Rules of

The Clearing Corporation 
 

1. INTERPRETATION

 
 

101. Definitions.

 

Board; Board of Directors

 

      The Board of Directors of The Clearing Corporation.

 

Business Day

 

Any day (other than Saturdays, Sundays and holidays observed by The Clearing Corporation) on which The Clearing Corporation is open for business.  References in these Rules to a “day” or “Business Day” shall, unless the context otherwise requires, mean the “Business Day” corresponding to the trading day declared by the relevant Market.

 

Bylaws

 

The Bylaws of The Clearing Corporation, as in effect from time to time.

 

Certificate of Incorporation

 

The Restated Certificate of Incorporation of The Clearing Corporation, as amended from time to time.

 

Collateral

 

At any time, such property, other than Margin, as may be delivered, or in which a security interest may be granted, by a Participant to The Clearing Corporation or its custodian, as collateral for the Obligations, and all proceeds of the foregoing.

 

Commission

 

      The U.S. Commodity Futures Trading Commission.

 

Commodities

 

All goods, articles, services, rights and interests in which Exchange Contracts are dealt in.

 

Contracts

 

Exchange Contracts and OTC Contracts.

 

Default

 

Any event that would constitute a default under Rule 605.

 

Eurex

 

The exchanges operating as Eurex Deutschland and Eurex Zurich AG.

 

Eurex Clearing

 

      Eurex Clearing AG, Frankfurt, a German corporation.

 

EurexUS

 

      U.S. Futures Exchange, L.L.C., a Delaware limited liability company.

 

Exchange Contract

 

A Futures Contract, Option on a Futures Contract or Option on a Commodity that is dealt in on or subject to the rules of an Exchange Market or a Linked Exchange and submitted to The Clearing Corporation for clearance in accordance with these Rules.

 

Exchange Market

 

An exchange or market that has been designated by or registered with the Commodity Futures Trading Commission as a contract market or derivatives transaction execution facility, is party to an agreement with The Clearing Corporation for the provision of clearing services, and is specifically identified in these Rules as an Exchange Market.

 

      . . .  Interpretations and Policies:

 
 

Final Settlement

 

With respect to a Participant that has open Trades or positions in Contracts at the close of trading on the Last Trading Day, the issuance of instructions by The Clearing Corporation to such Participant’s settlement bank to debit or credit the Participant’s variation settlement account on the next Business Day and the acceptance thereof by such settlement bank.

 

Futures Contracts

 

Contracts for the purchase or sale of a Commodity for future delivery dealt in pursuant to the rules of an Exchange Market.

 

General Guaranty Fund

 

At any time, funds or other property of The Clearing Corporation, set aside and recorded on the books of The Clearing Corporation in support of the Obligations of Participants in respect of all Contracts except for those expressly subject to a Special Guaranty Fund.

 

Guaranty Funds

 

The General Guaranty Fund and such Special Guaranty Funds as are in existence from time to time.

 

Last Trading Day

 

The final day of trading in a Contract, as set forth in the rules of the relevant Market or in these Rules.

 

Link Agreement

 

“Link Agreement” has the meaning given that term in Rule 9-102B.

 

Linked Clearinghouse

 

      The clearinghouse for a Linked Exchange, whether a separate entity or a division  of such linked exchange.

 

      . . . Interpretations and Policies:

 

.01 The following clearinghouses are Linked Clearinghouses in respect of the  following Linked Exchanges:

 

(a) Eurex Clearing in respect of Eurex.

 

Linked Exchange

 

An Exchange Market whose Contracts are submitted to The Clearing Corporation for clearing in accordance with these Rules pursuant to an agreement between The Clearing Corporation and the primary clearinghouse for such Exchange Market.

 

      . . .  Interpretations and Policies:

 

Margin

 

Original Margin (including super and special margin), Option premiums and variation settlements paid or payable by or to a Participant to or by The Clearing Corporation.

 

Markets

 

Exchange Markets and OTC Markets.

 

Obligations

 

All financial obligations of a Participant arising under these Rules in respect of or arising out of Contracts, in either case however created, arising or evidenced, whether direct or indirect, absolute or contingent, existing, due or to become due.

 

Option

 

An Option on a Futures Contract or Option on a Commodity, dealt in pursuant to the rules of an Exchange Market.

 

OTC Contract

 

An agreement, contract, or transaction that is specifically identified in these Rules as an OTC Contract and submitted to The Clearing Corporation in accordance with these Rules and that is: (i) (A) an interest rate swap, option, or forward agreement, including a rate floor, rate cap, rate collar, cross-currency rate swap, basis swap, or forward rate agreement; (B) a same day-tomorrow, tomorrow-next, forward, or other foreign exchange or precious metals agreement; a currency swap, option, or forward agreement; (C) an equity index or equity swap; (D) a debt index or debt swap; (E) a credit spread or credit swap, option, or forward agreement; (F) a commodity index or commodity swap, option, or forward agreement; or (G) a weather swap, weather derivative, or weather option; (ii) similar to any other agreement, contract, or transaction referred to above that is a forward, swap, or option on one or more occurrences of any event, rates, currencies, commodities, economic or other indices or measures of economic or other risk or value; (iii) excluded from the Commodity Exchange Act under section 2(c), 2(d), 2(f), or 2(g) of such Act, or exempted under section 2(h) or 4(c) of such Act; or (iv) an option to enter into any, or any combination of, agreements, contracts or transactions referred to herein.

 

      . . . Interpretations and Policies:

 
 

OTC Market

 

A market that is party to an agreement with The Clearing Corporation for the provision of clearing services and that is specifically identified in these Rules as an OTC Market.

 

      . . . Interpretations and Policies:

 
 

Participant

 

A person (other than Eurex Clearing ) as Special Clearing Member) that has been approved by The Clearing Corporation for the submission of Contracts and that is party to an agreement with The Clearing Corporation specifically relating to transactions in Contracts.

 

Person

 

An individual, sole proprietorship, partnership, limited liability company, association, firm, trust, corporation or other entity, as the context may require.

 
 

President

 

The President of The Clearing Corporation.

 

Rule

 

References to a “Rule” or “Rules” are references to the Rules of The Clearing Corporation.

 

Settlement Price

 

The price, established in accordance with Rule 404, for open Contracts.

 

Special Clearing Member

 

A Linked Clearinghouse that acts on behalf of its own members or Participants as a clearing member of another Linked Clearinghouse pursuant to an agreement between The Clearing Corporation and such Linked Clearinghouse.

 

      … Interpretations and Policies:

 
 

Special Guaranty Fund

 

One or more Guaranty Funds established by The Clearing Corporation in support of the Obligations of Participants in respect of Contracts made on or subject to the rules of the Markets specified herein.

 

      … Interpretations and Policies:

 
 

Trades

 

Transactions in Contracts.

 

Transfer Trades

 

With respect to Exchange Contracts, transactions commonly referred to as give-ups, office transfers, exchanges of futures for physicals or exchanges of futures for swaps, as well as such other transactions in Exchange Contracts as may be defined as Transfer Trades by The Clearing Corporation.  With respect to OTC Contracts, transactions in OTC Contracts that are defined as Transfer Trades by The Clearing Corporation.

 

102. Scope and Interpretation.

 
 

 

2. MEMBERSHIP

 
 

201. Qualifications of Participants.

 
 
 

202. Application for Participant Status.

 
 

203. Restriction on Activity.

 

The failure to continue to comply with the conditions of the Rules may subject a Participant to a suspension or revocation of clearing privileges.  In addition, or in the alternative, and in either case in its sole discretion, The Clearing Corporation shall be authorized:  (a) to impose such additional capital, Margin or other requirements as it shall deem appropriate for the protection of The Clearing Corporation and its Participants; (b) to allow such Participant to submit Trades solely for the Participant’s own account; (c) to allow such Participant to submit Trades for liquidation only; (d) to limit or restrict the type of Contracts that may be cleared by such Participant in any of its accounts with The Clearing Corporation; or (e) to limit or restrict the number of Contracts that are permitted to be maintained by such Participant in any of its accounts with The Clearing Corporation.

 

204. Financial Statements of Participants.

 

Each Participant shall submit statements of its financial condition at such times and in such manner as shall be prescribed from time to time.

 
 

205. Parent Guarantee.

 
 

      . . .  Interpretations and Policies:

 
 

206. Common Owner Guarantee.

 
 

207. Notices Required of Participants.

 
 

      . . . Interpretations and Policies:

 
 

208. Exchange Membership.

 

The Clearing Corporation may decline or restrict the ability of a Participant to clear Trades made on any Exchange where such Participant is not admitted to the privileges of membership or is not approved by such Exchange Market to clear Trades made on or subject to the rules of such Exchange Market.

 

209. Termination of Participant Status.

 
 

 

3. CLEARING OF CONTRACTS

 
 

301. Effect of Clearance.

 

Trades submitted for clearance by or for the account of a Participant shall be submitted to The Clearing Corporation as required by the Rules and the rules of the Market, and if The Clearing Corporation accepts the same, as provided in Rule 310, the buying Participant shall be deemed to have bought such Contract from The Clearing Corporation and the selling Participant shall be deemed to have sold such Contract to The Clearing Corporation. Upon such substitution, such buyers and sellers shall be released from their obligations to each other, and The Clearing Corporation shall be deemed to have succeeded to all the rights, and to have assumed all the obligations, of the original parties to such contracts, to the extent provided in these Rules.

 

302. Tender of Trades.

 

The filing of a Trade confirmation by or on behalf of a Participant, as hereinafter provided, shall be deemed a tender to The Clearing Corporation for clearance of the Trade listed on such confirmation.  These Rules shall constitute part of the terms of each Contract tendered to The Clearing Corporation.

 

303. Adjustments.

 
 

304. Offsets.

 

Where, as the result of substitution under Rule 301, a Participant has bought from The Clearing Corporation any amount of a given Contract for a particular delivery, and subsequently, and prior to such delivery, such Participant sells to The Clearing Corporation any amount of the same Contract for the same delivery, the second transaction shall be deemed pro tanto a settlement or adjustment of the prior transaction, except as provided in Rule 311, and except with respect to Options.  In like manner, where a Participant sells to The Clearing Corporation any amount of a given Contract for a particular delivery, and subsequently, and before delivery, such Participant buys any amount of the same Contract for the same delivery, the second transaction shall be deemed pro tanto a settlement or adjustment of the prior transaction, except as provided in Rule 311, and except with respect to Options.  Thereupon, such Participant shall become liable to pay the loss or entitled to collect the profit, as the case may be, upon such adjusted transactions, and shall be under no further liability to receive or make delivery with respect thereto.  For purposes of this Rule, the first Trades made shall be deemed the first Trades offset.

 

305. Trade Confirmations.

 

Each Business Day, the exact hours as from time to time fixed by The Clearing Corporation, Participants shall file with The Clearing Corporation confirmations, in the manner prescribed by The Clearing Corporation (which, in the case of electronic trading systems that submit matched trades to The Clearing Corporation, shall be satisfied by confirming reports automatically generated by such system that contain the information set forth herein), covering Trades made during the day (including scratch Trades) showing for each Trade (a) the identity of both Participants, (b) whether bought or sold, (c) the quantity involved, (d) the delivery month, (e) the Contract expiration and series involved, (f) the price and/or premium, (g) whether for house, customer, non-customer or floor trader account, and (h) such other information as may be required by The Clearing Corporation to effect the matching of Trades between the buyer and the seller.

 

306. Disagreement in Trade Confirmations.

 

If a Trade confirmation of any Participant shall not correspond in all material respects with the confirmation of the other party to such Trade, The Clearing Corporation may reject such Trade and notify both Participants, setting forth the basis of such objection.

 

307. Statement of Trades and Positions.

 

The Clearing Corporation shall make available to a Participant a statement of Trades and positions for each Business Day on which such Participant has Trades to be cleared or a position open with The Clearing Corporation.  Such statement shall show the amounts the Participant shall pay to or receive from The Clearing Corporation under Rule 303 and the amount of premium the Participant shall pay to or receive from The Clearing Corporation, in all cases at the time and in the manner prescribed by The Clearing Corporation.

 

308. Daily Variation Settlements.

 

If the statement of Trades and positions made available to a Participant under Rule 307 shows a net balance in favor of The Clearing Corporation, the Participant shall, at the time and in the manner prescribed by The Clearing Corporation, pay such net balance to The Clearing Corporation.  Payment will be considered made hereunder only if made in a manner prescribed by The Clearing Corporation and results in immediate credit to the account of The Clearing Corporation.  If such statement shows a net balance in favor of the Participant, The Clearing Corporation shall promptly pay, at the time and in the manner prescribed by The Clearing Corporation, the amount of such net balance to the Participant.

 

309. Statement of Original Margins and Premiums.

 

At the time a statement of the Participant’s Trades and positions is made available pursuant to Rule 307, The Clearing Corporation shall also make available a statement showing original Margins and Option premiums deposited by the Participant, the amount of such Margins and premiums required by The Clearing Corporation, and the Participant’s net surplus of, or deficit in, such Margins and premiums.

 

310. Acceptance of Trades by Clearing Corporation.

 

The Clearing Corporation shall accept no Trades for clearance except for the account of its Participants.  A Trade, except a Transfer Trade, is accepted upon either The Clearing Corporation’s receipt and acknowledgment of a matched Trade or matching of Trade confirmations.  A Transfer Trade is accepted upon receipt of all payments and deposits required to be made pursuant to these Rules by the Participants who are parties to the Transfer Trade.  Issuance by The Clearing Corporation, to a Participant, of a statement of Trades and positions as provided in Rule 307 shall constitute confirmation that the Trades listed on such statement, except Transfer Trades, have been accepted by The Clearing Corporation.

 

311. Trades for Customers.

 

Where a Participant clears a Trade for a customer, whether a member or non-member of an Exchange Market, the Participant becomes liable to The Clearing Corporation and The Clearing Corporation liable to the Participant on such Trade in the same manner and to the same extent as if the Trade were for the account of the Participant; provided, however, that Trades made on or subject to the rules of an Exchange Market and designated by the Participant as for the Participant’s customer shall not be offset under Rule 304 against Trades designated by the Participant as for the Participant’s own account.

 

312. Separate Accounts.

 

A Participant required by law to segregate a particular class of transactions with The Clearing Corporation shall maintain a separate account for that purpose (the “separate account”).  When appropriately so designated by the Participant, the separate account shall be treated as to Margins, Option premiums, daily variation settlements, deliveries and all other operations as though it were the account of a different Participant except that, (a) excess funds in any other account of the Participant may be allocated by The Clearing Corporation to the separate account to the extent necessary to meet applicable Margin and variation deposit requirements of these Rules, and (b) if the Participant is in Default under Rule 605 as to any account maintained by the Participant with The Clearing Corporation or for any reason ceases to be a Participant, the open Trades in all such accounts may be closed in the open market, transferred to any other Participant, or otherwise resolved and the deficit, if any, in the separate account applied against the balance in any other account of the Participant.  The Clearing Corporation shall maintain all funds held in the separate accounts in accordance with relevant provisions of the Commodity Exchange Act and Commission regulations.

 

313. Records.

 

Participants shall keep permanent records showing, with respect to each purchase or sale, the names of both Participants, the Futures Contract, Option series, quantity, date, price, delivery or expiration month, the name or account identifier of the customer for whom the Trade was made and such other information as may be required by law, regulation, or by The Clearing Corporation.  Such permanent records shall be retained for at least five years, either in original form or in such other form as The Clearing Corporation may from time to time authorize, and shall be deemed the joint property of The Clearing Corporation and the Participant keeping such records.  The Clearing Corporation shall be entitled to inspect or take temporary possession of such records at any time upon demand.

 

314. Reporting.

 

Participants shall make reports of their positions at the time and in the manner prescribed by The Clearing Corporation.

