Qualified Clearing Staff

Qualified Clearing Staff Market Module Eurex Clearing AG

Eurex 2015 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 are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50 Index Futures, EURO STOXX Select Dividend 30 Index Futures, EURO STOXX Index Futures, EURO STOXX Large/Mid/Small Index Futures, STOXX Europe 50 Index Futures, STOXX Europe 600 Index Futures, STOXX Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX Europe Large/Mid/Small 200 Index Futures, Dow Jones Global Titans 50 Index SM Futures (EUR & USD), DAX /MDAX /TecDAX Futures, SMIM Futures, SLI Swiss Leader Index Futures as well as Eurex inflation/commodity/weather/property and interest rate derivatives). Trademarks and Service Marks Buxl, DAX, DivDAX, eb.rexx, Eurex, Eurex Bonds, Eurex Repo, Eurex Strategy Wizard SM, 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. RDX is a registered trademark of Vienna Stock Exchange AG. 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 Index SM and Dow Jones Sector Titans Indexes SM are service marks of Dow Jones & Company, Inc. Dow Jones-UBS Commodity Index SM 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. Any violation of the above would constitute an offence under the laws of India and international treaties governing the same. The names of other companies and third party products may be trademarks or service marks of their respective owners.

Table of Contents Page 3 of 55 Table of Contents Table of Contents 3 Amendments to 5 Abbreviations and Glossary of Terms 6 1 Introduction 10 1.1 Structure of the test, question types and evaluation 10 1.2 Contact/Registration 11 2 Introduction to Transactions 12 2.1 Loan Instruments and Flow Providers 14 2.2 Participation and Responsibilities 15 2.3 Trade Capture and Novation 17 2.4 Loan Transaction Types 18 2.4.1 Loan versus Cash Principal Collateral, Loan versus Cash Pool 19 2.4.2 (Financing) Loan versus Non-cash Principal Collateral 19 2.5 Sample Questions 21 3 Clearing Conditions 22 3.1 General Provisions 22 3.2 Clearing License 22 3.2.1 Granting of the Clearing License 22 3.2.2 Prerequisites of Clearing Licenses 23 3.2.3 Prerequisites for granting a Specific Lender License 23 3.3 Conclusion of Transactions 24 3.3.1 Novation 24 3.3.2 Novation Principles and Criteria, Cancellations 25 3.4 Margin Requirement 25 3.5 Sample Questions 26 4 Loan Lifecycle Management 27 4.1 Loan Opening 30 4.1.1 Collection and Distribution Phase 30 4.1.2 Exceptional Processing 30 4.2 Back-loading of Loans 31 4.3 Loan Cancellation 31 4.4 Allocation View versus Street View 32 4.5 Loan Management 32 4.6 Return of an Open-Term Loan 33 4.6.1 Standard Return Processing 33 4.6.2 Exceptional Return Processing 34

Table of Contents Page 4 of 55 4.6.2.1 Late Delivery of Loan Securities during Return Processing 34 4.6.2.2 Late Delivery of Cash Principal Collateral during Return Processing 34 4.6.2.3 Late Delivery of Non-cash Principal Collateral during Return Processing 34 4.6.2.4 Forced return of loans at fixed income loan security maturity 35 4.7 Return of a Fixed-Term Loan 35 4.7.1 Standard Return Processing 36 4.7.1.1 Collection and Distribution Phase 36 4.7.2 Exceptional Return Processing 36 4.8 Recall of a Loan 37 4.8.1 Standard Recall Processing 38 4.8.2 Exceptional Recall Processing 39 4.9 Buy-in Processing 39 4.9.1 Forced Returns 39 4.9.2 Buy-in Auction 40 4.10 Re-rate of a Loan 40 4.11 Return Do Not Instruct Request 40 4.12 Lending Fees and Rebates 41 4.13 Reports 43 4.14 Sample Questions 44 5 Delivery Management 46 5.1 Home Market Settlement for Equity Loan Securities 46 5.2 International Market Settlement for Fixed Income Loan Securities 46 5.3 Bridge Settlement for Fixed Income Loan Securities 46 5.4 Corporate Action Handling on loan securities 47 5.4.1 Business Context in the CCP model 47 5.5 Sample Questions 49 6 Risk Management 50 6.1 Principal Exposure and Principal Collateral 50 6.1.1 Mark-to-Market Calculation 50 6.1.2 Handling of Cash Principal Collateral 51 6.1.3 Handling of Non-cash Principal Collateral 51 6.2 Additional Exposure and Margin Collateral 52 6.2.1 Impact of the End-of-Day Mark-to-Market Process 53 6.3 Sample Questions 54

Amendments to Page 5 of 55 Amendments to Date New Version Chapter Changes 2.0 2, 3 and 4 5 and 6 Financing loans (EUR, USD) added revised

Abbreviations and Glossary of Terms Page 6 of 55 Abbreviations and Glossary of Terms Term Agent Lender (AL) Allocation View Back-loaded loans Beneficial Owner Borrower Broker Dealer BYI CBF CBF(I) CBL CCP CET CHF CM Borrower CM Lender CNC Collateral Contractual settlement date CSD DvP EB Description Service Provider.The Agent Lender (AL) acts as agent in the loan transaction for Beneficial Owners using a Specific Lender License or for Beneficial Owners with a full Clearing Membership. In case an agent lender acts as account operator for multiple Beneficial Owners each using a dedicated Specific Lender License, individual loan transactions are required from the Agent Lender. This view is called allocation view. An existing portfolio of loan transactions can be back-loaded into the CCP system, i.e. handed over to Eurex Clearing for further processing after settlement of the front leg has already taken place outside Eurex Clearing Lender of loan assets using a Specific Lender License or a full Clearing Membership. The Beneficial Owner is the economic owner of the loan securities, and as such, entitled to the proceeds of the Corporate Action. Market participant in a securities lending transaction who borrows securities for some time from a lender, covering its value with Principal Collateral, and returning the securities at the end of the transaction Usually a Borrower acting on behalf of a hedge fund Buy-in request Clearstream Banking Frankfurt, a CSD Clearstream Banking International, an (I)CSD Clearstream Banking Luxembourg, ICSD and TPCA Central Counterparty Central European Time Currency Swiss Franc Clearing Member acting as Borrower Clearing Member acting as Lender Cancel request Principal Collateral and Margin Collateral Settlement date initially agreed by the Borrower and Lender Central Securities Depository Delivery versus Payment Euroclear Bank, an ICSD and TPCA

Abbreviations and Glossary of Terms Page 7 of 55 Term EoD EoM EONIA EUR Eurex Repo- SecLend Market ESES ETF EURIBOR Financing loan Fixed-Term loan FoP Front leg FX HMRC ICSD ISIN Lender Loan assets Margin Collateral Margin Markup MtM Novation Description End of day: In the context of reporting also referring to a group of reports created at the end of the day End of month Euro Over Night Index Average, a benchmark used for rebate calculation Currency Euro A securities lending trading market, also acting as TPFP Euroclear Settlement for Euronext-zone Securities Exchange Traded Fund Euro Interbank Offered Rate, a benchmark used for rebate calculation Specific type of loan where the Lender provides cash (in EUR or USD) to the Borrower versus non-cash Principal Collateral which will always be pledged to the Lender. Financing loan can be of type Fixed-Term only. Loan with a defined contractual settlement date of the term leg (delivery) Free of Payment Exchange of loan assets against Principal Collateral at loan opening. Foreign currency exchange Her Majesty's Revenue and Customs (HMRC), a non-ministerial department of the UK Government responsible for the collection of taxes International Central Securities Depository International Securities Identification Number Market participant in a securities lending transaction who lends securities for some time to a borrower, receiving Principal Collateral as coverage, receiving the lent securities back at the end of the transaction Loaned Securities or Loaned Cash in Transactions, together referred to as the Loaned Assets Deposit covering the margin requirement of Eurex Clearing Markup used to calculate the amount which serves as the basis for lending fee calculation (Fee Margin) Mark-to-Market, calculation of updating the collateral value to current market value for risk management Process during loan opening when Eurex Clearing legally steps in as counterparty between Lender and Borrower

Abbreviations and Glossary of Terms Page 8 of 55 Term Open Securities Lending Transaction Open-Term loan OTC Pending Securities Lending Transaction Pirum PoA Principal Collateral REC RET RNI RRT RTS S SDS Settlement Date Front Leg Settlement Date Term Leg SIX SIS SLL Street View SWIFT T Term leg Description Transaction after successful settlement of the front leg (opening) and before its closure (return) Contrary to a Fixed-Term loan, an Open-Term loan has no specified settlement date for the term leg Over-the-Counter Transaction received by Eurex Clearing and waiting (pending) for settlement of the front leg Pirum Systems Limited; Reconciliation platform for lending transactions. See also TPFP Power of Attorney Deposit covering the market value of the loan securities Recall request Return request Return Do Not Instruct Request Re-rate request Real Time Settlement Settlement Date Same Day Settlement The date, when the loan is opened The date, when the loan is terminated (and returned) The national Central Securities Depository (CSD) of the Swiss financial market and also an International Central Securities Depository (ICSD), Specific Lending License: Specific Clearing Membership for the SecLending market. SLL holder is allowed to clear his own lending transactions only (CM limited to lending transactions). During bilateral negotiation Agent Lender and Broker Dealer agree on one loan comprising the total quantity. This view is called street view. Society for Worldwide Interbank Financial Telecommunication Trading (date), used in schedule calculations to refer to the trading date of the loan Exchange back of loan assets against Principal Collateral at loan closing.

Abbreviations and Glossary of Terms Page 9 of 55 Term TPFP TPCA USD VBK WDL Description Third Party Flow Provider. Provide an interface between Eurex Clearing and securities lending participants. All transactions to Eurex Clearing pass through a TPFP Tri-party Collateral Agent, provider of services for collateral management Currency US Dollar Voluntary back-load request (The counterparties can send a back-load instruction in the case of an agreement to keep the loan open without redelivery of the underlying loan securities of the existing loan. Withdrawal request, can be applied to BYI, RET, and REC

1 Introduction Page 10 of 55 1 Introduction The handbook was developed to help you to prepare for the Clearer Test Market Module Securities Lending. The handbook summarizes the relevant contents from different sources covered in this test. It describes the different services of the clearing process and is complemented with sample questions for the test. The sources of information for specific topics as well as the preparation material for the Clearer Test Basic Module are referenced where relevant to provide the reader with access to more detailed information which may be of interest, but is not required for this test. The current version can be downloaded via : www.deutsche-boerse.com/qcs_qbo Please note that there will be regular updates. 1.1 Structure of the test, question types and evaluation The Clearer Test Market Module Secutities Lending is carried out using a computer program, which randomly selects 20 questions from a question pool for each examination candidate. The test can be taken in English and German. There are three different types of questions: True/False (TF) Multiple choice (MC) Multiple response (MR) 2 point 2 points 4 points MC/MR questions which are not answered will consequently not be assessed (0 points). In case of MR, either one or several answers could be correct and must be marked to get the full number of points. The following evaluation method is used: for marking the correct answer and not marking the wrong answer one point is given for marking the wrong answer and not marking the correct answer one point is subtracted So the result could be 4, 2 or 0 points; a negative score will not be given. The following table provides an overview of the number and types of questions to be selected for each topic: No. Topic TF MC MR No. of questions 1.0 Product Overview 1 1 1 3 2.0 Clearing Conditions 1 1-2 3.0 Loan Lifecycle Management 3 1 3 7 4.0 Delivery Management 1-1 2 5.0 Risk and Collateral Management 2 3 1 6 Total 8 6 6 20 Participants need 75% of the maximum points to pass the test and have 20 minutes to complete the test.

