EUREX REPO TRADING WORK SMART.

Transcription

1 EUREX REPO TRADING WORK SMART.

2 Content 03 Rely on success 03 Eurex Repo Markets 04 Impressive growth GC Pooling Market 05 Advantages at a glance 06 Participation 06 Market concept 07 GC Pooling ECB Basket 07 GC Pooling ECB EXTended Basket 07 GC Pooling Equity Basket Euro Repo Market 08 Advantages at a glance 09 Participation 09 Market concept 09 GC baskets 10 Special Repo OTC Spot Market 14 Advantages at a glance 14 Participation 15 Market concept SecLend Market 16 Advantages at a glance 16 Participation 16 Market concept 17 Baskets 17 COSI Collateral Secured Instruments Reference rates for the Secured Money Market 18 Reference rate of the GC Pooling Market 19 Reference rates of the Swiss franc Market Swiss Franc Repo Market 11 Advantages at a glance 11 Participation 12 Market concept 12 GC baskets

3 Rely on success Eurex Repo, a member of Eurex Group, ranks among the leading markets for electronic repo trading and operates five markets in secured funding and financing: The GC Pooling, Euro Repo, Swiss Franc Repo, OTC Spot and SecLend Market. More than 315 participants from ten countries are currently admitted to trading on Eurex Repo s markets. Eurex Repo Markets GC Pooling Market This market enables EUR and USD cash liquidity trading collateralized with baskets of ECB eligible securities or the top 50 selection 1 of the HDAX. Euro Repo Market The huge variety of different General Collateral (GC) baskets und the possibility to trade single bonds as Specials amends the GC Pooling Market. Swiss Franc Repo Market This market provides mainly CHF as well as multi-currency cash liquidity trading in EUR, USD and GBP collateralized with different baskets of the Swiss National Bank (SNB) or the European Central Bank (ECB) eligible securities and equities. OTC Spot Market This market offers efficient auctioning and trading of SNB Bills, denominated in CHF and USD, and money market debt register claims. In addition, it also provides auctioning of Swiss government bonds. SecLend Market This market provides efficient trading of securities lending and borrowing as well as collateralization of loans with debt securities, equities or ETFs. Furthermore, cash collateral in USD, EUR, GBP, CHF and JPY can be used to secure a loan. 1 Only for euro cash funding 3

4 Impressive growth Amongst the major electronic markets in Europe, Eurex Repo showed an impressive growth rate of almost 40 percent in With more than EUR 320 billion average outstanding volume in March 2011 Eurex Repo proves to be a highly liquid and reliable trading venue. Especially under turbulent market conditions, customers value the opportunity to gain liquidity in and out of the market in an efficient way. Furthermore, the direct access to central bank liquidity of the Swiss National Bank (SNB) within the Swiss Franc Repo Market or of the European Central Bank (ECB)/ Bundesbank within the GC Pooling Market provides the requested flexibility and safety. GC Pooling, GC & Specials: outstanding volume (20-day moving average/single counted) in EUR billions GC Pooling GC Special Swiss Franc Repo, OTC Spot Market and SecLend Market: outstanding volume (20-day moving average/single counted) in CHF billions Repo SNB CHF auctions Repo Interbank in CHF Repo SNB USD auctions OTC Spot SNB bills CHF OTC Spot SNB bills USD Repo Interbank and SecLend in EUR, USD, GBP 4

5 GC Pooling Market The European secured money market continues to expand rapidly. Especially since summer 2007, anonymous trading via a central counterparty (CCP) has become increasingly important. Market participants are in the need to limit credit exposures, market risks and the constraints resulting from capital adequacy requirement. Launched in March 2005, the GC Pooling Market is designed to support this growth through electronic trading with highly efficient post-trading processes and a real-time collateral management system. GC Pooling participants can trade various standardized baskets of fixed income securities and equities tradable in EUR and USD. Maturities are available starting from same day up to one year. The various collateral baskets can be selected by pre-defined terms per currency. Advantages at a glance Multicurrency funding in EUR and USD Fixed income securities and equities as basket collateral Flexible trading terms Full synchronization with the monetary operation processes of the European Central Bank/Bundesbank Re-use of collateral for open market operations 2 Reduced capital costs and market risks through the use of a central counterparty Netting on settlement day Balance sheet netting Automatic allocation of collateral Real-time substitution of collateral Minimized operational burden through easy basket trading and STP post trade processes 2 Offered with the GC Pooling ECB Basket 5

