Gilt annex to a 2015 repo agreement from a seized Epstein-related file

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TBMA/ISMA GLOBAL MASTER REPURCHASE AGREEMENT (2000 VERSION)¶

GILTS ANNEX¶

Supplemental terms and conditions where repurchase transactions are to be effected in UK gilt-edged securities¶

This Annex constitutes an Annex to the TBMA/ISMA Global Master Repurchase Agreement dated January 7, 2015 between DEUTSCHE BANK AG and SOUTHERN FINANCIAL LLC (the “Agreement”).¶

1. Interpretation¶

1. 1 In this Part of this Annex -

(a) the Agreement means the Agreement dated January 7, 2015 substantially in the form of the TBMA/ISMA Global Master Repurchase Agreement (2000 Version) of which this Annex forms part;¶

(b) CREST means the computer-based system and associated clerical procedures established by CRESTCo Limited to facilitate the transfer of gilt-edged securities and other uncertificated securities;¶

(c) CHAPS system means the same day payment system operated by the CHAPS Clearing Company Limited;¶

(d) gilt-edged securities means securities which are gilt-edged securities for the purposes of section 50 (7) of the Income and Corporation Taxes Act 1988.¶

1. 2 Terms to which a defined meaning is given in the Agreement have the same meanings in this Annex.

2. Scope¶

2. 1 The parties have agreed that the Transactions to which the Agreement applies may include Transactions in respect of gilt-edged securities.

3. 2 The terms and conditions set out in this Annex apply to Transactions in respect of gilt-edged securities and, to the extent and in the circumstances provided in paragraph 3.3(c) below, Transactions wholly or partly in respect of such other securities as are referred to in that paragraph.

3. CREST¶

3. 1 CREST shall be an agreed securities clearance system for the purposes of paragraph 6(a)(iii) of the Agreement.

4. 2 Where under the rules and procedures of the CREST the delivery of any Securities from a securities account in the name of one party or its nominee or agent (the transferor) to a securities account in the name of the other party or its nominee or agent (the transferee) gives rise to an assured payment obligation by which the settlement bank acting for the transferee is obliged to make a payment to the settlement bank acting for the transferor, the creation of that assured payment obligation shall for the purposes of the Agreement and any Transaction be treated as a payment from the transferee to the transferor of an amount equal to the amount of the assured payment obligation.

5. 3 (a) Subject to and in accordance with the following provisions of the subparagraph, the parties may agree to enter into an overnight sale and repurchase transaction (a DBV Transaction) to be effected under the “delivery-by-value” facility of CREST.

(b) The Confirmation relating to a DBV Transaction -¶

(i) shall specify the Transaction as a DBV Transaction:¶

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(ii) shall not describe the Purchased Securities;¶

(iii) shall specify as the Purchase Price the consideration to be input in respect of the delivery of the Purchased Securities through CREST;¶

(iv) shall specify the pricing rate for that DBV Transaction.¶

(c) The Purchased Securities under a DBV Transaction shall be such Securities (which may include Securities which are not gilt-edged securities) as shall be selected and delivered by CREST on the apportionment of securities to the relevant delivery in accordance with the rules and procedures of CREST.¶

(d) The amount by which the Repurchase Price under a DBV Transaction exceeds the Purchase Price shall be paid by Seller to Buyer on the Repurchase Date on or as soon as practicable after the delivery of Equivalent Securities through CREST from a securities account of Buyer to a securities account of Seller. Such payment shall be made through CREST or outside CREST in same day funds.¶

(e) If on the Repurchase Date of a DBV Transaction Equivalent Securities are not delivered to Seller by reason of the fact that either party’s membership of CREST has been terminated or suspended then, unless before the latest time for delivery of such Equivalent Securities under the rules and procedures of CREST an Event of Default has occurred under paragraph 10 of the Agreement in respect of either party, such non-delivery shall be deemed to constitute-¶

(i) where Buyer’s membership of CREST has been terminated or suspended, a failure by Buyer to deliver Equivalent Securities on the Repurchase Date.¶

(ii) where Seller’s membership of CREST has been terminated or suspended, a failure by Seller to pay the Repurchase Price on the Repurchase Date.¶

