirement Margin requirement all clients Margin requirement NCM 1 Margin requirement RC 1 Margin requirement of NCM 2 Margin requirement of RC2 Proprietary collateral account Collateral for Client omnibus segregated account/ Collateral allocation by value in proprietary account NCM 2 collateral pool RC 2 collateral pool Elementary Omnibus Clearing Model UK CASS Omnibus Clearing Model Individual Clearing Model Definitions NCM – Non-Clearing Member RC – Registered Customer

Assessment of segregation and porting under EMIR
Characteristics, risk profile, operational complexity and porting likelihood per model Margin Segregation Porting Risk Operational simplicity Capital charge* Eurex Clearing services Pos Coll Fellow Customer Liqui- dation Replace- ment Transit Net Allocated value/asset LIVE** Elementary Omnibus & UK CASS Omnibus 4 % Omnibus segregation EMIR 39(2) Gross Allocated value Allocated asset LIVE** Elementary Omnibus as NCM or Registered Customer 4 % Individual physical custodian account Gross LIVE Individual Clearing Model 2 % Individual segregation EMIR 39(3) Tagged asset 2 % *Subject to an open consultation and final rule making in Basel III **The Elementary Omnibus Clearing Model is live today and will be amended during December 2013 to implement legal changes to fulfil EMIR segregation and portability requirements. Multiple collateral pools for ECM planned for H The UK CASS Omnibus Clearing Model is live. Very likely None Easy Unlikely High Complex This overview represents Eurex Clearing‘s own models and its view of the model characteristics 11

Individual Clearing Model: Full asset segregation
Eurex Clearing launched the Individual Clearing Model in August 2011 and has made significant investments to enhance collateral management to realise scalable efficiencies Legal model is based upon a double title transfer collateral arrangement and security interests to allow Eurex Clearing to deal directly with a client following insolvency of the Clearing Member Documentation: Market standard client clearing documentation, (ISDA/FOA, FOA or the German Banking Association, or the Clearing Member’s proprietary documentation may be used in conjunction with Eurex Clearing’s ICM Annex. The client is required to enter into a Participation Agreement with Eurex Clearing. Alternatively, Eurex Clearing’s triparty agreement may be used with any client documentation. RC 1 collateral account RC 1 positions Margin requirement of RC 1 Porting: immediate porting is available upon default. The client would receive their actual segregated collateral and have a range of porting options to suit individual client requirements Positions accounts : Individual positions accounts per client (maintained on a gross-basis). Clients may be a legal entity (for example, a bank or broker-dealer offering indirect client clearing), or the client can be a fund manager, a fund itself, or a fund segment Margin Requirement : The margin calculation is performed per client. Clearing Members will receive individual margin reports, cash payments will be netted Collateral : A client may opt for full physical segregation where they hold a sub-account at the CSD for their benefit, or a CM can use asset tagging, where an omnibus sub-account which is held for the benefit of all clients and assets are tagged and individually booked for the client at the CCP level; direct delivery of assets and cash into CCP account possible

Individual Clearing Model
Individual Clearing Model: Options in Clearing Member default for Registered Customers and NCMs Individual Clearing Model There are three options an NCM/RC can choose from: to receive a final pay out of the cash settlement amount; the liquidation process begins Immediate re-establishment under new relationship (back up Clearing Member) become an Interim Participant and have positions and collateral transferred to a technical clearing member ID Valuation Day + 1 Assumption: If the trigger event is identified prior to 17:23 CET, valuation day equals termination date. If the trigger event is identified after 17:23 CET, Valuation day is D+1. Valuation Day Valuation Day + 2 Valuation Day + 3 Valuation Day + 4 Valuation Day + 5 Immediate re-establishment Interim participation Pay out Close-out netting of positions 07:00 – 22:30 CET A B C

Elementary & UK CASS Omnibus Clearing Models
Eurex Clearing historically offered separate client position accounts for position maintenance, accounting and recording purposes but required the Clearing Member to provide its own collateral to cover those positions. Under EMIR, Eurex Clearing will also be required to record the value of collateral covering the positions separately and calculate a separate Difference Claim. Amended Clearing Conditions were published in November 2013, reflecting these amendments and Eurex Clearing will implement functional changes in December Clearing Members will not be impacted unless the Clearing Member opts to have an additional sub-account at the CSD level for collateral covering client positions Legal model - transfer of title in cash and a pledge of securities from Clearing Member to Eurex Clearing Any documentation may be used Porting is not likely, but a separate Difference Claim will be created The UK CASS Omnibus Clearing Model is functionally the same as the Elementary model, but the Difference Claim would be protected under the UK Client Money Trust. Omnibus Client Segregation Positions accounts Omnibus position account for non-disclosed clients (net) Individual clients may adopt this model (from any jurisdiction) and have segregated positions from other clients and gross margins but not collateral (see the ICM model) Margin Requirement Margin calculated per position account. Clearing Members will receive individual margin reports, but payments netted Collateral ECM collateral can be held in the CM‘s main pledge account or in a separate sub-account for the benefit of clients UK CASS Omnibus collateral held in a separate CSD subaccount Undisclosed client positions NCM 1 positions RC 1 positions Margin requirement all clients Margin requirement NCM 1 Margin requirement RC 1 Collateral for Client omnibus segregated account/ Collateral allocation by value in proprietary account

Portability + Default Management
Elementary Clearing Model: Key elements of portability and the Default Management Process Portability + Default Management Collateral assigned to client positions is treated as client collateral Porting includes (i) client positions and (ii) collateral assigned to client positions The porting prerequisites are satisfied if all clients agree on a single new Clearing Member (CM) a new CM agrees to assume all client positions and client collateral and confirms that all clients, NCMs and RCs have designated it as their new Clearer confirmation is provided by T+1 at 1.00 p.m. any (additional) required margin or variation margin that Eurex Clearing is entitled to, but has not received from the defaulting CM, is provided by the new CM Porting is effected by (i) a transfer of all rights, obligations and legal title to all client positions and client collateral to the new CM and (ii) Eurex Clearing making the appropriate changes to its accounts and records If porting not possible, position liquidation will be handled according to the default management process and excess collateral will be returned to the insolvency administrator for the account of the CM and clients Omnibus segregated clients under ECM will not be offered an option to become an interim participant Separate difference claims will be calculated for client positions (A-Account, NCMs, RCs) and proprietary positions based on the separate Standard Agreements Eurex Clearing is entitled to set-off any difference claim against the CM for client business against any difference claim owed to the CM for proprietary business, hence house margin covers client margin shortfalls (but not visa versa)

