Rules and Regulations SIX x-clear Ltd

Transcription

1 xcl-n-509 January 2016

2 Table of contents 1.0 Definitions Purpose of the Clearing Terms Technical and operational specifications List of securities eligible for Clearing Contract specifications General Contract specifications for Listed Derivatives Stock options primary listed on Oslo Børs Stock forwards primary listed on Oslo Børs Futures Primary listed on Oslo Børs Index options primary listed on Oslo Børs OBX options Index futures primary listed on Oslo Børs OBX futures Contract specifications for TM Derivatives Tailor made stock options Tailor made stock forwards Tailor made index options Tailor made index futures/forwards Contract adjustment rules for Listed Derivatives and TM Derivatives Contract adjustment rules for Listed Derivatives Contract adjustment rules for TM Derivatives Contract specifications for SLB Contracts Contract specifications for VPO SLB Contracts Bilateral SLB Contracts Clearing of Trading Platform Transactions in Listed Derivatives, TM Derivatives and SLB Products Forwards Balancing trades TM Derivatives SLB Products VPO SLB Contracts Bilateral SLB Contracts Registration errors Transfer of Single Contracts General Transfer of Single Contracts between Members of x-clear Give-up to a Co-CCP Clearing schedule The Clearing day Cut off times 22 xcl-n BT xcl-n-509-e.doc 2 66

3 9.0 Formation of Contracts Margins Daily Margin call Extraordinary Margin call Lending Norms / Permissible Collateral Insufficient Margin Stress Margin Add-On Default Funds The Default fund Calculation of the Default Fund Contribution Collateral for the Default Fund Contribution Application of Default Funds Release of Permissible Collateral from the Collateral Account(s) Account structure General Clearing Accounts Collateral Accounts Permissible Collateral Cash collateral and settlement accounts Securities Accounts Collateral Accounts for Margins Collateral Account for Default Fund Contributions SLB Accounts Segregated Account Structures Introduction Individual Client Segregation for x-clear Clients Individual Client Segregation (ICS) Omnibus Client Segregation (OCS) Mini-Omnibus Client Segregation (Mini OCS) Portability General Specific terms in respect of x-clear Clients and Back-up provisional Clearing Administrators Competitive Clearing Strange nets Settlement - Single Net Contracts in Equity Products Responsibility to settle Single Net Contracts in Equity Products Registration of Single Net Contracts in VPO Registration errors in VPO 40 xcl-n BT xcl-n-509-e.doc 3 66

4 18.4 Measures upon the default of the settlement agent Cancellations and deferrals in VPO and adjustments in the Clearing System Settlement in VPO in general Failed delivery partial settlement and deferred settlement Failed delivery Partial Settlement Deferred Settlement Corporate actions in deferred settlements Late Settlement and Buy-In Settlements in respect of Derivative Product General Exercise of Options Delivery Settlement Cash settlements in Derivative Products Premium Settlement Forward Fee Settlement Expiry Cash Settlement Daily Market Settlement Clearing and Trading Fees Settlement SLB Products General Delivery Redelivery Mandatory Redelivery Breach of Redelivery obligations Redelivery Calls Changes concerning the Underlying Instruments Interest rate determination Interest rate determination and Settlement for VPO SLB Contracts Settlement of Bilateral SLB Contracts General Delivery Redelivery Interest Settlement Compensation Settlement Cash settlements in respect of Derivative Products and SLB Products Cash settlements Generation of cash settlement instructions Irrevocability and settlement finality Agent Clearing Amendments to the Clearing Terms 55 xcl-n BT xcl-n-509-e.doc 4 66

5 25.0 Address for Members wishing to contact x-clear in accordance with the GTCB Norwegian Branch 55 Annex - Corporate Action Procedures General provisions These procedures constitute x-clear s procedures for corporate actions as referred to in the Clearing Terms. In case of inconsistency between Clearing Terms and these Corporate Action Procedures, the Clearing Terms shall apply Entitlements upon a corporate action are allocated on the basis of the positions booked in VPS as at the end of the record date. Mandatory Corporate Actions with options or a Voluntary Corporate Actions ( Elective Corporate Actions ) must be instructed within the Market Deadline, and, if required, allocation is subject to applicable positions being booked in VPS as at the end of the Deposit Date. The dates and deadlines mentioned in the previous sentence are jointly referred to as the Deadlines The Corporate Action Procedures specify general principles for the treatment of corporate actions such as: In the following, Single Contracts and the corresponding Settlement instructions that fail to settle within the relevant deadline shall jointly be referred to as Applicable Transactions and individually as Applicable Single Contracts and Applicable Settlement Instructions respectively. Single Contracts and Applicable Settlement Instructions for Financial Instruments that are not Equity Products created due to a corporate action in an Applicable Transaction, including subscription rights, shall be referred to as Entitlement Transactions Financial Instruments that are not Equity Products will only be cleared by x-clear to the extent they are part of an Entitlement Transaction Corporate actions in Deferred Settlement shall be handled in accordance with these Corporate Action Procedures to the extent settlement of the Applicable Transaction or the Entitlement Transaction has not been carried out within the relevant Deadline The Corporate Action Procedures may be amended by giving the Members 14 days written notice, or if substantive reasons requires it, with a shorter notice period; in such cases, however, the reason for the shorter notice period shall be stated x-clear s processing of corporate actions If there is uncertainty as to the treatment of a corporate action, x-clear may at its own discretion, and to the extent possible, after having consulted the affected Members, decide and instruct the Members as to the treatment of the corporate actions x-clear shall be under no obligation to give effect to any instruction made by or on behalf of a Member or carry out any action required to obtain any entitlement due to a corporate action other than those explicitly set out by these Corporate Action Procedures or otherwise instructed by x-clear in relation to specific corporate actions. 57 xcl-n BT xcl-n-509-e.doc 5 66

6 2.3 x-clear will claim any outturn of a distribution on a gross basis (without deduction for any withholding tax) and distribute any outturn on a gross basis; however, it will deduct withholding tax, if applicable x-clear may decide to settle fractions via separate cash settlement transactions. The basis for calculating such cash settlements, if any, shall be the decimal fraction of the underlying instrument multiplied by: the reference price published by the issuer if the issuer compensates fractions; or a price determined by x-clear in accordance with a reasonable evaluation of the market value of the underlying instrument; or the trade price of the Applicable Transaction adjusted for the applicable corporate action x-clear will not instruct or settle individual cash amounts in accordance with these Corporate Action Procedures amounting to less than NOK x-clear will calculate and apply these Corporate Action Procedures on the basis of Single Net Contracts. Liability Notices issued due to an Elective Corporate Action may, however, cover parts of a Single Net Contract. If this is the case, then x-clear may split the Single Net Contract in the clearing system and cancel and reinstruct a new separate Settlement instruction for the remaining part of the Single Net Contract which is not affected by the Liability Notice in question. The Member (or its Settlement Agent) shall immediately match the corresponding Settlement instruction x-clear shall have no liability for and will not process any claims regarding allotments based on oversubscription in connection with any type of corporate action In the event of a Failed Delivery of any Single Contract created in accordance with these Corporate Action Procedures, the rules specified in the Clearing Terms shall apply Corporate actions may be processed by x-clear in accordance with these Corporate Action Procedures although the issuance of the relevant corporate action entitlements as at the Record Date is pending the ratification by the appropriate corporate body. If so, a Single Contract representing the potential right and obligation will be registered. If the appropriate corporate body decides not to ratify the corporate action in question, the Single Contract (referred to in the previous sentence) will be cancelled. If the appropriate corporate body ratifies the corporate action, a new Single Contract will be registered reflecting the decision of the appropriate corporate body and these Corporate Action Procedures Member s obligations The Member (including those represented by a Settlement Agent), is solely responsible for the issuance of any notification, instruction, satisfaction and reconciliation of any outturn of a corporate action processed in accordance with the Contractual Relationship including these Corporate Action Procedures. x- clear will not solicit responses from Members and will only act upon an instruction received from a Member (or its Settlement Agent) given in accordance with these Corporate Action Procedures. 58 xcl-n BT xcl-n-509-e.doc 6 66

