Eurexotc Clear Product List Attribute Attribute Definition Example Remark Additional Payments Fees Or Other Payments Defined at Contract Conclusion

EurexOTC Clear Product List Attribute Attribute Definition Example Remark Additional Payments Fees or other payments defined at contract conclusion. The Fees have to be in T+1 ≤ Fee Date ≤ Termination Date EUR 100 trade currency. where "T" stands for cleared date. Calculation Period Date Business Day Adjustment convention for the calculation period dates of a contract if calculation Possible values: Convention period dates fall on a holiday. None (no adjustments to any Business Day Convention) Following Following Mod Following Preceding Calculation Period Date Holiday Holiday calendars used for the Calculation Period Date Holiday Calendar. EUTA Calendar Compounding Method Method used for compounding of interest at the floating leg if payment period is Straight: Interest on interest is paid both on floating rate and spread a multiple of the index tenor. amounts. Flat: Interest on interest is paid on floating rate amounts, spread is paid on Flat initial notional. Refer to the International Swaps and Derivatives Association (ISDA) for further description of compounding methods. Day Count Convention Defines the calculation method for interest accrual in a period. For a definition of the different Day Count Conventions please refer to the ACT/360 Clearing Conditions of Eurex Clearing AG. Fixed Leg Maximum Period Length The maximum length of the long broken period on the fixed leg. 1Y+1M Long First / Long Last Fixed Rate Fixed leg rate. The value is allowed to have up to 8 decimal points, i.e. the 0.01 precision is 0.0001 basis points. Fixing Date Calendar Holiday calendars used for the fixing of floating rates. EUTA Fixing Date Offset The reset of the Floating Index occurs with the frequency of the tenor length on or before the reset date (a negative value implies that a fixing prior to -2 business days the reset date will be taken). Fixing Date Relative to Fixing of floating rates is done at the beginning or end of the period. Period Begin Floating Index The name of the Floating Rate Index. It is unique for each currency and USD-LIBOR-BBA has to match exactly in order to be eligible for clearing. Floating Index Tenor Possible index tenors of the Floating Index. 3M Floating Leg Index Spread A fixed spread on the floating rate. The value is allowed to have up to 8 decimal points, i.e. the precision is 0.0001 basis points. 0.01 Simple spread means that the rate is not part of compounding i.e. the floating rate is derived by compounding the fixings for the period and the spread is added afterwards on top. Floating Leg Maximum Period Length The maximum length of the long broken period on the floating leg. 7M Long First / Long Last Floating Rate Both positive and negative spreads are permitted unless stated otherwise Forward Starting A swap can have it's start date after today's date. A forward starting swap has to Adjusted start dates are permissible for Forward Starting swaps  adhere to maximum maturity rules. Index Level Interpolation Specifies how the inflation index level of inflation swaps is determined. start month value Inflation Leg Reference Rate For Zero Coupon Inflation Swaps the underlying reference rate for the calculation Supported indexes in EUR: HICPxT, FRCPIx HICPxT of the payments on the inflation leg. Supported index in GBP: UK RPI Initial Index Level First pre-defined index level of a Zero Coupon Inflation Swap. 100 Initial Rate First pre-defined floating leg rate. 0.01 Leg combination Possible combinations of fixed and floating legs. Fixed/Float Maturity Date Business Day Adjustment convention for the maturity date of an Interest Rate Derivative if the Following Convention termination date falls on a holiday. Maximum Maturity Defines the maximal residual term of a swap in years or months to be eligible for For a maximum maturity of 50 years the logic is as follows: clearing at Eurex Clearing AG. Maximum maturity is defined as the latest possible Termination Date(End Date)<= current date + spot lag + 50 years + 10 date on which the termination of a swap contract may occur. The maximum business days + MODFOLLOWING eligible termination date is calculated by adding the spot lag in business days and with a standard spot lag, e.g. 2 business days for EUR, USD, CHF, JPY, and 0 the maximum maturity to today's date and applying Modified Following Business for GBP. 50 years Day Convention. Eurex Clearing accepts a backloaded trade with an initial residual term greater than the eligible maximum maturity but terminating before the maximum allowed termination date: e.g. a CHF swap with an initial tenor of 40 years will be cleared if the start date lies at least 10 years before today's date, so that the termination date will take place before the maximum eligible date. Minimum Notional The minimum notional eligible for clearing. 0.01 Minimal notional is CCY 0.01 unless stated otherwise Minimum Period Length Short First / The minimum length of the broken period. 1 business day Short Last Minimum Residual Term Defines the minimum amount of time between today's date and the termination date of the contract. The termination date for a backloaded trade has to be not prior to today's date 1 business day plus minimum residual term in order to be accepted for clearing at Eurex Clearing AG. Minimum Term Required minimum term for a Zero Coupon Inflation Swap. 28 calendar days Payment Date Business Day Adjustment convention for the payment dates of a contract if payments fall on a Following Convention holiday. Payment Date Calendar Holiday calendars used for the Payment Date Business Day Convention. EUTA Payment Lag Offset for payments. 0 business days Payment Period Possible payment frequency of the leg. Any payment leg combination can have the listed payment frequencies on each leg. zero coupon => A swap with a fixed leg with zero coupon payment and a floating leg with zero coupon payment would be eligible for clearing. Payment Relative to Defines if the payment is made at the beginning or the end of the period. Period End Roll Convention The roll dates will be defined by the termination date (if the last period is of regular length) or by the period end date of the last regular period (in case a last stub applies). Alternatively period end dates can be end of month (EOM). IMM EOM can be chosen if the reset dates should correspond to the 3rd Wednesday of the IMM-roll month. Start Date Business Day Convention Adjustment convention for the effective date of an Interest Rate Derivative if the Following start date falls on a holiday. Stub Period Index (Interpolation) The index or index pair (interpolation) used for the stub rate. Linear interpolation may be used instead of a single tenor if the stub 1W period does not correspond to a tenor. Stub Type A swap has a stub if the swap term is not a multiple of payment periods (fixed leg) The stub can be on one leg only or on both legs. If the payment period is or index tenor (floating leg). The additional period is called broken. The broken not a multiple of payment/reset periods e.g. the swap term is nine month period is at start of the swap term if we define a front stub. The broken period is and the reset frequency is 6M on the floating leg the stub period will be at the end if we define a back stub respectively. The period is considered to be Short First 3M. short if the broken period is smaller than the payment periods (fixed leg) or reset frequency (floating leg). The stub is considered to be long if the broken period is larger than the payment periods (fixed leg) or reset frequency (floating leg). Variable Fixed Rate Variable fixed rate on the fixed leg.  Variable Index Spread (positive or Variable spread on the floating leg.  negative) Variable Notional Variable notional for coupon calculation. Any eligible notional can be  defined for calculation. Notional on floating leg and fixed leg can differ. Variable Swap Schedule Dates The dates on which the variable notional or variable fixed rate or variable index spread applies. The dates have to correspond to period start dates. The dates are YYYY-DD-MM subject to business day convention and holiday adjustments.

