Deutsche Securities Inc. (Kin-sho No. 117) SuperX Japan – Dark Pool Guidelines Page | 1

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Deutsche Bank Equities

SuperX - Japan

Dark Pool Guidelines

August 2020

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Deutsche Securities Inc. (Kin-sho No. 117) SuperX Japan – Dark Pool Guidelines Page | 2

Contents

1. About SuperX 3

i. Introduction 3

ii. Scope of Products 3

iii. Trading Hours 3

2. User Eligibility 2

3. How to Access the Dark Pool 4

i. SuperX+ 4

4. Matching Price 5

5. Order Types and Parameters 5

6. Pool Priority 5

7. Matching Permissions and Opt-Out Arrangements 5

8. Technical Summary 6

9. Commissions and Fees 6

10. Order Cancellation 6

11. Aggregation 6

12. TCA 6

13. Internal Control Procedures 7

i. Fair and Orderly Functioning of the Dark Pool 7

ii. Potential Conflicts of Interest 7

14. Contingency Arrangements 8

15. Risks 8

16. Staff Access 8

17. External Dark Venue 9

18. Version Control 9

Contacts 10

Disclaimer 10

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1. About SuperX

i. Introduction SuperX is Deutsche Securities Inc’s (DSI’s) dark pool for equities, allowing users, including internal desks to interact with our liquidity in an automated fashion. SuperX is currently available in Japan (operated by Deutsche Securities Inc.).

These Dark Pool Guidelines provide comprehensive details on the operation of SuperX. Unless otherwise indicated, the following information pertains to SuperX in Japan.

The latest version of these Dark Pool Guidelines and additional materials containing information on SuperX in other global markets can be found at the Autobahn Equity website here: https://autobahn.db.com/equity.

ii. Scope of Products SuperX supports all equity securities listed on the primary exchange. However orders for suspended securities cannot be executed within SuperX

iii. Trading Hours Orders can be matched within SuperX during the continuous trading sessions of the primary exchange.

2. User Eligibility & Participants

Investment firms onboarded onto the platform are eligible to access SuperX.

Orders from eligible users may be placed within SuperX at DSI’s discretion unless they request to opt-out (see below for further opt-out details). I.e. orders from users who have not opted-out are not guaranteed to be placed into SuperX. Investment Firms which are Institutional Clients, Broker Dealers, Quant Funds and other Hedge Funds, and DB Principal Flow participate in SuperX.

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3. How to Access Dark Pool

Users may access SuperX directly or through the Autobahn Trading platform.

When users send orders directly into SuperX, or instruct the Smart Order Router (SOR) to specifically target the dark pool, those orders will be classified as ‘Client Self Directed’ flow. Orders tagged in this way may be subject to counterparty selection logic applied in the SuperX pool as described in this document.

The majority of users will access SuperX by using our Autobahn trading platform - either directly, or by placing an order with the trading desks, who in turn will place orders using Autobahn.

All our algorithms have access to the SuperX pool as well as other external dark venue(s) and will place orders into these venues as part of the normal course of trading in an attempt to improve both price and available liquidity.

For example, a VWAP algo may place a portion of its available volume into SuperX at midpoint before crossing the spread in the lit market in an attempt to improve price. Alternatively, a large Stealth order may have its balance placed into SuperX and a number of external dark venue(s)1 in an attempt to access liquidity that is not available in the lit market.

Co-location with the SuperX system is not available.

i. SuperX+

When trading in these alternative pools of liquidity, the system utilises the SuperX+ dark pool logic2, designed to maximise access to additional liquidity while reducing the chances of an adverse fill. SuperX+ uses dynamic price controls when interacting with all pools as well as Minimum Execution Quantity (MEQ, also known as Minimum Acceptable Quantity) parameters to ensure that fills are of a suitable size.

