April 23, 2021

Submitted via CFTC Portal

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: tpSEF Inc. – Regulation 40.6(d) Weekly Notification of Rule Amendments (tpSEF 

Submission #21-10R)

Dear Mr. Kirkpatrick: 

Pursuant to Section 5c(c) of the Commodity Exchange Act, as amended (the “Act”), and Section 

40.6(d) of the regulations of the Commodity Futures Trading Commission (the “Commission” or 

“CFTC”), tpSEF Inc. (“tpSEF”), a registered swap execution facility, hereby notifies the 

Commission that it has made certain non-substantive revisions to Appendix B of the tpSEF 

Rulebook (tpSEF Inc. Swap Specifications) effective as of April 23, 2021. Specifically, tpSEF 

has made the following changes:

(i) Added the terms and conditions for the product listed in Exhibit I hereto, which terms 

and conditions were separately filed with the Commission pursuant to CFTC 

Regulation 40.2(a); and

(ii) Updated the Appendix B effective date and table of contents.

Attached as Exhibit II hereto is a clean copy of Appendix B, as amended, and attached as Exhibit 

III is a marked copy of Appendix B showing changes to the prior version.
Mr. Christopher J. Kirkpatrick

April 23, 2021

Page 2

Please contact Brian D. Donnelly, Chief Compliance Officer, at (201) 984-6956 or by email at 

bddonnelly@tullettprebon.com with any questions regarding this matter.

Very truly yours,

tpSEF Inc.

By: __________________________

Name: Brian D. Donnelly

Title: Chief Compliance Officer

Date: April 23, 2021

Enclosures

cc: CFTC Division of Market Oversight (dmosubmissions@cftc.gov)

Nancy Markowitz, CFTC (nmarkowitz@cftc.gov) 
Mr. Christopher J. Kirkpatrick

April 23, 2021

EXHIBIT I

List of Added Products

1. Basis Swaps - USD-BSBY

2. Fixed for Floating Interest Rate Swaps (Uncleared) - USD-BSBY
Mr. Christopher J. Kirkpatrick

April 23, 2021

EXHIBIT II

tpSEF Rulebook – Appendix B (Clean)
tpSEF Inc. Rulebook

Appendix B

tpSEF Inc.

Swap Specifications

Effective April 23, 2021

ACTIVE 246164622
2

TABLE OF CONTENTS

Page

AECO XW6 Options .......................................................................................................................5

Agricultural Options ........................................................................................................................7

Basis Swaps ...................................................................................................................................10

Basis Swaps – CME Cleared .........................................................................................................31

Basis Swaps – LCH Cleared ..........................................................................................................33

BCOM WTI Crude Oil Exotic Options.........................................................................................35

BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions.......................................................................................................................................38

Bullion Options..............................................................................................................................43

CDS – ABX Indices (Broad Based) Contracts..............................................................................47

CDS Index Contract – Emerging Markets Swaps and Swaptions.................................................49

CDS Index Contract – European Crossover 5Y Swaps and Swaptions.........................................51

CDS Index Contract – European HiVol 5Y Swaps and Swaptions...............................................53

CDS Index Contract – European IG 5Y Swaps and Swaptions.....................................................55

CDS Index Contract – European IG 10Y Swaps and Swaptions...................................................57

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions59

CDS Index Contracts – CMBX......................................................................................................62

CDS Index Contracts – iTraxx Australia.......................................................................................64

CDS Index Contracts – iTraxx Japan.............................................................................................66

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade) .....................68

CDS Index Contracts – MCDX Index ...........................................................................................69

Commodity Index Swaps...............................................................................................................71

Deliverable Foreign Exchange Options.........................................................................................76

Equity Index Swaps .......................................................................................................................80
3

Equity Index Variance Swaps........................................................................................................94

Equity Index Volatility Swaps.......................................................................................................97

Fixed for Floating Agricultural Swaptions..................................................................................100

Fixed for Floating Agricultural Swap Contracts..........................................................................104

Fixed for Floating Interest Rate Swaps........................................................................................107

Fixed for Floating Interest Rate Swaptions .................................................................................130

Forward Rate Agreements (Uncleared) .......................................................................................146

Forward Rate Agreements – CME Cleared .................................................................................150

Forward Rate Agreements – LCH Cleared..................................................................................152

iBoxx Index Swaps......................................................................................................................154

Inflation Swaps ............................................................................................................................162

Interest Rate Caps/Floors.............................................................................................................167

Interest Rate Swaps – ASX Cleared ............................................................................................179

Interest Rate Swaps – Eurex Cleared...........................................................................................181

Interest Rate Swaps – JSCC Cleared ...........................................................................................184

IOS Index Contracts.....................................................................................................................186

MBX Index Contracts..................................................................................................................188

Municipal Market Data Rate Lock Transactions.........................................................................190

Natural Gas Date/Instrument Spread Contracts...........................................................................193

Natural Gas – Financial Basis Swap Contracts............................................................................195

Natural Gas – Fixed/Floating Swap Contracts.............................................................................197

Natural Gas – Swing Swap Contracts..........................................................................................198

Non-Deliverable Swaps...............................................................................................................200

Non-Deliverable Foreign Exchange Options...............................................................................209

Non-Deliverable Forward Foreign Exchange Contracts..............................................................213
4

PO Index Contracts......................................................................................................................215

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared ...................................217

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared ...................................219

U.S. Electricity – Fixed/Floating Swap Contracts.......................................................................221

USD Equity Basket Swap (Broad Based)....................................................................................235
AECO XW6 Options

5

AECO XW6 Options

Terms and Conditions

Summary: This covers AECO XW6 Options (“AECO XW6 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which AECO XW6 Options covered 

by this filing may be traded are shown below and in the 

attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”) 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy

ISDA OTC Transaction Type: Swap

ISDA OTC Settlement Type Cash

Terms:

Trade Date: As agreed by the parties.

Commodity: Natural gas

Total Notional Quantity: As agreed by the parties.

Notional Quantity (Daily) As agreed by the parties.

Calculation Period(s): As agreed by the parties.

Option Style: European, American, as agreed by the parties.

Option Type:

Buyer: As specified by the parties.

Seller: As specified by the parties.

Commodity Reference Price: Natural Gas - NGX AB-NIT Month Ahead Index 7A 

(Canadian Dollar/Gigajoule)-Canadian Gas Price 

Reporter

Business Days: As specified by the parties.

Business Day Convention: Following business day

Pricing Date(s): As specified by the parties.

Strike Price: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Automatic Exercise: Applicable

Cash Settlement: Applicable

Settlement Date: As specified by the parties.

Calculation Agent: As specified by the parties.

Settlement Amount: As specified by the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.
AECO XW6 Options

6

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.
Agricultural Options

7

Agricultural Options

Terms and Conditions

Summary: This covers uncleared agricultural options (“Agricultural 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which Agricultural Options may be 

traded are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Commodity: As specified by the parties from among the Available 

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: For an Asian Option, as specified by the parties on a perCalculation-Period Basis.

Calculation Period(s): For an Asian Option, as specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: For an Asian Option, as specified by the parties from 

among the Available Business Day Conventions.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: As specified by the parties from among the Available 

Option Types.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Business Day: As specified by the parties.

Pricing Date(s): As specified by the parties.

Method of Averaging: For Asian Options, as specified by the parties or 

otherwise per the Commodity Definitions.

Strike Price per Unit: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.
Agricultural Options

8

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the 

times on such days specified by the parties.

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Cash Settlement Terms:

Cash Settlement: Applicable

Settlement Dates: As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Calculation Agent: As agreed by the parties.

Agricultural Option Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Agricultural Options Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Agricultural Option Available Option Style

ISDA Name

American

European

Bermuda

Asian
Agricultural Options

9

Agricultural Options Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT

 

1The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.
Basis Swaps

10

Basis Swaps

Terms and Conditions

Summary: This covers basis swaps (“Basis Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap may be traded are 

as specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: None
Basis Swaps

11

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount 1 (“FA1”):

FA1 Payer (“payerPartyReference”): As specified by the parties.

FA1 Currency Amount (“notionalAmount”): As specified by the parties.

FA1 Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

FA1 first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

FA1 Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

FA1 initial Floating Rate: As specified by the parties.

FA1 Floating Rate Option (“floatingRateIndex”): As specified by the parties.

FA1 Designated Maturity (‘indexTenor”): As specified by the parties.

FA1 Linear Interpolation: For the Calculation Periods specified by the parties.

FA1 Shorter Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA1 Longer Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA1 Spread: As specified by the parties.

FA1 Day Count Fraction: As specified by the parties.

FA1 Reset Dates (“resetDate”): As specified by the parties.

FA1 Method of Averaging: As specified by the parties.

FA1 Compounding: As specified by the parties.

FA1 Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

FA1 Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

FA1 Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

FA1 Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA1 Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days

FA1 Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA1 Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.
Basis Swaps

12

FA1 Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount 2 (“FA2”):

FA2 Payer (“payerPartyReference”): As specified by the parties.

FA2 Currency Amount (“notionalAmount”): As specified by the parties.

FA2 Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

FA2 first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

FA2 Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

FA2 initial Floating Rate: As specified by the parties.

FA2 Floating Rate Option (“floatingRateIndex”): As specified by the parties.

FA2 Designated Maturity (“indexTenor”): As specified by the parties.

FA2 Linear Interpolation: For the Calculation Periods specified by the parties.

FA2 Shorter Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA2 Longer Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA2 Spread: As specified by the parties.

FA2 Day Count Fraction: As specified by the parties.

FA2 Reset Dates (“resetDate”): As specified by the parties.

FA2 Method of Averaging: As specified by the parties.

FA2 Compounding: As specified by the parties.

FA2 Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

FA2 Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

FA2 Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

FA2 Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA2 Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

FA2 Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA2 Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

FA2 Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are 

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap. 

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is not 

applicable. 

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

FA1 Payer Initial Exchange Amount: As specified by the parties.
Basis Swaps

13

FA2 Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

FA1 Payer Interim Exchange Amount: As specified by the parties.

FA2 Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

FA1 Payer Final Exchange Amount: As specified by the parties.

FA2 Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller's Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a cross currency Transaction whose 

currencies are listed as a “currency pair” in the Cross 

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.
Basis Swaps

14

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Basis Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

JPY Japanese Yen JPTO

MXN New Mexican Peso MXMC

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO
Basis Swaps

15

Basis Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Basis Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Basis Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN, ZAR Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP, ZAR Plus Zero

Basis Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Basis Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HKD 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

JPY 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 5,000,000 100,000 N/A N/A
Basis Swaps

16

ZAR 5,000,000 100,000 N/A N/A

Basis Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBRAUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

17

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CLP-CLICPBloomberg All quoted tenors N/A A/360 N

CLP-Unidad de 

Fomento (UF/CLF) All quoted tenors N/A A/360 N

CZK-PRIBOR-PRBO All quoted tenors N/A A/360 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2- All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

18

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

DKNA13

DKK-CITADKNA14-

COMPOUND

All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

19

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIAOIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-11:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-12:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

20

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

Swaps-11:00-ICAP

GBP-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-

ICAP

All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBARONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

GBP-WMBASONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap RateAll quoted tenors N/A Per ISDA 2006 N
Basis Swaps

21

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

4:00-BGCANTOR

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap 

Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks)-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBORZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

22

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIEReference Banks All quoted tenors N/A Per ISDA 2006 N

MXN-Unidades de 

Inversión (UDI) N/A N/A See below N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

PLN-WIBOR_WIBO All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

23

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAPCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA 

Municipal Swap 

Index

All quoted tenors N/A Per ISDA 2006 N

USD-BSBY All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

24

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-

FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsSOFR All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-

Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-

Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-

LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY- All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

25

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

ICAP

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-PrimeReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P IndexHigh Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap 

Index

All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006

No

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF) For any Reset Date, the difference between the value of the unidad de 
Basis Swaps

26

fomento (UF/CLF) as certified by the Chilean Banco Central de Chile

for the calendar day preceding such Reset Date and the value of the 

unidad de fomento (UF/CLF) as certified by the Chilean Banco Central 

de Chile for such Reset Date.

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

payable by reference to the CLP-Unidad de Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad de 

fomento (UF/CLF) as certified by the Chilean Banco Central de Chile, 

the Calculation Agent shall determine the CLP-Unidad de Fomento 

(UF/CLF) for such day.

Definition of MXN-Unidades de Inversión (UDI)

MXN-Unidades de Inversión (UDI) For any Reset Date, the difference between the value of the unidad de 

inversión (UDI) as published by the Mexican Banco de México for the 

calendar day preceding such Reset Date and the value of the unidad de 

inversión (UDI) as published by the Mexican Banco de México for 

such Reset Date.

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

payable by reference to the CLP MXN-Unidades de Inversión (UDI).

If for any Reset Date there is no published value of the MXNUnidades de Inversión (UDI) as certified by the Mexican Banco de 

México, the Calculation Agent shall determine the CLP MXNUnidades de Inversión (UDI) for such day.

Basis Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix Applicable (to Mark-to-Market 

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day Following
Basis Swaps

27

Convention:

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Definition of USD-SOFR-COMPOUND

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006.

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the 

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it 

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as 

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the 

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which 

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is 

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of OBFR 

has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be permanently 

or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or other official 

sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to, Swap 

Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period occurring on 

or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR 

were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if 

necessary, in accordance with the method set forth in Section 8.1(a):

[∏(1+

SOFRi × ni

360 )

do

i=1

-1] ×

360

d

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the 

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities 

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in the 

relevant Calculation Period;

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New 

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of 

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day 
Basis Swaps

28

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities 

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a 

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as 

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was published 

on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi; 

“d” is the number of calendar days in the relevant Calculation Period;

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following 

events:

(a) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR) 

announcing that it has ceased or will cease to provide SOFR permanently or indefinitely, provided that, at that 

time, there is no successor administrator that will continue to provide SOFR; 

(b) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a 

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely, 

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(c) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to, but 

need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor 

administrator of SOFR) ceases to publish SOFR or the date as of which SOFR may no longer be used; and

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York, 

as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and published 

on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single rate, the midpoint of the short-term interest rate target range set by the Federal Open Markets Committee and published on the 

Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target range and the lower 

bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at 

http://www.federalreserve.gov, or any Successor Source.

Basis Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date Following
Basis Swaps

29

Business Day Convention:

Mandatory Early Termination Date 

Business Day Convention:

Modified Following

Basis Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Basis Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement 

Matrix:

Applicable, if cross currency swap 

with currency pair included in 

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but one Valuation 

Business Day before 

Mandatory/Optional Early 

Termination Date for MXN and 

same day for CAD, GBP or DKK 

with Floating Rate Option of “DKKCIBOR-DKNA13” or “DKKCIBOR-DKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 
Basis Swaps

30

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Basis Swaps – CME Cleared

31

Basis Swaps – CME Cleared

Terms and Conditions

Summary: This covers single-currency floating-for-floating 

(“basis”) swaps cleared by Chicago Mercantile 

Exchange Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap/CME Cleared may 

be traded are as specified in these terms and conditions 

and which incorporate the CME Rulebook, in particular 

Chapters 900 and 901 (and any successor provisions) 

and the CME Cleared IRS Product Scope (or any 

successor).

By electing to trade a Basis Swap/CME Cleared, 

participants are representing that they are familiar 

with the CME Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Basis

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 
Basis Swaps – CME Cleared

32

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook.

Floating Rate Payer 1 Floating Rate Payer Payment 

Dates:

As per the CME Rulebook.

Floating Rate Payer 1 Floating Amount: As per the CME Rulebook.

Floating Rate Payer 1 Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Floating Rate Payer 1 Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 1 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Floating Rate Payer 1 Reset Dates: As the per CME Rulebook.

Floating Rate Payer 1 Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate Payer 1 Compounding: As per the CME Rulebook.

Floating Rate Payer 1 Averaging Method: As per the CME Rulebook.

Floating Rate Payer 1 Initial Floating Rate: As per the CME Rulebook.

Floating Rate Payer 2 Floating Rate Payer Payment 

Dates:

As per the CME Rulebook.

Floating Rate Payer 2 Floating Amount: As per the CME Rulebook.

Floating Rate Payer 2 Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Floating Rate Payer 2 Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 2 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Floating Rate Payer 2 Reset Dates: As the per CME Rulebook.

Floating Rate Payer 2 Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate Payer 2 Compounding: As per the CME Rulebook.

Floating Rate Payer 2 Averaging Method As per the CME Rulebook.

Floating Rate Payer 2 Initial Floating Rate As per the CME Rulebook.

Floating Rate 1 Floating Rate Payer: As determined by the parties.

Floating Rate 2 Floating Rate Payer As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitation in the 

CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitation in the 

CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitation in the 

CME Rulebook.
Basis Swaps – LCH Cleared

33

Basis Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single-currency floating-for-floating 

(“basis”) cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap/LCH Cleared may 

be traded are as specified in these terms and conditions 

and which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions).

By electing to trade a Basis Swap/LCH Cleared, 

participants are representing that they are familiar 

with the LCH Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. Be aware that the timing 

of effectiveness of amendments or supplements to the 

ISDA standards may vary between bilateral and 

LCH contracts, since the LCH may reserve the right 

to select when and how such changes become 

effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook, which may limit the earliest or latest 

day on which such fees may be paid based on Currency 

or other factors.

Business Days: As per the LCH Rulebook, which may require certain 
Basis Swaps – LCH Cleared

34

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH 

Rulebook.

Floating Rate Payer 1: As determined by the parties.

Floating Rate Payer 1 Payment Dates: As per the LCH Rulebook.

Floating Rate Payer 1 Compounding Dates: As per the LCH Rulebook.

Floating Rate Payer 1 Floating Rate Option: As determined by the parties, subject to LCH Rulebook, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Floating Rate Payer 1 Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 1 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Floating Rate Payer 1 Reset Dates: As the per LCH Rulebook.

Floating Rate Payer 1 Floating Rate Daycount Fraction: As per the LCH Rulebook.

Floating Rate Payer 2: As determined by the parties.

Floating Rate Payer 2 Payment Dates: As per the LCH Rulebook.

Floating Rate Payer 2 Compounding Dates: As per the LCH Rulebook.

Floating Rate Payer 2 Floating Rate Option: As determined by the parties, subject to LCH Rulebook, 

which may provide a more limited list of available 

options than are available for a Currency than does the 

Definition Set.

Floating Rate Payer 2 Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 2 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Floating Rate Payer 2 Reset Dates: As the per LCH Rulebook.

Floating Rate Payer 2 Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
BCOM WTI Crude Oil Exotic Options

35

BCOM WTI Crude Oil Exotic Options

Terms and Conditions

Summary: This covers uncleared BCOM WTI Crude Oil Exotic 

Options (“Exotic Options”).

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”); 

(b) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, 

including the 2005 Barrier Option Supplement to the 

1998 FX and Currency Option Definitions (the “1998 

Definitions”); and

(c) ISDA OTC Taxonomies. 

Limitations on Available Selections and Default 

Settings:

Each Exotic Option traded is bespoke and the terms 

agreed between the Buyer and Seller. All option 

strategies result in call options and/or put options 

executed with the following strategies traded as agreed 

between the parties:

Knockout, Double Knockout, Knockin, One Touch, No 

Touch, Double One Touch, Double No Touch

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy 

ISDA OTC Sub-Product(s): Oil

Further Limitations: Exotic

Terms:

Trade Date: The date the transaction is agreed to between the 

parties and becomes legally binding on the parties

Commodity: As specified by the parties from among the Available 

Commodities.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: As specified by the parties from among the Available 

Option Types.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.
BCOM WTI Crude Oil Exotic Options

36

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Pricing Date(s): As specified by the parties.

Strike Price: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parities.

Latest Exercise Time: As specified by the parties. 

Automatic Exercise: As specified by the parties.

Business Days for Exercise Date: For American Options, as specified by the parties.

Cash Settlement: Applicable

Settlement Dates: As specified by the parties from among the Available 

Business Day Convention.

Calculation Agent: As agreed by the parties.

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier Event: As specified by the parties.

Calculation Agent: As specified by the parties.

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Exotic Option Available Option Type

Knockout

Double Knockout

Knockin

One Touch

No Touch

Double One Touch

Double No Touch

Exotic Option Available Option Style

Style Description Default

American Can be exercised on any Exercise 

Business Day from and including 

the Commencement Date to and 

Yes
BCOM WTI Crude Oil Exotic Options

37

including the Expiration Date.

European Can be exercised only on the 

Expiration Date.

No

Exotic Option Available Commodity Reference Prices

Abbr Name

BCOMCL BCOM WTI Crude Oil ER

BCOMCLC BCOM WTI Crude Oil Capped ER
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

38

BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

Terms and Conditions

Summary: This covers BRL CDI Deliverable and Non-Deliverable 

Interest Rate Swap Contracts and Physically-Settled 

Swaptions Thereon (the “Contracts”). 

Non-Deliverable Contracts are paid in USD, and 

Deliverable Contracts are paid in BRL.

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

(d) the Recommended EMTA-ISDA Market Practice for 

BRL CDI Non-Deliverable Interest Rate Swap 

Transactions (Amended March 13, 2009) (“BRL CDI 

Best Practices”)

(e) the EMTA BRL/USD NDF Template dated May 17, 

2006 (the “NDF Template”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.
BCOM WTI Crude Oil Exotic Options

39

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Days: In the case of a Non-Deliverable Contract, USNY and 

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only.

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties.

Termination Date Business Day Convention: Following

Fx Factor: In the case of a Non-Deliverable Contract, rate 

determined in accordance with the NDF Template, 

treating the Business Day preceding the day of 

calculation of the relevant Fixed Amount or Floating 

Amount as the “Valuation Date” thereunder. (Under the 

NDF Template, this will result in use of the BRL PTAX 

(BRL09) rate in the first instance.)

In the case of a Deliverable Contract, 1.0.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): The Trade Date Present Value Notional Amount 

specified by the parties.