1 Introduction Page 11 of 55 1.2 Contact/Registration We would like to point out that according to the Clearing Conditions for Eurex Clearing AG ( Clearing Conditions ) each Clearing Member must have at least one Qualified Clearing Staff (QCS). This QCS must have passed the Clearer Test consisting of two modules: the Basic Module and a market module for the particular Clearing License. Dates (individual online exam is also possible ) and information about the Clearer Test modules can be found under the following link: www.deutsche-boerse.com/qcs_qbo For further information please contact the Capital Markets Academy: Capital Markets Academy of Deutsche Börse Group Phone: +49 69 211 13767 Fax: +49 69 211 13763 Homepage: http:// deutsche-boerse.com/cma E-Mail: academy@deutsche-boerse.com To register as a QCS please use the Electronic Exchange Admission Service (exas). exas can be found in the member section on the website of Eurex Clearing or under the following link: www.member.eurexclearing.com For questions about access to the Member Section of Eurex Clearing, please contact the Member Section Team at +49-(0) 69-2 11-1 78 88 or by e-mail to member.section@deutsche-boerse.com. For any questions regarding the features of exas, please call the following Member Services & Admission teams: Location Phone E-Mail Zurich +41-(0) 58-8 54-29 42 eurexzuerichag@eurexchange.com Paris +33 (0) 155-27-67 67 paris.admission@deutsche-boerse.com London +44 (0) 207-8 62-71 65 uktraderadmission@deutsche-boerse.com Chicago +1-312-5 44-11 50 customer.support.chicago@deutsche-boerse.com Frankfurt +49 (0) 69-2 11-1 16 40 person.admission@deutsche-boerse.com

2 Introduction to Transactions Page 12 of 55 2 Introduction to Transactions A securities lending transaction in the bilateral market is an agreement between a lender and a borrower to transfer securities on a collateralised basis. A loan transaction consists of the opening (front leg): the exchange of the securities from the lender to the borrower and the exchange of collateral from the borrower to the lender the closing (term leg): the re-exchange of the securities back from the borrower to the lender and the re-exchange of the collateral back from the lender to the borrower Collateral could be in the form of cash or non-cash. Securities lending transactions may either be Open Term Loans or Fixed Term Loans. In case of Open Term Loans the lender and borrower have not agreed on a fixed redemption date at contract conclusion. In case of Fixed Term Loans the redemption is made on a specifically agreed maturity date, if not the lender and borrower agree later on a date prior to the originally agreed maturity date. Investors make short-term loans of their securities while receiving a fee for the use of their securities to generate extra revenues from their portfolios or offsetting expenses while managing the portfolio. Lenders are normally holders of portfolios i.e. mutual funds, insurance companies, endowments or corporate and government pension funds. Borrowers are the prime brokerage units, the proprietary trading desks of broker/dealers or global banks or hedge funds which are using the securities lending markets to support their trading activities like short selling, hedging, arbitrage trading, trading cross-border strategies or meeting settlement obligations. Custodial agent lenders, third-party agent lenders or broker/dealers acting as principal borrowers (exclusive principal deal) are taking the role of facilitators. A basic bilateral securities lending transaction is shown in the diagram where cash is the accepted collateral and the collateral is re-invested into a short-term money market investment vehicle. The beneficial owner of the assets will lend the securities to the borrower. The borrower has to provide collateral in an amount equal to the market value of the securities plus additional margin of 102% to 105%. Figure 2-1: Basic bilateral securities lending transaction

2 Introduction to Transactions Page 13 of 55 The securities lending marketplace has been traditionally a relationship-based business. The offering of Eurex Clearing for the bilateral market maintains this key feature. The interposition of the CCP takes place after the negotiation of the loan which still remains bilateral. A CCP in the securities lending and borrowing market minimizes the counterparty risk and the credit exposures for the participants as well as bringing a considerable reduction in systemic risk for the market in its entirety. Eurex Clearing s CCP model reduces the potential secondary effects of the failure of a major counterparty because the impact is mitigated and absorbed by Eurex Clearing s default protections.

2 Introduction to Transactions Page 14 of 55 2.1 Loan Instruments and Flow Providers For the CCP Lending service Eurex Clearing offers central clearing for securities 1 or cash lending transactionsand novates loan transactions from the counterparties that reach Eurex Clearing through the following Third Party Flow Providers (TPFP): Lending CCP service offering Third Party Flow-Provider Eurex Repo-SecLend-Market Pirum Realtime Service Loan securities/cash for equity financing loans Equities: Belgium France Germany Netherlands Switzerland European Fixed Income: (AT, BE, CH, DE, FI, FR, LU, NL) Government bonds Supranational bonds Regional bonds Local government bonds Corporate bonds Exchange Traded Funds: A selected range of replicated ETFs Tri-Party Collateral Agent Clearstream Banking Luxemburg Euroclear Bank Settlement locations CSD: Clearstream Banking Frankfurt ESES / Euroclear Belgium ESES / Euoclear France ESES / Euroclear Netherlands SIX SIS ICSDs: Clearstream Banking Luxemburg Euroclear Bank CSD: Clearstream Banking Frankfurt Cash: EUR or USD Principal Collateral Cash: EUR, USD Non-cash: Bonds, Shares, Exchange Traded Funds Automated post-trade functionality Loan deliveries, Re-rated, Recalls, Returns, Buy-ins, Mandatory & Voluntary Corporate Actions, Dividend payments, Billing of fees & rebates, Mark-to-Markets Figure 2-2: Lending CCP service offering as of Q2 2015 1 The list of eligible loan securities is published on Eurex Clearing s web site.

2 Introduction to Transactions Page 15 of 55 2.2 Participation and Responsibilities A clearing license is required in order to participate as a Clearing Member (CM) in the Lending CCP of Eurex Clearing. The license can be combined with other clearing licenses, for which Eurex Clearing is offering CCP services. Market participants owning a clearing license for the Lending CCP are also referred to as CM Lender and CM Borrower in this document. In order to reflect the specific structure of the securities lending market, Eurex Clearing offers various CM license types to participate in the Lending CCP. The participants can apply for a General Clearing Member (GCM), a Direct Clearing Member (DCM) and a Specific Lender License (SLL). A Clearing Member (DCM/GCM) is allowed to clear its own transactions (borrow and/or lend). A SLL holder (also called Beneficial Owner) is allowed to clear its own lending transactions only (CM limited to lending transactions). The detailed requirements for the Clearing Memberships are described in chapter 3. Eurex Clearing s CCP system interacts directly with Third Party Flow Providers (TPFP), Clearing Members (CM), (I)CSDs, Payment Locations, and Tri-party Collateral Agents (TPCA). Basically, their responsibilities with the CCP Service for are: Party Clearing Member Third Party Flow Provider (TPFP) Responsibility Fulfill operational and technical requirements Bilateral loan negotiation and provision of loan requests to TPFP Provide / return Principal Collateral and loan securities Provide Margin Collateral (when applicable) Receive member reports Collect loan requests from connected agents / brokers Reconcile requests of lender and borrower / match requests Perform validations Forward loan requests to Eurex Clearing s CCP system

2 Introduction to Transactions Page 16 of 55 Party Eurex Clearing / CCP (I)CSDs Payment Locations Tri-party Collateral Agent Responsibility Provision of member and static data to facilitate TPFP s validations Receive requests from the TPFPs Perform validations Novate loans, become central counterparty Process requests on the loans during their lifetime (Re-rates, Recalls, Returns, Buyins) Instruct (I)CSDs, TPCAs, payment locations during settlement Mark-to-market of Principal Collateral Close loans, including late delivery handling, Buy-in processing Processing of Corporate Actions (on loan securities only) Handle compensation for Corporate Actions proceeds Calculate and instruct lending fees and rebates Calculate and instruct clearing fees and fines Provide reports Perform risk management Perform securities settlements Perform cash payments Perform collateral management for non-cash collateral, including reporting Eurex Clearing has introduced an Agent Lender role for the Lending CCP. Based on this, the Agent Lender can interact in the following ways in the clearing services. The Agent Lender (AL) acts as agent in the loan transaction for Beneficial Owners using a Specific Lender License (SLL) or for Beneficial Owners with a full Clearing Membership. The AL may only support a SLL Holder/CMs performing loans vs. non-cash Principle Collateral (pledged). AL need a Power of Attorney from the SLL Holder/CM so that they can act on behalf of the SLL Holder/CM. This way, the Beneficial Owners can remain principal as they have a direct relationship as restricted Clearing Member with Eurex Clearing and the Agent Lender remains as account operator acting in its current agency role.

2 Introduction to Transactions Page 17 of 55 2.3 Trade Capture and Novation Lender and Borrower bilaterally agree on the terms and condition of a loan. Lender and Borrower provide the agreed loan details via their common Third Party Flow Provider (TPFP). The Third Party Flow Provider reconciles/matches both entries and forwards the loan transaction details to Eurex Clearing`s CCP system. * Flow Provider used as the entry channel from market participants to Eurex Clearing e.g. for new loan transactions, Re-rates, Recalls, Returns etc. Figure 2-3: Process Overview Although trading remains bilateral, on the clearing side Eurex Clearing novates the loan trade and becomes counterparty to the Clearing Members on the borrowing and the lending side, see chapter 3.3.1 Novation. Third Party Flow Provider and related Clearing Members are informed about the novation or the rejection of their transaction. Eurex Clearing then coordinates the stepwise exchange of loan securities versus Principal Collateral with (I)CSDs, payment locations, and Tri-party Collateral Agents (TPCA). In case of non-cash Principal Collateral Lender and Borrower have to agree to use the same Tri-party Collateral Agent, either Clearstream Banking Luxembourg (CBL) or Euroclear Bank (EB).