Eurex Clearing`s eligible collateral list covers roughly 25,000 ISINs
Fixed income in EUR Fixed income in CHF Equities ECB eligible marketable assets ECB liquidity classes I-IV Swiss National Bank (SNB) Repo eligible EUR denominated DAX, EURO STOXX 50® constituents DAX Ex products, iShares DJ EURO STOXX 50® Other stocks as announced by Eurex Clearing AG Exchange listing and price (except bills) Exchange listing and price CHF denominated SMI constituents XMTCH on SMI products Other stocks as announced by Eurex Clearing Types of Securities Government and Short Term Issues (Bubills) Bonds State Issues City and Municipality Bonds State Agencies Corporates and Other Bonds Bank Bonds Federal Bonds and Bills (GMBF), Loan obligations Kantonal obligations, Bonds, Bills (GMBF) Corporates and other Bonds Bank Bonds, Mortgage Bonds (Pfandbriefzentralen), no ABS Fixed income in foreign currencies Cash Other Government bonds in USD, GBP, DKK, NOK, SEK, AUD, CAD, JPY EUR, GBP, USD, CHF Xetra Gold Certificates denominated in EUR Exchange listing and price Note: A detailed list of the acceptable ISINs and haircuts can be found at

Further collateral management enhancements are already scheduled
Initiative Description Timeline Direct Collateral Transfer RC can directly deliver collateral to its segregated collateral pool at Eurex Clearing. Collateral withdrawals are to be requested via the CM who enters the same into Clearing GUI. Eurex Clearing returns collateral directly to the RC‘s account Later withdrawal of cash collateral CMs can withdraw prefunded cash for ICM segregated collateral pools same day until late afternoon (EUR 2.30pm CET, CHF 1.30pm CET) upon receipt of ICM segregated client securities Later EUR TARGET 2 deposits Cut-off time for EUR TARGET2 deposit instructions via GUI will be extended to 5pm CET (EUR euroSIC cut-off remains unchanged 2pm CET) Connectivity to CmaX for house collateral CMs can connect to CBL’s triparty collateral management service CmaX allowing for auto-allocation of securities collateral for their house business, contribution to the Clearing Fund and potential shortfall of company capital requirements Custodian segregation service (Client Custodian Gateway) Internal collateral settlement process at the RC’s Custodian whereby CBL opens an account at RCs Custodian. Securities used as collateral (IM) of the RC remain within its Custodian. Collateral allocation will be performed via CmaX. CMs can apply their own eligibility. criteria/haircut (must be a subset of Eurex Clearing’s matrix), multiplier etc. Q3 2013 Q4 Q1 2014 Q2 Q3 2013 Q4 Q1 2014 Q2 Q3 2013 Q4 Q1 2014 Q2 Q3 2013 Q4 Q1 2014 Q2 Q3 2013 Q4 … 2014

Eurex Clearing provides information on positions, risk and market data directly to Registered Customers Eurex Clearing provides Registered Customers (RCs) information by the following means: SFTP Access to Common Report Engine for Position, Risk and Market Data reports EurexOTC Clear GUI to view positions, initiate and handle post trade events (optional) EurexOTC FpML API access to retrieve positions updates, initiate and handle post trade events (optional) Positions Risk 1 Market Data 2 EurexOTC Clear GUI 3 Common Report Engine FpML API SFTP Please note that Eurex Clearing can also provide collateral information to its RCs For non-OTC business Non-Clearing Members have access to GUI to access position information

Margin Components - overview
Margin methodology: Through a combination of margin components Eurex Clearing Prisma has been designed to be accurate, stable and robust Backward looking Variation Margin & Price Alignment Interest Margin Components Backward looking Variation Margin (VM) that evens daily P&L changes as well as Price Alignment Interest (PAI) that corresponds to the overnight interest on the cumulative VM Forward looking Initial Margin (IM) that matches the default management process (DMP) time horizon such that the DMP is reflected in accurate margins for each portfolio Risk model for IM is designed to be stable and robust using: Filtered historical simulation risk factor scenarios (99% robust VaR) Model error adjustments for correlation breaks and compressions Permanent unfiltered scenarios taken from stress periods Liquidity adjustments reflect concentrations and illiquidity of portfolios IM is supported by a dynamic clearing fund covering extreme, but plausible, events Initial Margin Market risk n-day market risk component 1 + Model error adjustments 2 1 Forward looking OR* 2 Stress period VaR floor 3 3 4 Liquidity adjustment 4 4 * Market risk equals the highest value of either ‘ 1+2’ or ‘3’

Fixed income derivatives x-margin service scheduled for May 2014 expected to deliver significant efficiencies across listed and OTC Without cross margining With cross margining IRS and fixed income futures/futures-style options are margined separately: IRS with a 5 day liquidation horizon Futures and futures-style options with a proposed two day liquidation horizon If IRS and futures positions are hedged: Futures are transferred to the IRS split such that the reduced risk is reflected in lower margins* FI listed products OTC IRS FI-only IRS+FI Allocation of FI listed products that hedge IR exposure FI futures / futures-style options IR swaps FI futures / futures-style options IR swaps FI fut./options 2 day horizon 5 day horizon 2 day horizon 5 day horizon Margin requirements: Margin reduction by cross margining: Futures/future-style options OTC IRS Cross margined portfolio Overall initial margins for cross margined portfolios can be lower reflecting the overall risk reduction. Prototyping environment to simulate potential savings already available. * Depending on portfolio diversity