If the parties do not specify a Notional Amount or a 

Trade Date Present Value Notional Amount but specify 

a Termination Date Future Value Notional Amount, then 

the Notional Amount will be the Trade Date present 

value of the Termination Date Future Value Notional 

Amount discounted at the Fixed Rate.

Future Value Notional Amount: An amount in BRL as specified by the parties (or 

determined based on the Trade Date Present Value 

Notional Amount specified by them), subject to the 

Minimum Notional Amount and Increment specified 

below.

Trade Date Present Value Notional Amount: An amount in BRL as specified by the parties; such 

amount shall be subject to the Minimum Notional 

Amount and Increment implied by the Future Value 

Notional Amount.

Fixed Rate: As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal:

FX Factor × Notional Amount × (1 +Fixed Rate)

Calculation Days

252 ⁄

Calculation Days: As defined in the BRL CDI Best Practices.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date.

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): Same as the Fixed Rate Payer Payment Amount.

Floating Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 
BCOM WTI Crude Oil Exotic Options

40

equal:

Notional Amount × Floating Rate

Payment Dates (“unadjustedPaymentDate”): The Termination Date.

Floating Rate: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

FX Factor ×∏(1 + Relevant Ratej)

1

252 ⁄

N

j=1

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset 

Date

Relevant Rate: CDI-Rate (as defined in the attachment).

Designated Maturity (‘indexTenor”): As specified by the parties from among the available 

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI 

Best Practices).

Reset Dates Business Days: As specified by the parties from among the Available 

BR Business Days.

Floating Rate Payment Dates: The Termination Date.

Calculation Agent: As agreed by the parties.

Swaption Terms:

Option Style: European

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller’s Agent: As specified by the parties.

Premium: In the case of a Non-Deliverable Contract, an amount in 

USD specified by the parties.

In the case of a Deliverable Contract, an amount in USD 

specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Dates: Following

Business Days for Payments: In the case of a Non-Deliverable Contract, USNY and 

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only.

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties.

Exercise Business Days: As specified by the parties from among the BR Business 

Days.

Swaption Procedure for Exercise:

General: The parties may enter into swaptions with respect to 

which a BRL CDI Swap is the Underlying Swap 

Transaction.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Partial Exercise: As specified by the parties.

Minimum Notional Amount: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.
BCOM WTI Crude Oil Exotic Options

41

Maximum Notional Amount: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.

Integral Multiple: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is 

applicable.

Fallback Exercise: As specified by the parties (if required).

Swaption Settlement Terms:

Physical Settlement: Applicable

BRL CDI Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

BRL Brazilian Reai Any of BR{SP, RJ, BR} and not 

otherwise declared a financial 

market holiday by the BM&F

BRL CDI Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

BRL CDI Floating Rate Options

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de 

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). If the BM&F 

does not publish such a rate for such date, CDI for the relevant 

Reset Date shall be determined jointly by the parties. If the 

parties do not agree on a determination of such rate within one 

Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. If CDI for a Reset Date is not so determined 

by a CDI Reference Dealer Poll, BRL-CDI-Reference Dealers 

shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 
BCOM WTI Crude Oil Exotic Options

42

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. If at least four such quotations 

are obtained from CDI Reference Dealers in any such poll, the 

highest and lowest quotations will be disregarded and CDI for 

the relevant Reset Date will equal the arithmetic mean of the 

remaining quotations. If fewer than four such quotations are 

obtained from a poll, the Calculation Agent shall conduct 

additional such polls until four such quotations are obtained in 

any poll; provided that the Calculation Agent shall not conduct 

more than four polls in the aggregate (with not more than two 

polls on any day and with such polls conducted over not more 

than two Brazil Business Days). If four quotations are not 

obtained from any of such four polls, CDI shall CDI shall not be 

determined by a CDI Reference Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

BRL CDI Notionals

Currency Minimum 

(expressed as 

Termination Date 

Future Value 

Notional Amount)

Increment

(expressed as 

Termination Date 

Future Value 

Notional Amount)

Maximum Default

BRL (Termination 

Date Future Value 

Notional Amount)

BRL 5,000,000 BRL 5,000,000 N/A N/A

BRL (Trade Date 

Present Value 

Notional Amount)

As implied by Termination Date Future Value Notional Amount

USD As implied by BRL Termination Date Future Value Notional Amount
Bullion Options

43

Bullion Options

Terms and Conditions

Summary: This covers uncleared bullion options (“Bullion 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which Bullion Options may be traded 

are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2000 ISDA Definitions

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”), including Sub-Annex B 

thereto.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Metals

ISDA OTC Sub-Product: Precious

ISDA OTC Transaction type: Option

ISDA OTC Settlement type: Cash or Physical

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Bullion: As specified by the parties from among the Available 

Bullion.

Number of Ounces: As specified by the parties. For any type of Bullion, the 

meaning of “Ounce” will be as specified for that Bullion 

in the list of Available Bullion unless otherwise agreed 

by the parties.

Bullion Option Style: As specified by the parties from among the Available 

Bullion Option Styles.

Bullion Option Type: As specified by the parties from among the Available 

Bullion Option Types.

Bullion Option Seller: As specified by the parties.

Bullion Option Buyer: As specified by the parties.

Bullion Strike Price: As specified by the parties as a number of units of the 

one of the Available Currencies.

Bullion Premium: As specified by the parties as a number of units of the 

one of the Available Currencies.

Bullion Premium Payment Date: As specified by the parties.

Bullion Premium Payment Date Business Days Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Bullion Premium Payment Date Business Day 

Convention:

As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.

Bullion Business Day: Shall have the meaning specified in the Commodity 

Definitions, save that the reference to “New York” 

therein shall be deemed to be a reference to the relevant 

financial center for the Applicable Currency in which the 

Bullion Strike Price is denominated.

Method of Averaging: For Asian Options, as specified by the parties or 

otherwise per the Commodity Definitions.

Procedure for Exercise:
Bullion Options

44

Bullion Exercise Period: For an American Style Bullion Option, the period of 

days and the times on such days specified by the parties.

For any other Bullion Option Style, the times on the 

Expiration Date or Potential Exercise Date specified by 

the parties.

Bullion Potential Exercise Dates: For a Bermuda Style Bullion Option, the days specified 

by the parties.

Bullion Expiration Date: As specified by the parties.

Bullion Expiration Time: For a European Style Bullion Option, as specified by the 

parties.

Bullion Settlement Date: In accordance with Section 10.4(b)(xvii) of the 

Commodity Definitions, unless specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

In-the-Moniness for Automatic Exercise: In the case of a Bullion Option for which Automatic 

Exercise is, or is deemed to be, applicable, and to which 

Settlement by Delivery is applicable, one percent of the 

Bullion Strike Price (as specified in Section 

10.4(c)(ii)(B)(x) of the Commodity Definitions) or such 

other amount as specified by the parties.

Price Source for Automatic Exercise: In the case of a Bullion Option for which Automatic 

Exercise is, or is deemed to be, applicable, and to which 

Settlement by Delivery is applicable, the Seller’s bid or 

offer price (as specified in Section 10.4(c)(ii)(B) of the 

Commodity Definitions) unless otherwise specified by 

the parties.

Written Confirmation: As specified by the parties.

Settlement: As specified by the parties from among the Available 

Settlement Types; provided, however, that Cash 

Settlement will only be available for Available 

Currencies for which it is specified as such.

Additional Provisions for Tax: None, unless specified by the parties in accordance with 

Section 10.11 of the Commodity Definitions.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Provisions Relating to Cash Settlement:

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Price.

Bullion Transaction Settlement Date: As specified by the parties.

Provisions Relating to Settlement by Delivery:

Delivery Location: Per the Delivery Loco specified in the Available Bullion 

below.

Consequences of Bullion Settlement Disruption Events: Cancellation and Payment unless the parties agree that 

Negotiation is applicable.

Miscellaneous:

Discharge and Termination: Section 10.4(c)(iv) of the Commodity Definitions will 

apply if specified by the parties, unless the Bullion 

Option Transaction is an Allocated Transaction. 
Bullion Options

45

Novation Netting: For Bullion Options subject to Settlement by Delivery 

and is not an Allocated Transaction, as agreed by the 

parties on a “Type of Obligation” or “Matched Pair” 

basis.

Calculation Agent: As agreed by the parties.

Bullion Option Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day 

Locations For Currency 

(FpML Codes)

Available Settlement 

Type

AUD Australian Dollar AUSY Physical Only

CHF Swiss Franc CHZU Physical Only

EUR Euro EUTA Cash or Physical

GBP Sterling GBLO Cash or Physical

JPY Japanese Yen JATO Physical Only

USD United States Dollars USNY Cash or Physical

Bullion Options Available Bullion Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Bullion Option Available Bullion Option Style

ISDA Name

American

European

Bermuda

Bullion Option Available Bullion Option Type

ISDA Name

Bullion Put Option

Bullion Call Option

Bermuda

Bullion Options Available Bullion

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

Metal Ounce Delivery Loco/Rules

Gold Fine troy ounce London/LBMA

Palladium Troy ounce Zurich/LPPM or London/LPPM

Platinum Troy ounce Zurich/LPPM or London/LPPM

Silver Troy ounce London/LBMA

ISDA Definition

GOLD-A.M. FIX

GOLD-P.M. FIX

PALLADIUM-A.M. FIX
Bullion Options

46

For any Available Currency other than USD and any Bullion Option to which Cash Settlement is applicable, the 

Commodity Reference Price shall be per Sub-Annex A, save that the reference to U.S. Dollars shall be replaced by a 

reference to the relevant Available Currency.

PALLADIUM-P.M. FIX

PLATINUM-A.M. FIX

PLATINUM-P.M. FIX

SILVER-FIX
CDS – ABX Indices (Broad Based) Contracts

47

CDS – ABX Indices (Broad Based) Contracts

Terms and Conditions

Summary: This covers credit default swaps on broad-based ABX 

indices (“CDS – ABX Indices (Broad Based) 

Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which CDS – ABX Indices (Broad 

Based) Contracts may be traded are shown below or in 

the attached table(s) or the Relevant Annexes 

promulgated by the index sponsor and referenced below 

or in the attached table(s), as such Relevant Annexes 

may be amended from time to time by the Index 

Sponsor.

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2003 ISDA Credit Derivatives Definitions, as 

published by the International Swaps and Derivatives 

Association, Inc. (the “Credit Derivatives Definitions”), 

NOT including supplements thereto; and

(b) the ABX Transactions Standard Terms Supplement, 

as published by CDS IndexCo LLC on July 19, 2006 

(the “ABX Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: ABX

ISDA OTC Transaction type: ABX.HE

Further Limitations: None

Terms:

Index: The ABX Index selected by the parties from among the 

Available ABX Indices.

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

Annex Date: As specified for the applicable Index on the list of 

Available ABX Indices.

Trade Date: As agreed by the parties.

Effective Date: The Trade Date (unless otherwise specified by the 

parties).

Scheduled Termination Date: The “Legal Final Maturity Date of the Index” specified 

in the Relevant Annex.

Floating Rate Payer: As specified by the parties.

Fixed Rate Payer: As specified by the parties.

Aggregate Floating Rate Payer Calculation Amount: An amount is USD specified by the parties.

Fixed Rate: A number of basis points equal to the “Applicable 

Coupon” as specified for the applicable Index on the 

Relevant Annex.

Initial Payment Payer: As selected by the parties.

Initial Payment Amount: As specified by the parties. Notwithstanding anything to 
CDS – ABX Indices (Broad Based) Contracts

48

the contrary contained in the ABX Standard Terms, the 

Initial Payment Amount shall be paid by the Initial 

Payment Payer on the date that is three Business Days 

following the Trade Date, unless otherwise specified by 

the parties.

Available ABX Indices for CDS - ABX Indices (Broad Based) Contracts

Index Relevant Annex

ABX.HE.A.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.A.06-1.pdf

ABX.HE.AA.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AA.06-1.pdf

ABX.HE.AAA.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.06-1.pdf

ABX.HE.AA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AA.06-2.pdf

ABX.HE.AAA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.06-2.pdf

ABX.HE.AAA.07-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.07-1.pdf

ABX.HE.AAA.07-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.07-2.pdf

ABX.HE.PENAAA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.06-2.pdf

ABX.HE.PENAAA.07-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.07-1.pdf

ABX.HE.PENAAA.07-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.07-2.pdf

NO ABX INDEX WILL BE TRADED ON THE SEF ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.
CDS Index Contract – Emerging Markets Swaps and Swaptions

49

CDS Index Contract – Emerging Markets Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – Emerging Markets 

Swaps and Swaptions” contracts – i.e., an agreement to 

buy or sell protection on a broad-based basket of 

emerging markets sovereign entities.

Index: CDX.EM: Series 12 through current, so long as such 

Index is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 500 

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by the parties, subject to Applicable Law.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

Auction Settlement Supplement (i.e., the Big Bang and 

Little Bang Protocols). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 
CDS Index Contract – Emerging Markets Swaps and Swaptions

50

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European Crossover 5Y Swaps and Swaptions

51

CDS Index Contract – European Crossover 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European Crossover 

5Y Swaps and Swaptions”. The European Crossover 

index comprises 50 equally weighted credit default 

swaps on the most liquid sub-investment grade European 

corporate entities.

Index: ITRAXX.EUROPE CROSSOVER: Series 10 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of 500 

bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the 

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.
CDS Index Contract – European Crossover 5Y Swaps and Swaptions

52

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European HiVol 5Y Swaps and Swaptions

53

CDS Index Contract – European HiVol 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European HiVol 5Y 

Swaps and Swaptions” – i.e., an agreement to buy or sell 

protection on a basket comprised of 30 equally weighted 

credit default swaps on the widest spread non-financial 

European corporate entities.

Index: ITRAXX.EUROPE HIVOL: Series 10 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF 

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the 

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.
CDS Index Contract – European HiVol 5Y Swaps and Swaptions

54

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European IG 5Y Swaps and Swaptions

55

CDS Index Contract – European IG 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European IG 5Y 

Swaps and Swaptions” – i.e., an agreement to buy or sell 

protection on a basket of liquid European based entities 

with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 10 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF 

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the 

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.
CDS Index Contract – European IG 5Y Swaps and Swaptions

56

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European IG 10Y Swaps and Swaptions

57

CDS Index Contract – European IG 10Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European IG 10Y 

Swaps and Swaptions” – i.e., an agreement to buy or sell 

protection on a basket of liquid European based entities 

with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 7 to current.

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: 10Y

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF 

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the 

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – European IG 10Y Swaps and Swaptions

58

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades 

will convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is 

the SEFs understanding that the DCOs will be 

converting all trades to the 2014 definitions, with 

individual component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

59

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

Terms and Conditions

Contract Overview: An agreement to buy or sell protection on a basket of 

liquid North America based entities with a high yield 

credit rating (CDX.NA.HY, CDX.NA.HY.B and 

CDX.NA.HY.BB) or an investment grade credit rating 

(CDX.NA.IG).

Index: CDX.NA.HY: Series 8 to current.

CDX.NA.HY.B: Series 8 to current.

CDX.NA.HY.BB: Series 8 to current.

CDX.NA.IG: Series 8 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include Bankruptcy, Failure to Pay and 

Restructuring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

High Yield indices such as the CDX.NA.HY are traded 

on price.

Investment Grade indices such as the CDX.NA.IG are 

traded on spread.

Swap Conventions: For CDX.NA.HY, CDX.NA.HY.B and 

CDX.NA.HY.BB, fixed coupon payments are calculated 

at a spread of 500 bps and exchanged on a quarterly 

basis.

For CDX.NA.IG, fixed coupon payments are calculated 

at a spread of 100 bps and exchanged on a quarterly 

basis.

Swap Tenor: 3Y, 5Y, 7Y and 10Y or as otherwise agreed by the 

parties.

Tranching: Transactions may have only one tranche, where all 

losses are allocated to the protection seller, starting with 

the first dollar of loss and ending only when the entire 

notional of the transaction has been exhausted or the 

Transaction itself expires.

Transactions may also be tranched in a way in which 

losses are allocated to the protection seller only after a 

certain amount of losses have occurred on the Index (the 

“attachment point”) and cease being allocated to the 

protection seller after a certain additional amount of 

losses have occurred on the Index (the “detachment 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

60

point”).

In the case of tranched transactions in the CDX.NA.HY, 

CDX.NA.HY.B or CDX.NA.HY.BB, the tranches 

include:

Attachment Point Detachment Point

0 10%

0 15%

10% 15%

15% 25%

25% 35%

35% 100%

In the case of tranched transactions in the CDX.NA.IG, 

the tranches include:

Attachment Point Detachment Point

0 3%

3% 7%

7% 10%

7% 15%

10% 15%

15% 30%

15% 100%

In addition to the customary tranches enumerated above, 

the parties may agree to custom attachment and 

detachment points.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the SEF: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the relevant 

ISDA Definitions (see below). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront fee payment - The upfront fee is a portion of the 

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

61

to the seller.

Swaptions on the Above

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

each of the CDX.NA.HY, CDX.NA.HY.B, 

CDX.NA.HY.BB and CDX.NA.IG on the terms 

described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

Tranching: Swaptions may be written on tranched or untranched 

transactions.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions)

2014/2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: IHS Markit Ltd, which sponsors the Index, has 

published information on treatment of both legacy and 

future indices.

The parties should consult IHS Markit Ltd’s 

documentation to determine the exact treatment. It is the 

SEF’s understanding that, in general, all CDS index 

trades will convert to the 2014 Definitions, with 

individual components being excluded if they would be 

impacted by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contracts – CMBX

62

CDS Index Contracts – CMBX

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “CMBX Indices” (“CDS Index Contracts –

CMBX”). The terms under which CDS Index Contracts 

– CMBX may be traded are shown below.

Contract Overview: An agreement to buy or sell protection on one of the IHS 

Markit Ltd CMBX Indices listed under the heading 

“Index” immediately below. Each such index is 

composed of twenty-five (25) equally-weighted 

reference obligations that are tranches of commercial 

mortgage-backed securities offerings that meet the 

relevant eligibility criteria published by IHS Markit Ltd 

from time to time.

Index: CMBX.NA.AAA: Series 6 to current.

CMBX.NA.AS: Series 6 to current.

CMBX.NA.AA: Series 6 to current.

CMBX.NA.A: Series 6 to current.

CMBX.NA.BBB-: Series 6 to current.

CMBX.NA.BB: Series 6 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller and receives a payment from the 

seller of protection in the case of a credit event 

occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer and 

makes a payment to the buyer of protection in the case of 

a credit event occurring. The Seller owns the credit risk 

of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at the applicable 

spread specified below:

• CMBX.NA.AAA: 50 bps 

• CMBX.NA.AS: 100 bps

• CMBX.NA.AA: 150 bps

• CMBX.NA.A: 200 bps

• CMBX.NA.BBB-: 300 bps

• CMBX.NA.BB: 500 bps

Fixed coupon payments are exchanged on a monthly

basis.
CDS Index Contracts – CMBX

63

Swap Tenor: As agreed by counterparties, subject to applicable law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc. 

Such payments are paid by the protection seller to the 

protection buyer.

Fixed Monthly Cash Payments: Reflected in basis points 

and paid by the protection buyer to the protection seller.

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – iTraxx Australia

64

CDS Index Contracts – iTraxx Australia

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “iTraxx® Australia Index” (“CDS Index 

Contracts – iTraxx Australia”). The terms under which 

CDS Index Contracts – iTraxx Australia may be traded 

are shown below.

Contract Overview: An agreement to buy or sell protection on an index 

composed of twenty five (25) liquid Australian entities 

with investment grade credit ratings that trade in the 

CDS market or have significant domestic bond issuance

as published by IHS Markit Ltd. from time to time.

Index: iTraxx® Australia Index: Series 30 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by counterparties, subject to Applicable Law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.
CDS Index Contracts – iTraxx Australia

65

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – iTraxx Japan

66

CDS Index Contracts – iTraxx Japan

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “Markit iTraxx® Japan Index” (“CDS Index 

Contracts – iTraxx Japan”). The terms under which CDS 

Index Contracts – iTraxx Japan may be traded are shown 

below.

Contract Overview: An agreement to buy or sell protection on an index 

composed of forty (40) Japanese entities with investment 

grade credit ratings that trade in the CDS market as 

published by IHS Markit Ltd. from time to time.

Index: Markit iTraxx® Japan Index: Series 30 to current.

Currency: JPY

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by counterparties, subject to Applicable Law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.

Upfront Fee Payment: The upfront fee is a portion of the 
CDS Index Contracts – iTraxx Japan

67

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade)

68

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade)

Terms and Conditions

Summary: This covers “CDS Index Contracts – ITRXAEJ.IG 

(iTraxx® Asia ex-Japan Investment Grade)” – i.e., an 

agreement to buy or sell protection on a broad-based 

basket of investment grade Asian corporate and 

sovereign/agency issuers (excluding Japanese issuers).

Index: ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment 

Grade): Series 14 through current, so long as such Index 

is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by the parties, subject to Applicable Law.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2003 

ISDA Credit Derivatives Definitions, as modified by the 

2009 ISDA Credit Derivatives Determination 

Committees and Auction Settlement Supplement (i.e., 

the Big Bang and Little Bang Protocols) and the ISDA 

2014 Credit Derivatives Protocol (for Series 21 and 

prior) and the ISDA 2014 Definitions (for Series 22 and 

later).

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.
CDS Index Contracts – MCDX Index

69

CDS Index Contracts – MCDX Index

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s MCDX Index (“CDS Index Contracts –

MCDX Index”). The terms under which CDS Index 

Contracts – MCDX Index may be traded are shown 

below.

Contract Overview: Until October 2018, an agreement to buy or sell 

protection on a broad-based index composed of fifty (50)

municipal credits.