Note: business days, whenever mentioned, are defined by the applicable calendar. EurexOTC Clear Product List

Supported Product: Overnight Indexed Swap (OIS)

Attribute USD USD EUR EUR GBP JPY CHF Restrictions Trade Specific Floating Index n/a USD-SOFR-COMPOUND USD-Federal Funds-H.15-OIS-COMPOUND EUR-EONIA-OIS-COMPOUND EUR-EuroSTR-COMPOUND GBP-SONIA-COMPOUND JPY-TONA-OIS-COMPOUND CHF-SARON-OIS-COMPOUND

Maximum Maturity n/a 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 31 years (11,375 days) 31 years (11,375 days)

Minimum Residual Term n/a 1 business day 1 business day 1 business day 1 business day 1 business day 2 business days 1 business day

Forward Starting        The sum of forward starting period and tenor of the swap must not exceed the maximum residual term for the product. Additional Payments T+1 ≤ Fee Date ≤ Termination Date for EUR, USD, GBP, CHF Arbitrary number of additional payments Arbitrary number of additional payments Arbitrary number of additional payments Arbitrary number of additional payments Arbitrary number of additional payments Arbitrary number of additional payments Arbitrary number of additional payments T+2 ≤ Fee Date ≤ Termination Date for JPY in USD in USD in EUR in EUR in GBP in JPY in CHF For forward starting trades, additional payments are also allowed before trade start date. Product Specific Roll Convention n/a Day of Month (1-30) EOM IMM

Start Date Business Day Convention Different Business Day Conventions are allowed on each leg None Following Mod Following Preceding

Maturity Date Business Day Convention Different Business Day Conventions are allowed on each leg None Following If the maturity date is adjusted, then Maturity Date Business Day Mod Following Convention must have always the same Business Day Convention as Preceding the Payment Date Business Day convention Leg Specific Different Effective Dates on legs Y n/a

Leg Combination Fixed/Float Fixed/Float Fixed/Float Fixed/Float Fixed/Float Fixed/Float Fixed/Float It is allowed that the start and end dates of both swap legs are Payment Period n/a Fixed Float Fixed Float Fixed Float Fixed Float Fixed Float Fixed Float Fixed Float monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually annually annually annually annually annually annually annually annually annually annually annually annually annually annually zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon

Day Count Convention For a definition of the day count conventions please see Clearing 30/360 Conditions of Eurex Clearing AG, Chapter VIII Part 2 Number 2.2.6 30E/360 based on the 2006 ISDA Definitions or the 2000 ISDA Definitions, as 30E/360.ISDA specified in the trade record transmitted via the Approved Trade Source ACT/360 System. ACT/365.FIXED ACT/ACT.ISDA ACT/365.ISDA ACT/ACT.ICMA ACT/ACT.ISMA

Payment Relative to n/a Period End

Payment Lag n/a Fixed Fixed Fixed Fixed Fixed Float Float Float Float 0 business days Float 0 business days 0 business days 0 business days 0 business days 0 business days 0 business days 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 2 business days 2 business days 2 business days 2 business days 2 business days 2 business days 2 business days 2 business days 2 business days 2 business days 2 business days 2 business days

Payment Date Business Day Convention n/a Following Mod Following Preceding

Payment Date Calendar Calendars have to be equal for roll dates (calculation period dates) and USNY required, other calendars optional USNY required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional GBLO required, other calendars optional JPTO required, other calendars optional CHZU required, other calendars optional payment dates.

Calculation Period Date Business Day Different Business Day Conventions are allowed on each leg None Convention Following If the calculation period end dates are adjusted, then the Calculation Mod Following Period Date Business Day Convention must have the same Business Preceding Day Convention as the Payment Date Business Day convention Calculation Period Date Holiday Calendar Calendars have to be equal for roll dates (calculation period dates) and USNY required, other calendars optional USNY required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional GBLO required, other calendars optional JPTO required, other calendars optional CHZU required, other calendars optional payment dates.

Fixed Rate n/a Any fixed rate (including negative and zero fixed rates) is supported.

