EUREX REPO TRADING WORK SMART.

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EUREX REPO

TRADING –

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Content

03 Rely on success

03 Eurex Repo Markets

04 Impressive growth

GC Pooling Market

05 Advantages at a glance

06 Participation

06 Market concept

07 GC Pooling ECB Basket

07 GC Pooling ECB EXTended Basket

07 GC Pooling Equity Basket

Euro Repo Market

08 Advantages at a glance

09 Participation

09 Market concept

09 GC baskets

10 Special Repo

Swiss Franc Repo Market

11 Advantages at a glance

11 Participation

12 Market concept

12 GC baskets

OTC Spot Market

14 Advantages at a glance

14 Participation

15 Market concept

SecLend Market

16 Advantages at a glance

16 Participation

16 Market concept

17 Baskets

17 COSI

®

_{– Collateral Secured Instruments}

Reference rates for

the Secured Money Market

18 Reference rate of the GC Pooling Market

19 Reference rates of the Swiss franc Market

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Rely on success

Eurex Repo, a member of Eurex Group, ranks among

the leading markets for electronic repo trading and

operates five markets in secured funding and financing:

The GC Pooling, Euro Repo, Swiss Franc Repo, OTC

Spot and SecLend Market. More than 315 participants

from ten countries are currently admitted to trading on

Eurex Repo’s markets.

Eurex Repo Markets

GC Pooling Market

This market enables EUR and USD cash liquidity trading collateralized with baskets of ECB eligible securities or the top 50 selection1_{of the HDAX}®_.

Euro Repo Market

The huge variety of different General Collateral (GC) baskets und the possibility to trade single bonds as Specials amends the GC Pooling Market.

Swiss Franc Repo Market

This market provides mainly CHF as well as multi-currency cash liquidity trading in EUR, USD and GBP collateralized with different baskets of the Swiss National Bank (SNB) or the European Central Bank (ECB) eligible securities and equities.

OTC Spot Market

This market offers efficient auctioning and trading of SNB Bills, denominated in CHF and USD, and money market debt register claims. In addition, it also provides auctioning of Swiss government bonds.

SecLend Market

This market provides efficient trading of securities lending and borrowing as well as collateralization of loans with debt securities, equities or ETFs. Furthermore, cash collateral in USD, EUR, GBP, CHF and JPY can be used to secure a loan.

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Impressive growth

Amongst the major electronic markets in Europe, Eurex Repo showed an impressive growth rate of almost 40 percent in 2010. With more than EUR 320 billion average outstanding volume in March 2011 Eurex Repo proves to be a highly liquid and reliable trading venue. Especially under turbulent market conditions, customers value the opportunity to gain liquidity in and out of the market in an efficient way. Furthermore, the direct access to central bank liquidity of the Swiss National Bank (SNB) within the Swiss Franc Repo Market or of the European Central Bank (ECB)/ Bundesbank within the GC Pooling Market provides the requested flexibility and safety.

GC Pooling, GC & Specials: outstanding volume 2005– 2011 (20-day moving average/single counted)

Swiss Franc Repo, OTC Spot Market and SecLend Market: outstanding volume (20-day moving average/single counted)

2005 2006 2007 2008 2009 2010 2011 200 180 160 140 120 100 80 60 40 20

OTC Spot SNB bills USD

OTC Spot SNB bills CHF

Repo SNB USD auctions Repo Interbank and SecLend

in EUR, USD, GBP

Repo SNB CHF auctions Repo Interbank in CHF in CHF billions 2005 2006 2007 2008 2009 2010 2011 140 120 100 80 60 40 20 GC Pooling GC Special in EUR billions

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GC Pooling Market

The European secured money market continues to expand

rapidly. Especially since summer 2007, anonymous trading

via a central counterparty (CCP) has become increasingly

important. Market participants are in the need to limit

credit exposures, market risks and the constraints resulting

from capital adequacy requirement. Launched in March

2005, the GC Pooling Market is designed to support this

growth through electronic trading with highly efficient

post-trading processes and a real-time collateral

manage-ment system.