Beginning with MCDX.NA Series 31 in October 2018, 

an agreement to buy or sell protection on a broad-based 

index composed of twenty (20) municipal credits.

Index: MCDX: all series

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include “Bankruptcy” and “Failure to 

Pay.”

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

MCDX indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps coupon and exchanged on a quarterly basis at 75% 

recovery.

Swap Tenor: 3 years, 5 years, 10 years

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades
CDS Index Contracts – MCDX Index

70

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2003 ISDA 

Credit Derivatives Definitions, as modified by the 2009 

ISDA Credit Derivatives Determinations Committees 

and Auction Settlement Supplement thereto.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the 

seller.
Commodity Index Swaps

71

Commodity Index Swaps

Terms and Conditions

Summary: This covers commodity index swaps (each, a 

“Commodity Index Swap”).

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Index

ISDA OTC Transaction type: Swap

ISDA OTC Settlement type: Cash

Terms:

Trade Date: The date on which the contract is entered into.

Effective Date: As specified by the parties.

Termination Date: As specified by the parties.

Commodity: The index specified by the parties from among the 

indices listed in the table below titled “Commodity Index 

Swap Available Indices.”

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties.

Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties, expressed as a rate or overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Floating Price: In relation to each Calculation Period, the level of the 

specified Available Commodity Index at the end of the 

such Calculation Period less the level of the specified 

Available Commodity Index at the start of the such 

Calculation Period, the result of which is divided by the 

level of the specified Available Commodity Index at the 

start of the such Calculation Period.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.
Commodity Index Swaps

72

Minimum and Incremental Price: The minimum price is $10,000,000 and the minimum 

incremental price is $1,000,000.

Calculation Agent: As agreed by the parties.

Commodity Index Swap Available Commodity Indices

Abbr Name

BCOM BCOM ER

BCOMF1 BCOM F1 ER

BCOMF2 BCOM F2 ER

BCOMF3 BCOM F3 ER

BCOMF4 BCOM F4 ER

BCOMF5 BCOM F5 ER

BCOMF6 BCOM F6 ER

BCOMAG BCOM Agriculture ER

BCOMEN BCOM Energy ER

BCOMGR BCOM Grains ER

BCOMIN BCOM Industrial Metals ER

BCOMLI BCOM Livestock ER

BCOMPE BCOM Petroleum ER

BCOMPR BCOM Precious Metals ER

BCOMSO BCOM Softs ER

BCOMXAG BCOM ex-Agriculture ER

BCOMXAL BCOM ex-Agriculture and Livestock ER

BCOMXE BCOM ex-Energy ER

BCOMXGR BCOM ex-Grains ER

BCOMXIM BCOM ex-Industrial Metals ER

BCOMXLI BCOM ex-Livestock ER

BCOMXPE BCOM ex-Petroleum ER

BCOMXPM BCOM ex-Precious Metals ER

BCOMXSO BCOM ex-Softs ER

BCOMAL BCOM Aluminum ER

BCOMCO BCOM Brent Crude ER

BCOMCC BCOM Cocoa ER

BCOMKC BCOM Coffee ER

BCOMHG BCOM Copper ER

BCOMCN BCOM Corn ER

BCOMCT BCOM Cotton ER

BCOMFC BCOM Feeder Cattle ER

BCOMGO BCOM Gas Oil ER

BCOMGC BCOM Gold ER

BCOMHO BCOM Heating Oil ER

BCOMPB BCOM Lead ER

BCOMLH BCOM Lean Hogs ER

BCOMLC BCOM Live Cattle ER
Commodity Index Swaps

73

Abbr Name

BCOMNG BCOM Natural Gas ER

BCOMNI BCOM Nickel ER

BCOMOJ BCOM Orange Juice ER

BCOMPA BCOM Palladium ER

BCOMPL BCOM Platinum ER

BCOMSI BCOM Silver ER

BCOMSM BCOM Soybean Meal ER

BCOMSM1 Bloomberg Soybean Meal Subindex 1 Month Forward

BCOMBO BCOM Soybean Oil ER

BCOMSY BCOM Soybeans ER

BCOMSB BCOM Sugar ER

BCOMSN BCOM Tin ER

BCOMRB BCOM Unleaded Gas ER

BCOMWH BCOM Wheat ER

BCOMKW BCOM Kansas Wheat ER

BCOMCL BCOM WTI Crude Oil ER

BCOMZS BCOM Zinc ER

BCOMAU BCOM AUD ER

BCOMEU BCOM EUR ER

BCOMGB BCOM GBP ER

BCOMCH BCOM CHF ER

BCOMJY BCOM JPY ER

BCOMALC BCOM Aluminum Capped ER

BCOMKCC BCOM Coffee Capped ER

BCOMHGC BCOM Copper Capped ER

BCOMCLC BCOM WTI Crude Oil Capped ER

BCOMCNC BCOM Corn Capped ER

BCOMLCC BCOM Cattle Capped ER

BCOMCTC BCOM Cotton Capped ER

BCOMGCC BCOM Gold Capped ER

BCOMLHC BCOM Lean Hogs Capped ER

BCOMHOC BCOM Heating Oil Capped ER

BCOMKWC BCOM Kansas Wheat Capped ER

BCOMCOC BCOM Brent Crude Capped ER

BCOMNGC BCOM Natural Gas Capped ER

BCOMNIC BCOM Nickel Capped ER

BCOMSYC BCOM Soybeans Capped ER

BCOMBOC BCOM Soybean Oil Capped ER

BCOMSIC BCOM Silver Capped ER

BCOMSBC BCOM Sugar Capped ER

BCOMSMC BCOM Soybean Meal Capped ER

BCOMRBC BCOM Unleaded Gas Capped ER
Commodity Index Swaps

74

Abbr Name

BCOMWHC BCOM Wheat Capped ER

BCOMZSC BCOM Zinc Capped ER

BCOMTR BCOM TR

BCOMF1T BCOM F1 TR

BCOMF2T BCOM F2 TR

BCOMF3T BCOM F3 TR

BCOMF4T BCOM F4 TR

BCOMF5T BCOM F5 TR

BCOMF6T BCOM F6 TR

BCOMRS BCOM Roll Select

DJCICN Dow Jones Commodity Index Corn

DJCISB Dow Jones Commodity Index Sugar

DJCILC Dow Jones Commodity Index Live Cattle

DJCIAW Dow Jones Commodity Index All Wheat

SPGCCI S&P GSCI

SPGCBO S&P GSCI Soybean Oil

SPGCBR S&P GSCI Brent Crude

SPGCCC S&P GSCI Cocoa

SPGCCL S&P GSCI Crude Oil

SPGCCN S&P GSCI Corn

SPGCCT S&P GSCI Cotton

SPGCFC S&P GSCI Feeder Cattle

SPGCGC S&P GSCI Gold

SPGCGO S&P GSCI Gasoline

SPGCHG S&P GSCI North American Copper

SPGCHO S&P GSCI Heating Oil

SPGCHU S&P GSCI Unleaded Gasoline

SPGCIA S&P GSCI Aluminum

SPGCIC S&P GSCI Copper

SPGCIK S&P GSCI Nickel

SPGCIL S&P GSCI Lead

SPGCIN S&P GSCI Industrial Metals

SPGCIZ S&P GSCI Zinc

SPGCKC S&P GSCI Coffee

SPGCKW S&P GSCI Kansas Wheat

SPGCLC S&P GSCI Live Cattle

SPGCLH S&P GSCI Lean Hogs

SPGCNG S&P GSCI Natural Gas

SPGCPA S&P GSCI Palladium

SPGCPL S&P GSCI Platinum

SPGCSB S&P GSCI Sugar

SPGCSI S&P GSCI Silver
Commodity Index Swaps

75

Abbr Name

SPGCSO S&P GSCI Soybeans

SPGCWH S&P GSCI Wheat

SPGSES S&P GSCI Enhanced Commodity

SPGSSM S&P GSCI Soybean Meal

SPGCCIP S&P GSCI ER

SPGCBRP S&P GSCI Brent Crude ER

SPGCCCP S&P GSCI Cocoa ER

SPGCCLP S&P GSCI Crude Oil ER

SPGCCNP S&P GSCI Corn ER

SPGCCTP S&P GSCI Cotton ER

SPGCENP S&P GSCI Energy ER

SPGCFCP S&P GSCI Feeder Cattle ER

SPGCGCP S&P GSCI Gold ER

SPGCGOP S&P GSCI Gasoil ER

SPGCHGP S&P GSCI North American Copper ER

SPGCHOP S&P GSCI Heating Oil ER

SPGCHUP S&P GSCI Unleaded Gasoline ER

SPGCIAP S&P GSCI Aluminum ER

SPGCICP S&P GSCI Copper ER

SPGCIKP S&P GSCI Nickel ER

SPGCILP S&P GSCI Lead ER

SPGCINP S&P GSCI Industrial Metals ER

SPGCNGP S&P GSCI Natural Gas ER

SG3MCI S&P GSCI 3 Month Forward
Deliverable Foreign Exchange Options

76

Deliverable Foreign Exchange Options

Terms and Conditions

Summary: This covers “Deliverable Foreign Exchange Options”.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards:

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”); 

and

(b) ISDA OTC Taxonomies.

Contract Types: Each Deliverable Foreign Exchange Option traded is 

bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge. 

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Vanilla Option, Simple Exotic or Complex Exotic

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties.

Commencement Date: The Trade Date, unless otherwise specified by the parties. 

This applies only where the Currency Option Style is 

American.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Currency Option Style: As specified by the parties.

(An American option can be exercised any time up to and 

including the Expiration Date; a European option can 

only be exercised on the Expiration Date.)

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a binary 
Deliverable Foreign Exchange Options

77

or digital option.

Call Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price.

Put Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price.

Strike Price: As specified by the parties (if only one of the Put 

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions.

Settlement Rate Option: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Settlement: Deliverable or Cash Settlement

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier Event: As specified by the parties.
Deliverable Foreign Exchange Options

78

Calculation Agent: As specified by the parties.

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions.

Deliverable Foreign Exchange Option Available Currency Pairs

AUD/CAD CNH/AUD EUR/SAR JPY/CNH THB/HKD

AUD/CHF CNH/CAD EUR/SEK JPY/HKD THB/JPY

AUD/CNH CNH/EUR EUR/SGD JPY/SGD THB/NZD

AUD/HKD CNH/GBP EUR/THB JPY/THB THB/SGD

AUD/JPY CNH/HKD EUR/TRY MXN/JPY TRY/JPY

AUD/MXN CNH/JPY EUR/USD NOK/JPY USD/AED

AUD/NOK CNH/NZD EUR/ZAR NOK/SEK USD/BHD

AUD/NZD CNH/SGD GBP/AUD NZD/CAD USD/CAD

AUD/SEK CNH/THB GBP/CAD NZD/CHF USD/CHF

AUD/SGD EUR/AED GBP/CHF NZD/CNH USD/CNH

AUD/THB EUR/AUD GBP/CNH NZD/HKD USD/CZK

AUD/USD EUR/BHD GBP/HKD NZD/JPY USD/DKK

AUD/ZAR EUR/CAD GBP/JPY NZD/NOK USD/HKD

CAD/CHF EUR/CHF GBP/MXN NZD/SEK USD/HUF

CAD/CNH EUR/CNH GBP/NOK NZD/SGD USD/ILS

CAD/HKD EUR/CZK GBP/NZD NZD/THB USD/ISK

CAD/JPY EUR/DKK GBP/SEK NZD/USD USD/JPY

CAD/MXN EUR/GBP GBP/SGD SEK/JPY USD/KWD

CAD/NOK EUR/HKD GBP/THB SGD/AUD USD/MXN

CAD/SEK EUR/HUF GBP/TRY SGD/CAD USD/NOK

CAD/SGD EUR/ILS GBP/USD SGD/CNH USD/OMR

CAD/THB EUR/ISK GBP/ZAR SGD/EUR USD/PLN

CHF/CNH EUR/JPY HKD/AUD SGD/GBP USD/QAR

CHF/HKD EUR/KWD HKD/CAD SGD/HKD USD/RON

CHF/JPY EUR/MXN HKD/CHF SGD/JPY USD/RUB

CHF/MXN EUR/NOK HKD/CNH SGD/NZD USD/SAR

CHF/NOK EUR/NZD HKD/EUR SGD/THB USD/SEK
Deliverable Foreign Exchange Options

79

CHF/PLN EUR/OMR HKD/GBP THB/AUD USD/SGD

CHF/SEK EUR/PLN HKD/JPY THB/CHF USD/THB

CHF/SGD EUR/QAR HKD/NZD THB/CNH USD/TRY

CHF/THB EUR/RON HKD/SGD THB/EUR USD/ZAR

CHF/TRY EUR/RUB HKD/THB THB/GBP ZAR/JPY
Equity Index Swaps

80

Equity Index Swaps

Terms and Conditions

Summary: This covers equity index swaps (each, an “Equity Index 

Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Swap may be 

traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions (“Equity 

Definitions”)

(c) Annex IS to 2009 Americas Master Equity 

Derivatives Confirmation, to 2007 European Master 

Equity Derivatives Confirmation Agreement (for EMEA 

indices, as indicated on the Equity Index Available 

Indices attached) or to Second Revised 2005 AEJ 

Interdealer Master Equity Derivatives Confirmation 

Agreement (for AEJ indices, as indicated on the Equity 

Index Available Indices attached)

(d) the Revised ISDA AEJ Reference Price Source 
Equity Index Swaps

81

Matrix (June 25, 2009, or as updated effective prior to 

the Trade Date) (“AEJ Source”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Strike Date: For a Forward Starting Transaction, as agreed by the 

parties (only for EMEA Indices).

Forward Starting: As per Annex IS (only for EMEA Indices).

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): (i) The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention, or (ii) in the case of AEJ Indices, per Annex 

IS.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days (except for AEJ Indices).

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions (except for AEJ Indices).

Termination Date (“terminationDate”): Per Annex IS, unless otherwise specified by the parties.

Index: As specified by the parties from among the Available 

Indices.

Number of Index Units: As specified by the parties or, if not so specified, 

determined by Annex IS (except for AEJ Indices).

Index Unit: Per Annex IS (except for AEJ Indices and EMEA 

Indices).

Exchange(s): (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Multiple Exchange Index Annex/Component Security 

Index Annex:

Per Annex IS (EMEA Indices only).

Related Exchanges: (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Hedging Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Determining Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: As per Annex IS.

Type of Return: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless specified by the parties.

Initial Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Initial Price: As specified by the parties and (other than in the case of 

AEJ Indices) adjusted in accordance with Annex IS.
Equity Index Swaps

82

Final Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Final Price: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Time: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Dates: As specified by the parties.

Averaging Dates: In the case of AEJ Indices, as and if specified by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Payment Dates: As per Annex IS, unless otherwise specified by the 

parties.

Initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties to the 

extent permitted by Annex IS.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As per Annex IS.

Payment Dates Business Days: As per Annex IS.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment Dates): As per Annex IS, unless otherwise specified by the 

parties.

Compounding: As specified by the parties (EMEA Indices only).

Compounding Dates: As specified by the parties if Compounding is applicable 

(EMEA Indices only).

Futures Price Valuation:

Futures Price Valuation: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties or, if not so specified, per the Equity 

Definitions.

Exchange-traded Contract: As specified in the Transaction Supplement.

Adjustment to Section 6.8 of the Equity Definitions: As per Annex IS (other than in the case of AEJ Indices).

Settlement Terms:

Cash Settlement: As per Annex IS.

Settlement Currency: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties.

FX Rate: As agreed by the parties or as specified by the parties 

from among the Available FX Rates.
Equity Index Swaps

83

Dividends:

Dividend Payment Date(s): If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as agreed by the parties or, absent such 

agreement, per the Equity Definitions.

Dividend Period: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Dividend Amount: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Relevant Dividend: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Reinvestment of Dividends: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties.

Dividend Recovery: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Declared Cash Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, (ii) in the case of 

AEJ Indices, as and if agreed by the parties, or (iii) in the 

case of EMEA Indices, as agreed by the parties.

Declared Cash Equivalent Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as and if agreed by the parties.

Index Adjustment Events:

Index Cancellation: As per Annex IS.

Index Modification: As per Annex IS.

Index Disruption: As per Annex IS.

Additional Disruption Events:

Change in Law: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS unless otherwise agreed by the parties.

Insolvency Filing: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties or, absent such agreement, per the

Equity Definitions.

Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS (as applicable to the relevant country of 

underlier) unless otherwise agreed by the parties.

Increased Cost of Hedging: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Consequences of Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Loss of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.
Equity Index Swaps

84

Increased Cost of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Cancellation Amount: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Non-Reliance: As per Annex IS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IS.

Additional Acknowledgements: As per Annex IS.

Index Disclaimer: As per Annex IS.

Optional Early Termination: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, inapplicable.

Break Funding Recovery: If Optional Early Termination is applicable, as specified 

by the parties.

Break Fee: As specified by the parties in the case of EMEA Indices.

Calculation Agent: (i) As agreed by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless otherwise agreed by the 

parties.

Equity Index Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

JPY Japanese Yen JPTO

KRW Korean Won KRSE

SEK Swedish Krona SEST

USD United States Dollars USNY

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices

Abbr Name

0000AR S&P/TSX Composite Total Return Index

AEX AEX Index (EMEA)

AMZX Alerian MLP Index Total Return

AMZIXVWAP Alerian MLP Infrastructure Index Total Return VWAP

AS51 S&P/ASX 200 (AEJ)

BEL20 BEL20 Index (EMEA)
Equity Index Swaps

85

CAC Cotation Assistée en Continu 40 (EMEA)

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

EWTRGSPC REUTERS – REU - S&P EW 500 INDEX

FTSEMIB FTSE MIB Index (EMEA)

GCUDCA MSCI Daily TR Gross Small Cap Canada USD

GCUDUS MSCI Daily Total Return Gross Small Cap USA USD

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUCA MSCI Canada Index USD Daily Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ)

HSI Hang Seng Index (AEJ)

IBEX IBEX 35 Index(EMEA)

IBOV BOVESPA Index

IXBTR S&P 500 Material Select Sector Total Return

IXCPR Communication Services Select Sector Index

IXCTR Communication Services Select Sector Index TR

IXETR S&P 500 Energy Select Sector Total Return

IXITR S&P 500 Industrials Select Sector Total Return

IXMTR S&P 500 Financials Select Sector Total Return

IXRTR S&P 500 Consumer Staples Select Sector Total Return

IXTTR S&P 500 Technology Select Sector Total Return

IXUTR S&P 500 Utilities Select Sector Total Return

IXVTR S&P 500 Health Care Select Sector Total Return

IXYTR S&P 500 Consumer Discretionary Select Sector Total Return

KOSPI Korea Composite Stock Price Index (AEJ)

M1CNA MSCI China A Inclusion USD Index (Net)

M8CA0EN MSCI Canada Energy Gross Return Index

M8CA0FN MSCI Canada Financials Gross Return Index

MEXBOL Mexican IPC Index (Indice de Precios y Cotizaciones)

MSLUELAN MSCI Emerging Markets Latin America Small Cap Index (USD) (Net Dividends)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUEAFE MSCI EAFE Net Total Return USD Index

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDDUJN MSCI Japan Index Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDEUSPR MSCI Peru Index Total Return (Net Dividends)

NDUEBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

OEXT S&P 100 Total Return

OMX OMX Stockholm 30 (EMEA)

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return
Equity Index Swaps

86

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

SOLCABTR Solactive Canada Bank TR Index

SP5LVIT S&P 500 Low Volatility Total Return Index

SPSIBITR S&P Biotechnology Select Industry Total Return Index

SPSIOP S&P Oil & Gas Exploration & Production Select Industry Index

SPTRCOND S&P 500 Consumer Discretionary Sector Total Return Index

SPTRCONS S&P 500 Consumer Staples Sector Total Return Index

SPTRENRS S&P 500 Energy Sector Total Return Index

SPTRFINL S&P 500 Financials Sector Total Return Index

SPTRHLTH S&P 500 Health Care Sector Total Return Index

SPTRINDU S&P 500 Industrials Sector Total Return Index

SPTRINFT S&P 500 Information Technology Sector Total Return Index

SPTRMATR S&P 500 Materials Sector Total Return Index

SPTRMDCP S&P MidCap 400 Total Return

SPTRRLST S&P 500 Real Estate Sector Total Return Index

SPTRSMCP S&P SmallCap 600 Total Return

SPTRSVX S&P 500 Value Total Return Index

SPTRUTIL S&P 500 Utilities Sector Total Return Index

SPXT S&P 500 Total Return

STBANKXR S&P/TSX Composite Banks GICS Level Industry Group Total Return Index

STCHEMR S&P/TSX Composite Index Chemicals GICS Industry Total Return

STENRSR S&P/TSX Composite Energy Index Total Return Swap

STFINLR S&P/TSX Composite Financials GICS Level Sector Total Return Index

STINSUR S&P/TSX Composite Insurance GICS Industry Group Total Return Index

STMATRR S&P/TSX Composite Materials GICS Level Sector Total Return Index

STMEDAR S&P/TSX Composite Media GICS Industry Group Total Return Index

STTELSR S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index

STUTILR S&P/TSX Composite Utilities GICS Level Sector Total Return Index

SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index

TX60AR S&P/TSX 60 Total Return Index

TTENAR S&P/TSX Capped Energy Total Return Index

TTUTAR S&P/TSX Capped Utilities Total Return Index

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return

XSOX PHLX Semiconductor Sector Index Total Return

Equity Index Available FX Rates

Currency Pair Available FX Rates

KRW/USD BB: The rate implied by sourcing the Index on 

Bloomberg via “KOSPI>USD>GO”

ISDA: The rate determined in accordance with the AEJ 

Source

Equity Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F
Equity Index Swaps

87

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

AUD-AONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OIS-COMPOUNDSwapMarker All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY (BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Equity Index Swaps

88

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

CAD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-SwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-AVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUNDBloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-Swap-Index All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

89

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-EURIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDC-COMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis Swaps-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-ATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reference Banks All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

90

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

GRD-ATHIMID-Reuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-4:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-MUTANCALL-TONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks)-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

91

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

JPY-TSR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

KRW-Quarterly Annual Swap 

Rate-3:30-ICAP 3M N/A Per ISDA 2006 N

KRW-Bond-3222 3M N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap Rate-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference BanksICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-Reference All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

92

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

Dealers

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SOFR-Compound N/A N/A N/A N

USD-SIFMA Municipal Swap 

Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-Secondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-ICAP 

BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T500 All quoted tenors N/A Per ISDA 2006 N

Equity Index Requirements and Defaults
Equity Index Swaps

93

Date Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
Equity Index Variance Swaps

94

Equity Index Variance Swaps

Terms and Conditions

Summary/Contract Description: This covers equity index variance swaps (each, an 

“Equity Index Variance Swap”). An Equity Index 

Variance Swap is a product used to hedge or take a direct 

view on the volatility of an underlying equity index by 

paying or receiving an amount based on the difference 

between the actual realized variance of an index over the 

life of the contract and the variance strike price agreed at 

contract inception.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Variance

ISDA OTC Transaction type: Single Index

Available Underlying Indices: The index specified by the parties from among the 

indices listed in the table below titled “Equity Index 

Variance Swap Available Indices.”

