DIRECT CLIENT DISCLOSURE DOCUMENT
Indirect Clearing – RBC Europe Limited
Introduction
Throughout this document references to "we", "our" and "us" are references to the clearing broker's
client which provides indirect clearing services (the Direct Client). References to "you" and "your" arereferences to the client of the Direct Client (the Indirect Client).
What is the purpose of this document?
To enable us to comply with our obligations as a Direct Client under the MiFID 2 Indirect Clearing RTS
as it now applies in UK law following the withdrawal of the UK from the European Union, which require
that, where we are providing indirect clearing services to you that involve us clearing derivatives througha clearing broker on an EU/UK central counterparty (CCP), we must:•

offer you a choice of a basic omnibus indirect client account and a gross omnibus indirect client
account (as discussed under "The types of accounts available" in Part One B below);•

describe to you the main legal implications of different levels of segregation;•

publicly disclose the levels of protection and costs associated with different levels of segregation;•

publicly disclose the general terms and conditions under which we provide services to you(which information we will provide to you in a separate document); and•describe the risk associated with each type of account.

In respect of the treatment of margin and collateral at CCP level you should refer to the CCP disclosuresthat the CCPs are required to prepare.
Organisation of this document
This document is set out as follows:•Part One A provides some background to indirect clearing.

•

Part One B gives information about the differences between the basic omnibus indirect client
account and the gross omnibus indirect client account, explains how this impacts on the clearingof your derivatives and sets out some of the other factors that might affect the level of protection
you receive in respect of assets provided to us as margin.

•

Part One C sets out some of the main insolvency considerations.

1
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

•Part Two provides an overview of the different levels of segregation that the clearing brokers
offer, together with an explanation of the main implications of each.

What are you required to do?
You must review the information provided in this document and the relevant clearing member
disclosures and confirm to us in writing which account type you would like us to maintain with respect
to each clearing broker through which we clear derivatives for you from time to time. We will explain
how we would like you to make this confirmation and by when. If you do not confirm within therequested timeframe, we will record the positions and assets relating to you in an account that we assign
to you that has a level of Indirect Clearing RTS-compliant segregation, provided that:•

we have requested from you your written choice of segregation;•in our communication with you, we have informed you that your failure to elect a level ofsegregation in accordance with the Indirect Clearing RTS will result in us allocating you to an
account having a level of Indirect Clearing RTS-compliant segregation (e.g. an omnibus
segregation, net or gross as the case may be); and•we have explained to you that election by us does not preclude you to elect a different (e.g.
higher) level of segregation at any time by communicating it in writing to us.

ImportantWhilst this document will be helpful to you when making this decision, this document does notconstitute legal or any other form of advice and must not be relied on as such. This document provides
a high level analysis of several complex and/or new areas of law, whose effect will vary depending on
the specific facts of any particular case, some of which have not been tested in the courts. It does notprovide all the information you may need to make your decision on which account type or level ofsegregation is suitable for you. It is your responsibility to review and conduct your own due diligenceon the relevant rules, legal documentation and any other information provided to you on each of our
account offerings and those of the various clearing brokers and CCPs through which we clear derivatives
for you. You may wish to appoint your own professional advisors to assist you with this.
We shall not in any circumstances be liable, whether in contract, tort, breach of statutory duty orotherwise for any losses or damages that may be suffered as a result of using this document. Such losses
or damages include (a) any loss of profit or revenue, damage to reputation or loss of any contract orother business opportunity or goodwill and (b) any indirect loss or consequential loss. No responsibility
or liability is accepted for any differences of interpretation of legislative provisions and related guidanceon which it is based. This paragraph does not extend to an exclusion of liability for, or remedy in respectof, fraudulent misrepresentation.
Please note that this disclosure has been prepared on the basis of English law save as otherwise stated.
However, issues under other laws may be relevant to your due diligence. For example, the law governing
the CCP rules or related agreements; the law governing our insolvency; the law of the jurisdiction of the
CCP, the law of the jurisdiction of incorporation of the clearing broker; and the law of the location of
any assets.
2
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Part One A: A brief background to indirect clearing
The market distinguishes two main types of clearing models: the "agency" model and the "principal-to­principal" model. Most of the CCPs which our clearing brokers use adopt the "principal-to-principal"
model, and this document assumes all transactions are cleared according to this model.
The "principal-to-principal" clearing model
When clearing transactions for you through a clearing broker, we usually enter into two separatetransactions. Additionally, our clearing broker will enter into a third transaction directly with the CCP.
CCP
Our clearing broker will enter into a principal-to-principal transaction with the
CCP, which is governed by the rules of such CCP (the CCP Transaction).
Clearing Broker

ClientWe will enter into a principal-to-principal transaction with our clearing broker,
which is governed by the terms of the client clearing agreement between theclearing broker and us (the Client Transaction).