Floating Index Tenor n/a 1 business day

Fixing Date Offset n/a 0 business days

Fixing Date Calendar n/a USGS required, other calendars optional USNY required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional GBLO required, other calendars optional JPTO required, other calendars optional CHZU required, other calendars optional

Floating Leg Index Spread Both positive and negative spreads are permitted. Simple spread only Definition of Simple Spread is in the User Guide tab

Page 3 of 14 EurexOTC Clear Product List

Supported Product: Overnight Indexed Swap (OIS)

Attribute USD USD EUR EUR GBP JPY CHF Restrictions Stub Specific Stub Type Stub Periods are not eligible for Zero Coupon payments. short first, short last It is not allowed to have both first and last stub on the same trade long first, long last (neither on the same leg nor on different legs). Minimum Period Length Short First / Short Last 1 business day n/a Floating Leg Maximum Period Length Long n/a 1Y + 1M First / Long Last Fixed Leg Maximum Period Length Long First / n/a No restrictions Long Last Break Clauses Break clauses are not eligible and will not be recognized in the course of novation

Variable Swap Specific The (adjusted) schedule dates for either notional, fixed rate or index Variable Swap Schedule Dates YYYY-MM-DD spread schedule must match the (adjusted) accrual period start dates. The notionals can be different for each accrual period and for each leg, but the notional must be greater than zero. Variable Notional  It is allowed that the start and end dates of both swap legs are different. Variable Notional is not applicable in combination with Zero Coupon Variable Fixed Rate  Variable Fixed Rate is not eligible for Zero Coupon legs and payments made on Compounding basis. Variable Index Spread is not eligible for Zero Coupon payments and Variable Index Spread (positive or negative)  payments made on Compounding basis. Break Clauses n/a Break clauses are not eligible and will not be recognized in the course of novation

Page 4 of 14 EurexOTC Clear Product List

Supported Product: Fixed / Float IRS

Attribute USD EUR GBP JPY CHF DKK SEK NOK PLN Restrictions Trade Specific Floating Index n/a NOK-NIBOR-OIBOR DKK-CIBOR USD-LIBOR-BBA EUR-EURIBOR-Reuters GBP-LIBOR-BBA JPY-LIBOR-BBA CHF-LIBOR-BBA SEK-STIBOR NOK-NIBOR-NIBR (automatically PLN-WIBOR DKK-CIBOR2 changed to OIBOR when cleared)

Maximum Maturity n/a 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 31 years (11,375 days) 31 years (11,375 days) 31 years (11,375 days) 31 years (11,375 days) 31 years (11,375 days) 11 years (4,050 days)

Minimum Residual Term n/a 1 business day 1 business day 1 business day 2 business days 1 business day 2 business days 2 business days 2 business days 1 business days

Forward Starting  The sum of forward starting period and tenor of the swap must not exceed the maximum residual term for the product. Additional Payments T+1 ≤ Fee Date ≤ Termination Date for EUR, USD, GBP, CHF, PLN Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional T+2 ≤ Fee Date ≤ Termination Date for JPY, DKK, SEK, NOK payments in USD payments in EUR payments in GBP payments in JPY payments in CHF payments in DKK payments in SEK payments in NOK payments in PLN For forward starting trades, additional payments are also allowed before trade start date. Product Specific Roll Convention Different Roll Conventions are allowed on each leg Day of Month (1-30) EOM IMM

Start Date Business Day Convention None Different Business Day Conventions are allowed on each leg Following Mod Following Preceding Maturity Date Business Day Different Business Day Conventions are allowed on each leg None Convention Following If the maturity date is adjusted, then Maturity Date Business Day Convention Mod Following must have always the same Business Day Convention as the Payment Date Preceding Business Day convention Leg Specific Different Effective Dates on legs Y n/a

Leg Combination It is allowed that the start and end dates of both swap legs are different. Fixed/Float Fixed/Float Fixed/Float Fixed/Float Fixed/Float Fixed/Float Fixed/Float Fixed/Float Fixed/Float

Payment Period The payment frequency must be a multiple of the index tenor, except for stub periods. Fixed Float Fixed Float Fixed Float Fixed Float Fixed Float Fixed Fixed Fixed Fixed Float monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly Float monthly monthly Float monthly Float quarterly Different Payment Periods are allowed on each leg quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly semi-annually quarterly quarterly semi-annually quarterly semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually annually semi-annually semi-annually annually semi-annually annually annually For a zero coupon floating leg a compounding method and compounding index annually annually annually annually annually annually annually annually annually annually annually zero coupon annually annually zero coupon annually zero coupon zero coupon period need to be selected. zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon For a zero coupon fixed rate schedule, a floating rate spread schedule and variable notional schedule are not available. Day Count Convention 30/360 Different Day Count Conventions are allowed on each leg 30E/360 30E/360.ISDA For a definition of the day count conventions please see Clearing Conditions of ACT/360 Eurex Clearing AG, Chapter VIII Part 2 Number 2.2.6 ACT/365.FIXED based on the 2006 ISDA Definitions or the 2000 ISDA Definitions, as specified in ACT/ACT.ISDA the trade record transmitted via the Approved Trade Source System. ACT/365.ISDA ACT/ACT.ICMA ACT/ACT.ISMA

Payment Relative to n/a Period End

Payment Lag Different Payment Lags are allowed on each leg 0 business days 1 business day 2 business days

Payment Date Business Day Different Business Day Conventions are allowed on each leg Following Convention Mod Following Preceding

Payment Date Calendar Calendars have to be equal for roll dates (calculation period dates) and payment USNY required, other calendars EUTA required, other calendars GBLO required, other calendars JPTO required, other calendars CHZU required, other calendars DKCO required, other calendars SEST required, other calendars NOOS required, other calendars PLWA required, other calendars dates. optional optional optional optional optional optional optional optional optional

Calculation Period Date Business Day Different Business Day Conventions are allowed on each leg None Convention Following If the calculation period end dates are adjusted, then the Calculation Period Date Mod Following Business Day Convention must have the same Business Day Convention as the Preceding Payment Date Business Day convention Calculation Period Date Holiday Calendars have to be equal for roll dates (calculation period dates) and payment USNY required, other calendars EUTA required, other calendars GBLO required, other calendars JPTO required, other calendars CHZU required, other calendars DKCO required, other calendars SEST required, other calendars NOOS required, other calendars PLWA required, other calendars Calendar dates. optional optional optional optional optional optional optional optional optional

