Securities Perpetual Pricing

Effective November 4, 2026

This document describes funding and cash-settlement calculations for Perpetual Futures on securities. Pursuant to Rule 515 of the Bitnomial Rulebook, Contract Specifications shall incorporate these procedures as part of the Contract’s Rules. These procedures govern funding and daily settlement and take precedence over inconsistent general daily settlement provisions in Rule 509. Final settlement remains subject to Rule 515. Capitalized terms used herein have the meanings assigned in the Bitnomial Exchange Rulebook.

Positive Funding Rates require longs to pay shorts; negative rates require shorts to pay longs. Funding adjustments enter the next Variation Margin cycle.

The Index Price is the mark of the underlying index identified in the Contract Specifications. Each Contract Specification defines the exact underlying index for that Contract. Contract prices enter the Premium Index calculation to measure the funding premium relative to that mark and the median calculation used to determine the Daily Settlement Price. The underlying index is determined independently of Contract prices.

Only valid underlying index values calculated by CF Benchmarks from National Stock Exchange or Blue Ocean ATS market data under the incorporated index methodology may be used as new Index Price observations.

An Index Price observation must be finite, positive and valid for its calculation time under the incorporated index methodology. A value retained and published by CF Benchmarks under that methodology's contingency rules remains eligible if it is derived from an eligible source.

Funding Rate Calculation

Funding and settlement occur at 03:00, 11:00 and 19:00 Central Prevailing Time (CPT), each a "Funding Time". The Funding Rate and Settlement Price applicable at each Funding Time are determined under these procedures, including the carry-forward provisions below. Funding payments are accumulated for application through the next applicable Variation Margin cycle. Valuation and unavailable-data treatment are governed by the provisions below. Continued index publication does not override a trading halt under Rule 515 or Rule 501.

Funding Rate Intervals

• Interval 1: 19:00 CPT on the preceding day - 03:00 CPT
• Interval 2: 03:00 CPT - 11:00 CPT
• Interval 3: 11:00 CPT - 19:00 CPT

Funding Intervals run continuously on every calendar day, including weekends and holidays when Contract trading is closed. Market Hours and holiday closures are governed by Rule 515. Trading remains subject to Exchange maintenance windows and trading halts under Rule 515 and Rule 501.

At each Funding Time, a new Funding Rate is calculated from the Premium samples recorded during open trading in the preceding Funding Interval, including zero-valued samples assigned under the provisions below, subject to the following carry-forward rules. Closures, maintenance windows, trading halts and data interruptions do not shorten the eight-hour Funding Interval. If no sample in the interval has an available Index Price and determinable Contract Impact Prices on both sides, the most recently calculated Funding Rate, including its sign, is carried forward and applied at that Funding Time. This applies even if zero-valued samples were recorded because inputs were unavailable. If this occurs before any Funding Rate has been calculated, the Interest Rate of 0% applies. Funding payments are calculated separately for each interval under the Dollar Funding Payment provisions below.

Premiums are sampled once in each 15-second period during which Contract trading is open, whether or not a trade occurs. Unavailable inputs result in a zero Premium sample as specified below. Premiums are not sampled while Contract trading is closed or halted or during a maintenance window.

Each Funding Interval includes its opening boundary and excludes its ending boundary. When its inputs are available, each Premium sample uses the eligible Index Price and Contract order-book observations applicable immediately before the end of its 15-second sample period. Observations at a boundary belong to the following sample period.

For the Friday 17:00 CPT market close under Rule 515, the Funding Interval remains 11:00 to 19:00 CPT, but the observation window is the six hours from 11:00 CPT up to, but excluding, 17:00 CPT. At 19:00 CPT, the Exchange calculates the Funding Rate using the samples from that window, subject to the carry-forward provisions above. The closed portion from 17:00 to 19:00 CPT contributes neither samples nor weights and is not filled with zero Premium samples. The observation window is not extended into an earlier Funding Interval to obtain eight hours of samples. The Funding Rate Formula applies to the weighted average for the six-hour window without a six-eighths adjustment.