(We)
Additionally, we will enter into a principal-to-principal transaction with you,which is governed by the terms of the indirect client clearing agreement
between you and us (the Indirect Client Transaction).
Indirect Client(You)

The terms of each Client Transaction are equivalent to those of the related CCP Transaction, except that(i) each Client Transaction will be governed by a client clearing agreement between our clearing broker
and us and (ii) our clearing broker will take the opposite position in the CCP Transaction to the position
it has under the related Client Transaction. Similarly, the terms of each Indirect Client Transaction areequivalent to those of the related Client Transaction, except that (i) each Indirect Client Transaction will
be governed by an indirect client clearing agreement between you and us, and (ii) we will take theopposite position in the Client Transaction to the position we have under the related Indirect Client
Transaction.
Under the terms of the client clearing agreement between our clearing broker and us, a Client
Transaction will arise without the need for any further action by either our clearing broker or us, as soon
as the CCP Transaction arises between our clearing broker and the CCP. Similarly, under the terms of
the indirect client clearing agreement between you and us, an Indirect Client Transaction will arise
without the need for any further action by either you or us, as soon as the Client Transaction arises
between our clearing broker and us. Once all three of those transactions referred to above have beenentered into, your transaction is considered to be "cleared".
3
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

As the principal to the CCP, our clearing broker is required to provide assets to the CCP as margin for
the CCP Transactions that relate to you and to ensure the CCP has as much margin as it requires at any
time. We will therefore ask you for margin and, where you provide it in a form which we cannot transfer
to the clearing broker, we may transform it. If you have provided us with assets as margin, you may face
what we call "transit risk" - this is the risk that, if we were to default prior to providing such assets tothe clearing broker, or our clearing broker were to default prior to providing such assets to the CCP, theassets that should have been recorded in your account at the CCP will not have been and will not benefit
from the protections described below under "What happens if we are declared to be in default by aclearing broker?". Transit risk may be mitigated where we hold margin in the form of cash as clientmoney (see "What is the impact if we treat cash you transfer to us as client money in accordance with
the FCA client money rules?" below).
However, in many cases you may not actually face transit risk because our clearing brokers often callmargin from us early in the morning to pass it on to the CCP so we will often use our own funds tosatisfy the margin call and then seek to recover such amount from you. In these cases where the margin
has been funded by us and has already been passed on to the CCP before we call it from you, it is rather
that we are exposed to you for the interim period. The arrangements between you and us relating to how
the margin calls will be funded will be set out in the indirect client clearing agreement between you andus.
If we have no direct relationship with a clearing broker who is a member of the relevant CCP ourselves
and where you have opted for a Basic Omnibus Indirect Client Account, we may enter into a principal­
to-principal transaction with an affiliate who is the Direct Client of a relevant clearing broker in a long
chain arrangement under the Indirect Clearing RTS (a Long Chain Arrangement). Under a Long Chain
Arrangement, both the affiliate Direct Client and we would be subject to the relevant requirements for
Direct Clients in the Indirect Clearing RTS. Consequently, any references in this document to 'Direct
Client' should be read as including us in the capacity of a client of an affiliate Direct Client under a Long
Chain Arrangement.
Please see Part One B for an explanation of how this is relevant to the choice of account types.
What if you want to transfer your Indirect Client Transactions to another Direct Client?
There may be circumstances where you wish to transfer some or all of your Indirect Client Transactions
to another Direct Client or another clearing broker on a business as usual basis (i.e. in the absence of us
having been declared in default by a clearing broker). We are not obliged to facilitate this under the
Indirect Clearing RTS but we may be willing to do so subject to our ability to transfer the Client
Transactions to which they relate and the margin provided to the clearing broker in connection withthem (which will depend on the relevant arrangements with the clearing broker and the CCP) and any
conditions set out in our indirect client clearing agreement. You will also need to find a Direct Client orclearing broker that is willing to accept such Indirect Client Transactions and/ or the related Client
Transactions and assets.
It may be easier to transfer Indirect Client Transactions and Client Transactions that are recorded in a
Gross Omnibus Indirect Client Account than those recorded in a Basic Omnibus Indirect Client Account,(both types of account being described in more detail in Part One B) for the same reasons as set out
below under "Will the Client Transactions and assets relating to you be automatically ported to a back­up clearing broker or back-up Direct Client?"
What happens if we are declared to be in default by a clearing broker?
4
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

If we are declared to be in default by a clearing broker, there are two possibilities with respect to the
Client Transactions and assets related to you:•with respect to Gross Omnibus Indirect Client Accounts, the clearing broker will, at yourrequest, try to transfer (port) to another clearing broker (a back-up clearing broker) or another
Direct Client (a back-up Direct Client and together with the back-up clearing broker a back­up entity), such Client Transactions and assets; or•if porting cannot be achieved with respect to Gross Omnibus Indirect Client Accounts and inany default with respect to Basic Omnibus Indirect Client Accounts, the clearing broker willterminate the Client Transactions that relate to you (see "What happens if porting is notachieved" below).