Additional controls are placed on orders sent to external dark venue(s) such as maximum order sizes and although we cannot control counterparty interaction within external dark venue(s), routing to these venues can be disabled on request (please contact your DB equities coverage representative for further details).

Each dark pool and primary venue are treated as separate venues. While parent orders may be sliced into different venues, individual child order slices are not replicated across multiple venues simultaneously.

The usage of, and allocation of orders between, the various dark pool venues is at DB’s discretion and may change over time.

SuperX+ can be used as a stand-alone algorithm and configured to your needs – please contact your DB Equity coverage representative for more information.

Note 1: for the latest venues that are accessible via the Autobahn platform see the Execution Destinations materials on the A utobahn Equity website here: https://autobahn.db.com/equity.

Note 2: SuperX+ logic may be part of the algorithm itself rather than a standalone router in some instances.

Note 3: DMA is Direct Market Access, DSA is Direct Strategy Access.

Direct Orders DMA3

Client Self Directed

Algo Platform

DSA3

Clients Principal Activity

SOR / SuperX+ Lit Markets

SuperX External Dark Pool(s)

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4. Matching Price

All matches occur at-or-within the Best Bid and Best Offer (BBO) and additional exchange price controls may be applied. For the purposes of this document, BBO is defined as the Best Bid and Best Offer available on the specific lit venues shown as BBO sources in the Technical Summary table below. After applying Limit Price, Peg Instructions and Pre-Match Order Price Rounding rules as described in this document, the match price will be set by the resting order in the pool.

For example: In a market with a BBO of 10.10 x 10.14, entering a buy order with a market peg into the pool when there is a resting sell order with a price limit of 10.13 will result in a match at 10.13.

5. Order Types and Parameters

SuperX supports the following order types and order parameters which can be set as defaults if required. Please contact your DB Equity coverage representative for further details.

Note: Market Peg is the default, though this can be changed on request. Limit and Peg can be used together on the same order.

6. Pool Priority

There is only one pool of liquidity and SuperX continuously matches orders in price, time priority while the stock is in its continuous trading phase on the primary exchange.

Agency orders are prioritised above Principal orders when they have the same price (regardless of time) but otherwise all counterparties are treated with equal priority.

7. Matching Permissions and Opt-Out Arrangements

Users can choose to opt-out of interacting with SuperX entirely or to opt-out from interaction with any combination of the following groups:

Flow directed to SuperX via a DB algorithm or Smart Order Router (SOR) on behalf of:

1. DB Agency: Client agency flow

2. DB Swap: DB hedges of client Swap flow

3. DB Principal Flow: Including facilitation activity, non- swap related hedging, ETF market making, etc.

Self-Directed Flow: 4. Client flow (Cash and Swap) that is placed into

SuperX directly or by instructing the SOR to target SuperX as a venue.

If two matching orders are not permitted to cross with each other because one or both sides have opted out, then the orders will be ignored for matching purposes and remain in the pool until executed or cancelled. (This may result in queue priority being given up).

Users may also choose to not cross with other entities in their group.

Users who choose to opt-out will be asked to reconfirm their preferences on an annual basis.

Parameter Behaviour

Minimum Execution Quantity (MEQ)

The minimum contra-side order quantity that can be matched with. SuperX does not aggregate orders to meet MEQ. Where the unfilled quantity of the order is less than the MEQ, MEQ will be reduced to that quantity.

Time-In-Force

IOC: Immediate or Cancel. The order will match and cancel back the balance. Day: The order will remain in the book until it is fully filled, cancelled, or the end of continuous trading.

Order Type Description

Market Order Order can match at any price at or within the BBO

Limit Order Order can match at the limit or better, at or within the BBO

Pegged Order Market: Far touch or better Mid-point: (Bid + Offer) / 2 or better Primary: Near touch

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8. Technical Summary

SuperX - Japan

MIC code DBSX

Matching Engine Location @Tokyo data centre, Toyosu, Tokyo.