 

315. Limitation of Liability.

 

The liability of The Clearing Corporation relating to or arising out of Contracts shall be limited to losses resulting from the substitution of The Clearing Corporation upon Contracts in accordance with these Rules, but in no event shall the amount of such liability exceed the amount on deposit in the General Guaranty Fund. The Clearing Corporation shall not be liable for obligations of a non-Participant or obligations of a Participant to a non-Participant (other than, in each case, Eurex Clearing), obligations of a Participant to another Participant who is acting for such other Participant as broker, or obligations of a Participant to a customer, nor shall The Clearing Corporation become liable to make deliveries to or accept deliveries from a customer of a Participant.

 

      . . .  Interpretations and Policies:

 

316. Non-Acceptance of Trades.

 

In case of the non-acceptance of the Trades of any Participant, The Clearing Corporation shall be deemed to have incurred no obligations respecting the Trades that are not so accepted.  It shall be incumbent upon the Participants who are parties to any such Trades to take such steps as the Participants may deem necessary or proper for such Participants’ own protection.

 

317. Authority of President.

 

Without limitation of any authority conferred by the Certificate of Incorporation, the Bylaws, other provisions of these Rules, or resolutions of the Board or any committee of the Board, the President is authorized, should he deem it necessary or advisable, to take such action as he deems necessary or appropriate for the protection of The Clearing Corporation.  The President may take such action pending a meeting of the Board or committee of the Board, but shall modify or rescind such action if so instructed by the Board or such committee.

 

 

4. MARGIN AND SETTLEMENTS

 
 

401. Clearing Corporation Lien.

 

Each Participant agrees that The Clearing Corporation shall have a first lien and security interest on all Margin, Option premiums, Trades, positions and other property held in or for the accounts of such Participant as security for all obligations of such Participant to The Clearing Corporation.

 

402. Original Margin.

 
 

403. Variation Deposits.

 

Margin called by reason of market fluctuations shall be known as variation deposits and shall be paid by Participants to The Clearing Corporation on demand in the manner prescribed by Rule 308.  Variation deposits shall be deemed payments on account of Trades and positions for that Business Day and shall be reflected on statements of Trades and positions for that day.  The Clearing Corporation may require Participants to make additional variation deposits at any time to the extent of market fluctuations.

 

404. Settlement Price.

 

405. Cash Margin Deposits.

 

If the statement of original Margins furnished to a Participant under Rule 309 shows a deficit in original Margins, such Participant shall, at the time and in the manner prescribed by The Clearing Corporation, pay an amount in U.S. Dollars, or foreign currency acceptable to The Clearing Corporation, sufficient to cover such deficit to The Clearing Corporation.  Payment will be considered made hereunder only if made in a manner prescribed by The Clearing Corporation and if such payment results in immediate credit to the account of The Clearing Corporation.

 

406. Non-Cash Margin Deposits.

 

In lieu of maintaining original Margins in cash, as provided for in Rule 405, Participants may deposit such types of collateral as may be approved by The Clearing Corporation.

 

When a Participant is in default, all non-cash Margins may be converted to cash or otherwise transferred by The Clearing Corporation for the account of the Participant or its customers.

 

407. Option Premiums.

 

Participants shall deposit Option premiums with The Clearing Corporation at the time and in the manner prescribed by The Clearing Corporation.

 

5. DELIVERIES

 
 

501. Delivery Notices.

 

A selling Participant obligated or desiring to make delivery of a Commodity shall issue and deliver to The Clearing Corporation a delivery notice containing the name and business address of the issuer of such notice; the date of issue; the date of delivery; the name of such Commodity; the total contracted quantity in satisfaction of which the delivery is being tendered; and such other information as The Clearing Corporation shall require.  Delivery notices shall be furnished to The Clearing Corporation electronically in such form as may be specified by The Clearing Corporation. 

 

The Clearing Corporation shall assign deliveries to Participants having Contracts to take delivery, for their own account or for one or more customers, of the same or lesser amount of the same Commodity.  The Clearing Corporation shall notify such Participants of the deliveries that have been assigned to them and shall furnish to the Participant issuer of a delivery notice the name of the Participant obligated to accept delivery and the number of contracts for which such buying Participant is obligated. Participants receiving delivery notices shall assign delivery to the oldest open contracts on their books at the close of business on the previous day.

 

502. Purchases and Sales for Physical Delivery.

 

Issuance of a notice of intention to deliver by a Participant to The Clearing Corporation shall constitute an offer by such Participant to sell to The Clearing Corporation the specified quantity of the Commodity involved, at the delivery price, and to purchase from The Clearing Corporation the same quantity of the same Commodity at the same price.  Acceptance of such notice by The Clearing Corporation shall constitute its acceptance of the Participant’s offer to sell and repurchase. Such acceptance is effective at the time delivery is required to be made according to the Rules of The Clearing Corporation, and, to the extent not specified herein, to the rules and regulations of the relevant Exchange Market.

 

Assignment of delivery to a Participant by The Clearing Corporation shall constitute an offer of The Clearing Corporation to sell to such Participant the specified quantity of the Commodity involved, at the delivery price, and to purchase from such Participant the same quantity of the same Commodity at the same price. Acceptance of such assignment of delivery by such Participant shall constitute his acceptance of The Clearing Corporation’s offer to sell and repurchase.  Such acceptance is effective at the time delivery is required to be made pursuant to these Rules, and, to the extent not specified herein, to the rules and regulations of the relevant Exchange Market.

 

The Clearing Corporation shall, at the time delivery is required to be made, consider the corresponding sales to such assigned buyers made hereunder as having been settled and shall apply the opposing repurchase made hereunder as an adjustment of the respective Participants’ futures positions with The Clearing Corporation in the manner prescribed by these Rules.

 

503. Delivery Price.

 

All deliveries on Futures Contracts shall be made at the Settlement Price of the day preceding the day of issuance of notice of intention to deliver, or at the price required in the contract terms and conditions, if such terms and conditions require a different price.  The statement of Trades and positions specified in Rule 307 will reflect futures positions closed by delivery and the amount of final adjustment bringing delivery prices to Settlement Prices of the day of notice.

 

504. Posting of Deliveries.

 

During each delivery month, The Clearing Corporation shall cause to be posted, not later than the Business Day following the filing of notices of intention to deliver, the name of each Participant issuing notices of intention to deliver on Futures Contracts and the total amount of each Commodity tendered by such Participant for delivery, together with the name of each Participant to which such deliveries have been assigned and the total amount of each Commodity assigned to such Participant.

 

505. Settlements on Defaulted Deliveries.

 

506. Assignment of Exercises of Options.

 

Upon receipt of notices of intention to exercise Options cleared through The Clearing Corporation, issued by buyers in accordance with the rules and regulations of the Exchange Market, The Clearing Corporation shall assign such exercises to eligible sellers in accordance with such rules and regulations. The Clearing Corporation shall promptly notify selling Participants as to the exercises assigned to them and shall furnish to buying Participants the names of selling Participants obligated to accept such assignments. Delivery and payment shall be made in the time and manner prescribed by the rules and regulations of the Exchange Market.

 

Any Option not exercised by the date and time fixed for expiration of the Option in the rules and regulations of the Exchange Market shall not be exercisable.

 

507. Exercise Price.

 

All Option exercises shall be made at the strike price of the Option.  The statement of Trades and positions issued pursuant to Rule 307 will reflect the offsetting of each Option that was exercised and assigned, Trades and positions in Futures Contracts resulting therefrom, and the amount of the final adjustment (being the strike price marked to the Settlement Price on the day the Option was exercised).

 

508. Deliveries in the Event of Bankruptcy.

 
 

509. Cash Settlement.

 

After trading ceases on the last day of trading for Futures Contracts without physical delivery, The Clearing Corporation shall consider the maintenance of an open position by a Participant to constitute an offer to sell to or an offer to purchase from The Clearing Corporation the specific quantity of the Futures Contract involved at the Settlement Price determined for such Futures Contract on the last day of trading in such contracts.

 

The Clearing Corporation shall, once trading in such Futures Contracts has terminated pursuant to the rules and regulations of the Exchange Market, consider the corresponding sales or purchases made hereunder as an adjustment of the respective Participants’ positions in Futures Contracts with The Clearing Corporation in the manner prescribed by these Rules.

 

 

6. MISCELLANEOUS

 
 

601. Emergencies.

 
 

602. Physical Emergencies.

 

In the event the physical functions of The Clearing Corporation are, or are threatened to be, severely and adversely affected by a physical emergency such as, but not limited to, fire or other casualty, bomb threats, substantial inclement weather, power failures, communications breakdowns or transportation breakdowns, the Chairman, a Vice Chairman or the President of The Clearing Corporation or, in their absence, another officer of The Clearing Corporation, is authorized to take such action as he or she shall deem necessary or appropriate to deal with such emergency.

 

603. Force Majeure.

 

Notwithstanding any other provision of these Rules, The Clearing Corporation shall not be obligated to perform its obligations under these Rules or any agreement with a Participant relating to Contracts, or to compensate any person for losses occasioned by any delay or failure of performance, to the extent such delay or failure is the result of acts of God, lightning, earthquake, fire, epidemic, landslide, drought, hurricane, tornado, storm, explosion, flood, nuclear radiation, act of a public enemy or blockade, insurrection, riot or civil disturbance, strike or labor disturbance, or any other cause beyond The Clearing Corporation’s reasonable control (whether or not similar to any of the foregoing).

 

If The Clearing Corporation shall, as a result of any of the above-described events, fail to perform any of its obligations, such failure shall be excused for a period equal to the period of delay caused by such event.  In such an event, The Clearing Corporation shall give written notice thereof to the affected Market or such Participant, as the case may be, as soon as it is reasonably practicable and attempt diligently to remove such condition.

 

604. Suspension of Rules.

 

The time frames fixed by these Rules, interpretations or policies of The Clearing Corporation for the doing of any act or acts may be extended, or the doing of any act or acts required by these Rules or any interpretations or policies of The Clearing Corporation may be waived, and any provision of these Rules or any interpretations or policies of The Clearing Corporation may be suspended by the Board or by any officer of The Clearing Corporation having a rank of Vice President or higher whenever, in the judgment of the Board or such officer, such extension, waiver or suspension is necessary or expedient.  Any such extension or waiver may continue in effect after the event or events giving rise thereto but shall not continue in effect for more than thirty calendar days after the date thereof unless it shall be approved by The Clearing Corporation within such period of thirty calendar days.

 

605. Defaults.

 
 

606. Fees; Fines and Charges.

 
 

607. Trading by Employees Prohibited.

 
 

608. Forms; Transmission of Data to The Clearing Corporation.

 
 

609. Just and Equitable Principles of Trade; Acts Detrimental to the Interest or Welfare of The Clearing Corporation.

 
 

610. Death, Disappearance or Incapacity of Individual Participant.

 
 

611. Construction in Accordance with Illinois Law.

 

The Rules of The Clearing Corporation, and all rights and obligations thereunder, shall be construed in accordance with the internal laws of the State of Illinois, without giving effect to the conflict of law provisions thereof.

 

 

7. [RESERVED]

 
 
 
 

 

8. GUARANTY FUND

 
 

801. General Guaranty Fund.

 
 

      … Interpretations and Policies:

 
 

802. Special Guaranty Funds.

 
 

… Interpretations and Policies:

 

 

9. U.S. FUTURES EXCHANGE, L.L.C. and EUREX DEUTSCHLAND/EUREX ZURICH AG

 

      9A. U.S. FUTURES EXCHANGE, L.L.C. – U.S. Dollar Denominated      Contracts; Currency Contracts  

 
 

The Rules in this Chapter 9A apply to the settlement and clearance of USD Contracts and Currency Contracts (as defined herein) traded on or subject to the rules of EurexUS.

 

9-101A. Definitions.

 

Bank

 

A U.S. commercial bank (either Federal or State charter) that is a member of the Federal Reserve System and has capital, surplus and undivided earnings in excess of $100,000,000.

 

Commodity

 

Any good, article, service, right or interest (including Currency) in which USD Contracts or Currency Contracts are dealt in.

 

Currency

 

Money denominated in the lawful currency of a country or the European Union.

 

Currency Contract

 

Those Exchange Contracts involving Currency Pairs and set forth in Interpretations and Policies .01(a) to the definition of “Exchange Markets” in Rule 101 with respect to EurexUS.

 

Currency Pair

 

The two Currencies that may be exchanged in connection with a Currency Contract.

 

Off-Order Book Trade

 

A Trade in USD Contracts or Currency Contracts, other than an On-Order Book Trade, that is matched bilaterally for the account of Participants outside the EurexUS central order book or that is generated by EurexUS for the account of Participants other than through the EurexUS central order book, such as exchanges of futures for physicals (basis trades), exchanges of futures for swaps, block trades, strategy trades, volatility trades, and reverse trades (canceling erroneous trades), but not including a Post-Trade Transaction.

 

On-Order Book Trade

 

A Trade in USD Contracts or Currency Contracts that is matched in the central order book of EurexUS.

 

Post-Trade Transaction

 

With respect to a transaction or position in a USD Contract or Currency Contract, the transfer of positions by one or more Participants, a give-up or split-up, and such other trade and position management and similar instructions as may be authorized from time to time by The Clearing Corporation.

 

Range

 

A range, not greater than the highest trade price or less than the lowest trade price in the relevant USD Contract or Currency Contract traded on EurexUS on the same Trading Day, in either case as increased or decreased by the amount(s) set forth in the rules of EurexUS.

 

USD Contract

 

Those Exchange Contracts denominated in U.S. Dollars and set forth in Interpretations and Policies .01(a) to the definition of “Exchange Markets” in Rule 101 with respect to EurexUS.

 

9-306A. Reserved.

 

9-310A. Acceptance of Trades by Clearing Corporation

 

In the case of all On-Order Book Trades, and Off-Order Book Trades falling within the Range, acceptance of the Trade occurs upon trade matching by the EurexUS trading system.  In the case of Off-Order Book Trades falling outside the Range and all Post-Trade Transactions, acceptance shall occur upon receipt of all payments and deposits required to be made pursuant to these Rules, by the Participants who are parties to such Trades and Transactions.

9-510A. Report of Eligibility to Receive Delivery.

 

Prior to 8:00 p.m. (or by such other time as may be specified by The Clearing Corporation) of each day on which delivery notices may be delivered to The Clearing Corporation, each Participant shall report to The Clearing Corporation, at such times and in such manner as shall be prescribed by The Clearing Corporation, the amounts of its purchases of Treasury futures Contracts then eligible for delivery which remain open on its books in accordance with these Rules.  Such reports shall show the dates on which such purchases were made, and shall exclude purchases to which the Participant has applied deliveries assigned to it but which remain open on its books pending receipt of delivery.  With respect to omnibus accounts, the reports described above shall show the dates on which such purchases were made, as reflected on the ultimate customers’ account statements.

 

9-511A. Payment for Delivery (U.S. Treasury Securities).

 

Payment shall be made in Federal Funds.  The buying Participant obligated to take delivery must take delivery and make payment before 1:00 p.m. on the day of delivery except as otherwise provided in Rule 9-515A and on banking holidays when delivery must be taken and payment made before 9:30 a.m. on the next banking business day.  Adjustments for differences between contract prices and delivery prices established by The Clearing Corporation shall be made with The Clearing Corporation.

 

9-512A. Buyer’s Banking Notification (U.S. Treasury Securities).

 

The buying Participant shall provide the selling Participant with notice, in such form as The Clearing Corporation may prescribe from time to time, setting forth: the identification number and name of the buying Participant; the delivery date; the notification number of the delivery assignment; the identification number and name of the selling Participant making delivery; the quantity of the Commodity being delivered; the buying Participant’s bank and account number; and specific Federal Reserve wire instructions for the transfer of securities.  Such notice shall be provided by 4:00 p.m. on the Business Day immediately prior to delivery day or by such other time as may be designated by The Clearing Corporation.