(f) If on the Repurchase Date of a DBV Transaction Equivalent Securities are not delivered to Seller by reason of the fact that there are insufficient Securities of the relevant description standing to the credit of Buyer’s account to enable delivery of the Equivalent Securities or there is insufficient cash standing to the credit of Seller’s account to enable payment of the Repurchase Price then, unless before the latest time for delivery of such Equivalent Securities under the rules and procedures of CREST an Event of Default has occurred under paragraph 10 of the Agreement in respect of either party, such non-delivery shall be deemed to constitute –¶

(i) where there are insufficient Securities of the relevant description standing to the credit of Buyer’s account to enable delivery of the Equivalent Securities, a failure by Buyer to deliver Equivalent Securities on the Repurchase Date;¶

(ii) where there is insufficient cash standing to the credit of Seller’s account to enable payment of the Repurchase Price, a failure by Seller to pay Repurchase Price on the Repurchase Date.¶

(g) If after an Event of Default has occurred under paragraph 10 of the Agreement Equivalent Securities to the Purchased Securities are delivered to a securities account of Seller against the creation of an assured payment obligation in accordance with the rules and procedures of CREST notwithstanding the termination of the relevant DBV Transaction, such delivery shall give rise to the following obligations, each of which shall be conditional on the simultaneous performance of the other –¶

(i) an obligation on Seller to deliver to Buyer on demand securities equivalent to the securities so delivered; and¶

(ii) an obligation on Buyer to pay to Seller on demand a sum equal to the assured payment obligation so created.¶

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3. 4 (a) The parties may agree to enter into a series of DBV Transactions to be confirmed by a single Confirmation, each such DBV Transaction being for the same Purchase Price and each such DBV Transaction other than the first commencing on the Repurchase Date of the previous Transaction. Such a series DBV Transactions is in the paragraph referred to as -

(i) an Open DBV Repo if the Repurchase Date of the last Transaction in the series is not specified in the Confirmation but it is instead provided that, if either party gives to the other notice of not less than a stated period, the DBV Transaction which will be due for Termination on the date specified in the notice will be the last Transaction in the series and the series will be limited accordingly;¶

(ii) a Term DBV Repo if the date on which the last Transaction in the series is due for Termination is specified in the Confirmation.¶

(b) Subject to the following provisions of this subparagraph, paragraph 3.3 above shall apply in respect of each DBV Transaction forming part of an Open DBV Repo or a Term DBV Repo.¶

(c) It shall not be necessary for any Transaction forming part of an Open DBV Repo or a Term DBV Repo to be evidenced by a separate Confirmation and, subject to subparagraph 3.4(d) below, each such Transaction shall be deemed to be entered into on the Repurchase Date of the preceding such Transaction.¶

(d) Notwithstanding the preceding provisions of this subparagraph, a transaction which would otherwise be deemed to be entered into on any day and would form part of an Open DBV Repo or a Term DBV Repo shall be deemed not to be entered into if before the parties have taken the steps necessary to effect delivery of the Purchased Securities under that Transaction on that day in accordance with the rules and procedures of the CREST -¶

(i) an Event of Default has occurred in relation to either party; or¶

(ii) an earlier Transaction forming part of that Open DBV Repo or Term DBV Repo has been terminated under paragraph 10(g) or 10(h) of the Agreement.¶

(e) In any case where subparagraph 3.4(d) above applies, no further Transaction forming part of the relevant Open DBV Repo or Term DBV Repo shall arise.¶

(f) Subject to subparagraph 3.4(h) below, and save in so far as the Confirmation relating to an Open DBV Repo or Term DBV Repo may otherwise provide, that part (if any) of the Repurchase Price in respect of each Transaction in the relevant series (other than the last such Transaction) which exceeds the Purchase Price shall not be payable on the Repurchase Date, but shall instead be deferred until, and shall be payable on, the Repurchase Date of the last Transaction in the series. Such payments shall be made through CREST or outside CREST in same day funds.¶

(g) Any amount payable in respect of a Transaction forming part of an Open DBV Repo or Term DBV Repo payment of which has been deferred under subparagraph 3.4(f) above shall, until it is paid or the relevant Transaction is terminated under any provision of paragraph 10 of the Agreement, be treated for the purposes of paragraph 4(c) of the Agreement as if it were an amount payable under paragraph 5 of the Agreement.¶