2 Introduction to Transactions Page 18 of 55 The following picture shows the more specific case where an Agent Lender acts as an agent for a beneficial owner holding a Specific Lending License on the lending side and a Broker Dealer enters the loan information on the borrowing side. Figure 2-4: Process Overview including Agent Lenders and Broker Dealers 2.4 Loan Transaction Types In order to mitigate the counterparty risk in the securities lending market, the loan is always transacted against loan collateral (called Principal Collateral). Eurex Clearing supports the following loan types for the Lending CCP: Loans versus Cash Principal Collateral: Type of loan where the Lender provides securities to the Borrower in exchange of cash Principal Collateral which will be transferred to the Lender. Loans versus cash Principal Collateral can be of type Open-Term only. Loans versus Non-Cash Principal Collateral: Type of loan where the Lender provides securities to the Borrower in exchange of non-cash Principal Collateral which can be pledged or transferred to the Lender. Loans versus non-cash Principal Collateral can be of type Open-Term and Fixed- Term. In case of Fixed-Term non-cash Principal Collateral is always pledged to the Lender. Loans versus Cash Pool: Specific type of loan versus cash Principal Collateral where the Lender and Borrower need to agree on a lending fee for the loan security leg and separately a rebate for the cash (pool) collateral leg. Loans versus cash pool can be of type Open-Term only. Financing Loans: Specific type of loan where the Lender provides cash (in EUR or USD) to the Borrower versus non-cash Principal Collateral which will always be pledged to the Lender. Financing loan can be of type Fixed-Term only.

2 Introduction to Transactions Page 19 of 55 The term collateral in the context of a CCP is predefined and is linked to the risk management and margining process of the Clearing House, see chapter 6. In order to avoid ambiguity, the loan collateral is called Principal Collateral and the collateral used to cover exposures vis-à-vis the Clearing House (margin requirements) is called Margin Collateral. 2.4.1 Loan versus Cash Principal Collateral, Loan versus Cash Pool For loans versus cash Principal Collateral the Principal Collateral will always be transferred via Eurex Clearing to the CM Lender. As the CM Borrower has the obligation to re-deliver the loan securities to Eurex Clearing and the CM Lender (with the transfer of title as a collateral option) has the obligation to re-deliver the cash Principal Collateral, they both have to provide margin to Eurex Clearing. For Specific Lenders loan versus cash Principal Collateral is not offered by Eurex Clearing. Clearing Member Lender Loan Securities Cash Principal Collateral Margin Collateral Eurex Clearing Loan Securities Cash Principal Collateral Margin Collateral Clearing Member Borrower Transfer of Title Pledge Figure 2-4: Loan versus Cash Principal Collateral and versus Cash Pool 2.4.2 (Financing) Loan versus Non-cash Principal Collateral For loans versus non-cash Principal Collateral where the Principal Collateral is transferred by way of title transfer to the CM Lender CM Lender and CM Borrower have to provide margin (Margin Collateral) to Eurex Clearing, see chapter 6 and 6.1.3. Clearing Member Lender Loan Securities Non-Cash Principal Collateral Margin Collateral Eurex Clearing Loan Securities Non-Cash Principal Collateral Margin Collateral Clearing Member Borrower Transfer of Title Pledge Figure 2-5: Loan versus Non-cash Principal Collateral - Transferred

2 Introduction to Transactions Page 20 of 55 If the Principal Collateral is pledged in favour of the CM Lender the CM Lender does not have to provide margin to Eurex Clearing. A holder of a Specific Lender License is therefore only allowed to transact loans versus non-cash Principal Collateral - pledged with Eurex Clearing. For Financing Loans the non-cash Principal Collateral must always be pledged to the CM Lender. Figure 2-6: Loan versus Non-cash Principal Collateral - Pledged Non-cash Principal Collateral is managed by Tri-party Collateral Agents Clearstream Banking Luxembourg and Euroclear Bank. CM Lender and CM Borrower have to agree to use the same Tri-party Collateral Agent, either Clearstream Banking Luxembourg (CBL) or Euroclear Bank (EB).

2 Introduction to Transactions Page 21 of 55 2.5 Sample Questions 2-001 Eurex Clearing`s CCP service reduces A: the credit exposures. B: counterparty risks. C: post-trade-complexity. D: portfolio activity. Correct answer: A B C 2-002 With Eurex Clearing`s CCP services no bilateral agreements between lenders and borrowers on the terms and conditions of a loan are possible. True False Correct answer: False 2-003 Eurex Clearing coordinates A: calculations of lending fees. B: the step-wise exchange of loan securities versus Principal Collateral with (I)CSDs. C: the payment locations. D: the forwarding of loan requests to Eurex Clearing`s CCP system. Correct answer: A B C

3 Clearing Conditions Page 22 of 55 3 Clearing Conditions 3.1 General Provisions Eurex Clearing offers the Clearing of securities or cash lending transactions (each a Transaction ) in accordance with the prerequisites and conditions pursuant to Chapter IX of the Clearing Conditions. Under a Transaction, one party (the Lender ) will transfer to the other party (the Borrower ) either a specified number of a specific financial instrument (the Loaned Securities ), or a specified amount of a specific currency (the Loaned Cash - the Loaned Securities together with the Loaned Cash are referred to as the Loaned Assets ) with a simultaneous agreement by the Borrower to redeem the Transaction by the transfer to the Lender of Underlying Securities or Underlying Currency equivalent to the Loaned Securities Assets actually delivered (the Equivalent Loaned Assets ) on a date fixed as maturity and/or on demand at any time before such date, as the case may be. A Transaction where the Loaned Assets are Loaned Securities is herein referred to as a Securities Loan and a Transaction where the Loaned Asset is Loaned Cash is herein referred to as a Financing Loan. The terms of the Transactions may either provide for Open Term Loans and Fixed Term Loans. For more information and restrictions please refer to chapter 2.4. Eurex Clearing acts as Borrower with respect to each CM which is the Lender under a Transaction (the "Lender Clearing Member" CM Lender) and Eurex Clearing acts as Lender with respect to each CM which is the Borrower under a Transaction (the "Borrower Clearing Member" CM Borrower). These Transactions are concluded by way of novation. 3.2 Clearing License 3.2.1 Granting of the Clearing License A Clearing License is required in order to participate in the Clearing of Transactions, and Eurex Clearing may grant such Clearing License upon written application if the prerequisites are fulfilled. A Clearing License can be restricted to the Clearing of certain classes of Underlying Securities and/or certain Underlying Currencies. The Clearing License entitles the CM to clear Own Transactions as a Borrower or as a Lender. The Specific Lender License entitles to clear Own Transactions as a Lender only.

3 Clearing Conditions Page 23 of 55 3.2.2 Prerequisites of Clearing Licenses Generally the prerequisites to be fulfilled for the granting of the Clearing License are set out in Chapter I, Part I of the Clearing Conditions for Eurex Clearing and can also be found in the Basic Module in chapter 2.3.1. Following additional and/or deviating prerequisites apply for the participation in the Clearing of Transactions. The applicant shall provide evidence of the compliance with the following requirements: Settlement accounts for equities and Exchange Traded Funds ( ETF ) with - Clearstream Banking AG ( CBF ) and/or - SIX SIS Ltd., Zurich ( SIX SIS ) and/or - Euroclear France SA, (Euroclear France) and/or - Caisse Interprofessionnelle de Dépôts et de Virements de Titres SA / Interprofessionnelle Effectendepositen Girokas NV (C.I.K.) (Euroclear Belgium) and/or - Nederlands Centraal Instituut voor Giraal Effectenverkeer B.V. (NECIGEF) (Euroclear Nederland); and/or settlement accounts for fixed income securities with - CBF or - Clearstream Banking S.A., Luxemburg ( CBL ) or - Euroclear Bank SA/NV an additional bank cash account in USD with a bank recognised by Eurex Clearing direct access or admission to a Third Party Flow Provider ( TPFP ) execution of the specific tripartite documentation, unless the applicant will provide to the Lender Cash Principal Collateral only. 3.2.3 Prerequisites for granting a Specific Lender License 2 Amongst others the following prerequisites have to be fulfilled: The applicant is licensed as a credit institution, financial institution, insurance undertaking, reinsurance undertaking, investment firm, pension fund, pension scheme or similar arrangement, Incorporated Fund, Unincorporated Fund of Sub Fund and is subject to supervision as determined by Eurex Clearing. (Further details can be found in the Eurex Clearing Conditions). The applicant has obtained all necessary approvals that are required to have been obtained by it for the conduct of securities or cash lending business, as relevant, pursuant to the provisions of chapter IX, Clearing Conditions; cash accounts pursuant to Chapter I of the Clearing Conditions and a bank cash account in USD with a bank recognised by Eurex Clearing or alternatively a multicurrency cash account with Clearstream Banking AG ( CBF ), including a CBF(I) account, and/or Clearstream Banking S.A., or Euroclear Bank SA/NV; either accounts opened in the name of the applicant or accounts opened in the name of an Agent Lender for the account of the applicant settlement accounts for the loan securities as described in chapter 3.2.2; 22

3 Clearing Conditions Page 24 of 55 direct access to a or admission to a Third Party Flow Provider either by itself or via an Agent Lender execution of the specific tripartite documentation for Transactions with Eurex Clearing AG and a Tri-Party Collateral Agent either by itself or by a representative on behalf of the applicant access to Eurex Clearing's Common Report Engine (platform to receives reports), unless the applicant will make use of the services of an Agent Lender The general prerequisites for a Clearing License for the Clearing of Transactions do not apply. 3.3 Conclusion of Transactions Transactions are concluded by way of novation subject to, and in accordance with, the following provisions: 3.3.1 Novation Whenever a securities or cash lending transaction (each an "Original Transaction") is transmitted to Eurex Clearing by CMs via the TPFP and Eurex Clearing accepts such Original Transaction for inclusion in the Clearing, Eurex Clearing will interpose itself by way of novation as central counterparty and the Original Securities Lending Transaction shall be cancelled and replaced by two related Transactions between Eurex Clearing AG as the Borrower and the relevant CM as the Lender and between Eurex Clearing AG as the Lender and the relevant CM as the Borrower, each in accordance with the Loan Information. If provided for by the rules of the relevant TPFP, Eurex Clearing may also conduct the novation of Transactions which have been disbursed and collateralized between the Lender and the Borrower in full or in part prior to the inclusion into the Clearing (the "Settled Original Transactions"). Following the conclusion of Transaction by way of novation Eurex Clearing will on the same Business Day send corresponding confirmations to the CMs. The actual time of conclusion of a Transaction by way of novation is referred to as the "Novation Time".

3 Clearing Conditions Page 25 of 55 3.3.2 Novation Principles and Criteria, Cancellations Original Transactions or Settled Original Transactions have to be transmitted to Eurex Clearing in a standardized form using an established TPFP accepted by Eurex Clearing which will provide information and notices regarding such transactions to Eurex Clearing. Eurex Clearing shall validate any information regarding the Original Transactions or Settled Original Transactions transmitted to it via the TPFP. Eurex Clearing may reject Original Transactions or Settled Original Transactions for inclusion in the Clearing, if certain conditions (see chapter 4) have not been complied with. Each of the CM Borrower and the CM Lender are entitled to agree with Eurex Clearing on a cancellation of any related Transaction until the end of the Business Day preceding the Value Date. For more details please refer to chapter 4.3. 3.4 Margin Requirement In addition to the Principal Collateral (loan collateral) that the CM Borrower has to provide to the CM Lender, the CM Borrower and the CM Lender are subject to an own margin requirement (Margin Collateral, except holders of a Specific Lender License). The applicable Margin Types are the Current Liquidating Margin and the Additional Margin. Further information on margin calculations can be found in chapter 6.