Eurex Clearing’s guiding principle in a default situation is to minimize the effect on the lines of defense and stabilize the markets Position Netting Position Netting Eurex Clearing provides a multi-level safety system Lines of defense Lines of defense Collateral of Member in Default Collateral of Member in Default First the collaterals and the clearing fund contribution of the member in default are utilized. After the defaulters contribution is exhausted assigned dedicated amount of Eurex Clearing AG is applied before non-defaulting clearing members contribution and remaining capital of Eurex Clearing AG. The contribution to the Clearing Fund is based on a minimum contribution and a dynamic component accounting for the individual clearing member’s risk situation. Following a realization of any contributions to the Clearing Fund of the non-defaulted clearing members, such clearing members are asked to provide assessments to their contribution. Clearing members’ total liability is limited as they have to provide maximum two assessments per capped period. The creation of liquidation group specific clearing fund segments (CFS), within the single common clearing fund. CFS are determined for each liquidation group. A CFS is a partition of the single clearing fund according to the relative weights of the initial margin of the Liquidation Groups. When liquidating a particular Liquidation Group, only the respective CFS can be used to cover losses, unless there is a known surplus from other, already completed Liquidation Groups. Clearing Fund Contribution of Member in Default Clearing Fund Contribution of Member in Default Dedicated amount of Eurex Clearing AG Dedicated amount of Eurex Clearing AG Clearing Fund Contribution of Other Members Clearing Fund Contribution of Other Members Max 2 assessments per CM Max 2 assessments per CM Parental Guarantee Parental Guarantee Segmentation of the clearing fund Remaining Capital of Eurex Clearing AG Remaining Capital of Eurex Clearing AG

The new Default Management Process reflects best practice and complies with market expectations and regulatory guidelines Overview of Default Management Process framework Covered by: Margin and clearing fund contribution of defaulted clearing member Remaining Lines of Defense Process step Set-up/ client Transfer Preliminary Measures Hedging Independent Sale Auction per liquidation group Asset Class Resolution Timeline corresponds to assumed period in risk calculation within Eurex Clearing Prisma Client position and collateral transfer Convention of Default Management Committee Close-out netting per framework agreement Portfolio and market evaluation Handling as required for short maturity positions, e.g. by rolling Technical preparation Preparation of portfolio for liquidation Define hedging for defaulting portfolios Hedge portfolio based on management decision Selling the portfolio independently if it is small or special Mandatory participation in auctions for all clearing members holding clearing licenses with respect to all positions held in the auctioned portfolio NCMs, RCs and clients are able to bid as well, fulfilling the CM’s bidding obligation Economically reasonable bid for a minimum of auction units required Penalty fee and clearing fund juniorization if not fulfilled If Auction results in remaining positions Eurex Clearing will hold the positions and charges any losses resulting from them to non- bidders, or Non-bidder agrees to enter into respective transactions with Eurex Clearing Description

EurexOTC Clear for IRS : current service scope
Product description Risk management Client Asset Protection Currencies: Types: Vanilla IRS (Fixed versus Floating) and Basis Swap (Floating versus Floating) OIS, FRA Zero Coupon, Compounding, Variable Notional Structures: Spot, forward starts & stub periods, linear interpolation EUR (EURIBOR) and GBP (LIBOR), 1m, 3m, 6m, 12m USD and CHF (Libor) 1m, 3m, 6m Maturity: Up to 50 years CHF up to 30 years Fully transparent risk methodology and valuation with segmented clearing fund New portfolio margining model for IRS: optimal offsets within OTC IRS portfolio for higher capital efficiency OTC MarginCalculator X-Margining between listed & OTC in prototype environment Individual Clearing Model for Registered Customers incl. asset managers Live To follow Omnibus segregation under the Elementary Clearing Model as well as U.K. CASS for U.K. Clearing Members EUR USD GBP CHF GER ENG/WAL FRA NLD IRE SCO SPA BEL AUT LUX FIN SWI Flow Provider and interfaces Trade entry via MarkitServ (Bloomberg in progress) Post-trade management via API using WebSphere MQ, AMQP or MarkitServ Collateral Management Wide range of eligible collateral including securities and cash, approx. 25,000 ISINs Re-use of GC Pooling collateral

EurexOTC Clear: Fees and on-boarding incentive program
Become a customer of EurexOTC Clear in 2013 and pay no fees* until January 2016 For Clearing Members: all fees1 on their house account are waived For Registered Customers (RC): all fees1 in their respective RC account are waived Securities Collateral Management Charge Securities collateral used to cover margin subject to a management charge of 5bp resp. 3bp for GC Pooling Re-Use Securities collateral exceeding the margin requirement is not charged Securities collateral management charge NOT applicable to RC’s in ICM Incentive No fees1 for your OTC IRS business until January 2016 bis Januar 2016 Prerequisites Become a customer of EurexOTC Clear until 31 December 2013 1 Until January 2016, there will be no OTC IRS clearing fees for all Clearing Members for their house account and Registered Customers on their respective RC accounts who are on-boarded until latest. Furthermore, there will be no admission fee in 2013 and no annual Clearing License fee until January 2016 for any newly admitted OTC IRS Clearing Member until the end of this year Provided that the annual Clearing License fee would be applicable only in regards to the remote IRS Clearing License.

EurexOTC Clear for IRS fee models
Competitive fees for all clients, high turnover and directional based on a linear model without price jumps Volume rebate scheme for standard fee model for RCs current in development Standard fee model Booking Fee* Booking fee per million in trade currency 0.25 Maturity premium per million per year in trade currency 0.75 Fee cap (Booking fee + Maturity premium) per million in trade currency 18.00 Maintenance Fee Maintenance fee per million notional per day in trade currency 0.007 A fee calculator is available on request High turnover fee model Booking Fee* Booking fee in trade currency (per million) 0.10 Booking fee cap in EUR € 30.00 Booking fee floor in EUR € 10.00 Maintenance Fee Maintenance fee (in basis points) of initial margin requirement ** 10 bps * Booking fee discount for back loading will apply ** Calculated on a daily basis Note: Fee’s are always billed in the trade currency

Overview of Exchange Traded Derivatives Products
A wide range of Derivatives products are available for clearing, both Exchange Traded and via Eurex OTC facilities Exchange Traded Derivatives Interest rate derivatives Exchange Traded Funds derivatives Equity derivatives Inflation derivatives Equity index derivatives Commodity derivatives Dividend derivatives Weather derivatives Volatility index derivatives Property derivatives Eurex OTC* (EurexOTC Trade Entry) EurexOTC Block Trade facility EurexOTC Exchange for Physicals (EFP and EFPI) facility EurexOTC Vola Trade facility EurexOTC Exchange for Swaps (EFS) facility EurexOTC Flexible Contracts facility Multilateral Trade Registration facility * These are Exchange localised products