Funding Rate Formula

When a new Funding Rate is calculated, the following formula applies:

FR = avg(P) + clamp(IR - avg(P), -0.001%, 0.001%)

Where:

• FR = Funding Rate (applied to positions)
• IR = Interest Rate = 0% per interval (fixed rate)
• avg(P) = Index Weighted Average Premium Index over the funding interval
• clamp(x, min, max) = Constrains x to be between min and max values

Index Weighted Average Premium Index Calculation

avg(P) = (1/N) × Σ_{i ∈ J} i × P_i

Where:

• n = 1,920 (number of scheduled 15-second sample periods per eight-hour Funding Interval)
• J = set of sample periods in the Funding Interval for which a Premium sample was recorded, including zero-valued samples assigned because inputs were unavailable
• N = Σ_{i ∈ J} i, the sum of the weights of the included sample periods
• P_i = Premium Index at sample period i, in chronological order

Sample periods retain their original chronological indices within the Funding Interval. Zero-valued samples contribute zero to the weighted sum and their full sample-period weight to its denominator. Periods when sampling is suspended because Contract trading is closed, halted or under maintenance contribute neither a sample nor a weight. When all 1,920 periods contain a sample, N = n(n + 1)/2 = 1,844,160. If J is empty, N = 0 and no average is calculated; the Funding Rate is determined under the carry-forward provisions above.

With uninterrupted Contract trading during Friday's 11:00 to 17:00 CPT observation window, there are 1,440 sample periods, retaining indices 1 through 1,440, and N = 1,440 × 1,441 / 2 = 1,037,520. The 480 scheduled sample periods from 17:00 to 19:00 CPT are excluded. If a halt or maintenance window interrupts the six-hour observation window, J and N include only the periods when sampling occurs.

Premium Index Formula

P = [max(0, CI_bid - S) - max(0, S - CI_ask)] / S

Where:

• S = positive underlying Index Price at the sample time
• CI_bid = Contract Impact Price for bid side
• CI_ask = Contract Impact Price for ask side

Contract Impact Price Calculation

CI_side = [Σ^b_i=1 (q_i × p_i)] / [Σ^b_i=1 q_i]

Where:

• side = either "bid" or "ask"
• b = book levels included under the applicable Contract rules
• q_i = Number of Contracts included at price level i
• p_i = Price at level i

Each side is measured independently from its best price outward, using available quantity up to a maximum USD 50,000 notional depth, calculated as the sum of included Contract quantity times Contract multiplier times price. The final included price level may be partial. Available nonzero depth below the cap is used.

If either side of the Contract order book has no available depth or the Index Price is unavailable, the sample results in no premium or discount: P = 0. The zero-valued sample is included in the weighted average with its full sample-period weight. Otherwise, the Premium Index Formula above applies.

Dollar Funding Payment

F = |FR| × Q × M × SP

Where:

• F = Dollar payment, with direction determined by the Funding Rate sign
• FR = Funding Rate, converted from a percentage to a decimal
• Q = absolute number of Contracts in the net open position for the Trading Account immediately before the Funding Time
• M = Contract multiplier
• SP = Settlement Price in U.S. dollars per share as of the applicable Funding Time, determined under the Daily Settlement Price Calculation provisions below, including the carry-forward provisions for scheduled closures

The dollar funding payment is calculated separately at each Funding Time using the Settlement Price as of that Funding Time. A positive Funding Rate requires holders of long positions to pay holders of short positions; a negative Funding Rate requires holders of short positions to pay holders of long positions. A zero Funding Rate produces no payment. Funding payments are accumulated for application through the next applicable Variation Margin cycle. Where multiple Funding Intervals end within one Variation Margin cycle, each payment is calculated using its own Funding Rate and Settlement Price, and those payments are summed for application in that cycle. Each payment is effected by the Clearinghouse through Variation Margin and is not settled bilaterally between Members. Revisions to the underlying Index Price made after a Funding Time do not alter the applicable Funding Adjustment. The Underlying Contract Specifications set the Contract multiplier, position measurement times, and payment rounding.

Daily Settlement Price Calculation

A Settlement Price is determined at each Funding Time. The Exchange also determines a closing Settlement Price at each scheduled weekly or holiday market close under Rule 515, using the median methodology and fallback methods below. This closing valuation does not create an additional Funding Time.

For the Friday 17:00 CPT market close, the Settlement Period runs from 16:57:30 CPT up to, but excluding, 17:00 CPT. Its length remains two and one-half minutes, comprising ten 15-second sample periods. The Exchange determines the closing Settlement Price at 17:00 CPT using that window and the Index Price applicable immediately before the close, subject to the fallback methods below. Friday's 19:00 CPT funding payment uses this closing Settlement Price and the Funding Rate calculated from the 11:00 to 17:00 CPT observation window. Both values carry forward at subsequent Funding Times during the scheduled closure. For a standard weekend with trading resuming Sunday at 19:00 CPT, they also apply at that Funding Time; the first scheduled Funding Time using resumed trading is Monday at 03:00 CPT, subject to the calculation and fallback provisions herein.

If Contract trading was closed throughout the Settlement Period preceding a Funding Time because of a scheduled weekly or holiday closure, the closing Settlement Price is carried forward for that Funding Time. Otherwise, the Settlement Price is calculated using the median methodology and fallback methods below, using eligible Index Price observations and available Contract market data.