The porting process will differ depending on the clearing broker but it is likely to involve a close-out(with us) and a re-establishment (with the back-up entity) of the Client Transactions, or a transfer of theopen Client Transactions and related assets from us to the back-up entity. In some cases clearing brokers
will support this structure legally by requiring us to grant a security interest to you over some or all of
our related rights against the clearing broker but in other cases where clearing brokers can rely on the
Indirect Clearing RTS and local legislation, this may not be necessary.
Will the Client Transactions and assets relating to you be automatically ported to a back-up
entity?
No, there will be a number of conditions which must be satisfied before the Client Transactions andassets that relate to you can be ported to a back-up entity. These conditions will be set by the clearing
broker and will include obtaining your consent. In all cases you will need to have a back-up entity thathas agreed to accept the Client Transactions. You may wish to appoint a back-up entity upfront as partof your clearing arrangements but the back-up entity is unlikely to be able to confirm that it is willingto accept the Client Transactions until the default occurs. The back-up entity may also have conditions
that they require you to meet. You may also be able to agree with the clearing broker that it may choosea back-up entity on your behalf. If you have not appointed a back-up entity prior to our default, or agreed
with the clearing broker that it may appoint one on your behalf, then this may mean that porting is lesslikely to occur.
If porting is achieved, your Indirect Client Transactions with us will terminate in accordance with ourindirect client clearing agreement. We would expect your back-up entity to put in place new indirectclient transactions/ client transactions between itself and you.
The type of account and level of segregation you choose will have an impact on the ability to port Client
Transactions and assets to a back-up entity upon our default.
If you choose a Basic Omnibus Indirect Client Account (described in more detail in Part One B), no
contractual arrangements are required to be put in place for porting and, therefore, porting will ordinarily
not be available.
If you choose a Gross Omnibus Indirect Client Account (described in more detail in Part One B), you
can appoint a back-up entity with respect to just your Client Transactions (i.e. independently of our otherclients in the same Gross Omnibus Indirect Client Account).
What happens if porting is not achieved?
5
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Each clearing broker is permitted to specify a period of time after which, if it has not been able to achieve
porting, it will be permitted to actively manage its risks in relation to the Client Transactions. This periodof time will vary across clearing brokers. If you want to port your Client Transactions (where possible),
you will need to notify the clearing broker and show that you can satisfy the other conditions within thisperiod.
Otherwise, the clearing broker will terminate the Client Transactions and perform a close-out calculationin respect of them in accordance with the client clearing agreement. If there is an amount owed by theclearing broker in respect of the Client Transactions, the clearing broker will attempt to pay such amountdirectly to you if you have chosen a Gross Omnibus Indirect Client Account. If the clearing broker does
not succeed in this attempt or if you have chosen a Basic Omnibus Indirect Client Account, the clearing
broker will pay it to us (or our insolvency practitioner) for the account of our clients.
If the clearing broker terminates the Client Transactions, then the Indirect Client Transactions between
you and us are also likely to terminate. The termination calculations in respect of those Indirect Client
Transactions will be performed in accordance with the indirect client clearing agreement between you
and us and such calculations will likely mirror those performed by the clearing broker in respect of the
Client Transactions. If you are due a payment from us as a result of the close-out calculations in respectof our Indirect Client Transactions, the amount due from us to you will be reduced by any amount thatyou receive (or are deemed to receive) directly from the clearing broker.
Please see Part One C for a consideration of the main insolvency considerations.

6
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Part One B: Your choice of account type and the factors to consider
The types of accounts available
Reference to accounts means the accounts in the books and records of each clearing broker. The clearing
broker uses these accounts to record the Client Transactions that we enter into in connection with theclearing of your related Indirect Client Transactions and the assets that we provide to the clearing broker
in respect of such Client Transactions.
There are two basic types of indirect client accounts available – Basic Omnibus Indirect Client Accounts
and Gross Omnibus Indirect Client Accounts. Some of the CCPs then offer different levels ofsegregation within some of those account types as described in Part Two of this document.
As noted, we refer you to the CCP disclosures which the CCPs are required to prepare and which set
out the treatment of margin and collateral at CCP level. We have also included below a general overview
of the most common segregation approaches taken by CCPs, but note that for any particular CCP, there
is no substitute for that CCP's own disclosure.
Basic Omnibus Indirect Client AccountUnder this account type, at the level of the clearing broker, the Client Transactions (including thecorresponding assets in the clearing broker's accounts) relating to you are segregated from:•any transactions the clearing broker has cleared for its own account (the clearing broker's House
Transactions) and any of their assets;•

any Client Transactions (including corresponding assets in the clearing broker's accounts)
relating to us or the account of one of the clearing broker's other Direct Clients (regardless ofwhether they/we have opted for an individual client account or omnibus client account);•

any Client Transactions (including corresponding assets in the clearing broker's accounts)
relating to any clients of the clearing broker's other clients that have also opted for a Basic
Omnibus Indirect Client Account and which are recorded in a different Basic Omnibus Indirect
Client Account; and•any Client Transactions (including corresponding assets in the clearing broker's accounts)
relating to any of our clients or any clients of the clearing broker's other clients that have opted
for a Gross Omnibus Indirect Client Account.

However, the Client Transactions (including corresponding assets in the clearing broker's accounts) that
relate to you will be commingled with the Client Transactions (including corresponding assets in theclearing broker's accounts) relating to any of our other clients that have also opted for a Basic Omnibus
Indirect Client Account and which are recorded in the same Basic Omnibus Indirect Client Account.

7
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Clearing broker
books and records

House
Account
records only the clearing
broker’s House Transactions
and assets

Omnibus
Client AccountIndividual Client
Accounts

records Client Transactions
and assets relating to any
number of the clearing
broker’s clientsrecord Client Transactions
and assets relating to only
one of the clearing broker’s
clients

Basic Omnibus
Indirect Client
Account

Gross Omnibus
Indirect Client
Account

records Client Transactions
and assets relating to you andall our other clients that have
opted for a Basic Omnibus
Indirect Client Accountrecords Client Transactions
and assets relating to all ourclients that have opted for a
Gross Omnibus Indirect
Client Account

Can Client Transactions and related collateral be netted No
with the clearing broker's House Transactions andassets?
Can Client Transactions and related assets be netted with No
those relating to us or the clearing broker's other Direct
Clients?
Can Client Transactions and related collateral be netted Yes (provided our other clients' Clientwith those relating to our clients?
Transactions and assets are recorded in thesame Basic Omnibus Indirect Client
Account)
Can Client Transactions and related collateral be netted No
with those relating to the clearing broker's other Indirect
Clients?