7 3.2 Members are obliged to comply with and act in accordance with any instructions issued by x-clear under these Corporate Action Procedures x-clear may instruct, and may accept instructions from a Member s Settlement Agent. x-clear may rely on any correspondence and instructions provided by a Member s Settlement Agent as if such correspondence or instruction was provided by the Member itself As a consequence of a Failed Delivery of an Applicable Transaction, x-clear may amend, transform or create a Single Contract to reflect the defaulting Member s obligations in accordance with these Corporate Action Procedures Liability Notices A receiving Member that has not received delivery of underlying instruments in respect of Applicable Transactions or Entitlement Transactions subject to Elective Corporate Actions may submit a Liability Request Notice to x-clear. The Liability Request Notice shall be submitted to x-clear in the form attached as Appendix 1 to these Corporate Action Procedures (the Liability Request Notice ) The Liability Request Notice shall be received by x-clear within the applicable Liability Request Deadline and contain such information as is necessary in the individual case specifying the request of the Member in respect of the applicable corporate action, including the reference to the Applicable Transaction or Entitlement Transaction and the exact quantity of shares they have tendered or subscribed for If a claim is not made within the Liability Request Deadline and in the form set out in Section 4.1, the Member shall be deemed to have forfeited such claims in their entirety x-clear shall allocate liability in accordance with the allocation algorithm and issue a liability allocation notice ( Liability Allocation Notice ) to the defaulting Members by CET 16:00 on the Business Day on which the Liability Request Deadline occurs for the applicable corporate action ( Liability Allocation Deadline ). For Voluntary Corporate Actions, this applies to the extent the Applicable Transactions or Entitlement Transactions are not settled on the Deposit Date. Thus, the receiving Member is fully responsible and must itself instruct the applicable Institution on the pending Applicable Transaction or Entitlement Transaction to ensure receipt of the Corporate Event entitlements The allocation algorithm shall calculate and allocate the aggregate liability on the basis of the Liability Request Notices received in accordance with the above to the defaulting Members holding the oldest delivery obligations due to Applicable Transactions or Entitlement Transactions, which in aggregate offset the claims made in the Liability Request Notices To the extent x-clear for some substantive reason cannot meet a deadline for submitting a Liability Allocation Notice to a defaulting Member, x-clear shall forthwith notify the Members collectively that the notice period will be prolonged and state the reason for the prolongation The Liability Request Notice and the Liability Allocation Notice are jointly referred to as Liability Notices x-clear may, but is not obliged to require that the Member documents the claims made in a Liability Request Notice. 59 xcl-n BT xcl-n-509-e.doc 7 66

8 5.0 Treatment of specific corporate actions in VPO VPS may, for specific types of corporate actions, allow for corrections within a correction period, which is normally three days following the Record Date for a corporate action x-clear will attempt on a best-effort basis to make use of the correction functionality if available for the specific corporate action. To the extent this is unsuccessful, x-clear will handle the corporate action in accordance with these Corporate Action Procedures Margin x-clear will adjust Single Contracts for margin calculation purposes and calculate initial and variation margins on the outturn of a corporate action as of the Ex Date, and otherwise in accordance with the Clearing Terms Mandatory Corporate Actions General A Mandatory Corporate Action is an event initiated by the issuer of a Financial Instrument that affects all holders of the Financial Instrument ( Mandatory Corporate Actions ). Participation is mandatory although some events may give holders an option to determine the outturn Mandatory Corporate Actions may be divided into the following sub-categories: Distributions Distributions are events such as cash dividends, stock dividends, bonus issues, right issues, demergers/spin offs etc. ( Distributions ). In all cases the distribution will result in an allocation of cash and/or Financial Instruments to the holders registered in VPS as at the end of Record Date. If a Distribution consists of a Preferential Right, the procedure set out in Section 9 below shall be applied x-clear will process Applicable Transactions subject to distributions in accordance with the transaction management procedure set out below: Reorganizations Reorganizations are events such as splits, reverse splits, mergers etc. ("Reorganizations"). In all cases, the Reorganization will result in a transformation of the underlying instrument. The Reorganization will transform the underlying instruments of the holders registered in the CSD (VPS) as at the end of Record Date x-clear will process Applicable Transactions subject to Reorganization in accordance with the transaction management procedures set out below: Mandatory Corporate Actions with options Mandatory Corporate Actions with options are events such as distributions or reorganizations with the option to substitute the allocated entitlements e.g. cash dividends with Financial Instruments (bonus issue in lieu of dividends) The Liability Request Deadline for Mandatory Corporate Actions with options is (unless otherwise specified by x-clear) 09:00 (CET) on the Market Deadline + 1 Business Day x-clear will process Applicable Transactions subject to Mandatory Corporate Actions with options in accordance with the transaction management procedure set out below: 62 xcl-n BT xcl-n-509-e.doc 8 66

9 8.0 Voluntary Corporate Actions A Member (or its Settlement Agent) entitled to receive underlying instruments or any instrument deriving from such under an Applicable Transaction or an Entitlement Transaction subject to a Voluntary Corporate Action shall, without undue delay and no later than by the Liability Request Deadline, submit to x- clear a Liability Request Notice in accordance with Section The Liability Request Deadline for Voluntary Corporate Actions shall be (unless otherwise specified by x-clear) 09:00 (CET) on the Deposit Date + 1 Business Day x-clear shall allocate liability on the basis of the Liability Request Notices received by the defaulting Members in accordance with Section Applicable Transactions and Entitlement Transactions subject to Voluntary Corporate Actions and subject to a timely issued Liability Notice, shall be cancelled and replaced by new Single Contracts covering the election of the corporate action in accordance with the Liability Notices at the end of the Deposit Date + 1 Business Day or any other relevant date in accordance with 8.7 below x-clear shall, for each Single Contract created in the Clearing System; register a corresponding Settlement instruction for the settlement of any Financial Instrument eligible for settlement in VPO versus payment; and/or issue a corresponding settlement instruction for the settlement of any instrument which is not eligible for settlement in VPO or any net cash settlement amount due after transformation of Applicable Transactions subject to a Voluntary Corporate Action Settlement instructions as specified in Section and above shall be registered with a trade date equal to the date with which the settlement instruction is registered in the settlement system (normally the Deposit Date + 1 Business Day) and with a settlement date equal to the earliest possible settlement date for the applicable corporate action in the relevant settlement system If the outturn of a corporate action is pending the publication of the result of any allocation procedure then an interim Single Contract will be registered on the Members Clearing Accounts at such time as set out in these Corporate Action Procedures (the Interim Single Contract ). The Interim Single Contract is a temporary Single Contract. It will not be reported to the Members and no corresponding settlement instruction will be made on the basis of it. When the outturn of a corporate action is finalized, the Interim Single Contract will be cancelled and replaced by an ordinary Single Contract registered on the Clearing Members Clearing Accounts, with a corresponding Settlement instruction in VPO x-clear may decide to settle fractions as specified in Section The Member (or its Settlement Agent) shall immediately match the Settlement instruction specified in Section and Preferential rights A corporate action consisting of the award of Preferential Rights shall be treated in accordance with this Section xcl-n BT xcl-n-509-e.doc 9 66

10 9.2 x-clear will process Applicable Transactions subject to Preferential Rights in accordance with the transaction management procedure set out below: 64 xcl-n BT xcl-n-509-e.doc 10 66

11 1.0 Definitions Words and expressions defined in the General Terms and Conditions of Business SIX x- clear Ltd for Clearing of Trading Platform Transactions (English law) (the "GTCB Norwegian Branch") shall have the meaning set out in the GTCB Norwegian Branch clause 1.1. In these Clearing Terms the following words and expressions shall have the following meaning (or as defined throughout the Clearing Terms): Borrower means the party to a Loan Contract that is entitled to receive the Underlying Instruments upon entry into the Loan Contract, and who is under a duty to carry out Redelivery and reimburse the Lender for interest and other benefits received; Borrowing Account means the Borrower's account with VPS for registering SLB Contracts; Clearing and Trading Fees means Clearing and trading fees pursuant to the Price List; Closing Price means the closing prices for Listed Derivatives, TM Derivatives and the Underlying Instrument set by the Trading Platform. x-clear may apply a different closing price if required; Compensation Settlement means cash settlement and other benefits transferred from the Borrower to the Lender to compensate the Lender for dividends, interest, and other benefits that the Lender would have received during the Loan Period if the SLB Contract had not been entered into; Contract Document means a document prepared by the parties when entering into a Bilateral Loan, in which the terms and conditions for the transaction are agreed; Daily Market Settlement means such settlement as is described in clause ; Delivery means Delivery of Financial Instruments under an SLB Contract; Delivery Settlement means such settlement as is described in clause 19.3; Expiry Cash Settlement means such settlement as is described in clause ; Fixing Value means fixing value calculated by Oslo Børs pursuant to the Oslo Børs Rulebook, or if applicable fixing value is not calculated by Oslo Børs, as calculated by x- clear. Forward Fee Settlement means such settlement as is described in clause ; Give-up means a transfer of Single Contract pursuant to clause 7.1; xcl-n BT xcl-n-509-e.doc 11 66