Order Entry Protocol SuperX supports order entry via FIX. There is no proprietary protocol available.

Pre-match Order Price Rounding

1Passively rounded to JPY 0.05.

BBO Source2 Direct from TSE.

Feeds from SuperX SuperX is a completely dark trading venue. There is no outbound market data feed made available internally or externally. DB’s SOR and trading algorithms do not receive any information about orders resting in SuperX.

Trade Reports Synchronously to ToSTNeT3.

Note 1: Passively rounding means rounding down for Buy orders and up for Sell orders. Note 2: Delivered over DB’s dedicated network to a Reuters RDFD plant which is co -located with SuperX. Note 3: Fills are reported back to users after execution at ToSTNeT.

9. Commissions and Fees

Orders that are executed within SuperX are subject to the usual negotiated commission rates and standard market charges. There are no additional fees or rebates for providing or taking liquidity in SuperX.

10. Order Cancellation

Unexecuted orders may be cancelled or modified at any time during the trading day. (Such modifications may result in a loss of queue priority). Any unexecuted orders remaining in SuperX at the end of each trading day will be automatically cancelled.

11.

11. Aggregation

Orders are not aggregated within SuperX.

12. TCA and Reporting

Upon request, regular transaction cost analysis (TCA) can be made available to the users of SuperX concerning the transactions that are conducted on their behalf in the dark pool.

Where available, fill information is provided back to users in real-time with the SuperX venue indicated in Tag 30. Where not available, fill information reports can be prepared on request.

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13. Internal Control Procedures

DB’s Electronic Trading Controls Risk Assessment (ECRA) sets the framework for DB’s minimum standards in relation to Electronic Trading and it defines such standards on a global basis. These controls are designed to protect both the platform and the market.

Internal control procedures that ensure the fair and orderly functioning of SuperX and that address any potential conflict of interest concerns include the following:

i. Fair and Orderly Functioning of SuperX

— Pre-trade Risk Controls: Orders that enter SuperX are subject to pre-trade risk controls including maximum single order notional limits and maximum daily aggregate notional limits.

— Coverage: Orders placed into SuperX via our algorithmic trading platform are monitored by our dedicated Autobahn Equity coverage team.

— IT Support: Production Support monitor the performance of the electronic platform including SuperX in real-time and are immediately alerted to any incidents or issues.

— Testing: All changes to SuperX are subject to robust testing and deployment policies and procedures.

— Surveillance: Our Compliance function perform daily surveillance over orders executed in SuperX to ensure adherence with local rules and regulations.

— Kill Switch: If necessary, and subject to internal approval procedures, we can cancel orders in SuperX or disable the pool entirely.

— Analytics: SuperX execution data is included in internal analytics reports which are subject to regular review.

— Governance: Key stakeholders including Business, COO, Compliance, Group Technology, and Operations

participate in SuperX governance meetings.

— Capacity: Usage capacity of SuperX is regularly monitored and appropriate capacity planning is conducted. SuperX has sufficient capacity to handle any foreseeable increase in business volume and market turnover but in the unlikely event that the capacity of SuperX is exceeded then DB has contingency arrangements in place. (See separate Contingency Arrangements section below).Potential Conflicts of Interest

— Book Priority: As mentioned previously, Agency orders are prioritised above Principal orders within SuperX’s order book.

— System Access: Access to the SuperX system is restricted in accordance with the provisions set out in the Staff Access section below. Furthermore, no external clients have access to any data inside the SuperX system.

— Data Feeds: SuperX is a completely dark trading venue. The matching process is only based on orders that have been submitted to SuperX subject to the matching rules in each location.

— Fees and Rebates: There are no additional fees or rebates for providing or taking liquidity in SuperX.

— Transparency: These Dark Pool Guidelines are publically available to ensure that users are fully informed as to how SuperX operates.