Contract Size: The contracts are quoted in “Vega” amounts. The 

minimum contract size is 1,000 of the currency of which 

the underlying index settles in.

Quoting Convention: The contracts are quoted in volatility percentage points.

Leg Conventions: Floating Leg Rate – The realized variance rate that is 

calculated on the Expiration Date.

Fixed Leg Rate – The agreed fixed rate of variance 

(Traded Price).

Tenor: Tenors of any duration greater than 0 years and less than 

50 years.

Trade Types: Capped – the maximum payout of the contract is capped 

at an agreed price.

Uncapped – there is no maximum payout on the contract.

Trade Start Types: Immediate – the observation period of the contract

begins on the Trade Date.

Forward – the observation period of the contract begins 

on an agreed-upon date after the Trade Date.

Trade Date: The date on which the contract is entered into.

Observation Start Date: The Trade Date or, in the case of a forward starting 

transaction, an agreed-upon date after the Trade Date.

Valuation Date: The date upon which the final rate of volatility will be 

calculated on using the “Applicable Formula” below.

Settlement: The contracts are cash settled. If the difference between 

the realized variance and the “Variance Strike” (as 

agreed by the parties) is positive the seller pays the 
Equity Index Variance Swaps

95

difference to the buyer. If the difference between the 

realized variance and the Variance Strike is negative the 

buyer pays the difference to the seller.

Settlement of the contract occurs after the Valuation

Date and in line with the settlement convention of the 

underlying equity index.

Settlement Payments/Payment Date: T+2 (adjustments according to following business day 

convention).

Minimum Price or Incremental Price: The contracts are quoted in volatility percentage points. 

There is no minimum price or minimum incremental 

price for the contract.

Payment Frequency: One time.

Payment Exchange: The buyer of a variance swap pays a fixed rate (the 

Variance Strike) in exchange for a payout based on the 

daily realized variance.

The seller of a variance swap receives a fixed rate (the 

Variance Strike) in exchange for a payout based on the 

daily realized variance.

Day Count: Business Days Per Year = 252

Business Day Convention: Following business day convention.

Applicable Formula: The final realized rate of variance will be calculated 

using the following formula:

100x√

252 × ∑ (Return(i))

2 n

i=1

N

Where:

Return(i) = ln(

Indexi

Indexi−1

)

n = the number of observations excluding the initial 

observation on the Observation Start Date, but including 

the Valuation Date;

i = the relevant observation day;

Indexi = the closing level of the underlying index “i” 

business days from the Observation Start Date, except 

for (i) Index0 which shall equal the initial index level, 

and (ii) Indexn which shall equal the closing level of the 

underlying index on the Valuation Date. Indexi-1 will be 

modified by deducting the dividend in case it is an exdate.

If applicable, the volatility cap will be set at 2.5x the 

Volatility Strike.

N = Expected number of observations as agreed by the 

parties.
Equity Index Variance Swaps

96

ln = the natural logarithm.

Market Disruption: As specified by the parties.

Equity Index Variance Swap Available Indices

Abbr Name

DAX Deutscher Aktien Index

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

FTXIN25 FTSE China 50 Index

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index

HSI Hang Seng Index

IBOV BOVESPA Index

KOSPI Korea Composite Stock Price Index

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDUEEGF MSCI Emerging Markets Index

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

OEXT S&P 100 Total Return

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index

UKX FTSE 100 Index
Equity Index Volatility Swaps

97

Equity Index Volatility Swaps

Terms and Conditions

Summary: This covers equity index volatility swaps (each, an 

“Equity Index Volatility Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Volatility Swap 

may be traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions

(c) Annex IVS to: (i) the 2006 Japan Master Variance 

Swap Confirmation Agreement for Japan Indices, (ii) the 

2007 Americas Master Variance Swap Confirmation 

Agreement, (iii) the Revised 2007 AEJ Master Variance 

Swap Confirmation Agreement for AEJ indices, or (iv) 

the 2007 European Variance Swap Master Confirmation 

Agreement for EMEA Indices (as indicated on the 

Equity Index Volatility Swap –Available Indices below)

(d) the Market Practice Statement for Variance Swap 

Transactions Involving Japanese Shares or Indices 

Regarding When Exchange-Imposed Daily Price 

Limitations Would Constitute a Market Disruption Event 

Due To a Trading Disruption published by ISDA on 

October 22, 2009 (the “Japan Index Market Practice 

Statement”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.
Equity Index Volatility Swaps

98

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Volatility

ISDA OTC Transaction Type: Single Index

Further Limitations: None.

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): As per Annex IVS (other than for a Japan Index).

Termination Date (“terminationDate”): As per Annex IVS.

Exchanges: As specified by the parties.

Related Exchanges: As per Annex IVS.

Volatility Buyer: Not applicable.

Volatility Seller: Not applicable.

Volatility Cap: If applicable, as specified by the parties.

Index: As specified by the parties from among the Equity Index 

Volatility Swap – Available Indices (see below).

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): The Volatility Seller.

Equity Notional Amount: As specified by the parties (other than for an EMEA 

Index).

Equity Notional Reset: As per Annex IVS.

Type of Return: As per Annex IVS.

Initial Price: As per Annex IVS.

Final Price: As per Annex IVS.

Valuation Time: As per Annex IVS.

Observation Start Date: As specified by the parties or otherwise as per Annex 

IVS.

Observation End Date: As per Annex IVS.

Observation Day: As per Annex IVS (with Disrupted Date being 

determined, in the case of a Japan Index, in accordance 

with the Japan Index Market Practice Statement).

Non-Disrupted Observation Day: As per Annex IVS.

Observation Period: As per Annex IVS.

Futures Price Valuation: As specified by the parties or determined in accordance 

with Annex IVS.

Default Exchange-traded Contract: As per Annex IVS.

Equity Amount: The product of the Equity Notional Amount and the 

Final Realized Volatility (or, if there is a Volatility Cap, 

the lesser of the Realized Volatility or the Volatility 

Cap).

Variance Strike Price: Not applicable.

Variance Cap: Not applicable.

Final Realized Volatility: As per Annex IVS.

Initial Index Level: As specified by the parties.

Closing Index Level: If specified by the parties, and determined per Annex 

IVS.

Expiring Contract Level: If specified by the parties or as determined per Annex 

IVS.

Variance Amount: Not applicable.

Volatility Strike Price: Not applicable.

Variance Strike Price: Not applicable.

Variance Cap Amount: Not applicable.

Final Realized Volatility (“FRV”): Per Annex IVS.
Equity Index Volatility Swaps

99

N: As specified by the parties or otherwise per Annex IVS 

(other than for an AEJ Index).

Expected N: As specified by the parties or otherwise per Annex IVS 

(only for an AEJ Index).

Market Disruption Event: As per Annex IVS.

Fixed Amount:

Fixed Amount Payer: The Volatility Buyer.

Fixed Amount: The product of the Equity Notional Amount and the 

Volatility Strike.

Volatility Strike: As specified by the parties.

Settlement Terms:

Cash Settlement: As per Annex IVS.

Settlement Currency: As per Annex IVS.

Cash Settlement Payment Date: As per Annex IVS.

Index Adjustment Events:

Index Cancellation: As per Annex IVS.

Index Modification: As per Annex IVS.

Index Disruption: As per Annex IVS.

IVS Cancellation and Payment: As per Annex IVS.

Additional Disruption Events:

Change in Law: As per Annex IVS.

Non-Reliance: As per Annex IVS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IVS.

Additional Acknowledgements: As per Annex IVS.

Index Disclaimer: As per Annex IVS.

Calculation Agent: As agreed by the parties.

Equity Index Volatility Swap – Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

Equity Index Volatility Swap – Available Indices

Abbr Name

SPX S&P 500 Index

SPXT S&P 500 Total Return
Fixed for Floating Agricultural Swaptions

100

Fixed for Floating Agricultural Swaptions

Terms and Conditions

Summary: This covers uncleared fixed for floating agricultural 

swaptions (“Fixed for Floating Agricultural Swaptions”).

Limitations on Available Selections and Default 

Settings:

The terms under which Fixed for Floating Agricultural 

Swaptions may be traded are shown below and in the 

attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Trade Date: As agreed by the parties.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: Swaption

Buyer: As specified by the parties.

Seller: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.

Physical/Contract Settlement: Applicable

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the 

times on such days specified by the parties.

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Terms of the Underlying Transaction to which the Swaption Relates:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.
Fixed for Floating Agricultural Swaptions

101

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available 

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.
Fixed for Floating Agricultural Swaptions

102

Fixed for Floating Agricultural Swaptions Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swaptions Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

 

1 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT
Fixed for Floating Agricultural Swaptions

103

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price
Fixed for Floating Agricultural Swap Contracts

104

Fixed for Floating Agricultural Swap Contracts

Terms and Conditions

Summary: This covers uncleared fixed-for-floating agricultural 

swaps (“Fixed for Floating Agricultural Swap 

Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which Fixed for Floating Agricultural 

Swap Contracts may be traded are shown below and in 

the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available 

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.
Fixed for Floating Agricultural Swap Contracts

105

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.

Fixed-for-Floating Agricultural Swap Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swap Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

ISDA Definition

COCOA-GBP-EURONEXT
Fixed for Floating Agricultural Swap Contracts

106

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

 

1 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

LIVE CATTLE-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT
Fixed for Floating Interest Rate Swaps

107

Fixed for Floating Interest Rate Swaps

Terms and Conditions

Summary: This covers uncleared fixed for floating interest rate 

swaps (“Fixed for Floating Interest Rate Swap

(Uncleared)”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Fixed for Floating Interest Rate 

Swap (Uncleared) contract may be traded are as 

specified in these terms and conditions or in the attached 

tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.
Fixed for Floating Interest Rate Swaps

108

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 
Fixed for Floating Interest Rate Swaps

109

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are 

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is not 

applicable.

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.

Final Exchange:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.
Fixed for Floating Interest Rate Swaps

110

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller’s Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a cross currency Transaction whose 

currencies are listed as a “currency pair” in the Cross 

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 
Fixed for Floating Interest Rate Swaps

111

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

BRL Brazilian Reai Any of BR{SP,RJ,BR} and not 

otherwise declared a market 

holiday by the BM&F

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CNH Chinese Renminbi (HK) HKHK and CNBE

CNY Chinese Renminbi CNBE

COP Colombian Peso COBO

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

INR Indian Rupee INMU

JPY Japanese Yen JPTO

KRW Korean Won KRSE

MXN Mexican Peso (New) MXMC

MYR Malaysian Ringgit MYKL

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PHP Phillipine Peso PHMA

PLN Polish Zloty PLWA

RON Romanian Leu ROBU

RUB Russian Ruble RUMO

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

THB Thai Baht THBA
Fixed for Floating Interest Rate Swaps

112

TRY Turkish Lira TRIS

TWD Taiwan Dollar TWTA

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

BRL 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CNH 5,000,000 100,000 N/A N/A

CNY 5,000,000 100,000 N/A N/A

COP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

HKD 25,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A
Fixed for Floating Interest Rate Swaps

113

INR 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

KRW 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

MYR 5,000,000 100,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PHP 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

RON 5,000,000 100,000 N/A N/A

RUB 5,000,000 100,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

THB 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

TWD 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPAll quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

114

Reference Banks

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

BRL-CDI-CETIP See below N/A See below See below

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

115

CLP-CLICPBloomberg All quoted tenors N/A Per ISDA 2006 N

CNH-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CNH-HIBOR-TMA All quoted tenors N/A Per ISDA 2006 N

CNYCNREPOFIX=CFXSReuters

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

CNY-SHIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

COP-IBR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBOR-PRBO All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2-

DKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CITA-DKNA14-

COMPOUND All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

116

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

117

Swap Rate-10:00

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

118

GRD-ATHIBORTelerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKABBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual 

Swap Rate-4:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HUF-BUBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

INR-FBIL-MIBOROIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis Swaps11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

119

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All 

Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDABloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

120

MXN-TIIE-BanxicoReference Banks All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBOR-BNM All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

PLN-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLN-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

RON-RBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIMENFEA All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIMEReference Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

121

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

122

THB-THBFIX-Reuters All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

TWD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

TWD-Reuters-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-Telerate-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-TWCPBA All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-BSBY All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISAll quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

123

COMPOUND

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006

No

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

124

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary 

FX Rate × Currency Amount × [∏(1 +

Relevant Ratej

252 ) −1

N

j=1

]

252

N

⁄

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de 
Fixed for Floating Interest Rate Swaps

125

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties. 

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days). 

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F.
Fixed for Floating Interest Rate Swaps

126

Definition of USD-SOFR-COMPOUND

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the 

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it 

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as 

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the 

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which 

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is 

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of OBFR 

has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be permanently 

or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or other official 

sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to, Swap 

Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period occurring on 

or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR 

were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if 

necessary, in accordance with the method set forth in Section 8.1(a):

[∏(1+

SOFRi × ni

360 )

do

i=1

-1] ×

360

d

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the 

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities 

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in the 

relevant Calculation Period;

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New 

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of 

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day 

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities 

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a 

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as 

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was published 

on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi; 
Fixed for Floating Interest Rate Swaps

127

“d” is the number of calendar days in the relevant Calculation Period;

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following 

events:

(d) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR) 

announcing that it has ceased or will cease to provide SOFR permanently or indefinitely, provided that, at that 

time, there is no successor administrator that will continue to provide SOFR; 

(e) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a 

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely, 

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(f) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to, but 

need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor 

administrator of SOFR) ceases to publish SOFR or the date as of which SOFR may no longer be used; and

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York, 

as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and published 

on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single rate, the midpoint of the short-term interest rate target range set by the Federal Open Markets Committee and published on the 

Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target range and the lower 

bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at 

http://www.federalreserve.gov, or any Successor Source.

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates
Fixed for Floating Interest Rate Swaps

128

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix: Applicable (to Mark-to-Market 

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Fixed Floating Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement 

Matrix:

Applicable, if cross currency swap 

with currency pair included in 

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:
Fixed for Floating Interest Rate Swaps

129

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Fixed for Floating Interest Rate Swaptions

130

Fixed for Floating Interest Rate Swaptions

Terms and Conditions

Summary: This covers fixed for floating interest rate swaptions

(“Fixed for Floating Interest Rate Swaptions”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Fixed for Floating Interest Rate 

Swaption may be traded are as specified in these terms 

and conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Terms of “Underlying Swap Transaction”:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 
Fixed for Floating Interest Rate Swaptions

131

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

Compounding Dates In the event Compounding is selected, as selected by the 
Fixed for Floating Interest Rate Swaptions

132

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Swaption Terms:

Option Style: As specified by the parties.

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller's Agent: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Swaption Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is 

specified.

Fallback Exercise: As specified by the parties (if required) .

Swaption Settlement Terms:

Cash Settlement As specified by the parties.

Physical Settlement As specified by the parties.

Cleared Physical Settlement As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 
Fixed for Floating Interest Rate Swaptions

133

applicable to a single currency Underlying Swap 

Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable and the Underlying Swap Transaction is a 

cross-currency Transaction where the currency pair is 

included in the Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.
Fixed for Floating Interest Rate Swaptions

134

Fixed Floating Swaptions Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Swaptions Underlying Swap Transaction Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Swaptions Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination

Date

N/A N/A N/A N/A N/A
Fixed for Floating Interest Rate Swaptions

135

Fixed Floating Swaptions Underlying Swap Transaction Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 10,000,000 1,000,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Swaptions Underlying Swap Transaction Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

136

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

Reuters

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBASwapMarker

All quoted tenors N/A Per ISDA 2006 N

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

137

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

138

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

139

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

11:00-ICAP

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis Swaps11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All 

Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

140

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

141

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap 

Rate-11:15-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

142

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

H.15-Bloomberg

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

143

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

Bloomberg

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Fixed Floating Swaption Underlying Swap Transaction Requirements and Defaults

Variable Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Termination Date Business Day 

Convention

No Adjustment

Period End Dates Payment Dates

Payment Date Business Day 

Convention

Modified Following

Linear Interpolation Applicable only to long or short stub 

periods
Fixed for Floating Interest Rate Swaptions

144

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding Inapplicable

Compounding Business Day 

Convention

Same as Business Day Convention 

for Period End Dates

Method of Averaging Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method Compounding or Flat Compounding Compounding

Fixed Floating Swaption Requirements and Defaults

Setting Requirement Default

Option Style: American, Bermuda, European

Premium Payment Date Business 

Day Convention

Following

Fixed Floating Swaption Requirements and Defaults

(Swaption—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Automatic Exercise

Threshold

Fixed Floating Swaption Requirements and Defaults

(Swaption Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount

ISDA Settlement Matrix Applicable, if single currency swap 

with Currency included in Matrix

ISDA Cross Currency Settlement 

Matrix

Applicable, if cross currency swap 

with currency pair included in 

Matrix

Cash Settlement Valuation Time

Cash Settlement Valuation Date Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)
Fixed for Floating Interest Rate Swaptions

145

Cash Settlement Payment Date 

Business Day Convention

Following

Cash Settlement Method Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks Fallbacks per ISDA 2006 

Definitions

Quotation Rate bid

ask

mid
Forward Rate Agreements (Uncleared)

146

Forward Rate Agreements (Uncleared)

Terms and Conditions

Summary: This covers uncleared forward rate agreements 

(“Forward Rate Agreements” or “FRAs”).

Limitations on Available Selections and Default 

Settings:

The terms under which an FRA may be traded are as 

specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET”/EUTA is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or 

“Default Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: These terms and conditions incorporate by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.2.4 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: None
Forward Rate Agreements (Uncleared)

147

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“adjustedEffectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“adjustedTerminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Rate Payer (“buyerPartyReference”): As specified by the parties.

Fixed Rate (“fixedRate”): As specified by the parties.

Floating Rate Payer (“sellerPartyReference”): As specified by the parties.

Payment Date (“paymentDate”): As specified by the parties.

Floating Rate Option (“floatingIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Spread: As specified by the parties.

Floating Rate Day Count Fraction 

(“dayCountFraction”):

As specified by the parties.

Reset Date: The Effective Date.

Discounting (“fraDiscounting”): As specified by the parties.

Business Days: As specified by the parties.

Calculation Agent: As specified by the parties.

FRA Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO

FRA Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding
Forward Rate Agreements (Uncleared)

148

FRA Available Day Count Fractions

ISDA Name

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

1/1

FRA Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 500,000,000 10,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

FRA Floating Rate Options and Defaults

Currency Floating Rate 

Option (any 

from ISDA 

2006 if not 

specified)

Available 

Tenors

Default 

Tenor

Default Day 

Count Fraction

Additional 

Business 

Day 

Locations

Default for 

Currency 

(Y/N)

AUD Actual/360 N

CAD

CHF

CZK Actual/360 N

DKK

EUR

GBP

HUF

ILS ILSTELBOR01-

Reuters

All quoted N Per ISDA 2006 N Y

JPY

NOK

NZD NZD-BBRFRAAll quoted N Per ISDA 2006 N Y

PLN
Forward Rate Agreements (Uncleared)

149

SEK

USD USD-LIBORBBA3M Actual/360 GBLO Y

ZAR

FRA Discounting Types

ISDA Name FpML Default for (Currency)

FRA Discounting ISDA All but AUD

FRA Yield Discounting AFMA AUD

None NONE None
Forward Rate Agreements – CME Cleared

150

Forward Rate Agreements – CME Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared 

by the Chicago Mercantile Exchange Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Forward Rate Agreement/CME 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the CME Rulebook, 

in particular Chapters 900 and 901 (and any successor 

provisions) and the CME Cleared IRS Product Scope (or 

any successor).

By electing to trade a Forward Rate 

Agreement/CME Cleared, participants are 

representing that they are familiar with the CME 

Rulebook and the limitations on transaction terms 

contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product(s): N/A

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to the limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Settlement: As per the CME Rulebook, in advance or arrears.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 
Forward Rate Agreements – CME Cleared

151

limitations based on other terms of the transaction.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

FRA Discounting: As per CME Rulebook, which may require different 

discounting conventions depending on payment 

convention.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.
Forward Rate Agreements – LCH Cleared

152

Forward Rate Agreements – LCH Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared 

by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Forward Rate Agreement/LCH 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the LCH Rulebook, in 

particular Schedule 4A (or any successor provisions).