12 Interest Settlement means payment by the Borrower to the Lender of agreed interest for the Loan Period, calculated on the basis of each start of day in the Loan Period using an ACT/360; Lender means the party under a duty to deliver the Underlying Instruments upon entry into the Loan Contract in return for the right to Redelivery and the right to receive settlement from the Borrower for interest and other benefits; Lending Account means a Lender s account with VPS for registering lending of Underlying Instruments; Loan Period means the period from the Delivery date to the actual Redelivery date; Minimum Interest Amount means the minimum interest amount agreed in the Contract Document. Premium Settlement means such settlement as is described in clause ; Redelivery means return of an Underlying Instrument to the Lender by the Borrower. SLB Instruments means the instruments subject to securities lending and borrowing under an SLB Contract. 2.0 Purpose of the Clearing Terms In accordance with the Contract for Clearing Services (English law) between SIX x-clear Ltd (hereinafter "x-clear") and the Member, these Clearing Terms form part of the Contractual Relationship between x-clear and the Member and shall be read in conjunction with the other parts of the Contractual Relationship, in particular the Contract for Clearing Services (English law), the Financial Collateral Agreements, and the GTCB Norwegian Branch. Certain requirements set out in the GTCB Norwegian Branch will be elaborated in these Clearing Terms. Capitalised terms used in these Clearing Terms shall, unless specifically provided otherwise, have the meanings given to them in the GTCB Norwegian Branch and, where appropriate, any other documents of the Contractual Relationship as mentioned in the paragraph above. The Clearing Terms are an integral part of the Rules & Regulations and together with Contract for Clearing Services (English law), the Financial Collateral Agreements for Margins and for the Default Funds, the GTCB Norwegian Branch, constitute one contract, which governs the legal relationship between x-clear and the Member. The specifications of the technical infrastructure (IT, communication, etc.) are described separately in the Business Partner Specifications and are published on the x-clear website. 3.0 Technical and operational specifications xcl-n BT xcl-n-509-e.doc 12 66

13 The Member may not commence operations until it has confirmed in writing to x-clear that it has conducted tests showing it is technically and operationally ready to go productive. The relevant confirmation form will be provided to the Member by x-clear in connection with application for membership. 4.0 List of securities eligible for Clearing The securities eligible for Clearing are published in the List of Securities eligible for Clearing. 5.0 Contract specifications 5.1 General This chapter 5.0 contains contract specifications for Trading Platform Transactions in Derivative Products and SLB Products, and any Single Contract resulting thereof shall be subject to the applicable contract specification and rules for contract adjustments. 5.2 Contract specifications for Listed Derivatives Trading and quotation of derivatives contracts primary listed on Oslo Børs are regulated by the at all times applicable rules available at: ( Oslo Børs Rulebook ) The Underlying Instruments for Listed Derivatives are shown in the lists in force from time to time, as published on the web sites of Oslo Børs. The contract specifications for Trading Platform Transaction in Listed Derivatives on Oslo Børs are set out in the Oslo Børs Rulebook. Below complementary provisions to the contract specifications set out in the Oslo Børs Rulebook are set out, which shall be the prevailing provisions in case of conflict with the Oslo Børs Rulebook: Stock options primary listed on Oslo Børs Exercise: Automatic exercise pursuant to clause Settlement: As specified in Oslo Børs Rulebook. Delivery Settlement shall take place as set out in GTCB Norwegian Branch and Clearing Terms clause Other contract specifications: As specified in Oslo Børs Rulebook Stock forwards primary listed on Oslo Børs Settlement: As specified in Oslo Børs Rulebook. Delivery Settlement shall take place as set out in GTCB Norwegian Branch and Clearing Terms clause xcl-n BT xcl-n-509-e.doc 13 66

14 Balancing trades: Other contract specifications: As specified in Oslo Børs Rulebook. As specified in Oslo Børs Rulebook Futures Primary listed on Oslo Børs Settlement: As specified in Oslo Børs Rulebook. Delivery Settlement shall take place as set out in GTCB Norwegian Branch and Clearing Terms clause Daily Market Settlement: As specified in Oslo Børs Rulebook. For detailed rules please refer to the GTCB Norwegian Branch and Clearing Terms clause Other contract specifications: As specified in Oslo Børs Rulebook Index options primary listed on Oslo Børs OBX options Exercise: Automatic exercise pursuant to clause Expiry Cash Settlement: Cash settlement on the settlement day, which is the third Business Day after exercise. The issuer of a call Option shall pay the holder any positive difference between the Fixing Value and the exercise price. The issuer of a put Option shall pay the holder any positive difference between the exercise price and the Fixing Value. Other contract specifications: As specified in Oslo Børs Rulebook Index futures primary listed on Oslo Børs OBX futures Daily Market Settlement: As specified in Oslo Børs Rulebook. For detailed rules please refer to the Clearing Terms clause Contract specifications: As specified in Oslo Børs Rulebook. 5.3 Contract specifications for TM Derivatives Trading of TM Derivatives on Oslo Connect is regulated by the at all times applicable rules available at: ( Oslo Connect Rulebook ). The contract specifications for TM Derivatives Trading Platform Transactions on Oslo Connect are set out in the Oslo Connect Rulebook. Below complementary provisions to the contract specifications set out in the Oslo Connect Rulebook are set out, which shall be the prevailing provisions in case of conflict with the Oslo Connect Rulebook: xcl-n BT xcl-n-509-e.doc 14 66

15 5.3.1 Tailor made stock options Settlement: As specified in Oslo Connect Rulebook. Delivery Settlement shall take place as set out in GTCB Norwegian Branch and Clearing Terms clause Other contract specifications: As specified in Oslo Connect Rulebook Tailor made stock forwards Settlement: As specified in Oslo Connect Rulebook. Delivery Settlement shall take place, as set out in GTCB Norwegian Branch and Clearing Terms clause Balancing trades: As specified in Oslo Connect Rulebook. Rules for Balancing trades are set out in the Clearing Terms clause 6.1. Other contract specifications: As specified in Oslo Connect Rulebook Tailor made index options Contract specifications: As specified in Oslo Connect Rulebook Tailor made index futures/forwards Balancing trades: As specified in Oslo Connect Rulebook. Rules for Balancing trades are set out in the Clearing Terms clause 6.1. Daily Market Settlement: As specified in Oslo Connect Rulebook. Detailed rules related to Daily Market Settlement is set out in GTCB Norwegian Branch and Clearing Terms clause Other contract specifications: As specified in Oslo Connect Rulebook. 5.4 Contract adjustment rules for Listed Derivatives and TM Derivatives Contract adjustment rules for Listed Derivatives If, for a company that has issued the Underlying Instrument of a Listed Derivative, there are changes affecting the capital of such company, or if the Underlying Instrument is suspended from trading on Oslo Børs or in other circumstances where a Listed Derivative listed on Oslo Børs shall be subject to contract adjustment in accordance with the Oslo Børs Rulebook, the rules on contract adjustments as set out in Oslo Børs Rulebook shall apply for applicable Net Position Contracts. x-clear calculates contract adjustments on behalf of Oslo Børs based on the adjustment rules in the Oslo Connect Rulebook and x-clear implements such contract adjustments for the applicable Net Position Contracts. xcl-n BT xcl-n-509-e.doc 15 66