Each fund’s assets are tagged within one CSD account
Individual Clearing Model - segregated account overview and difference claim (DC) calculations DC calculations under the Flex Accts can be at Fund level, otherwise DC is calculated at NCM/RC level Clearing Member ECAG OTC Flex Acc Structure ICM Asset Tagging ICM Full physical seg Fund Manager NCM1 RC1 NCM2 RC2 Positions …. F1 F2 F3 F4 F5 Fund X P1 A1 P1 A1 P1 A1 P1 A1 MR F1 MR F2 MR F3 MR F4 MR F5 MR FX MR P1 MR A1 MR P1 MR A1 MR P1 MR A1 MR P1 MR A1 Margin Calculation …. Seg pool F1 Seg pool F2 Seg pool F3 Seg pool F4 Seg pool F5 Seg pool FX NCM seg pool RC1 seg pool NCM seg pool RC2 seg pool Collateral … CBF Non-Cash Collateral Each fund’s assets are tagged within one CSD account Acc F4 Acc F5 Acc FX NCM1 and RC1 have assets tagged to their respective pools within a single account NCM seg account RC2 seg account … Asset tagging Physically individually segregated accounts 29 … …

Tagging as a second collateral management alternative reduces overhead & operational effort
Under the new tagging set-up, one external CSD account* is mapped to multiple internal collateral pools opened for segregated customers (funds/segments) in the ECAG system Therefore, the CBF account will be linked to several collateral pool IDs under one CM, by using an additional reference/flag (“Client Reference ID”) The collateral at the CBF level is aggregated into a single account, while the collateral is held segregated in the ECAG system for each customer in the corresponding individual pool ID The solution does not apply to the CMs proprietary collateral Option 1: Individual physical collateral accounts Option 2: Asset tagging Multiple CBF accounts Eurex collateral pools Single CBF account Eurex collateral pools Account: 61111 Pool ID: 1111 Account: 61111 Pool ID: 1111 Ref. ID 1 Account: 62222 Pool ID: 2222 Ref. ID 2 Pool ID: 2222 Ref. ID 3 Account: 63333 Pool ID: 3333 Pool ID: 3333 *This example is for CBF-International accounts within Creation platform (a 6-series account) 30

Eligible Collateral and Haircuts
Collateral Type Currency Admission Criteria Security Sub-Group Security Type Code Minimum Haircut Yield Shift Yield Shift = (Market Price Risk + Credit Risk) x Liquidity Risk Market Price Risk Credit Risk Liquidity Risk Bond Collateral EUR, DEM 1) Marketable assets as announced by ECB 2) ECB Liquidity Classes I-IV 3) Issuer <> Clearer or seg. NCM if applicable 4) Exchange listing & price (except Bubills) 5) Admissible proportion of the issued capital is 25% Government and Short Term Issues (Bubills) Bonds BBUN 3.1% 0.8% 0.80% 0.0% 1.00 State Issues BLAN City and Municipality Bonds BSTA 5.5% 1.6% 0.6% 1.16 State Agencies BAGE 5.9% 1.15 Corporates & Other Bonds BIND, BOTH 13.7% 3.9% 2.0% 1.39 Bank Bonds BBAK 1.8% 1.49 CHF 1) SNB Repo eligible 2) Issuer <> Clearer or seg. NCM if applicable 3) Exchange listing & price 4) Admissible proportion of the issued capital is 25% Federal Bonds and Bills (GMBF), Loan obligations BCNF Kantonal Obligations, Bonds, Bills (GMBF) BCAN Bank Bonds, Mortgage Bonds (Pfandbriefzentralen) BBAN 12.0% 3.3% 1.28 USD, GBP, DKK, NOK, SEK, AUD, CAD, JPY 1) Exchange listing 2) Admissible proportion of the issued capital is 25% Government Bonds BAUS, BABP, BADK, BANK, BASK, BAAD, BACD, BAJY EUR, CHF, USD, GBP, DKK, NOK, SEK, AUD, CAD, JPY 1) Marketable assets as announced by ECB 2) ECB Liquidity Classes I-IV 3) Exchange listing 4) Admissible proportion of the issued capital is 25% High Yield Government Bonds BBSL 16.0% 4.8% 2.6% 1.40 Italian Government Bonds BABS 14.9% 4.3% 1.25 Portuguese / Irish Bonds BPOS 30.0% 11.0% 5.1% 1.86

Cash collateral Treasury policy
Secured placement to the extent possible (reverse repo is the preferred instrument) Minimum counterparty rating of A- * Minimum security rating of AA- * Issuer must be government, agency or supranational Placement tenor restricted; majority to be invested with a tenor of 1 business day Eurex Clearing passes on interest earned from cash investments to its Clearing Members on a monthly basis after a deduction according to the currency For clearing currencies EUR and CHF, 20 basis points are deducted For margin currencies USD and GBP, 50 basis points are deducted A strict policy determines re-investment of provided cash collateral ECAG passes on interest earned from cash investments *credit rating from S&P, Moody's and Fitch. Lowest rating applies

Overview of Eurex Inflation Swaps Clearing Product Scope
Initial Offering April 2014 Comments Product Type Zero Coupon Inflation Swap Later extension to Asset / Real Rate Swaps Underlyings HICPxT (Euro-Zone) FRCPI (France) UKRPI (UK) US-CPI Start Dates Spot starting (EUR/French: T+2d, UK: T+0d) Past starting (for novated trades) Forward starting swaps not in scope Max. Maturities UKRPI: 50Y HICPxT / FRCPIx: 30Y Later extension in 2014 to US-CPI: 50Y Indexing Lags whole months Index Levels Monthly and daily interpolation Market Data via Reuters RICs Member quotes for Par-Swap Rates (intra-day) Member quotes for (additive) Seasonality Official Inflation Index values from Bloomberg

Solution Concept: Buy-Side Variation Margin (BSVM)
Registered Customer (RC) Clearing Member (CM) EurexOTC Clear IRS (CCP) Net Position Initial Margin Buy Side Variation Margin (BSVM) Variation Margin Offer competitive repo market rates for secured financing and investment of net balance of accrued margin credits and debits (including charges and returns for collateral transformations required to access commercial and central bank refinancing sources). Access to continuous liquidity of dealer-to-dealer repo markets (and the Euro System (European Central Banks)) to conduct back-to-back re-financing and investment transactions to match liquidity demands, composition and term structure of transactions with customers; Re-usability of collateral securities provided by RC for re-financing and collateral transformation transactions; Minimize capital charges and balance sheet impact of collateral transformation and respective back-to-back secured funding and investment transactions by allowing for balance sheet netting of congruent back-to-back repo and reverse repo transactions with RC and inter-dealer-market participants, respectively; Complement the OTC IRS Clearing framework covering the actual clearing relationship between RC, CMs and the CCP with a corresponding Eurex Repo BSVM framework covering the collateralized funding and investment transactions, i.e., introduce the CCP function for back-to-back repo and reverse repo; The CCP-intermediated relation between RCs and CMs and, in turn, between CMs in the inter-dealer market segments of Eurex Repo allows for clearing all back-to-back transactions via a single CCP and, consequently, provides for balance sheet netting of the respective receivables and liabilities; – Subject to Changes – Draft Concept 34