 

9-513A. Standards (U.S. Treasury securities).

 

The contract grade(s) for delivery on Treasury futures Contracts made under these Rules, together with any premiums or discounts applicable thereto, shall be as set forth in the rules of EurexUS.

 

9-514A. Deliveries on USD Contracts.

 

All deliveries on USD Contracts shall be assigned by The Clearing Corporation. Where a Participant has an interest both long and short for customers on its own books, it must tender to The Clearing Corporation such notices of intention to deliver as it received from its customers who are short.

 

Deliveries against U.S. Treasury securities underlying USD Contracts shall be by book-entry transfer between accounts of Participants at Banks in accordance with Department of the Treasury Circular 300, Subpart O: Book-Entry Procedure.  Delivery must be made no later than the last Business Day of the month. Notice of intention to deliver shall be given to The Clearing Corporation by 8:00 p.m., or by such other time designated by The Clearing Corporation, on the second Business Day preceding delivery day. If the buying Participant does not agree with the terms of the invoice received from the selling Participant, the buying Participant must notify the selling Participant, and the dispute must be settled by 9:30 a.m. on delivery day. The selling Participant must have contract grade U.S. Treasury securities in place at its Bank in a form acceptable to its Bank for delivery no later than 10:00 a.m. on delivery day.  The selling Participant must notify its Bank to transfer contract grade U.S. Treasury securities by book-entry to the buying Participant’s account at the buying Participant’s Bank on a delivery versus payment basis.  On delivery day, the buying Participant shall make funds available by 7:30 a.m. and notify its Bank to accept contract grade U.S. Treasury securities and to remit Federal Funds to the selling Participant’s account at the selling Participant’s Bank in payment for delivery therefor.  Contract grade U.S. Treasury securities must be transferred and payment must be made before 1:00 p.m. on delivery day.

 
 

9-515A. Wire Failure (U.S. Treasury Securities).

 

If delivery cannot be accomplished because of a failure of the Federal Reserve wire or because of a failure of either the buying Participant’s or the selling Participant’s Bank to have access to the Federal Reserve wire, delivery shall be made before 9:30 a.m. on the next day on which the Federal Reserve wire or Bank access to it is operable. Interest shall, in such circumstances, accrue to the buyer beginning on the day on which the securities were to be originally delivered and shall be paid to the buyer by the seller. In the event of such failure, both the buyer and seller must provide documented evidence that the instructions were given to their respective Banks in accordance with Rules 9-511A and 9-514A and that all other provisions of Rules 9-511A and 9-514A have been complied with.

 

9-516A. Date of Delivery (U.S. Treasury Securities).

 

Delivery of U.S. Treasury securities may be made by the selling Participant upon any permissible delivery day of the delivery month that the seller may select. Delivery of U.S. Treasury securities must be made no later than the last business day of the delivery month.

 

9-517A. Seller’s Invoice to Buyers (U.S. Treasury Securities).

 

Upon determining the buyers obligated to accept deliveries of U.S. Treasury securities tendered by issuers of delivery notices, The Clearing Corporation shall promptly furnish each issuer the names of the buyers obligated to accept delivery from such issuer and a description of each security tendered by the issuer that was assigned by The Clearing Corporation to each such buyer. Thereupon, sellers (issuers of delivery notices) shall prepare invoices addressed to their assigned buyers, describing the documents to be delivered to each such buyer. Such invoices shall show the amount which buyers must pay to sellers in settlement of the actual deliveries, based on the delivery prices established by The Clearing Corporation, and adjusted for applicable interest payments. Such invoices shall be delivered to The Clearing Corporation by 2:00 p.m., or by such other time designated by The Clearing Corporation, on the Business Day preceding the intended date of delivery, except on the next-to-last Business Day of the month, where such invoices shall be delivered to The Clearing Corporation by 3:00 p.m., or by such other time as may be designated by The Clearing Corporation. Upon receipt of such invoices, The Clearing Corporation shall promptly make them available to buyers in the manner determined by The Clearing Corporation from time to time.

 

9-518A. Deliveries on Currency Contracts.

 

A Participant’s net open position in a Currency Contract that is to be settled by delivery shall be effected by the purchase by such Participant or The Clearing Corporation of an agreed amount of one Currency against the sale by it to the other party of an agreed amount of another Currency, both such amounts being deliverable on the same date.  All such deliveries shall be made in and through The Clearing Corporation’s Continuous Link Settlement System account(s) or by such other means as The Clearing Corporation may authorize from time to time. Upon receipt of timely instructions from a Clearing Participant, The Clearing Corporation will net delivery settlements for any given Currency Pair separately for the customer and non-customer origins, but in no event will The Clearing Corporation net a Participant’s obligation to purchase or sell a particular Currency across Currency Pairs.  All deliveries in respect of Currency Contracts shall be made no later than the date required by rules of Eurex US.

 

9-519A. Daily Currency Interest Rate Adjustments.

 

      The Clearing Corporation shall effect a daily cash adjustment for each open spot equivalent currency futures contract to account for the financial difference between the currency future with the lower interest rate and the currency future with the higher interest rate.  The Clearing Corporation shall affect such cash adjustments solely based upon the cash adjustment instructions provided by EurexUS.   The Clearing Corporation shall not be liable for any inaccuracies, errors, or miscalculations relating to the adjustment instructions provided by EurexUS.

 
 
 

 

9B. EUREX DEUTSCHLAND/EUREX ZURICH AG – Euro Denominated Contracts

 
 

The Rules in this Chapter 9B apply to the settlement and clearance of Trades in respect of Euro Contracts (as defined herein) made on or subject to the rules of Eurex.

 

9-101B. Definitions.

 

Bank

 

A branch of Deutsche Bundesbank or a correspondent bank that holds an account at a branch of Deutsche Bundesbank.

Business days

 

The business days within the meaning of Chapter 9B  shall be the Exchange days determined by the Boards of Management of Eurex.

CET

 

Central European Time, as in effect in Frankfurt am Main, Germany, from time to time.

Clearstream

 

Clearstream Banking AG, Frankfurt am Main, a subsidiary of Clearstream International, SA, or a custodian bank or financial services institution that has an account with Clearstream Banking AG.

EUR

 

The lawful currency of the participating member states of the European Union that adopt a single currency in accordance with the Treaty establishing the European Communities, as amended by the Treaty on European Union.

 

Euro Contract

 

Those Exchange Contracts that are denominated in Euros and set forth in Interpretations and Policies .01(a) to the definition of “Linked Exchange” in Rule 101 with respect to Eurex.

 

      . . .  Interpretations and Policies:

 

Exchange days

 

The Exchange days within the meaning of Chapter 9B shall be the days determined as such by the Boards of Management of Eurex.

Exchange

 

As used in Appendices 9B-I and 9B-II, “Exchange” means Eurex.

Link Clearinghouse

 

The Clearing Corporation or Eurex Clearing, as the context may require.

Non-clearing member

 

A person, including but not limited to a Participant’s customer, that is permitted to enter trades directly into the Eurex trading system.  The term “non-clearing member” does not include Participants or members of Eurex Clearing.

Post-Trade Transaction

 

With respect to a transaction or position in a Euro Contract, the transfer of positions in Euro Contracts by one or more Participants (including Transfer Trades such as position transfers and give up Trades as set forth in Appendices 9B-1 and 9B-II), and such other trade and position management and similar instructions as may be authorized from time to time by The Clearing Corporation.

 

Settlement Price

 

The price, established in accordance with Rule 9-404B, for open Euro Contracts.

 
 
 

9-102B. Scope and Interpretation.

 

The Clearing Corporation and Eurex Clearing have established a Global Clearing Link that permits Euro Contracts traded on Eurex to be cleared through either The Clearing Corporation or Eurex Clearing pursuant to the terms of a Link Clearing Agreement between Eurex Clearing and The Clearing Corporation (as amended from time to time, the “Link Agreement”).  With respect to Trades in Euro Contracts executed on Eurex, Eurex Clearing serves as the primary clearinghouse, including with respect to Trades that are cleared at The Clearing Corporation as a Linked Clearinghouse.

 

Under the Link Agreement, The Clearing Corporation will be a Special Clearing Member of Eurex Clearing, and as such will maintain an omnibus account at Eurex Clearing to clear and settle Trades in Euro Contracts made by Participants of The Clearing Corporation.  The rights and duties of The Clearing Corporation as a Special Clearing Member are governed by the Link Agreement.  Eurex Clearing will be the counterparty to The Clearing Corporation (as Special Clearing Member) for such Trades and an omnibus account will be maintained for that purpose at The Clearing Corporation.  The Clearing Corporation will be the exclusive counterparty to its Participants in respect of all such Trades. The Clearing Corporation will calculate and collect original margin from its Participants for such Trades in accordance with its Rules, policies and procedures, and will apply its Rules and procedures in the event of a Default by its Participants.

 

Under the Link Agreement, Eurex Clearing will determine settlement prices for all such Trades in Euro Contracts pursuant to its rules and will pay and collect all variation settlement amounts resulting from the daily marking-to-market of all Euro Contracts.  When a Euro Contract has been made for the account of a Participant, Eurex Clearing, acting solely as the agent of The Clearing Corporation, will arrange for the payment of Euro (€) variation settlement amounts either to and from an account established by such Participant at a Bank or through an account structure maintained by The Clearing Corporation.

 

Eurex Clearing will also administer option exercise and assignment processing and maintain the infrastructure for open interest reporting with respect to all Trades in Euro Contracts.  Finally, Eurex Clearing will receive and assign delivery notices and instructions in respect of Euro Contracts.  Participants who wish to clear Euro Contracts will therefore be required either to open and maintain delivery settlement accounts at Clearstream (in addition to the variation settlement accounts discussed above) and grant Eurex Clearing the authority to debit and credit such accounts on behalf of The Clearing Corporation, or effect deliveries through an account structure maintained by The Clearing Corporation.  As agent for The Clearing Corporation, Eurex Clearing will have no legal obligation to any Participant.

 

This Rule 9-102B is qualified in its entirety by the other Rules of The Clearing Corporation, including the Rules in this Chapter 9B and Appendix 9B-I.

 

9-103B. Additional Rules Relating to Euro Contracts.

 

The Rules attached hereto as Appendix 9B-I relating to, among other things, (i) the payment and collection of variation settlement amounts provided for in Rule 9-308B, (ii) the exercise and assignment process for Options, (iii) the notification and allocation process for deliveries on Contracts, (iv) physical deliveries (including, but not limited to, provisions in respect of failed deliveries), (v) give-up and take-up processing, (vi) cash payments (including fees and charges for late deliveries), (vii) trade and position management, (viii) position and open interest reporting, and (ix) timelines, holiday calendars, schedules and deadlines, all in respect of Euro Contracts, and the Rules attached hereto as Appendix 9B-II relating to, among other things, entry of certain over-the-counter Euro Contracts into the system of Eurex Clearing, are made applicable to each Participant clearing Trades in Euro Contracts and shall be governed by the laws of the Federal Republic of Germany notwithstanding the provisions of Rule 611.  To the extent that a subject addressed in Appendix 9B-I or 9B-II is also the subject of a Rule in Chapters 1 – 8, the provisions of Appendix 9B-I or 9B-II shall control to the extent of any conflict.

 

9-209B. Termination of Participant Status.

 

      Rule 209, as supplemented by Rules 1.7.1 and Rules 1.7.2 in Appendix 9B-I,  shall apply to all transactions in Euro Contracts.

 

9-301B. Effect of Clearance.

 

Trades submitted for clearance by or for the account of a Participant shall be submitted to The Clearing Corporation as required by the Rules and the rules of Eurex and Eurex Clearing, and a buying Participant shall be deemed to have bought such Contract from The Clearing Corporation and a selling Participant shall be deemed to have sold such Contract to The Clearing Corporation.  Upon such substitution, such buyers and sellers shall be released from their obligations to each other, and The Clearing Corporation shall be deemed to have succeeded to all the rights, and to have assumed all the obligations, of the original parties to such contracts, to the extent provided in these Rules.  In the case of all Trades in Euro Contracts, acceptance of such Trades occurs immediately upon the acceptance of such Trades by Eurex Clearing.

.

 

      … Interpretations and Policies:

 
 

9-302B. Reserved.

 

9-306B. Reserved.

 

9-308B. Daily Variation Settlements.

 

(a)  Each Participant clearing Trades in Euro Contracts shall either open and maintain an account at a Bank to serve as the variation settlement account for such Participant’s positions in Euro Contracts, or shall effect variation settlements through an account structure maintained by The Clearing Corporation.

 

(b) If the statement of Trades of Euro Contracts and positions made available to a Participant under Rule 307 shows a net balance in such account in favor of The Clearing Corporation, the Participant shall, at the time and in the manner prescribed by Eurex Clearing (acting as agent for The Clearing Corporation), pay such net balance as directed by Eurex Clearing.  Payment will be considered made hereunder only if made in a manner prescribed by Eurex Clearing that will result in immediate credit to the account of The Clearing Corporation.  If such statement shows a net balance in such account in favor of the Participant, Eurex Clearing, acting on behalf of The Clearing Corporation, shall promptly cause to be paid, at the time and in the manner prescribed by Eurex Clearing, the amount of such net balance to the Participant.  All such payments made or collected by Eurex Clearing as agent for The Clearing Corporation shall be deemed to have been made or collected by The Clearing Corporation.

 

9-310B. Reserved.

 

9-314B. Reporting.

 

Participants shall make reports of their positions at the time and in the manner prescribed by The Clearing Corporation and Eurex Clearing.

 

9-315B. Limitation of Liability

 

(a) The liability of The Clearing Corporation relating to or arising out of Contracts shall be limited to losses resulting from the substitution of The Clearing Corporation upon Contracts in accordance with these Rules, but in no event shall the amount of such liability exceed the amount on deposit in the General Guaranty Fund.  The Clearing Corporation shall not be liable for obligations of a non-Participant or obligations of a Participant to a non-Participant (other than, in each case, Eurex Clearing), obligations of a Participant to another Participant who is acting for such other Participant as broker, or obligations of a Participant to a customer, nor shall The Clearing Corporation become liable to make deliveries to or accept deliveries from a customer of a Participant.

 

(b) Eurex Clearing has agreed to provide certain systems, services and settlement infrastructure, including (but not limited to) the issuance of instructions for variation settlement and deliveries and the allocation of notices of Option exercise, to Clearing Corporation participants.  Eurex Clearing does so solely as agent for The Clearing Corporation, and there are no warranties or representations, express or implied, provided by Eurex Clearing with respect to such systems, services or infrastructure.  Eurex Clearing shall not be liable to any person other than The Clearing Corporation for any loss, damage, cost or expense arising out of the performance or non-performance of such services or the provision or non-provision of such systems or infrastructure by Eurex Clearing.

 

      . . .  Interpretations and Policies:

 
 

9-316B. Non-Acceptance of Trades

 

In case of the non-acceptance of the Trades of one or more Participants in accordance with the rules of Eurex or Eurex Clearing, The Clearing Corporation shall be deemed to have incurred no obligations respecting the Trades that are not so accepted.  It shall be incumbent upon a Participant that is party to any such Trade to take such steps as the Participant may deem necessary or proper for such Participant’s own protection.

 

9-403B. Reserved.

 

9-404B. Settlement Price.

 

The Settlement Price for Euro Contracts shall be the closing price as determined in accordance with the rules of Eurex Clearing.

 

9-407B. Reserved.

 

9-501B –

9-508B. Reserved.