16 5.4.2 Contract adjustment rules for TM Derivatives If, for a company that has issued the Underlying Instrument of a TM Derivative, there are changes affecting the capital of such company, or if an Underlying Instrument is suspended from trading on Oslo Børs or in other circumstances where a Trading Platform Transaction in a TM Derivative contract is cleared by x-clear shall be subject to contract adjustment in accordance with the Oslo Connect Rulebook, the rules on contract adjustments set out in the Oslo Connect Rulebook shall apply for applicable Net Position Contracts. x-clear calculates contract adjustments on behalf of Oslo Connect based on the adjustment rules in the Oslo Connect Rulebook and implements such contract adjustments for the applicable Net Position Contracts. 5.5 Contract specifications for SLB Contracts Contract specifications for VPO SLB Contracts Approved Underlying Instruments: Contract Type: SLB Instrument: Contract Size: Interest Rate: Interest Rate period: Interest calculation basis: Interest calculation: Interest Settlement: Redelivery: Redelivery Date: Loan Settlements: Financial Instruments approved for Clearing by x-clear. Open ended. Decided by x-clear among approved Underlying Instruments. 1 Underlying Instrument. Decided by x-clear. From and including date of Delivery to Redelivery date but not including Redelivery Date Based on daily market value. Actual /360 calculated daily. First Business Day after each month-end. The Borrower has the right to carry out Redelivery any Business Day in the Loan Period. The Lender may any Business Day in the Loan Period call for Redelivery. The date when Redelivery of the Underlying Instruments must at the latest take place, as provided for in clause Delivery, Redelivery, Interest Settlement and Compensation Settlement. 5.6 Bilateral SLB Contracts Approved Underlying Contract Type: Underlying Instrument: Contract Size: Loan Period: Minimum Interest Amount: Interest rate: Interest calculation basis: Interest calculation: Interest Settlement: Redelivery Entitlement: Open ended, unless a Redelivery date is specified in the Contract Document. As agreed in the Contract Document. 1 Underlying Instrument. From and including the date of Delivery to and including the date of Redelivery. As agreed in the Contract Document As agreed in the Contract Document. Variable. Calculated for each day commenced during the Loan Period based on actual/360. First Business Day after each month-end. The Borrower has the right on each Business Day in the Loan Period xcl-n BT xcl-n-509-e.doc 16 66

17 Approved Underlying Redelivery Date: Loan Settlement: Clearing liability: to carry out Redelivery. The Lender has the right on each Business Day in the Loan Period to demand Redelivery directly from the Borrower. The latest date, if any, specified in the Contract Document when Redelivery of the Underlying Instruments must take place. Specifying a Redelivery date does not affect the Redelivery entitlement. Delivery, Redelivery, Interest Settlement and Compensation Settlement. x-clear s liability as guarantor does not extend to Compensation Settlement. 6.0 Clearing of Trading Platform Transactions in Listed Derivatives, TM Derivatives and SLB Products 6.1 Forwards Balancing trades Net Position Contracts in Derivative Products (excluding Forwards) may be closed (in whole or in part) upon formation of Net Position Contracts based on Trading Platform Transactions consisting of off-setting positions. Forwards cannot be closed, but a balancing trade may be carried out through a Trading Platform Transaction consisting of an opposite position to the Forward. Net Position Contracts based on such positions will not be closed until the Single Contracts in question expire. 6.2 TM Derivatives x-clear offers Clearing of Trading Platform Transactions in TM Derivatives with equity instruments and official Oslo Børs Indices as Underlying Instruments. Registration of Trading Platform Transactions in TM Derivatives may only be done electronically through Oslo Connect. x-clear determines in its absolute discretion whether a Trading Platform Transaction in TM Derivatives shall be accepted for Clearing. Oslo Connect will upon matching of a Trading Platform Transaction in a TM Derivative requested to be Cleared by the parties, immediately send a trade feed to x-clear with information on the terms of the Trading Platform Transaction and which Trading Members are parties to Trading Platform Transaction. Upon receipt of the trade feed from Oslo Connect, x-clear will consider whether the Trading Platform Transaction is eligible for Clearing. If x-clear, in its sole discretion, finds that the Trading Platform Transaction may be subject to Clearing, x-clear shall on the same day confirm the recording of the Net Position Contract in the Clearing System, whereupon the Net Position Contracts are registered on the applicable Clearing Accounts. xcl-n BT xcl-n-509-e.doc 17 66

18 6.3 SLB Products General VPO SLB Contracts The provisions in this clause provide the detailed rules for registration of Net Position Contracts in VPO SLB Contracts. VPO SLB Contracts are generated by VPS upon borrowing demands in the VPO as specified in the Rules for the Central Securities Settlement in Norwegian Kroner ( VPO ) operated by Verdipapirsentralen ASA (the VPO Rulebook ). x-clear has no liability for the availability and operation of the VPO Loan Pool as regulated by the VPO Rulebook. VPO SLB Contracts generated in the VPO Loan Pool are subject to mandatory Clearing with x-clear. Accordingly members of VPO ( VPO Member ) must either be a Member or enter into an agreement with a GCM in order to participate in the VPO Loan Pool as Borrower. Accounts for Lenders and Borrowers in VPS For account set up, see chapter Requirements for Borrowers and Lenders a. Borrowers As specified in the VPO Rulebook, Members that are VPO Members must grant a power of attorney to VPS to generate VPO SLB Contracts in the VPO Loan Pool. Borrowings will be established in the name of and for the account of the relevant VPO Member in the event of a borrowing demand as further provided for in the VPO Rulebook, dependent on availability of Underlying Instruments in the VPO Loan Pool. b. Lenders Members or x-clear Clients wishing to participate as a member of the VPO Loan Pool for lending purposes shall register on their Lending Account that Underlying Instruments are available for lending purposes, specifying the type and amount of Underlying Instruments so available. Loan Contracts will be generated on a Lending Account as further provided for in the VPO Rules. Registration and Clearing of VPO SLB Contracts VPO SLB Contracts are generated by VPS as further provided for in the VPO Rules and are subject to mandatory Clearing by x-clear. xcl-n BT xcl-n-509-e.doc 18 66

19 New VPO SLB Contracts are registered by VPS on the Borrowing and Lending Account(s) as soon as the VPO SLB Contracts are generated whereby the available Underlying Instruments will automatically be delivered from the Lending Account to the Borrowing Account. x-clear and the respective Borrower and Lender will become counterparties upon registration of the VPO SLB Contract on the Borrowing Account and Lending Account. x-clear will simultaneously register a Net Position Contract on the Clearing Accounts of the Members (or x-clear Client as the case may be for Lenders) involved. Net Position Contracts in SLB Products may not be transferred to other Clearing Accounts. In the event that a security interest or encumbrance or transfer restriction is registered on the Lending Account, the Lending Account will be suspended and no VPO SLB Contracts will be generated in VPS. General Bilateral SLB Contracts x-clear acts as a Guarantor for the Borrower and the Lender when Clearing a Bilateral SLB Contract. x-clear determines in its absolute discretion whether a Bilateral SLB Contract shall be admitted for Clearing. Accounts for Lenders and Borrowers in VPS For account set up see chapter Registration and Clearing of Bilateral SLB Contracts The Underlying Instruments for Bilateral SLB Contracts that may be subject to Clearing by x- clear are eligible equity instruments listed on an Exchange or an MTF authorised by x-clear. The Contract Document including the contract specifications must be submitted to x-clear in electronic form in accordance with the procedure applicable at any time. If x-clear accepts the Bilateral SLB Contract for Clearing, x-clear shall on the same day confirm the Bilateral SLB Contract. When x-clear has approved the Bilateral SLB Contract for Clearing, x-clear shall register the Bilateral SLB Contract on the Members or the x-clear Clients respective Borrowing Account and Lending Account, and on the relevant Clearing Accounts. Net Position Contracts in SLB Products may not be transferred to other Clearing Accounts. The registration of Bilateral SLB Contracts on the Borrowing Account and Lending Account represents the legally binding contractual registrations, while the entries registered on the xcl-n BT xcl-n-509-e.doc 19 66

20 Clearing Account shall be in accordance with these entries and shall only be used for the calculation of Margin, settlement and fees Registration errors The general rules on corrections in the GTCB Norwegian Branch apply equally with respect to registration of SLB Contracts on the Borrowing Account, Lending Account and Clearing Account. Any amendments and cancellations must be carried out through Redelivery or the registration of a new SLB Contract. 7.0 Transfer of Single Contracts 7.1 General The Member may transfer Single Contract, in whole or in part, to Clearing Accounts for which it is the Member (including to Client Accounts and accounts held by x-clear Clients for which it is the Clearing Administrator) within the allocation deadline. The Member may register a request for the transfer of a Single Contract, in whole or in part, to another Member with x-clear, or to a Co-CCP Clearing Member. Net Position Contracts in SLB Products may not be transferred to other Clearing Accounts. 7.2 Transfer of Single Contracts between Members of x-clear The Member may register a Give-up to another Member with x-clear. The Give-up shall specify the position (constituting a Single Contract or parts of a Single Contract) to be transferred (the Give-up Transaction ), and identify the receiving Member. The transfer of the Give-up Transaction following the registration of a Give-up is conditional on that the receiving Member registers its acceptance within the opening hours of the Clearing system and specifies a Clearing Account for the receipt of the position. When acceptance is registered, a position corresponding to the Give-up Transaction will be registered on the specified Clearing Account, and closed on the Clearing Account of the transferring Member at the same time. The transferring Member is responsible for the Give-up Transaction, including responsibility for the posting of Permissible Collateral, until registration of the transfer is executed. At such point in time the receiving Member assumes full responsibility for the position corresponding to the Give-up Transaction. Any settlement amounts that fall due prior to a transfer will be credited or debited the transferring Member. 7.3 Give-up to a Co-CCP The Member may register a Give-up to a Co-CCP Clearing Member. xcl-n BT xcl-n-509-e.doc 20 66