Eurex Clearing’s Individual Clearing Model has been enhanced over the last 2 years to provide the highest level of safety Value Proposition Protection of the actual assets provided to us by either the CM or client Higher protection than individual segregation by value or omnibus by assets Individual account protection down to underlying funds or fund segments Full asset protection Portability of client assets Robust legal construct Client choice to port or become an Interim Participant Porting without liquidation or replacement risk Direct delivery Removal of transit risk Securities can be delivered to separate physical CSD accounts or tagged To be implemented in November 2013 optional Safety Timely transfers of cash and securities CM contractually required to pass through non-cash collateral without delay Book entry transfers of cash between CM account and client account Legal documentation Robust legal model with available legal opinions for CMs Agnostic client documentation approach 3535

New features at Eurex increase efficiency and scalability and lower the operational costs of clearing Value proposition Asset Tagging - Rather than maintaining a physical CSD account per individually segregated clients, CM’s can maintain one omnibus account at the CSD for the benefit of each individual client through asset tagging. Collateral operations Large eligibility schedule Over 25,000 eligible securities (governments, corporates, equities) Can be used for Initial Margin and Clearing Fund Central Bank eligible securities reduces liquidity risks for CCP in a CM default Capital efficiencies Clients “look-through” to CCP under CRR/CRD IV Risk weight of 0% for Bankruptcy remote collateral and 2% if segregated Introduction of Default Fund scaling factor on contribution for ICM Cross margins lowers funding costs, lowers DF and lowers capital Efficiency New feature CM can perform book only cash transfers between the firm and client account Direct delivery increases operational efficiency, remove transit risk, avoids fees Book entry cash New feature No double funding with the late return of EUR and CHF (November 2013) CM’s receive back cash intraday on receipt of client securities/risk reducing trades Cash cut-off times New feature CM has flexibility to provide collateral transformation services Client receives full suite of position and collateral reports from Eurex Clearing Collateral transformation New feature 3636

Affirmation/ Confirmation MarkitSERV/VCON Affirmation/Confirmation
Eurex Clearing provides a flexible solution via existing market infrastructure Trade Execution Trade Confirmation Existing market infrastructure Front to back processing Executing Broker Party A Execution Client Trade Submission Affirmation/ Confirmation Near time clearing Direct access via affirmation/ confirmation platforms MarkitSERV/VCON Affirmation/Confirmation platforms Confirmed Trade CCP Real time risk Manage your risk and positions intra-day Eurex Clearing Position Risk Position Management Risk Management Management Management Collateral Margin Payments Secure payment networks Utilisation of Central Bank money Collateral & Trade Warehouse Central Depository Central Bank TARGET2 / SNB Trade Warehouse

September. 2011 OTC clearing workflow combines existing market infrastructure with proven Eurex Clearing service levels High-level process flow Bilateral OTC trade executed Client affirms/ allocates & identifies Clearing Member Matched trade(s) submitted for clearing Eurex Clearing validates trade Clearing Member(s) take-up Eurex Clearing performs pre-novation incremental risk check Eurex Clearing Accepts or Rejects trades Trades booked with Eurex Clearing in respective Clearing Member accounts Trade status sent to Affirmation platform Eurex Clearing calculates Initial and Variation Margin notifies Clearing Member of trades, positions, margin and collateral requirements maintains trades and respective lifecycle events Affirmation Platform 1 Executing Broker (EB) Client 2 1 2 3 Allocation Allocation 4 3 6 5 Eurex Clearing 4 5 Clearing Member (EB) Clearing Member A Clearing Member B 4 6 House Account Registered Customer Registered Customer House Account House Account

Novation flow - Client clearing
Eurex Clearing will continuously novate trades during opening hours: 08:00-22:00 CET. MarkitWire submits allocated, affirmed and released eligible deals for clearing Eurex Clearing checks if the trade is eligible Clearing Member takes-up the trade for clearing ECAG performs a Incremental Risk check i.e. calculates margin requirements and incremental portfolio increase Eurex Clearing verifies if pending deals can be covered by available collateral If sufficient Collateral ECAG will novate the trade: Trades put in status ‘Pending Legal Novation’ Trades updated to “Cleared” Status in MarkitWire Trade novated on the hour upon ‘OTC Trade Novation’ report distributed If sufficient Collateral is not available, the trade returns to Incremental ‘Risk check’. After Clearing cut-off, remaining pending as well as new deals submitted during closure from MarkitWire are queued for processing next day Eurex Clearing issues daily overnight Margin Call covering the entire portfolio risk. Deal submitted MarkitWire Update to MarkitWire Eligibility Check Process Repeat Eurex Clearing Legal CCP Novation by reporting Risk Check CM take-up trade? Collateral to Novate? n y y n Intraday reporting Take-up Accept/ Reject CM Three times a day, ECAG will issue a margin call for any trades that have not novated due to missing collateral: 12:00, 15:00 & 18:00. A direct debit will take place 1h after the call. Any trades not novated by closure (22:00) are included in the End-Of-Day overnight Margin calls 4040

Principles for Daily Clearing
Services Description Workflows for all participants and client types: inter-dealer brokered, dealer to dealer and dealer to client Buy-side clients can have multiple Eurex Clearing Members but only 1 CCP per trade Executing broker is typically a Eurex Clearing Member but may opt to be a Registered Customer Eurex Clearing will step into the trade and all associated payments including upfront fees General Allocations Single block trade executed with allocations added per fund and relevant Clearing Member Trades must be fully allocated prior to MarkitWire sending the trade to Eurex Clearing Trades may partially clear i.e. some allocations accepted whilst other rejected MarkitWire allows continuous trade matching regardless of Eurex Clearing hours of operation Eurex Clearing accepts for trades daily from 08:00 CET until 22:00 CET Overnight reporting of trades, positions, margins, cash payments and all risk data for replication Daily Clearing After CCP novation Eurex Clearing remains the “golden record” of the trade throughout its lifetime Trade transfers, terminations (full or partial), netting and clearer changes may be performed Daily netting of risk neutral / offsetting trades can be performed on an account level or selective trade basis Post Trade Events and Netting Backdated trades may be entered and accepted at any time during operating hours Margin calculator allow members to assess the impact of the simulated trades on the margin requirement for themselves and clients Full business, technical and operational support is provided by dedicated specialist teams during opening hours Other 4141