Fixed Rate Fixed rate is allowed for Zero Coupon Swaps. Any fixed rate (including negative and zero fixed rate) is supported. Fixed interest amount for Zero Coupon Swaps must have a positive value. Initial Rate Manually defined first fixing rate is not supported in combination with The fixing for the first floating period can be defined manually. Any rate is supported. Interpolation on the first stub. Compounding Method Required if the index tenor is less than the payment period. Compounding is not supported in combination with a variable fixed rate, Flat variable index spread or variable notional on the same leg. Straight Compounding is not supported in combination with stub periods on the same leg. Floating Index Tenor 1M If compounding is applied, then index tenor should be less than payment period. 1M 1M 1M 1M 3M 3M 3M 3M 3M 6M 3M 6M 6M 6M 6M 6M 6M 6M 1Y

Page 5 of 14 EurexOTC Clear Product List

Supported Product: Fixed / Float IRS

Attribute USD EUR GBP JPY CHF DKK SEK NOK PLN Restrictions Fixing Date Offset n/a Any fixing lag between 0 and -10 business days is allowed.

Fixing Date Relative to n/a Period Begin

Fixing Date Calendar n/a GBLO required, other calendars EUTA required, other calendars GBLO required, other calendars GBLO required, other calendars GBLO required, other calendars DKCO required, other calendars SEST required, other calendars NOOS required, other calendars PLWA required, other calendars optional optional optional optional optional optional optional optional optional

Floating Leg Index Spread n/a Any index spread (including negative spread) is supported.

Stub Specific Stub Type Stub period is not allowed for Zero Coupon Swap and Compounding Swap legs. (i) It is allowed to have one stub on one leg and no stub on the other leg. short first, short last Short long first with predetermined first fixing (ii) If each leg has a stub, both stubs must be of the same type, e.g. both first or long first, long last both last. (iii) two stubs on each leg are allowed. Minimum Period Length Short First / n/a 1 business day 2 business days 1 business days Short Last Floating Leg Maximum Period Length n/a 7M 1Y + 1M 7M 7M 7M 7M 6M 7M 7M Long First / Long Last Fixed Leg Maximum Period Length n/a No restrictions Long First / Long Last Stub Period Index (Interpolation) Length of the stub period should be in between two neighboring index tenors 1W 1W 1W 1W 1W that can be selected for rate interpolation. 1M 1M 1M 1M 1M 2M 3M 2M 2M 2M n/a n/a n/a n/a N.B. where the currency is USD and the termination date is before 01.10.2021: 3M 6M 3M 3M 3M 1W, 1M, 2M, 3M, 6M will be used; where the termination date is on or after 6M 1Y 6M 6M 6M 01.10.2021: 1M, 3M, 6M will be used.

Variable Swap Specific Variable Swap Schedule Dates The (adjusted) schedule dates for either notional, fixed rate or index spread YYYY-MM-DD YYYY-MM-DD YYYY-MM-DD YYYY-MM-DD YYYY-MM-DD YYYY-MM-DD YYYY-MM-DD YYYY-MM-DD YYYY-MM-DD schedule must match the (adjusted) accrual period start dates. Variable Notional The notionals can be different for each accrual period and for each leg, but the notional must be greater than zero.          It is allowed that the start and end dates of both swap legs are different. Variable Notional is not applicable in combination with Compounding or Zero Coupon payments on the same leg. Variable Fixed Rate          Variable Fixed Rate is not eligible for Zero Coupon legs and payments made on Compounding basis. Variable Index Spread (positive or          Variable Index Spread is not eligible for Zero Coupon payments and payments negative) made on Compounding basis. Break Clauses Break clauses are not eligible and will not be recognized in the course of novation n/a

Page 6 of 14 Supported Product: Single Currency Tenor Basis Swap

Attribute USD USD USD EUR EUR EUR GBP GBP JPY JPY CHF Restrictions Trade Specific USD-Federal Funds- Floating Index USD-SOFR- USD-SOFR- EUR-EURIBOR- EUR-EURIBOR- EUR-EURIBOR- EUR-EONIA-OIS- EUR-EURIBOR- EUR-EuroSTR- GBP-SONIA- JPY-TONA-OIS- n/a USD-LIBOR-BBA H.15-OIS- USD-LIBOR-BBA USD-LIBOR-BBA GBP-LIBOR-BBA GBP-LIBOR-BBA GBP-LIBOR-BBA JPY-LIBOR-BBA JPY-LIBOR-BBA JPY-LIBOR-BBA CHF-LIBOR-BBA CHF-LIBOR-BBA COMPOUND COMPOUND Reuters Reuters Reuters COMPOUND Reuters COMPOUND COMPOUND COMPOUND Maximum Maturity 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 51 years (18,675 days) 31 years (11,375 days) 31 years (11,375 days) 31 years (11,375 days) n/a

Minimum Residual Term 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 1 business day 2 business days 2 business days 1 business day n/a

Forward Starting  The sum of forward starting period and tenor of the swap must not exceed the maximum residual term for the product T+1 ≤ Fee Date ≤ Termination Date for EUR, USD, GBP, CHF, PLN Additional Payments Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in Arbitrary number of additional payments in USD USD USD EUR EUR EUR GBP GBP JPY JPY CHF T+2 ≤ Fee Date ≤ Termination Date for JPY. For forward starting trades, additional payments are also allowed before trade start date. Product Specific Roll Convention Day of Month (1-30) Different Roll Conventions are allowed on each leg EOM IMM

Start Date Business Day Convention None Different Business Day Conventions are allowed on each leg Following Mod Following Preceding

Maturity Date Business Day None Different Business Day Conventions are allowed on each leg Convention Following Mod Following If the maturity date is adjusted, then Maturity Date Business Day Convention must have always the Preceding same Business Day Convention as the Payment Date Business Day convention

Leg Specific Different Effective Dates on legs Y n/a

Leg Combination Float/Float Float/Float Float/Float Float/Float Float/Float Float/Float Float/Float Float/Float Float/Float Float/Float Float/Float It is allowed that the start and end dates of both swap legs are different.