6 Participation All interested financial institutions, which fulfill the following requirements, can participate: Status of a credit institution or investment firm according to the Markets in Financial Instruments Directive 2004/39/EG (MIFID) Subject to a financial market supervisory authority Participation in the Eurex Clearing repo process Market concept It is easy to trade extremely large tickets even billions within seconds. Deals can be processed automatically without any issues over credit or security allocation. Eurex Repo Trading Eurex Clearing Clearing (CCP) Get more information Eurex Repo GmbH Frankfurt Office Gabriele Ristau T Ingo Deisenroth T GC Pooling participant Clearstream CmaX/Xemac Luxembourg/ Frankfurt Central Bank Collateral management/ Settlement custody Esen Eraslan T London Office Dale Fullilove T Bethany Harlock T Paris Office Alexandra Morelle T sales@eurexrepo.com As soon as a GC Pooling trade has been concluded on Eurex Repo, Eurex Clearing steps in as a central counterparty. The clearing house ensures anonymous trading and offers an efficient centralized risk management margining process across all products with a continuous mark-to-market revaluation, and centralized delivery management with netting on settlement day. The high settlement efficiency of 99.8 percent corresponds with the collateral received. The collateral management system of Clearstream Banking delivers fully-automated allocation out of the combined securities pool thus collateralizing the traded cash amount. This process allows re-use and substitution of the collateral received. Customers can use their account relationship with either Clearstream Banking Luxembourg or Clearstream Banking Frankfurt. While Clearstream Banking offers settlement in central or in commercial bank money for GC Pooling baskets traded in EUR, baskets tradable in USD are settled in commercial bank money only. 6

7 GC Pooling ECB Basket Cash currencies EUR, USD Rating Minimum A- Basket standards Based on the Eligible Assets Database (EAD), the GC Pooling ECB basket covers approximately 8,000 ECB eligible securities. This basket enables the re-use of received collateral for refinancing within the framework of ECB/Bundesbank open market operations and the GC Pooling Market. Basket collateral Around 3,000 instruments of Central banks Central governments Regional/local governments Supranationals Around 5,000 traditional and Jumbo- Pfandbriefe-style instruments of Credit institutions Agency credit institutions Collateral currencies EUR Countries Austria, Belgium, France, Germany, Italy, Luxembourg, the Netherlands, Slovenia and Eurobonds Standard terms OverNight (ON),TomNext (TN), SpotNext (SN), SpotTerm, Tender, FlexTerm The OverNight term is currently not available for USD GC Pooling. ISIN DE000A0AE077 Trading hours 07:30 18:00 CET Cut-off time overnight: 16:00 CET GC Pooling ECB EXTended Basket Cash currencies EUR Rating Minimum BBB- Basket standards Based on the Eligible Assets Database (EAD) the GC Pooling ECB EXTended basket covers around 23,000 ECB eligible securities. This basket enables the re-use within the same basket. Basket collateral Around 3,000 instruments of Central banks Central governments Regional/local governments Supranationals Around 5,000 traditional and Jumbo- Pfandbriefe-style instruments of Credit institutions Agency credit institutions Around 15,000 instruments of Credit institutions Agency credit institutions Agency non-credit institutions Corporate and other issuers Collateral currencies EUR Countries Austria, Belgium, Cyprus, Finland, France, Germany, Ireland, Italy, Luxembourg, Malta, the Netherlands, Portugal, Slovenia, Spain and Eurobonds Standard terms OverNight (ON), TomNext (TN), SpotNext (SN), SpotTerm, Tender, FlexTerm ISIN DE000A0WKKX2 Trading hours 07:30 18:00 CET Cut-off time overnight: 16:00 CET GC Pooling Equity Basket Cash currencies EUR Rating Not applicable Basket standards The composition of the basket and the permitted number of shares per ISIN is updated every month depending on the monthly average trading volume at Xetra. In case of an insufficient number of equities, bonds eligible for the GC Pooling ECB basket can be used for collateralization as well. This basket enables the re-use within the same basket. Basket collateral Based on the HDAX, the basket covers 50 equities with the highest Xetra turnover. Collateral currencies EUR Countries Germany Standard terms OverNight (ON), TomNext (TN), SpotNext (SN), SpotTerm, Tender, FlexTerm ISIN DE000A1EZNP6 Trading hours 07:30 18:00 CET Cut-off time overnight: 15:00 CET The composition of the respective basket can be retrieved at > GC Pooling > Baskets. 7