The clearing broker will agree not to net the Client Transactions relating to you with its House
Transactions or any Client Transactions not recorded in the same Basic Omnibus Indirect Client
Account, nor use the assets relating to such Client Transactions with respect to any House Transaction
or Client Transaction recorded in any other account.
However, both we and the clearing broker may net the Client Transactions that are recorded in the same
Basic Omnibus Indirect Client Account. The assets provided in relation to the Client Transaction
credited to that Basic Omnibus Indirect Client Account can be used in relation to any Client Transaction
credited to that Basic Omnibus Indirect Client Account.
Please see Part Two for an overview of the risks in relation to a Basic Omnibus Indirect Client Accountand for details of the different levels of segregation that may be available at different CCPs.
Gross Omnibus Indirect Client Account8
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Under this account type, at the level of the clearing broker, the Client Transactions (including thecorresponding assets in the clearing broker's accounts) relating to you are segregated from:•any House Transactions and any of their assets;•

any Client Transactions (including corresponding assets in the clearing broker's accounts)
relating to us or the account of one of the clearing broker's other Direct Clients (regardless ofwhether they/we have opted for an individual client account or omnibus client account);•

any Client Transactions (including corresponding assets in the clearing broker's accounts)
relating to any of our clients or clients of the clearing broker's other clients that have opted fora Basic Omnibus Indirect Client Account; and•any Client Transactions (including corresponding assets in the clearing broker's accounts)
relating to any clients of the clearing broker's other clients that have also opted for a Gross
Omnibus Indirect Client Account and which are recorded in a different Gross Omnibus Indirect
Client Account.

However, the Client Transactions (including corresponding assets in the clearing broker's accounts) that
relate to you will be commingled with the Client Transactions (including corresponding assets in theclearing broker's accounts) relating to any of our other clients that have also opted for a Gross Omnibus
Indirect Client Account and which are recorded in the same Gross Omnibus Indirect Client Account.
Clearing broker
books and records

House
Account
records only the clearing
broker’s House Transactions
and assets

Omnibus
Client AccountIndividual Client
Accounts

records Client Transactions
and assets relating to any
number of the clearing
broker’s clientsrecord Client Transactions
and assets relating to only
one of the clearing broker’s
clients

Basic Omnibus
Indirect Client
Account

Gross Omnibus
Indirect Client
Account

records Client Transactions
and assets relating to all ourclients that have opted for a
Basic Omnibus Indirect
Client Accountrecords Client Transactions
and assets relating to you andall our other clients that have
opted for a Gross Omnibus
Indirect Client Account

Can Client Transactions and related collateral be netted No
with the clearing broker's House Transactions andassets?
Can Client Transactions and related assets be netted with No
those relating to us or the clearing broker's other Direct
Clients?
The Client Transactions relating to you
Can Client Transactions and related collateral be netted
will not be netted with the Clientwith those relating to our clients?
9
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Transactions relating to any of our otherclients.
However, the collateral relating to you
may be used to cover Client Transactionsof our other clients to the extent it isrecorded in the same Gross Omnibus
Indirect Client Account.
Can Client Transactions and related collateral be netted No
with those relating to the clearing broker's other Indirect
Clients?

The clearing broker will agree not to net Client Transactions relating to you with its House Transactions,the Client Transactions relating to us or the clearing broker's other Direct Clients, the Client Transactionsof the clearing broker's other Direct Clients' clients or any Client Transactions relating to our otherclients (regardless of whether they are recorded in the same Gross Omnibus Indirect Client Account).
The clearing broker will also agree not to use the assets relating to Client Transactions relating to you
with respect to any House Transaction or Client Transaction recorded in any other account. However,both we and the clearing broker may use the assets provided in relation to the Client Transactions relating
to you in relation to any Client Transaction relating to our other clients that have also opted for a Gross
Omnibus Indirect Client Account which are credited to the same Gross Omnibus Indirect Client
Account.
Please see Part Two for an overview of the risks in relation to a Gross Omnibus Indirect Client Accountand for details of the different levels of segregation that may be available at different clearing brokers.
Affiliates
Except for Long Chain Arrangements, we treat our affiliates in the same way as clients when complying
with the Indirect Clearing RTS. This means that affiliates also have a choice between types of account.
An affiliate may be part of the same account as other clients.
Other factors that may impact on the level of protection you receive in respect of assets that you
provide to us as margin for Indirect Client Transactions
There are a number of factors that, together, determine the level of protection you will receive in respectof assets that you provide to us as margin for Indirect Client Transactions:•

whether you choose a Basic Omnibus Indirect Client Account or a Gross Omnibus Indirect
Client Account (as discussed under "The types of accounts available" above);•in each case, whether such assets are transferred by way of title transfer or security interest;•

whether or not cash that you transfer to us is treated as client money in accordance with the FCA
client money rules;•

whether we call any excess margin from you or you pay excess margin to us;
10
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.

This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

•

whether you will get back the same type of asset as you provided as margin; and•the bankruptcy and other laws that govern the clearing broker, us and the CCP.