Post Trade Events- Overview
Eurex Clearing supports wide range of post trade events on cleared trades. All PTE are available for ‘Dealer to Dealer’ as well as ‘Client Clearing’. They can be administrated either via the GUI or API. All PTE must be approved by the CM as well as pass any incremental risk checks. It is possible to enter fees in relation to Post Trade Events PTE Event Description Trade Transfer Transfer trade to other CM (full or partial) Account Transfer Re-book trade within CM‘s accounts (Initiated by RC or CM) Split trades in smaller notionals without changing account Free text fields (e.g. indicating client in agent account) can change Trade Amendment Termination The trade is completely terminated. Can be performed if no PTE (such as netting) has taken place and with the original counterpart. A ‘De-Clear’ results in the trade becomes a bi-lateral trade again in MarkitWire. This can only be performed until Novation+1 (end of day) with the original counterpart and only if no PTE (such as netting) has taken place. De-Clear Netting/Accumulation Netting: Close out of two risk neutral offsetting trades (including partial) Accumulation: Add up the notional of two equal trades Reject Trades can be rejected after ‘acceptance of take-up’ or other PTE 42

Eurex Clearing provides information on positions, risk and market data directly to Registered Customers Eurex Clearing provides Registered Customers (RCs) information by the following means: SFTP Access to Common Report Engine for Position, Risk and Market Data reports EurexOTC Clear GUI to view positions, initiate and handle post trade events (optional) EurexOTC FpML API access to retrieve positions updates, initiate and handle post trade events (optional) Positions Risk 1 Market Data 2 3 EurexOTC Clear GUI Common Report Engine FpML API SFTP Please note that Eurex Clearing can also provide collateral information to its RCs For non-OTC business Non-Clearing Members have access to GUI to access position information

Eurex Global Derivatives AG
Ownership Structure Eurex Clearing is part of Deutsche Börse Group Deutsche Börse AG 100% Eurex Global Derivatives AG 50% 50% Eurex Zürich AG* 56% European Energy Exchange AG 100% Eurex Deutschland** Eurex Frankfurt AG 100% 100% 100% 79% U.S. Exchange Holdings,Inc. Eurex Clearing AG Eurex Repo GmbH Eurex Bonds GmbH 100% International Securities Exchange Holdings. Inc. * also an exchange under Swiss Law ** exchange under public law according to German law

Details on the EMIR compliant Risk Committee
Executive Board Supervisory Board Set-up Advise towards EMIR Risk Committee Legal Status Advisory Council, i.e. ‘Beirat’ Legal Status founded by ECAG‘s Executive Board. The Risk Committee established according to Art. 28 EMIR advises the Supervisory Board of ECAG the Executive Board of ECAG According to Art. 28 EMIR: 6 representatives of clearing members (thereof two representatives of OTC project banks) 6 representatives of clients of clearing members at least 2 independent members of the Eurex Clearing Supervisory Board 4 meetings per year Extraordinary meetings (or conference calls) if required Clearing Conditions Chapter 1, Part 1, Section 1.5 “Risk Committee” Statues for the Risk Committee Role Composition Frequency Regulatory framework Further information on the Eurex Clearing website:

Details on the EMIR compliant Risk Committee
Function of the Risk Committee Advising the Supervisory Board on any arrangements that may impact the risk management of the CCP, such as: a significant change in its risk model the default procedures the criteria for accepting clearing members the clearing of new classes of instruments or the outsourcing of functions Towards the Supervisory Board the Risk Committee is dealing with: the internal policy framework and review the liquidity plan (as part of the liquidity risk management framework) the policy for the use of derivative contracts Towards the Executive Board the Risk Committee advises on: any material revisions and adjustments to its [risk] models, their methodologies and the liquidity risk management framework any material revisions and adjustments to such policies, i.e. policies used to test the CCP‘s margin, default fund and other financial resources methodologies and framework for calculating liquid financial resources the systems and pricing valuation models used

Greater capital efficiency
Eurex Clearing Prisma Ensuring consistency between default management process and risk margining method Eurex Clearing plans to introduce portfolio margining combining its OTC and listed business. Therefore in case of a Clearing Member (CM) default the liquidation will be on portfolio level and not on position level in order to utilize offsets granted. Aim of the default management process is to transfer the clearing house’s risk exposure, inherited from a defaulting member, to others willing to overtake it The guiding principles of default management process are: Minimize losses to the Clearing House’s lines of defense Minimize the effect and disruption on the membership and the wider market New DMP introduced in November 2012 Guiding principles - default management process EC Prisma Release 1 for equity and equity index derivatives launched in May (member launch) Guiding principles – margin methodology Greater capital efficiency More efficient risk aggregation across listed and OTC products Enhanced accuracy The new method captures more risk factors and better reflects true risks Increased robustness Designed to avoid pro-cyclical margin requirements Consistent framework Consistent risk and default management framework for listed and OTC products More flexibility Broader range of instruments covered with faster to time-to-market

High-level properties of the Eurex Clearing Prisma margin methodology
Full transparency on Eurex Clearing Prisma Risk-adequate filtered historical VaR margin methodology Filtered historical simulation scenarios - volatility filtered and rescaled scenarios from a rolling time window of the previous 750 business days. Stress period historical simulation scenarios permanent unfiltered scenarios of the most volatile periods within all historical data to ensure adequate flooring and reduced cyclicality A high effective confidence level of 99.6 percent is achieved, compared to a confidence level of 99.8 percent in a normal distribution robust VaR approach. Concentration and illiquidity effects are captured Market data inputs and resulting mark-to-market values and risk margins are monitored intraday Multi-curve-valuation uses bootstrapping with OIS-based discounting and separate curves per underlying reset frequency Curve inputs are LIBOR/EURIBOR rates, overnight index fixings, FRAs, tenor basis swaps and par swap rates with maturities of up to 50 years in EUR, USD and GBP and 30 years in CHF The model captures all material risk factors - positions in the portfolio are mapped to the exhaustive set of the relevant risk factors. Scenarios for risk factors are constructed in a way to ensure robust forward looking properties and stability of the model, based on the long look back, effectively covering 10 years of history. Lookback: over previous 750 days stressed period days Liquidation period: 5 days Robust VaR (scaling from 95 percent to 99 percent quantile with fat-tailed t-student distribution) as basis for margin. EMWA volatility filtering with λ = 0.90 for 5-day returns. Initial Margin = Max (Market risk + correlation break adjustment, scaled stressed period VaR) + liquidity adjustment