3 Clearing Conditions Page 26 of 55 3.5 Sample Questions 3-001 Which of the following statements is correct? A: Eurex Clearing acts as Borrower/Lender with respect to each Clearing Member which is the Lender/Borrower under a Transaction. B: For the counterparties of a Transaction there is no obligation to provide principal collateral. C: Transactions can be concluded in any kind of security and are novated by Eurex Clearing. D: All of the above Correct answer: A 3-002 The counterparties of a Transaction can never achieve a cancellation of their Securities Lending Transaction. True False Correct answer: False

4 Loan Lifecycle Management Page 27 of 55 4 Loan Lifecycle Management Eurex Clearing will novate new loan requests and open loans that have previously been transacted and settled between the Lender and the Borrower. After novation, during the lifecycle of loans loan requests can be received from the TPFPs. Each loan request is given a unique reference by Eurex Clearing. The following loan requests are provided by TPFPs during loan opening and the loan lifecycle: Request to open a new loan (Request Type NEW) Request to back-load a loan (Request Type BKL or VBK) Request to cancel a loan (Request Type CNC) Request to (partially) Return, Recall, Buy-in and Re-rate a loan (Request Types RET, REC, BYI, RRT) Withdrawal of a request of type Return, Recall or Buy-in (Request Type WDL) Return do not instruct request (Request type RNI) Lender and Borrower agree on and provide via their common TPFP: Category General Settlement Details Loan Security, Quantity Mandatory: Definition of an External Order Number (generated and provided by TPFP, used by Eurex Clearing for reporting purposes) Optionally: External Member Order and Trade Number, Free Text Settlement date front leg (value date) Contractual settlement date term leg if Fixed-Term loan Member ID, Agent ID, Account type Collateral Details Rebate, Fee details Cash: Markup Percentage Collateral Currency (EUR or USD) Rebate: Benchmark incl. spread, or alternatively: fixed rate Billing Currency Non-cash Transferred / Pledged: Markup Percentage Tri-party Collateral Agent and accounts Lending fee: Fee rate, billing currency (EUR or USD) Optionally: fixed fee, minimum fee, billing margin Payment Rate also known as claim-amount-multiplier

4 Loan Lifecycle Management Page 28 of 55 Activities by Third Party Flow Provider A flow provider reconciles the two transactions provided by the Lender and the Borrower. The loan will only be assigned an External Order Number and forwarded to Eurex Clearing once the trade details and request data of both counterparties match to each other. The reconciliation of the transactions is based on certain criteria defined by Eurex Clearing. The TPFP where the loan was transacted, forwards the loan transaction details to Eurex Clearing. A trading market, on which the loan was traded electronically, forwards the details to Eurex Clearing as agreed on the market. The reconciliation platform and trading market shall have already validated loan details to avoid the loan being rejected by Eurex Clearing. For this purpose Eurex Clearing can provide the TPFP with a set of static data: Available Trading Members, Agent Lenders and Clearing Members and their relationship, including clearing license Tri-party Collateral Agent for non-cash collateral including available collateral accounts CCP eligible loan securities and currencies Currency exchange rates Processing by Eurex Clearing Eurex Clearing receives the loan details electronically and will in all cases acknowledge receipt. In case of a successful validation, Eurex Clearing novates the loan and the processing continues for clearing and settlement, otherwise the corresponding request will be rejected by Eurex Clearing. The following functional validations are done in addition to a number of technical validations. If any validation fails, the Third Party Flow Provider receives a negative feedback including an error message indication which validation failed, and the loan is not processed further by Eurex Clearing. Category Field(s) Validation General Loan Security Must be eligible for securities lending at Eurex Clearing Settlement Quantity/Lendable Cash Amount Settlement Date Front Leg Settlement Date Term Leg In case of Loan Security, quantity must be a multiple of the minimum settlement unit; in case of a Financing Loan, quantity is the lendable cash amount in EUR or USD. Must be today or max. 2 years in the future, no holiday at CCP, CSDs, or collateral locations For fixed Income loan securities the settlement date front leg shall not be later than 12 business days before the maturity date of the securities is reached If provided at least one business day after settlement date of front leg, max. 2 years in the future, no holiday at CCP, CSDs or collateral locations For fixed Income loan securities the settlement date term leg shall not be later than 11 business days before the maturity date of the security is reached

4 Loan Lifecycle Management Page 29 of 55 Category Field(s) Validation CM Lender CM Borrower Agent Lender Must be valid member of the CCP Matching settlement and cash account available Clearing Members must have a valid clearing license If specified, must have a relationship with CM Lender Collateral Currency Cash Collateral: EUR, USD Non-cash Collateral: eligible securities in any currency for which Eurex Clearing has an exchange rate. Rebate, Lending Fee Payment Rate Cut-off Times TPCA TPCA Account Benchmark Spread Interest Rate Billing Currency Payment Rate Clearstream Banking Luxemburg - CBL, or Euroclear Bank - EB Both Lender and Borrower accounts are validated and must have a relationship to the same Eurex Clearing account at the TPCA. The Lender s account must be a transfer account in case of transferred non-cash collateral, and/or a pledge account in case of pledged non-cash collateral. Cash Principal Collateral and cash pool: benchmark with spread, or alternatively fixed non-negative rate currency equal to collateral s currency (basis for Rebate calculation: Principal Collateral) Non-cash Principal Collateral and cash pool: basis points or a fixed non-negative value optional definition of fixed and/or minimum fee billing currency: EUR or USD (basis for Lending Fee calculation: Loan Securities) Must be positive Verify the trade entry cut-off time requirements After successful validation Eurex Clearing legally steps in as the counterparty. The loan s status is now pending.

4 Loan Lifecycle Management Page 30 of 55 4.1 Loan Opening The Loan opening for new loans with T+0 settlement (S) of the front leg (novation date) takes place in near-time after novation, for others at the start of day on their contractual settlement date. Eurex Clearing coordinates the exchange of loan assets versus collateral. This happens in two phases, the collection and the distribution phase: 4.1.1 Collection and Distribution Phase During the collection phase Eurex Clearing instructs the following by Power of Attorney: For cash Principal Collateral loans the payment location to transfer the cash Principal Collateral from the CM Borrower account to the Eurex Clearing account at the payment location. For non-cash Principal Collateral loans the TPCA to transfer the Principal Collateral from the CM Borrower account to the Eurex Clearing account at the TPCA. The (I)CSD to transfer the loan securities from the CM Lender account to the Eurex Clearing account at the (I)CSD. For Financing Loans the payment location to transfer the cash amount from the CM Lender account to the Eurex Clearing account at the payment location. After the collection phase, both, the loanassets and the loan collateral are with Eurex Clearing. In the following distribution phase, Eurex Clearing instructs: For cash Principal Collateral loans the payment location to transfer the cash Principal Collateral from the Eurex Clearing account to the CM Lender account at the payment location. For non-cash Principal Collateral loans the TPCA to transfer or pledge the Principal Collateral from the Eurex Clearing account to the CM Lender account at the TPCA. The (I)CSD to transfer the loan securities from the Eurex Clearing account to the CM Borrower account at the (I)CSD. For Financing Loans the payment location to transfer the cash amount from the Eurex Clearing account to the CM Borrower account at the payment location. The loan s status is now open. 4.1.2 Exceptional Processing If any of the above processing steps for loan opening fails, a clean-up process is executed. During the clean-up process the successful steps are cancelled and reversed, so that by the end of the day Eurex Clearing does not hold any positions for pending loans and the CM Lender / CM Borrower have received back the corresponding loan assets / principal collateral. The failed loan opening process will be attempted again on the next business day. After a total of three unsuccessful attempts (on S, S+1 and S+2) of settlement of the loan opening Eurex Clearing will cancel the pending loan. Pending fixed income loans with loan security at maturity will be cancelled by Eurex Clearing at the end of the 12 th day before the final maturity date of the security.

4 Loan Lifecycle Management Page 31 of 55 4.2 Back-loading of Loans Existing open loans between two counterparties can still be handed over to Eurex Clearing for novation and further processing thereafter. This is called Back-loading. Back-loading differs from regular Loan Opening; in this case Eurex Clearing suppresses the settlement instructions of loan securities, lendable cash and cash Principal Collateral for the loan opening: The loan is sent to Eurex Clearing after settlement of the front leg, i.e. involved parties have already exchanged loan securities or lendable cash versus Principal Collateral. Eurex Clearing does not instruct exchange of loan securities or lendable cash. Eurex Clearing does not instruct exchange of cash Principal Collateral. For non-cash Principal Collateral, principal exposure (please refer to chapter 6 for the calculation of principle exposure) is instructed so that Principal Collateral is moved into the systems of the used TPCA. Please note that it remains the responsibility of the Lender and the Borrower to revert any already exchanged non-cash Principal Collateral on back-loaded loans outside of Eurex Clearing s CCP system. The loan value of back-loaded loans considered by Eurex Clearing is provided by the Borrower and Lender with the back-load request. This value is considered as the Current Principal Exposure to compute the Variation Margin during the upcoming mark-to market calculation. The required input attributes for market participants are the same as for Loan Opening. The Third Party Flow Provider validates the Lender s and Borrower s input and forwards the back-loaded loans thereafter to Eurex Clearing. After a successful back loading process the loan s status becomes open. Further processing of backloaded loans no longer differs from loans opened by Eurex Clearing. 4.3 Loan Cancellation Pending loans can be cancelled by the Lender and the Borrower before settlement of the front leg. Lender and Borrower agree on the cancellation bilaterally and provide the necessary information (Loan Security, External System Order Number, Trade Date) via the system of their common Third Party Flow Provider. The Third Party Flow Provider validates the Lender s and Borrower s input and forwards the cancellation request thereafter to Eurex Clearing. Eurex Clearing receives the cancellation request and will in all cases acknowledge receipt. In case of a successful validation, the processing of the cancellation continues, otherwise the corresponding request will be rejected by the CCP. If the loan opening processing is not currently underway the referenced loan will be deleted and the cancellation confirmed by feedback files. In case the loan opening processing is already underway, the cancellation request will be stored for later processing. Two scenarios are now possible: Loan opening succeeds, which means that the loan reached status Open. In this scenario a cancellation is no longer possible and the cancellation request will be rejected. Loan opening fails, in which case the cancellation request will be processed after the clean-up processing described in chapter 4.1.2 - Exceptional Processing, i.e. the loan will be cancelled.