GC Pooling participants can trade various standardized baskets of fixed income securities and equities tradable in EUR and USD. Maturities are available starting from same day up to one year. The various collateral baskets can be selected by pre-defined terms per currency.

Advantages at a glance

• Multicurrency funding in EUR and USD

• Fixed income securities and equities as basket collateral

• Flexible trading terms

• Full synchronization with the monetary operation processes of the European Central Bank /Bundesbank

• Re-use of collateral for open market operations2

• Reduced capital costs and market risks through the use of a central counterparty

• Netting on settlement day

• Balance sheet netting

• Automatic allocation of collateral

• Real-time substitution of collateral

• Minimized operational burden through easy basket trading and STP post trade processes

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Participation

All interested financial institutions, which fulfill the following requirements, can participate:

• Status of a credit institution or investment firm according to the Markets in Financial Instruments Directive 2004/39/EG (MIFID)

• Subject to a financial market supervisory authority

• Participation in the Eurex Clearing repo process

Market concept

It is easy to trade extremely large tickets – even billions – within seconds. Deals can be processed automatically without any issues over credit or security allocation.

As soon as a GC Pooling trade has been concluded on Eurex Repo, Eurex Clearing steps in as a central counterparty. The clearing house ensures anonymous trading and offers an efficient centralized risk management margining process across all products with a continuous mark-to-market revaluation, and centralized delivery management with netting on settlement day. The high settlement efficiency of 99.8 percent corresponds with the collateral received.

The collateral management system of Clearstream Banking delivers fully-automated allocation out of the combined securities pool thus collateralizing the traded cash amount. This process allows re-use and substitution of the collateral received. Customers can use their account relationship with either Clearstream Banking Luxembourg or Clearstream Banking Frankfurt. While Clearstream Banking offers settlement in central or in commercial bank money for GC Pooling baskets traded in EUR, baskets tradable in USD are settled in commercial bank money only.

Trading Clearing (CCP) Collateral management/ Settlement custody Eurex Repo Eurex Clearing Central Bank GC Pooling participant Clearstream CmaX/Xemac® Luxembourg/ Frankfurt

Get more information

Eurex Repo GmbH Frankfurt Office Gabriele Ristau T +49-69-211-1 57 41 Ingo Deisenroth T +49-69-211-1 41 93 Esen Eraslan T +49-69-211-1 31 72 London Office Dale Fullilove T +44-20-78 62-72 38 Bethany Harlock T +44-20-78 62-72 28 Paris Office Alexandra Morelle T +33-1-55 27-67 69 E-mail: [email protected] www.eurexrepo.com

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GC Pooling ECB Basket

Cash currencies EUR, USD Rating Minimum A-Basket standards

Based on the Eligible Assets Database (EAD), the GC Pooling ECB basket covers approximately 8,000 ECB eligible securities. This basket enables the re-use of received collateral for refinancing within the framework of ECB/Bundes-bank open market operations and the GC Pooling Market.

Basket collateral Around 3,000 instruments of • Central banks • Central governments • Regional/local governments • Supranationals

Around 5,000 traditional and Jumbo-Pfandbriefe-style instruments of

• Credit institutions

• Agency credit institutions Collateral currencies EUR

Countries

Austria, Belgium, France, Germany, Italy, Luxembourg, the Netherlands, Slovenia and Eurobonds

Standard terms

OverNight (ON),TomNext (TN), SpotNext (SN), SpotTerm, Tender, FlexTerm

The OverNight term is currently not available for USD GC Pooling. ISIN

DE000A0AE077 Trading hours 07:30 –18:00 CET

Cut-off time overnight: 16:00 CET

GC Pooling ECB EXTended Basket

Cash currencies EUR

Rating

Minimum BBB-Basket standards

Based on the Eligible Assets Database (EAD) the GC Pooling ECB EXTended basket covers around 23,000 ECB eligible securities. This basket enables the re-use within the same basket. Basket collateral Around 3,000 instruments of • Central banks • Central governments • Regional/local governments • Supranationals