The payment frequency must be a multiple of the index tenor, except for stub periods.

Payment Period Float Float Float Float Float Float Float Float Float Float Float Float Different Payment Periods are allowed on each leg monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly monthly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly quarterly For a zero coupon floating leg a compounding method and compounding index period need to be semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually semi-annually selected. annually annually annually annually annually annually annually annually annually annually annually annually zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon zero coupon For a zero coupon fixed rate schedule, a floating rate spread schedule and variable notional schedule are not available.

Day Count Convention 30/360 Different Day Count Conventions are allowed on each leg 30E/360 30E/360.ISDA For a definition of the day count conventions please see Clearing Conditions of Eurex Clearing AG, ACT/360 Chapter VIII Part 2 Number 2.2.6 ACT/365.FIXED based on the 2006 ISDA Definitions or the 2000 ISDA Definitions, as specified in the trade record ACT/ACT.ISDA transmitted via the Approved Trade Source System. ACT/365.ISDA ACT/ACT.ICMA ACT/ACT.ISMA

Payment Relative to Period End n/a

Payment Lag 0 - 2 business days 0 - 2 business days 0 - 2 business days 0 - 2 business days 0 - 2 business days Different Payment Lags are allowed on each leg 0 - 2 business days 1 - 2 business Days 1 - 2 business Days 1 - 2 business Days 0 - 2 business days 1 - 2 Business Days 0 - 2 business days 1 - 2 Business Days 0 - 2 business days 1 - 2 Business Days 0 - 2 business days 1 - 2 Business Days

Payment Date Business Day Following Different Business Day Conventions are allowed on each leg Convention Mod Following Preceding

Payment Date Calendar Calendars have to be equal for roll dates (calculation period dates) and payment dates. USNY required, other calendars optional USNY required, other calendars optional USNY required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional GBLO required, other calendars optional GBLO required, other calendars optional JPTO required, other calendars optional JPTO required, other calendars optional CHZU required, other calendars optional

Calculation Period Date Business Day None Different Business Day Conventions are allowed on each leg Convention Following Mod Following If the calculation period end dates are adjusted, then the Calculation Period Date Business Day Preceding Convention must have the same Business Day Convention as the Payment Date Business Day convention Calculation Period Date Holiday Calendars have to be equal for roll dates (calculation period dates) and payment dates. Calendar USNY required, other calendars optional USNY required, other calendars optional USNY required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional GBLO required, other calendars optional GBLO required, other calendars optional JPTO required, other calendars optional JPTO required, other calendars optional CHZU required, other calendars optional

Initial Rate The fixing for the first floating period can be defined manually. Any rate is supported. Manually defined first fixing rate is not supported in combination with Interpolation on the first Compounding Method Required if the index tenor is less than the payment period. Flat Flat Flat Flat Flat Flat Flat Flat Flat Flat Compounding is not supported in combination with a variable fixed rate, variable index spread or Daily Compounding Daily Compounding Daily Compounding Daily Compounding Daily Compounding Daily Compounding Daily Compounding Straight Straight Straight Straight Straight Straight Straight Straight Straight Straight variable notional on the same leg. Compounding is not supported in combination with stub periods on the same leg. Floating Index Tenor 1M 1M 1M 1M If compounding is applied, then index tenor should be less than payment period. 1M 1M 1M 1M 1M 1M 1M 1M 1M 1M 1M 3M 3M 3M 3M 3M 1D 1D 1D 3M 3M 1D 1D 3M 3M 3M 1D 3M 3M 3M 1D 3M 3M 6M 6M 6M 6M 6M 6M 6M 6M 6M 6M 6M 6M 6M 6M 6M 1Y 1Y 1Y 1Y Fixing Date Offset n/a Between 0 and -10 0 business days 0 business days 0 business days Between 0 and -10 Between 0 and -10 Between 0 and -10 0 business days Between 0 and -10 0 business days Between 0 and -10 Between 0 and -10 0 business days Between 0 and -10 Between 0 and -10 0 business days Between 0 and -10 Fixing Date Relative to n/a Period Begin Period End Period End Period End Period Begin Period Begin Period Begin Period Begin Period Begin Period End Period Begin Period End Period Begin Period Begin Period Begin Period End Period Begin Period Begin Period Begin Period End Period Begin Period Begin

Different Leg Effective Dates Yes Effective/maturity dates may differ across legs