4 Loan Lifecycle Management Page 32 of 55 4.4 Allocation View versus Street View In the bilateral market, Agent Lenders act as account operators for multiple Beneficial Owners. During the loan negotiation an Agent Lender and a Broker Dealer agree on one loan. In its role as an account operator the Agent Lender allocates loan securities from multiple Beneficial Owners and lends the securities to the Broker Dealer. The legal relationship is established between the Broker Dealer and each Beneficial Owner in the loan chain. If Eurex Clearing novates a loan trade and an Agent Lender acts as account operator for multiple Beneficial Owners, each using a dedicated Specific Lender License, a legal relationship only exists between each Beneficial Owner using a Specific Lender License and Eurex Clearing. This fact leads to a splitting of the loan, i.e. a difference between allocation view and street view. In such cases individual loan transactions are required from the Agent Lender ( allocation view ), even if Agent Lender and Broker Dealer originally agreed on one loan comprising the total quantity ( street view ). The Broker Dealer continues providing one loan transaction comprising the total quantity. It is within the responsibility of the Third Party Flow Provider to match the Broker Dealer loan against the individual loans from the Agent Lender. The Third Party Flow Provider will forward the individual loan requests to Eurex Clearing. The individual loan transactions will be novated/opened and maintained separately within the CCP system. To allow a combined view after processing by Eurex Clearing the attribute Common Reference can be set to the same value in each individual loan transaction. An example as well as further information regarding the Common Reference is provided in the document CCP Services for - Process Manual (chapter 3.4). 4.5 Loan Management Unlike the pre-novation and new loan request activities, where the corresponding TPFP ensures confirmed novation requests on identical loan details for the Lender and the Borrower, the management of the loan inter-life closing activities might be initiated on a unilateral declaration either by the CM Borrower or the CM Lender. The CM Borrower / CM Lender is entitled to request a return (full or partial) / recall (full or partial) for Open-Term loans on unilateral basis, if the Return request respects the standard settlement cycles for the relevant loan securities settlement market. Bilaterally confirmed requests by CM Borrower and CM Lender are required for all Re-rate requests and Return / Recall requests (full or partial) with a notice period less than the standard settlement cycles. Coexisting bilateral declarations by CM Lender and CM Borrower are also required for all modification requests of Fixed-Term loans. Notwithstanding, the processing and confirmation of request types are operated according to the rules of the TPFP. In regard to the loan management for outstanding loans, the following requests types are offered by Eurex Clearing: Return (full / partial closing) request entitled to CM Borrower. Recall (full / partial closing) request entitled to CM Lender. 3 Re-rate request entitled to CM Borrower and CM Lender. Buy-in request entitled to CM Lender. Withdrawal request (for Return, Recall and Buy-in requests) 4. 3 The following requests are not available in case of financing loans: Recall, Buy-in, Withdrawal for Recall or Buy-in, Return-Do-Nnot- Iinstruct (CCP Release 9.2 Release Notes)

4 Loan Lifecycle Management Page 33 of 55 Return-Do-Not Instruct request entitled to CM Borrower and CM Lender 5 4.6 Return of an Open-Term Loan The Lender and Borrower may agree on the return of the loan bilaterally. However, a Return request can only be issued by the CM Borrower via the TPFP for open loans after settlement of the front leg. If a Return request issued by the CM Borrower relates to a pending Recall request (please refer to chapter 4.8) already issued by the CM Lender, the Return request details shall be consistent with the Recall request details (e.g. Quantity, Settlement Date have to have the same value). Return requests can be withdrawn by a Return Withdrawal request also via the TPFP. Without a Return request an Open-Term loan stays open (until the theoretical date 31. Dec. 2099) or until it is automatically returned in case of fixed income securities at maturity. The CM Borrower provides the Return request via his TPFP: Category General Settlement Details Loan Security, External System Order Number, Trade Date to identify the loan to be returned Quantity to be returned Optionally: Reference to a Recall request Intended settlement date term leg The Third Party Flow Provider validates the Borrower s Return request and forwards the Return request thereafter to Eurex Clearing. Eurex Clearing receives this request and will in all cases acknowledge receipt. In case of a successful validation, the processing of this request continues, otherwise it will be rejected with an appropriate error. Return requests can also be withdrawn by a Return Withdrawal request. 4.6.1 Standard Return Processing Return requests which are received one day or more before the intended contractual settlement date of the term leg defined in the request are validated and stored for later execution on the given date. Return requests received with the contractual settlement date being the current business day are processed in near time until the instruction cut-off time 6 is reached. If the request is received on the contractual settlement date but after the instruction cut-off time, the request is postponed to the next business day. The standard return processing is performed in two phases, the collection and the distribution phase which are coordinated by Eurex Clearing (see 4.7.1.1. and 4.7.1.2.) 4 According to the terms of the TPFP, withdrawal requests are only available at TPFP Pirum. 5 Return Do Not Instruct requests are only available at TPFP Pirum. 6 Information regarding the cut-off times you will find in the actual CCP Release Notes

4 Loan Lifecycle Management Page 34 of 55 4.6.2 Exceptional Return Processing Exceptional processing of a Return request is applied in the following scenarios: Loan securities are delivered late Cash Principal Collateral is delivered late Non-cash Principal Collateral is delivered late Final maturity of fixed income loan securities is reached 4.6.2.1 Late Delivery of Loan Securities during Return Processing If a (partial) return transaction fails because the CM Borrower does not return the loan securities towards the CM Lender, Eurex Clearing cancels the delivery instruction towards the CM Borrower and returns the already delivered Principal Collateral back to the CM Lender. The loan remains open and the CM Borrower has to keep paying the lending fees/rebates. Thereafter, the Return request is re-instructed each business day until successful settlement or until its withdrawal. The CM Lender has the right to issue a Recall and a Buy-in request for the loan to be returned. 4.6.2.2 Late Delivery of Cash Principal Collateral during Return Processing If a (partial) return transaction fails because the CM Lender does not return the cash Principal Collateral towards the CM Borrower, Eurex Clearing cancels the delivery instruction towards the CM Lender and returns the already delivered loan securities back to the CM Borrower. Eurex Clearing may grant an extension to the payment obligation until 09:30 (CET) the next morning (S+1) to return the cash Principal Collateral and a closing attempt will be performed by Eurex Clearing. Eurex Clearing considers the non-return of cash Principal Collateral as a failure to pay, implying a Termination Event for the CM Lender. Please note that even in case the loan securities are not returned at that particular point in time, the nondelivery of cash Principal Collateral can still be considered and handled as a Termination Event. 4.6.2.3 Late Delivery of Non-cash Principal Collateral during Return Processing In case the CM Lender does not (fully) return the non-cash Principal Collateral upon closure of the loan, the CM Borrower can request to substitute the delivery obligation of the outstanding non-cash Principal Collateral by a cash settlement. The cash settlement amount will be defined as a price premium to the last settlement price of the outstanding non-cash Principal Collateral ISINs and will be debited from the CM Lender and credited to the CM Borrower. The loan securities will then be returned to the CM Lender. If the CM Borrower does not request a cash settlement of the outstanding non-cash Principal Collateral within a certain timeframe and does not withdraw the Return request, Eurex Clearing will automatically initiate a cash settlement. Further details on the late delivery handling of the non-cash Principal Collateral can be found in the Eurex Clearing Conditions chapter IX.

4 Loan Lifecycle Management Page 35 of 55 4.6.2.4 Forced return of loans at fixed income loan security maturity Due to final maturity of fixed income securities, Eurex Clearing will process a forced return of all open loans 11 business days prior to the final maturity date of the respective security (ISINs). During the end of day processing 12 days prior to the final maturity date of a fixed income security, Eurex Clearing will cancel all pending return requests in this ISIN and will replace them by a forced return covering the full pending quantity of the loans in this ISIN. When the execution of a corresponding forced return is not or only partially successful, Eurex Clearing will continue the attempt to recollect the respective loan quantities and reinstruct the forced return of the open loan quantity for the following business days. If this procedure is not successful until 6 days prior to the final maturity date of the loan security, Eurex Clearing will instruct a technical cash settlement 5 days prior to the maturity date. The latest possible day for a Buy-in request by CM Lender is 5 business days prior to the technical cash settlement (i.e. 10 days prior to the loan security maturity date). Repetitive Forced Return of full loan quantity Technical Cash Settlement Security Maturity Date Failed forced Return on loan quantity T-11 T-10 T-9 T-8 T-7 T-6 T-5 T-4 T-3 T-2 T-1 T-0 Last possible Day for a Buy-in request Last possible Buy-in Date Figure 4-1: Forced Return of Loan at fixed income loan security maturity 4.7 Return of a Fixed-Term Loan The Fixed-Term loan is characterized by a contractual settlement date, which is agreed between CM Lender and CM Borrower upon opening of the loan. Eurex Clearing reports the settlement dates of open Fixed-Term loans to its Clearing Members on a daily basis. The market participants had originally agreed on the settlement date. No additional input is required for closing a Fixed-Term loan on its contractual settlement date. Different to Open-Term loans, CM Lender and CM Borrower are obliged to confirm bilaterally the loan change details provided to the TPFP. In case of loan modifications for a Fixed-Term loan, the TPFP verifies the bilateral identical declarations of intent by CM Lender and CM Borrower.

4 Loan Lifecycle Management Page 36 of 55 4.7.1 Standard Return Processing Eurex Clearing automatically closes the Fixed-Term loan on its contractual settlement date. The CCP coordinates the exchange of loan assets versus collateral. This happens in two phases, the collection and the distribution phase. 4.7.1.1 Collection and Distribution Phase During the collection phase Eurex Clearing instructs by Power of Attorney: The payment location for Financing Loans to transfer the cash amount from the CM Borrower to the Eurex Clearing account at the payment location. The (I)CSD to transfer the loan securities from the CM Borrower account to the Eurex Clearing account at the (I)CSD. The payment agents for cash Principal Collateral loans to transfer the cash Principal Collateral from the CM Lender to the Eurex Clearing account at the payment location. The TPCA for non-cash Principal Collateral loans to transfer the Principal Collateral from the CM Lender account/pledge account to the Eurex Clearing account at the TPCA. In the following distribution phase, Eurex Clearing instructs: The payment location for Financing Loans to transfer the cash amount from the Eurex Clearing account to the CM Lender account at the payment location. The (I)CSD to transfer the loan securities from the Eurex Clearing account to the CM Lender account at the (I)CSD. The payment agents for cash Principal Collateral loans to transfer the cash Principal Collateral from the Eurex Clearing account to the CM Borrower account at the payment location. The TPCA for non-cash Principal Collateral loans to transfer the Principal Collateral from the Eurex Clearing account to the CM Borrower account at the TPCA. 4.7.2 Exceptional Return Processing If on the contractual settlement date either the CM Borrower or CM Lender does not fulfill his obligation to return the loan securities/lendable cash or the Principal Collateral, the loan remains open. Eurex Clearing returns loan securities/lendable cash or Principal Collateral received/collected. Eurex Clearing automatically attempts to close the loan again on the following two business days. After the CM Borrower fails to deliver the loan securities for the third time, Eurex Clearing automatically executes a Buy-in for the loan securities on S+3 (for more details about the Buy-in process please refer to chapter 4.9). To avoid the Buy-in for loan securities, CM Lender and CM Borrower can shift the contractual settlement date by providing a respective re-rate request (see chapter 4.10). If the CM Borrower fails to actually deliver the Loaned Cash to Eurex Clearing AG in full until 9:30 a.m. (Frankfurt am Main time) on the Business Day following the Maturity Date with respect to the Non- Performed Transaction, a Termination Event shall have occurred with respect to the CM Borrower (irrespective of the fact whether a failure to deliver the Equivalent Principal Collateral by the CM Lender occurs at the same time).