Around 5,000 traditional and Jumbo-Pfandbriefe-style instruments of

• Agency credit institutions Around 15,000 instruments of

• Agency credit institutions

• Agency non-credit institutions

• Corporate and other issuers Collateral currencies

EUR Countries

Austria, Belgium, Cyprus, Finland, France, Germany, Ireland, Italy, Luxembourg, Malta, the Netherlands, Portugal, Slovenia, Spain and Eurobonds

Standard terms

OverNight (ON), TomNext (TN), SpotNext (SN), SpotTerm, Tender, FlexTerm

ISIN

DE000A0WKKX2 Trading hours 07:30 –18:00 CET

GC Pooling Equity Basket

Cash currencies EUR

Rating Not applicable Basket standards

The composition of the basket and the permitted number of shares per ISIN is updated every month depending on the monthly average trading volume at Xetra®_{. In case of an insufficient}

number of equities, bonds eligible for the GC Pooling ECB basket can be used for collateralization as well. This basket enables the re-use within the same basket.

Basket collateral

Based on the HDAX®_{, the basket covers}

50 equities with the highest Xetra®

turnover. Collateral currencies EUR Countries Germany Standard terms

OverNight (ON), TomNext (TN), SpotNext (SN), SpotTerm, Tender, FlexTerm

ISIN

DE000A1EZNP6 Trading hours 07:30 –18:00 CET

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Euro Repo Market

Established in July 2001, the Euro Repo Market has

developed tremendously and is now a highly liquid

market for European securities. In June 2011 almost

90 international members benefit from anonymous

trading through a central counterparty with low risk.

In the General Collateral (GC) Repo segment, collateral can be turned into cash swiftly and directly, while the Special Repo segment offers a market for single securities financing. The manual allocation of single securities after the conclusion of a basket trade enables a selective collateralization directly via the trading screen.

Euro Repo Market participants can actively trade repos with a wide range of around 3,000 fixed income securities divided into twelve different baskets to benefit from tailor-made financing. The market offers securities such as:

• European government bonds

• Jumbo-Pfandbriefe and Pfandbriefe

• KfW/Laender bonds (including SoFFin securities)

• European covered bonds

• Agency bonds (EIB, CADES, government guaranteed bonds from AT, BE, DE (XS-ISIN), ES, FI, IE, LU, NL, PT and UK)

• European corporate bonds

Banks provide binding quotes for maturities ranging from overnight up to one year. In addition open, variable and open variable terms offer maximum flexibility.

Advantages at a glance

• Anonymous and liquid market

• Flexible trading terms

• Fast execution through standardized baskets

• Reduced capital cost and market risks through the use of central counterparty

• Netting on settlement day

• Balance sheet netting

• Minimized operational burden through easy basket trading and STP post trade processes

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Participation

• Status of a credit institution or investment firm according to the Markets in Financial Instruments Directive 2004/39/EG (MIFID)

• Participation in the Eurex Clearing repo process

Market concept

The Euro Repo Market ensures straight-through processing with automated connectivity to the settlement organizations Clearstream Banking and Euroclear.

GC baskets

German GC Basket

Debt securities of the Federal Republic of Germany. German 10 Year GC Basket

Debt securities of the Federal Republic of Germany with a remaining maturity up to 10 years.

German Corporate Bond GC Basket

Covered and uncovered securities of German companies with a minimum issue volume of EUR 100 million and a minimum rating of A- and A3.

German Jumbo-Pfandbrief GC Basket

Jumbo-Pfandbriefe, issued by a German institution, as well as Asset Covered Securities (ACS) issued by mortgage banks and credit institutions, with a minimum issue volume of EUR 1 billion and a minimum rating of AA and Aa2.