The rest of Part One B sets out further details for each of these variables and their implications underEnglish Law.
Will you provide cash or non-cash assets as margin for the Client Transactions?
As noted under "The "principal-to-principal" clearing model" in Part One A, as a Direct Client of theclearing broker, we are required to transfer assets to the clearing broker in respect of the Client
Transactions related to your Indirect Client Transactions. Clearing brokers only accept certain types ofliquid cash and non-cash assets as margin.
As is market practice, we will decide what types of assets to accept from you as margin for your Indirect
Client Transactions. This will be set out in the indirect client clearing agreement between you and us.
What we will accept from you as margin for the Indirect Client Transactions will not necessarily be thesame type of assets that the clearing brokers will accept from us for the Client Transactions, in whichcase we may provide you with a collateral transformation service, under which we transform the assets
you provide to those which we can pass onto the clearing broker.
Do you provide assets to us on a title transfer or a security interest basis?
As is market practice, we will decide the basis on which we are willing to accept assets from you. As
set out in the indirect client clearing agreement between us, we will only accept assets from you on atitle transfer basis.
Title Transfer
Where the indirect client clearing agreement provides for the transfer of assets by way of title transfer,when you transfer assets (Transferred Assets) to us, we become the full owner of such assets and you
lose all rights in such assets. We will record in our books and records that we have received such
Transferred Assets from you with respect to the applicable Indirect Client Transaction. We will beobliged to deliver to you equivalent assets to such Transferred Assets (Equivalent Assets) in thecircumstances set out in the indirect client clearing agreement.
We may either transfer such Transferred Assets on to the clearing broker with respect to the Client
Transaction related to the Indirect Client Transaction, or we may transfer other assets to the clearing
broker with respect to such Client Transaction.
You bear our credit risk with respect to our obligation to deliver Equivalent Assets to you. This meansthat if we were to fail, unless we are declared to be in default by the clearing broker, who would then be
obliged to follow the requirements under the Indirect Clearing RTS with respect to a direct client default,
you will have no right of recourse to the clearing broker or to any assets that we transfer to the clearing
broker and you will instead have a claim against our estate for a return of the assets along with all ourother general creditors. Even if we are declared to be in default by the clearing broker, the extent of yourrights in relation to the clearing broker, if any, will depend on the particular clearing broker.

11
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

How will we treat cash that you transfer to us as margin?
RBC European Limited is an "approved bank" within the meaning of the FCA Handbook. Money held
for you by RBC Europe Limited will be held by RBC Europe Limited as banker and not as a trustee.
As a result the money will not be held in accordance with the rules on client money in the FCA
Handbook. Where money is not held as "client money", you will not be entitled to specific pools ofmoney under the FCA's Client Money Distribution Rules but rather be a depositor of RBC Europe
Limited as an "approved bank" and treated as an unsecured creditor accordingly.
How will any excess margin we call from you be treated?
Excess margin is any amount of assets we require from you or you provide to us in respect of an Indirect
Client Transaction that is over and above the amount of assets the clearing broker requires from us inrespect of the related Client Transaction.
Under the Indirect Clearing RTS, excess margin should be treated in accordance with the terms of theindirect client clearing agreement between you and us. Depending on those terms, you may take credit
risk on us in respect of it.
Will you get back the same type of asset as you originally provided to us as margin for an Indirect
Client Transaction?
In a business as usual situation, whether we will deliver the same type of asset to you that you originallyprovided to us will be governed by the indirect client clearing agreement between you and us.
In the event of our default, if you are due a payment, you may not receive back the same type of asset
that you originally provided to us. This is because the clearing broker is likely to have wide discretion
to liquidate and value assets and make payments in various forms, and also because the clearing broker
may not know what form of asset you originally provided to us as margin for the Indirect Client
Transaction and as a result of any asset transformation services we may provide. This risk is present
regardless of what type of client account you select.
Please see Part One C for a consideration of the main insolvency considerations.

12
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Part One C: What are the main insolvency considerations?
General insolvency risks
If we enter into insolvency proceedings, you may not receive all of your assets back or retain the benefitof your positions and there are likely to be time delays and costs (e.g. funding costs and legal fees)
connected with recovering those assets. These risks arise in relation to both Basic Omnibus Indirect
Client Accounts and Gross Omnibus Indirect Client Accounts because:•

you will not have any rights directly against the CCP; except for clearing broker-specific porting
solutions described earlier and the comments below under "Margin rights", you will not have
any rights directly against the clearing broker; and you will only have contractual claims against
us (i.e. rather than being able to recover particular assets as owner);•

our insolvency proceedings are most likely to be a version of a process called administration(although it is possible for us to enter into liquidation and other proceedings). In administration,subject to a few exceptions, you will not be able to take any action against us without court orinsolvency official consent (which can be a time consuming process with an uncertain outcome);and•any stage of a cleared transaction (e.g. Indirect Client Transactions, Client Transactions andporting) may be challenged by our insolvency official if, broadly speaking, it was not on arm’s
length terms. If successful, the court has broad powers to unwind or vary all of those stages.

Please also note that:•

insolvency law may override the terms of contractual agreements, so you should consider thelegal framework as well as the terms of disclosures and legal agreements;•

a large part of your protection comes from CCP arrangements and the legal regimes surrounding
them. Therefore, you should understand these in order to evaluate the level of protection thatyou have on our default. It is important that you review the relevant disclosures by the relevant
clearing broker and the CCP in this respect.