Example of EurexOTC IRS margin components
Single IRS payer swap (EUR) Pie charts show liquidity adjustment as percentage of total IM

EurexOTC IRS Clear MarginCalculator
Two methods currently available to estimate margin amounts for OTC IRS Simulation environment – It is possible for CMs and their customers to load trades into MarkitWire UAT and submit them for clearing, once cleared they will be run through the margin calculation process and receive margin reports. Weekly margin calculation – CMs and clients can submit portfolios of IRS and listed products. Inputs are in a predefined excel format and submitted via . The process is weekly with inputs to be received on Thursday by 5 pm CET. Further enhancements for margin calculation Web GUI for existing CMs only - based on the EurexOTC Clear GUI A spreadsheet upload with a predefined format and a limited set of required and optional fields Validation of the data entered and enrichment Submit a portfolio for margin calculation Portfolio will use up-to-date market data Outputs including VM, IM plus components and by trade MTM will be returned to the GUI Phase one (now live) Allow Non-Members to access the Web GUI CMs and RCs can retrieve cleared trades to perform what-if analysis Develop an API to allow Members to submit portfolio for calculation Additional outputs Save portfolios in the GUI to rerun / edit in future Phase two

Initial margin netting efficiency FI futures / future-styled options
Cross Margin will deliver significant capital and funding benefits on go-live in May 2014 Formulate the effects of x-margin now using Prisma Risk Evaluation Prototype (PREP) Without cross margin With cross margin Initial margin netting efficiency OTC CCP ETD CCP OTC & ETD CCP IR Swaps FI futures / future-styled options IR Swaps Initial margin netting efficiency is dependent on the CCP netting capability across asset classes FI futures / future-styled options Margin reduction through cross asset class margining Total margin Margin Margin XMargin In order to help Clearing Members and their clients to analyse cross margining benefits already before the implementation of Release 2.0, Eurex Clearing offers to carry out individual calculations for potential users of cross margining, based on the Prisma Risk Evaluation Prototype (PREP) For the PREP service, Members may send a mixed portfolio of listed and OTC products. PREP is capable of calculating initial margin figures for interest rate portfolios consisting of interest rate futures, options and interest rate swaps (including the product scope of Prisma release 1) Send the portfolio details via to the dedicated address

Within Eurex Clearing Prisma a revised framework for the Default Management Process (DMP) launched on 13 November 2012 Introduction Eurex Clearing has designed a revised DMP and extensively discussed it with the market participants The purpose of the revised DMP is to rebalance the clearing house by transferring the positions, inherited from a defaulting member, to others willing to take it over The new DMP is aligned with the new margin methodology and introduces five central components: Liquidation groups compile products which can be liquidated jointly at the same point in time i.e. complete liquidation group can be auctioned, hedged by Eurex Clearing and priced by clearing members in a reasonable period of time Each liquidation group will be handled separately in case of default (however, Eurex Clearing reserves the right to jointly liquidate different liquidation groups if a joint liquidation is risk reducing) The DMP as well as the utilization of the Clearing Fund is conducted along the pre-defined liquidation groups. This creates liquidation group specific Clearing Fund Segments (CFS) within the common Clearing Fund. Default Management Committees (DMCs) made up of proven industry experts are setup to advise, assist and provide recommendations to Eurex Clearing during a default situation and on an ad-hoc basis. The main process component is an auction ensuring that Eurex Clearing is able to quickly establish a fair price for the portfolios and to transfer them to buyers while minimizing market impact. NCMs, RCs and clients may participate in the auction in consent with their Clearing Members

Eurex Clearing assigns products according pre-defined criteria
Liquidation group criteria Liquidation process Products in one liquidation group follow the same liquidation process: Only products which can be auctioned together are grouped in one liquidation group Products with deviating liquidation procedures need to be assigned to separate liquidation groups Proximity Products within a liquidation group allow for objective proximity: Proximate products have a set of common risk factors Proximity represents market standard, regulatory and business understanding Hedge- ability Only products which can be hedged together are in one liquidation group: Positions in one liquidation group can be stabilized in case of a default by means of a common pre-defined hedging strategy Hedge-ability will be validated in regular default simulations and internal periodic reviews Price- ability The liquidation group can be priced by the market participants: Clearing Members are able to price all products the liquidation group in a certain period of time Price-ability will be validated in regular default simulations together with all clearing members

Each Liquidation group has a pre-defined holding period
Liquidation group composition LG* Equity CCY HP** 1 EQ (Index) Derivatives, EQ Single Stocks, OTC EQ Derivatives EUR, CHF, USD, GBP 4 2 Dividend (Index) Derivatives EUR, CHF 5 3 Volatility (Index) Derivatives EUR LG Commodities CCY HP 7 Power Derivatives EUR, USD tbd Emissions Futures Precious Metals Derivatives Agriculture Futures LG Property Derivatives CCY HP 8 Property Futures GBP tbd LG Fixed Income CCY HP 4 Fixed Income Derivatives EUR, CHF, GBP, USD 5 Interest Rate Swaps Bonds LG Credit Derivatives CCY HP 9 Credit Default Swaps EUR tbd LG Repo CCY HP 5 Special Repo EUR, USD, CHF tbd LG Inflation Derivatives CCY HP 10 EUR tbd LG Repo GC Pooling CCY HP 6 Repo GC Pooling Basket EUR, USD tbd LG Weather Derivatives CCY HP 11 Hurricane Futures USD tbd Assumption: Flexible Futures and Options will be assigned to the liquidation groups containing the respective underlying * LG = Liquidation group ** HP = Holding period in days = Agreed with Risk Committee participants