German Pfandbrief GC Basket

Pfandbriefe, issued by a German institution, by mortgage banks or credit insti-tutions, with an issued size over EUR 100 million and below EUR 1 billion and a minimum credit rating requirement of single A and A2.

Trading Clearing (CCP) Collateral management/ Settlement custody Eurex Repo Eurex Clearing Euro Repo participant Clearstream Luxembourg/ Frankfurt Euroclear

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German KfW/Laender Bond GC Basket

Bonds issued by KfW and by the German federal states with a minimum issue volume of EUR 500 million and all SoFFin bonds.

EIB/KfW Bond GC Basket

Bonds issued by KfW, European Investment Bank (EIB) and the European Financial Stability Facility/European Financial Stabilisation Mechanism.

Agency Bond GC Basket

Bonds issued by EIB and Caisse d’Amortissement de la Dette Sociale (CADES) as well as Government guaranteed bonds from AT, BE, DE (XS-ISIN), ES, FI, IE, LU, NL, PT and UK (except SoFFin bonds) with a minimum issue volume of EUR 500 million and rating of AA and Aa2.

European Corporate Bond GC Basket

Covered and uncovered securities of European companies with a minimum issue volume of EUR 100 million and a minimum rating of A- and A3.

European Government Bond GC Basket

Government bonds of the following countries: AT, BE, ES, FI, FR, IE, LU, NL, PT and the European Community (EU-ISIN) with a minimum issue volume of EUR 100 million.

European Covered Bond GC Basket

Cédulas Hipotecarias or Territoriales, Obligatión Foncière, Lettre de Gage and covered bonds from AT, FI, IE, NL, PT, UK with a minimum issue volume of EUR 500 million and a rating of AA or Aa2.

French Covered Bond GC Basket

Obligation Foncières with a minimum issue volume of EUR 500 million and a minimum rating of AA and Aa2.

The composition of all baskets can be retrieved on www.eurexrepo.com > Euro Market > Baskets.

Special Repo

All bonds of the GC baskets can also be traded special. Standard terms

OverNight (ON), TomNext (TN), TomOpen, SpotNext (SN), SpotOpen, CorporateNext (CN), T1W, C1W, 1W, 2W, 3W, 1M, 2M, 3M, 6M, 9M, 12M, MAR, JUN, SEP, DEC, Spot VAR 1 WE, Spot VAR 1M, VAR Flex, VAR OPEN, Non Standard

Trading hours 07:30 –18:00 CET

Cut-off time for overnight: 15:30 CET Internal3_{, 10:30 CET External}4

Contract Size

Minimum EUR 1 million for GC Repo Minimum EUR 500,000 for Special Repo

Get more information

Eurex Repo GmbH Frankfurt Office Gabriele Ristau T +49-69-211-1 57 41 Ingo Deisenroth T +49-69-211-1 41 93 Esen Eraslan T +49-69-211-1 31 72 London Office Dale Fullilove T +44-20-78 62-72 38 Bethany Harlock T +44-20-78 62-72 28 Paris Office Alexandra Morelle T +33-1-55 27-67 69 E-mail: [email protected] www.eurexrepo.com

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Swiss Franc Repo Market

Currently more than 170 Swiss and foreign financial

institutions are admitted for trading at the established

and efficient Swiss Franc Repo Market. They carry out

their funding and collateral management operations

directly on the interbank market as well as at the daily

auctions of the Swiss National Bank (SNB), thereby

also facilitating their intraday liquidity management

in CHF.

The SNB now relies almost exclusively on repo auctions via the Eurex Repo market-place to conduct its open market operations. It accepts a wide range of high quality fixed income securities (for example government bonds from Switzerland, Germany and other European countries as well as German Jumbo-Pfandbriefe).

Our market participants organize their liquidity management in CHF via the unique intraday contracts as well as the usual bond and equity term contracts. In addition, liquidity in EUR, USD and GBP can be managed from intraday up to 12 months with General Collateral baskets on the same market.