Insolvency of clearing brokers, CCPs and others
Except as set out in this section "Insolvency of clearing brokers, CCPs and others", this disclosure deals
only with our insolvency. You may also not receive all of your assets back or retain the benefit of yourpositions if other parties in the clearing structure default – e.g. the clearing broker, the CCP, a custodian
or a settlement agent.
In relation to a clearing broker or CCP insolvency, broadly speaking, our (and therefore your) rights will
depend on the law of the country in which the clearing broker or the CCP is incorporated (i.e. notnecessarily English law) and the specific protections that the clearing broker or the CCP has put in place.
You should review the relevant disclosures carefully in this respect and take legal advice to fully
understand the risks in these scenarios. In addition, please note the following:

13
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

•

we expect that an insolvency official will be appointed to manage the clearing broker or the
CCP. Our rights against the clearing broker or the CCP will depend on the relevant insolvency
law and/or that official;•

it may be difficult or impossible to port Client Transactions and/ or CCP Transactions andrelated margin, so it would be reasonable to expect that they will be terminated at the level ofthe clearing broker and/ or the CCP. The steps, timing, level of control and risks relating to thatprocess will depend on the clearing broker and/ or the CCP, the applicable rules or agreements
and the relevant insolvency law. However, it is likely that there will be material delay anduncertainty around when and how much assets or cash we will receive back from the clearing
broker or the CCP. Subject to the bullet points below, it is likely that we will receive back only
a percentage of assets available depending on the overall assets and liabilities of the clearing
broker or the CCP;•

it is unlikely that you will have a direct claim against the clearing broker or the CCP because of
the principal-to-principal model described in Part One A;•

under the indirect client clearing agreement, Indirect Client Transactions will terminate at thesame time as the matching Client Transactions unless our clearing agreement with the clearing
broker provides otherwise. This will result in a net sum owing between you and us. However,your claims against us are limited recourse so that you will only receive amounts from us in
relation to Indirect Client Transactions if we receive equivalent amounts from the clearing
broker or the CCP in relation to relevant Client Transactions;•

if recovery of margin in these scenarios is important, then you should explore whether any
clearing brokers offer "bankruptcy remote" or "physical segregation" structures. It is beyond
the scope of this disclosure to analyse such options but your due diligence on them should
include analysis of matters such as whether other creditors of the type described in "Porting –preferential creditors" below will have priority claims to margin; whether margin or positions
on one account could be applied against margin or positions on another account(notwithstanding the client clearing agreement); the likely time needed to recover margin;
whether the margin will be recovered as assets or cash equivalent; and any likely challenges tothe legal effectiveness of the structure (especially as a result of the clearing broker's insolvency).

Margin rights
If you provide assets to us by way of security interest and we have not exercised a right of use over thoseassets, then you should have a legal right to recover the balance of those assets (after settling yourobligations to us) ahead of other creditors. However, please note that, depending on the exact set up of
our security arrangements, it may be that some preferential creditors will still have a prior claim to yourassets (please see "Porting – preferential creditors" below which deals with a similar point).
If you have retained the assets (e.g. in a custody account over which you have given us a security interest)
then you will have the best chance of recovering them. If you have transferred the assets to our name by
way of security (e.g. by giving us a mortgage over the assets) then you bear more risk if there is a
shortfall in any of the assets that we are holding. Generally speaking, your risk of loss will be highest in
relation to non-client money cash margin; lower in relation to securities held by us in an omnibus
account; and lower still if securities are segregated in our books and records and at custody level
identifying you as the client.
14
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

The actual result will be highly fact specific and will depend on, amongst other things, the exact termsof our legal arrangements; how we have operated accounts; and claims that other intermediaries (e.g.
custodians and settlement systems) have to those assets.
As an exception to this general position, we would also expect client money protection (please see Part
One B) to be effective in our insolvency.
We do not expect the above position to change materially if you have a Basic Omnibus Indirect Client
Account or Gross Omnibus Indirect Client Account.
Companies Act 1989, Part VII
Part VII may apply because we are an English company (generally speaking, it does not apply to nonEnglish companies) and may give specific protection against some of the legal risks that arise on our
insolvency.
Specifically, if we are declared in default by a clearing broker which clears on a CCP that has the benefitof Part VII protection, then Part VII will generally apply to the relevant Indirect Clearing Transactions
if the CCP Transactions corresponding to the Indirect Clearing Transactions are transferred within:•

the period specified for this purpose in the default rules of the relevant CCP; or•

if no such period is specified in the default rules of the relevant CCP, a period of 14 days
beginning with the day of our insolvency.

This Part VII protection generally applies where actions have been taken as set out above pursuant to
the default rules of:•an English CCP that has been (re)authorised by the Bank of England; or•a non-English CCP that has been authorised or recognised by other competent authorities or
ESMA (as applicable), provided that the non-English CCP's default provisions either meetcertain requirements set out in the UK Recognition Requirements or the non-English CCP has
applied for, and the Bank of England has granted, an order stating that Part VII will apply totransfers of assets and positions under that non-English CCP’s default provisions.

In either case, Part VII focuses on protecting counterparties from our default. It is not clear that it would
provide any wider protection – e.g. if the CCP itself became insolvent.
Additionally, certain protections under Part VII may apply more generally to the transfer by the clearing
broker to a back-up entity of the termination or close-out value of ported Client Transactions undercertain circumstances.
Where Part VII applies, our insolvency official cannot challenge actions taken against us:•

to settle the Client Transactions corresponding to the Indirect Client Transaction; or•to transfer those Client Transactions together with the corresponding Indirect Client
Transactions and related assets to a back-up entity.