(h) If any Transaction forming part of an Open DBV Repo or Term DBV Repo is terminated under any provision of paragraph 10 of the Agreement, any amounts payable in respect of any earlier Transactions forming part of that Open DBV Repo or Term DBV Repo payment of which has been deferred under subparagraph 3.4(f) above shall become due and payable immediately.¶

4. Transactions in partly-paid Securities¶

4. 1 This paragraph applies where -

(a) the Purchased Securities under a Transaction are Securities on which a call or instalment remains to be paid; and¶

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(b) the due date for the payment of any such call or instalment occurs before the Termination of the Transaction.¶

4. 2 Seller shall pay to Buyer, for value on or before the due date of the call or instalment, an amount equal to the call or instalment payable on that date in respect of Securities equivalent to the Purchased Securities.

5. 3 No adjustment to the Repurchase Price shall be made in consequence of the call or instalment or of the payment made by Seller under paragraph 4.2 above.

6. 4 On and from the due date for the payment of the call or instalment the expression “Equivalent Securities” shall with respect to that Transaction be taken to mean Securities of the same issuer, forming part of the same issue and being of an identical type, nominal value, description and amount as the Purchased Securities but after payment of the call or instalment in question.

5. Exercise of rights of conversion¶

5. 1 This paragraph applies where the Purchased Securities under a Transaction are Securities in respect of which a right of conversion (whether arising under the terms of issue of the Securities or under a conversion offer made after such issue) becomes exercisable before the Termination of the Transaction.

6. 2 Seller may, not later than a reasonable period before the latest time for the exercise of the right of conversion, give to Buyer written notice to the effect that, on Termination of the Transaction, it wishes to receive Securities in such form as will arise if the right of conversion is exercised or, in the case of a right of conversion which may be exercised in more than one manner, is exercised in such manner as is specified in the notice.

7. 3 With effect from the latest time for the exercise of the right of conversion the expression “Equivalent Securities” shall be taken to mean -

(a) if a notice has been given under paragraph 5.2 above not later than the time specified in that subparagraph, such amount of such Securities of such description as fall to be held by a holder of Securities of the same issuer, forming part of the same issue and being of an identical type, nominal value, description and amount as the Purchased Securities if he has exercised the right of conversion in the manner specified in the notice;¶

(b) in any other case, such amount of Securities of such description as fall to be held by a holder of Securities of the same issuer, forming part of the same issue and being of an identical type, nominal value, description and amount as the Purchased Securities if he has not exercised the right of conversion.¶

6. Termination of on demand Transactions¶

6. 1 Paragraph 3(c) of the Agreement shall not apply, but shall be replaced by the following -

“(e) In the case of on demand Transactions, demand for Termination shall be made by Buyer or Seller, by telephone or otherwise, and shall provide for Termination to occur as soon as reasonably practicable after such demand or on such date (being at least one Business Day after that on which the demand is made) as may be specified in the demand: provided that, unless otherwise agreed between the parties, a demand which is made before 10 a.m. on a Business Day may provide for Termination to occur not later than the close of business on that day.”¶

7. Dividend entitlements: effect on margin provisions¶

7. 1 This paragraph applies where -

(a) the ex-dividend date for the payment of any dividend on any Purchased Securities occurs before the Termination of the relevant Transaction; or¶

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(b) the ex-dividend date for the payment of any dividend on any gilt-edged securities which have been delivered to a party as Margin Securities occurs before Equivalent Margin Securities have been delivered to the other party.¶

7. 2 For the purposes of paragraph 4 of the Agreement -

(a) where paragraph 7.1(a) above applies, from the period from the ex-dividend date until the Termination of the Transaction, Buyer shall be deemed to have received a payment of Cash Margin equal to the amount of the dividend payable on the Purchased Securities by reference to that ex-dividend date;¶

(b) where paragraph 7.1(b) above applies, the party which has received those Margin Securities shall, from the period from the ex-dividend date until Equivalent Margin Securities are delivered to the other party, be deemed to have received a payment of Cash Margin equal to the amount of the dividend payable on those Margin Securities by reference to that ex-dividend date.¶

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ITALIAN ANNEX¶

Supplemental terms and conditions for transactions in Italian Domestic Purchased Securities or Italian Bonds¶

This Annex constitutes an Annex to the TBMA/ISMA Global Master Repurchase Agreement dated January 7, 2015 between DEUTSCHE BANK AG and SOUTHERN FINANCIAL LLC (the “Agreement”).¶