Advantages at a glance

• Unique access to interbank and central bank repo liquidity via the same marketplace

• Exclusive access to take part in central bank auctions to manage the intraday liquidity efficiently in CHF

• Multi-currency (EUR, GBP, USD) and multi-market capability in one market

Participation

• Status of a credit institution or investment firm (e.g. banks, financial service providers, insurers or fund managers)

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Market concept

The Swiss financial center is synonymous with safety, stability, reliability and is at the leading edge of technology with fully integrated three stages of a securities transaction. Trading (Eurex Zürich AG), settlement and safekeeping (SIX SIS AG) and payments (SIX Interbank Clearing AG) are transacted online on a real-time basis.5

GC baskets

Fixed income baskets

SNB GC Basket

Defined by Swiss National Bank, is equivalent to the sum of all the other sub-baskets:

CHF GC Basket

Bonds issued in Switzerland with a minimum rating of A/A2 and a minimum issue size of CHF 100 million.

GOV GC Basket

Government bond issues with a minimum rating of AA-/Aa3 and a minimum issue size of CHF 1 billion of the following countries: Austria, Belgium, Denmark, Finland, France, Germany, the Netherlands, Norway, Spain, Sweden, Switzerland and United Kingdom.

International GC Basket

Covered bonds, international organizations, agencies and country issues with a minimum rating of AA-/Aa3 and a minimum issue size of CHF 1 billion. For more detailed information, please visit the SNB webpage at www.snb.ch.

EEA FI GC Basket

Defined by Eurex Repo. ECB (European Central Bank) eligible securities with a minimum rating of A-/A3 and a minimum issue size of EUR 200 million.

Trading

Clearing and settlement/ collateral management

Cash clearing

Eurex Repo

SIX SIS AG

Swiss National Bank Swiss Franc Repo

participant

SIX Interbank Clearing AG

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Equity baskets

SMI®_{GC Equity Basket}

All 20 SMI®_components

DAX®_{GC Equity Basket}

All 30 DAX®_components

Trading hours

07:00 –18:00 CET (supported 07:15 –18:00 CET) Cut-off times

Terms fixed income baskets

IN (Intraday), TIN (TomIntraday), OverNight (ON), TomNext (TN), SpotNext (SN), 1W (1Week), 2W (2Weeks), 3W (3Weeks), 1M (1Month), 2M (2Months), 3M (3Months), 6M (6Months), 9M (9Months), 12M (12Months), Non Standard, Special

Terms equity baskets

OverNight (ON), TomNext (TN), SpotNext (SN), 1W, 2W, 3W, 1M, 2M, 3M, 6M, Non Standard, Special

Contract size

Minimum CHF 1 million for GC Repo Minimum CHF 10,000 for Special Repo

Currency CHF EUR USD GBP

Overnight

15:55 15:55 17:55 15:30

Time zone

CET CET CET CET

Intraday

14:45 15:55 Not available Not available

Get more information

Eurex Zürich AG Eurex Repo Daniel Hartmann T +41-43-430-71 06 Frank Gast T +41-43-430-71 09 Michael Bührer T +41-43-430-71 11 E-mail: [email protected] www.eurexrepo.com

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Auctioneer (SNB/banks) Participants (banks)

Sale Confirmation

Settlement report Status report

Status report Status report

Payment instructions

Credit Debit

Payment confirmation

Confirmation Purchase

1

Participant (bank A) Participant (bank B)

2

1 Primary/auction segment 2 OTC trading segment

Eurex Repo

SIX SIS

SIX Interbank Clearing

OTC Spot Market

The introduction of the OTC Spot Market represents

a further milestone in a fully electronic marketplace.

Auctions of new issues and increases of existing issues

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as well as efficient trading of SNB Bills, denominated

in CHF and USD, and money market debt register claims

can be executed in the same market.