15
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Please note that Part VII is a complex and unclear piece of legislation and this summary is not a substitutefor detailed legal analysis – particularly of Part VII in the context of actions taken by a clearing broker
in the context of the default of one of its clients - with your professional advisors.
Please see below an outline of some specific insolvency risks and related Part VII commentary.
The protection is from insolvency law so will not necessarily help, for example, with the issue describedunder "Porting – preferential creditors" below because that relates, at least in part, to security law.
Close-out netting
If we default and the clearing broker cannot port the Client Transactions and collateral (e.g. because aback-up entity cannot be found), then we would expect it to terminate and net our Client Transactions
and apply related assets.
You and we would want this to work differently from normal bilateral close-out netting that would apply
to all positions and assets between us and the clearing broker – e.g. assets on an Gross Omnibus Indirect
Client Account relating to you could be netted with our house or another indirect client account at theclearing broker. There is a risk that this netting across accounts could happen automatically as a resultof ordinary English insolvency law. However, to the extent that Part VII applies, this should not occur.
A similar risk occurs between us and you in relation to the Indirect Client Transactions. It is most likely
to materialise in a pre-porting period during which English law may automatically set off Indirect Client
Transactions and collateral relating to one clearing broker with Indirect Client Transactions andcollateral relating to another. This risk arises regardless of what you and we may provide for in ourclearing documentation. Whilst the resulting termination amount should represent our net exposure toeach other, it will make porting difficult or impossible. Part VII does not provide you any direct
protection in this case but, depending on the relevant clearing structure, a security interest may provide
some protection in this regard (as mentioned under "What happens if we are declared to be in default
by a clearing broker?").
Please also note more generally that your freedom to close out Indirect Client Transactions is more
limited under the indirect client clearing agreement than in other arrangements that you may be used to.
In particular, the main termination event under our indirect client clearing agreement is that the relevant
clearing broker has declared us to be in default under the client clearing agreement between it and us.
The intention is to match the treatment of Client Transactions and Indirect Client Transactions as muchas possible. However, this may mean that – unless the clearing broker declares a default under the client
clearing agreement - you cannot terminate Indirect Client Transactions for common reasons such as apayment or insolvency default on our part.
Porting – prohibition
As mentioned above, except in specific (e.g. physically segregated) structures, a clearing broker only
owes us (not you) obligations in relation to Client Transactions and related assets.
As a result, when these contracts and assets are transferred to a back-up entity, there is a risk of
insolvency challenge because our rights have effectively been taken from us on or around the time of
our insolvency. Applicable laws may not permit this and there is a risk that the courts may therefore notpermit, or may unwind, any porting and related Indirect Client Transactions with this back-up entity.

16
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

That said, to the extent Part VII applies (please see above under "Companies Act 1989, Part VII"), we
expect the risk of challenge to be low in relation to the porting of Client Transactions and matching
Indirect Client Transactions.
Porting - preferential creditors
As mentioned under "What happens if we are declared to be in default by a clearing broker?" in Part
One A, a clearing broker’s porting structure may be based on or supported by a security interest. Thiscan take different forms but generally involves us creating security over our rights against the clearing
broker in relation to a Basic Omnibus Indirect Client Account or a Gross Omnibus Indirect Client
Account in your favour or in favour of another person (e.g. an independent trustee) to hold the security
on your behalf. Broadly speaking, the security interest should support the argument that these assets are
not part of our insolvency estate (i.e. are not to be shared with our general creditors).
However, depending on the exact structure, insolvency law gives certain statutory creditors priority oversecured creditors. This means that some creditors may have a claim on client account assets ahead ofyou. Statutory creditors are likely to include, amongst others, our insolvency official (e.g. in respect ofits costs and expenses), a relatively small amount of unsecured creditors, some employee salaries andpension contributions.
Mismatch of CCP/Client Transactions and assets
It could be that our net assets in relation to Client Transactions do not match our net obligations to eachother in relation to the matching Indirect Client Transactions. This can slow down or make porting
impossible either operationally or legally.
For example, it may occur at clearing broker level as a result of Fellow Client Risk (see the explanationof this term in Part Two of this document) in a Gross Omnibus Indirect Client Account, with the resultthat there are insufficient assets available for porting to satisfy our obligations to you in relation to theIndirect Client Transactions.
Alternatively, it could be that all of your Indirect Client Transactions with us are netted automaticallyas a result of English insolvency law (please see above under "Close-out netting").
Banking Act 2009
The Banking Act applies because we are an English company that falls within its scope. As a result, inserious circumstances, we may be nationalised or we (or any of our assets and liabilities) may betransferred to a third party by a combination of the Treasury, Bank of England or FCA. It is also possiblethat we may become subject to resolution measures and that your termination rights (where these areexercisable by virtue of such resolution measures) may be disapplied or that some of our liabilities owed
to you may be bailed in. In these scenarios, your counterparty and/or your counterparty risk may change.
It is unlikely that you will be able to stop such transfer or bail-in, or to enforce any early terminationrights against us as a result of such actions.
.

17
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Part Two: Clearing broker indirect client account structures
As noted in Part One B, each clearing broker is required under the Indirect Clearing RTS to offer at least
the choice of a Basic Omnibus Indirect Client Account or a Gross Omnibus Indirect Client Account.
This Part Two contains an overview of the levels of segregation of each account type, together with an
overview of the main protections afforded by and the main legal implications of each.
The descriptions given in this Part Two are very high level and consider the minimum requirements forindirect client account types under the Indirect Clearing RTS and the respective levels of segregation.
However, the particular characteristics of the accounts will affect the exact levels of protection they
offer and the legal implications so you must review the information provided by the clearing brokers to
fully understand the risks of the specific account we maintain in relation to you at each clearing broker.
You may also need to seek professional advice to understand the differences in detail. However, we
hope that the questions raised and factors described in both parts of this document will help you to know
which questions to ask and to understand the impact of the answers you receive.
The descriptions have been prepared on the basis of the minimum requirements in the Indirect Clearing
RTS.
The Annex seeks to compare the main account types and levels of segregation against the following
risks:
Risks used to compare each account type andlevel of segregation

Explanation of risk

Transit Risk

Whether you are exposed to us at any pointin the process of providing or receiving
margin in respect of Indirect Client
Transactions.