21 The Give-up shall specify the Give-up Transaction and identify the receiving Co-CCP Clearing Member of the relevant Co-CCP. The transfer of the Give-up Transaction following the registration of a Give-up is conditional on that the relevant Co-CCP accepts the transfer. Following such acceptance, an Inter-CCP Contract between x-clear and the Co-CCP corresponding to the Give-up Transaction is registered on the balance account and closed on the Clearing Account of the transferring Member at the same time. The Member is responsible for the Give-up Transaction until it is transferred, including the responsibility to post Permissible Collateral. The transfer of the Give-up Transaction is effective, when the position corresponding to the Give-up Transaction is closed in the Clearing system. Any settlement amounts that fall due prior to cancellation will be credited or debited the Member. 8.0 Clearing schedule 8.1 The Clearing day Event Time Description Cash account balance information received from the Collateral and Settlement Banks Deadline for Collateral and Settlement Banks to send end of day cash balance to x-clear. Derivatives cash settlement 06: Derivatives cash settlement in the Collateral and Settlement Banks Daily Margin call distribution 07:30 Distribution of the Member s Daily Margin call Collateral and Exposure Statements to the Members Clearing system open (start of Clearing Hours) 07:30, 13:00 Collateral and exposure statements to be sent and 17:45 at predefined points during the Clearing day. 08:30 x-clear is open for receiving Trading Platform Transactions and corrections from the Trading Platforms. Oslo Børs opening hours and Trading 09:00-16:30 x-clear to send Trading Platform Transaction Platform Transaction confirmations confirmations to the Members. Cash account balance information 10:30-18:00 Collateral and Settlement Banks to send updated collateral information to x-clear every half hour. Cash settlement pool loan 12:30 Pool cash settlement in the settlement and Collateral and Settlement Banks Clearing system close (close of Clearing Hours) Equity Segment 17:45 x-clear close Equity Segment. Trading Platform Transaction confirmation to be sent. Reconciliation reporting sent to the Members Equity Segment 17:45 Reconciliation report for end of day received Trading Platform Transactions, end of day settled Single Net Contracts, end of day received open Single Net Contracts and aggregate end of day open Single Net Contracts (open position) sent. Overnight 18:00-23:00 Overnight processes such as corporate action adjustments. Clearing system close (close of Clearing Hours) Derivative Segment 19:10 x-clear close Derivative Segment. Trading Platform Transaction confirmation to be sent. Reconciliation report Derivative 19:10 Reconciliation report for Trading Platform xcl-n BT xcl-n-509-e.doc 21 66

22 Event Time Description Segment Transactions and positions. 8.2 Cut off times Event Time Description Collateral to satisfy daily Margin call 11:00 Cut off time for the Member to provide Collateral to satisfy the daily Margin call. Collateral release 13:00 Cut off time for Member to have collateral release with value same day. Trading Platform Transaction Correction Time Limit T: 17:30 Cut off time for Oslo Børs to send in Trading Platform Transaction corrections to the Clearing system. Objection notification cut off time T: 17:45 Cut off time for the Member to notify an objection to a Single Contract. Deadline trade feed from Oslo Børs T: 17:30 Cut off time for trade feed from Oslo Børs. Give-up to Members of a Co-CCP 19:00 Cut off time to enter and accept give-ups with a Co-CCP Member. Give-up among Members of x-clear 19:10 Cut off time to enter and accept give-ups among Members of x-clear. Option exercise request 19:10 Cut off time for option exercise requests. Trading Platform Transaction in Derivative Products allocation VPO registration cut off time for Members Settlement instruction objection notification cut off time 9.0 Formation of Contracts 19:10 Cut off time for allocations of Trading Platform Transaction Derivative Product. T+1: 12:00 Cut off time for the Member or its settlement agent to register the Single Net Contracts in VPO. T+1: 16:00 Cut off time for the Member to notify an objection to a Single Net Contract or a Settlement instruction (whether registered by x-clear, by x-clear and the Member or its settlement agent). Single Contracts arising from the provision of Clearing by x-clear to the Member are formed in accordance with the GTCB Norwegian Branch. In relation to Trading Platform Products traded on the Oslo Børs and Oslo Connect Trading Platforms, Members should note that: 1. The scope of Clearing by x-clear is restricted to orders matched and executed on the Oslo Børs Trading Platform s order books (namely, the Oslo Børs and Oslo Connect Trading Platforms as defined in the Oslo Børs Rulebook and the Oslo Connect Rulebook respectively).the Oslo Børs Rulebook and the Oslo Connect Rulebook respectively determines how orders on the Oslo Børs and Oslo Connect Trading Platforms are matched and executed so as to result in Oslo Børs Trading Platform Transactions. 2. x-clear provides Clearing in respect of Oslo Børs Trading Platform Transactions where at least one party to such transaction is a Member or an NCM. Where at least one counterparty to a Oslo Børs Trading Platform Transactions is neither a Member nor an NCM (but the other counterparty is one of these), the Co-CCP acting for such counterparty xcl-n BT xcl-n-509-e.doc 22 66

23 10.0 Margins will act on a back-to-back basis and an Inter-CCP Contract shall arise between x-clear and the relevant Co-CCP in accordance with the relevant Link Agreement. The corresponding Single Contract between x-clear and the Member shall arise no earlier than the time when the Inter-CCP Contract arises. 3. Pursuant to the GTCB Norwegian Branch, x-clear reserves the right to refuse to clear an Oslo Børs Trading Platform Transactions or to cancel the corresponding Single Contract if the Oslo Børs Trading Platform Transactions was not executed on the Oslo Børs Trading Platforms in accordance with the Oslo Børs Rules or the Oslo Connect Rules (as applicable), any data in relation to such transaction was not transmitted in accordance with the transmission specifications as agreed between Oslo Børs and x-clear, if Oslo Børs confirms by the end of the trading day that the Oslo Børs Trading Platform Transactions arose as a result of an error, or any other ground or basis set out in the GTCB Norwegian Branch. In relation to Trading Platform Products transacted via VPS, Members should note that: 1. The scope of Clearing by x-clear is restricted to automatically generated VPO SLB Contracts in the VPO Loan Pool and Bilateral SLB Contracts generated and executed in accordance with the User Handbook for Settlement Participants in VPS (the VPS Rules ). The VPS Rules determines how transactions on the VPS Trading Platforms are matched and executed so as to result in VPS Trading Platform Transactions. 2. x-clear provides Clearing in respect of SLB Contracts where both parties to such transaction are Members or NCMs (which for Clearing is represented by a GCM). 3. Pursuant to the GTCB Norwegian Branch, x-clear reserves the right to refuse to clear an SLB Contract or to cancel the corresponding Net Position Contract if the SLB Contract was not executed on the VPS Trading Platform in accordance with the VPS Rulebook, any data in relation to such transaction was not transmitted in accordance with the transmission specifications as agreed between VPS and x-clear, if VPS confirms by the end of the Business Day that the SLB Contract arose as a result of an error, or any other ground or basis set out in the GTCB Norwegian Branch. 4. x-clear acts as Guarantor only in relation to Bilateral SLB Contracts Daily Margin call The daily Margin call is calculated each Business Day after completion of the first settlement in VPO and is notified the Members. Margin calls for x-clear Clients are notified the relevant Clearing Administrator. x-clear calculates the margin continuously during the Business Hours in accordance with its margin methodology. The margin methodology and the risk parameters used shall be available on the website of x-clear. xcl-n BT xcl-n-509-e.doc 23 66