 

9-509B. Cash Settlement

 

      A Euro Contract that remains open through the last trading day shall be settled in  the manner specified in the Rules for such Euro Contract in Appendix 9B-I, and,  upon such settlement, The Clearing Corporation shall be discharged from its  obligations with respect to such Euro Contract.

 

9-510B. Physical Delivery.

 

Participants shall fulfill their delivery and payment obligations with respect to Euro Contracts in accordance with instructions issued by Eurex Clearing on behalf of The Clearing Corporation.

 

      … Interpretations and Policies:

 
 

(a) Each Participant clearing Trades in Euro Contracts shall either open and maintain a settlement account at Clearstream to serve as a settlement account for physical deliveries, in which case,  each such Participant shall grant Eurex Clearing, as agent for The Clearing Corporation, a power of attorney to directly debit or credit such settlement account as necessary to satisfy such Participant’s obligation to make or take delivery, or effect physical deliveries through an account structure maintained by The Clearing Corporation.

 

(b) Eurex Clearing shall not be a contracting party to the deliveries and payments arising out of the settlement of physical delivery of Euro Contracts and all physical deliveries and payments shall be concurrently performed between Participants and/or members of Eurex Clearing, and Eurex Clearing, as agent for The Clearing Corporation.  Participants that are obligated to make delivery in satisfaction of a Euro Contract shall deliver in accordance with the instructions of Eurex Clearing (given on behalf of The Clearing Corporation) to the Participants and/or Clearing Members of Eurex Clearing obligated to take delivery in satisfaction of a Euro Contract, in each case in exchange for payment therefor.

 

(c) Participants are responsible for ensuring their ability to effect deliveries and payments either through sufficient deposits in their securities account at Clearstream and sufficient credit balances in their corresponding cash accounts at a Bank, or through sufficient funding in the account structure maintained by The Clearing Corporation.

 

9-605B. Defaults.

 

      Rule 605, as supplemented by Rules 1.7.1 and 1.7.2 in Appendix 9B-I, shall  apply to all transactions in Euro Contracts.

 

9-612B. Non-Performance by a Linked Clearinghouse.

 

Upon the default of a Linked Clearinghouse under the terms of a Link Agreement, The Clearing Corporation shall have the right, without prejudice to any other rights it may have against such Linked Clearinghouse, cause all or a portion of the Trades and Contracts held (A) in any omnibus account maintained by The Clearing Corporation for such Linked Clearinghouse and (B) in any omnibus account maintained by such Linked Clearinghouse for The Clearing Corporation (i) to be offset against each other, or closed in the open market, and, to the extent of any remaining imbalance, against the Trades and positions of Participants; or (ii) settled at the Settlement Price for such Contracts, or at such other price or prices as The Clearing Corporation may deem fair and reasonable in the circumstances, all as provided in the Link Agreement.  The Clearing Corporation may in such circumstances defer closing or otherwise settling such Trades and Contracts if, in its discretion, it determines that the closing out of some or all of such Trades or Contracts would not be in the best interests of The Clearing Corporation or Participants, taking into account the size and nature of the positions in question, market conditions prevailing at the time, the potential market effects of such liquidating transactions as might be directed by Clearing Corporation, and such other circumstances as it deems relevant.

 

 

1.2 General

1.2.1  Conclusion of Transactions

 

2. Definitions 

Agent Position Account

 

      An internal account carried on the books of both Eurex and The Clearing  Corporation that contains Trades in Euro Contracts carried out by a  Participant on behalf of customers.

Boards of Management

 

      The Boards of Management of Eurex Deutschland and Eurex Zurich AG.

Clearing Member

 

A person who has been issued a general or direct clearing license by Eurex Clearing.

Conditions of Trading

 

The Conditions for Trading at Eurex Deutschland and Eurex Zurich AG as in effect from time to time.

Contract Specifications

 

The Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland and Eurex Zurich AG as in effect from time to time.

Eonia

 

The effective overnight rate for euro computed as a weighted average of all overnight unsecured lending transactions in the interbank market, initiated within the euro area by the contributing panel banks.

Exchange Rules

 

The Exchange Rules for Eurex Deutschland and Eurex Zurich AG as in effect from time to time.

Euribor

 

The rate at which euro interbank term deposits within the euro zone are offered by one prime bank to another prime bank.

Euribor ACI

 

Financial Markets Association, a Belgian international non-profit association and (with Euribor FBE) co-sponsor of Euribor.

Euribor FBE

 

European Banking Federation, a Belgian international non-profit association and (with Euribor ACI) co-sponsor of Euribor.

European Central Bank

 

The central bank for the euro area nations, established in 1998 and headquartered in Frankfurt am Main, Germany.

Give-Up Trades

 

Transfers of transactions from the Agent Position Account of an Exchange Participant to Agent Position Accounts and Principal Position Accounts of another Exchange Participant.

M-Position Account

 

An internal account carried on the books of both Eurex and The Clearing Corporation that contains transactions resulting from quotes into the Eurex system, including transactions resulting from orders as principal, if appropriately designated.

Notice Day

 

Notice Day shall have the meaning ascribed in Sections 2.1.12.4(1), 2.1.13.4(1), 2.1.14.4(1) and 2.1.19.4(1) hereof.

Post-Trading Full Period

 

That portion of the Post-Trading Period which starts immediately after termination of the Trading Period and during which data requests as well as data input from and to the Eurex system are possible and admissible.

Post-Trading Period

 

Period following the Trading Period during which the Eurex system will remain available for data entry and data request.  The Post-Trading Period  comprised the Post-Trading Full Period and the Post-Trading Restricted Period.

Post-Trading Restricted Period

 

That portion of the Post-Trading Restricted Period which starts immediately after the Post-Trading Full Period and during which only data requests from the  Eurex system are possible and admissible.

Pre-Trading Period

 

That period prior to the commencement or resumption of options and futures trading during which orders and quotes may be entered into the Eurex system.

Principal Position Account

 

An internal account carried on the books on both Eurex and The Clearing Corporation that contains only Trades in Euro Contracts carried out by a Participant for its own account.

Same Day Settlement

 

Intra-day settlement run (delivery versus payment) at Clearstream.

Accounts of Participants

1.4.1 Position Accounts

1.4.1.1  Types of Position Accounts

 

1.4.1.2  Principal Position Accounts

 

1.4.1.3  Agent Position Accounts

 

1.4.1.4  M-Position Accounts

 

1.4.1.5  Account Management

 

1.4.2 Cash Clearing Accounts

 

1.7 Default

1.7.1 Events of Default

 

1.7.2 Technical Default

 

1.8 Relationship between Eurex Clearing and The Clearing Corporation

1.8.5  Rights and Obligations of The Clearing Corporation as Special Clearing Member

 

Settlement of Euro Contracts

2.1.2 Settlement of Futures Contracts on the Dow Jones Global Titans 50 Index  
(Dow Jones Global Titans 50 Index Futures)

      2.1.2.1 General Provisions

 

(1) The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of Dow Jones Global Titans 50 Index futures contracts.

(2) Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

      2.1.2.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2) The daily settlement price shall be determined by Eurex Clearing in accordance with its rules..

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

(4) With respect to the payments resulting from the daily settlement the provisions under subsection 2.1.2.1 shall apply mutatis mutandis.

      2.1.2.3 Margin Requirements

 

      Margins are subject to the provisions of Chapter 4 of these Rules.

      2.1.2.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.2.2) on the Exchange day preceding the last trading day, provided that the positions dated from the preceding day. With respect to the positions opened on the last trading day, the payment shall equal the difference between the final settlement price and the trading price.

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract on the basis of the average of the respective calculations of the Dow Jones Global Titans 50 Index determined on such day from 04:50 p.m. to 05:00 p.m. CET.

2.1.2.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.3 Settlement of Futures Contracts on the German Stock Index (DAX Futures)

2.1.3.1 General Provisions

 

(1) The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of DAX Futures contracts.

(2) Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.3.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2) The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.1.3.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.3.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.3.2) on the Exchange day preceding the last trading day.

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract based on the value of the DAX on such day, which will be calculated on the basis of the auction prices for the securities included in the DAX in the intra-day auction determined by Eurex Clearing fixed by the electronic trading system of the Frankfurt Stock Exchange (Xetra).

2.1.3.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.4 Settlement of Futures Contracts on the Mid Cap German Stock Index (MDAX Futures)

2.1.4.1 General Provisions

 

(1) The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of MDAX Futures contracts.

(2) Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.4.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2) The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.1.4.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.4.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.4.2) on the Exchange day preceding the last trading day.

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract based on the value of the MDAX on such day, which will be calculated on the basis of the auction prices for the securities included in the MDAX in the intra-day auction determined by Eurex Clearing fixed by the electronic trading system of the Frankfurt Stock Exchange (Xetra).

2.1.4.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.5 Settlement of Futures Contracts on Dow Jones STOXX 600 Sector Indices 
 (STOXX 600 Sector Index Futures)

2.1.5.1 General Provisions

 

(1)  The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of STOXX 600 Sector Index Futures contracts, which are based on the following index:

• Dow Jones STOXX 600 Banks Index

(2) Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3)  The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.5.2 Daily Settlement

 

1. For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

 

2. The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

 

3. Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

 

4. With respect to the payments resulting from the daily settlement the provisions under subsection 2.1.5.1 shall apply mutatis mutandis.

2.1.5.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.5.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.5.2) on the Exchange day preceding the last trading day, provided that the positions dated from the preceding day. With respect to the positions opened on the last trading day, the payment shall equal the difference between the final settlement price and the trading price.

 

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract on the basis of the average of the respective calculations of the Dow Jones STOXX 600 Sector Indices determined on such day from 11:50 a.m. to 12:00 CET.

2.1.5.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.6 Settlement of Futures Contracts on Dow Jones EURO STOXX Sector  Indices (EURO STOXX Sector Index Futures)

2.1.6.1 General Provisions

 

1. The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of EURO STOXX Sector Index Futures contracts, which are based on the following index:

 

• Dow Jones EURO STOXX Banks Index

 

2. Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

 

3. The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.6.2 Daily Settlement

 

1. For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

 

2. The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

 

3. Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

 

4. With respect to the payments resulting from the daily settlement the provisions under subsection 2.1.6.1 shall apply mutatis mutandis.

2.1.6.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.6.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.6.2) on the Exchange day preceding the last trading day, provided that the positions dated from the preceding day. With respect to the positions opened on the last trading day, the payment shall equal the difference between the final settlement price and the trading price.

 

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract on the basis of the average of the respective calculations of the Dow Jones EURO STOXX Sector Indices determined on such day from 11:50 a.m. to 12:00 CET.

2.1.6.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.7 Settlement of Futures Contracts on Dow Jones STOXX 600 Index 
 (STOXX 600 Index Futures)

2.1.7.1 General Provisions

 

(1) The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of STOXX 600 Index Futures contracts.

(2) Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.7.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2) The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.1.7.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.7.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.7.2) on the Exchange day preceding the last trading day.

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract on the basis of the average of the respective calculations of the Dow Jones EURO STOXX Sector Indices determined on such day from 11:50 a.m. to 12:00 CET.

2.1.7.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.8 Settlement of Futures Contracts on the Dow Jones STOXX Mid 200 (STOXX  Mid 200 Futures)

2.1.8.1 General Provisions

 

(1) The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of STOXX Mid 200 Futures contracts.

(2) Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.8.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2) The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

(4) With respect to the payments resulting from the daily settlement the provisions under subsection 2.1.8.1 shall apply mutatis mutandis.

2.1.8.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.8.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.8.2) on the Exchange day preceding the last trading day, provided that the positions dated from the preceding day. With respect to the positions opened on the last trading day, the payment shall equal the difference between the final settlement price and the trading price.

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract on the basis of the average of the respective calculations of the Dow Jones STOXX Mid 200 Index determined on such day from 11:50 a.m. to 12:00 CET.

2.1.8.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.9 Settlement of Futures Contracts on the Dow Jones STOXX 50 (STOXX  Futures)

2.1.9.1 General Provisions

 

(1) The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of STOXX futures contracts.

(2) Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.9.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2) The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

(4) With respect to the payments resulting from the daily settlement the provisions under subsection 2.1.9.1 shall apply mutatis mutandis.

2.1.9.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.9.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.9.2) on the Exchange day preceding the last trading day, provided that the positions dated from the preceding day. With respect to the positions opened on the last trading day, the payment shall equal the difference between the final settlement price and the trading price.

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract on the basis of the average of the respective calculations of the Dow Jones STOXX 50 determined on such day from 11:50 a.m. to 12:00 CET.

2.1.9.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.10 Settlement of Futures Contracts on the Dow Jones EURO STOXX 50 (EURO STOXX Futures)

2.1.10.1 General Provisions

 

(1) The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of EURO STOXX futures contracts.

(2) Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for payment pursuant to paragraph (1): All payments shall be made directly between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.10.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2) The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

(4) With respect to the payments resulting from the daily settlement the provisions under subsection 2.1.9.1 shall apply mutatis mutandis.

2.1.10.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.10.4 Performance

 

(1) Open positions from the last trading day of a contract shall be balanced on the final settlement day by means of a net payment credited to or debited from the internal cash clearing account of the Participant. Such payment shall equal the difference between the final settlement price of such contract and such contract’s daily settlement price (subsection 2.1.10.2) on the Exchange day preceding the last trading day.

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract on the basis of the average of the respective calculations of the Dow Jones EURO STOXX 50 determined on such day from 11:50 a.m. to 12:00 CET.

2.1.10.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.12  Settlement of Futures Contracts on a Notional Long-Term Debt   Security of the Federal Republic of Germany (Euro Bund    Futures)

2.1.12.1 General Provisions

 

(1)  The Clearing Corporation shall be a contracting party to all deliveries and payments arising out of the settlement of futures contracts.

(2)  Participants must fulfill their delivery and payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for delivery and payment pursuant to paragraph (1):

All physical deliveries and payments shall be concurrently performed between Participants or between Participants and a member of Eurex Clearing, as the case may be on the second Exchange day after the Notice Day (subsection 2.1.12.4); physical deliveries of securities shall be made through Clearstream and payments shall be made through the account specified by Clearstream.

Each Participant and Eurex Clearing must ensure, through appropriate instruction to Clearsteam that transactions can be processed on the Exchange day on which the delivery notice is given. All Participants must ensure their ability to effect deliveries and payments thereof through sufficient deposits in the securities account with the Clearstream and credit balances in the Participant’s Bank account.

2.1.12.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2)  The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

 

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

(4) With respect to the payments resulting from the daily settlement the provisions under subsection 2.1.12.1 paragraph (3) shall apply mutatis mutandis.

2.1.12.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.12.4 Performance

 

(1) A delivery obligation arising out of a short position in a Euro Bund Futures contract may only be performed by the delivery of debt securities of the Federal Republic of Germany designated by Eurex Clearing with a remaining term of eight and one-half to ten and one-half years. The debt securities shall have a minimum issuance volume of EUR 2 billion. Participants with open short positions must notify Eurex Clearing between the close of trading and the end of the Post-Trading Full Period on the day that is two Exchange days before the tenth calendar day of a quarter-end month (the “Notice Day”) which debt securities they will deliver. Any prior delivery notices may be amended until the end of such Post-Trading Full Period. If the delivery notice is not given in a timely manner, Eurex Clearing will select the debt securities to be delivered by such Participant.

One day prior to the delivery day the Participants must confirm to the clearing house in writing the actual availability of the debt securities which they have notified.

(2)  Eurex Clearing will, after the end of the Post-Trading Period on the Notice Day, allocate to the Participants with open long positions the debt securities notified for delivery, using a selection procedure that ensures the neutrality of the allocation process. The Participants will be informed on the next Exchange day as to which debt securities were allocated to them and at what tender price (subsection 1.12.1 paragraph (2) of the Contract Specifications for Futures Contracts and Options Contracts at Eurex.