Fellow Client Risk

Whether assets provided to the clearing
broker or CCP in respect of Client
Transactions related to you could be used tocover losses in Client Transactions relating
to another client.

Liquidation Risk

Whether, if the Client Transactions andassets relating to them were to be ported,
there is a risk that any non-cash assets
would be liquidated into cash. If this were tohappen, the value given to such assets by theclearing broker may differ from what you
perceive to be the full value of the assets.

Haircut Risk

Whether the value of the assets that relate to
Client Transactions might be reduced or notincrease by as much as you expect because
the clearing broker applied a haircut that did
not properly reflect the value of the asset.
18

Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Risks used to compare each account type andlevel of segregation

Explanation of risk

Valuation Mutualisation Risk

Whether the value of the assets that relate to
Client Transactions could be reduced or notincrease by as much as you expect because
the assets posted in relation to other clients’
Client Transactions have decreased in value.

Clearing Broker Insolvency Risk

Whether you are exposed to the insolvency
or other failure of the clearing broker.

19
Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been
made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure
Document in which both the International Swaps and Derivatives Association, Inc. and FIA, Inc. have copyright.

Typical account characteristics at the clearing broker level
Basic Omnibus Indirect Client AccountGross Omnibus Indirect Client AccountWho will the Client Basic Omnibus Indirect Client Accounts record both assets
Transactions recorded and Client Transactions that relate to you (where you havein the account relate to? opted for a Basic Omnibus Indirect Client Account) and theassets and Client Transactions that relate to our other clientsthat have also opted for a Basic Omnibus Indirect Client
Account.

Gross Omnibus Indirect Client Accounts record both assets andClient Transactions that relate to you (where you have opted for
a Gross Omnibus Indirect Client Account) and the assets andClient Transactions that relate to our other clients that have also
opted for a Gross Omnibus Indirect Client Account.

Which losses can assets Assets that are provided to the clearing broker as margin forrecorded in the account a Client Transaction recorded in a Basic Omnibus Indirect
Client Account may be used to cover any losses in thatbe used for?
account, whether such losses relate your Client Transactions
or Client Transactions relating to one of our other clients
within that Basic Omnibus Indirect Client Account.

Assets that are provided to the clearing broker as margin for a
Client Transaction recorded in a Gross Omnibus Indirect Client
Account may be used to cover any losses in that account, whether
such losses relate your Client Transactions or Client Transactions
relating to one of our other clients within that Gross Omnibus
Indirect Client Account.

Will the clearing broker The clearing broker may not know which Client Transactions Yes, but prior to our default it may not know your identity.
know which Client and assets recorded in a Basic Omnibus Indirect Client
Transactions and types Account relate to you.
of assets relate to you?
Will the clearing broker
recordtheassetsprovided by value onlyor will it identify thetype of asset provided?

The clearing broker may identify in its records the type of
asset provided as margin for the Basic Omnibus Indirect
Client Account but will not be able to identify which type of
assets relate to any client’s Client Transactions within that
Basic Omnibus Indirect Client Account.

The clearing broker may identify in its records the type of asset
provided as margin for the Gross Omnibus Indirect Client
Account but is unlikely to be able to identify anything other thanthe value of assets provided in respect of any of our client's Client
Transactions within that Gross Omnibus Indirect Client Account.

Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure Document in which both the International Swaps and Derivatives
Association, Inc. and FIA, Inc. have copyright.

Will the Client
Transactions recordedin the account be
netted?

Basic Omnibus Indirect Client AccountGross Omnibus Indirect Client Account

It is likely that the Client Transactions recorded in the accountwill be netted. This means that Client Transactions that relate
to you may be netted with Client Transactions that relate toour other clients whose Client Transactions are recorded in
the same Basic Omnibus Indirect Client Account.

Client Transactions relating to you are likely to be netted withother Client Transactions relating you. However, Client
Transactions relating to you should not be netted with Client
Transactions relating to any of our other clients recorded in thesame Gross Omnibus Indirect Client Account.

Will the margin be The margin will be calculated on a net basis.
calculated on a gross or
net basis?

The margin will be calculated on a gross basis.

Will you have to enter
into any documentation
or
operationalarrangements directly
withtheclearing
broker?

You may have to enter into legal documentation to which theclearing broker is party. It is unlikely that you will have to set
up any operational arrangements with the clearing broker
directly.

You may have to enter into legal documentation to which theclearing broker is party. It is possible but unlikely that you will
have to set up some operational arrangements with the clearing
broker directly.

Transit Risk

Yes

Yes

Fellow Client Risk

Yes

Yes

Liquidation Risk

Yes

Yes (unless the clearing broker is able to port the assets recordedin the account or is able to transfer the assets to you without
needing to liquidate some or all of them first).

Haircut Risk

Yes

Yes

Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure Document in which both the International Swaps and Derivatives
Association, Inc. and FIA, Inc. have copyright.

Basic Omnibus Indirect Client AccountGross Omnibus Indirect Client Account

Yes

Yes

Clearing
Broker Yes
Insolvency Risk

Yes

How likely it is that Unlikely
porting will be achieved
if we default?

If you have satisfied all of the clearing broker’s and back-up
entity’s conditions, porting is more readily facilitated in the eventof our default.

Valuation
Mutualisation Risk

Copyright © 2017 by FIA, Inc. FIA, Inc. has not reviewed or endorsed any modifications that may have been made to this document.
This document is based on the January 2016 version of the ISDA and FIA Clearing Member Disclosure Document in which both the International Swaps and Derivatives
Association, Inc. and FIA, Inc. have copyright.