EXHIBIT A

OCC Rules

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Chapter I – Definitions

RULE 101 - Definitions

C. 

Clearing Bank 

(1) The term “Clearing Bank” means a bank or trust company approved by the Risk Committee, which has 

entered into an agreement with the Corporation in respect of settlement of confirmed trades on behalf of 

Clearing Members.

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Chapter II – Miscellaneous Requirements

RULE 203 – Bank Accounts

(a) Clearing Bank Account. Every Clearing Member shall establish and maintain a bank account in a 

Clearing Bank for each account maintained by it with the Corporation. Every Clearing Member that 

desires to deposit foreign currency as margin must designate a bank account established and maintained 

by it at a Clearing Bank in the country of origin of such currency or in such other location as the 

Corporation may approve. Each Clearing Member shall authorize the Corporation to withdraw funds from 

such bank account in accordance with the Rules.

(b) Clearing Bank Requirements. The Risk Committee may, in its discretion, approve a bank or trust 

company as a Clearing Bank if such bank or trust company:

(1) maintains Tier 1 Capital of at least $500 million U.S. dollars;

(2) maintains Tier 1 Capital Ratios of (i) Common Equity Tier 1 Capital (CET1) of 4.5%, (ii) minimum Tier 

1 capital of 6%, and (iii) total risk-based capital of 8%; 

(3) in the case of an institution not domiciled in the U.S., is domiciled in a country that has a sovereign

rating considered to be low credit risk (A- by Standard & Poor’s, A3 by Moody’s, A- by Fitch, or 

equivalent);

(4) maintains a Liquidity Coverage Ratio of at least 100%, unless the bank or trust company is not 

required to compute such ratio;

(5) executes an agreement that, among other things, requires the Clearing Bank to:

(A) maintain the ability to utilize the Society for Worldwide Interbank Financial Telecommunication or such 

other messaging protocol approved by the Risk Committee;

(B) maintain access to the Federal Reserve Bank’s Fedwire Funds Service; and

(C) provide to the Corporation its quarterly and annual financial statements and prompt notification of

material changes to its operations, financial condition, and ownership; and
(6) meets such other eligibility criteria as the Corporation may determine from time to time. 

(c) Defined Terms. For purposes of this Rule, “Tier 1 Capital,” “Common Equity Tier 1 Capital (CET1)”

“total risk-based capital” and “Liquidity Coverage Ratio” will mean those amounts or ratios reported by a 

bank or trust company to its regulatory authority.

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Chapter VI – Margins

RULE 601 – Margin Requirements

(a) – (g) [No change]

. . . Interpretations and Policies:

.01 – .05 [No change]

.06 The Corporation from time to time may designate those margin assets in the form of Government 

securities, GSE debt securities, common stock or fund shares which, if deposited in respect of any 

account of a Clearing Member, will be included in the Monte Carlo simulations (as described in paragraph 

(c) of Rule 601) when calculating the minimum expected liquidating value of such account. Margin assets 

deposited in any other form shall continue to be valued as provided in Rule 604.

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RULE 604 - Form of Margin Assets

(a) [No change]

(b) [No change]

(1) Government Securities. Clearing Members may deposit, as hereinafter provided, Government 

securities which are free from any limitation as to negotiability. Government securities shall be valued for 

margin purposes at 99.5% of the current market value for maturities of up to one year; 98% of the current 

market value for maturities in excess of one year through five years; 96.5% of the current market value for 

maturities in excess of five years through ten years; and 95% of the current market value for maturities in 

excess of ten years in accordance with Rule 604(e). Government securities deposited pursuant hereto 

shall be deposited by the Clearing Member in an account of the Corporation in an approved custodian in 

the name of the Corporation or by such other method as the Corporation may from time to time approve. 

All interest or gain received or accrued on such Government securities prior to any sale or negotiation 

thereof shall belong to the depositing Clearing Member, and any interest on, or proceeds from the 

maturity of, such Government securities received by the Corporation shall be credited by the Corporation 

to the account of the Clearing Member in respect of which the deposit was made. Current market value 

shall be determined by the Corporation at such intervals as the Risk Committee shall from time to time 

prescribe, but not less often than daily on the basis of the quoted bid prices therefor supplied by a source 

designated by the Corporation.