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14. Contingency Arrangements

DB have contingency plans to cope with the event that SuperX experiences a material system delay or failure and these plans are tested to ensure they remain viable and adequate.

In the event of a material system delay or failure with SuperX or SuperX+, we will use appropriate communication methods to inform impacted users of the causes, or possible causes and to confirm the manner in which their orders will be handled. Unexecuted orders will usually be either cancelled, routed to the primary exchange or held pending resolution of the incident.

We may not relay system or failure communications in relation to dark pools that are operated by other external brokers, unless they materially impact our own systems.

16. Staff Access

15. Risks

Interactions in SuperX should be viewed with the same caution as any other trading venue, lit or dark. Further we do not represent that SuperX is in any way “safer” than any other trading venue.

Although all SuperX matches occur at or within the BBO, the SuperX execution price may not always be better than the price that could have been achieved on the primary exchange.

As with all trading venues, SuperX may occasionally be impacted by market data or system delays or outages which may result in users’ orders being delayed or cancelled.

Access to the SuperX system is restricted to only the Production Support team. Other functions are granted visibility over SuperX related order flow information on a ‘need-to-know’ basis as summarized below:

Department Team (all levels) SuperX Access Reason for access

Global Markets Equity

Autobahn Equity coverage desk

— Real-time visibility of orders placed into SuperX by electronic trading clients

— No view of the pool

To monitor the performance of orders

Global Markets Equity

Facilitation traders — Real-time visibility of orders that they have placed into SuperX by their respective desks

— No view of the pool

To monitor the performance of orders

Group Technology and Operations

Production Support

— Real-time access to the SuperX system via log files (not via GUI)

To monitor the technical health of the SuperX platform and provide first (and second) line support for incident investigation and remediation

Global Markets Equity

Product Development

— Real-time visibility of algorithms and their child orders that have been sent to SuperX

— No view of the pool

To provide third line support for algorithm incident investigation and remediation

Compliance Surveillance — Visibility over orders executed on SuperX on a post-trade basis

— No view of the pool

To perform surveillance on orders executed on SuperX to ensure adherence with local rules and regulations

Group Technology and Operations

Operations — Access to post-trade SuperX order information

— No view of the pool

Performance of normal trade booking, confirmation and settlement processes

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17. External Dark Venue

Chi-X's Kai-X Dark Pool is an external venue that can be accessed via the DB Autobahn Platform. More information on Kai-X can be found here. Users can opt out of interacting with external dark pools just like they can opt out of interacting with SuperX. The Kai-X service guide can be found here.

18. Version Control

These Dark Pool Guidelines will be updated over time as necessary to ensure that they remain comprehensive, accurate and current. Updated versions will be circulated to users of SuperX and the most current version will be published on the Autobahn Equity website here: http://autobahn.db.com/equity

Version Date Changes since previous version Reason for changes

1.3 March 25 — Removal of Australia and Hong Kong Dark Pool DB to surrender license to operate ALP

2.0 July 28 - Updated Japan Regulatory rules

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Deutsche Bank Equities

Contacts: Japan Execution Desk: +813 5156 6642 autobahnequity.tokyo@list.db.com

Website: http://autobahn.db.com/equity

Autobahn

Autobahn Equity is part of Deutsche Bank’s electronic trading platform, providing you with access to execution solutions in all major equities markets. Autobahn trading is available in both lit and alternative venues via our flexible suite of algorithms or direct market access (DMA) and both are supported by robust risk controls. Detailed market knowledge and algorithmic trading expertise are provided by our dedicated coverage team.

Disclaimer

Printed August 2020. MARKETING MATERIAL.

Quantitative models, processes and parameters are subject to amendment, modification, adjustment and correction at Deutsche Bank’s discretion, and may incorporate Deutsche Bank’s qualitative judgment. Deutsche Bank will from time-to-time run or update such models at its discretion. Clients are responsible for making their own determination as to the suitability and appropriateness of such models for their investment objectives.

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