24 The margin methodology takes the following into consideration: - the market value (positive or negative) of an Option shall be a closing price of the Option series in question determined by x-clear. - the market value of Futures will be set at zero end of day. - the market value of a sold Forward is deemed to be the original transaction price less the closing price of the Forward series in question determined by x-clear. - the market value of a bought Forward is deemed to be the closing price of the Forward series in question determined by x-clear less the original transaction price. - the market value of an SLB Contract is deemed to be the negative closing price of the Underlying Instruments. - the collateral value of eligible equity instruments, that forms part of a hedging strategy. - any Daily Market Settlement, the collateral value, any interest settlement, compensation settlement, or equivalent settlement to be performed as a contractual obligation relative to the Single Contracts shall be included in the margin. Upon exercise of Options and expiry of Forwards and Futures, the relevant Net Position Contract is excluded from the margin calculations as of exercise or the Expiration date as applicable. x-clear can make adjustments to reflect corporate actions in eligible equity instruments. The margin calculated shall include the difference between the market value for each instrument and its Trading Platform Transaction price ("Variation Margin"). The Variation Margin may be negative, positive or zero. Further details of the components of the daily Margin call and x-clear s margin methodology are published on x-clear s web site. For Members participating in a Product Segment subject to a Link Agreement with one or more Co-CCPs, the daily Margin shall include a Link Margin Element, as further regulated below: - The Link Margin Element shall enable x-clear to meet the margin requirements from the Co-CCP under a Link. - The Link Margin Element shall be based on the link margin set by x-clear. x-clear shall calculate the Link Margin based on the maximum of the margin requirements applicable to x-clear under the Link Agreement, in addition to an add-on for expected fluctuations above the margin requirement. When deemed necessary, for objective reasons, such as but not restricted to tipple witching days a temporary requirement may be required, and for events with recurring patterns, advance notice from x-clear shall be given. Under normal circumstances, the link margin set by x-clear shall apply until a new link margin is deemed necessary. xcl-n BT xcl-n-509-e.doc 24 66

25 - The Link Margin Element payable by the respective Member shall be the Link Margin distributed between the relevant Members on a pro-rata basis. The percentage ratio shall be estimated at the end of each calendar month, based on the average initial margin of that Member. - x-clear may if required, at any time vary the Link Margin Element, including but not limited due to intra-day margin calls made by a Co-CCP. The Link Margin Element shall be posted in accordance with the Financial Collateral Agreement concluded between x-clear and the Member and the Lending Norms / Permissible Collateral (see website: > Clearing). - x-clear shall disclose the Margin requirement, and notify individually to the concerned Members, the pro rata distribution ratio and the Link Margin Element. - For Members that are Clearing Administrators, the calculation of the Link Margin Element will include positions held by x-clear Clients for which it is a Clearing Administrator Extraordinary Margin call x-clear will continuously recalculate the Margin and the Permissible Collateral value during the Business Day. x-clear may define limits on risk exposure applicable to the Members. Upon a breach of such limits, x-clear can issue an Extraordinary Margin call. x-clear may issue an Extraordinary Margin call if the Permissible Collateral provided by a Member or the x-clear Client is deemed to be insufficient to cover the risk on the Member or the x-clear Client or in other circumstances when considered necessary in view of the prevailing market conditions or for any other imperative reasons (including prior to a Business Day which is not a Norwegian banking day). Each margin call must be met within the deadline communicated by x-clear. Margin calls issued no later than 5:00 pm CET have a deadline on the same day. All deadlines have to be met within a maximum of sixty minutes after the call is issued. If a margin call after 5:00 pm CET cannot be satisfied on the same day, it has to be fulfilled by no later than 9:00 am CET on the next business day. Under extraordinary circumstances, margin calls may also be issued after 5:00 pm CET Lending Norms / Permissible Collateral The Member shall meet the daily Margin call within the deadlines in Clearing schedule (cf. chapter 8.0), or within the deadline set for posting Extraordinary Margin calls, by providing Permissible Collateral to x-clear pursuant to the Lending Norms / Permissible Collateral which can be accessed on the Clearing pages of the SIX Securities Services website at > Clearing. xcl-n BT xcl-n-509-e.doc 25 66

26 In addition to specify the Permissible Collateral, the Lending Norms / Permissible Collateral shows the lending values of the relevant type of Permissible Collateral, as well as to set out the concentration limits applicable for different types of Permissible Collateral Insufficient Margin If, at any time, the Margin provided is insufficient, x-clear will automatically issue a Margin call in real time denominated in Norske kroner (NOK). The following rules apply: 1. The Margin call is in principle to be met in the form of cash. 2. Permissible Collateral to satisfy Margin calls in the form of cash shall be transferred to the Cash CS Account designated to the Member or the x-clear Client by x-clear. 3. The daily Margin call is calculated each Business Day after completion of the first settlement in VPO and is notified the Member. Margin calls for x-clear Clients are notified to its Clearing Administrator. 4. x-clear calculates the margin continuously through the Business Day in accordance with its margin methodology. The margin methodology and the risk parameters used shall be available on the website of x-clear. 5. x-clear will continuously recalculate the Margin and the value of the Permissible Collateral during the Business Day. 6. If the Margin call is not satisfied by the Member or the x-clear Client, within the stipulated time, the Default rules pursuant to the GTCB NB and the Termination and Suspension Rules shall apply Stress Margin Add-On A Stress Margin Add-On will be charged whenever stress losses calculated under extreme, but plausible market scenarios on a credit group level exceed a certain threshold of the default fund, as detailed below. The daily Margin shall include the Stress Margin Add-On. Stress Margin Add-On: Min (SL j + IM j + SIG + 45% * DFF; 0) where: SL j = Stress Loss for credit group j (negative value) SIG = Applicable skin-in-the-game of SIX x-clear DFF = Applicable default fund size (of the segment relevant to the Clearing Member). xcl-n BT xcl-n-509-e.doc 26 66

27 11.0 Default Funds 11.1 The Default fund x-clear shall set a minimum amount below which the size of the Default Fund may not fall. The minimum amount shall be revised annually or when required for imperative reasons. x- clear shall disclose the minimum size of the Default Fund on its website. Members are required to participate to the Default Fund of x-clear. The Member shall be assigned to one of the segments of the Default Fund, as a function of the Clearing segments it has elected. The default fund is segmented in accordance with the main product lines of x-clear, i.e. the distinction shall be between the Equity Segment and the Derivative Segment. A Member shall be assigned to either one of these product segments in the default fund. The decision criteria for assigning a Member to either of the segments is dependent on the Member having elected the Derivatives Segment or not. A Member, Clearing in the Derivative Segment shall be assigned to the Derivatives Segment, irrespective of its using Clearing services in other segments Calculation of the Default Fund Contribution x-clear shall, at the end of each calendar month, stipulate the Default Fund Contribution to be provided by each Member. The Default Fund Contribution of a Member shall unless otherwise provided for below, be the higher of the amounts set out in below: a. the basic Default Fund Contribution: - for an Individual Member (ICM): CHF 500,000 - for a General Member (GCM): CHF 5,000,000. b. in proportion of the members share, relative to the total of the gross open amount or initial margin, if higher. The Default Fund Contribution from a Member participating in the SLB Segment only, shall be the higher of the amounts set out below: c. the basic Default Fund Contribution: - for an Individual Member (ICM): CHF 500,000 - for a General Member (GCM): n/a. d. Days in proportion of the members share, relative to the total of the gross open amount or initial margin, if higher. xcl-n BT xcl-n-509-e.doc 27 66

28 The average values referred to above shall be calculated based on those Business Days that the Member has had outstanding positions. Gross open amounts or initial margins on Outstanding Contracts executed by a Member for x-clear Clients will be included. For new Members, x-clear may determine an initial Default Fund Contribution based on expected Clearing volumes. All Contributions are rounded up to the next Swiss franc (CHF) 0.1 million increment. The notice of a Default Fund Contribution is binding upon the Member, who is legally responsible for the Default Fund Contribution notified. The Default Fund Contribution notified may be collected and applied to cover losses upon any Event of Default, occurring subsequently to the date of notice, but prior to or after the posting of the Permissible Collateral. x-clear reserves the right to change the amounts specified in this clause and/or the fixed percentage referred to in this clause by giving 30 days' notice. In the event of changes in the legislation or in related sets of rules, decision by public authority, if the Default Fund falls below the minimum amount specified in clause 11.1 or other imperative reason, such changes may be implemented with less than 30 days' notice Collateral for the Default Fund Contribution The Member shall provide its Default Fund Contribution to x-clear in the form of: a. Cash Collateral credited to a designated Cash DF Account. b. Eligible Financial Instruments posted to a Collateral Account. x-clear will request the Member to provide additional Permissible Collateral: - upon changes in the Member s Default Fund Contribution determined by the monthly recalculation; - at any time, if the Permissible Collateral value that the Member has deposited no longer meets the Default Fund Contribution requirement; - at any time, upon an Event of Default whereby funds of the Default Fund have been drawn. x-clear will notify the Member if the Permissible Collateral posted for the Default Fund Contribution is insufficient, where after the Member shall provide additional Collateral within the time limit notified by x-clear, however, within the minimum limit set out in the GTCB Norwegian Branch. The notice of a Default Fund Contribution is binding upon the Member, who is legally responsible for the Default Fund Contribution notified. The Default Fund Contribution notified may be collected and applied to cover losses upon any Event of Default, occurring subsequent to the date of notice, but prior to or after the posting of the Collateral. The Member can access updated information about the current value of Permissible Collateral and the required Default Fund Contribution through the x-clear web application. xcl-n BT xcl-n-509-e.doc 28 66