The marketplace supports trading for auctions as well as OTC trading with a direct link to cash clearing and settlement. This service is offered in conjunction with SIX SIS AG (custodian) and SIX Interbank Clearing AG (cash clearing) as a fully automated value chain.

Uniquely, auctions of new issues and increases are carried out by the issuers them-selves. Allocations are in accordance with Dutch or American allocation rules. In order to satisfy trading strategies, pre-trading activities may also be conducted anonymously.

SNB Bills and money market debt register claims can easily be traded OTC via the same well established value chain.

Advantages at a glance

• Combination of bilateral trading and access to the auctions of the SNB

• Direct, fully automated access using the same infrastructure as the Swiss Franc Repo Market

• No buyer transaction fees are charged for new issues or increases of existing issues offered through the auction process

Participation

• Status of a credit institution or investment firm (e.g. banks, financial service providers, insurers or fund managers)

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Market concept

The market concept ensures straight-through-processing. Fully integrated trading, settlement and safekeeping (SIX SIS AG) and payments (SIX Interbank Clearing AG) will be made online on a realtime basis.

Trading hours

07:00 –18:00 CET (supported 07:15 –18:00 CET)

Trading

Clearing and settlement/ collateral management Cash clearing Eurex Repo Auctioneer Participant SIX Interbank Clearing AG 1 Primary/auction segment 2 OTC trading segment

1 2

Standard settlement cycle days

Bonds

SNB Bills, denominated in CHF and USD Money market debt register claims

T+3 T+2 T+2

SIX SIS AG

Get more information

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SecLend Market

SecLend Market is a unique securities lending &

borrowing (SLB) market with straight-through

processing (STP) from trading to settlement. Traders

can monitor and manage the loan in real-time at

all times without any manual intervention need.

The market is based on the proven trading technology of Eurex Repo, which is firmly established in the international collateralized money market. The high degree of availability and the volume capacity of the system ensure efficient securities lending & borrowing in all market situations.

Advantages at a glance

• Discretionary market visibility, increased trading speed, reduced operational and systemic risk, reduced reconciliation effort, corporate action service included

• More time for market screening and focussing on high margin business

• Loan and collateral is linked throughout lifetime of a loan (Basle II).

• Access to all other Eurex Repo securities funding and financing markets within the same infrastructure

Participation

• Status of a credit institution or investment firm

• Participation in the Eurex-recognized clearing and settlement organizations

Market concept

Trading

Clearing and settlement/ collateral management SecLend Market SIX SIS AG SecLend participant Custody network

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Baskets

Securities from the most major markets and segments can be executed for a fixed or open term in accordance with international money market standards. Individual terms of up to twelve months as well as forward/forward are possible.

COSI

®

_{– Collateral Secured Instruments}

The SecLend Market offers a collateralization service with end-to-end processing for collateral secured instruments (COSI®_{) primary listed on Scoach Switzerland}

or secondary listed on Scoach Germany. The investor who purchases a certificate assumes a default risk that varies according to the creditworthiness of the issuer. The insolvency of the issuer could result in a total loss for the investor. In order to minimize this risk, SecLend Market offers a service for the collateralization of certificates in collaboration with SIX Swiss Exchange and SIX SIS AG.

The innovative COSI®_{service received international recognition as a winner of}

the Swiss Derivative Awards 2010 and has also been awarded by the Futures and Options World (FOW) in 2010 as the most innovative product of an exchange in Western Europe.

Fully integrated value chain

The collateralization service is build upon the tried-and-trusted securities lending infrastructure of Eurex Repo (collateralization and SecLend Market) and SIX SIS AG. Straight-through processing (STP) from trading to settlement where traders can monitor the collateralization of positions is offered in real-time at all times, with no manual intervention required.

More information can be found on our website at www.eurexrepo.com/cosi.