By electing to trade a Forward Rate Agreement/LCH 

Cleared, participants are representing that they are 

familiar with the LCH Rulebook and the limitations 

on transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, since 

the LCH may reserve the right to select when and 

how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the LCH Rulebook, which may limit the earliest or latest

day on which such fees may be paid based on Currency 

or other factors.

Business Days: As per the LCH Rulebook, which may require certain 
Forward Rate Agreements – LCH Cleared

153

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

LCH Rulebook.

Floating Rate Payer: As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

FRA Discounting: As per the LCH Rulebook.

Discount Rate As per the LCH Rulebook.

FRA Yield Discounting: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
iBoxx Index Swaps

154

iBoxx Index Swaps

Terms and Conditions

Summary: This covers iBoxx index swaps (each, an “iBoxx Index 

Swap”) on a bilateral basis.

Limitations on Available Selections and Default 

Settings:

The terms under which an iBoxx Index Swap may be 

traded are shown below and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency and any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) the iBoxx Index Transaction Standard Terms 

Supplement (current version or as specified by the 

parties) (“iBoxx STS”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Total Return Swap Index

ISDA OTC Sub-Product: iBoxx

ISDA OTC Transaction type: N/A
iBoxx Index Swaps

155

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): The Business Day following the Trade Date, unless 

otherwise agreed by the parties.

Effective Date Business Days: The Business Days specified below, unless otherwise 

specified by the parties.

Effective Date Business Day Convention: The Business Day Convention specified below, unless 

otherwise specified by the parties.

Termination Date (“terminationDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Notional Amount (“notional”): An amount specified by the parties, which will be in the 

relevant Settlement Currency (unless otherwise agreed 

by the parties).

Index As specified by the parties from among the Available 

Indices.

Index Buyer: As agreed by the parties.

Index Seller: As agreed by the parties.

Calculation Agent: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Settlement Currency: The currency in which the Index is denominated.

Business Days: As specified in the iBoxx STS for the relevant 

Settlement Currency, unless otherwise agreed by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): Index Buyer

Floating Rate Payer Period End Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Floating Rate Payer Payment Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Linear Interpolation: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, per the Definitions unless otherwise agreed by 

the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies per the Definitions unless otherwise agreed by 

the parties.

Floating Rate Option: As specified by the parties.

Floating Rate for the initial Calculation Period As specified by the parties.

Spread: As specified by the parties.

Designated Maturity (“indexTenor”) As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Floating Rate Day Count Fraction: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Reset Dates (“resetDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Payment Dates Business Days: The Business Days specified above, unless otherwise 

agreed by the parties.

Business Days (Other Than Payment Dates): The Business Days specified above, unless otherwise 

agreed by the parties.

Business Day Convention (Other Than Payment Dates): The Business Day Convention specified above, unless 

otherwise specified by the parties.
iBoxx Index Swaps

156

Index Return Amount:

Index Return Amount Payment Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Initial Fixing Amount: As agreed by the parties and rounded as specified in the 

iBoxx STS (unless the parties otherwise agree).

Final Fixing Amount: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Scheduled Final Fixing Date: As specified by the parties, subject to the Business Day 

Convention (unless the parties otherwise agree).

Final Fixing Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Index Adjustment and Index Discontinuance Events: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

iBoxx Index Available Currencies and Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA and GBLO

GBP Sterling EUTA and GBLO

USD United States Dollars USNY

iBoxx Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

iBoxx Index Available Indices

Name Currency

iBoxx EUR Corporates EUR

iBoxx EUR Liquid High Yield Index EUR

iBoxx GBP Corporates GBP

iBoxx USD Domestic Corporates USD

iBoxx USD Liquid High Yield Index USD

iBoxx USD Liquid Investment Grade Index USD

iBoxx USD Liquid Leveraged Loans Index USD

iBoxx Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)
iBoxx Index Swaps

157

iBoxx Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

158

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

159

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

160

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

161

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N
Inflation Swaps

162

Inflation Swaps

Terms and Conditions

Summary: This covers inflation swaps (“Inflation Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Inflation Swap may be traded 

are as specified in these terms and conditions or in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2008 ISDA Inflation Derivatives Definitions, 

including Supplements 1 and 2 thereto and any other 

Supplements through Trade Date

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Inflation

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 
Inflation Swaps

163

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Fixed Amount: As specified by the parties (in lieu of all items other than 

Payment Date(s)).

Fixed Rate Payment Date (“unadjustedPaymentDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate (“floatingRate”): Notwithstanding the 2006 Definitions, “Floating Rate” 

will equal:

Index_Final

Index_Initial − 1

rounded in accordance with the 2008 ISDA Inflation 

Derivatives Definitions and subject to the Negative 

Interest Rate Treatment.

Index: As specified by the parties from among the Available 

Inflation Indices.

Index_Initial (“initialIndexLevel”): As specified by the parties.

Index_Final: The Index level for the Reference Month(s) specified by 

the parties in the Reference Year(s) specified by the 

parties.

Reference Month(s): As specified by the parties.

Reference Year(s) As specified by the parties.

Day Count Fraction: 1/1

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.
Inflation Swaps

164

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Negative Interest Rates (“negativeInterestRateMethod”): As selected by the parties from among the Available 

Treatments.

Related Bond: The bond, if any, specified by the parties as such.

Fallback Bond (“fallbackBondApplicable”): As selected by the parties if no Related Bond is selected.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

USD United States Dollars USNY

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

Inflation Swap Indices
Inflation Swaps

165

Index Name Description

AUD-CPI Australia: AUD – Non-revised Consumer Price Index (CPI)

AUS-CPI Austria: AUS – Non-revised Consumer Price Index (CPI)

AUS-HICP Austria: AUS – Non-revised Harmonised Indices of Consumer Prices (HICP)

BLG-CPI-GI Belgium: BLG – Non-revised Consumer Price Index - General Index (CPI)

BLG-CPI-HI Belgium: BLG – Non-revised Consumer Price Index - Health Index (CPI)

BLG-HICP Belgium: BLG – Non-revised Harmonised Consumer Price Index (HICP)

DEM-CPI Germany: DEM – Non-revised Consumer Price Index (CPI)

DEM-CPI-NRW Germany: DEM – Non-revised Consumer Price Index for North Rhine-Westphalia

DEM-HICP Germany: DEM – Non-revised Harmonised Consumer Price Index (HICP)

ESP-CPI Spain: ESP – National-Non-revised Consumer Price Index (CPI)

ESP-HICP Spain: ESP – Harmonised-Non-revised Consumer Price Index (HICP)

ESP-R-CPI Spain: ESP – National-Revised Consumer Price Index (CPI).

ESP-R-HICP Spain: ESP – Harmonised-Revised Consumer Price Index (HICP)

EUR-AI-CPI European Union: EUR – All Items-Non-revised Consumer Price Index

EUR-AI-R-CPI European Union: EUR – All Items–Revised Consumer Price Index

EUR-EXT-CPI European Union: EUR – Excluding Tobacco-Non-revised Consumer Price Index

EUR-EXT-RCPI European Union: EUR – Excluding Tobacco–Revised Consumer Price Index

FRC-EXT-CPI France: FRC – Excluding Tobacco-Non-Revised Consumer Price Index

FRC-HICP France: FRC – Harmonised-Non-revised Consumer Price Index (HICP)

GRD-CPI Greece: GRD – Non-revised Consumer Price Index (CPI)

GRD-HICP Greece: GRD – Harmonised-Non-revised Consumer Price Index (HICP)

ILS-CPI Israel: ILS – Non-revised Consumer Price Index (CPI)

IRL-CPI Ireland: IRL – Non-revised Consumer Price Index (CPI)

IRL-HICP Ireland: IRL – Harmonised-Non-revised Consumer Price Index (HICP)
Inflation Swaps

166

ITL-BC-EXTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees–Excluding Tobacco Consumer 

Price Index

ITL-BC-INTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees-Including Tobacco Consumer 

Price Index

ITL-HICP Italy: ITL – Non-revised Harmonised Consumer Price Index (HICP)

ITL-WC-EXTCPI Italy: ITL – Whole Community –Excluding Tobacco Consumer Price Index

ITL-WC-INTCPI Italy: ITL – Whole Community –Including Tobacco Consumer Price Index

LUX-CPI Luxembourg: LUX – Non-revised Consumer Price Index (CPI)

LUX-HICP Luxembourg: LUX – Harmonised-Non-revised Consumer Price Index (HICP)

NLG-CPI Netherlands: NLG – Non-revised Consumer Price Index (CPI)

NLG-HICP Netherlands: NLG – Harmonised-Non-revised Consumer Price Index (HICP)

POR-CPI Portugal: POR – Non-revised Consumer Price Index (CPI)

POR-HICP Portugal: POR – Harmonised-Non-revised Consumer Price Index (HICP)

UK-HICP United Kingdom: GBP – Harmonised-Non-revised Consumer Price Index (HICP)

UK-RPI United Kingdom: GBP – Non-revised Retail Price Index (UKRPI)

UK-RPIX United Kingdom: GBP – Non-revised Retail Price Index Excluding Mortgage Interest Payments 

(UKRPIX)

USA-CPI-U United States: USA – Non-revised Consumer Price Index – Urban (CPI-U)

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Fallback Bond: Applicable
Interest Rate Caps/Floors

167

Interest Rate Caps/Floors

Terms and Conditions

Summary: This covers interest rate caps and floors (“Interest Rate 

Caps/Floors”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Cap/Floor may 

be traded are as specified in these terms and conditions 

and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default”

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Cap/Floor

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 
Interest Rate Caps/Floors

168

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount 1:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Cap Rate: As specified by the parties.

Floor Rate: As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.
Interest Rate Caps/Floors

169

Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller’s Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.
Interest Rate Caps/Floors

170

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Cap/Floor Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA

GBP Pound Sterling GBLO

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO
Interest Rate Caps/Floors

171

Cap/Floor Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Cap/Floor Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Cap/Floor Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Cap/Floor Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Cap/Floor Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Cap/Floor Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

172

Rate-10:00-Bloomberg

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OIS- All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

173

COMPOUND

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

174

Rate-11:00-

BGCANTOR

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Interest Rate Caps/Floors

175

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

176

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Cap/Floor Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Compounding or Flat Compounding Compounding

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)
Interest Rate Caps/Floors

177

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Cap/Floor Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days before 

Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks
Interest Rate Caps/Floors

178

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Interest Rate Swaps – ASX Cleared

179

Interest Rate Swaps – ASX Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by ASX Clear 

(Futures) Pty Limited (“ASX”) (such swaps, “Interest 

Rate Swaps – ASX Cleared”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Swap – ASX 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the ASX OTC 

Rulebook and the ASX OTC Handbook (collectively, 

the “ASX Rules”), in particular Schedule 1 to the ASX 

OTC Handbook (and any successor provisions).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap – ASX Cleared, 

participants are representing that they are familiar 

with the ASX Rules and the limitations on 

transaction terms contained therein. 

In particular, participants represent that they are 

familiar with the limitations on transactions for US 

Persons set forth in Section 4.3 of the ASX OTC 

Handbook (or any successor provisions).

Incorporated Standards: This contract description incorporates by reference the 

ASX Rules as in effect from time to time.

The ASX Rules themselves may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and ASX-cleared 

contracts, since ASX may reserve the right to select 

when and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the ASX Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2006, as amended) 

binding on the parties in accordance with the ASX 

Rules.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the ASX Rules.

This may vary from period to period to the extent 

permitted by the ASX Rules.

The ASX Rules may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the ASX Rules.

Business Days: As per the ASX Rules, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the ASX Rules.

Trade Date: As per the ASX Rules.

Effective Date: As per the ASX Rules.
Interest Rate Swaps – ASX Cleared

180

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the ASX Rules.

Termination Date Business Day Convention: As per the ASX Rules, and thus subject to limitations 

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the ASX Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the ASX 

Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the ASX 

Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

ASX Rules and any other restrictions in the ASX Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the ASX Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page.

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the ASX Rules and any other restrictions in the ASX 

Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties.

Compounding: As per the ASX Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations

in the ASX Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the ASX Rules.

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations 

in the ASX Rules.
Interest Rate Swaps – Eurex Cleared

181

Interest Rate Swaps – Eurex Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Eurex 

Clearing AG (“Eurex”) (such swaps, “Interest Rate 

Swaps – Eurex Cleared”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Swap – Eurex 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the Eurex Clearing 

Conditions (Clearing-Bedingungen) (collectively, the 

“Eurex Rules”).

By electing to trade an Interest Rate Swap – Eurex 

Cleared, participants are representing that they are 

familiar with the Eurex Rules and the limitations on 

transaction terms contained therein.

Incorporated Standards: This contract description incorporates by reference the 

Eurex Rules as in effect from time to time.

The Eurex Rules themselves may incorporate certain 

additional standards, such as the 2000 ISDA Definitions, 

the 2006 ISDA Definitions or the Rahmenvertrag für 

Finanztermingeschäfte (“DRV”). Be aware that the 

timing of effectiveness of amendments or 

supplements to the ISDA standards may vary 

between bilateral and Eurex-cleared contracts, since 

Eurex may reserve the right to select when and how 

such changes become effective. Also be aware that 

Eurex has elected to make the 2006 ISDA Definitions 

applicable to certain classes of transactions, 

regardless of the parties’ election to use the 2000 

ISDA Definitions.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, Inflation, OIS and Basis

Further Limitations: Must comply with the Eurex Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 Definitions, ISDA 

2006 Definitions, each as amended, the DRV) binding 

on the parties in accordance with the Eurex Rules.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the Eurex Rules.

This may vary from period to period to the extent 

permitted by the Eurex Rules.

The Eurex Rules may limit the Floating Rate Options 

and other terms for which variable notionals are 

permitted.
Interest Rate Swaps – Eurex Cleared

182

Currency: One of the currencies permitted for the relevant 

transaction type per the Eurex Rules.

Business Days: As per the Eurex Rules, which may require certain 

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the Eurex Rules.

Trade Date: As per the Eurex Rules.

Effective Date: As per the Eurex Rules.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the Eurex Rules for the related type 

of transaction and Currency.

Termination Date Business Day Convention: As per the Eurex Rules, and thus subject to limitations 

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the Eurex Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

Eurex Rules and any other restrictions in the Eurex 

Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the Eurex Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page.

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the Eurex Rules and any other restrictions in the Eurex 

Rules.
Interest Rate Swaps – Eurex Cleared

183

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties.

Compounding: As per the Eurex Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.
Interest Rate Swaps – JSCC Cleared

184

Interest Rate Swaps – JSCC Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Japan Securities 

Clearing Corporation (“JSCC”) (such swaps, “Interest Rate 

Swaps – JSCC Cleared”).

Limitations on Available Selections and 

Default Settings:

The terms under which an Interest Rate Swap – JSCC Cleared 

may be traded are as specified in these terms and conditions, 

which incorporate the JSCC Interest Rate Swap Clearing 

Business Rules 

(金利スワップ取引清算業務に関する業務方法書)and the 

JSCC Handling Procedures of Interest Rate Swap Business 

Rules 

(金利スワップ取引清算業務に関する業務方法書の取扱い) 

(collectively, the “JSCC Rules”).

By electing to trade an Interest Rate Swap – JSCC Cleared, 

participants are representing that they are familiar with the 

JSCC Rules and the limitations on transaction terms 

contained therein. 

In particular, participants represent that they are familiar 

with the limitations on transactions for US Persons set forth 

in Article 47-2 of the JSCC Handling Procedures of Interest 

Rate Swap Business Rules (or any successor provisions).

Incorporated Standards: This contract description incorporates by reference the JSCC 

Rules as in effect from time to time.

The JSCC Rules themselves may incorporate certain additional 

standards, such as the 2000 ISDA Definitions or 2006 ISDA 

Definitions. 

Be aware that the timing of effectiveness of amendments or 

supplements to the ISDA standards may vary between 

bilateral and JSCC-cleared contracts, since JSCC may 

reserve the right to select when and how such changes 

become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the JSCC Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 or ISDA 2006, each as 

amended) binding on the parties in accordance with the JSCC 

Rules.

Notional Amount: An amount in Currency determined by the parties subject to 

limitations in the JSCC Rules.

This may vary from period to period to the extent permitted by 

the JSCC Rules.

The JSCC Rules may limit the Currencies and Floating Rate 

Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant transaction type 

per the JSCC Rules.

Business Days: As per the JSCC Rules, which may require certain Business 

Days be applicable on a per Currency or Floating Rate Option 

Basis and may otherwise limit the available Business Day 

locations which can be elected.
Interest Rate Swaps – JSCC Cleared

185

Business Day Convention: As per the JSCC Rules.

Trade Date: As per the JSCC Rules.

Effective Date: As per the JSCC Rules.

Termination Date: As agreed by the parties, subject to any minimum or maximum 

tenor in the JSCC Rules.

Termination Date Business Day Convention: As per the JSCC Rules, and thus subject to limitations based on 

other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the JSCC Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or maximum 

rate and per-period variability permitted in the JSCC Rules and 

any other restrictions in the JSCC Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to the JSCC Rules, which may provide a more 

limited list of available options for a Currency than does the 

Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules, 

which may provide a more limited set of Designated Maturities 

than does the related rate source page.

Spread: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to any minimum or maximum rate and perperiod variability permitted by the JSCC Rules and any other 

restrictions in the JSCC Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined by the 

parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties.

Compounding: As per the JSCC Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules.

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations in the 

JSCC Rules.
IOS Index Contracts

186

IOS Index Contracts

Terms and Conditions

Summary: This covers Markit IOS Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) the Markit IOS Standard Terms Supplement (March 

12, 2010 version) or any subsequent Standard Terms 

Supplement (the “Standard Terms”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: IOS

ISDA OTC Transaction Type: IOS

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit IOS Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:

Initial Payment: Per the Standard Terms.
IOS Index Contracts

187

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
MBX Index Contracts

188

MBX Index Contracts

Terms and Conditions

Summary: This covers Markit MBX Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit MBX Standard Terms Supplement 

(September 12, 2010 version) or any subsequent 

Standard Terms Supplement (the “Standard 

Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: MBX

ISDA OTC Transaction Type: MBX

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit MBX Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.
MBX Index Contracts

189

Initial Payment:

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
Municipal Market Data Rate Lock Transactions

190

Municipal Market Data Rate Lock Transactions

Terms and Conditions

Summary: This covers rate lock transactions indexed to the 

Thomson Reuters Municipal Market Data (“MMD”) 

AAA Curve (“MMD Rate Lock Transactions”).

Limitations on Available Selections and Default 

Settings:

The terms under which a MMD Rate Lock Transaction 

may be traded are as specified in these terms and 

conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).
Municipal Market Data Rate Lock Transactions

191

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

DV01: As specified by the parties.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal:

DV01 × Fixed Rate × Currency Amount × Day Count Fraction

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Floating Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

DV01 × Calculation Amount × (Floating Rate +Spread) × Floating Rate Day Count Fraction

Payment Dates (“unadjustedPaymentDate”): The Termination Date

Relevant Rate: The Relevant Rate for a Reset Date will be the level of 

the Thomson Reuters Municipal index for a tenor of the 

Designated Maturity which represents the offer-side of 

5.00% coupon “AAA” rated state general obligation 

bonds based on institutional block size ($2 million+) 

market activity in both the primary and secondary 

municipal bond market, as of at 3:00 p.m. eastern 

standard time as published on the Thomson Reuters 

TM3 page.

Designated Maturity (‘indexTenor”) As specified by the parties from among the available 

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): The second Business Day preceding the Floating Rate 

Payment Date.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY
Municipal Market Data Rate Lock Transactions

192

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Notional Amounts

Currency Minimum Increment Maximum Default

USD 25,000,000 1,000,000 N/A N/A
Natural Gas Date/Instrument Spread Contracts

193

Natural Gas Date/Instrument Spread Contracts

Terms and Conditions

Summary: This covers “Natural Gas Date/Instrument Spread Contracts”. 

A natural-gas date/instrument spread contract is a cash-settled agreement

between two counterparties whereby one counterparty agrees to pay a

floating amount to the other counterparty on a given date, and then

receive a different floating amount from the other counterparty on a 

different, later date.

The difference between the two floating amounts is the spread, which is 

the quoted price for the contract.

The floating amounts are based on the notional quantity traded and the

price of natural gas a stated hub published by one of a series of industry.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a 

given issue of the publication source (e.g., monthly based on the first 

issue of the month) or an average of prices (e.g., average of weekly 

bid prices for each weekly issue), as agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate 

(IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) 

(IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention and Minimum 

Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.
Natural Gas Date/Instrument Spread Contracts

194

Notional Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell on the near leg and Buy or Sell on the far leg. 

These would be reversed so that if the first leg is buying the second leg 

must be selling, for instance.

Calculation Periods: Two calculation periods – one for each leg of the spread. 

A single date or date range over which the reference price of the 

commodity will be calculated. 

If a date range the reference price will be averaged across the days, 

contracts or publication source issues as agreed by the counterparties.

Settlement Date(s): Specified settlement or payment date when the floating amounts are 

exchanged.

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Natural Gas – Financial Basis Swap Contracts

195

Natural Gas – Financial Basis Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Financial Basis Swap Contracts”. 

A natural gas financial basis swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated based on 

the reported price for natural gas at a given hub, and in exchange, the second 

counterparty will pay a floating amount to the first counterparty on the same given 

date(s) based on the maturity price of a natural gas futures contract tied to a 

different hub. 

The floating amounts paid are determined based on the notional quantity and, in the 

case of the first floating amount, the price of natural gas a stated hub published by 

one of a series of industry publications and, in the case of the second floating 

amount, an applicable futures contract based on the reference commodity.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given issue of 

the Publication Source (e.g., monthly based on the first issue of the month) or an 

average of prices (e.g., average of weekly bid prices for each weekly issue), as 

agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Contracts on Reference 

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future) Last Day Settlement

For transactions where the settlement currency is CAD, this price will be converted 

to CAD at then-current spot.