8 Euro Repo Market Established in July 2001, the Euro Repo Market has developed tremendously and is now a highly liquid market for European securities. In June 2011 almost 90 international members benefit from anonymous trading through a central counterparty with low risk. In the General Collateral (GC) Repo segment, collateral can be turned into cash swiftly and directly, while the Special Repo segment offers a market for single securities financing. The manual allocation of single securities after the conclusion of a basket trade enables a selective collateralization directly via the trading screen. Euro Repo Market participants can actively trade repos with a wide range of around 3,000 fixed income securities divided into twelve different baskets to benefit from tailor-made financing. The market offers securities such as: European government bonds Jumbo-Pfandbriefe and Pfandbriefe KfW/Laender bonds (including SoFFin securities) European covered bonds Agency bonds (EIB, CADES, government guaranteed bonds from AT, BE, DE (XS-ISIN), ES, FI, IE, LU, NL, PT and UK) European corporate bonds Banks provide binding quotes for maturities ranging from overnight up to one year. In addition open, variable and open variable terms offer maximum flexibility. Advantages at a glance Anonymous and liquid market Flexible trading terms Fast execution through standardized baskets Reduced capital cost and market risks through the use of central counterparty Netting on settlement day Balance sheet netting Minimized operational burden through easy basket trading and STP post trade processes 8

9 Participation All interested financial institutions, which fulfill the following requirements, can participate: Status of a credit institution or investment firm according to the Markets in Financial Instruments Directive 2004/39/EG (MIFID) Subject to a financial market supervisory authority Participation in the Eurex Clearing repo process Market concept The Euro Repo Market ensures straight-through processing with automated connectivity to the settlement organizations Clearstream Banking and Euroclear. Eurex Repo Trading Euro Repo participant Eurex Clearing Clearing (CCP) Clearstream Luxembourg/ Frankfurt Euroclear Collateral management/ Settlement custody GC baskets German GC Basket Debt securities of the Federal Republic of Germany. German 10 Year GC Basket Debt securities of the Federal Republic of Germany with a remaining maturity up to 10 years. German Corporate Bond GC Basket Covered and uncovered securities of German companies with a minimum issue volume of EUR 100 million and a minimum rating of A- and A3. German Jumbo-Pfandbrief GC Basket Jumbo-Pfandbriefe, issued by a German institution, as well as Asset Covered Securities (ACS) issued by mortgage banks and credit institutions, with a minimum issue volume of EUR 1 billion and a minimum rating of AA and Aa2. German Pfandbrief GC Basket Pfandbriefe, issued by a German institution, by mortgage banks or credit institutions, with an issued size over EUR 100 million and below EUR 1 billion and a minimum credit rating requirement of single A and A2. 9