1. Scope¶

In the event of Repurchase Transactions or Buy/Sell Back Transactions in Domestic Purchased Securities (as defined below) or in Italian Bonds (as defined below) whether or not such Italian Bonds fall within the definition of Domestic Purchased Securities, the following provisions shall apply and, where in conflict with any other term of the Agreement or of the Buy/Sell Back Annex, they shall prevail.¶

2. Interpretation¶

(a) The following definition shall be added to paragraph 2 of the Agreement –¶

“Domestic Purchased Securities” means Purchased Securities which are issued in Italy whether or not the issuer thereof is incorporated in Italy or has a presence in Italy.¶

(b) The following definitions shall replace the corresponding definitions contained in paragraph 2 of the Buy/Sell Back Annex –¶

(i)¶

“Accrued Interest”, with respect to any Domestic Purchased Securities unpaid Income that has accrued during the period from (and excluding) the issue date or the last Income Payment Date (whichever is the later) in respect of such Domestic Purchased Securities to (and including) the date of calculation. For these purposes unpaid Income shall be deemed to accrue on a daily basis from (and excluding) the issue date or the last Income Payment Date (as the case may be) to (and including) the next Income Payment Date or the maturity date (whichever is the earlier).¶

(ii)¶

“Sell Back Differential”, with respect to any Transaction in Domestic Purchased Securities as of any date, the aggregate amount obtained by daily application of the Pricing Rate for such Transaction (on a 360 day basis unless otherwise agreed between the parties for the Transaction) to the sum of (a) the Purchase Price and (b) Accrued Interest paid on the Purchase Date for such Transaction for the actual number of days during the period commencing on (and excluding) the Purchase Date for such Transaction and ending on (and including), the date of calculation.¶

0(c) References to “Repurchase Price” and to “Sell Back Price” throughout this Annex shall be construed as references to “Repurchase Price or the Sell Back Price, as the case may be”.¶

3. Settlement Method¶

The settlement method in relation to Transactions in Domestic Purchased Securities shall be “in the counter” (gioraliera titoli) unless the parties in the relevant Confirmation agree that such settlement method shall be “over the counter” (Conto Accentrato Titoli (CAT) copertura gioraliera) (such terms having the meanings specified in the relevant regulations issued by the Bank of Italy).¶

4. Late Delivery¶

(a) In connection with a Transaction in Domestic Purchased Securities, if Seller fails to deliver Domestic Purchased Securities to Buyer on the Purchase Date or Buyer fails to deliver Securities equivalent to Domestic Purchased Securities on the Repurchase Date and Buyer or, as the case may be, Seller (the “affected party”) elects to terminate the Transaction in accordance with paragraph 10(g)(iii) or, as the case may be paragraph 10(h)(iii) of the Agreement, the parties agree that for the purposes of paragraph 10(c) -¶

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if the affected party has at any time in the period beginning on the date on which the failure occurred and ending at the Default Valuation Time, purchased, whether by way of a repurchase transaction, buy and sell back transaction or otherwise, Securities forming part of the same issue and being of an identical type and description as those Purchased Securities or Equivalent Securities, the affected party shall, to the extent that it does not fall within paragraph 10(e), treat the cost of such purchase (including all Transaction Costs) as the Default Market Value of those Securities;¶

(ii) in calculating the Default Market Value, Transaction Costs incurred in connection with a purchase of Securities under paragraph 10(e)(i)(A) (aa) or (bb) shall include¶

(aa) any costs imposed by the Bank of Italy as a result of the failure; and¶

(bb) an amount equal to interest on the amount of any deposit which the affected party is required to make with the Bank of Italy at the greater of the Pricing Rate for the relevant Transaction and EURIBOR (on a 360 day basis unless otherwise agreed by the parties to the Transaction) which shall be payable by the other party to the affected party.¶

(b) If Buyer fails to deliver Equivalent Securities to Seller on the applicable Repurchase Date, Seller may by written notice to the other party, elect to adjust the Transaction in accordance with subparagraph (c) below.¶

(c) The adjustment of a Transaction (the “Original Transaction”) under this subparagraph shall be effected as follows. The Original Transaction shall be terminated on the Repurchase Date for the Original Transaction and the parties shall be deemed to enter into a new Transaction (the “Replacement Transaction”) in accordance with the following provisions-¶