29 11.4 Application of Default Funds In the event of one or several Events of Default the contributions from the defaulting Member, x-clear s own equity and the Default Fund shall be available to cover an Event of Default(s) in the following order of priority: Firstly, x-clear shall apply all contributions provided by the defaulting Member in the following sequence: (i) the Permissible Collateral (and any other collateral) provided as Margins by the defaulting Member and (ii) the Permissible Collateral (and any other collateral) provided as Default Fund Contribution by the defaulting Member. Secondly, x-clear shall apply available own dedicated resources which is specified on the website of x-clear. The allocated amount shall be split in two distinct parts: a. x-clear Contribution Part I which shall be used in the Event of Default (s) by Members participating in the Equity Segment; and b. x-clear Contribution Part II which shall be used in the Event of Default (s) by Members participating in the Derivatives Segments. The allocation of funds between x-clear Contribution Part I and x-clear Contribution Part II shall be proportionate to the contributions to the different segments of the Default Fund. The allocation shall be revised at the end of each calendar month, in conjunction with the calculation of the Default Fund Contribution in clause 11.2, and shall be displayed on x- clear's web site. When an Event of Default (s) occurs and the defaulting Member is a Member in the Equity Segment only, x-clear shall use the allocated funds in x-clear Contribution for Part I. When an Event of Default (s) occurs and the defaulting Member is a Member in the Derivatives Segment, x-clear shall apply the funds in x-clear Contribution Part II. Funds in x-clear Contribution Part II cannot be used when an Event of Default (s) occurs by a Member participating only in the Equity Segment and vice versa. x-clear shall reinstate funds used in x-clear Contribution Part I and/or x-clear Contribution Part II, as applicable, within five days of the relevant Event of Default. Third, x-clear shall apply the applicable part of the funds in the General Tranche (Tranche 1) of the Default Fund: a. If the defaulting Member is a Member for the Equity Segment only, x-clear shall apply the funds in Part I. b. If the defaulting Member is a Member in any other Product Segment, x-clear shall apply the funds in Part II. The Default Fund Contributions from the non-defaulting Members shall always be applied pro-rata, based on the size of each Member's Default Fund Contribution relative to the total xcl-n BT xcl-n-509-e.doc 29 66

30 Default Fund tranche, excluding the defaulting Member, at the time the Event of Default occurred. In respect of other forms of Collateral the Member may provide cash as an alternative to the realisation of such Collateral, subject to prior consent by x-clear. The Member must in such cases post cash on its own initiative upon advance notice from x-clear and within the deadline set by x-clear for expected utilisation of the Default Fund Contribution. x-clear shall notify the Members in writing if the Default Fund is applied in whole or part. x-clear may irrespective of any duty of confidentiality otherwise applicable, provide the non-defaulting Members with information on its losses caused by the defaulting Member. Upon later recovery by x-clear of any losses for which x-clear has applied Default Fund Contributions, x-clear shall allocate and distribute the recovery amount to the Members pro rata to their coverage part. Where Default Fund Contributions have been applied to cover losses, x-clear will in writing call for a top-up amount in Default Fund Contribution from each Member. Top-up contributions shall not be used to cover the losses caused by the Event of Default which originally caused a draw-down of the Default Fund or any other Default Even occurring before the call for a top-up amount. The Member shall provide Collateral for the top-up contribution in accordance with Chapter 4 above Release of Permissible Collateral from the Collateral Account(s) The Member is required to submit an appropriate request to x-clear by submitting the Collateral Withdrawal Form which can be accessed on the Clearing pages of the SIX Securities Services website at > Clearing. The form shall be in writing and provided by fax and/or by . The Member may request x-clear to release Permissible Collateral for Margins when the Permissible Collateral value exceeds the latest Margin call, upon which a release shall be carried out without undue delay, however, subject to the terms set out in the Contractual Relationship, including the Financial Collateral Agreement for Margins. The Member may request x-clear to release Permissible Collateral for Default Fund Contributions when the Permissible Collateral value exceeds the latest Default Fund Contribution obligation, upon which a release shall be carried out without undue delay, however, subject to the terms set out in the Contractual Relationship, including the Financial Collateral Agreement for Default Funds. If a Member wishes to substitute Permissible Collateral for Margins or for Default Fund Contributions, the new Permissible Collateral must be delivered prior to withdrawing the old Permissible Collateral. Clearing Administrators shall administer release of Permissible Collateral on behalf of x-clear Clients, subject to the requirements set out above. xcl-n BT xcl-n-509-e.doc 30 66

31 13.0 Account structure 13.1 General Each Member is required to maintain specific accounts for the purposes of Clearing. It is immaterial for this purpose whether the Member is a GCM or an ICM. A distinction is made between Clearing Accounts, Collateral Accounts for Margins as well as Collateral Accounts for the Default Fund Clearing Accounts The Member's Outstanding Contracts from Trading Platform Transactions executed on Oslo Børs and VPS (whether for itself or if a GCM, on behalf of an NCM) are recorded in Clearing Accounts in the name of the Member. The Clearing Accounts are maintained at x-clear. x-clear will set up an account structure in accordance with the instructions given by the Member, e.g. by setting up Member and Client Accounts (Segregated Accounts). On the basis of all Outstanding Contracts, the required Margin is calculated per Segregated Accounts and matched against the Permissible Collateral. Margin is also calculated on the total exposure for the Member thus including any shortfall related to Client Accounts, and for Clearing Administrators, also including any shortfall related to x-clear Clients Clearing Accounts Collateral Accounts Permissible Collateral The Permissible Collateral accepted by x-clear is set out in the Lending Norms / Permissible Collateral Cash collateral and settlement accounts x-clear opens a cash collateral account held by x-clear in either of the Collateral and Settlement Banks, such account being designated to a Member, a Co-CCP or an x-clear Client ( Cash Account ). Cash Accounts are used for: 1. recording Permissible Collateral in cash provided by way of transfer of title by the Member or the x-clear Client and for cash settlements between x-clear and the Member or x-clear and the x-clear Client in respect of Derivative Products and SLB Products ( Cash CS Account ); and/or 2. Default Fund Contributions ( Cash DF Account ). xcl-n BT xcl-n-509-e.doc 31 66

32 Securities Accounts If the Member or an x-clear Client provides Permissible Collateral in the form of Financial Instruments (pursuant to the terms of the Lending Norms / Permissible Collateral) a securities account shall be opened in a Collateral Institution ( Securities Account ) and such account shall be Pledged under the applicable Financial Collateral Agreement Collateral Accounts for Margins The Member and the x-clear Client may post Permissible Collateral for Margins: 1. in the form of cash by transferring cash to the Cash CS Account to x-clear by way of transfer of title pursuant to the Financial Collateral Agreement for Margins. A Cash CS Account will be opened for each eligible currency. 2. in the form of Financial Instruments held on a Securities Account, such account being Pledged to x-clear pursuant to the Financial Collateral Agreement for Margins. The Member shall at all times ensure that its Collateral Accounts hold a credit balance in the amount of the deposits made by it to fulfil its obligations to provide Margin and to satisfy Margin calls Collateral Account for Default Fund Contributions The Member may post Permissible Collateral for Default Fund Contribution: 1. in the form of cash by transferring cash to the Cash DF Account to x-clear by way of transfer of title pursuant to the Financial Collateral Agreement for Default Fund. A Cash DF Account will be opened for each eligible currency; and 2. in the form of Financial Instruments held on a Securities Account, such account being Pledged to x-clear pursuant to the Financial Collateral Agreement for Default Funds SLB Accounts For participation as borrower or lender in respect of SLB Product the following accounts must be opened by VPS: Segment Applicable for Accounts Eligibility requirement VPO SLB Borrower Borrowing Account in VPS VPO Members only VPO SLB Lender Lending Account in VPS Bilateral SLB Borrower Borrowing Account in VPS Bilateral SLB Lender Lending Account in VPS An x-clear Client wishing to clear Bilateral SLB Contracts as a Borrower or Lender must open a VPS Account to be used as a Borrowing Account or a Lending Account with its Clearing Administrator as Account Operator. xcl-n BT xcl-n-509-e.doc 32 66

