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The exchange bias effect is measured for the first time in FeF2–CoPt heterosystems with perpendicular anisotropy. The exchange previous field exhibits a strong dependence on the axial previous freezing field. This behavior is explained in terms of the microscopic spin structure at the interface, which is established on cooling to below TN. We calculate the dependence of the spin structure on the previous freezing field within the framework of an Ising model. It takes into account the Zeeman energy as well as an antiferromagnetic exchange coupling between the adjacent layers at the interface.