Trading hours 07:30 –18:00 CET

Settlement cycle days

Standard Non-standard T+2 T+ 0 or T+1 Specific securities or

a wide range of standardized baskets (U.S. government, German government, G7 government, FTSE equity, S&P500 equity, Hang Seng equity, and much more)

are available for lending purposes or for use as collateral.

Collateralization of the lending transaction takes the form of either the securities listed in the table above or in the form of cash in USD, EUR, GBP, CHF or JPY. Arrangement is via a cash correspondent.

Countries

•G7 and the major industrialized countries

•Emerging economies (South America, Eastern Europe, Asia, China, Russia, etc.)

Equities

•Equities included in the world’s major indexes (FTSE®_{, DAX}®_{, STOXX}®_{, S&P500}®_,

Nikkei225®_{, etc.)}

•Customary ETFs (exchange traded funds) • as well as other equities

Government bonds

•Bonds of the key industrialized nations

•Corporate debt instruments

•Corporate bonds included in the major indexes

•Various special bonds (supranationals, Pfandbrief bonds, international bonds, etc.)

Get more information

Eurex Zürich AG SecLend Market Frank Gast T +41-43-430-71 09 Michael Bührer T +41-43-430-71 11 E-mail: [email protected] www.eurexrepo.com

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Reference rates

for the Secured

Money Market

Based on the transactions of Eurex Repo several

indexes are calculated to serve the Secured Money

Market. The transparency of the electronic trading

system and the number of connected participants

enables the calculation of reference rates which

reflect real market developments.

Reference rate of the GC Pooling Market

Deutsche Börse AG Market Data & Analytics have developed the GC Pooling EUR Overnight Index (GCPI) in cooperation with Eurex Repo.

The GCPI is the measure of the overnight interest rates in the secured money market denominated in euro. It represents a volume-weighted average of all interest rates from overnight transactions in GC Pooling baskets concluded on the effective day. It is reported on an act/360 day count convention and it is published to three decimal places (financial rounding).

In 2009 Deutsche Börse AG Market Data & Analytics started to calculate the GCPI once a day at 18:00 CET for the current business day. The data go back to 2007. It is distributed to the main data vendors (e.g. Bloomberg: GCPION (rates), GCPIONV (volume); Reuters: GCPION (rates), GCPIONV (volume)). In addition the GCPI is published on the Deutsche Börse website.

It is planned to develop further reference rates based on the transactions of GC Pooling.

Get more information

Eurex Repo GmbH Frankfurt Office Gabriele Ristau T +49-69-211-1 57 41 Ingo Deisenroth T +49-69-211-1 41 93 Esen Eraslan T +49-69-211-1 31 72 London Office Dale Fullilove T +44-20-78 62-72 38 Bethany Harlock T +44-20-78 62-72 28 Paris Office Alexandra Morelle T +33-1-55 27-67 69 E-mail: [email protected]

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Comparison: GCPI®_{– EONIA}

Reference rates of the Swiss franc Market

SIX Swiss Exchange has developed 32 benchmark Swiss franc rates (Swiss Average Rate and Swiss Current Rates) in cooperation with the Swiss National Bank (SNB). These Swiss franc rates cover a term spectrum from OverNight (ON) to 12 months (12M) plus two indexes for the ON term. The relevant calculations for the reference rates are based on Secured Money Market transactions as well as on indicative quotes of the Swiss franc repo interbank market provided by Eurex Repo.

Going forward, the point of departure for the Swiss franc yield curve is based on the Swiss Average Rate Overnight (SARON®_).