(i) the Purchase Date under the Replacement Transaction shall be the Repurchase Date under the Original Transaction;¶

(ii) the Purchased Securities under the Replacement Transaction shall be Securities equivalent to the Purchased Securities under the Original Transaction;¶

(iii) the Purchase Price under the Replacement Transaction shall, unless otherwise agreed, be the Market Value of the Purchased Securities for that Transaction on the Purchase Date for the Replacement Transaction as determined by Seller;¶

(iv) the Pricing Rate under the Replacement Transaction shall, unless otherwise agreed, be minus five per cent.;¶

(v) the Repurchase Date under the Replacement Transaction shall be the Business Day following the Purchase Date under the Replacement Transaction;¶

(vi) the Margin Ratio and, subject as aforesaid, the other terms of the Replacement Transaction shall, unless otherwise agreed, be identical to those of the Original Transaction; and¶

(vii) the obligations of the parties with respect to the delivery of the Purchased Securities and the payment of the Purchase Price under the Replacement Transaction shall be set off against their obligations with respect to the delivery of Equivalent Securities and payment of the Repurchase Price under the Original Transaction and accordingly only a net cash sum shall be paid by one party to the other. If such net sum is payable by Seller to Buyer, that sum shall be payable on the Repurchase Date under the Replacement Transaction.¶

(d) If on the Repurchase Date for any Transaction Buyer delivers to Seller part only of the Equivalent Securities which it should have delivered (the “Delivered Securities” and the part of the Equivalent Securities which Buyer has failed to deliver being the “Undelivered Securities”) Seller shall not be obliged to accept delivery of the Delivered Securities but instead may elect to terminate that Transaction in accordance with paragraph 10(h)(iii) of the Agreement, in which¶

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case subparagraph (a) above shall apply. If Seller elects to accept delivery of the Delivered Securities, the Transaction shall be terminated and Buyer and Seller shall be deemed to enter into a new Transaction in respect of the Undelivered Securities in accordance with the provisions of subparagraph (e) below.¶

Where this paragraph applies, the Transaction (the “Terminated Transaction”) shall be terminated. Upon such termination, Buyer shall transfer to Seller or its agent the Delivered Securities against payment by Seller of the proportion of the Repurchase Price which corresponds to the Delivered Securities and the parties shall be deemed to enter into a new Transaction on the following terms-¶

(i) the Purchase Date under the new Transaction shall be the Repurchase Date under the Terminated Transaction;¶

(ii) the Purchased Securities under the new Transaction shall be Securities equivalent to the Undelivered Securities;¶

(iii) the Purchase Price under the new Transaction shall be the Market Value of the Undelivered Securities at the Purchase Date under the new Transaction as determined by Seller;¶

(iv) the Repurchase Date under the new Transaction shall be the Business Day following the Purchase Date under the new Transaction;¶

(v) the Pricing Rate under the new Transaction shall, unless otherwise agreed, be minus five per cent.;¶

(vi) the Margin Ratio and, subject as aforesaid, the other terms of the new Transaction shall, unless otherwise agreed, be identical to those of the Terminated Transaction; and¶

(vii) the obligations of the parties with respect to the delivery of the Undelivered Securities and the payment of that part of the Repurchase Price which corresponds to the Undelivered Securities under the Terminated Transaction shall be set off against their obligations with respect to the delivery of the Purchased Securities and the payment of the Purchase Price under the new Transaction and accordingly only a net cash sum shall be paid by Seller to Buyer. If such net sum is payable by Seller to Buyer, that sum shall be payable on the Repurchase Date under the new Transaction.¶

5. Withholding Tax¶

(a) Transactions in Domestic Purchased Securities between an Italian resident and a counterparty which is not resident in Italy for Italian tax purposes (but excluding the foreign branches of entities incorporated in Italy) where the non-Italian party is Buyer, are subject to the then applicable withholding tax in accordance with the following formula which provides the adjustment of the originally agreed Pricing Rate (such adjustment expressed as a percentage, the “Pricing Rate Adjustment”) in such a manner which reduces the Pricing Rate by a percentage equal to the relevant applicable withholding tax rate on any capital gains realised on the relevant Domestic Purchased Securities unless otherwise provided in any applicable tax treaty.¶