Fixing Date Calendar n/a GBLO required, other USGS required, other USGS required, other USNY required, other GBLO required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional EUTA required, other calendars optional GBLO required, other calendars optional GBLO required, other calendars optional GBLO required, other calendars optional GBLO required, other JPTO required, other GBLO required, other calendars optional calendars optional calendars optional calendars optional calendars optional calendars optional calendars optional Floating Leg Index Spread Both positive and negative spreads are permitted Any index spread is Any index spread is Any index spread is Any index spread is Any index spread is Simple spread only Simple spread only Simple spread only Any index spread is supported Any index spread is supported Simple spread only Simple spread only Any index spread is supported Simple spread only Any index spread is supported Simple spread only Any index spread is supported supported supported supported supported supported Definition of Simple Spread is in the User Guide tab Stub Specific Stub Type Stub period is not allowed for Zero Coupon Swap and Compounding Swap legs. short first, short last (i) It is allowed to have one stub on one leg and no stub on the other leg. long first, long last (ii) If each leg has a stub, both stubs must be of the same type, e.g. both first or both last. (iii) two stubs on each leg are not allowed. Minimum Period Length Short First / 1 business day n/a Short Last Floating Leg Maximum Period Length 1Y + 1M n/a 7m 1Y + 1M 1Y + 1M 7M 7M 7m 1Y + 1M 7M 1Y + 1M 7M Long First / Long Last Stub Period Index (Interpolation) 1W Length of the stub period should be in between two neighboring index tenors that can be selected 1W 1W 1W 1W 1W 1W 1W 1W 1W 1M for rate interpolation. 1M 1M 1M 1M 1M 1M 1M 1M 1M 2M 2M N/A N/A N/A 2M 3M 3M N/A 3M N/A 2M 2M N/A 2M N/A 2M 3M N.B. where the currency is USD and the termination date is before 01.10.2021: 1W, 1M, 2M, 3M, 6M 3M 3M 6M 6M 6M 3M 3M 3M 3M 6M will be used; where the termination date is on or after 01.10.2021: 1M, 3M, 6M will be used. 6M 6M 1Y 1Y 1Y 6M 6M 6M 6M 1Y Variable Swap Specific The (adjusted) schedule dates for either notional, fixed rate or index spread schedule must match Variable Swap Schedule Dates YYYY-MM-DD the (adjusted) accrual period start dates The notionals can be different for each accrual period and for each leg, but the notional must be greater than zero. It is allowed that the start and end dates of both swap legs are different. Variable Notional  Variable Notional is not applicable in combination with Compounding (with the exception of 1d OIS compounding) or Zero Coupon payments on the same leg.

Variable Index Spread (positive or  Variable Index Spread is not eligible for Zero Coupon payments and payments made on negative) Compounding basis. Break Clauses Break clauses are not eligible and will not be recognized in the course of novation n/a EurexOTC Clear Product List

Supported Product: Forward Rate Agreement (FRA)

Maximum Maturity n/a 31st March 2023 3 years (1,225 days) 30th September 2021 30th September 2021 30th September 2021 3 years (1,225 days) 3 years (1,225 days) 3 years (1,225 days) 3 years (1,225 days)

Minimum Residual Term If the FRA settles in advance or in arrears, the minimum residual term is restricted by 1 business day 1 business day 1 business day 2 business days 1 business day 2 business days 2 business days 2 business days 1 business day the settlement date of the FRA. Forward Starting  The sum of forward starting period and tenor of the swap must not exceed the maximum residual term for the product. Additional Payments T+1 ≤ Fee Date ≤ Termination Date for EUR, USD, GBP, CHF, PLN Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional Arbitrary number of additional T+2 ≤ Fee Date ≤ Termination Date for JPY, SEK, DKK, NOK payments in USD payments in EUR payments in GBP payments in JPY payments in CHF payments in DKK payments in SEK payments in NOK payments in PLN For forward starting trades, additional payments are also allowed before trade start date. Product Specific Start Date Business Day Convention None n/a Following Mod Following Preceding Maturity Date Business Day If the maturity date is adjusted, then Maturity Date Business Day Convention must None Convention have always the same Business Day Convention as the Payment Date Business Day Following convention Mod Following Preceding

Day Count Convention For a definition of the day count conventions please see Clearing Conditions of Eurex 30/360 Clearing AG, Chapter VIII Part 2 Number 2.2.6 30E/360 based on the 2006 ISDA Definitions or the 2000 ISDA Definitions, as specified in the 30E/360.ISDA trade record transmitted via the Approved Trade Source System. ACT/360 ACT/365.FIXED ACT/ACT.ISDA ACT/365.ISDA ACT/ACT.ICMA ACT/ACT.ISMA

Payment Relative to n/a Period Begin Period End

Payment Lag n/a 0 business days

Payment Date Business Day n/a Following Convention Mod Following Preceding

Payment Date Calendar Calendars have to be equal for roll dates (calculation period dates) and payment dates. USNY required, other calendars EUTA required, other calendars GBLO required, other calendars JPTO required, other calendars CHZU required, other calendars DKCO required, other calendars SEST required, other calendars NOOS required, other calendars PLWA required, other calendars optional optional optional optional optional optional optional optional optional

Calculation Period Date Business Day n/a None Convention Following Mod Following Preceding

Calculation Period Date Holiday Calendars have to be equal for roll dates (calculation period dates) and payment dates. USNY required, other calendars EUTA required, other calendars GBLO required, other calendars JPTO required, other calendars CHZU required, other calendars DKCO required, other calendars SEST required, other calendars NOOS required, other calendars PLWA required, other calendars Calendar optional optional optional optional optional optional optional optional optional Fixed Rate n/a Any fixed rate (including negative and zero fixed rate) is supported.

Floating Index Tenor 1M n/a 1M 1M 1M 1M 3M 3M 3M 3M 3M 6M 3M 6M 6M 6M 6M 6M 6M 6M 1Y Fixing Date Offset -settlement in n/a -10 to -1 business days -10 to -1 business days -10 to 0 business days -10 to -2 business days -10 to -1 business days -10 to -2 business days -10 to -2 business days -10 to -2 business days -10 to -1 business days advance Fixing Date Offset -settlement in -10 to 0 business days arrears Fixing Date Relative to n/a Period Start

Break Clauses Break clauses are not eligible and will not be recognized in the course of novation

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Supported Product: Zero Coupon Inflation Swap (ZCIS)