SP = median(S, S + ma(S), ma(C))

Where:

• SP = Settlement Price used for Variation Margin and Funding Adjustments, subject to the applicable tick-rounding rule
• S = underlying Index Price at the applicable valuation time, either a Funding Time or a scheduled market close
• ma(S) = simple moving average of the Contract's bid-ask midpoint minus the underlying Index Price over the Settlement Period
• ma(C) = volume-weighted average price of trades in the Contract during the Settlement Period, with the no-trade treatment below

The Settlement Period is the two and one-half minutes immediately preceding the applicable valuation time, comprising ten 15-second sample periods. The period includes its opening boundary and excludes its ending boundary. The Index Price at valuation is the eligible CF Benchmarks value applicable immediately before the valuation time; each basis sample uses the eligible observations applicable immediately before the end of its sample period. Observations first available at or after the valuation time are excluded. The basis average is:

ma(S) = (1/v) × Σ^v_i=1 ((p_bid,i + p_ask,i)/2 - S_i)

Here, v is the number of sample periods with a prevailing best bid, a prevailing best ask, and an eligible Index Price while Contract trading is open; p_bid,i, p_ask,i and S_i are the bid, ask and underlying Index Price at each such sample time. A missing input causes the entire basis sample to be omitted. If v = 0, ma(S) is unavailable.

Only Contract trades during open trading within the Settlement Period enter the volume-weighted calculation of ma(C). Where no such trade occurs, ma(C) is the time-weighted average of the midpoint between the prevailing best bid and best ask, calculated only over portions of the Settlement Period when Contract trading is open and both sides are available. The denominator is the duration of those eligible portions. Quotes retained while trading is closed, halted or under maintenance are excluded. If neither trades nor eligible two-sided quotations are available, ma(C) is unavailable.

The Settlement Price is the median, or middle value, of S, S + ma(S) and ma(C) when all three can be determined. The absence of trades does not by itself make ma(C) unavailable when the time-weighted midpoint can be determined. Where one or more inputs cannot be determined, the following waterfall applies in order:

1. If ma(C) cannot be determined but S and ma(S) can be determined, SP = S + ma(S).
2. If S or ma(S) cannot be determined but ma(C) can be determined, SP = ma(C).
3. If neither ma(S) nor ma(C) can be determined but S can be determined, SP = S.

If the Settlement Price cannot be determined under these methods, the most recently determined Settlement Price is carried forward. If no previous Settlement Price exists, the Exchange determines and publishes an initial Settlement Price pursuant to the Exchange Rules before the first settlement. The Exchange retains its authority under Rule 509 and the Clearinghouse retains its authority under Rule 813 to address an unavailable, erroneous or unreliable Settlement Price, subject to Rule 515.

Daily cash settlement uses the Settlement Price determined under this section, including a carried-forward Settlement Price during scheduled closures. Funding adjustments are calculated separately using the Funding Rate and the Settlement Price at the applicable Funding Time. Final Settlement on termination is determined separately as described below.

Trading Halts

Trading halts and resumptions are governed by Rule 515 and Rule 501. Publication of an Index Price does not permit trading to continue during a trading halt. Premium sampling stops while Contract trading is halted or under maintenance; retained Contract quotations are excluded from the settlement calculations for those periods. Observations collected during open portions of the interval remain eligible under the calculation methods above.

Final Settlement on Termination

Upon a Contract Termination Event, the Exchange announces the date and time of termination as far in advance as practicable. All trading ceases at that time, and all open positions are finally settled in cash at the Final Settlement Price determined under Rule 515.4, consistent with SEC Rule 6h-1(b) and CFTC Regulation 41.25(c). The Exchange determines the Final Settlement Price using the underlying security's opening price, or a price that fairly reflects that opening price, for the regular trading session of its listing market. If the security is no longer listed, the primary-market reference in SEC Rule 6h-1(a)(1) applies. The reference session is identified in the Contract Specifications or termination notice. The underlying index daily mark is not the source of the Final Settlement Price.

If the opening price is not readily available, the final price must fairly reflect the price during the most recent regular trading session or the next available opening price, as provided in SEC Rule 6h-1(b)(2) and CFTC Regulation 41.25(c)(2). The Exchange identifies the permitted basis in its settlement or termination notice; settlement using the next opening occurs after that price is available. The Clearinghouse may determine a Final Settlement Price under its rules subject to SEC Rule 6h-1(b)(3) and CFTC Regulation 41.25(c)(3). These requirements govern final settlement, including any exercise of general pricing discretion.