4 Loan Lifecycle Management Page 37 of 55 If, however, any attempt to close the loan fails due to the CM Lender not returning the Principal Collateral, the Buy-in will be postponed. This is a repetitive process: Eurex Clearing attempts to close the loan every business day for as long as the CM Lender does not return the Principal Collateral. 4.8 Recall of a Loan In case the CM Lender requests to close an Open-Term loan or to close a Fixed- Term loan before its original contractual settlement date, the loan needs to be recalled. Generally, the Recall request constitutes a declaration of intent of the CM Lender to receive the loan securities back. It can only be issued by the CM Lender and either comprises of the full or partial loan quantity. A Recall request is usually followed by or aligned to the respective Return request as issued by the CM Borrower. The Recall request can be submitted at any time for both Open-Term and Fixed-Term loans after the settlement of the front leg (the loan is in status open ). Nevertheless the Recall request for a Fixed-Term loan needs to be confirmed by an identical declaration of intent (Return request) by the CM Borrower. Recall requests can be withdrawn by the CM Lender via the submission of a Recall Withdrawal request. Eurex Clearing will not accept recalls within the closing processing period of fixed income loan securities at maturity. As a result of this, the last possible Recall request date by CM Lender for a loan with loan security at maturity is 15 days prior to the final maturity date. In case of a Financing Loan, a Recall of lendable cash by CM Lender is not supported. The CM Lender provides a Recall request via the TPFP system: Category General Details Loan Security, External System Order Number, Trade Date to identify the loan to be recalled Quantity to be recalled, Effective date Optionally: Reference to a Return request The TPFP validates the Lender s input and forwards the Recall request thereafter to Eurex Clearing. Eurex Clearing receives this request and will in all cases acknowledge receipt. In case of a successful validation, the processing of this request continues, otherwise it will be rejected by Eurex Clearing.

4 Loan Lifecycle Management Page 38 of 55 The following validations are applied on the Recall request: Category Field(s) Validation General Quantity Must be a multiple of the minimum settlement unit. The maximum Recall quantity is the Quantity of the open loan minus pending Recalls* minus pending Returns* * if recall and return refer to each other they are only considered once In case the Recall request refers to a Return, the maximum Recall quantity is: the quantity of the referred Return Minus the quantity of any other pending Recalls referring to the Return Effective Date Request Reference Must be between standard settlement period 7 and 15 business days into the future For a Fixed-Term loan: Must be before the loan s contractual settlement date For loans with a loan security at final maturity: last possible Recall Effective date is 12 business days prior the final security maturity date If provided, must be a reference to a valid Return request for the given loan 4.8.1 Standard Recall Processing After the Recall request is received, Eurex Clearing calculates the earliest possible Buy-in date and reports the respective loan as recalled in the Loan Returns report. The earliest possible Buy-in date is calculated by adding two business days to the provided Recall effective date. The effective date is provided by the requesting CM Lender. The effective date will be moved forward for 10 consecutive days in case no Buy-In request, complete loan Return or Recall withdrawal is received on the effective date. After the period of 10 business days the Recall request will be automatically withdrawn by the Third Party Flow Provider. For the initiation and start of a Buy-In process, a dedicated Buy-in request from the CM Lender is required. 7 The standard settlement period for German equities is 2 business days, for all other loan securities the standard settlement period is 3 business days.

4 Loan Lifecycle Management Page 39 of 55 4.8.2 Exceptional Recall Processing If the CM Borrower, after the loan was recalled, does not return the loan securities as expected, the CM Lender may initiate the Buy-in procedure via the submission of a separate Buy-in request. In general, the Recall and Buy-in request are separate actions which can, but do not necessarily have to be submitted in close succession. 4.9 Buy-in Processing In case of failure of the CM Borrower to return loan securities a Buy-in procedure will be applied. The Buyin processing, as described here, only applies to loan securities, not to any Principal Collateral securities. In case of a Fixed-Term loan and once the closing date of the term leg has been reached, the Buy-in execution date is automatically scheduled by Eurex Clearing at the 3 rd business day after contractual closing date (please refer to chapter 4.7.2 Exceptional Return Processing for further details). In case of an Open-Term loan, a Buy-in is only executed if a Buy-in request is provided by the CM Lender. Pre-condition for a Buy-in request is an active Recall request provided by the CM Lender. A Buy-in can be requested by the CM Lender immediately after the Recall request or anytime thereafter as long as the Recall request exists. Further pre-condition for a Buy-in execution is an unsuccessful closing / settlement attempt for the recalled quantity on the day prior to the Buy-in execution date (Forced Return). A Buy-in request must be sent during the opening hours of the corresponding TPFP. A withdrawal of a Buy-in request will not affect the underlying Recall request. A new Buy-in request can be submitted as long as the initial Recall request has not expired and the loan is still open. The Buy-in procedure is not supported for Financing Loans. Already on receipt of the Recall request (to which the Buy-in refers) Eurex Clearing has calculated and reported the earliest possible Buy-in date to the Clearing Member. When the Buy-in request is received, the Buy-in attempt day is determined to be: the previously calculated earliest possible Buy-in date, or two business days after receiving the Buy-in request, whichever is later. 4.9.1 Forced Returns One business day before the actual Buy-in attempt date, Eurex Clearing performs a Forced Return on the recalled loan quantity. It implies that no Return has been received from the CM Borrower on the full recalled quantity of the Recall request. If pending returns exist for parts of the recalled quantity, Eurex Clearing generates a Forced Return for the not yet returned difference. Forced Return processing does not significantly deviate from the standard return processing. The main difference is the automatic initiation by Eurex Clearing during the settlement procedure in order to ensure at least one loan closure attempt during the Recall process. A Forced Return will not be executed if a Return request on the full recalled loan quantity existed which was not executed successfully. In such a case, the Buy-in attempt date is the next business day after receipt of the Buy-in request.

4 Loan Lifecycle Management Page 40 of 55 4.9.2 Buy-in Auction On the Buy-in execution day, Eurex Clearing initiates the Buy-in auction via its existing Buy-in Tool. One business day after the auction was completed successfully, the CM Borrower must pay the cash counter value of the Buy-in to Eurex Clearing. The bought-in securities need to be delivered by the auction seller latest until the first settlement cycle of the business day following the Buy-in auction. After successful collection of the Principal Collateral, Eurex Clearing returns the loan securities to the CM Lender and the Principal Collateral to the CM Borrower. In case of an unsuccessful Buy-in auction or partially successful Buy-in auction cash settlement is performed for the failed quantity. The cash settlement will be conducted by Eurex Clearing on the day after the Buy-in auction towards the CM Lender and the CM Borrower. No Buy-in will be performed for subscription rights. On the last day of the subscription period, Eurex Clearing will perform a cash settlement of the outstanding amount. 4.10 Re-rate of a Loan In general CM Lender and CM Borrower are entitled to re-rate loans in pending and open status, if both parties agree bilaterally and provide the corresponding lending fee and the effective date via the system of the TPFP. Re-rates can be requested for fee/rebate and payment rates and apply for the full outstanding quantity of the loan. Depending on the TPFP regulations 8, Re-rate requests can be requested backdated for an effective date during the current billing period. In case of a Fixed-term loan, CM Lender and CM Borrower can request to re-rate the contractual settlement date term leg to shorten or to extend duration of the loan. A change of the contractual settlement date of the term leg cannot be instructed unilaterally, but must be instructed by means of matching instructions from CM Lender and CM Borrower via their common TPFP. The TPFP validates and reconciles the CM Lender s and CM Borrower s bilateral input and forwards the Re-rate request thereafter to Eurex Clearing. Eurex Clearing receives the request and will in all cases acknowledge receipt. In case of a successful validation, the processing of this request continues, otherwise it will be rejected by Eurex Clearing. A re-rate remains effective until a subsequent Re-rate request applies. The effect of an existing re-rate can be overwritten by sending a Re-rate request for the same effective date with a new rate. If the effective date is the current business date the new rate is considered for today s fee calculation. 4.11 Return Do Not Instruct Request Eurex Clearing will also accept (complete or partial) closing of loans without the redelivery of the underlying securities. Hence the Return Do Not Instruct (RNI) request represents an additional way for the CM Borrower and the CM Lender to (partially) close a loan in the CCP environment. These requests are identified with the request type RNI and will be provided by TPFP Pirum only. Based on the bilateral agreement on the terms of a voluntary corporate action between CM Borrower and CM Lender (outside CCP environment) this request type might be used to align the CCP-novated securities lending transactioninto accordance with the bilateral agreement between CM Borrower and CM Lender. 8 Backdated Re-rate requests are not applicable for Eurex Repo-SecLend Market as TPFP.

4 Loan Lifecycle Management Page 41 of 55 4.12 Lending Fees and Rebates Lending fees and Rebates are accumulated and credited to / debited from the Clearing Members according to the billing cycle. Rebates apply to Loans versus cash Principal Collateral, Loans versus Cash Pool as Principal Collateral and Financing Loans. Lending fees apply to Loans versus non-cash Principal Collateral and Loans versus Cash Pool. The calculation is done on a daily basis during End-of-Day (EoD) processing. The results are considered in Risk-based Margining. Loan Type Loan versus Cash Principal Collateral Fee Type Basis for Rebate / Fee / Rebate Fee Rate calculation Currency (in bps) EUR (Collateral CCY) USD (Collateral CCY) Collateral Available Benchmarks * e.g. EONIA, EURIBOR Lending Fee Rebate Collateral e.g. FED FUND Loan versus Non-cash Principal Collateral EUR, USD (Billing CCY) Loan Securities n/a Loan versus Cash Pool (Collateral) Financing Loan EUR (Collateral CCY) USD (Collateral CCY) EUR, USD (Billing CCY) EUR (Billing CCY) USD (Billing CCY) Collateral e.g. EONIA, EURIBOR Collateral e.g. FED FUND Loan Securities n/a Cash * Benchmark with spread can be used instead of a plain rebate rate. e.g. EONIA, EURIBOR Cash e.g. FED FUND Loans versus Cash Principal Collateral CM Borrower and CM Lender need to agree upon a Rebate rate which is used for calculation of the rebates. Besides a plain Rebate rate for EUR also a benchmark with spread is supported. Eurex Clearing supports EONIA and EURIBOR as benchmarks. For USD currently no benchmarks are supported. The Rebate rate and the spread can be positive, negative, or zero. The Rebate rate and the spread are represented in basis points per year. The rebate is calculated in the collateral currency. Loans versus Non-cash Principal Collateral CM Borrower and CM Lender need to agree on a fee rate for the lending fee. The fee rate is represented in basis points per year. It must be equal or greater than zero. For loans versus non-cash Principal Collateral, CM Borrower and CM Lender can optionally agree on a minimum fee. The minimum fee is the amount of lending fees that has at least to be paid during the loan lifecycle. The lending fee is calculated in the billing currency as provided by the members via their common TPFP. The billing currency might differ from the collateral currency of the loan.