(3) Paragraphs (1) and (2) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.1.12.5 Default in Delivery or Payment

 

(1) In the event that a Participant which is obligated to deliver is in default and fails to deliver the debt securities notified by it on the delivery day and pursuant to the instructions of Eurex Clearing, Eurex Clearing shall be entitled to take the following measures:

§ Eurex Clearing is entitled to obtain by means of securities lending the notified debt securities and deliver them to the Participant which did not receive delivery in a timely manner.

§ Eurex Clearing is entitled to designate from the basket of deliverable bonds debt securities other than those notified as debt securities to be delivered and to deliver such debt securities to the Participant which did not receive delivery in a timely manner.

In such case, the defaulting Participant must deliver the debt securities so notified by Eurex Clearing.

Eurex Clearing is entitled to obtain the notified debt securities by means of securities lending and to deliver them to the Participant which did not receive delivery in a timely manner.

§ In the event that the debt securities to be delivered are not delivered to Eurex Clearing as part of the standard transfer arrangement of Clearstream by the fifth Exchange day after the delivery day, Eurex Clearing shall be entitled to make a replacement purchase with respect to the undelivered debt securities. The replacement purchase may be carried out from the fifth Exchange day after the delivery day. Eurex Clearing will deliver the debt securities acquired through such replacement transaction to the Participant which did not receive delivery in a timely manner.

(2) Measures set forth in paragraph (1) are binding on the Participant which did not receive delivery in a timely manner.

(3) Any costs arising from the measures taken in accordance with paragraph (1) must be paid by the defaulting Participant.

(4) Furthermore, Eurex Clearing will charge the defaulting Participant a contractual penalty. The contractual penalty shall be calculated as follows:

   Eurex Clearing is entitled to a contractual penalty from the defaulting Participant until delivery is made by the defaulting Participant or until a replacement purchase is made by Eurex Clearing on the fifth Exchange day in the amount of 40 ticks per contract and calendar day. Should the defaulting Participant deliver the due debt securities in the second Same Day Settlement processing of Clearstream on the delivery day, the above-mentioned contractual penalty will be reduced to 4 ticks per contract. In addition, Eurex Clearing will charge a contractual penalty until delivery is made in an amount representing a specified percentage – to be announced by Eurex Clearing in advance - of the equivalent of the debt securities to be delivered; such percentage shall be based on the money-market rates prevailing in the market.

(5) In the event that any payment is not made on the payment date, subsection 1.7.1 paragraph (4) and subsection 1.7.2 paragraph (4) shall apply mutatis mutandis.

(6) The right of Eurex Clearing and the Participant which did not receive delivery in a timely manner to claim further damages shall remain unaffected.

2.1.13 Settlement of Futures Contracts on a Notional Medium-Term Debt Security of the Federal Republic of Germany (Euro BOBL Futures)

2.1.13.1 General Provisions

 

      The provisions of subsection 2.1.12.1 shall apply mutatis mutandis.

2.1.13.2 Daily Settlement

 

      The provisions of subsection 2.1.12.2 shall apply mutatis mutandis.

2.1.13.3 Margin Requirements

 

      The provisions of subsection 2.1.12.3 shall apply mutatis mutandis.

2.1.13.4 Performance

 

(1) A delivery obligation arising out of a short position in a Euro Bobl Futures contract may only be performed by the delivery of debt securities designated by Eurex Clearing.

  Delivery may be made with debt securities of the Federal Republic of Germany which have a remaining term of four and one-half to five and one-half years. The debt securities shall have a minimum issuance volume of EUR 2 billion.

  Participants with open short positions must notify Eurex Clearing after the close of trading but before the end of the Post-Trading Full Period on the date that is two Exchange days before the tenth calendar day of a quarter-end month (the “Notice Day”) which debt securities they will deliver. Any prior delivery notices may be amended until the end of such Post-Trading Full Period. If the delivery notice is not given in a timely manner, Eurex Clearing will select the debt securities to be delivered by such Participant.

  One day prior to the delivery day the Participants must confirm to the clearing house in writing the actual availability of the debt securities which they have notified.

(2) Eurex Clearing will, after the end of the Post-Trading Period on the Notice Day, allocate to the Participants with open long positions the debt securities notified for delivery, using a selection procedure that ensures the neutrality of the allocation process. The Participants will be informed on the next Exchange day as to which debt securities were allocated to them and at what tender price (subsection 1.13.1 paragraph (2) of the Contract Specifications for Futures Contracts and Options Contracts at Eurex.

(3) Paragraphs (1) and (2) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.1.13.5 Default in Delivery or Payment

 

      The provisions of subsection 2.1.12.5 shall apply mutatis mutandis.

2.1.14 Settlement of Futures Contracts on a Notional Short-Term Debt Security of the Federal Republic of Germany (Euro SCHATZ Futures)

2.1.14.1 General Provisions

 

The provisions of subsection 2.1.12.1 shall apply mutatis mutandis.

2.1.14.2 Daily Settlement

 

The provisions of subsection 2.1.12.2 shall apply mutatis mutandis.

2.1.14.3 Collateral Requirements

 

The provisions of subsection 2.1.12.3 shall apply mutatis mutandis.

2.1.14.4 Performance

 

(1) A delivery obligation arising out of a short position in a Euro Schatz Futures contract may only be performed by the delivery of debt securities designated by Eurex Clearing.

 

 Delivery may be made with debt securities of the Federal Republic of Germany which have on the delivery day a remaining term of one and three-quarter to two and one-quarter years. The issuance volume of the obligations shall amount to at least EUR 2 billion.

 

 Participants with open short positions must notify Eurex Clearing between the close of trading and the end of the Post-Trading Full Period on the day that is two Exchange days before the tenth calendar day of a quarter-end month (the “Notice Day”) which debt securities they will deliver. Any prior delivery notices may be amended until the end of such Post-Trading Full Period. If the delivery notice is not given in a timely manner, Eurex Clearing will select the debt securities to be delivered by such Participant.

 

 One day prior to the delivery day the Participants must confirm to the clearing house in writing the actual availability of the debt securities which they have notified.

 

(2) Eurex Clearing will, after the end of the Post-Trading Period on the Notice Day, allocate to the Participants with open long positions the debt securities notified for delivery, using a selection procedure that ensures the neutrality of the allocation process. The Participants will be informed on the next Exchange day as to which debt securities were allocated to them and at what tender price (subsection 1.14.1 paragraph (2) of the Contract Specifications for Futures Contracts and Options Contracts at Eurex.)

 

(3) Paragraphs (1) and (2) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.1.14.5 Default in Delivery or Payment

 

The provisions of subsection 2.1.12.5 shall apply mutatis mutandis.

2.1.16  Settlement of Futures Contracts on the Interest Rate for Three-Month  Cash Deposits in Euro (Three-Month Euribor Future)

2.1.16.1 General Provisions

 

(1)  The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of Three-Month Euribor Futures contracts.

 

(2)  Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

 

(3)  The following shall apply to the procedures for payments pursuant to paragraph (1): All payments shall be made between the Participants through their Bank accounts on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at a the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.16.2 Daily Settlement

 

(1)  For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

 

(2)  The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

 

(3)  Paragraph (1) shall apply to the legal relationship between the Participants and their customers mutatis mutandis.

2.1.16.3 Margin Requirements

      Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.16.4 Performance

 

(1) Open positions from the last trading day of a contract shall be settled by means of a net payment credited to or debited from the internal cash clearing account for the Participant. Such payments shall be determined on the final settlement day as the difference between the final settlement price of a contract and such contract’s daily settlement price (subsection 2.1.16.2) on the preceding trading day, provided that the positions dated from the preceding day. With respect to the positions opened on the last trading day, the payment shall equal the difference between the final settlement price and the trading price.

  The cash settlement pursuant to sentence 1 shall occur only on the settlement day, which is the Exchange day next following the final settlement day.

 

(2) The final settlement price shall be determined by Eurex Clearing on the final settlement day for a contract based on the reference interest rate EURIBOR in Euro which will be calculated by the Euribor FBE and Euribor ACI for three-month cash deposits.

2.1.16.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

2.1.17  Settlement of Futures Contracts on the Monthly Average of the  Effective Interest Rates for Overnight Inter-Bank Deposits, EONIA  (One Month EONIA Future) 

2.1.17.1 General Provisions

 

1. The Clearing Corporation shall be a contracting party to all payments arising out of the settlement of One Month EONIA Futures contracts.
2. Participants must fulfill their payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.
3. The following shall apply to the procedures for payments pursuant to paragraph (1): All payments shall be made between the Participants through a Bank on the Exchange day following the final settlement day. All Participants must ensure their ability to effect payments on the due date thereof by having sufficient credit balances in their account at a Bank or in the account at the Bank which has been instructed by the Participant to handle the clearing of the contract.

2.1.17.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any  Exchange day will be determined at the end of the Post-Trading Period  and credited to or debited from the internal cash clearing account. For  open positions from the previous Exchange day, the amount to be  credited or debited shall equal the difference between the daily  settlement prices of the contract in question on the relevant Exchange  day and the previous Exchange day. For transactions on the relevant  Exchange day, the amount to be credited or debited shall equal the  difference between the price at which the transaction was concluded and  the daily settlement price for such Exchange day.

(2) The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

(3) Paragraph (1) shall apply to the legal relationship between Participants  and their customers mutatis mutandis.

2.1.17.3 Margin Requirements

 

Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.17.4 Performance

 

(1)  Open positions from the last trading day of a contract shall be settled by means of a net payment credited to or debited from the internal cash clearing account for the Participant. Such payments shall be determined on the final settlement day as the difference between the final settlement price of a contract and such contract’s daily settlement price (subsection 2.1.17.2) on the preceding trading day, provided that the positions dated from the preceding day. With respect to the positions opened on the last trading day, the payment shall equal the difference between the final settlement price and the trading price.

  The cash settlement pursuant to sentence 1 shall occur only on the settlement day, which is the Exchange day next following the final settlement day.

(2) The final settlement price shall be determined by Eurex Clearing on the  final settlement day for a contract based on the compounded monthly  average of the reference interest rates for overnight deposits in Euro,  EONIA, determined by the European Central Bank for the respective  calendar month of the futures contract. The regulation for the  determination of the final settlement price pursuant to subsection 1.17.1  of the Contract Specifications for Futures Contracts and Options  Contracts at Eurex shall apply mutatis mutandis.

2.1.17.5 Default in Payment

 

Defaults or technical defaults in payment shall be subject to the provisions of subsection 1.7.1 paragraph (4) or subsection 1.7.2 paragraph (4) respectively.

 

2.1.19  Settlement of Futures Contracts on a Notional Particularly Long- Term Bond of the Federal Republic of Germany (Euro BUXL Futures)

2.1.19.1 General Provisions

 

(1)  The Clearing Corporation shall be a contracting party to all deliveries and payments arising out of the settlement of futures contracts.

(2)  Participants must fulfill their delivery and payment obligations in accordance with the instructions of Eurex Clearing as agent for The Clearing Corporation.

(3) The following shall apply to the procedures for delivery and payment pursuant to paragraph (1):

  All physical deliveries and payments shall be concurrently performed between the Participants on the second Exchange day after the Notice Day (subsection 2.1.19.4); physical deliveries of securities shall be made through Clearstream, and payments shall be made through the account specified by Clearstream.

  Each Participant and Eurex Clearing must ensure, through appropriate instruction to Clearstream, that transactions can be processed on the Exchange day on which the delivery notice is given. All Participants must ensure their ability to effect deliveries and payments thereof through sufficient deposits in the securities account at Clearstream and credit balances in the Participant’s account at the Bank.

2.1.19.2 Daily Settlement

 

(1) For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be credited or debited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price for such Exchange day.

(2)  The daily settlement price shall be determined by Eurex Clearing in accordance with its rules.

(3) Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

(4) With respect to the payments resulting from the daily settlement the provisions under subsection 2.1.19.1 paragraph (3) shall apply mutatis mutandis.

2.1.19.3 Margin Requirements

 

            Margins are subject to the provisions of Chapter 4 of these Rules.

2.1.19.4 Performance

 

(1) A delivery obligation arising out of a short position in a Euro BUXL Futures contract may only be performed by the delivery of debt securities of the Federal Republic of Germany designated by Eurex Clearing with a remaining term of twenty to thirty and one-half years. The debt securities shall have a minimum issuance volume of EUR 5 billion. Participants with open short positions must notify Eurex Clearing between the close of trading and the end of the Post-Trading Full Period on the day that is two Exchange days before the tenth calendar day of a quarter-end month (the “Notice Day”) which debt securities they will deliver. Any prior delivery notices may be amended until the end of such Post-Trading Full Period. If the delivery notice is not given in a timely manner, Eurex Clearing will select the debt securities to be delivered by such Participant.

  One day prior to the delivery day the Participants must confirm pursuant to subsection 2.1.19.1 paragraph (3) to Eurex Clearing in writing the actual availability of the debt securities which they have notified.

(2)  Eurex Clearing will, after the end of the Post-Trading Period on the Notice Day, allocate to the Participants with open long positions the debt securities notified for delivery, using a selection procedure that ensures the neutrality of the allocation process. The Participants will be informed on the next Exchange day as to which debt securities were allocated to them and at what tender price (subsection 1.19.1 paragraph (2) of the Contract Specifications for Futures Contracts and Options Contracts at Eurex.)

(3) Paragraphs (1) and (2) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.1.19.5 Default in Delivery or Payment

 

(1) In the event that a Participant which is obligated to deliver is in default and fails to deliver the debt securities notified by it on the delivery day and pursuant to the instructions of Eurex Clearing, Eurex Clearing shall be entitled to take the following measures:

§ Eurex Clearing is entitled to obtain by means of securities lending the notified debt securities and deliver them to the Participant which did not receive delivery in a timely manner.

§ Eurex Clearing is entitled to designate from the basket of deliverable bonds debt securities other than those notified as debt securities to be delivered and to deliver such debt securities to the Participant which did not receive delivery in a timely manner.

In such case, the defaulting Participant must deliver the debt securities so notified by Eurex Clearing.

Eurex Clearing is entitled to obtain the notified debt securities by means of securities lending and to deliver them to the Participant which did not receive delivery in a timely manner.

§ In the event that the debt securities to be delivered are not delivered to Eurex Clearing as part of the standard transfer arrangement of Clearstream Banking AG by the fifth Exchange day after the delivery day, Eurex Clearing shall be entitled to make a replacement purchase with respect to the undelivered debt securities. The replacement purchase is to be carried out through a replacement transaction on a stock exchange on the fifth Exchange day after the delivery day. Eurex Clearing will deliver the debt securities acquired through such replacement transaction to the Participant which did not receive delivery in a timely manner.

(2) Measures set forth in paragraph (1) are binding on the Participant which did not receive delivery in a timely manner.

(3) Any costs arising from the measures taken in accordance with subsection 2.1.19.5 paragraph (1) must be paid by the defaulting Participant.

(4) Furthermore, Eurex Clearing will charge the defaulting Participant a contractual penalty. The contractual penalty shall be calculated as follows:

  Eurex Clearing is entitled to a contractual penalty from the defaulting Participant until delivery is made by the defaulting Participant or until a replacement purchase is made by Eurex Clearing on the fifth Exchange day in the amount of 40 ticks per contract and calendar day. In addition, Eurex Clearing will charge a contractual penalty until delivery is made in an amount representing a specified percentage – to be announced by Eurex Clearing in advance - of the equivalent of the debt securities to be delivered; such percentage shall be based on the money-market rates prevailing in the market.

(5) In the event that any payment is not made on the payment date, subsection 1.7.1 paragraph (4) and subsection 1.7.2 paragraph (4) shall apply mutatis mutandis.