10 German KfW/Laender Bond GC Basket Bonds issued by KfW and by the German federal states with a minimum issue volume of EUR 500 million and all SoFFin bonds. EIB/KfW Bond GC Basket Bonds issued by KfW, European Investment Bank (EIB) and the European Financial Stability Facility/European Financial Stabilisation Mechanism. Agency Bond GC Basket Bonds issued by EIB and Caisse d Amortissement de la Dette Sociale (CADES) as well as Government guaranteed bonds from AT, BE, DE (XS-ISIN), ES, FI, IE, LU, NL, PT and UK (except SoFFin bonds) with a minimum issue volume of EUR 500 million and rating of AA and Aa2. European Corporate Bond GC Basket Covered and uncovered securities of European companies with a minimum issue volume of EUR 100 million and a minimum rating of A- and A3. European Government Bond GC Basket Government bonds of the following countries: AT, BE, ES, FI, FR, IE, LU, NL, PT and the European Community (EU-ISIN) with a minimum issue volume of EUR 100 million. Get more information Eurex Repo GmbH Frankfurt Office Gabriele Ristau T Ingo Deisenroth T Esen Eraslan T London Office Dale Fullilove T Bethany Harlock T Paris Office Alexandra Morelle T sales@eurexrepo.com European Covered Bond GC Basket Cédulas Hipotecarias or Territoriales, Obligatión Foncière, Lettre de Gage and covered bonds from AT, FI, IE, NL, PT, UK with a minimum issue volume of EUR 500 million and a rating of AA or Aa2. French Covered Bond GC Basket Obligation Foncières with a minimum issue volume of EUR 500 million and a minimum rating of AA and Aa2. The composition of all baskets can be retrieved on > Euro Market > Baskets. Special Repo All bonds of the GC baskets can also be traded special. Standard terms OverNight (ON), TomNext (TN), TomOpen, SpotNext (SN), SpotOpen, CorporateNext (CN), T1W, C1W, 1W, 2W, 3W, 1M, 2M, 3M, 6M, 9M, 12M, MAR, JUN, SEP, DEC, Spot VAR 1 WE, Spot VAR 1M, VAR Flex, VAR OPEN, Non Standard Trading hours 07:30 18:00 CET Cut-off time for overnight: 15:30 CET Internal 3, 10:30 CET External 4 Contract Size Minimum EUR 1 million for GC Repo Minimum EUR 500,000 for Special Repo 3 Internal: Settlement either within Clearstream Banking or Euroclear 4 External: Settlement between Clearstream Banking and Euroclear 10

11 Swiss Franc Repo Market Currently more than 170 Swiss and foreign financial institutions are admitted for trading at the established and efficient Swiss Franc Repo Market. They carry out their funding and collateral management operations directly on the interbank market as well as at the daily auctions of the Swiss National Bank (SNB), thereby also facilitating their intraday liquidity management in CHF. The SNB now relies almost exclusively on repo auctions via the Eurex Repo marketplace to conduct its open market operations. It accepts a wide range of high quality fixed income securities (for example government bonds from Switzerland, Germany and other European countries as well as German Jumbo-Pfandbriefe). Our market participants organize their liquidity management in CHF via the unique intraday contracts as well as the usual bond and equity term contracts. In addition, liquidity in EUR, USD and GBP can be managed from intraday up to 12 months with General Collateral baskets on the same market. Advantages at a glance Unique access to interbank and central bank repo liquidity via the same marketplace Exclusive access to take part in central bank auctions to manage the intraday liquidity efficiently in CHF Multi-currency (EUR, GBP, USD) and multi-market capability in one market Participation All interested financial institutions, which fulfill the following requirements, can participate: Status of a credit institution or investment firm (e.g. banks, financial service providers, insurers or fund managers) Subject to a financial market supervisory authority Participation in the Eurex-recognized clearing and settlement organizations 11