33 A Borrowing Account, whether for VPO SLB Contracts or for Bilateral SLB Contracts, shall not be used as a Lending Account Segregated Account Structures 14.1 Introduction x-clear will offer the following omnibus and individual client segregation models for positions and assets: - Individual Client Segregation for x-clear Clients - Individual Client Segregation (ICS) - Omnibus Client Segregation (OCS) - Mini-omnibus Client Segregation (Mini-OCS) The segregated account structures for GCMs/NCMs affect x-clear s Clearing Accounts and Collateral Accounts for Margins only. The Collateral Accounts for the Default Fund will remain the property of the GCM and will be used in case the Margins for the GCM/NCM positions are not sufficient. Further in this chapter a detailed set up of each account structure is explained including a visual simplification Individual Client Segregation for x-clear Clients The picture below depicts the account structure at x-clear Client level. The Clearing Administrator acts as agent only for the purpose of Clearing, and the x-clear Client is itself the holder of the Clearing Account. Accordingly the x-clear Client positions and assets are segregated from the ones of the Clearing Administrator and its other clients (whether NCMs or other x-clear Clients). The account structure for the x-clear Client model allows dedicated individual and segregated Clearing and Collateral Accounts to be held that show receivables and liabilities in terms of assets and positions of an x-clear Client. No cross-netting (crossmargining) of positions takes place, except for netting of positions of the x-clear Client (Clearing Account level). The Clearing Administrator is jointly liable with the x-clear Client towards x-clear. xcl-n BT xcl-n-509-e.doc 33 66

34 CCP Clearing Administrator x-clear Client Single Contracts Clearing Adm. jointly liable with the x-clear Client x-clear Client Clearing Account x-clear Client Collateral Account Figure 1: x-clear Client segregation Concerning the Collateral Accounts, the x-clear Client is the account holder of Collateral Accounts in the form of Securities Account (optional) and is designated a Cash CS Account by x-clear (mandatory). Accordingly the collateral of the Clearing Administrator, and its other clients is always segregated from the x-clear Client s Permissible Collateral. The Clearing Administrator has to pass-through any collateral amount received from the x-clear Client if the collateral fulfills the collateral eligibility requirements of x-clear. From a risk management and default management point of view, the account set-up is looked at individually and combines the x-clear Client s Clearing Account with respective Collateral Account(s) to a transfer (portability)/ close-out unit. This applies to stress testing, default management, close-out possibilities and connection options of the x-clear Client in a Clearing Administrator defaulting case. Legal requirement: When opting for the x-clear Client solution an x-clear Client shall enter into the Contract for x- clear Clients (English law) with the Clearing Administrator and x-clear. To ensure that a Back-up Clearing Administrator takes over the administration of the x-clear Client s assets and positions upon the Clearing Administrator s Default, instructions shall be submitted to x- clear and a contractual agreement of the designated Back-up Clearing Administrator and the x-clear Client shall be in place. The Back-up Clearing Administrator form may be found under: > Clearing > Member information > Forms. xcl-n BT xcl-n-509-e.doc 34 66

35 14.3 Individual Client Segregation (ICS) The picture below depicts the account structure at NCM level. The GCM positions and assets are segregated from the ones of its NCM(s). In addition, each NCM is segregated from the other NCM(s). The account structure for the ICS model allows dedicated individual and segregated Clearing and Collateral Accounts to be held that show receivables and liabilities in terms of assets and positions of an NCM. The cross-netting (cross-margining) of positions takes place on Clearing Account level. Figure 2: Individual client segregation (ICS) Concerning the Collateral Accounts, the Member can choose for each NCM to use separate Collateral Accounts for client and house clearing account (model A) or an omnibus Collateral Account (model B) for both clearing accounts. The collateral of the GCM is always segregated from the collateral referable to the individual NCM. The GCM has to pass through the collateral amount or positions requested from the NCM if the collateral fulfills the collateral eligibility requirements of x-clear. From a risk management and default management point of view, the account set-up is looked at on a credit group level. The credit group combines, on a technical level, Clearing Account (consisting of one or several technical accounts) with respective Collateral Account(s) to a transfer (portability)/ close-out unit. This applies to stress testing, default management, close-out possibilities and porting options of the NCM in a GCM defaulting case. Legal requirement: When opting for the ICS solution an NCM instruction shall be given by using a standard form of x-clear. Portability shall be based on a contractual agreement of the designated Back-up GCM and the NCM to assume the latter s collateral and positions. This form can be found under: > Clearing > Member information > Forms xcl-n BT xcl-n-509-e.doc 35 66

36 The ICS account structure enables the NCM to change status in case of a GCM default. Specifically, the NCM can choose to become an Individual Clearing Member (ICM), under the condition that the Member requirements of x-clear are fulfilled. This form can be found under: > Clearing > Member information > Forms Omnibus Client Segregation (OCS) The picture below depicts the account structures at GCM level. The GCM positions and assets are segregated from those of its NCM(s). The OCS will segregate positions and assets of the GCM and the NCM. The cross-netting (cross-margining) of positions takes place at the Clearing Account level. OCS is the standard solution offered by x-clear. Figure 3: Omnibus Client Segregation (OCS) The segregation of the Clearing Account referable to the NCM and the Clearing Account of the GCM, as well as the segregation of the Collateral Accounts containing respectively the GCM s assets and the assets referable to all the NCMs will ensure clear segregation. The segregated Collateral Accounts shall cover the Margin requirements in respect of the Outstanding Contracts referable to the NCM and the Outstanding Contracts of the GCM. From a risk management and default management point of view, the account set-up is viewed at the credit group level. The credit group combines, on a technical level, the Clearing Account (consisting of one or several technical accounts) with the respective Collateral Account(s) for a transfer (portability)/close-out unit. This applies to stress testing, default management, close-out possibilities and porting options of the NCMs in the case of a GCM default. Legal requirement: If opting for the OCS solution, NCM instruction(s) shall be given by using a standard form of x-clear to initiate client segregation. Portability shall be based on a contractual agreement of the designated Back-up GCM and the GCM in respect of the NCMs assets and positions. This form can be found under: > Clearing > Member information > Forms. xcl-n BT xcl-n-509-e.doc 36 66

37 14.5 Mini-Omnibus Client Segregation (Mini OCS) The picture below depicts the account structure at NCM level. The GCM positions and assets are segregated from those of its NCMs. The Mini OCS is similar to the OCS model, offers the GCM the possibility to use more than one OCS structure. The Mini OCS will segregate positions and assets of the GCM and each of the NCM structures. The cross-netting (crossmargining) of positions takes place at the Clearing Account level. Figure 4: Mini-omnibus client segregation (Mini OCS) The Clearing Account referable to each NCM structure are segregated from each other as well as from the Clearing Account of the GCM. Similarly, assets held on the Collateral Accounts connected to each NCM structure are segregated from each other and against the asset held on Collateral Accounts of the GCM. The segregated Collateral Accounts shall cover the Margin requirements in respect of the Outstanding Contracts referable to the NCM and the Outstanding Contracts of the GCM. From a risk management and default management point of view, the account set-up is viewed at the credit group level. The credit group combines, on a technical level, the Clearing Account (consisting of one or several technical accounts) with the respective Collateral Account(s) for a transfer (portability)/close-out unit. This applies to stress testing, default management, close-out possibilities and porting options of the NCMs in the case of a GCM default. Legal requirement: If opting for the Mini OCS solution, a GCM instruction shall be given, and NCM instructions shall be given for each structures, by using a standard form of x-clear. Portability for each NCM structure is conditional on a contractual agreement of the designated Back-up GCM and the GCM to assume the NCMs assets and positions. The form can be found under: > Clearing > Member information > Forms. xcl-n BT xcl-n-509-e.doc 37 66