Attribute EUR GBP Restrictions Trade Specific Inflation Leg Reference Rate HICPxT, FRCPIx UK RPI n/a Maximum Maturity 30 years + 10 business days 50 years + 10 business days n/a Minimum Residual Term for ZCIS 1 business day 1 business day n/a Minimum Term 28 calendar days 28 calendar days n/a Forward Starting not allowed not allowed n/a Additional Payments Arbitrary number of additional Arbitrary number of additional T+1 ≤ Fee Date ≤ Termination Date payments in EUR payments in GBP Product Specific Roll Convention Day of Month (1-30) n/a EOM IMM NONE Start Date Business Day Convention None n/a Following Mod Following Maturity Date Business Day n/a None Convention Leg Specific Leg Combination Fixed (interest rate leg)/Float Fixed (interest rate leg)/Float n/a (inflation leg) (inflation leg) Payment Period Fixed Float Fixed Float n/a Zero Coupon Zero Coupon Zero Coupon Zero Coupon Day Count Convention 1/1 n/a Payment Lag 0 business days 0 business days n/a Payment Date Business Day Following n/a Convention Mod Following Preceding Payment Date Calendar EUTA required, other calendars GBLO required, other calendars Calendars have to be equal for roll dates (calculation period optional optional dates) and payment dates. Calculation Period Date Business Day N/A None Convention Calculation Period Date Holiday EUTA required, other calendars GBLO required, other calendars Calendars have to be equal for roll dates (calculation period Calendar optional optional dates) and payment dates. Fixed Rate Fixed rate must be constant, e.g. no fixed rate schedule is Any fixed rate (including negative and zero fixed rate) is supported. allowed. Initial Index Level The initial index level can be defined manually. Initial index level must be >0. Compounding Method Standard annual compounding on Standard annual compounding on n/a fixed leg fixed leg Index Level Interpolation n/a interpolation or start month value interpolation or start month value

Fixing Date Offset 2-12 whole months 2-12 whole months n/a Floating Leg Index Spread not supported n/a Variable Swap Specific Variable Notional Not allowed Not allowed Notional must be constant and identical for both legs. Break Clauses Break clauses are not eligible and will not be recognized in the course of n/a novation

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Supported Product: FX Spot

FX Forwards/Spot EUR/USD GBP/USD Restrictions

Eligible parties Inter-dealer trades only (both parties are Clearing Members = CM) n/a

Eligible currency pairs EUR/USD GBP/USD n/a Base Currency EUR GBP n/a

Notional Amount The amount of specified notional currency (i.e. EUR, GBP or USD) must be at least 0.01 n/a

For EUR/USD: Maturity Value Date must be on a TARGET Settlement Day (EUTA) and New York Banking day (USNY). Always 2 business day from date of Always 2 business day from date of Maturity novation novation For GBP/USD: Maturity Value Date must be on a TARGET Settlement Day (EUTA), London Banking Day (GBLO) and New York Banking Day (USNY).

EUR Outrights: GBP Outrights: Spot FX Rate • 5 decimals for Spot FX Rate (0.00001 • 5 decimals for Spot FX Rate (0.00001 n/a increments) increments)

Past Starting (Backloading) No Variation margin currency USD n/a Intraday – EUR, CHF, USD, GBP Intraday – EUR, CHF, USD, GBP Initial margin currency n/a Overnight – EUR, CHF, GBP Overnight – EUR, CHF, GBP

Supported confirmation/ affirmation platform 360T n/a ("Approved Trade Information Provider")

Calendars the Settlement Date is EUTA / USNY GBLO / USNY / EUTA n/a checked against Break Clauses Break clauses are not eligible and will not be recognized in the course of novation n/a n/a Break Clauses Break clauses are not eligible and will not be recognized in the course of novation

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Supported Product: FX Forward

FX Forwards/Spot EUR/USD GBP/USD Restrictions Eligible parties Inter-dealer trades only (both parties are Clearing Members = CM) n/a Eligible currency pairs EUR/USD GBP/USD n/a Base Currency EUR GBP n/a n/a Notional Amount The amount of specified notional currency (i.e. EUR, GBP or USD) must be at least 0.01

For EUR/USD: Minimum maturity 1 business day from date of novation 1 business day from date of novation Maturity Value Date must be on a TARGET Settlement Day (EUTA) and New York Banking day (USNY).

For GBP/USD: Maturity Value Date must be on a TARGET Settlement Maximum maturity 2 years from date of novation 2 years from date of novation Day (EUTA), London Banking Day (GBLO) and New York Banking Day (USNY).

EUR Outrights: GBP Outrights: n/a Forward FX Rate • 7 decimals for Forward FX Rate • 7 decimals for Forward FX Rate (0.0000001 increments) (0.0000001 increments) Past Starting (Backloading) No Variation margin currency USD n/a n/a Intraday – EUR, CHF, USD, GBP Intraday – EUR, CHF, USD, GBP Initial margin currency Overnight – EUR, CHF, GBP Overnight – EUR, CHF, GBP

Supported confirmation/ affirmation n/a platform 360T ("Approved Trade Information Provider") Calendars the Settlement Date is n/a EUTA / USNY GBLO / USNY / EUTA checked against n/a Break Clauses Break clauses are not eligible and will not be recognized in the course of novation

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Supported Product: FX Swap

FX Swap EUR/USD GBP/USD Restrictions Eligible parties Inter-dealer only (both parties are CM) n/a Eligible currency pairs EUR/USD GBP/USD Base Currency EUR GBP n/a

Notional Amount The amount of specified notional currency (i.e. EUR, GBP or USD) must be at least 0.01 n/a EUR Swap Points: 3 decimals GBP Swap Points: 3 decimals Swap Points • Increments of 0.001 basis points • Increments of 0.001 basis points n/a

For EUR/USD: Between Trade Date +1 and min (Trade Date +15 TARGET Settlement Days, Maturity Value Date -1). Start Value Date must be on a TARGET Settlement Day (EUTA) and New York Banking day (USNY). Forward Starting  

For GBP/USD: Between Trade Date +1 and min (Trade Date +15 TARGET Settlement Days, Maturity Value Date -1). Start Value Date must be on a TARGET Settlement Day (EUTA), London Banking Day (GBLO) and New York Banking Day (USNY). Past Starting (Backloading) No n/a

Minimum Maturity Near Leg 1 business day from date of novation 1 business day from date of novation For EUR/USD: Maturity Value Date must be on a TARGET Settlement Day (EUTA) and New York Banking day (USNY).