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention Notional amount, as agreed by counterparties.
Natural Gas – Financial Basis Swap Contracts

196

and Minimum 

Increment:

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-futures based floating amount is 

paid (buy) or received (sell).

Calculation Period: A single date or date range over which the reference price of the commodity will be 

calculated. 

If a date range the reference price will be averaged across the days, contracts or 

Publication Source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and the 

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Natural Gas – Fixed/Floating Swap Contracts

197

Natural Gas – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Fixed/Floating Swap Contracts”. 

A fixed/floating natural gas swap contract is a cash settled agreement between 

two counterparties whereby one counterparty agrees to pay a fixed amount to 

the other counterparty on a given date, and in exchange the second counterparty 

will pay a floating amount to the first counterparty on the same given date. 

The fixed amount paid is determined based on the notional quantity traded and 

the price of the reference commodity. 

The floating amount paid is determined based on the notional quantity and the 

price of an applicable futures contract based on the reference commodity over 

an agreed future calculation period.

Reference Commodities: • Henry Hub Natural Gas

• Waha Natural Gas

• Permian Natural Gas Basis Swap

• TTF Natural Gas

Contracts on Reference 

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future)

• NYMEX Waha Natural Gas Basis Swap

• NYMEX Permian Natural Gas Basis Swap

• ICE TTF Natural Gas (Monthly)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD (Other than TTF)

• EUR (TTF)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties

Minimum Size: Notional amount, as agreed by counterparties

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD (Other than TTF)

• EUR (TTF)

Trading Conventions: Buy or Sell which refers to whether or not the fixed amount is paid (buy) or 

received (sell).

Calculation Periods: A single date or date range over which the reference price of the commodity will 

be calculated. 

If a date range the reference price will be averaged across all days.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date when the fixed payment amount and the 

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency. 

The contracts settle on both the NYMEX Last Day and NYMEX Penultimate 

publications.
Natural Gas – Swing Swap Contracts

198

Natural Gas – Swing Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Swing Swap Contracts”. 

A natural gas swing swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated 

based on the daily reported price for natural gas at a given hub, and in 

exchange the second counterparty will pay a floating amount to the first 

counterparty on the same given date(s) based on the price at the same hub 

reported for a different period (e.g., weekly or monthly). 

The floating amounts paid are determined based on the notional quantity and, 

in the case of the first floating amount, the daily price of natural gas a stated 

hub published by one of a series of industry publications and, in the case of the 

second floating amount, a price of natural gas the same hub published with 

respect to a different periodicity.

Publication Sources (Non-Daily): • CGPR—Canadian Gas Price Reporter

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given 

issue of the Publication Source (e.g., monthly based on the first issue of the 

month) or an average of prices (e.g., average of weekly bid prices for each 

weekly issue), as agreed by the parties.

Publication Sources (Daily): • Gas Daily –Platt’s Gas Daily’s Daily Report

Reference Commodities and NonDaily Publication Source:

• AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.
Natural Gas – Swing Swap Contracts

199

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-daily price based floating 

amount is paid(buy) or received (sell).

Calculation Period: The reference price may be averaged across the days, contracts or publication 

source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and 

the floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Non-Deliverable Swaps

200

Non-Deliverable Swaps

Terms and Conditions

Summary: This covers non-deliverable single-currency swaps 

(“Non-Deliverable Single-Currency Swaps”) and nondeliverable cross-currency swaps (“Non-Deliverable 

Cross-Currency Swaps” and, together with NonDeliverable Single-Currency Swaps, “Non-Deliverable 

Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which Non-Deliverable SingleCurrency Swaps and Non-Deliverable Cross-Currency 

Swaps may be traded are as specified in these terms and 

conditions or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions (including Supplement 31 

thereto);

(b) ISDA OTC Taxonomies;

(c) FpML Location Codes;

(d) the ISDA/EMTA 1998 FX and Currency Option 

Definitions (“1998 Definitions”);

(e) the EMTA Non-Deliverable Forward Templates;

(f) the EMTA-ISDA Market Practice for NonDeliverable CLP “Cámara” (CLP TNA) Interest 

Rate Swap Transactions (“CLP TNA Best 

Practices”); 

(g) the Recommended EMTA-ISDA Market Practice 

for BRL CDI Non-Deliverable Interest Rate Swap 

Transactions (Amended March 13, 2009) (“BRL 

CDI Best Practices”); 

(h) The current ISDA Revised Non-Deliverable Swap 

Transaction Standard Terms Supplement (“Asian 

STS”); and

(i) The current ISDA Non-Deliverable Swap 

Transaction Fallback Matrix (the “Asian Matrix,” 

and, together with the Asian STS, the “Asian 

Terms”).
Non-Deliverable Swaps

201

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Settlement Currency: With respect to Non-Deliverable Single-Currency 

Swaps, USD.

With respect to any Non-Deliverable Cross-Currency 

Swap, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Index Currency: With respect to any Non-Deliverable Single-Currency 

Swaps, the currency elected by the parties from among 

those specified in the list of Available Single Currencies.

With respect to any Non-Deliverable Cross-Currency 

Swaps, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FX Rate: The amount of Index Currency corresponding to one unit 

of the Settlement Currency.

The FX Rate will be determined on the date determined 

as specified for the relevant Available Single Currency 

or Available Currency Pair and in accordance:

(a) in the case of Index Currencies not identified as 

subject to Asian Terms, with the specified NDF 

Template and Rate Sources and Fallback Rates, treating 

the scheduled date of determination of the FX Rate as 

the “Valuation Date” under the NDF Template; and

(b) in the case of Index Currencies identified as subject 

to Asian Terms, in accordance with the Asian Terms.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction or for any Non-Deliverable Cross-Currency 

Swap Transaction involving ARS or PEN, an amount in 

the Index Currency agreed by the parties.
Non-Deliverable Swaps

202

For any other Non-Deliverable Cross-Currency Swap 

Transaction, an amount in the Index Currency or 

Settlement Currency agreed by the parties.

Fixed Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions.

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is not 

identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal an amount in the Settlement Currency equal to:

FX Rate × Fixed Rate × Currency Amount × Day Count Fraction

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Fixed Amount shall be calculated in accordance with the 

Asian Terms.

Fixed Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Fixed Rate Payer Period End Date 

Business Day Convention.

Fixed Rate Payer Period End Date Business Days: If a Fixed Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Fixed Rate 

Payer Period End Dates will not be adjusted.

Fixed Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Fixed Rate Payer Payment Date 

Business Day Convention.

Fixed Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction, an amount in the Index Currency agreed by 

the parties.

For any Non-Deliverable Cross-Currency Swap, an 

amount in the Settlement Currency agreed by the parties.

For any other Non-Deliverable Cross-Currency Swap, an 

amount agreed by the parties in whichever of the Index 

Currency or Settlement Currency is not the currency in 

which the Fixed Rate Payer Currency Amount is 

denominated.

Floating Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions.

If the Currency Amount is denominated in BRL, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 
Non-Deliverable Swaps

203

be calculated as set forth under Definition of BRL 

Floating Rate Option.

If the Currency Amount is not denominated in the 

Settlement Currency or BRL and the Index Currency is 

not identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal an amount in the Settlement Currency equal to:

FX Rate × Currency Amount × (Floating Rate +Spread) × Floating Rate Day Count Fraction

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Floating Amount shall be calculated in accordance with 

the Asian Terms.

Floating Rate Option: For the relevant Currency, as selected by the parties 

from among the Available Floating Rate Options for 

such Currency.

Designated Maturity (‘indexTenor”): As specified by the parties from among the available 

tenors.

Spread: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Floating Rate Payer Period End 

Date Business Day Convention.

Floating Rate Payer Period End Date Business Days: If a Floating Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Floating Rate 

Payer Period End Dates will not be adjusted.

Floating Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Floating Rate Payer Payment Date 

Business Day Convention.

Floating Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions.

Compounding: As specified by the parties.

Method of Averaging: As specified by the parties.

Final Exchange:

Final Exchange Date: As specified by the parties.

Final Exchange Business Days: As specified by the parties from among the Available 

Business Days.

Final Exchange Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Rate Payer Final Exchange Amount: If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Fixed Rate 

Payer Final Exchange Amount.
Non-Deliverable Swaps

204

If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms, an amount in the Settlement Currency equal to:

FX Rate × Currency Amount

If the Fixed Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Fixed Rate Payer Final Exchange Amount shall 

be calculated in accordance with the Asian Terms.

Floating Rate Payer Final Exchange Amount: If the Floating Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Floating 

Rate Payer Final Exchange Amount.

If the Floating Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms an amount in the Settlement Currency equal to:

FX Rate × Currency Amount

If the Floating Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Floating Rate Payer Final Exchange Amount 

shall be calculated in accordance with the Asian Terms.

Non-Deliverable Swap Settlement Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

Non-Deliverable Swap Available Currencies

Index Currency NDF Template Rate Source Fallback Rate 

Source(s) (in 

order)

Determination 

Date

Business Days

INR N/A N/A N/A N/A INMU

MYR N/A N/A N/A N/A MYKL

THB N/A N/A N/A N/A THBA

Non-Deliverable Cross-Currency Swap Available Currency Pairs

Index 

Currency

Settlement 

Currency

NDF 

Template

Rate Source Fallback Rate 

Source(s) (in 

order)

Determination 

Date

Business 

Days

ARS USD 17 May 06 ARS03 ARS04 Payment – 2 

BD

ARBA

USNY

BRL USD 17 May 06 BRL09 BRL12, 

BRL13

Payment – 2 

BD

USNY and 

any of 

BR{SP,RJ, 

BR}

CLP USD 01 Aug 06 CLP10 CLP11 Payment – 2 

BD

CLSA 

USNY

COP USD 01 Aug 06 COP02 COP03 Payment – 2 

BD

USNY

COBO

PEN USD 03 Dec 07 PEN05 PEN04 Payment – 2 USNY
Non-Deliverable Swaps

205

BD PELI

Applicability of Asian Terms

Index Currency Asian Terms

ARS Not Applicable

BRL Not Applicable

CLP Not Applicable

COP Not Applicable

INR Applicable

MYR Applicable

PEN Not Applicable

THB Applicable

Non-Deliverable Swap Floating Rate Options

Index Currency Floating Rate Option Defined In Business Days

ARS Not Applicable—Fixed Leg ONLY ARBA

USNY

BRL BRL-CDI-CETIP See below USNY and any of 

BR{SP,RJ, BR}

CLP CLP-Indice Cámara 

Promedio (ICP)

CLP TNA Best Practices USNY

CLSA

CLP CLP-Unidad de Fomentos

(UF/CLF)

See below USNY 

CLSA

COP COP-IBR-OISCOMPOUNDISDA 2006 USNY

COBO

COP COP-Unidad de Valor Real 

(UVR)

See below USNY 

COBO

INR INR-FBIL-MIBOR-OISCOMPOUNDISDA 2006 INMU

INR INR-MITOR-OISCOMPOUNDISDA 2006 INMU

MYR MYR-KLIBOR-BNM ISDA 2006 MYKL

PEN Not Applicable—Fixed Leg ONLY USNY

PELI

THB THB-THBFIX-Reuters ISDA 2006 THBA

USD Any USD Floating Rate 

Option available under 

tpSEF’s Fixed/Floating 

Swap Listing 

See tpSEF’s Fixed/Floating 

Swap Listing

See tpSEF’s 

Fixed/Floating Swap 

Listing

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary 

FX Rate × Currency Amount × [∏(1 +

Relevant Ratej

252 ) − 1

N

j=1

]

252

N

⁄

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 
Non-Deliverable Swaps

206

DIOVER- EXTRA Group as published by CETIP (Câmara de 

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties.

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days).

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F.

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF): For any Reset Date, the difference between the value of the 

unidad de fomento (UF/CLF) as certified by the Chilean Banco 

Central de Chile for the calendar day preceding such Reset Date 
Non-Deliverable Swaps

207

and the value of the unidad de fomento (UF/CLF) as certified by 

the Chilean Banco Central de Chile for such Reset Date.

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the CLP-Unidad de 

Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad 

de fomento (UF/CLF) as certified by the Chilean Banco Central 

de Chile, the Calculation Agent shall determine the CLP-Unidad 

de Fomento (UF/CLF) for such day.

Definition of COP-Unidad de Valor Real (UVR)

COP-Unidad de Valor Real (UVR): For any Reset Date, the difference between the value of the 

unidad de valor real (UVR) as certified by the Colombian 

Banco de Republica for the calendar day preceding such Reset 

Date and the value of unidad de valor real (UVR) as certified by 

the Colombian Banco de Republica for such Reset Date.

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the COP-Unidad de 

Valor Real (UVR).

If for any Reset Date there is no published the difference 

between the value of the unidad de valor real (UVR) as certified 

by the Colombian Banco de Republica, the Calculation Agent 

shall determine the COP-Unidad de Valor Real (UVR) for such 

day.

Non-Deliverable Swap Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Non-Deliverable Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Non-Deliverable Single-Currency Swap Notional Amounts

Currency Minimum Increment

INR 5,000,000 100,000

MYR 5,000,000 100,000

RHB 5,000,000 100,000
Non-Deliverable Swaps

208

Non-Deliverable Cross-Currency Swap Notional Amounts

Currency Minimum Increment

ARS As implied by the USD minimum As implied by the USD increment

BRL As implied by the USD minimum As implied by the USD increment

CLP As implied by the USD minimum As implied by the USD increment

COP As implied by the USD minimum As implied by the USD increment

PEN As implied by the USD minimum As implied by the USD increment

USD 1,000,000 100,000
Non-Deliverable Foreign Exchange Options

209

Non-Deliverable Foreign Exchange Options

Terms and Conditions

Summary: This covers “Non-Deliverable Foreign Exchange 

Options”.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards:

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”);

(b) the current EMTA Template Terms for NonDeliverable Currency Option Transactions applicable to 

the Reference Currency and Settlement Currency (to the 

extent available for a particular Currency Pair) (available 

at: https://www.emta.org/ndftt.aspx); and

(c) ISDA OTC Taxonomies.

Contract Types: Each Non-Deliverable Foreign Exchange Option traded is 

bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge.

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Vanilla Option, NDO, Simple Exotic or Complex Exotic

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties.

Commencement Date: The Trade Date, unless otherwise specified by the parties. 

This applies only where the Currency Option Style is 

American.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Currency Option Style: As specified by the parties.
Non-Deliverable Foreign Exchange Options

210

(An American option can be exercised any time up to and 

including the Expiration Date; a European option can 

only be exercised on the Expiration Date.)

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a binary 

or digital option.

Call Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price.

Put Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price.

Strike Price: As specified by the parties (if only one of the Put 

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions.

Settlement Rate Option: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Settlement: Non-Deliverable

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.
Non-Deliverable Foreign Exchange Options

211

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier Event: As specified by the parties.

Calculation Agent: As specified by the parties.

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions.

Non-Deliverable Foreign Exchange Option Available Currency Pairs

AUD/CNY CNY/THB IDR/PHP MYR/CNH THB/INR

AUD/IDR CNY/TWD IDR/THB MYR/CNY THB/KRW

AUD/INR EUR/ARS IDR/TWD MYR/EUR THB/MYR

AUD/KRW EUR/BRL INR/AUD MYR/GBP THB/PHP

AUD/MYR EUR/CLP INR/CAD MYR/IDR THB/TWD

AUD/PHP EUR/CNY INR/CHF MYR/INR TWD/AUD

AUD/TWD EUR/COP INR/CNH MYR/JPY TWD/CAD

BRL/JPY EUR/IDR INR/CNY MYR/KRW TWD/CHF

BRL/MXN EUR/INR INR/EUR MYR/NZD TWD/CNH

CAD/BRL EUR/KRW INR/GBP MYR/PHP TWD/CNY

CAD/CNY EUR/KZT INR/HKD MYR/SGD TWD/EUR

CAD/IDR EUR/MYR INR/IDR MYR/TWD TWD/GBP

CAD/INR EUR/PEN INR/JPY NZD/CNY TWD/HKD

CAD/KRW EUR/PHP INR/KRW NZD/IDR TWD/IDR

CAD/MYR EUR/TWD INR/NZD NZD/INR TWD/INR

CAD/PHP EUR/UAH INR/PHP NZD/KRW TWD/JPY

CAD/TWD GBP/BRL INR/SGD NZD/MYR TWD/KRW

CHF/BRL GBP/CNY INR/TWD NZD/PHP TWD/MYR

CHF/CNY GBP/IDR JPY/CNY NZD/TWD TWD/NZD

CHF/IDR GBP/INR JPY/IDR PHP/AUD TWD/PHP

CHF/INR GBP/KRW JPY/INR PHP/CAD TWD/SGD

CHF/KRW GBP/MYR JPY/KRW PHP/CHF TWD/THB

CHF/MYR GBP/PHP JPY/MYR PHP/CNH USD/ARS

CHF/PHP GBP/TWD JPY/PHP PHP/CNY USD/BRL

CHF/TWD HKD/CNY JPY/TWD PHP/EUR USD/CLP
Non-Deliverable Foreign Exchange Options

212

CNH/IDR HKD/IDR KRW/AUD PHP/GBP USD/CNY

CNH/INR HKD/INR KRW/CAD PHP/HKD USD/COP

CNH/KRW HKD/KRW KRW/CHF PHP/IDR USD/EGP

CNH/MYR HKD/MYR KRW/CNH PHP/INR USD/GHS

CNH/PHP HKD/PHP KRW/CNY PHP/JPY USD/IDR

CNH/TWD HKD/TWD KRW/EUR PHP/KRW USD/INR

CNY/AUD IDR/AUD KRW/GBP PHP/MYR USD/KES

CNY/CAD IDR/CAD KRW/IDR PHP/NZD USD/KRW

CNY/CHF IDR/CHF KRW/INR PHP/THB USD/KZT

CNY/EUR IDR/CNH KRW/JPY PHP/TWD USD/MYR

CNY/GBP IDR/CNY KRW/MYR SGD/CNY USD/NGN

CNY/HKD IDR/EUR KRW/NZD SGD/IDR USD/PEN

CNY/IDR IDR/GBP KRW/PHP SGD/INR USD/PHP

CNY/INR IDR/HKD KRW/SGD SGD/KRW USD/RUB

CNY/JPY IDR/INR KRW/THB SGD/MYR USD/TWD

CNY/KRW IDR/JPY KRW/TWD SGD/PHP USD/UAH

CNY/MYR IDR/KRW MYR/AUD SGD/TWD USD/VND

CNY/NZD IDR/MYR MYR/CAD THB/CNY USD/ZMW

CNY/PHP IDR/NZD MYR/CHF THB/IDR
Non-Deliverable Forward Foreign Exchange Contracts

213

Non-Deliverable Forward Foreign Exchange Contracts

Terms and Conditions

Summary: A non-deliverable forward (“NDF”) is an outright 

forward in which the counterparties settle the difference

between the contracted NDF price or rate and the 

prevailing spot price or rate on an agreed notional 

amount in an agreed settlement currency.

Reference Currency

(i.e., Non-Delivery Currency):

• AOA Angolan Kwanza

• ARS Argentine Peso 

• BDT Bangladeshi Taka

• BRL Brazilian Real 

• CLP Chilean Peso 

• COP Colombian Peso 

• CNY Chinese Renminbi 

• DZD Algerian Dinar

• EGP Egyptian pound 

• GHS Ghanaian Cedi

• GTQ Guatemalan quetzal 

• IDR Indonesian Rupiah 

• INR Indian Rupee 

• KES Kenyan Shilling

• KRW South Korean Won 

• KZT Kazakh tenge 

• LKR Sri Lankan Rupee

• MAD Moroccan Dirham

• MUR Mauritian Rupee

• MYR Malaysian Ringgit 

• MZN Mozambican Metical

• NGN Nigerian Naira

• PEN Peruvian nuevo sol 

• PHP Philippine Peso 

• PKR Pakistani Rupee

• RUB Russian ruble 

• TND Tunisian Dinar

• TWD Taiwan Dollar 

• TZS Tanzanian Shilling
Non-Deliverable Forward Foreign Exchange Contracts

214

• UAH Ukrainian Hryvnia

• UGX Ugandan Shilling

• UYU Uruguayan peso 

• VEB Venezuelan bolívar

• VND Vietnamese đồng 

• XAF Central African CFA Franc

• XOF West African CFA Franc

• ZMW Zambian Kwacha

Settlement Currency: • AUD Australian Dollar

• CAD Canadian Dollar

• EUR Euro

• GBP British Pound

• JPY Japanese Yen

• USD US Dollar

• CHF Swiss Franc

Quoting Convention and Minimum Increment: Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which contract size is expressed, as agreed 

by counterparties.

Trading Conventions: Buy or Sell which refers to the contract size expressed 

in notional currency.

Forward Rates: Currency exchange rate expressed as the amount of 

reference currency per unit of settlement currency.

Trade Date: The date on which parties enter into the contract.

Settlement Date: Specified settlement or payment date, as agreed by 

counterparties.

Fixing Date: The date at which the difference between the prevailing 

market exchange rate and the agreed upon exchange 

rate is calculated.

Settlement Procedure: Bilateral settlement performed in settlement currency.