Terms Overnight ON Tom/Next TN Spot/Next SN 1 Week 1W 2 Weeks 2W 3 Weeks 3W 1 Month 1M 2 Months 2M 3 Months 3M 6 Months 6M 9 Months 9M 12 Months 12M IMM March Contract IMM June Contract IMM September Contract IMM December Contract

Current

rates

SCRON SCRTN SCRSN SCR1W SCR2W SCR3W SCR1M SCR2M SCR3M SCR6M SCR9M SCR12M SCRMAR SCRJUN SCRSEP SCRDEC

Average

indexes

SAION

Average

indexes

SCION

Average

rates

SARON SARTN SARSN SAR1W SAR2W SAR3W SAR1M SAR2M SAR3M SAR6M SAR9M SAR12M SARMAR SARJUN SARSEP SARDEC

Swiss reference rates

Jan 09 Apr 09 Jul 09 Oct 09 Jan 10 Apr 10 Jul 10 Oct 10

50 45 40 35 30 25 20 15 10 5

GC Pooling® _{EUR Overnight Index} (GCPI) rate spread in b.p. GCPI volume (traded

volume in EUR millions) 50 40 30 20 10 0 -10 -20 -30 -40

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Swiss Average Rate®_(SAR)

The average rate is a continually calculated, real-time, volume-weighted reading based and published every ten minutes. In addition, a fixing is conducted three times a day at 12:00 CET, 16:00 CET and at the close of the trading day (18:00 CET at the earliest).

Swiss Current Rate®_(SCR)

The current rate is based on the price of a transaction or specific quotes (not volume-weighted). The calculation of the current rate is made every three minutes.

Swiss Average Index (SAION®_{)/Swiss Current Index (SCION}®₎

The indexes are calculated and published once a day at the end of the trading day. They are based on the daily yields as indicated in SARON and SCRON, respectively, and take into account interest payments received on overnight transactions.

SIX Swiss Exchange calculates and publishes the reference rates. The first publication takes place at 8:30 CET and the last at the end of trading day (18:00 CET at the earliest).

Comparison: TOIS fixing versus SARON 12:00 CET fixing

2005 2006 2007 2008 2009 2010 2011 5.0 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5

SARON 12:00 CET fixing TOIS fixing Values in percent

Get more information

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Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are cor porate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex Exchanges”.

All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of any information contained herein under any circumstances, including, with-out limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication.

This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only.

Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so.

Eurex derivatives (other than EURO STOXX 50®_{Index Futures contracts, EURO STOXX}®_{Select Dividend 30 Index Futures contracts, STOXX}®_{Europe 50 Index}

Futures contracts, STOXX®_{Europe 600 Index Futures contracts, STOXX}®_{Europe Large/Mid/Small 200 Index Futures contracts, EURO STOXX}®_{Banks Futures}

contracts, STOXX®_{Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Personal & Household Goods/Travel & Leisure/Utilities Futures contracts,}

Dow Jones Global Titans 50 IndexSM_{Futures contracts, DAX}®_{Futures contracts, MDAX}®_{Futures contracts, TecDAX}®_{Futures contracts, SMIM}®_{Futures contracts,}

SLI Swiss Leader Index®_{Futures contracts, Eurex inflation/commodity/weather/property and interest rate derivatives) are currently not available for offer, sale or}

trading in the United States or by United States persons.

Trademarks and Service Marks

Buxl®_{, DAX}®_{, DivDAX}®_{, eb.rexx}®_{, Eurex}®_{, Eurex Bonds}®_{, Eurex Repo}®_{, Eurex Strategy Wizard}SM_{, Euro GC Pooling}®_{, FDAX}®_{, FWB}®_{, GC Pooling}®_{, GCPI}®_{, MDAX}®_,

ODAX®_{, SDAX}®_{, TecDAX}®_{, USD GC Pooling}®_{, VDAX}®_{, VDAX-NEW}®_{and Xetra}®_{are registered trademarks of DBAG.}

The STOXX®_{indexes, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and/or its licensors.}

Eurex derivatives based on the STOXX®_{indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its}

licensors shall have any liability with respect thereto.

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© Eurex Repo, May 2012 Published by Eurex Repo GmbH Mergenthalerallee 61 65760 Eschborn Germany Eurex Zürich AG Löwenstrasse 3 8021 Zurich Switzerland www.eurexrepo.com Order number R2E-004-0512 ARBN Number