(6) The right of Eurex Clearing and the Participant which did not receive delivery in a timely manner to claim further damages shall remain unaffected.

2.2.11  Settlement of Options Contracts on Futures Contracts on a Notional  Long-Term Debt Security of the Federal Republic of Germany  (Options on a Euro Bund Futures)

2.2.11.1 General Provisions

 

The settlement of options contracts on Euro Bund Futures up to the point of assignment of the exercised options shall be governed by the provisions for the settlement of options contracts as specified in the following rules; upon the opening of the futures position, the provisions for the settlement of futures contracts shall apply.

2.2.11.2 Option Premiums

 

The balance of the option premiums (“Net Premium”) to be paid by the Participants pursuant to subsection 2.11.4 of the Contract Specifications for Futures Contracts and Options Contracts at Eurex and to be reimbursed by Eurex Clearing, as agent for The Clearing Corporation, shall be payable, over the duration of the existence of the options position, by the time specified by Eurex Clearing on the following Exchange day on the basis of the daily settlement determined in accordance with subsection 2.2.11.3 below, the first such payment being due on the Exchange day following the conclusion of the transaction.

2.2.11.3 Daily Settlement Prior to Exercise

 

(1)  For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be debited or credited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and on the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price of the contract for such Exchange day.

(2)  The daily settlement price of an option series shall be determined by Eurex Clearing in accordance with its rules. (3)  Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.2.11.4 Margin Requirement Prior to Exercise

 

            Margins are subject to the provisions Chapter 4 of these Rules.

2.2.11.5 Procedures for Exercise of Options

 

(1)  On behalf of an Exchange member that exercises a call option, Eurex Clearing shall, subsequent to the Post-Trading Period on the exercise day, open a corresponding long position in the underlying Euro Bund Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(2)  On behalf of an Exchange member to which the exercise of a call option is assigned, Eurex Clearing shall open a corresponding short position in the underlying Euro Bund Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(3)  On behalf of an Exchange member that exercises a put option, Eurex Clearing shall, subsequent to the Post-Trading Period on the exercise day of such option, open a corresponding short position in the underlying Euro Bund Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(4)  On behalf of an Exchange member to which the exercise of a put option is assigned, Eurex Clearing shall open a corresponding long position in the underlying Euro Bund Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

2.2.11.6 Futures Position

 

(1)  Unless otherwise provided below, the provisions of subsections 2.1.12.1 through 2.1.12.5 shall apply for the futures position opened in accordance with subsection 2.2.11.5.

(2)  Notwithstanding subsection 2.1.12.2 paragraph (1) sentence 3, the following shall apply:

  The difference between the exercise price of the exercised and assigned option and the daily settlement price of the underlying futures contract on the exercise day shall be settled in cash. The amount of such cash settlement shall be credited to or debited from the internal cash clearing account of the Participant.

2.2.12  Settlement of Options Contracts on Futures Contracts on a Notional  Medium-Term Debt Security of the Federal Republic of Germany  (Options on a Euro BOBL Futures)

2.2.12.1 General Provisions

 

The settlement of options contracts on Euro Bobl Futures up to the point of assignment of the exercised options shall be governed by the provisions for the settlement of options contracts as specified in the following rules; upon the opening of the futures position, the provisions for the settlement of futures contracts shall apply.

2.2.12.2 Option Premiums

 

The balance of the option premiums (“Net Premium”) to be paid by the Participants pursuant to subsection 2.12.4 of the Contract Specifications for Futures Contracts and Options Contracts at Eurex and to be reimbursed by Eurex Clearing, as agent for The Clearing Corporation, shall be payable, over the duration of the existence of the options position, by the time specified by Eurex Clearing on the following Exchange day on the basis of the daily settlement determined in accordance with subsection 2.2.12.3 below, the first such payment being due on the Exchange day following the conclusion of the transaction.

2.2.12.3 Daily Settlement Prior to Exercise

 

(1)  For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be debited or credited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and on the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price of the contract for such Exchange day.

(2)  The daily settlement price of an options series shall be determined by Eurex Clearing in accordance with its rules.

(3)  Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.2.12.4 Margin Requirement Prior to Exercise

      Margins are subject to the provisions of Chapter 4 of these Rules.

2.2.12.5 Procedures for Exercise of Options

 

(1)  On behalf of an Exchange member that exercises a call option, Eurex Clearing shall, subsequent to the Post-Trading Period on the exercise day of the respective option, open a corresponding long position in the underlying Euro Bobl Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(2)  On behalf of an Exchange member to which the exercise of a call option is assigned, Eurex Clearing shall open a corresponding short position in the underlying Euro Bobl Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(3)  On behalf of an Exchange member that exercises a put option, Eurex Clearing shall, subsequent to the Post-Trading Period on the exercise day of such option, open a corresponding short position in the underlying Euro Bobl Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(4)  On behalf of an Exchange member to which the exercise of a put option is assigned, Eurex Clearing shall open a corresponding long position in the underlying Euro Bobl Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

2.2.12.6 Futures Position

 

(1)  Unless otherwise provided below, the provisions of subsections 2.1.13.1 through 2.1.13.5 shall apply for the futures position opened in accordance with subsection 2.2.12.5.

(2)  Notwithstanding subsection 2.1.13.2 paragraph (1) sentence 3, the following shall apply:

The difference between the exercise price of the exercised and assigned option and the daily settlement price of the underlying futures contract on the exercise day shall be settled in cash. The amount of such cash settlement shall be credited to or debited from the internal cash clearing account of the Participant.

2.2.13  Settlement of Options Contracts on Futures Contracts on a Notional  Short-Term Debt Security of the Federal Republic of Germany  (Options on a Euro SCHATZ Futures)

2.2.13.1 General Provisions

 

The settlement of options contracts on Euro Schatz Futures up to the point of assignment of the exercised options shall be governed by the provisions for the settlement of options contracts as specified in the following rules; upon the opening of the futures position, the provisions for the settlement of futures contracts shall apply.

2.2.13.2 Option Premiums

 

The balance of the option premiums (“Net Premium”) to be paid by the Participants pursuant to subsection 2.13.4 of the Contract Specifications for Futures Contracts and Options Contracts at Eurex and to be reimbursed by Eurex Clearing, as agent for The Clearing Corporation, shall be payable, over the duration of the existence of the options position, by the time specified by Eurex Clearing on the following Exchange day on the basis of the daily settlement determined in accordance with subsection 2.2.13.3 below, the first such payment being due on the Exchange day following the conclusion of the transaction.

2.2.13.3 Daily Settlement Prior to Exercise

 

(1)  For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be debited or credited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and on the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price of the contract for such Exchange day.

(2)  The daily settlement price of an options series shall be determined by Eurex Clearing in accordance with its rules.

(3)  Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.2.13.4 Margin Requirement Prior to Exercise

      Margins are subject to the provisions of Chapter 4 of these Rules.

2.2.13.5 Procedures for Exercise of Options

 

(1)  On behalf of an Exchange member that exercises a call option, Eurex Clearing shall, subsequent to the Post-Trading Period on the exercise day of the respective option, open a corresponding long position in the underlying Euro Schatz Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(2)  On behalf of an Exchange member to which the exercise of a call option is assigned, Eurex Clearing shall open a corresponding short position in the underlying Euro Schatz Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(3)  On behalf of an Exchange member that exercises a put option, Eurex Clearing shall, subsequent to the Post-Trading Period on the exercise day of such option, open a corresponding short position in the underlying Euro Schatz Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(4)  On behalf of an Exchange member to which the exercise of a put option is assigned, Eurex Clearing shall open a corresponding long position in the underlying Euro Schatz Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

2.2.13.6 Futures Position

 

(1)  Unless otherwise provided below, the provisions of subsections 2.1.14.1 through 2.1.14.5 shall apply for the futures position opened in accordance with subsection 2.2.13.5.

(2)  Notwithstanding subsection 2.1.14.2 paragraph (1) sentence 3, the following shall apply:

  The difference between the exercise price of the exercised and assigned option and the daily settlement price of the underlying futures contract on the exercise day shall be settled in cash. The amount of such cash settlement shall be credited to or debited from the internal cash clearing account of the Participant.

2.2.14  Settlement of Options Contracts on Futures Contracts on the Interest  Rate for Three-Month Cash Deposits in Euro (Options on a Three- Month EURIBOR Futures)

2.2.14.1 General Provisions

 

The settlement of options contracts on Three-Month Euribor Futures up to the point of assignment of the exercised options shall be governed by the provisions for the settlement of options contracts as specified in the following rules; upon the opening of the futures position, the provisions for the settlement of futures contracts shall apply.

2.2.14.2 Option Premiums

 

The balance of the option premiums (“Net Premium”) to be paid by the Participants pursuant to subsection 2.14.4 of the Contract Specifications for Futures Contracts and Options Contracts at Eurex and to be reimbursed by Eurex Clearing, as agent for The Clearing Corporation, shall be payable, over the duration of the existence of the options position, by the time specified by Eurex Clearing on the following Exchange day on the basis of the daily settlement determined in accordance with subsection 2.2.14.3 below, the first such payment being due on the Exchange day following the conclusion of the transaction.

2.2.14.3 Daily Settlement Prior to Exercise

 

(1)  For each contract, profits and losses arising out of open positions on any Exchange day will be determined at the end of the Post-Trading Period and credited to or debited from the internal cash clearing account. For open positions from the previous Exchange day, the amount to be debited or credited shall equal the difference between the daily settlement prices of the contract in question on the relevant Exchange day and on the previous Exchange day. For transactions on the relevant Exchange day, the amount to be credited or debited shall equal the difference between the price at which the transaction was concluded and the daily settlement price of the contract for such Exchange day.

(2)  The daily settlement price of an options series shall be determined by Eurex Clearing in accordance with its rules.

(3)  Paragraph (1) shall apply to the legal relationship between Participants and their customers mutatis mutandis.

2.2.14.4 Margin Requirement Prior to Exercise

 

(1)  The basic provisions for margin requirements are set forth in subsections 1.3.1 through 1.3.5. In addition thereto, the following conditions shall apply:

(2)  For all options series, a further margin requirement (“Additional Margin”) shall be calculated in an amount sufficient to cover any change to the cost of closing all options positions assuming the least favorable price developments, as determined by Eurex Clearing, until the next calculation of margin.

2.2.14.5 Procedures for Exercise of Options

 

(1)  On behalf of an Exchange member that exercises a call option, Eurex Clearing shall, subsequent to the Post-Trading Period on the exercise day of the respective option, open a corresponding long position in the underlying Three-Month Euribor Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(2)  On behalf of an Exchange member to which the exercise of a call option is assigned, Eurex Clearing shall open a corresponding short position in the underlying Three-Month Euribor Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(3)  On behalf of an Exchange member that exercises a put option, Eurex Clearing shall, subsequent to the Post-Trading Period on the exercise day of such option, open a corresponding short position in the underlying Three-Month Euribor Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis.

(4)  On behalf of an Exchange member to which the exercise of a put option is assigned, Eurex Clearing shall open a corresponding long position in the underlying Three-Month Euribor Futures contract with the stipulated exercise price. If the Exchange member is not a Participant, subsection 1.2.1 paragraph (2) shall apply mutatis mutandis. 

2.2.14.6 Futures Position

 

(1)  Unless otherwise provided below, the provisions of subsections 2.1.16.1 through 2.1.16.6 shall apply for the futures position opened in accordance with subsection 2.2.14.5.

(2)  Notwithstanding subsection 2.1.16.2 paragraph (1) sentence 3, the following shall apply:

  The difference between the exercise price of the exercised and assigned option and the daily settlement price of the underlying futures contract on the exercise day shall be settled in cash. The amount of such cash settlement shall be credited to or debited from the internal cash clearing account of the Participant.

 

 

 

 

1 Scope

 

Eurex Clearing, as agent for The Clearing Corporation, provides the following  trade entry facilities (“OTC Trade Entry Facilities”) to Participants pursuant to the conditions set out below:

 

• Basis Trade Facility
• Exchange for Swaps Trade Facility ( “EFS”)
• Block Trade Facility
• Vola Trade Facility

 

Participants may permit their customers (including affiliates of such Participants) who are eligible to trade on Eurex to enter transactions using the OTC Trade Entry Facilities; however, Participants remain solely liable to The Clearing Corporation for such transactions entered by their respective customers.  As used in this Appendix 9B-II, the term “Participant” shall include such customers as the context may require.

 

2 Subject Matter

 

2.1 Basis Trades

 

2.1.1 Within the scope of transactions concluded off-exchange concerning the simultaneous purchase of a debt security as defined in section 10 below and the sale of futures contracts, or vice versa, the Basis Trade Facility provides Participants, for their own account or on behalf of a customer, the ability to enter, pursuant to the provisions set out below, the futures contracts into the clearing system of Eurex Clearing (“Eurex Clearing System”) by means of a request to be sent to the respective Participant's interface, and to have them cleared. In the future, Eurex Clearing may include additional contracts in the Basis Trade Facility, or may exclude previously included contracts.

 

2.1.2 A “Basis Trade” shall have occurred if a Participant, for its own account or on behalf of a customer, has agreed, off-Exchange, with another Participant, another customer, or with a Clearing Member or one of its Non-clearing members, on the purchase/sale of futures contracts and, simultaneously, on the sale/purchase of debt securities as defined in section 10, provided that the specifications of such futures contracts are identical to the contract specifications set forth in the Contract Specifications, and provided that Eurex Clearing, as agent for The Clearing Corporation, has admitted these futures contracts to the Basis Trade Facility pursuant to section 9.1 below, and, the contract price of the Basis Trade fulfills the requirements set out in section 5 below.

 

2.2 Exchange for Swaps (“EFS”)

 

2.2.1 The EFS Trade Facility provides Participants the ability to enter, pursuant to the provisions set out below, futures contracts into the Eurex Clearing System concluded off-Exchange for their own account or on behalf of a customer, based upon the simultaneous exchange of a receiver/payer swap (as defined in section 11 below) and the sale/purchase of futures contracts, by means of a request to be sent to the respective Participant's interface, and to have them cleared. In the future, Eurex Clearing, as agent for The Clearing Corpration, may include further contracts in the EFS Facility or exclude any contracts included so far.

 

2.2.2 An ”EFS trade” exists if a Participant, for its own account or on behalf of a customer, has agreed, off-Exchange, with another Participant, another customer, or with a Clearing Member or one of its Non-clearing members, to purchase/sell a futures contract and to conclude simultaneously a fixed rate payer/fixed rate receiver swap as defined in section 11, provided that the specifications of such futures contract are identical to the contract specifications set forth in the Contract Specifications, and that Eurex Clearing, as agent for The Clearing Corporation, has admitted this futures contract to the EFS Facility pursuant to section 9.1 below, and the contract price of EFS trades fulfills the requirements set out in section 5 below.

 

2.3 Block Trades

 

2.3.1 The Block Trade Facility provides Participants, for their own account or on behalf of a customer, the ability to enter, pursuant to the provisions set out below, transactions concluded off-Exchange concerning futures and options contracts which are tradable on Eurex and which are admitted to the Block Trade Facility pursuant to section 9.2 below, into the Eurex Clearing System by means of a request to be sent to the respective Participant's interface, and to have them cleared. In the future, Eurex Clearing, as agent for The Clearing Corporation, may include additional contracts in the Block Trade Facility, or may exclude previously included contracts.

 

2.3.2 A "Block Trade" within the meaning of these Conditions shall have occurred if a Participant, for its own account or on behalf of a customer, has agreed, off-Exchange, with another Participant, another customer, or with a Clearing Member or one of its Non-clearing members, on the purchase/sale of one or more of the products set out in section 9.2 below, provided (i) that the number of contracts is not less than the minimum number specified in section 9.2 below, and (ii) that the specifications of such contracts correspond to the contract specifications for these products pursuant to the Contract Specifications, and the contract price of Block Trades fulfills the requirements set out in section 5 below.

