MARCO HISTORICO FLANDES

As cover for their margin requirements, the Clearing Members can provide securities and/or cash collateral to the clearing house.

2.11.2.1 Management and Revaluation of Securities Collateral

At the very least, Clearing Members must have a collateral with the CSD pledged to the clearing house. Members can have multiple collateral accounts on different CSDs. The collateral pledged in favor of the clearing house is booked in this security deposit account. Securities are consigned to this account, on the Clearing Member instruction to the CSD, to transfer specific securities from the normal deposit account of the Clearing Members to the security deposit account. See “Eurex User Manual - System Overview & Information Manual” for a list of the securities accepted as collateral by the clearing house.

For Client Asset Protection, the collateral of individually segregated Non Clearing Member and Net Omnibus segregated clients is held on specific separated collateral accounts with the CSDs. On the Security Deposit Overview [Modified] window, the Clearing Member can see which securities are deposited with the clearing house and how they are used. This window shows the securities found in the security deposit, their use as full cover of short positions, specific equity collateral or as cover of the margin requirement (bulk) and also lists the papers about to be released. From this window, the member can call up the Collateral Transaction Overview [Modified] and Specific Equity Collateral Assignment Overview windows.

Clearing members assign specific equity collateral to positions in proprietary or agent margin accounts, view the quantity and price of pledged collateral and specify the pledge account and the CSD where the security is pledged while assigning cover on the Specific Equity Collateral Assignment Overview window. A Clearing Member can perform this task on own account and on behalf of the related Non Clearing Members.

Deposited equities are valued at their minimum expected underlying value as determined by Risk-based Margining and reduce the unadjusted margin requirement by this value for the given margin period. Note that since a margin surplus within a margin class is not permitted,

remaining assigned equities are used as bulk collateral. The specific equity collateral assignments performed intraday get effective during the next overnight batch run.

In case a relationship of a Non Clearing Member to a Clearing Member is terminated, we strongly recommend the Clearing Member to check and remove all remaining specific equity collateral allocations for this Non Clearing Member in order to guarantee optimized collateral usage. The Collateral Transaction Overview [Modified] window and the RPTCD020 DAILY SECURITY MOVEMENT AND COVERAGE REPORT give information on the movements in the security deposit account. In the RPTCD080 MONTHLY SECURITY MOVEMENT COVERAGE REPORT, the information is given on a monthly basis. On the Security Deposit Overview [Modified] window, the movements are summarized by security numbers for deposit and release, and are divided according to their use as full cover of short positions, specific equity collateral or as cover of the The Clearing Member must monitor the maturity dates of the bonds on deposit. The RPTCD030 SECURITY EXPIRATION REPORT provides a list of maturity dates for bonds used as margin cover and company capital/clearing fund cover.

The clearing house values the collateral on the security deposit account of each Clearing Member. This value is calculated by using the closing prices of stock exchanges, adjusted by a discount. Individual information on the valuation of securities is contained in the Collateral Transaction Overview [Modified] window, and in the RPTCD031 DAILY SECURITY VALUATION REPORT, which gives the market value and the cover amount of the entire security deposit.

Members can inquire about all commonly used collateral stored in the Eurex System on the Collateral Security Information window.

2.11.2.2 Cash Amounts

Clearing members can deposit cash as collateral in a Eurex currency. The amounts are transferred from the central bank account, which each Clearing Member must have, to the clearing house central bank account. For each Clearing Member, the clearing house keeps internal cash accounts on which these payments, as well as the premiums and fees, are booked. If the value of the deposited collateral does not cover the margin requirements, a negative balance, the amount not covered is debited from the CB account of the Clearing Member. The clearing house effects a transfer from the CB account of the Clearing Member. A positive balance is used, when necessary, to cover the margin requirements.

Cash balances are visible on the Collateral Status Detail [Modified] window. This window displays the current collateral status for a specific member either in one currency or aggregated to the clearing currency. The cash collateral transactions are visible on the reports RPTCD010 DAILY CASH ACCOUNT STATEMENT FOR CLEARING MEMBER and RPTCD070 MONTHLY CASH ACCOUNT STATEMENT FOR CLEARING MEMBER.

The Exchange Rate Overview [Modified] window displays current and previous exchange rates, conversion units, settlement periods and the decimal shifts of the currencies used by the clearing house.

Individual information on the monthly interest credits are delivered by the RPTCD230 INTEREST REPORT.

Correspondent banks can receive the reports RPTCD011 DAILY CASH ACCOUNT STATEMENT FOR ACCOUNT HOLDER and RPTCD071 MONTHLY CASH ACCOUNT STATEMENT FOR ACCOUNT HOLDER. The precondition to receive both the reports is a MISS-connection. For a selectable usage type, the Collateral Status Detail [Modified] window shows the start of day, the completed deposits and withdrawals and a balance. If a currency is provided, the amounts are shown for the selected currency and also converted to the members clearing currency.

Cash amounts deposited for the collection of interest are shown in the report in RPTCD031 DAILY SECURITIES VALUATION under a separate ISIN for the accepted currencies as well as in the Security Deposit Overview [Modified] window.