(2) GSE Debt Securities. Clearing Members may deposit, as hereinafter provided, GSE debt securities 

which are free from any limitation as to negotiability. GSE debt securities shall be valued for margin 

purposes at (1) 99% of the current market value for maturities of up to one year; (2) 97% of the current 

market value for maturities in excess of one year through five years; (3) 95% of the current market value 
for maturities in excess of five years through ten years; and (4) 93% of the current market value for 

maturities in excess of ten years in accordance with Rule 604(e). Such GSE debt securities deposited 

pursuant hereto shall be deposited by the Clearing Member in an account of the Corporation in an 

approved custodian in the name of the Corporation or by such other method as the Corporation may from

time to time approve. All interest or gain received or accrued on such GSE debt securities prior to any 

sale or negotiation thereof shall belong to the depositing Clearing Member, and any interest on, or 

proceeds from the maturity of, such Government securities received by the Corporation shall be credited 

by the Corporation to the account of such Clearing Member in respect of which the deposit was made. 

Current market value shall be determined by the Corporation at such intervals as the Risk Committee 

shall from time to time prescribe, but not less often than daily on the basis of the quoted bid prices 

therefor supplied by a source designated by the Corporation. 

(3) – (5) [No change]

(c) – (d) [No change]

(e) The current market value of Government securities and GSE debt securities will be determined by the 

Corporation at such intervals as the Corporation may from time to time prescribe, but not less often than 

daily, on the basis of the quoted price supplied by a source designated by the Corporation. In determining 

the U.S. dollar amount of margin credit to be given to any Government security or GSE debt security, the 

Corporation will generally apply a schedule of “haircuts” that the Corporation may specify from time to 

time upon prior notice to Clearing Members. The Corporation may, in its discretion, use greater haircuts 

or, in unusual or unforeseen circumstances, assign no value or partial value to Government securities or 

GSE debt securities to the extent it deems appropriate for its protection or the protection of Clearing 

Members or the general public, in each case with prior notice to Clearing Members.

(ef) Notwithstanding any other provision of this Rule 604, in determining the U.S. dollar amount of the 

margin credit to be given to any foreign currency or asset denominated in a foreign currency, the 

Corporation may use such exchange rates and apply such “haircuts” as it deems appropriate for its 

protection.

(fg) Notwithstanding the foregoing, in lieu of any valuation method provided in this Rule 604 with respect 

to margin assets in the form of securities that are not Government securities or GSE debt securities, the 

Corporation may elect to value any or all such margin assets pursuant to Rule 601 using the same 

multivariate analysis applied to underlying interests rather than assigning any fixed dollar value to such 

margin assets.

(g) [Renumbered as (h)] 

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...Interpretations and Policies:

.01 The Corporation may in its discretion approve a bank or trust company as an issuer of letters of 

credit pursuant to Rule 604(c) if:

(a) U.S. Institutions: (1) it is organized under the laws of the United States or a State thereof and is 

regulated and examined by federal or state authorities having regulatory authority over banks or trust

companies; and

(2) it has, at the time of approval and continuously thereafter, Tier 1 Capital of $100,000,000 or more; or
(b) Non-U.S. Institutions: (1) it is organized under the laws of a country other than the United States and 

has a Federal or State Bbranch or Aagency (for purposes of these Rules, as defined in the International 

Banking Act of 1978) located in the United States;

(b) it meets the minimum requirements for a Clearing Bank under Rule 203(b)(1) through (3); and

(c) it meets such other standards for issuers of letters of credit as the Corporation may determine from

time to time.

(2) it has, at the time of approval and continuously thereafter, Tier 1 Capital in excess of $200,000,000 

(U.S.); 

(3) its principal executive office is located in a country that (a) is rated "AAA" by Moody’s Investor 

Service and/or Standard & Poor’s, or (b) has been approved by the Risk Committee as a "AAA" 

equivalent country based on consultations with at least two entities satisfactory to the Risk

Committee as experienced in international banking and finance matters; and

(4) (a) it has a "P-1" rating from Moody’s Investor Service and/or an "A-1" rating from Standard & 

Poor’s on its commercial paper or other short-term obligations; or 

(b) in the event it has no rating on its commercial paper or other short-term obligations, 

(i) any such commercial paper or short-term obligations issued by its parent or an affiliated entity has 

such a rating; 

(ii) any such commercial paper or short-term obligations issued by non-affiliated entities and supported or

guaranteed by the institution has such a rating; 

(iii) the institution, its parent or an affiliated entity has an "AAA" rating from Moody’s Investor Service 

and/or an "AAA" rating from Standard & Poor’s on its long-term obligations; or 

(iv) it has been approved by the Risk Committee as a "P-1" or "A-1" equivalent institution. 