 

2.4 Vola Trades

 

2.4.1 After conclusion of an options transaction which exists in the Eurex Clearing System with a transaction number, the Vola Trade Facility provides Participants, for their own account or on behalf of customers, the ability to enter, pursuant to the provisions set out below, transactions concluded off-Exchange concerning futures contracts pursuant to the combinations defined in section 9.3 below, into the Eurex Clearing System by means of a request to be sent to the respective Participant's interface, and to have them cleared. In the future, Eurex Clearing, as agent for The Clearing Corporation, may include additional contracts in the Vola Trade Facility, as well as exclude previously included contracts.

 

2.4.2  A "Vola Trade" within the meaning of these Conditions shall have occurred if, in a first step, a Participant, for its own account or on behalf of a customer, has concluded an on-Exchange or off-Exchange options transaction with another Participant, another customer, or with a Clearing Member or one of its Non-clearing members, and such transaction has been entered into the Eurex Clearing System, and if, simultaneously or in a second step, such parties have agreed on the off-Exchange purchase/sale of the futures contract underlying the options transaction pursuant to the combinations defined in section 9.3 below, and the characteristics of such contracts correspond to the relevant contract specifications of the Contract Specifications. Furthermore, the contract price of Vola Trades must fulfil the requirements set out in section 5 below.

 

3 Clearing of OTC Trades

 

3.1 Provided that the prerequisites of these Rules have been fulfilled, Participants may, to the extent that they or their customers have agreed on one of the OTC Trades defined above, utilize the OTC Trade Entry Facilities of Eurex Clearing for the processing and settlement of the futures or options contracts contained in such OTC Trades.

 

3.2 With the entry of an OTC Trade into the Eurex Clearing System using one of the OTC Trade Entry Facilities defined above, the provisions of these Rules shall apply to the contractual relationships between The Clearing Corporation and the Participants for whom an OTC Trade has been submitted.  Consequently, in the case of each OTC Trade, The Clearing Corporation shall be the contractual counterparty to the relevant Participants.

 

3.3 Furthermore, these Rules shall apply accordingly for the clearing of any futures and options contracts set forth in Section 9 below that has been entered using one of the OTC Trade Entry Facilities.

 

3.4 Each OTC trade has to be entered into the Eurex Clearing System immediately after conclusion. A period of up to 30 minutes (period of ratification) is available between the entry of an OTC Trade into the Eurex Clearing System made by the Participant initiating the transaction and the acceptance of such OTC Trade by a Participant.

 

3.5 OTC Trades entered into the Eurex Clearing System may be transferred via the system to another Participant or Clearing Member or its Non-clearing member, by means of the give-up facility in accordance with the provisions of subsection 1.4.1.5 (7) of Appendix 9B-I of these Rules.

 

3.6 If OTC Trades do not correspond to the specifications and requirements defined in these Rules, or if Participants do not comply with the general conditions for utilization pursuant to section 6 of these Rules, Eurex Clearing, as agent for The Clearing Corporation, can refuse to accept such OTC Trades.

 

4 Evidence of Cash Transactions in the Case of Utilization of the Basis Trade Facility and the EFS Trade Facility

 

1. Participants using the Basis Trade Facility or the EFS Trade Facility shall, upon request by The Clearing Corporation, provide that, for futures contracts cleared on their behalf, there is an underlying, offsetting cash transaction in one of the debt securities or swaps set out in section 10 or section 11, respectively.

 

2. Concerning the Basis Trade Facility, Participants shall be deemed to have fulfilled their obligation to provide evidence pursuant to Rule 4.1 above, provided that they authorize The Clearing Corporation to gain knowledge of the underlying cash transaction or the completed delivery, as the case may be, by means of respective authorizations. By means of a written declaration, the following institutions can be authorized to provide information to The Clearing Corporation or Eurex Clearing, as agent for The Clearing Corporation, on request, concerning the cash transaction which is the subject of a Basis Trade according to section 2.1 above:

• Clearstream Banking Frankfurt

 

4.3 Regardless of Rule 4.2 above, such proof must be effected on demand of The Clearing Corporation or Eurex Clearing, as agent for The Clearing Corporation, by means of presentation of the corresponding confirmation of delivery within one week of the value date of such cash transaction. The transaction reference number and the transaction date of the futures transaction related to such cash transaction must be evident in such confirmation of delivery.

 

4.4 Concerning the EFS Trade Facility, Participants shall be deemed to have fulfilled their obligation to provide evidence pursuant to Rule 4.1 above, if the buyer of the EFS futures contract provides a trade confirmation for the underlying swap transaction. This confirmation in the form of a transaction ticket (i.e. a snapshot of the front-office or back-office system of the buyer of the EFS futures) shall contain at least:

- nominal value

- date of start and maturity

- fixed coupon

- counterparties of the swap transaction

For better classification, the trade confirmation shall contain the respective EFS Trade reference number (of the Eurex system) and a time stamp which indicates the time of the swap transaction. The trade confirmation must be submitted to Eurex Market Supervision by fax not later than one hour after the ratification of the EFS trade, but by 7:00 p.m. CET at the latest. Otherwise the EFS trade in the Eurex system will not become effective.

 

4.5 If a transaction in futures contracts is transferred to another Participant or Clearing Member or one of its Non-clearing members pursuant to section 3.4 above, the obligation to provide evidence of the cash transaction shall also be transferred to the other Participant or Clearing Member.

5 Contract Price of OTC Trades

 

1. The contract price of OTC Trades entered into the Eurex Clearing System using one of the OTC Trade Entry Facilities must lie within an interval determined by Eurex Clearing, as agent for The Clearing Corporation, as set out below:

 

2. As a general rule, the interval for futures contracts is between the daily high and low prices of the respective futures contracts recorded on Eurex on the respective exchange trading day, up to the time of entry of an OTC Trade. When calculating the interval for futures contracts on stock indices, in each case a maximum deviation of up to 0.2 percent of the recorded daily high and low prices recorded on that trading day for the futures contract on a stock index is permitted.

 

5.3 For options contracts, theoretical maximum and minimum values for the option price of a Block Trade are determined during the trading day on the basis of the daily high and low prices of the respective underlying instrument, as recorded up to the time of entry of the Block Trade, and the respective implied volatilities established within the Eurex options market.  The interval thus determined is extended at its extreme values by 50 per cent of the maximum Market Maker Quote Spread permissible for the respective product, resulting in the range of permissible option prices for Block Trades.

6 General Conditions of Utilization

 

6.1 The Clearing Corporation may exclude a Participant from the utilization of one or more OTC Trade Facilities if such Participant has not complied with its obligations pursuant to these Rules or if the prerequisites for participation have not been fulfilled initially, or have subsequently ceased to exist. In such event, such Participant shall not be entitled to damages of any kind whatsoever or to the refund of costs or charges.

 

2. Participants are permitted to utilize the OTC Trade Entry Facilities for futures and options contracts set forth in Section 9 below which are admitted to the OTC Trade Entry Facilities during the trading periods at Eurex and during the Post-Trading-Full-Period until thirty minutes before the end of the Post-Trading-Full-Period (“OTC Period of Use”). Participants shall be notified by The Clearing Corporation or by Eurex Clearing, as agent for The Clearing Corporation in the event of any exceptions.

 

6.3 Participants must be available by telephone or fax at any time during the OTC Period of Use for the products underlying the applicable OTC Trade Entry Facilities.

7. Technical Features

 

1. The entry of Basis, EFS or Block Trades into the Eurex Clearing System is carried out by the buyer of the futures or options contracts in the context of the Basis, EFS and Block Trade Entry Facilities. The seller of the futures or options contracts must confirm the buyer’s entry.

 

2. The entry of Vola Trades into the Eurex Clearing System in the context of the Vola Trade Entry Facility is carried out by the buyer or seller of the Vola Trade (the "Initiator"). The counterparty must confirm the entries of the Initiator.

 

3. OTC Trades may be entered onto Principal, Agent and M-position Accounts.

 

8 Mandatory Data Entries

 

1. Basis Trade Facility (OTC Basis Trade Entry window)

 

1. When entering a Basis Trade into the Eurex Clearing System, using the Basis Trade Entry Facility, the buyer must enter the following data:

 

- ISIN, nominal value, gross basis and settlement date of the debt security traded

- the futures Contract traded (Instrument, delivery month and year)

- the Contract price;

      - the number of Contracts;

      - the Eurex exchange system user identification code of the trader of the buyer;

      - the open/close indicator;

- the position account

- the hedging method (Nominal, Duration or Price Factor)

- the settlement institution

- the seller’s Participant ID code for the Eurex exchange system

 

Depending on the chosen hedging method, the number of Contracts of the Basis Trade Future must be in a defined proportion to the nominal value of the debt security. The relation between the futures and the debt security is defined according to the chosen Nominal, Duration, or Price Factor hedging method.

 

2. After the buyer of futures Contracts has entered data into the Eurex Clearing System using the Basis Trade Entry Facility, pursuant to section 8.1.1, the seller of futures Contracts must enter the following data in order to confirm such Basis Trade:

 

      - the OTC transaction reference number;

      - the Eurex exchange system user identification code of the trader of the seller

      - the open/close indicator; and

      - the position account.

 

2. EFS Trade Facility ( EFS Trade Entry window)

 

1. When entering an EFS futures Contract into the Eurex Clearing System by means of the Block EFS Trade Facility, the buyer of the EFS futures Contracts (Fixed Rate Payer in the swap transaction) must enter the following data:

 

- the futures Contract traded (instrument, delivery month and year)

- the Contract price;

- the number of Contracts;

      - the Eurex system user identification code of the buyer’s trader

- the open/close indicator

- the position account

- the user identification code of the seller for the system of the Eurex exchanges.

 

The number of traded futures Contracts must be in a defined proportion to the nominal value of the swap transaction. The relation between the futures Contract and the swap transaction is defined according to the Duration method.

 

2. After the buyer has entered data into the Eurex Clearing System by means of the Block EFS Trade Facility pursuant to section 8.2.1, the seller of the EFS futures Contracts (Fixed Rate Receiver in the swap transaction) must confirm the EFS Trade by entering the following data:

 

      - the OTC transaction reference number

      - the Eurex system user identification code of the seller’s trader

      - the open/close indicator

      - the position account.

 

3. Block Trade Facility (OTC Block Trade Entry window)

 

1. When entering a Block Trade into the clearing system of Eurex Clearing, using the Block Trade Facility, the buyer must enter the following data:

 

- the futures Contract traded (instrument, delivery month and year) or the option contract traded (instrument, expiration month and year, exercise price, C/P-flag and version number)

- the Contract price;

- the number of Contracts;

      - the Eurex system user identification code of the trader of the buyer;

- the open/close indicator;

- the position account; and

- the Eurex exchange system Participant ID code of the seller.

 

The number of futures or options Contracts traded may not be below the minimum number of Contracts to be traded, as provided in section 9.2 below.

 

8.3.2 After the buyer has entered data into the Eurex Clearing System using the Block Trade Facility, pursuant to section 8.3.1, the seller of a Block Trade must enter the following data in order to confirm such Block Trade:

 

      - the OTC transaction reference number;

      - the Eurex exchange system user identification code of the seller’s trader;

      - the open/close indicator; and

      - the position account.

 

4. Vola Trade Facility (OTC Vola Trade Entry window)

 

1. When entering a Vola Trade into the Eurex Clearing System using the Vola Trade Facility, the Initiator must enter the following data:

 

- the transaction number of the referring option trade

- number of the option Contracts of the Vola trade (not exceeding the maximum number of options Contracts of the underlying options transaction)

- details of the future Contract traded (instrument, delivery month and year) as well as the number of Contracts and the Contract price;

     - the Eurex exchange system user identification code of the Initiator’s;

     - the buy/sell flag;

      - the open/close indicator;

- the position account; and

- the Eurex exchange system Participant ID code of the counterparty.

 

The number of futures Contracts traded may not deviate by more than 10% from the number of futures Contracts required to achieve a delta-neutral position in relation to the number of options Contracts entered in the Vola trade, as calculated by the system.

 

8.4.2 After the Initiator's data entry into the clearing system using the Vola Trade Facility pursuant to section 8.3.1 above, the counterparty to the Vola Trade must enter the following data in order to confirm such Vola Trade:

 

- the OTC transaction reference number;

     - the Eurex exchange system user identification code of the counterparty’s trader;

     - the open/close indicator; and

     - the position account.

9 Admitted Products

 

9.1 The  following products have been admitted to the Basis Trade Facility and to the EFS Trade Facility for the Global Clearing Link:

 

• Futures Contracts on a Notional Extra Long-Term Debt Security of the Federal Republic of Germany (“FGBX Futures“)

 

• Futures Contracts on a Notional Long-Term Debt Security of the Federal Republic of Germany (“FGBL Futures“)

 

• Futures Contracts on a Notional Medium-Term Debt Security of the Federal Republic of Germany (“FGBM Futures“)

 

• Futures Contracts on a Notional Short-Term Debt Security of the Federal Republic of Germany (“FGBS Futures“)

 
 

9.2 The following products have been admitted to the Block Trade Facility for the  Global Clearing Link:

 
 

3. The following product combinations have been admitted to the Vola Trade Facility for the Global Clearing Link:

 
 
 

10 Cash Transactions for the Basis Trade Facility

 

Cash transactions in:

 

• Debt Securities of the Federal Republic of Germany with a remaining term of no less than one year at the maturity date of the future and a term of no more than 30.5 years can be components of a Basis Trade according to section 2.1.2.

Cash transactions in such debt securities can be carried out for the corresponding futures contracts according to the following rule:

 

11 Cash Transactions for the EFS Trade Facility

 

Cash transactions in EFS Trades must have the following characteristics:

 

• Spot or forward-starting plain vanilla OTC Interest Rate Swaps
• Agreement under the terms of an ISDA Master Agreement or any equivalent master agreement
• Regular annual fixed rate payment against regular floating rate payments per year
• All payments must be denominated in the same permitted currency as the respective futures contract (i.e. EUR for Euro Bund, Bobl and Schatz Future).

12 Cancellation of OTC Transactions

12.1 Requirements

 

Pursuant to these Rules Eurex Clearing, as agent for The Clearing Corporation, shall cancel a Basis Trade, an Exchange for Swaps, a Vola-Trade or a Block-Trade (“OTC Transaction”) already completed, if both participants to an already-completed OTC Transaction immediately – but no later than until the end of the Post-Trading-Full-Period of the respective product of the same Exchange day assert vis-à-vis Eurex Clearing, as agent for The Clearing Corporation, that both participants have entered the OTC Transaction by mistake or incorrectly into the Eurex Clearing System and thus wish to cancel such OTC Transaction.

12.2 Form Claim

 

Participants who request a cancellation pursuant to Rule 12.1 above must submit their request for cancellation by telephone or by telefax to Eurex Clearing, as agent for The Clearing Corporation.

12.3 Cancellation

 

The cancellation of an OTC Transaction shall be effected by the entry of a respective back-to-back transaction by the requesting Participants in such a way that the positions emerging from such cancellation are in accordance with the one that would have come into being without the transaction that has been cancelled. If it should not be possible for a Participant to enter a respective back-to-back transaction according to sentence 1, such entry of a respective back-to-back transaction shall be made by Eurex Clearing, as agent for The Clearing Corporation.

12.4 Costs

 

For each erroneous entry a respective cancellation fee in the amount of EUR 500 for EUR denominated products shall be invoiced by Eurex Clearing, as agent for The Clearing Corporation, to each Participant requesting the cancellation. In the case of the cancellation of a self-dealing transaction (In-House Transaction) the cancellation fee shall be invoiced by Eurex Clearing, as agent for The Clearing Corporation, once only. The trading fee, which accrued for the cancelled OTC Transaction shall be reversed by Eurex Clearing, as agent for The Clearing Corporation.