Pricing Rate Adjustment = (Pssnt - Pssnp) * xAwtr * x (360/gg) * x (100/Pssnp)¶

Pssnt = Prezzo supersecco netto a termine (Sell Back Price net of accrued interest and matured original issue discount)¶

Pssnp = Prezzo supersecco netto a pronti (Purchase price net of accrued interest and matured original issue discount)¶

Awtr = Tasso della ritenuta d’imposta applicabile (Applicable withholding tax rate)¶

gg = giorni di durata della Transaction number of days in the Transaction (excluding the Purchase Date and including the Repurchase Date).¶

To the extent that the withholding tax referred to above is applicable to Buyer and Seller is required to pay the amount of such withholding tax to the Italian tax authorities, Seller shall be¶

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entitled to deduct the amount of such tax from the Repurchase Price as adjusted in accordance with the Pricing Rate Adjustment or, within ten days of the demand of Seller to make the relevant payment, Buyer shall reimburse Seller in respect of the amount required to be paid by it. Seller shall, upon demand by Buyer, provide Buyer with appropriate evidence of the amount of tax deducted and paid to the Italian tax authorities as Buyer may reasonably require to obtain any tax relief under any applicable tax treaty or to obtain any tax credit in respect of its income in the country in which it is resident or out of which it is acting.¶

(b) Should Buyer be -¶

(i) resident in a country with which Italy has entered into a double tax treaty which recognises the Italian tax authorities’ right to exchange information with the tax authorities of such country; or¶

(ii) a supranational entity, no withholding tax shall apply pursuant to Article 26bis of Presidential Decree no. 600 of 29th September, 1973.¶

6. Construction of Buy/Sell Back Annex¶

The provisions of the Buy/Sell Back Annex shall apply to Buy/Sell Back Transactions in Domestic Purchased Securities as if –¶

(a) references to Buy/Sell Back Transactions shall be construed as references to Buy/Sell Back Transactions in Domestic Purchased Securities; and¶

(b) references to Purchased Securities shall be construed as references to Domestic Purchased Securities.¶

7. Income

(a) Unless otherwise agreed -¶

(i) paragraph 5 of the Agreement shall apply without modification in respect of any payment of Income in respect of Italian Bonds which could be received without a withholding or deduction on account of Italian tax being made at source by an owner of such Italian Bonds which is a body corporate resident in Italy or in one of the jurisdictions listed in Decree of the Minister of Finance of the Republic of Italy dated 4th September, 1996 issued pursuant to Legislative Decree no. 239 of 1st April, 1996 having an appropriate double tax treaty with Italy (whether or not either of the parties is such a body corporate);¶

(ii) paragraph 5 of the Agreement shall be modified, in its application to any payment of Income in respect of Italian Bonds other than such a payment falling within subparagraph (i) above, by deducting from the amount required to be transferred or credited under that paragraph an amount equal to any amount which would, on the assumption that Buyer owned the Italian Bonds at the relevant Income Payment Date, be withheld or deducted at source on account of Italian tax;¶

(iii) in relation to Buy/Sell Back Transactions in Italian Bonds, the amount “IR” in the formula for computing the Sell Back Price pursuant to paragraph 2(iii)(y) of the Buy/Sell Annex shall be calculated on the same basis as the amount required to be transferred or credited pursuant to paragraph 5 is calculated in accordance with subparagraphs (i) and (ii) above;¶

(iv) without prejudice to the provisions set out in the final sentence of subparagraph 5(a) above, neither party shall be obliged to deliver or transfer to the other, or to account to the other for, any tax credits or refunds to which it may become entitled in respect of Income on Italian Bonds; and¶

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(v) paragraph 11 of the Agreement (Tax Event) shall not apply to any Transaction by virtue of any Italian Bonds ceasing to be Securities in respect of which a deduction or withholding on account of Italian tax is required to be made in respect of a payment of Income to such an owner as is referred to in subparagraph (i) above.¶

(b) For the purposes of this paragraph “Italian Bonds” means any Securities which are issued by the Italian government or local authorities (or the Securities which for Italian tax purposes are treated likewise) or by other entities and to which the provisions of Legislative Decree no. 239 of 1st April, 1996, as amended, granting a special tax treatment will apply.¶

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