4 Loan Lifecycle Management Page 42 of 55 Loan versus Cash Pool Loan versus Cash Pool is a specific type of loan versus cash Principle Collateral where the CM Lender and CM Borrower need to agree on a lending fee for the loan security leg and separately a rebate for the cash (pool) collateral leg. For details please refer to Loans versus cash Principal Collateral or Loans versus noncash Principal Collateral respectively. Financing Loans Financing Loan is a specific type of loan where the CM Lender provides cash (in EUR or USD) to the CM Borrower versus non-cash Principal Collateral which will be pledged towards the CM Lender. CM Borrower and CM Lender need to agree upon a Rebate rate that is used for calculation of the rebates on the cash amount. For details please refer to Loans versus cash Principal Collateral. Calculation of Lending Fees and Rebates Lending fees and rebates are calculated for open loans only. A loan is first time subject to lending fee/rebate calculation on the actual settlement date of the front leg. Billing Cycle The billing cycle for the Lending CCP is monthly. All billing events that fall into a specific billing cycle are aggregated into the bill for this cycle. The creation and the distribution of the bill are conducted on the 7th business day of the following month.

4 Loan Lifecycle Management Page 43 of 55 4.13 Reports The following table lists reports used for Eurex Clearing s CCP Service for. The Clearing Members shall reconcile the reports with their own data and inform Eurex Clearing in case of any deviations. Report ID Report Name Description CL165 Manufactured Payment Statement Provides manufactured payments deriving from income Corporate Action events related to all loans affected by the event CL300 Rebate Lending Fee Contains all rebate and lending fee information for the current billing period CL200 Loan MTM Contains the related Mark to Market calculation results per loan out of the last Mark to Market calculation. No MTM calculation for Financing Loans. CL260 Loan Obligations Contains all loans where the term leg has not yet settled fully CL290 Street View Records Summarizes single allocation view trades to one street view record. The single trades are linked by a common reference. TL100 Loan Confirmations Contains loan confirmations due to new loan requests and cancellations TL750 Exposure Reference Contains all loans versus non-cash Principal Collateral having an exposure ID from the Triparty Collateral Agent TL760 TL770 Loan Maintenance Loan Returns Contains changes of loans Contains received recalls, returns and related Buy-in requests and the related withdrawals Further information regarding the reports are provided on: www.eurexclearing.com > Member Section > Technology > Lending CCP > Documentation > Reports Documentation > CCP Release 9.2 Description of Reports Formatted

4 Loan Lifecycle Management Page 44 of 55 4.14 Sample Questions 4-001 After loan novation Eurex Clearing coordinates the exchange of loan securities versus principal collateral. True False Correct answer: True 4-002 What happens if on the contractual settlement date of a Fixed-Term Loan the CM Borrower does not fulfill his obligation to return the loan securities? A: Eurex Clearing gives instruction to transfer the Principal Collateral to the CM Borrower account. B: The loan is closed by Eurex Clearing. C: The loan remains open. D: Eurex Clearing returns Principal Collateral to the CM Lender account at the TPCA (non-cash collateral) or payment agent (cash collateral). Correct Answer: C D 4-003 Which statements regarding Return and Recall requests are correct? A: The CM Borrower is entitled to request a return for Open-Term loans on unilateral basis, if the Return request respects the standard settlement cycles for the relevant loan securities settlement market. B: The CM Borrower is entitled to request a return for Fixed-Term loans on unilateral basis, if the Return request respects the standard settlement cycles for the relevant loan securities settlement market. C: Return requests always comprise of the full loan quantity. D: The CM Lender is entitled to request a recall for Open-Term loans on unilateral basis, if the Return request respects the standard settlement cycles for the relevant loan securities settlement market. Correct Answer: A D 4-004 For an Open-Term loan a Buy-in is only executed if a Buy-in request is provided by the CM Lender. True False Correct answer: True

4 Loan Lifecycle Management Page 45 of 55 4-005 When will cash settlement be performed for loan securities? A: In case of an unsuccessful Buy-in auction B: In case of a partially successful Buy-In auction C: In case of a successful Buy-in auction D: None of the above Correct answer: A B 4-006 Which statement is correct? A: Rebates apply for loans versus non-cash Principal Collateral. B: Lending fees apply for loans versus cash Principal Collateral. C: Rebates apply for loans versus cash Principal Collateral, versus Cash Pool and for Financing Loans and lending fees apply for loans versus non-cash Principal Collateral. D: No answer is correct. Correct answer: C 4-007 The Report Loan MTM contains the related Mark to Market calculation results per loan out of the last Mark to Market calculation. True False Correct answer: True

5 Delivery Management Page 46 of 55 5 Delivery Management All settlement and payment instructions originating from a new loan transaction are processed on a gross basis. Transactions are sent to the CSD/payment bank not before the contractual settlement date either as soon as processing starts or immediately after loan is received (applicable for T+0 trades). The same applies for Returns. In order to allow for loan transactions, where the loan collateral is in a different currency than the underlying securities and in order to be in line with market practice, the settlement process will be based on Free of Payment (FoP) transactions paired with cash instructions. This process will be coordinated by Eurex Clearing to perform a Delivery versus Payment (DvP) service towards the Clearing Members. In case the CM Lender and the CM Borrower have accounts with the same ICSD, internal transfers will be used. 5.1 Home Market Settlement for Equity Loan Securities According to the market practise Eurex Clearing operates the settlement of loan equities at the relevant home market of the equity. In regard to the home market settlement concept, Eurex Clearing requires Clearing Member settlement accounts for each of the relevant domestic CSDs where the Clearing Member chooses to be active. The collection and distribution concept, see chapter 4.1.1 and 4.7.1.1, stays in place for all connected CSDs. 5.2 International Market Settlement for Fixed Income Loan Securities Eurex Clearing operates the settlement of loan fixed income securities at the ICSDs Clearstream Banking Luxembourg and Euroclear Bank. In regard to the international market settlement concept, Eurex Clearing requires a Clearing Member settlement account for one of the ICSDs (choice of settlement location). In case a settlement between the two ICSDs is required, the Bridge Settlement between Clearstream Banking Luxembourg and Euroclear Bank will be used. 5.3 Bridge Settlement for Fixed Income Loan Securities In case the CM Lender and the CM Borrower do not have settlement accounts with the same ICSD, bridge settlement instructions will be applied (only applicable for Fixed Income Loan Securities). Eurex Clearing will always use its own account with the ICSD of the receiving counterparty of the loan securities as target (receive) account for the bridge settlement. Eurex Clearing will collect the loan securities from the distributing counterparty and initiate the bridge transfer to its own ICSD account. Once the transfer of the loan securities and the cash / non-cash collateral is confirmed, Eurex Clearing will onward transfer the loan securities to the ICSD account of the receiving counterparty using internal settlement. For Bridge Settlement dedicated intraday deadline will apply.

5 Delivery Management Page 47 of 55 Figure 5-1: Bridge settlement in case of loan opening (above) and loan closing (below) in fixed income securities 5.4 Corporate Action Handling on loan securities In case of a Corporate Action on the loan securities, the CM Lender is still the economic owner of the loan securities, and as such, entitled to the proceeds of the Corporate Action. To ensure his economic rights, the CM Lender has always the alternative of recalling the loan securities before the entitlement date 9 of the Corporate Action. However, in many cases, CM Lender and CM Borrower prefer to avoid the closure of the loan transaction due to a Corporate Action. Consequently, the CM Lender will claim a compensation for the corresponding Corporate Action proceeds from the CM Borrower. This compensation can be in the form of cash compensation between the two parties, the update of the existing loan or the creation of a new loan, depending on the type of the Corporate Action. 5.4.1 Business Context in the CCP model In the CCP model, the CCP becomes Borrower to the Lender, and Lender to the Borrower. Thus, the CM Lender will claim the compensation for his economic rights towards Eurex Clearing. In the current environment, Eurex Clearing is making the distinction between the following Corporate Actions types: 9 Entitlement date in an Ex Date Market is Ex Date 1 business day; in a Record Date market the entitlement date equals the Record Date

5 Delivery Management Page 48 of 55 Mandatory Corporate Actions: A Mandatory Corporate Action is an event initiated by the board of directors of a corporation that affects all shareholders. Participation of shareholders is mandatory for these Corporate Actions. Voluntary Corporate Actions: A Voluntary Corporate Action is an action where the shareholders elect to participate in the action. A response is required from the possible participants to process the Corporate Action. Mandatory Corporate Actions with Options: This Corporate Action is a Mandatory Corporate Action where shareholders are given a chance to choose among several options. Eurex Clearing will base its Corporate Action processing on the following principles: Mandatory Corporate Actions will be handled automatically where possible. In case the Corporate Action cannot be handled automatically, it is reported to the counterparties to be handled manually. Eurex Clearing enables market participants to arrange for all types of voluntary corporate actions bilaterally while keeping the underlying loan instruction open in the CCP environment. Eurex Clearing does not distribute any upfront Corporate Action information to the Clearing Members on either the Mandatory Corporate Actions or the Voluntary Corporate Actions. Clearing Members shall stay informed about upcoming Corporate Actions on their open loans. Eurex Clearing processes the positions for each loan for which the securities are on loan on the entitlement date and the opening request for that loan had been received and novated by Eurex Clearing before the Ex date. Open loans, that were back-loaded, need to be taken into consideration for compensation only if the date of back-loading the loan was before the Ex-date of the Corporate Action, otherwise no compensation is deemed necessary as all financial obligations resulting from the bilateral securities lending contract prior to the novation by Eurex Clearing, are not covered. The CM Borrower shall hold the necessary assets in form of cash and/or securities and the CM Lender shall hold the necessary Principal Collateral for Eurex Clearing to be able to process the Corporate Action on time.