12.5 Miscellaneous

Eurex Clearing, as agent for The Clearing Corporation, shall submit a confirmation to the Participants filing the application pursuant to Rule 12.1 above, which shows that the respective OTC Transaction has been cancelled.

13 Liability

 

13.1 The liability of Eurex Clearing to Participants in respect of OTC Trades shall be as set forth in the rules of Eurex Clearing with respect to its Clearing Members and Non-clearing members.

14 General Provisions

 

14.1 The OTC Trades entered by Participants into the Eurex Clearing System using the OTC Trade Entry Facilities, are not made anonymous for the counterparties involved. Other Participants (third parties) cannot view via the EDP system OTC Trades in which they are not involved.

 

14.2 After the entry of an OTC Trade, Participants receive a "Trade Confirmation", produced by the Eurex Clearing System. All OTC Trades are expressly shown as "OTC-TRADE" on such Trade Confirmation.

 

14.3 OTC Trades are shown in the reports CB010 (Position Detail) and TC810 (Daily Trade Confirmation), produced by the Eurex Clearing System on a daily basis, and are marked as off-exchange transactions. In addition, a report recording all OTC transactions (TC545 OTC-Order Maintenance) is provided electronically, in which all OTC Transactions (Add, Change, Ratify) are indicated. 

 

4. Eurex Clearing will report all cleared OTC Trades, marked as off-Exchange  transactions, to the German Financial Supervisory Authority  (Bundesaufsichtsamt für Finanzdienstleistungaufsicht “BAFin” on a daily basis,  pursuant to paragraph 9 of the Securities Trading Act (Wertpapierhandelsgesetz  - "WpHG").

 

14.5 These Rules have been issued by The Clearing Corporation, which has the right to change or extend them from time to time, to the extent that this may appear necessary in the light of market conditions.  The Clearing Corporation will, when possible, notify Participants of any changes in the OTC Trade Entry Facility at least ten trading days before they are to take binding effect.

 

15.1 The right of a Participant to use the OTC Trade Entry Facility may, at any time, be terminated by either the Participant or The Clearing Corporation in writing without notice for cause. (i) Cause exists for both parties, in particular, if a Participant is no longer admitted to options and futures trading at Eurex. (ii) Cause exists for The Clearing Corporation, if a Participant is in Default.

 

15.2 The notice period in the event of an extraordinary termination pursuant to section 15.1 (iii) of these Rules shall, in such a case, be five (5) trading days. Furthermore, such termination must be received by Eurex Clearing before the respective change of the Rules becomes effective.  In the event of an extraordinary termination pursuant to section 15.1 (i) and (ii), the termination is made without notice.

 
 

16 Saving Clause

 

Should individual provisions be invalid in whole or in part, this shall not affect the validity of the remaining provisions.

 
 
 
 

 

10. [RESERVED]

 

 

 

11. [RESERVED].

 
 
 
 

 

12. CHEMCONNECT, INC.

 
 

12-101.  Definitions.

 

ChemConnect

 

      ChemConnect, Inc.

 

ChemConnect Contract

 

The term “ChemConnect Contract” has the meaning set forth in Rule 101 in relation to the definition of “OTC Market.”

 

Contract Value

 

As to any ChemConnect Contract on any day, the product of the current Settlement Price and the contract size per lot (as set forth in Appendix 12-A).

 

Default

 

      Any event that would constitute a default under Rule 605 or Rule 12-605.

 

Delivery Collateral

 

All collateral held by Clearing Corporation, as escrow agent, in respect of a ChemConnect Contract following Final Settlement of any ChemConnect Contract that provides for physical delivery.  “Original Delivery Collateral” and “Supplementary Delivery Collateral” have the meanings given those terms in Rule 12-501(b).

 

Final Settlement

 

With respect to a Participant that has open trades or positions in ChemConnect Contracts at the close of trading on the Last Trading Day, the issuance of instructions by The Clearing Corporation to such Participant’s settlement bank to debit or credit the Participant’s variation settlement account on the next Business Day and the acceptance thereof by such settlement bank.

 

      . . . Interpretations and Policies:

 
 

ChemConnect User Agreement

 

The agreement between ChemConnect and a Participant or Customer governing the responsibilities of parties to ChemConnect Contracts, including the terms for delivery thereof.

 

ChemConnect System

 

      The system operated by ChemConnect for the trading of ChemConnect Contracts.

 

Escrow Payment Amount

 

      The term “Escrow Payment Amount” has the meaning given that term in Rule 12-502(c).

 

Last Trading Day

 

As to any ChemConnect Contract, the last day on which a particular delivery month or expiration is available on the ChemConnect System.

 

Non-Defaulting Participant

 

The term “non-Defaulting Participant” has the meaning given that term in Rule 12-505(b).

 

Swap Settlement Collateral

 

All collateral (including Initial Swap Collateral and Supplementary Swap Collateral) held by The Clearing Corporation, as escrow agent, following Final Settlement, in respect of a ChemConnect Contract that provides for cash settlement.  Initial Swap Collateral and Supplementary Swap Collateral have the meanings given those terms in Rule 12-501(e).

 

12-304.  Offsets.

 
 
 

      . . . Interpretations and Policies:

 
 

12-310.  Acceptance of Trades by The Clearing Corporation.

 
 

      . . . Interpretations and Policies:

 
 

12-312.  Reserved.

 

12-402.  Original Margins.

 
 

12-404.  Settlement Prices.

 
 

12-501.  Assignment of Deliveries and Swap Settlements.

 
 

12-502.  Purchases and Sales for Physical Delivery; Application of Delivery Collateral; Application of Swap Settlement Collateral.

 
 

12-503.  Delivery Price; Swap Settlement Price.

 
 

12-505.  Settlements on Defaulted Deliveries.

 
 

12-605.  Defaults.

 
 

      . . . Interpretations and Policies:

 
 

 

APPENDIX 12-A

Product Specification Ethane

 
 
 

 

APPENDIX 12-A

Product Specification Propane

 
 
 
 
 
 
 
 
 
 
 

13. INTERCONTINENTALEXCHANGE, INC.

 
 

NOTE: Contracts subject to this Chapter are not currently being submitted    to The Clearing Corporation for clearance.

 

13-101.  Definitions.

 

Contract Value

 

As to any ICE Contract on any day, the product of the current Settlement Price and the Contract size per lot (as set forth in Appendix 13-A).

 

Customer

 

A party, other than a Participant, that is obligated to make or receive physical delivery in settlement of an ICE Contract.

 

Daily Limit

 

      “Daily Limit” shall have the meaning set forth in Rule 13-310(g).

 

Default

 

Any event that would constitute a default under Rule 605 or Rule 13-605.

 

Delivery Collateral

 

Original Delivery Collateral and Supplementary Delivery Collateral held by The Clearing Corporation as escrow agent in respect of an ICE Contract following Final Settlement of such ICE Contract.  “Original Delivery Collateral” and “Supplementary Delivery Collateral” have the meanings set forth in Rule 13-501(c).

 

EEI Agreement

 

The form of Edison Electric Institute (“EEI”) Master Power Purchase & Sale Agreement (including the completed Cover Sheet thereto, plus the Collateral Annex and completed Paragraph 10) incorporated by reference into Annex F of the ICE Participant Agreement, as amended from time to time.

 

Final Settlement

 

With respect to a Participant that has open Trades or positions in ICE Contracts at the close of trading on the Last Trading Day, the issuance of instructions by The Clearing Corporation to such Participant’s settlement bank to debit or credit the Participant’s variation settlement account on the next Business Day and the acceptance thereof by such settlement bank.

 
 

      . . . Interpretations and Policies:

 
 

ICE

      IntercontinentalExchange, Inc.

 

ICE Contract

 

The term “ICE Contract” has the meaning set forth in Rule 101 in relation to the definition of “OTC Market.”

 

ICE Participant Agreement

 

The agreement between ICE and a Participant or Customer governing the responsibilities of parties to ICE Contracts, including the terms for delivery thereof.

 

ICE Trading System

 

      The electronic Trade matching system operated by ICE for the trading of ICE Contracts.

 

Last Trading Day

 

As to any ICE Contract, the last day on which a particular delivery month or expiration is listed for trading on the ICE Trading System.

 

Non-Defaulting Participant

 

      The term “non-Defaulting Participant” has the meaning given that term in Rule 13-505(b).

 

13-304.  Offsets.

 
 

13-307.  Statement of Trades and Positions.

 

The Clearing Corporation shall make available to Participants a statement of Trades and positions for each Business Day on which such Participant has Trades to be cleared or a position open with The Clearing Corporation.

 

      . . . Interpretations and Policies:

 
 

13-310.  Acceptance of Trades by The Clearing Corporation.

 
 

       . . . Interpretations and Policies:

 
 

13-311.  Trades for Customers.

 

Where a Participant clears a Trade for a Customer, the Participant for whose account such Trade has been cleared becomes liable to The Clearing Corporation and The Clearing Corporation liable to such Participant on such Trade as if the Trade were for the account of the Participant, subject in all cases to the provisions of Rule 13-304.

 

13-312.  Reserved.

 

13-315.  Limitation of Liability.

 

The liability of The Clearing Corporation relating or arising out of ICE Contracts shall be limited to losses resulting from the substitution of The Clearing Corporation upon such contracts between Participants in accordance with these Rules, but in no event shall the amount of such liability hereunder or under any other provision of these Rules exceed the total amount on deposit in the Emerging Markets Guaranty Fund.  The Clearing Corporation shall not be liable for obligations of a non-Participant, obligations of a Participant to a non-Participant, obligations of a Participant to another Participant of The Clearing Corporation who is acting for such other Participant as broker, or obligations of a Participant to a customer, not shall The Clearing Corporation become liable to make deliveries to or accept deliveries from a customer of its Participants.

 

13-402.  Original Margin.

 
 

13-404.  Settlement Prices.

 
 
 

       . . . Interpretations and Policies:

 
 

13-501.  Assignment of Deliveries.

 
 

13-502.  Purchases and Sales for Physical Delivery; Application of Delivery Collateral.

 
 

13-503.  Delivery Price.

 

All deliveries on ICE Contracts shall be made at the Settlement Price for such ICE Contract on the Last Trading Day.

 

13-505.  Settlements on Defaulted Deliveries.

 
 

13-510.  Customer Deliveries.

 

At least five Business Days prior to the Last Trading Day, a Participant shall confirm that each Customer holding a position in the expiring month is qualified (in the manner determined by ICE) to effect delivery.  A Participant may not clear a Trade for the account of a Customer at any time during the five Business Days preceding and including the Last Trading Day unless such Trade liquidates or offsets an existing position in the Customer’s account at the Participant or the Participant has confirmed or confirms promptly that the Customer is prepared (in a manner deemed satisfactory by ICE) to effect delivery.  In the event that the Participant is unable timely to obtain such confirmation, it shall liquidate the Customer’s positions in the expiring ICE Contract prior to the close of trading on the Last Trading Day.

 

       . . . Interpretations and Policies:

 
 

      PJM:

 

      The Customer must be a member of PJM.

 

      Into Cinergy:

 

The seller must (a) own generation (greater than the short position) within the Cinergy grid, (b) have a source (greater than the short position) outside the Cinergy grid, together with sufficient firm transmission from the source to the Cinergy grid, or (c) have entered into a valid and binding bilateral transaction that offsets the ICE Contract.

 

The buyer must (a) have load (greater than the long position) within the Cinergy grid or (b) have load (greater than the long position) outside the Cinergy grid, together with sufficient firm transmission from the Cinergy grid to the load, or (c) have entered into a valid and binding bilateral transaction that offsets the ICE Contract.

 

13-605.  Defaults.

 
 

       . . Interpretations and Policies:

 
 

 

 

 

 
 
 

 

14. Chicago Climate Futures Exchange, LLC

 
 

14-101. Definitions.

 

Exchange

 

      Chicago Climate Futures Exchange, LLC

 

CCFE Contract

 

The term “CCFE Contract” has the meaning set forth in Rule 101 in relation to the definition of “Exchange Market.”

 

14-505.   Delivery Default.

 

The Clearing Corporation shall under no circumstances be obligated to make or accept deliveries in satisfaction of CCFE Contracts made on or through the facilities of the Exchange, nor shall The Clearing Corporation have any obligation or liability to any Participant or to any other person relating to a failure to fulfill a delivery Obligation following The Clearing Corporation’s assignment of Participant buyers to selling Participant as provided herein.

 

Following The Clearing Corporation’s issuance of notices regarding delivery assignments, the Participants shall be substituted in lieu of The Clearing Corporation as buyers and sellers in the CCFE Contracts between The Clearing Corporation and Participant sellers and buyers, respectively, and the CCFE Contracts between such Participants and The Clearing Corporation will be deemed discharged and terminated, in each case effective from and after Final Settlement.

 
 
 
 
 
 
 
 
 

 

 

15. OTC Benchmark Treasury Futures Contracts.

 
 
 

15-101.  Definitions.

 

Contract Value

 

As to any OTC Benchmark Treasury Futures Contract on any day, the product of the current Settlement Price and the Contract size per lot (as set forth in Appendix 15A).

 

Default

 

Any event that would constitute a default under Rule 605.

 

Delivery Collateral

 

Collateral held by The Clearing Corporation as escrow agent in respect of an OTC Benchmark Treasury Futures Contract following Final Settlement of such a contract.

 

Final Settlement

 

With respect to a Participant that has open Trades or positions in OTC Benchmark Treasury Futures Contracts at the close of clearing on the Last Clearing Day, the issuance of instructions by The Clearing Corporation to such Participant’s settlement bank to debit or credit the Participant’s variation settlement account on the next Business Day and the acceptance thereof by such settlement bank.

 

      . . . Interpretations and Policies:

 
 

First Off-The-Run

 

The U.S. Treasury Bond or Note of a particular maturity that was most recently issued prior to the current On-The-Run issue.

 

OTC Benchmark  Treasury Futures Contract

 

The term “OTC Benchmark Treasury Futures Contract” has the meaning set forth in Rule 101.

 

Last Clearing Day

 

As to any OTC Benchmark Treasury Futures Contract, the last day on which the particular OTC Benchmark Treasury Futures Contract is listed for clearing.

 

On-The-Run

 

      The most recently issued U.S. Treasury Bond or Note of a given maturity.

 
 

15-310.  Acceptance of Trades by The Clearing Corporation.

 
 

       . . . Interpretations and Policies:

 
 
 

15-404.  Settlement Prices.

 
 
 

15-501.  Assignment of Deliveries.

 

By 3:15 p.m. (Chicago Time) on the Last Clearing Day, The Clearing Corporation will provide Participants with a report of the long or short delivery position held by Participants and instructions regarding the delivery assignment of all such open positions, including the names of the Participants that are to make and take delivery. 

 
 
 

15-502.  Purchases and Sales for Physical Delivery; Delivery Collateral

 
 
 

15-503.  Delivery Price.

 

All deliveries on OTC Benchmark Treasury Futures Contracts shall be made at the Settlement Price for such OTC Benchmark Treasury Futures Contract on the Last Clearing Day.  (Accrued interest shall be determined in accordance with Department of the Treasury Circular 300, Subpart E.)

 

15-505.  Settlements on Defaulted Deliveries.

 

The Clearing Corporation shall not under any circumstance be obligated to make or accept deliveries in satisfaction of OTC Benchmark Treasury Futures Contracts, nor shall The Clearing Corporation have any obligation or liability to any Participant or to any other person relating to a failure to fulfill a delivery obligation following The Clearing Corporation’s assignment of delivery instructions as provided in Rule 15-501.

 
 
 

 

 

 

Table A-1