Disruption Events: Unless otherwise specified by the parties, as set forth in 

the EMTA Template Terms for Non-Deliverable FX 

Forward Transactions applicable to the Reference 

Currency and Settlement Currency:

http://www.emta.org/ndftt.aspx
PO Index Contracts

215

PO Index Contracts

Terms and Conditions

Summary: This covers Markit PO Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit PO Standard Terms Supplement (June 

12, 2010 version) or any subsequent Standard 

Terms Supplement (the “Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: PO

ISDA OTC Transaction Type: PO

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit PO Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:
PO Index Contracts

216

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

217

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating interest 

rate swaps cleared by the Chicago Mercantile Exchange 

Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared may be traded 

are as specified in these terms and conditions, which 

incorporate the CME Rulebook, in particular Chapters 

900 and 901 (and any successor provisions) and the 

CME Cleared IRS Product Scope (or any successor).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared, 

participants are representing that they are familiar

with the CME Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

218

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate for Initial Calculation Period: As per the CME Rulebook.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Compounding: As per the CME Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the CME Rulebook.
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

219

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating swaps 

cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swaps/LCH Cleared contract may 

be traded are as specified in these terms and conditions, 

which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/LCH Cleared, participants 

are representing that they are familiar with the LCH 

Rulebook and the limitations on transaction terms 

contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, since 

the LCH may reserve the right to select when and how 

such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with LCH Clearing Requirements

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA 2006) elected 

by, or otherwise binding on, the parties in accordance with 

the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties subject 

to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant transaction 

type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in the 

LCH Rulebook, which may limit the earliest or latest day 

on which such fees may be paid based on Currency or 

other factors.
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

220

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or Floating 

Rate Option Basis and may otherwise limit the available 

Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

LCH Rulebook.

Floating Rate Payer As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Rate Payer Compounding Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the related 

rate source page.

Spread: Subject to any minimum or maximum rate and per-period 

variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction.
U.S. Electricity – Fixed/Floating Swap Contracts

221

U.S. Electricity – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers fixed-for-floating U.S. electricity swaps 

(“U.S. Electricity – Fixed/Floating Swap Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which U.S. Electricity – Fixed/Floating 

Swap Contracts may be traded are shown below or in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy

ISDA OTC Sub-Product: Elec

ISDA OTC Transaction type: Swap

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: USNY

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: USNY

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Commodity As specified by the parties from among the Available 

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Settlement Periods: If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein.

Parties may specify one of the Available Set Tenors as a 

Settlement Period or may specify another period.
U.S. Electricity – Fixed/Floating Swap Contracts

222

Applicable Days: If applicable to the relevant Commodity Reference Price 

and specified therein or if applicable to the relevant 

Available Set Tenor and specified therein (i.e., Month).

Applicable Days does not apply to Commodity 

Reference Prices under the headings “ISDA Definition” 

or “Exchange Definition”.

Duration: Hourly

Start Time(s)/End Time(s): If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.

Payment Date Business Days: USNY

Payment Date Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.

U.S. Electricity – Fixed/Floating Swap Contracts Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

U.S. Electricity – Fixed/Floating Swap Contracts Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

U.S. Electricity – Fixed/Floating Swap Contracts Available Set Tenors
U.S. Electricity – Fixed/Floating Swap Contracts

223

Set Tenor Settlement Period

Month The specified calendar month; if OFF PEAK/PEAK is 

not specified, PEAK is assumed

Season Season Days in Specified Year

Winter 1 January through the last 

day of February in the 

specified year

Spring 1 March through 30 April 

in the specified year

Summer 1 July through 31 August 

in the specified year

Quarter Quarter Number Days in Specified Year

Q1 1 January through 31 

March

Q2 1 April through 30 June

Q3 1 July through 30 

September

Q4 1 October through 31 

December

Calendar Year 1 January through 31 December in the specified year

Planning Year 1 June in the specified beginning calendar year through 

31 May in the specified ending calendar year

U.S. Electricity – Fixed/Floating Swap Contracts Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

Note that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the 

Clock”); for the equivalent Peak and Off-Peak prices, see below.

ISDA Definition

ELECTRICITY-NYISO-ZONE A (WEST)-DAY AHEAD

ELECTRICITY-NYISO-ZONE G (HUD VL)-DAY AHEAD

ELECTRICITY-NYISO-ZONE J (N.Y.C.)-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-MASS HUB-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-NE MASS BOSTON-DAY AHEAD

ELECTRICITY-PJM-EASTERN HUB-DAY AHEAD

ELECTRICITY-PJM-PSEG-DAY AHEAD

ELECTRICITY-PJM-WESTERN HUB-DAY AHEAD

Exchange Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. Note 

that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the Clock”); 

for the equivalent Peak and Off-Peak prices, see below.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

ELECTRICITY Electricity MwH ICE USD 0.01 "ELECTRICIT
U.S. Electricity – Fixed/Floating Swap Contracts

224

-NP15 DAY 

AHEAD PEAKICE

Y-CAISONP15-DAY 

AHEAD"

ELECTRICITY

-NP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISONP15-DAY 

AHEAD"

ELECTRICITY

-SP15 DAY 

AHEAD OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY 

AHEAD"

ELECTRICITY

-SP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY 

AHEAD"

ELECTRICITY

-PALO VERDE 

OFF PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE 

OFF-PEAK-ICE

ELECTRICITY

-PALO VERDE 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE 

PEAK-ICE

ELECTRICITY

-MID C OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C OFFPEAK-ICE

ELECTRICITY

-MID C PEAKICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C PEAKICE

Non-ISDA, Non-Exchange Definitions

For any of the Commodity Reference Prices below, the price for the Settlement Period specified for that Pricing Date 

will be that hour’s Specified Price per MWh of electricity for delivery on an Applicable Day specified for that 

Commodity Reference Price, published by the specified Source on the specified Page under the specified Heading 

(or any successor Source, Page or Heading), that reports prices effective on such Applicable Day.

Commodity 

Reference Price

Settlement 

Period

Source Page Heading

ELECTRICITYPJM-AEP 

DAYTON HUBATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBN/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspx

AEP DAYTON 

HUB, TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

225

ATC 

REALTIME

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

REAL TIME

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

REAL TIME

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-COMED 

HUB-ATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYPJM-COMED 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYPJM-COMED 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYMISOINDIANA HUBATC DAY 

AHEAD

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBPEAK DAY 

AHEAD

Eastern 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBATC REAL 

TIME

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBOFF PEAK 

REAL TIME

Eastern Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBPEAK REAL Eastern 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)
U.S. Electricity – Fixed/Floating Swap Contracts

226

TIME

ELECTRICITYMISOMICHIGAN 

HUB-ATC DAY 

AHEAD

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISOMICHIGAN

HUB-OFF 

PEAK DAY 

AHEAD

Central Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISOMICHIGAN 

HUB-PEAK 

DAY AHEAD

Central 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK 

DAY AHEAD

Central Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK DAY 

AHEAD

Central 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC REAL 

TIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK 

REAL TIME

Central Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK REAL 

TIME

Central 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYISO NEW N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate.Z.CONNECTICUT

, Locational 
U.S. Electricity – Fixed/Floating Swap Contracts

227

ENGLANDCONNECTICU

T ZONE-ATC 

DAY AHEAD

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW See ISDA Definition
U.S. Electricity – Fixed/Floating Swap Contracts

228

ENGLANDMASS HUBATC DAY 

AHEAD

ELECTRICITYISO NEW 

ENGLANDMASS HUBOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HU

B, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMASS HUBPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HU

B, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-DAY 

AHEAD

See ISDA Definition

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh

ELECTRICITY- N/A ISO NE http://www.iso- .Z.WCMASS, 
U.S. Electricity – Fixed/Floating Swap Contracts

229

ISO NEW 

ENGLANDWCMASS 

ZONE-DAY 

AHEAD

ne.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYPJMATLANTIC 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJMATLANTIC 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJMATLANTIC 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-PEAK 

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

230

DAY AHEAD

ELECTRICITYPJM-DPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-DPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-DPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-EASTERN 

HUB-ATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYPJM-EASTERN 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP

ELECTRICITYPJM-EASTERN 

HUB- PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP

ELECTRICITYPJM-JCPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-JCPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-JCPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-PECO N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

231

ZONE-ATC 

DAY AHEAD

ELECTRICITYPJM-PECO 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PECO 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PSEG 

ZONE-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITY- Eastern PJM http://www.pjm.com/markets-and- PSEG ZONE, 
U.S. Electricity – Fixed/Floating Swap Contracts

232

PJM-PSEG 

ZONE-OFF 

PEAK DAY 

AHEAD

Off-Peak operations/energy/day-ahead/lmpda.aspx TotalLMP

ELECTRICITYPJM-PSEG 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPSEG ZONE, 

TotalLMP

ELECTRICITYPJM-WESTATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYPJM-WESTOFF PEAK 

DAY AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP

ELECTRICITYPJM-WESTPEAK DAY 

AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP

ELECTRICITYPJM-WEST 

HUB-ATC 

REALTIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYPJM-WEST 

HUB-OFF 

PEAK REAL 

TIME

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYPJM-WEST 

HUB-OFF 

PEAK REAL 

TIME

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYNYISO-NY 

ZONE A-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY 

ZONE A-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE A- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE A-ATC 

DAY AHEAD

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

WEST, LBMP 

($/MWHr)
U.S. Electricity – Fixed/Floating Swap Contracts

233

ZONE A-OFF 

PEAK DAY 

AHEAD

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

ELECTRICITYNYISO-NY 

ZONE A- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C-ATC 

DAY AHEAD

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE G-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY 

ZONE G-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

HUD VL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE G- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

HUD VL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE H-ATC 

DAY AHEAD

See ISDA 

Definition

ELECTRICITYNYISO-NY 

ZONE H-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

N.Y.C., LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE H- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

N.Y.C., LBMP 

($/MWHr)

ELECTRICITYCAISO-NP 15 

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-NP15- PEAK-ICE and ELECTRICITY-NP15- OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 
U.S. Electricity – Fixed/Floating Swap Contracts

234

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange).

ELECTRICITYCAISO-SP 15 

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-SP15- PEAK-ICE and ELECTRICITY-SP15- OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange).

ELECTRICITYPALO VERDE 

ATC-ICE

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-PALO VERDE PEAK-ICE and ELECTRICITY-PALO VERDE OFFPEAK-ICE Commodity Reference Prices for the relevant period, weighted on the basis of the 

number of hourly periods in the relevant period which are peak and off-peak respectively 

(with peak and off peak having the meaning specified in the definition of the Commodity 

Reference Price by the Exchange)

ELECTRICITYMID C ATCICENotwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-MID C PEAK-ICE and ELECTRICITY-MID C OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange)

U.S. Electricity – Fixed/Floating Swap Contracts Specified Time Periods

Non-FERC Holidays (all times are 

Hours Ending and use 24-hour 

clock)

FERC Holidays

California Off Peak Excludes 0700 through 2200 Pacific 

Prevailing Time

Includes all hours on FERC 

Holidays

California Peak Includes 0700 through 2200 Pacific 

Prevailing Time

Excludes all hours on FERC 

Holidays

Eastern Off Peak1 Excludes 0800 through 2300 Eastern 

Prevailing Time

Includes all hours on FERC 

Holidays

Eastern Peak Includes 0800 through 2300 Eastern 

Prevailing Time

Excludes all hours on FERC 

Holidays

 

1 Times for Commodity Reference Prices reported for Central Timezone (e.g., Illinois, Michigan) will be converted 

to their Eastern time equivalents
USD Equity Basket Swap (Broad Based)

235

USD Equity Basket Swap (Broad Based)

Terms and Conditions

Summary: This covers equity total-return swaps on broad-based 

baskets of equities traded in USD. 

For purposes of relevant CFTC and SEC regulations, such 

basket shall be on a broad-based index.

Limitations on Available Selections and Default 

Settings:

The terms under which USD Equity Basket Swap (Broad 

Based) may be traded are shown below or in the attached 

tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate Options.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards:

(a) 2006 ISDA Definitions;

(b) 2002 ISDA Equity Derivatives Definitions; and

(c) Annex SS to 2004 Americas Interdealer Master Equity 

Derivatives Confirmation (except that references therein 

to the 2000 ISDA Definitions shall be deemed references 

to the 2006 ISDA Definitions).

For convenience, certain terms are mapped to their FpML 

5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Basket

Further Limitations: None

Terms:

Type of Transaction: Share Basket Swap Transaction

Trade Date: As agreed by the parties.

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): Per Annex SS, unless otherwise agreed by the parties.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): Per Annex SS, unless otherwise specified by the parties.

Basket: As specified by the parties in compliance with the rules 
USD Equity Basket Swap (Broad Based)

236

and regulations of the CFTC and SEC applicable to 

broad-based indices.

Exchange(s): As specified by the parties with respect to each Share 

comprised in the Basket.

Related Exchanges: Per Annex SS, unless otherwise agreed by the parties.

Hedging Party: As specified by the parties.

Determining Party: As specified by the parties.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: Per Annex SS.

Type of Return: Total Return

Initial Price: As specified by the parties and adjusted in accordance 

with Annex SS.

Final Price: As per Annex SS unless otherwise agreed by the parties.

Valuation Time: As per Annex SS unless otherwise agreed by the parties.

Valuation Date: As specified by the parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): As per Annex SS.

Payment Dates: As per Annex SS, unless otherwise agreed by the parties.

Floating Rate Option (“floatingRateIndex”): As per Annex SS, unless otherwise agreed by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: Actual/360

Reset Date (“resetDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment 

Dates):

As per Annex SS, unless otherwise specified by the 

parties.

Settlement Terms:

Cash Settlement: Applicable

Settlement Currency: USD

Dividends:

Dividend Payment Date(s): As per Annex SS unless otherwise agreed by the parties.

Dividend Period: As per Annex SS unless otherwise agreed by the parties.

Dividend Amount: As per Annex SS unless otherwise agreed by the parties.

Relevant Dividend: If type of return is “Total Return” as per Annex SS unless 

otherwise agreed by the parties.

Reinvestment of Dividends: Inapplicable

Dividend Recovery: As per Annex SS unless otherwise agreed by the parties.

Adjustment Events:

Method of Adjustment: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Consequences of Merger Events:

Share-for-Share: As per Annex SS unless otherwise agreed by the parties.

Share-for-Other: As per Annex SS unless otherwise agreed by the parties.

Share-for-Combined: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Consequences of Tender Offers:

Tender Offer: As per Annex SS, unless otherwise agreed by the parties.

Share-for-Share As agreed by the parties if Tender Offer is applicable.
USD Equity Basket Swap (Broad Based)

237

Share-for-Other: As agreed by the parties if Tender Offer is applicable.

Share-for-Combined: As agreed by the parties if Tender Offer is applicable.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Composition of Combined Consideration: Per Annex SS unless otherwise agreed by the parties.

Nationalization, Insolvency or Delisting: Per Annex SS unless otherwise agreed by the parties.

Additional Disruption Events:

Change in Law: As per Annex SS, unless otherwise agreed by the parties.

Insolvency Filing: As per Annex SS, unless otherwise agreed by the parties.

Hedging Disruption: As per Annex SS.

Increased Cost of Hedging: As per Annex SS unless otherwise agreed by the parties.

Loss of Stock Borrow: Inapplicable

Increased Cost of Stock Borrow: Inapplicable

Non-Reliance: As per Annex SS unless otherwise agreed by the parties.

Agreements and Acknowledgements Regarding 

Hedging Activities:

As per Annex SS.

Additional Acknowledgements: As per Annex SS unless otherwise agreed by the parties.

Index Disclaimer: As per Annex SS unless otherwise agreed by the parties.

Mutual Early Termination Right: As agreed by the parties.

Interest Breakage Cost: If Mutual Early Termination Right is applicable, as 

specified by the parties.

Calculation Agent: As agreed by the parties.

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A One Year from 

Effective Date

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Requirements and Defaults

Date Requirement Default

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
Mr. Christopher J. Kirkpatrick

April 23, 2021

EXHIBIT III

tpSEF Rulebook – Appendix B (Marked)
tpSEF Inc. Rulebook

Appendix B

tpSEF Inc.

Swap Specifications

Effective April 1323, 2021

ACTIVE 246164622
2

TABLE OF CONTENTS

Page

AECO XW6 Options .......................................................................................................................5

Agricultural Options ........................................................................................................................7

Basis Swaps ...................................................................................................................................10

Basis Swaps – CME Cleared .........................................................................................................31

Basis Swaps – LCH Cleared ..........................................................................................................33

BCOM WTI Crude Oil Exotic Options.........................................................................................35

BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions.......................................................................................................................................38

Bullion Options..............................................................................................................................43

CDS – ABX Indices (Broad Based) Contracts..............................................................................47

CDS Index Contract – Emerging Markets Swaps and Swaptions.................................................49

CDS Index Contract – European Crossover 5Y Swaps and Swaptions.........................................51

CDS Index Contract – European HiVol 5Y Swaps and Swaptions...............................................53

CDS Index Contract – European IG 5Y Swaps and Swaptions.....................................................55

CDS Index Contract – European IG 10Y Swaps and Swaptions...................................................57

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions59

CDS Index Contracts – CMBX......................................................................................................62

CDS Index Contracts – iTraxx Australia.......................................................................................64

CDS Index Contracts – iTraxx Japan.............................................................................................66

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade) .....................68

CDS Index Contracts – MCDX Index ...........................................................................................69

Commodity Index Swaps...............................................................................................................71

Deliverable Foreign Exchange Options.........................................................................................76

Equity Index Swaps .......................................................................................................................80
3

Equity Index Variance Swaps........................................................................................................94

Equity Index Volatility Swaps.......................................................................................................97

Fixed for Floating Agricultural Swaptions..................................................................................100

Fixed for Floating Agricultural Swap Contracts..........................................................................104

Fixed for Floating Interest Rate Swaps........................................................................................107

Fixed for Floating Interest Rate Swaptions .................................................................................130

Forward Rate Agreements (Uncleared) .......................................................................................146

Forward Rate Agreements – CME Cleared .................................................................................150

Forward Rate Agreements – LCH Cleared..................................................................................152

iBoxx Index Swaps......................................................................................................................154

Inflation Swaps ............................................................................................................................162

Interest Rate Caps/Floors.............................................................................................................167

Interest Rate Swaps – ASX Cleared ............................................................................................179

Interest Rate Swaps – Eurex Cleared...........................................................................................181

Interest Rate Swaps – JSCC Cleared ...........................................................................................184

IOS Index Contracts.....................................................................................................................186

MBX Index Contracts..................................................................................................................188

Municipal Market Data Rate Lock Transactions.........................................................................190

Natural Gas Date/Instrument Spread Contracts...........................................................................193

Natural Gas – Financial Basis Swap Contracts............................................................................195

Natural Gas – Fixed/Floating Swap Contracts.............................................................................197

Natural Gas – Swing Swap Contracts..........................................................................................198

Non-Deliverable Swaps...............................................................................................................200

Non-Deliverable Foreign Exchange Options...............................................................................209

Non-Deliverable Forward Foreign Exchange Contracts..............................................................213
4

PO Index Contracts......................................................................................................................215

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared ...................................217

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared ...................................219

U.S. Electricity – Fixed/Floating Swap Contracts.......................................................................221

USD Equity Basket Swap (Broad Based)....................................................................................235
AECO XW6 Options

5

AECO XW6 Options

Terms and Conditions

Summary: This covers AECO XW6 Options (“AECO XW6 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which AECO XW6 Options covered 

by this filing may be traded are shown below and in the 

attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”) 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy

ISDA OTC Transaction Type: Swap

ISDA OTC Settlement Type Cash

Terms:

Trade Date: As agreed by the parties.

Commodity: Natural gas

Total Notional Quantity: As agreed by the parties.

Notional Quantity (Daily) As agreed by the parties.

Calculation Period(s): As agreed by the parties.

Option Style: European, American, as agreed by the parties.

Option Type:

Buyer: As specified by the parties.

Seller: As specified by the parties.

Commodity Reference Price: Natural Gas - NGX AB-NIT Month Ahead Index 7A 

(Canadian Dollar/Gigajoule)-Canadian Gas Price 

Reporter

Business Days: As specified by the parties.

Business Day Convention: Following business day

Pricing Date(s): As specified by the parties.

Strike Price: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Automatic Exercise: Applicable

Cash Settlement: Applicable

Settlement Date: As specified by the parties.

Calculation Agent: As specified by the parties.

Settlement Amount: As specified by the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.
AECO XW6 Options

6

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.
Agricultural Options

7

Agricultural Options

Terms and Conditions

Summary: This covers uncleared agricultural options (“Agricultural 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which Agricultural Options may be 

traded are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Commodity: As specified by the parties from among the Available 

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: For an Asian Option, as specified by the parties on a perCalculation-Period Basis.

Calculation Period(s): For an Asian Option, as specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: For an Asian Option, as specified by the parties from 

among the Available Business Day Conventions.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: As specified by the parties from among the Available 

Option Types.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Business Day: As specified by the parties.

Pricing Date(s): As specified by the parties.

Method of Averaging: For Asian Options, as specified by the parties or 

otherwise per the Commodity Definitions.

Strike Price per Unit: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.
Agricultural Options

8

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the 

times on such days specified by the parties.

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Cash Settlement Terms:

Cash Settlement: Applicable

Settlement Dates: As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Calculation Agent: As agreed by the parties.

Agricultural Option Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Agricultural Options Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Agricultural Option Available Option Style

ISDA Name

American

European

Bermuda

Asian

Agricultural Options Available Commodity Reference Prices

ISDA Definitions
Agricultural Options

9

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT

 

1The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.
Basis Swaps

10

Basis Swaps

Terms and Conditions

Summary: This covers basis swaps (“Basis Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap may be traded are 

as specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: None
Basis Swaps

11

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount 1 (“FA1”):

FA1 Payer (“payerPartyReference”): As specified by the parties.

FA1 Currency Amount (“notionalAmount”): As specified by the parties.

FA1 Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

FA1 first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

FA1 Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

FA1 initial Floating Rate: As specified by the parties.

FA1 Floating Rate Option (“floatingRateIndex”): As specified by the parties.

FA1 Designated Maturity (‘indexTenor”): As specified by the parties.

FA1 Linear Interpolation: For the Calculation Periods specified by the parties.

FA1 Shorter Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA1 Longer Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA1 Spread: As specified by the parties.

