Covered Transactions; Exposure - VM CSA Provision

11(b) Covered Transactions; Exposure

(i) The term “Covered Transactions” as used in this Annex includes any Transaction specified below that is entered into on or after [...], except as otherwise provided in the Confirmation of such Transaction:

For purposes of the foregoing, the term “Covered Transactions” includes: [Any Transaction [that is any of the following] [Swap], [Security-Based Swap], [OTC Derivative], [Physically Settled FX Forward] or [Physically Settled FX Swap]] [and is not any of the following: [Swap], [Security-Based Swap], [OTC Derivative], [Physically Settled FX Forward] or [Physically Settled FX Swap]] ...]

As used above:

[“OTC Derivative” means an “OTC derivative” or “OTC derivative contract” as defined in Article 2(7) of Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (“EMIR”) other than one which constitutes (i) a “foreign exchange forward” as defined in Article 7(1)(a) of the final draft regulatory technical standards on risk-mitigation techniques for OTC-derivative contracts not cleared by a CCP under Article 11(15) of EMIR dated March 8, 2016 (the “EMIR RTS”) for so long as such transactions are subject to the transitional exemption from the variation margin requirements under Article 39(6) of the EMIR RTS or (ii) a single stock equity option or index option transaction as referred to in Article 39(7) of the EMIR RTS for so long as such transactions are subject to the transitional exemption from the variation margin requirements under Article 39(7) of the EMIR RTS.]

[“Physically Settled FX Forward” means [...]]

[“Physically Settled FX Swap” means [...]]

[“Security-Based Swap” means a “security-based swap” as defined in Section 3(a)(68) of the U.S. Securities Exchange Act of 1934, as amended (“SEA”), and the rules adopted thereunder. For the avoidance of doubt, the term “Security-Based Swap” does not include a security-based swap that has been cleared by a “clearing agency” as such term is defined in Section 3(a)(23) of the SEA and the rules adopted thereunder.]