5 Delivery Management Page 49 of 55 5.5 Sample Questions 5-001 Eurex Clearing operates the settlement of loan fixed income securities at the ICSDs Clearstream Banking Luxembourg and Euroclear Bank. A: True B: False Correct Answer: True 5-002 Which statements regarding Corporate Actions as part of the CCP service are correct? A: Eurex Clearing processes Corporate Actions for loan securities and for Principal Collateral. B: Eurex Clearing processes Corporate Actions for loan securities only. C: Eurex Clearing does not distribute any upfront Corporate Action information to the Clearing Members. D: The CM Borrower shall hold the necessary assets in form of cash and/or securities to be able to process the Corporate Action on time. Correct Answer: B C D

6 Risk Management Page 50 of 55 6 Risk Management For the service the Risk-based Margining of Eurex Clearing is applied. The risk management of the CCP Service for is integrated in the overall risk management of Eurex Clearing. A clear distinction has to be made between Principal Collateral to cover for the Principal Exposure in a Securities Loan transaction or Financing Loan transaction and Margin Collateral to cover for the (additional) exposure versus the Clearing House anticipating on the price changes of the instruments concerned. 6.1 Principal Exposure and Principal Collateral The component principal exposure is inherent to securities lending and is related to the market value of the loan securities. Loan securities are transferred from CM Lender to CM Borrower in exchange for loan collateral. In case of a Financing Loan, lendable cash is transferred from CM Lender to CM Borrower in exchange of non-cash collateral. The loan collateral is called Principal Collateral.The exchange of Principal Collateral is considered as one leg of the loan transaction and covers for the non-return of the loan assets by the CM Borrower (Principal Exposure). At the novation of the loan, the Principal Exposure is calculated by Eurex Clearing based on the current market value of the loan securities, in case of a Financing Loan, Principal Exposure is equal to the cash loan value. The Principal Exposure has to be secured by the Principal Collateral. The Principal Collateral depends on the loan transaction type (cash or non-cash). 6.1.1 Mark-to-Market Calculation With the exception of Financing Loans, each day Eurex Clearing performs a mark-to-market calculation of the Principle Exposure that has to be collateralized by Principal Collateral and compares it to the current Principal Exposure. The mark-to-market calculation is performed at end-of-day (EoD). Eurex Clearing distinguishes between current Principal Collateral and required Principal Collateral. The current Principal Collateral is the amount of collateral that has already been exchanged between CM Lender and CM Borrower while the required Principal Collateral is the result of the EoD mark-to-market calculation. The process of mark-to-market calculation is applicable for pending loans (novated but front leg has not settled yet) and open loans (front leg settled). In case of pending loans the required Principal Collateral is calculated during EoD process starting with the day of CCP novation. In regard to the settlement requirements for loan opening this procedure implicates that Eurex Clearing calculates the required Principal Collateral amount on the preceding business day before front leg settlement day. In case of open loans the required Principal Collateral for the current business day is also calculated within the EoD process at preceding business day. In addition, the difference between current Principal Collateral and required Principal Collateral is exchanged between CM Borrower and CM Lender upon instruction of Eurex Clearing CM Borrower and CM Lender should ensure that sufficient cash or non-cash Principal Collateral is allocated on their respective payment bank or Tri-party Collateral Agent accounts.

6 Risk Management Page 51 of 55 The Principal Exposures are calculated using the market prices and quantities for equity security loans and the nominal, market prices and accrued interest amounts in case of fixed income security loans. If the CM Lender and CM Borrower had agreed on a markup in their loan transaction(s) the Principal Exposure is calculated accordingly. When the cash Principal Collateral currency is different from the denomination currency of the loan securities, Eurex Clearing applies the related exchange rate to the cash Principal Collateral. 6.1.2 Handling of Cash Principal Collateral For loans versus cash Principal Collateral the Principal Collateral is secured by the equivalent amount of cash. During loan opening and loan closing the exchange of cash Principal Collateral between the CM Lender and the CM Borrower via Eurex Clearing takes place on a loan-by-loan basis. During the lifecycle of a loan, at the end-of-day Eurex Clearing performs a mark-to-market processing for the loan securities in order to adjust the required Principal Collateral (Variation Margin). This procedure ensures the loan securities position is re-valued at the daily settlement price. The difference between today s and the previous day s settlement price is reflected by daily compensation payments. VVVVVVVVVVVVVVVVVV MMMMMMMMMMMM = (CCCCCCCCCCCCCC PPPPPPPPPPPPPPPPPP CCCCCCCCCCCCCCCCCCCC RRRRRRRRRRRRRRRR PPPPPPPPPPPPPPPPPP CCCCCCCCCCCCCCCCCCCC) oopppppp llllllllll Please Note: This calculation is not associated with the Variation Margin for Futures in the context of Risk Based Margining. The corresponding payments to Principal Exposure adjustments are calculated on a loan by loan basis and are instructed for settlement on a net / offset basis with value date the next business day. 6.1.3 Handling of Non-cash Principal Collateral For loans versus non-cash Principal Collateral the Principal Exposure needs to be covered by a selection of Principal Collateral securities. Eurex Clearing cooperates with Tri-party Collateral Agents Clearstream Banking Luxenbourg and Euroclear Bank for the management of the non-cash Principal Collateral in its service offering. CM Lender and CM Borrower have to agree to use the same Tri-party Collateral Agent, either Clearstream Banking Luxembourg (CBL) or Euroclear Bank (EB). No cross-collateralization between the Tri-party Collateral Agents is supported. The Tri-party Collateral Agent manages the Principal Collateral based on the principal exposure information that is calculated and sent by Eurex Clearing. For this service, the Tri-party Collateral Agents apply eligibility criteria provided by Eurex Clearing for the selection of suitable Principal Collateral securities (Eurex Clearing Standard Eligibility Set). Collateral receivers (CM Lender) can further customize their eligibility profiles and be more restrictive than the Standard Eligibility Set of Eurex Clearing.

6 Risk Management Page 52 of 55 During loan opening, the principal exposure is instructed towards the Tri-party Collateral Agents using a loan and exposure identifier both for the collateral receiver (CM Lender) and for the collateral provider (CM Borrower). The Tri-party Collateral Agent assigns a unique exposure reference to Eurex Clearing s instruction. The allocation and settlement of the Principal Collateral (to collateralize the requested Principal Exposure) is confirmed by the Tri-party Collateral Agent. The Tri-party Collateral Agents include the CCP exposure within their standard reporting for the collateral receiver (CM Lender) and collateral provider (CM Borrower). Within the report TL750 (Exposure reference), Eurex Clearing provides a mapping on the active CCP loan identifiers and Tri-party Collateral Agent exposure identifiers. During the life cycle of a loan, the required Principal Exposure is re-calculated and compared to the current Principal Exposure value of the previous day. If a delta exists, the new Principal Exposure is instructed by Eurex Clearing to the Tri-party Collateral Agent on the next morning (by using the same loan and exposure identifier as during loan opening). The required Principal Collateral needs to be successfully settled and confirmed by the Tri-party Collateral Agent before any other requests can be processed by Eurex Clearing, e.g. (partial) loan returns initiated by the CM Borrower or Forced returns. Please note that all movements of non-cash Principal Collateral are executed on a gross loan-by-loan basis, i.e. no netting of non-cash Principal Collateral will be applied by Eurex Clearing. 6.2 Additional Exposure and Margin Collateral Margin Collateral is provided to Eurex Clearing and covers for the Additional Exposure (CCP). Securities lending includes the obligation to redeliver the loan securities and to redeliver the Principal Collateral (if transferred). This exposure has to be collateralized by margin 10. The component additional exposure is inherent to a Eurex Clearing service and is related to the risk of price changes of the positions. During the whole lifecycle of the loan the additional exposure will be calculated using the Risk-based Margining methodology of Eurex Clearing (chapter 5.1 of the Basic Module). Both legs of the loan transaction will be taken into account: the delivery of the loan securities and the delivery of the Principal Collateral. The additional exposure is calculated near-time intraday (i.e. approximately every 10 minutes) by Eurex Clearing based on the obligations resulting from the loan transaction, i.e. the obligation to redeliver the loan securities or lendable cash and to redeliver the Principal Collateral. The margin requirement quantifies the potential losses if the positions would have to be liquidated. Margin Collateral always stays at Eurex Clearing. There is a Margin Collateral pool which covers all asset classes. Margin requirements for securities lending can be offset against margin requirements of other asset classes (e.g. cash market for equities and bonds).margin Collateral can be provided in securities or cash according to the eligibility rules of the Clearing House. Margin Collateral can be posted to the Eurex Clearing margin collateral locations. 10 Besides the margining of the loan securities and Principal Collateral, margining also applies for lending fees, rebates and dividend payments. Please refer to Eurex Clearing s Clearing Conditions for further details.

6 Risk Management Page 53 of 55 6.2.1 Impact of the End-of-Day Mark-to-Market Process During the marked-to-market Eurex Clearing takes the newly calculated value of the principal exposure into account for its margin calculation as soon as the Variation Margin payments (for loans versus cash Principal Collateral, see chapter 6.1.2) have been instructed or as soon as the adjustment of Principal Collateral (for loans versus non-cash Principal Collateral, see chapter 6.1.3) has been confirmed by the Triparty Collateral Agent.

6 Risk Management Page 54 of 55 6.3 Sample Questions To answer the following questions please refer to chapter 2.4, Loan Transaction Types and chapter 4, Loan Lifecycle Management as well. 6-001 Loan securities are transferred from CM Lender to CM Borrower in exchange for loan collateral. The loan collateral is called Principal Collateral. True False Correct answer: True 6-002 Which statement regarding the mark-to-market calculation of Eurex Clearing is wrong? A: The mark-to-market calculation is only applicable for loans which have been novated and where the front leg has not settled yet (pending loan). B: The mark-to-market calculation is performed at end-of-day. C: The calculation is based on the current market value of the loan securities. D: The required Principal Collateral is the result of the EoD mark-to-market calculation. Correct answer: A 6-003 If the non-cash Principal Collateral is pledged to the CM Lender, the CM Lender... A: has to provide margin to the CCP. B: has to provide margin to the CM Borrower. C: does not have to provide margin to the CCP. D: has to provide margin to the Specific Lender License Holder (CM Lender with SLL). Correct Answer: C 6-004 Which statements regarding the collateral management at Tri-Party Collateral Agents (TPCA) are correct? A: Eurex Clearing cooperates with TPCAs for the management of the non-cash Principal Collateral of loan transactions. B: CM Lender and CM Borrower have to agree to use the same TPCA. C: A cross-collateralization between the TPCA is in place. D: The TPCA manages the Principal Collateral based on the principal exposure information that is calculated and sent by Eurex Clearing Correct Answer: A B D

6 Risk Management Page 55 of 55 6-005 Which statement regarding the additional exposure is wrong? A: The additional exposure is calculated using the Risk-based Margining methodology. B: Both legs of the loan transaction are taken into account: the delivery of the loan securities and the delivery of the Principal Collateral. C: The additional exposure is calculated using the Prisma (Portfolio based Margining) methodology. D: The additional exposure is calculated near-time intraday. Correct Answer: C 6-006 The additional exposure has to be covered by Margin Collateral. True False Correct answer: True