12 Market concept The Swiss financial center is synonymous with safety, stability, reliability and is at the leading edge of technology with fully integrated three stages of a securities transaction. Trading (Eurex Zürich AG), settlement and safekeeping (SIX SIS AG) and payments (SIX Interbank Clearing AG) are transacted online on a real-time basis. 5 Eurex Repo Trading SIX SIS AG Clearing and settlement/ collateral management Swiss Franc Repo participant SIX Interbank Clearing AG Cash clearing Swiss National Bank GC baskets Fixed income baskets SNB GC Basket Defined by Swiss National Bank, is equivalent to the sum of all the other sub-baskets: CHF GC Basket Bonds issued in Switzerland with a minimum rating of A/A2 and a minimum issue size of CHF 100 million. GOV GC Basket Government bond issues with a minimum rating of AA-/Aa3 and a minimum issue size of CHF 1 billion of the following countries: Austria, Belgium, Denmark, Finland, France, Germany, the Netherlands, Norway, Spain, Sweden, Switzerland and United Kingdom. International GC Basket Covered bonds, international organizations, agencies and country issues with a minimum rating of AA-/Aa3 and a minimum issue size of CHF 1 billion. For more detailed information, please visit the SNB webpage at EEA FI GC Basket Defined by Eurex Repo. ECB (European Central Bank) eligible securities with a minimum rating of A-/A3 and a minimum issue size of EUR 200 million. 5 SIX SIS AG is a legal entity of SIX Securities Services. 12

13 Equity baskets SMI GC Equity Basket All 20 SMI components DAX GC Equity Basket All 30 DAX components Trading hours 07:00 18:00 CET (supported 07:15 18:00 CET) Cut-off times Currency Intraday Overnight Time zone CHF 14:45 15:55 CET EUR 15:55 15:55 CET USD Not available 17:55 CET GBP Not available 15:30 CET Terms fixed income baskets IN (Intraday), TIN (TomIntraday), OverNight (ON), TomNext (TN), SpotNext (SN), 1W (1Week), 2W (2Weeks), 3W (3Weeks), 1M (1Month), 2M (2Months), 3M (3Months), 6M (6Months), 9M (9Months), 12M (12Months), Non Standard, Special Terms equity baskets OverNight (ON), TomNext (TN), SpotNext (SN), 1W, 2W, 3W, 1M, 2M, 3M, 6M, Non Standard, Special Contract size Minimum CHF 1 million for GC Repo Minimum CHF 10,000 for Special Repo Get more information Eurex Zürich AG Eurex Repo Daniel Hartmann T Frank Gast T Michael Bührer T eurexrepo@eurexrepo.com 13

14 OTC Spot Market 1 Auctioneer (SNB/banks) Participants (banks) 2 Participant (bank A) Participant (bank B) Sale Confirmation Confirmation Purchase Settlement report SIX SIS Status report Credit Payment instructions Eurex Repo Status report SIX Interbank Clearing The introduction of the OTC Spot Market represents a further milestone in a fully electronic marketplace. Auctions of new issues and increases of existing issues 6 as well as Status efficient report trading of SNB Bills, denominated in CHF and USD, and money market debt register claims can be executed in the same market. Payment confirmation Debit 1 Primary/auction segment 2 OTC trading segment The marketplace supports trading for auctions as well as OTC trading with a direct link to cash clearing and settlement. This service is offered in conjunction with SIX SIS AG (custodian) and SIX Interbank Clearing AG (cash clearing) as a fully automated value chain. Uniquely, auctions of new issues and increases are carried out by the issuers themselves. Allocations are in accordance with Dutch or American allocation rules. In order to satisfy trading strategies, pre-trading activities may also be conducted anonymously. SNB Bills and money market debt register claims can easily be traded OTC via the same well established value chain. Advantages at a glance Combination of bilateral trading and access to the auctions of the SNB Direct, fully automated access using the same infrastructure as the Swiss Franc Repo Market No buyer transaction fees are charged for new issues or increases of existing issues offered through the auction process Participation All interested financial institutions, which fulfill the following requirements, can participate: Status of a credit institution or investment firm (e.g. banks, financial service providers, insurers or fund managers) Subject to a financial market supervisory authority Participation in the Eurex-recognized clearing and settlement organizations 6 Money market debt register claims of the Swiss Confederation and federal bond issues 14