For : 2 years minus 1 business day from date of 2 years minus 1 business day from date of GBP/USD Maximum Maturity Near Leg Maturity Value Date must be on a TARGET Settlement novation novation Day (EUTA), London Banking Day (GBLO) and New York Banking Day (USNY). Minimum Maturity Far Leg 2 business day from date of novation 2 business day from date of novation Maximum Maturity Far Leg 2 years from date of novation 2 years from date of novation

Variation Margin Currency USD n/a Intraday – EUR, CHF, USD, GBP Intraday – EUR, CHF, USD, GBP Initial Margin Currency Overnight – EUR, CHF, GBP Overnight – EUR, CHF, GBP n/a Supported confirmation/ affirmation platform 360T ("Approved Trade Information Provider") n/a

Calendars the Settlement Dates are EUTA / USNY GBLO / USNY / EUTA checked against n/a Break Clauses Break clauses are not eligible and will not be recognized in the course of novation n/a

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Supported Product: Cross Currency Swap (XCCY Swap)

XCCY Swaps EUR/USD Restrictions Eligible parties Inter-dealer only (both parties are CM) n/a Eligible currency pairs EUR/USD n/a Notional Type Mark-to-Market (Resettable) n/a Notional Exchange Spot and forward starting XCCYs with or without initial notional exchange. USD Notional fixing is at spot. As such for forward starting deals this Trades must have final notional exchanges and notional reset payments. will be unknown. Notional reset Resets are always on USD leg n/a Notional reset frequency 3M n/a (notional resets are always on coupon dates) Notional reset offset -2 business days n/a Notional reset calendar GBLO n/a FX Rate for notional reset EUR/USD Spot (11am Fixing) n/a Rate type Float vs Float n/a Spread may be on one, either or both legs. Spread amount can be larger than 0, equal to 0 or smaller than Floating rate spreads The spread must be constant, spread schedules are not supported. 0 Floating rate indices EURIBOR 3M / n/a USD LIBOR 3M Floating rate reset frequency 3M n/a Roll Convention options Termination date, n/a last regular period date (if there is an end stub), end of month, IMM Floating rate reset relative to Accrual start date n/a (no arrears setting) Fixing Date Offset -10 to 0 business days n/a Floating rate reset calendar EUTA (EUR EURIBOR) / TARGET for EUR leg; GBLO (USD LIBOR) GBLO for USD leg Calculation period day count conventions ACT/360 (EUR EURIBOR) / n/a ACT/360 (USD LIBOR) Calculation period business day conventions None/ Following / Mod Following / Preceding n/a Calculation period business day calendar Must be identical to Payment calendar n/a Regular payment frequency 3 months n/a Payment Business day conventions Following / Mod Following / Preceding n/a Payment date calendars EUTA and USNY required. n/a Additional calendars optional. Holiday calendars must be identical on both legs. Payment lag 0 End of calculation period = payment date Maximum maturity 50Y + next 2 IMM dates n/a Minimum maturity 3 months n/a Spot Starting Spot lag must be at least 2 business days (in payment holiday  calendar). Forward starting The start date may be up to 10 business days after the date on which  the trade is submitted for clearing. Past Starting (Backloading) No settlement of initial notional exchange and past cashflows via  ECAG. Start date for backloading Trade Date before Today – 10 Business Days n/a (Target Calendar) Minimum backloading term 1 business day n/a Stub type long front, short front front or back but not both OR long back, short back Minimum / maximum stub period length Minimum stub period length = 1 business day n/a Maximum stub period length = 6 months Stub period fixing As for IRS, the stub period fixing can be chosen as: n/a • Pre-defined rate at trade inception (front stub only). • Selected MoneyMarket fixing (the same tenors as for IRS are supported, e.g. 1W, 1M, 3M,…). • Linear interpolation between two MoneyMarket fixings. Compounding / Zero Coupon Not supported n/a Variation Margin currency USD n/a Trade Fees EUR or USD n/a Multiple fee payments allowed Supported Affirmation Platform MarkitWire n/a Backloaded trades initial notional exchange n/a Bilateral settlement Break Clauses Break clauses are not eligible and will not be recognized in the course of novation n/a

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Financial Center Calendar Description ISDA/FPML Code Vienna Vienna Banking Calendar ATVI Brussels Brussels Banking Calendar BEBR Zurich Zurich Swiss CHZU Frankfurt Frankfurt Banking Calendar DEFR Copenhagen Banking Calendar DKCO Madrid Madrid Banking Calendar ESMA TARGET Europe (TARGET) EUTA Helsinki Helsinki Banking Calendar FIHE Paris Paris Banking Calendar FRPA London London Banking Calendar GBLO Athens Athens Banking Calendar GRAT Dublin Dublin Banking Calendar IEDU Milan Milan Banking Calendar ITMI Rome Rome Banking Calendar ITRO Tokyo Tokyo Banking Calendar JPTO Oslo Banking Calendar NOOS Warsaw Banking Calendar PLWA Stockholm Stockholm Banking Calendar SEST New York NY Banking Calendar USNY

Note: Eurex Clearing uses SwapsMonitor as data-source provider for the payment/reset-calendar (report CD299). SwapsMonitor as a data provider specialized on Holiday calendar data is the market standard for IRS. This means that all Eurex Clearing CMs will need to have a license to the SwapsMonitor financial calendar covering the S1 data window ( no alternative available). Eurex Clearing distributes the calendar data to RCs, however a SwapsMonitor license for RCs is not required. The data may only be used to determine coupon dates for the EurexOTC IRS Clear cleared trades and to recalculate margin requirements.

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