(c) For the purposes of this Rule 604, Tier 1 Capital shall mean the Tier 1 Capital reported by a bank to its 

regulatory authority.

.02 No more than 50% of a Clearing Member’s margin on deposit at any given time may include letters of 

credit in the aggregate, and no more than 20% may include letters of credit issued by any one institution.

.03 Any All letters of credit issued by a Non-U.S. institution must be payable at a an issuer’s domestic 

branch (as defined in the Federal Deposit Insurance Act) or an issuer’s Federal or State Bbranch or 

Aagency thereof.

.04 The total amount of letters of credit issued for the account of any one Clearing Member by an U.S. or 

Non-U.S. institution shall not exceed 15% of such institution’s Tier 1 Capital.

.05 - .07 [No changes]

.08 The Corporation will not accept a letter of credit issued pursuant to Rule 604(c) for the account of a 

Clearing Member in which the issuing institution, a parent, or an affiliate has any equity interest in the 

amount of 20% or more of such Clearing Member’s total capital.
.09 A letter of credit may be issued by a Non-U.S. branch of a U.S. institution provided it otherwise 

conforms with this rule and the Interpretations and Policies hereunder and is payable at a U.S. office of

such institution. The Corporation may from time to time specify more restrictive limits for the amount of 

letters of credit a Clearing Member may deposit in the aggregate or from any one institution under 

Interpretations and Policies .02 and .04 of this Rule based on factors such as market conditions, the 

financial condition of approved issuers, and any other factors OCC determines are relevant. Any such 

limit will apply to all Clearing Members.

.10 - .14 [No changes]

.15 The Corporation may in its discretion determine that a security which meets the criteria listed in Rule 

604(b) is nevertheless disapproved as margin collateral with respect to all accounts of all Clearing 

Members, and therefore not grant margin credit, based on such factors as (i) trading volume, (ii) number 

of outstanding shareholders, (iii) number of outstanding shares, (iv) volatility and liquidity and (v) any 

other factors the Corporation determines are relevant.

.16 - .18 [No changes]

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Chapter X – Clearing Fund Contributions

* * *

RULE 1002 – Clearing Fund Contributions

(a) [No change]

(i) [No change]

(ii) Government Securities. For purposes of valuing Government securities for calculating contributions to

the Clearing Fund, Government securities shall be valued at (1) 99.5% of the current market value for 

maturities less than one year; (2) 98% of the current market value for maturities between one and five 

years; (3) 96.5% of the current market value for maturities between five and ten years; and (4) 95% of the 

current market value for maturities in excess of ten years. For the purposes of this Rule, the current 

market value of Government securities shall be determined by the Corporation at such intervals as the 

Risk Committee shall from time to time prescribe, but not less often than monthly, on the basis of the

quoted bid price therefor supplied by a source designated by the Corporation. Contributions of 

Government securities shall be deposited by the Clearing Member in an account of the Corporation in an 

approved custodian in the name of the Corporation or by such other method as the Corporation may from 

time to time approve. The current value of Government securities for Clearing Fund purposes will be 

determined by the Corporation at such intervals as it may from time to time prescribe, but not less often 

than daily, on the basis of the quoted price supplied by a source designated by the Corporation. In

determining the U.S. dollar amount of Clearing Fund credit to be given to any Government security, the 

Corporation will generally apply a schedule of “haircuts” that the Corporation may specify from time to 

time upon prior notice to Clearing Members. The Corporation may, in its discretion, use greater haircuts 

or, in unusual or unforeseen circumstances, assign no value or partial value to Government securities to

the extent it deems appropriate for its protection or the protection of Clearing Members or the general 

public, in each case with prior notice to Clearing Members. 

(iii) Assets Denominated in a Foreign Currency. Notwithstanding any other provision of this Rule 1002 in 

determining the U.S. dollar amount of cClearing fFund credit to be given to any foreign currency or asset 
denominated in a foreign currency, the Corporation may use such exchange rates and apply such 

“haircuts” as it deems appropriate for its protection.

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