Eurex Clearing’s guiding principle in a default situation is to minimize the effect on the Lines of Defense and stabilize the markets Position Netting Eurex Clearing Lines of Defense Collateral of Member in Default Eurex Clearing provides a multi-level security system First the collaterals and the Clearing Fund contribution of the member in default are utilized. After the defaulters contribution is exhausted assigned reserves of Eurex Clearing are applied before non-defaulting clearing members contribution and Liable Equity of Eurex Clearing. The contribution to the Clearing Fund is based on a minimum contribution and a dynamic component accounting for the individual clearing member’s risk situation There is one segmented Clearing Fund for listed and OTC business (except CDS which is covered via a separate Clearing Fund) Following a realization of any contributions to the Clearing Fund of the non-defaulted clearing members, such clearing members are asked to provide assessments to their contribution Clearing members’ total liability is however limited as they have the right to withdraw from the clearing house Lines of Defense Clearing Fund Contribution of Member in Default Dedicated own reserves of Eurex Clearing AG Clearing Fund Contribution of Other Members Max 2 assessments per CM Remaining Capital of Eurex Clearing AG

With introduction of the new process a segmentation of the clearing fund along liquidation groups is introduced Introduction Clearing Fund segmentation With introduction of the new DMP, the segmentation of one clearing fund will be introduced. This creates liquidation group specific Clearing Fund Segments (CFS), within the single common Clearing Fund. A CFS is determined for each liquidation group, which is a partition of the single Clearing Fund according to the relative weights of the Initial Margin of the liquidation groups The clearing member’s contribution to the clearing fund does not change compared to today The total clearing fund of the CCP is the sum of these segments In contrast to the mutualizing clearing fund concept, when liquidating a particular liquidation group, only the respective CFS can be used to cover losses, unless there is a known surplus from other, already completed liquidation groups Example Assuming that the defaulted clearing member (“DM”) was active in two liquidation groups: the fixed income the equity liquidation group When starting the liquidation of the fixed income liquidation group, the liquidation of the equity liquidation group has already been finalized without using any assigned security layers

Each Default Management Committee supports the organization of the default management process
Default Management Committees (DMCs) Role of the DMC DMC is continuously defined, but only temporarily convened in case of a CM default or for regular default simulation exercises One DMC for each liquidation group shall advise, assist, and provide recommendations to Eurex Clearing in defining hedging strategies and organisation of auctions Nomination of DMC Members Eurex Clearing nominates the Top 3 Clearing Members in each Liquidation Group 3 months prior to a DMC term (calendar year) Upon nomination the DMC member has to nominate a principal and deputy representative and provide CV’s to prove that the participants have sufficient knowledge and expertise to fulfil the required tasks within the DMC. Representatives from affiliated NCMs and RCs can be nominated as well DMC members and representatives have to accept the DMC rules prior to the DMC term Obligations during a CM default In case of a default, the current cycle of DMC members shall make themselves available within a short period of time Identify suitable hedging strategies for the defaulted member portfolio Assist in transferring segregated clients to solvent Clearing Members Support in determination of suitable auction formats and timings

Contacts at Eurex Clearing
Eurex Clearing OTC Development Head of Section Risk Management OTC IRS Buy Side Philip Simons T +44 (0) M +44 (0) Alexander Rose T +44 (0) M +44 (0) Ricky Maloney T +44 (0) M +44 (0) OTC IRS Alison King T +44 (0) M +44 (0) Afriyie Ola Dimeji T +44 (0) M +44 (0) Eva Barber T +44 (0) M +44 (0) OTC Development Business Support Danny Chart M +44 (0) Momcilo Stanic T +44 (0) Charmaine Newman T +44 (0) M +44 (0)

Contacts at Eurex Clearing
Eurex Clearing Business Relations Head of Section Equity Frankfurt Equity London Jens Quiram T +44 (0) M +44 (0) Krasimira Rayanova T +49 (0) M +44 (0) Beth Jones-Williams T +44 (0) M +44 (0) Securities Lending Collateral Management Bonds and Repos Gerard Denham T +44 (0) M +44 (0) Ferdina Yarzada T +49 (0) M +49 (0) Maximilian Dannheimer T +44 (0) M +44 (0) Exchange Traded Derivatives Client Asset Protection Paris Rep. Office (All Topics) Cameron Teague T +44 (0) M +44 (0) Richard Wilding T +44 (0) M +44 (0) Florence Besnier T +33 (0) M +33 (0)

© Eurex 2013 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex Exchanges”. All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only. Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so. Eurex derivatives (other than EURO STOXX 50® Index Futures contracts, EURO STOXX® Select Dividend 30 Index Futures contracts, STOXX® Europe 50 Index Futures contracts, STOXX® Europe 600 Index Futures contracts, STOXX® Europe Large/Mid/Small 200 Index Futures contracts, EURO STOXX® Banks Futures contracts, STOXX® Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Personal & Household Goods/Travel & Leisure/Utilities Futures contracts, Dow Jones Global Titans 50 IndexSM Futures contracts, DAX® Futures contracts, MDAX® Futures contracts, TecDAX® Futures contracts, SMIM® Futures contracts, SLI Swiss Leader Index® Futures contracts, Eurex inflation/commodity/weather/property and interest rate derivatives) are currently not available for offer, sale or trading in the United States or by United States persons. Trademarks and Service Marks Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and Xetra® are registered trademarks of DBAG. Phelix Base® and Phelix Peak® are registered trademarks of European Energy Exchange AG (EEX). The service marks MSCI Russia and MSCI Japan are the exclusive property of MSCI Barra. iTraxx® is a registered trademark of International Index Company Limited (IIC) and has been licensed for the use by Eurex. IIC does not approve, endorse or recommend Eurex or iTraxx® Europe 5-year Index Futures, iTraxx® Europe HiVol 5-year Index Futures and iTraxx® Europe Crossover 5-year Index Futures. Eurex is solely responsible for the creation of the Eurex iTraxx® Credit Futures contracts, their trading and market surveillance. ISDA® neither sponsors nor endorses the product’s use. ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc. IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd. IPD and has been licensed for the use by Eurex for derivatives. SLI®, SMI® and SMIM® are registered trademarks of SIX Swiss Exchange AG. The STOXX® indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the STOXX® indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto. Dow Jones, Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity IndexSM and any related sub-indexes are service marks of Dow Jones & Company, Inc. and UBS AG. All derivatives based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. or UBS AG, and neither party makes any representation regarding the advisability of trading or of investing in such products. All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limited, which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced. PCS® and Property Claim Services® are registered trademarks of ISO Services, Inc. Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc. BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE. 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EurexOTC Clear for Interest Rate Swaps

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