15 Market concept The market concept ensures straight-through-processing. Fully integrated trading, settlement and safekeeping (SIX SIS AG) and payments (SIX Interbank Clearing AG) will be made online on a realtime basis. Eurex Repo Trading Auctioneer SIX SIS AG Participant Clearing and settlement/ collateral management 1 SIX Interbank 2 Clearing AG Cash clearing 1 Primary/auction segment 2 OTC trading segment Trading hours 07:00 18:00 CET (supported 07:15 18:00 CET) Standard settlement cycle days Bonds SNB Bills, denominated in CHF and USD Money market debt register claims T+3 T+2 T+2 Get more information Eurex Zürich AG Eurex Repo Daniel Hartmann T Frank Gast T Michael Bührer T eurexrepo@eurexrepo.com 15

16 SecLend Market SecLend Market is a unique securities lending & borrowing (SLB) market with straight-through processing (STP) from trading to settlement. Traders can monitor and manage the loan in real-time at all times without any manual intervention need. The market is based on the proven trading technology of Eurex Repo, which is firmly established in the international collateralized money market. The high degree of availability and the volume capacity of the system ensure efficient securities lending & borrowing in all market situations. Advantages at a glance Discretionary market visibility, increased trading speed, reduced operational and systemic risk, reduced reconciliation effort, corporate action service included More time for market screening and focussing on high margin business Loan and collateral is linked throughout lifetime of a loan (Basle II). Access to all other Eurex Repo securities funding and financing markets within the same infrastructure Participation All interested financial institutions, which fulfill the following requirements, can participate: Status of a credit institution or investment firm Subject to a financial market supervisory authority Participation in the Eurex-recognized clearing and settlement organizations Market concept SecLend Market Trading SecLend participant SIX SIS AG Clearing and settlement/ collateral management Custody network 16

17 Baskets Securities from the most major markets and segments can be executed for a fixed or open term in accordance with international money market standards. Individual terms of up to twelve months as well as forward/forward are possible. Specific securities or a wide range of standardized baskets (U.S. government, German government, G7 government, FTSE equity, S&P500 equity, Hang Seng equity, and much more) are available for lending purposes or for use as collateral. Countries G7 and the major industrialized countries Emerging economies (South America, Eastern Europe, Asia, China, Russia, etc.) Equities Equities included in the world s major indexes (FTSE, DAX, STOXX, S&P500, Nikkei225, etc.) Customary ETFs (exchange traded funds) as well as other equities Government bonds Bonds of the key industrialized nations Corporate debt instruments Corporate bonds included in the major indexes Various special bonds (supranationals, Pfandbrief bonds, international bonds, etc.) Collateralization of the lending transaction takes the form of either the securities listed in the table above or in the form of cash in USD, EUR, GBP, CHF or JPY. Arrangement is via a cash correspondent. COSI Collateral Secured Instruments The SecLend Market offers a collateralization service with end-to-end processing for collateral secured instruments (COSI ) primary listed on Scoach Switzerland or secondary listed on Scoach Germany. The investor who purchases a certificate assumes a default risk that varies according to the creditworthiness of the issuer. The insolvency of the issuer could result in a total loss for the investor. In order to minimize this risk, SecLend Market offers a service for the collateralization of certificates in collaboration with SIX Swiss Exchange and SIX SIS AG. The innovative COSI service received international recognition as a winner of the Swiss Derivative Awards 2010 and has also been awarded by the Futures and Options World (FOW) in 2010 as the most innovative product of an exchange in Western Europe. Fully integrated value chain The collateralization service is build upon the tried-and-trusted securities lending infrastructure of Eurex Repo (collateralization and SecLend Market) and SIX SIS AG. Straight-through processing (STP) from trading to settlement where traders can monitor the collateralization of positions is offered in real-time at all times, with no manual intervention required. Get more information More information can be found on our website at Trading hours 07:30 18:00 CET Eurex Zürich AG SecLend Market Frank Gast T Settlement cycle days Standard Non-standard T+2 T+ 0 or T+1 Michael Bührer T eurexrepo@eurexrepo.com 17

