DLL has prepared a Robust Written Plan in accordance with the regulatory requirements outlined below. This text is a high-level summary of that Plan.

The below plan only applies insofar as no robust written plan, for example in the form of any fallback language, at the time of publication of this plan or thereafter, is available in any relevant product (legal) documentation such as, for example and without limitation, (master) agreements, final terms, confirmations and definitions.

This publication only serves to provide general background information, is indicative and subject to change without (prior) notification, is not necessarily complete or correct and is not intended to provide any individual, legal or other advice.

The Benchmark Regulation EU 2016/1011 of the European Parliament and of the Council dated 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (as amended from time to time) (the BMR), imposes certain requirements on firms that provide, contribute to or use benchmarks as defined in the BMR. The text of the BMR can be found on: EUR-Lex - 32016R1011 - EN - EUR-Lex (europa.eu).

European Union supervised entities are required to comply with the BMR, when relevant. Article 28.2 of the BMR provides inter alia that:
European Union supervised entities that use benchmarks must produce and maintain robust written plan(s) setting out the actions to be taken in the event that one or more benchmarks materially change or cease to be provided. Where feasible and appropriate, such plan(s) shall nominate one or several alternative benchmark(s) that could be referenced to substitute the benchmark(s) no longer provided, indicating why such benchmark(s) would be suitable alternative(s).

Following a benchmark cessation or material change to a benchmark, DLL will take the following approach.

The materiality of the impact of these changes will be determined. Based on this assessment an escalation decision will be made, after which a further detailed quantitative impact assessment may be executed. This could include:

• a quantitative impact analysis on notional amounts, exposures and number of impacted contracts and customers.
• a review of affected agreements and checking whether the conditions set out in the existing contractual arrangements already contain alternative benchmarks and to what extent a benchmark event frustrates or otherwise breaches the terms of any financial contract or financial instrument.
• a qualitative analysis reviewing if there is any impact to systems, models and processes.

The overall scope of the steps outlined above is to determine, if feasible and appropriate, a suitable and appropriate alternative benchmark or any other appropriate contingency measures for existing financial contracts, financial instruments and investment funds referencing such benchmark. It is expected that for “critical benchmarks” (as defined in Article 20(1) BMR) the market, for example a Central Bank or working group or calculation agent, will nominate an alternative benchmark which DLL expects to include in new contractual agreements, where appropriate and relevant. This includes the risk-free rates such as SONIA, SOFR and €STR.

In addition, DLL may take into account the following factors, without limitation, when assessing alternative benchmarks or indices:

• suitability in measuring the underlying interest
• only using benchmarks registered in the ESMA register
• ISDA, ICMA or LMA guidance and definitions if possible
• follow market practice where possible
• capable of implementation without undue delay
• compliant with regulatory requirements.