18 Reference rates for the Secured Money Market Based on the transactions of Eurex Repo several indexes are calculated to serve the Secured Money Market. The transparency of the electronic trading system and the number of connected participants enables the calculation of reference rates which reflect real market developments. Reference rate of the GC Pooling Market Deutsche Börse AG Market Data & Analytics have developed the GC Pooling EUR Overnight Index (GCPI) in cooperation with Eurex Repo. Get more information Eurex Repo GmbH Frankfurt Office Gabriele Ristau T Ingo Deisenroth T Esen Eraslan T The GCPI is the measure of the overnight interest rates in the secured money market denominated in euro. It represents a volume-weighted average of all interest rates from overnight transactions in GC Pooling baskets concluded on the effective day. It is reported on an act/360 day count convention and it is published to three decimal places (financial rounding). In 2009 Deutsche Börse AG Market Data & Analytics started to calculate the GCPI once a day at 18:00 CET for the current business day. The data go back to It is distributed to the main data vendors (e.g. Bloomberg: GCPION (rates), GCPIONV (volume); Reuters: GCPION (rates), GCPIONV (volume)). In addition the GCPI is published on the Deutsche Börse website. London Office Dale Fullilove T It is planned to develop further reference rates based on the transactions of GC Pooling. Bethany Harlock T Paris Office Alexandra Morelle T sales@eurexrepo.com 18

19 Comparison: GCPI EONIA Jan 09 Apr 09 Jul 09 Oct 09 Jan 10 Apr 10 Jul 10 Oct 10 GCPI volume (traded volume in EUR millions) GC Pooling EUR Overnight Index (GCPI) rate spread in b.p. Reference rates of the Swiss franc Market SIX Swiss Exchange has developed 32 benchmark Swiss franc rates (Swiss Average Rate and Swiss Current Rates) in cooperation with the Swiss National Bank (SNB). These Swiss franc rates cover a term spectrum from OverNight (ON) to 12 months (12M) plus two indexes for the ON term. The relevant calculations for the reference rates are based on Secured Money Market transactions as well as on indicative quotes of the Swiss franc repo interbank market provided by Eurex Repo. Going forward, the point of departure for the Swiss franc yield curve is based on the Swiss Average Rate Overnight (SARON ). Terms Overnight ON Tom/Next TN Spot/Next SN 1 Week 1W 2 Weeks 2W 3 Weeks 3W 1 Month 1M 2 Months 2M 3 Months 3M 6 Months 6M 9 Months 9M 12 Months 12M IMM March Contract IMM June Contract IMM September Contract IMM December Contract Average rates SARON SARTN SARSN SAR1W SAR2W SAR3W SAR1M SAR2M SAR3M SAR6M SAR9M SAR12M SARMAR SARJUN SARSEP SARDEC Swiss reference rates Current Average rates indexes SCRON SCRTN SCRSN SCR1W SCR2W SCR3W SCR1M SCR2M SCR3M SCR6M SCR9M SCR12M SCRMAR SCRJUN SCRSEP SCRDEC SAION Average indexes SCION 19

20 Swiss Average Rate (SAR) The average rate is a continually calculated, real-time, volume-weighted reading based and published every ten minutes. In addition, a fixing is conducted three times a day at 12:00 CET, 16:00 CET and at the close of the trading day (18:00 CET at the earliest). Swiss Current Rate (SCR) The current rate is based on the price of a transaction or specific quotes (not volumeweighted). The calculation of the current rate is made every three minutes. Swiss Average Index (SAION )/Swiss Current Index (SCION ) The indexes are calculated and published once a day at the end of the trading day. They are based on the daily yields as indicated in SARON and SCRON, respectively, and take into account interest payments received on overnight transactions. SIX Swiss Exchange calculates and publishes the reference rates. The first publication takes place at 8:30 CET and the last at the end of trading day (18:00 CET at the earliest). Comparison: TOIS fixing versus SARON 12:00 CET fixing Get more information Values in percent SARON 12:00 CET fixing TOIS fixing Eurex Zürich AG Eurex Repo Daniel Hartmann T Frank Gast T Michael Bührer T eurexrepo@eurexrepo.com 20