FA1 Day Count Fraction: As specified by the parties.

FA1 Reset Dates (“resetDate”): As specified by the parties.

FA1 Method of Averaging: As specified by the parties.

FA1 Compounding: As specified by the parties.

FA1 Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

FA1 Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

FA1 Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

FA1 Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA1 Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days

FA1 Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA1 Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.
Basis Swaps

12

FA1 Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount 2 (“FA2”):

FA2 Payer (“payerPartyReference”): As specified by the parties.

FA2 Currency Amount (“notionalAmount”): As specified by the parties.

FA2 Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

FA2 first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

FA2 Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

FA2 initial Floating Rate: As specified by the parties.

FA2 Floating Rate Option (“floatingRateIndex”): As specified by the parties.

FA2 Designated Maturity (“indexTenor”): As specified by the parties.

FA2 Linear Interpolation: For the Calculation Periods specified by the parties.

FA2 Shorter Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA2 Longer Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA2 Spread: As specified by the parties.

FA2 Day Count Fraction: As specified by the parties.

FA2 Reset Dates (“resetDate”): As specified by the parties.

FA2 Method of Averaging: As specified by the parties.

FA2 Compounding: As specified by the parties.

FA2 Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

FA2 Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

FA2 Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

FA2 Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA2 Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

FA2 Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA2 Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

FA2 Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are 

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap. 

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is not 

applicable. 

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

FA1 Payer Initial Exchange Amount: As specified by the parties.
Basis Swaps

13

FA2 Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

FA1 Payer Interim Exchange Amount: As specified by the parties.

FA2 Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

FA1 Payer Final Exchange Amount: As specified by the parties.

FA2 Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller's Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a cross currency Transaction whose 

currencies are listed as a “currency pair” in the Cross 

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.
Basis Swaps

14

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Basis Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

JPY Japanese Yen JPTO

MXN New Mexican Peso MXMC

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO
Basis Swaps

15

Basis Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Basis Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Basis Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN, ZAR Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP, ZAR Plus Zero

Basis Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Basis Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HKD 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

JPY 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 5,000,000 100,000 N/A N/A
Basis Swaps

16

ZAR 5,000,000 100,000 N/A N/A

Basis Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBRAUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

17

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CLP-CLICPBloomberg All quoted tenors N/A A/360 N

CLP-Unidad de 

Fomento (UF/CLF) All quoted tenors N/A A/360 N

CZK-PRIBOR-PRBO All quoted tenors N/A A/360 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2- All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

18

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

DKNA13

DKK-CITADKNA14-

COMPOUND

All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

19

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIAOIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-11:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-12:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

20

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

Swaps-11:00-ICAP

GBP-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-

ICAP

All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBARONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

GBP-WMBASONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap RateAll quoted tenors N/A Per ISDA 2006 N
Basis Swaps

21

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

4:00-BGCANTOR

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap 

Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks)-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBORZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

22

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIEReference Banks All quoted tenors N/A Per ISDA 2006 N

MXN-Unidades de 

Inversión (UDI) N/A N/A See below N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

PLN-WIBOR_WIBO All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

23

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAPCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA 

Municipal Swap 

Index

All quoted tenors N/A Per ISDA 2006 N

USD-BSBY All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

24

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-

FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsSOFR All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-

Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-

Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-

LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY- All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

25

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

ICAP

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-PrimeReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P IndexHigh Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap 

Index

All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006

No

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF) For any Reset Date, the difference between the value of the unidad de 
Basis Swaps

26

fomento (UF/CLF) as certified by the Chilean Banco Central de Chile

for the calendar day preceding such Reset Date and the value of the 

unidad de fomento (UF/CLF) as certified by the Chilean Banco Central 

de Chile for such Reset Date.

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

payable by reference to the CLP-Unidad de Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad de 

fomento (UF/CLF) as certified by the Chilean Banco Central de Chile, 

the Calculation Agent shall determine the CLP-Unidad de Fomento 

(UF/CLF) for such day.

Definition of MXN-Unidades de Inversión (UDI)

MXN-Unidades de Inversión (UDI) For any Reset Date, the difference between the value of the unidad de 

inversión (UDI) as published by the Mexican Banco de México for the 

calendar day preceding such Reset Date and the value of the unidad de 

inversión (UDI) as published by the Mexican Banco de México for 

such Reset Date.

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

payable by reference to the CLP MXN-Unidades de Inversión (UDI).

If for any Reset Date there is no published value of the MXNUnidades de Inversión (UDI) as certified by the Mexican Banco de 

México, the Calculation Agent shall determine the CLP MXNUnidades de Inversión (UDI) for such day.

Basis Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix Applicable (to Mark-to-Market 

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day Following
Basis Swaps

27

Convention:

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Definition of USD-SOFR-COMPOUND

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006.

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the 

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it 

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as 

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the 

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which 

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is 

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of OBFR 

has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be permanently 

or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or other official 

sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to, Swap 

Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period occurring on 

or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR 

were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if 

necessary, in accordance with the method set forth in Section 8.1(a):

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the 

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities 

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in the 

relevant Calculation Period;

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New 

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of 

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day 
Basis Swaps

28

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities 

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a 

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as 

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was published 

on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi; 

“d” is the number of calendar days in the relevant Calculation Period;

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following 

events:

(a) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR) announcing 

that it has ceased or will cease to provide SOFR permanently or indefinitely, provided that, at that time, there is 

no successor administrator that will continue to provide SOFR; 

(b) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a 

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely, 

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(c) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to, but 

need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor 

administrator of SOFR) ceases to publish SOFR or the date as of which SOFR may no longer be used; and

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York, as 

the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and published 

on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single rate, the midpoint of the short-term interest rate target range set by the Federal Open Markets Committee and published on the 

Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target range and the lower 

bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at 

http://www.federalreserve.gov, or any Successor Source.

Basis Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date Following
Basis Swaps

29

Business Day Convention:

Mandatory Early Termination Date 

Business Day Convention:

Modified Following

Basis Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Basis Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement 

Matrix:

Applicable, if cross currency swap 

with currency pair included in 

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but one Valuation 

Business Day before 

Mandatory/Optional Early 

Termination Date for MXN and 

same day for CAD, GBP or DKK 

with Floating Rate Option of “DKKCIBOR-DKNA13” or “DKKCIBOR-DKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 
Basis Swaps

30

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Basis Swaps – CME Cleared

31

Basis Swaps – CME Cleared

Terms and Conditions

Summary: This covers single-currency floating-for-floating 

(“basis”) swaps cleared by Chicago Mercantile 

Exchange Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap/CME Cleared 

may be traded are as specified in these terms and 

conditions and which incorporate the CME Rulebook, 

in particular Chapters 900 and 901 (and any successor 

provisions) and the CME Cleared IRS Product Scope 

(or any successor).

By electing to trade a Basis Swap/CME Cleared, 

participants are representing that they are familiar 

with the CME Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA 

Definitions. Be aware that the timing of effectiveness 

of amendments or supplements to the ISDA 

standards may vary between bilateral and CME 

contracts, since the CME may reserve the right to 

select when and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Basis

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.
Basis Swaps – CME Cleared

32

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook.

Floating Rate Payer 1 Floating Rate Payer Payment 

Dates:

As per the CME Rulebook.

Floating Rate Payer 1 Floating Amount: As per the CME Rulebook.

Floating Rate Payer 1 Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set.

Floating Rate Payer 1 Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 1 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Floating Rate Payer 1 Reset Dates: As the per CME Rulebook.

Floating Rate Payer 1 Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate Payer 1 Compounding: As per the CME Rulebook.

Floating Rate Payer 1 Averaging Method: As per the CME Rulebook.

Floating Rate Payer 1 Initial Floating Rate: As per the CME Rulebook.

Floating Rate Payer 2 Floating Rate Payer Payment 

Dates:

As per the CME Rulebook.

Floating Rate Payer 2 Floating Amount: As per the CME Rulebook.

Floating Rate Payer 2 Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set.

Floating Rate Payer 2 Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 2 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Floating Rate Payer 2 Reset Dates: As the per CME Rulebook.

Floating Rate Payer 2 Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate Payer 2 Compounding: As per the CME Rulebook.

Floating Rate Payer 2 Averaging Method As per the CME Rulebook.

Floating Rate Payer 2 Initial Floating Rate As per the CME Rulebook.

Floating Rate 1 Floating Rate Payer: As determined by the parties.

Floating Rate 2 Floating Rate Payer As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitation in the 

CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitation in the 

CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitation in the 

CME Rulebook.
Basis Swaps – LCH Cleared

33

Basis Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single-currency floating-for-floating 

(“basis”) cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap/LCH Cleared may 

be traded are as specified in these terms and conditions 

and which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions).

By electing to trade a Basis Swap/LCH Cleared, 

participants are representing that they are familiar 

with the LCH Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. Be aware that the timing 

of effectiveness of amendments or supplements to 

the ISDA standards may vary between bilateral and 

LCH contracts, since the LCH may reserve the right 

to select when and how such changes become 

effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook, which may limit the earliest or 

latest day on which such fees may be paid based on 

Currency or other factors.
Basis Swaps – LCH Cleared

34

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH 

Rulebook.

Floating Rate Payer 1: As determined by the parties.

Floating Rate Payer 1 Payment Dates: As per the LCH Rulebook.

Floating Rate Payer 1 Compounding Dates: As per the LCH Rulebook.

Floating Rate Payer 1 Floating Rate Option: As determined by the parties, subject to LCH Rulebook, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Floating Rate Payer 1 Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 1 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Floating Rate Payer 1 Reset Dates: As the per LCH Rulebook.

Floating Rate Payer 1 Floating Rate Daycount Fraction: As per the LCH Rulebook.

Floating Rate Payer 2: As determined by the parties.

Floating Rate Payer 2 Payment Dates: As per the LCH Rulebook.

Floating Rate Payer 2 Compounding Dates: As per the LCH Rulebook.

Floating Rate Payer 2 Floating Rate Option: As determined by the parties, subject to LCH Rulebook, 

which may provide a more limited list of available 

options than are available for a Currency than does the 

Definition Set.

Floating Rate Payer 2 Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 2 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Floating Rate Payer 2 Reset Dates: As the per LCH Rulebook.

Floating Rate Payer 2 Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
BCOM WTI Crude Oil Exotic Options

35

BCOM WTI Crude Oil Exotic Options

Terms and Conditions

Summary: This covers uncleared BCOM WTI Crude Oil Exotic 

Options (“Exotic Options”).

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”); 

(b) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, 

including the 2005 Barrier Option Supplement to the 

1998 FX and Currency Option Definitions (the “1998 

Definitions”); and

(c) ISDA OTC Taxonomies. 

Limitations on Available Selections and Default 

Settings:

Each Exotic Option traded is bespoke and the terms 

agreed between the Buyer and Seller. All option 

strategies result in call options and/or put options 

executed with the following strategies traded as agreed 

between the parties:

Knockout, Double Knockout, Knockin, One Touch, No 

Touch, Double One Touch, Double No Touch

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy 

ISDA OTC Sub-Product(s): Oil

Further Limitations: Exotic

Terms:

Trade Date: The date the transaction is agreed to between the 

parties and becomes legally binding on the parties

Commodity: As specified by the parties from among the Available 

Commodities.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: As specified by the parties from among the Available 

Option Types.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.
BCOM WTI Crude Oil Exotic Options

36

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Pricing Date(s): As specified by the parties.

Strike Price: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parities.

Latest Exercise Time: As specified by the parties. 

Automatic Exercise: As specified by the parties.

Business Days for Exercise Date: For American Options, as specified by the parties.

Cash Settlement: Applicable

Settlement Dates: As specified by the parties from among the Available 

Business Day Convention.

Calculation Agent: As agreed by the parties.

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier Event: As specified by the parties.

Calculation Agent: As specified by the parties.

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Exotic Option Available Option Type

Knockout

Double Knockout

Knockin

One Touch

No Touch

Double One Touch

Double No Touch

Exotic Option Available Option Style

Style Description Default

American Can be exercised on any Exercise 

Business Day from and including 

Yes
BCOM WTI Crude Oil Exotic Options

37

the Commencement Date to and 

including the Expiration Date.

European Can be exercised only on the 

Expiration Date.

No

Exotic Option Available Commodity Reference Prices

Abbr Name

BCOMCL BCOM WTI Crude Oil ER

BCOMCLC BCOM WTI Crude Oil Capped ER
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

38

BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

Terms and Conditions

Summary: This covers BRL CDI Deliverable and Non-Deliverable 

Interest Rate Swap Contracts and Physically-Settled 

Swaptions Thereon (the “Contracts”). 

Non-Deliverable Contracts are paid in USD, and 

Deliverable Contracts are paid in BRL.

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

(d) the Recommended EMTA-ISDA Market Practice for 

BRL CDI Non-Deliverable Interest Rate Swap 

Transactions (Amended March 13, 2009) (“BRL CDI 

Best Practices”)

(e) the EMTA BRL/USD NDF Template dated May 17, 

2006 (the “NDF Template”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.
BCOM WTI Crude Oil Exotic Options

39

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Days: In the case of a Non-Deliverable Contract, USNY and 

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only.

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties.

Termination Date Business Day Convention: Following

Fx Factor: In the case of a Non-Deliverable Contract, rate 

determined in accordance with the NDF Template, 

treating the Business Day preceding the day of 

calculation of the relevant Fixed Amount or Floating 

Amount as the “Valuation Date” thereunder. (Under the 

NDF Template, this will result in use of the BRL PTAX 

(BRL09) rate in the first instance.)

In the case of a Deliverable Contract, 1.0.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): The Trade Date Present Value Notional Amount 

specified by the parties.

If the parties do not specify a Notional Amount or a 

Trade Date Present Value Notional Amount but specify 

a Termination Date Future Value Notional Amount, then 

the Notional Amount will be the Trade Date present 

value of the Termination Date Future Value Notional 

Amount discounted at the Fixed Rate.

Future Value Notional Amount: An amount in BRL as specified by the parties (or 

determined based on the Trade Date Present Value 

Notional Amount specified by them), subject to the 

Minimum Notional Amount and Increment specified 

below.

Trade Date Present Value Notional Amount: An amount in BRL as specified by the parties; such 

amount shall be subject to the Minimum Notional 

Amount and Increment implied by the Future Value 

Notional Amount.

Fixed Rate: As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal:

Calculation Days: As defined in the BRL CDI Best Practices.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date.

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): Same as the Fixed Rate Payer Payment Amount.
BCOM WTI Crude Oil Exotic Options

40

Floating Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

Payment Dates (“unadjustedPaymentDate”): The Termination Date.

Floating Rate: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset 

Date

Relevant Rate: CDI-Rate (as defined in the attachment).

Designated Maturity (‘indexTenor”): As specified by the parties from among the available 

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI 

Best Practices).

Reset Dates Business Days: As specified by the parties from among the Available 

BR Business Days.

Floating Rate Payment Dates: The Termination Date.

Calculation Agent: As agreed by the parties.

Swaption Terms:

Option Style: European

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller’s Agent: As specified by the parties.

Premium: In the case of a Non-Deliverable Contract, an amount in 

USD specified by the parties.

In the case of a Deliverable Contract, an amount in USD 

specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Dates: Following

Business Days for Payments: In the case of a Non-Deliverable Contract, USNY and 

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only.

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties.

Exercise Business Days: As specified by the parties from among the BR Business 

Days.

Swaption Procedure for Exercise:

General: The parties may enter into swaptions with respect to 

which a BRL CDI Swap is the Underlying Swap 

Transaction.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Partial Exercise: As specified by the parties.
BCOM WTI Crude Oil Exotic Options

41

Minimum Notional Amount: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.

Maximum Notional Amount: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.

Integral Multiple: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is 

applicable.

Fallback Exercise: As specified by the parties (if required).

Swaption Settlement Terms:

Physical Settlement: Applicable

BRL CDI Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

BRL Brazilian Reai Any of BR{SP, RJ, BR} and not 

otherwise declared a financial 

market holiday by the BM&F

BRL CDI Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

BRL CDI Floating Rate Options

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). If the BM&F 

does not publish such a rate for such date, CDI for the relevant 

Reset Date shall be determined jointly by the parties. If the 

parties do not agree on a determination of such rate within one 

Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. If CDI for a Reset Date is not so determined 
BCOM WTI Crude Oil Exotic Options

42

by a CDI Reference Dealer Poll, BRL-CDI-Reference Dealers 

shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. If at least four such quotations 

are obtained from CDI Reference Dealers in any such poll, the 

highest and lowest quotations will be disregarded and CDI for 

the relevant Reset Date will equal the arithmetic mean of the 

remaining quotations. If fewer than four such quotations are 

obtained from a poll, the Calculation Agent shall conduct 

additional such polls until four such quotations are obtained in 

any poll; provided that the Calculation Agent shall not conduct 

more than four polls in the aggregate (with not more than two 

polls on any day and with such polls conducted over not more 

than two Brazil Business Days). If four quotations are not 

obtained from any of such four polls, CDI shall CDI shall not be 

determined by a CDI Reference Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

BRL CDI Notionals

Currency Minimum 

(expressed as 

Termination Date 

Future Value 

Notional Amount)

Increment

(expressed as 

Termination Date 

Future Value 

Notional Amount)

Maximum Default

BRL (Termination 

Date Future Value 

Notional Amount)

BRL 5,000,000 BRL 5,000,000 N/A N/A

BRL (Trade Date 

Present Value 

Notional Amount)

As implied by Termination Date Future Value Notional Amount

USD As implied by BRL Termination Date Future Value Notional Amount
Bullion Options

43

Bullion Options

Terms and Conditions

Summary: This covers uncleared bullion options (“Bullion 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which Bullion Options may be traded 

are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2000 ISDA Definitions

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”), including Sub-Annex B 

thereto.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Metals

ISDA OTC Sub-Product: Precious

ISDA OTC Transaction type: Option

ISDA OTC Settlement type: Cash or Physical

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Bullion: As specified by the parties from among the Available 

Bullion.

Number of Ounces: As specified by the parties. For any type of Bullion, the 

meaning of “Ounce” will be as specified for that Bullion 

in the list of Available Bullion unless otherwise agreed 

by the parties.

Bullion Option Style: As specified by the parties from among the Available 

Bullion Option Styles.

Bullion Option Type: As specified by the parties from among the Available 

Bullion Option Types.

Bullion Option Seller: As specified by the parties.

Bullion Option Buyer: As specified by the parties.

Bullion Strike Price: As specified by the parties as a number of units of the 

one of the Available Currencies.

Bullion Premium: As specified by the parties as a number of units of the 

one of the Available Currencies.

Bullion Premium Payment Date: As specified by the parties.

Bullion Premium Payment Date Business Days Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Bullion Premium Payment Date Business Day 

Convention:

As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.

Bullion Business Day: Shall have the meaning specified in the Commodity 

Definitions, save that the reference to “New York” 

therein shall be deemed to be a reference to the relevant 

financial center for the Applicable Currency in which the 

Bullion Strike Price is denominated.

Method of Averaging: For Asian Options, as specified by the parties or 

otherwise per the Commodity Definitions.

Procedure for Exercise:
Bullion Options

44

Bullion Exercise Period: For an American Style Bullion Option, the period of 

days and the times on such days specified by the parties.

For any other Bullion Option Style, the times on the 

Expiration Date or Potential Exercise Date specified by 

the parties.

Bullion Potential Exercise Dates: For a Bermuda Style Bullion Option, the days specified 

by the parties.

Bullion Expiration Date: As specified by the parties.

Bullion Expiration Time: For a European Style Bullion Option, as specified by the 

parties.

Bullion Settlement Date: In accordance with Section 10.4(b)(xvii) of the 

Commodity Definitions, unless specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

In-the-Moniness for Automatic Exercise: In the case of a Bullion Option for which Automatic 

Exercise is, or is deemed to be, applicable, and to which 

Settlement by Delivery is applicable, one percent of the 

Bullion Strike Price (as specified in Section 

10.4(c)(ii)(B)(x) of the Commodity Definitions) or such 

other amount as specified by the parties.

Price Source for Automatic Exercise: In the case of a Bullion Option for which Automatic 

Exercise is, or is deemed to be, applicable, and to which 

Settlement by Delivery is applicable, the Seller’s bid or 

offer price (as specified in Section 10.4(c)(ii)(B) of the 

Commodity Definitions) unless otherwise specified by 

the parties.

Written Confirmation: As specified by the parties.

Settlement: As specified by the parties from among the Available 

Settlement Types; provided, however, that Cash 

Settlement will only be available for Available 

Currencies for which it is specified as such.

Additional Provisions for Tax: None, unless specified by the parties in accordance with 

Section 10.11 of the Commodity Definitions.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Provisions Relating to Cash Settlement:

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Price.

Bullion Transaction Settlement Date: As specified by the parties.

Provisions Relating to Settlement by Delivery:

Delivery Location: Per the Delivery Loco specified in the Available Bullion 

below.

Consequences of Bullion Settlement Disruption Events: Cancellation and Payment unless the parties agree that 

Negotiation is applicable.

Miscellaneous:

Discharge and Termination: Section 10.4(c)(iv) of the Commodity Definitions will 

apply if specified by the parties, unless the Bullion 

Option Transaction is an Allocated Transaction. 
Bullion Options

45

Novation Netting: For Bullion Options subject to Settlement by Delivery 

and is not an Allocated Transaction, as agreed by the 

parties on a “Type of Obligation” or “Matched Pair” 

basis.

Calculation Agent: As agreed by the parties.

Bullion Option Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day 

Locations For Currency 

(FpML Codes)

Available Settlement 

Type

AUD Australian Dollar AUSY Physical Only

CHF Swiss Franc CHZU Physical Only

EUR Euro EUTA Cash or Physical

GBP Sterling GBLO Cash or Physical

JPY Japanese Yen JATO Physical Only

USD United States Dollars USNY Cash or Physical

Bullion Options Available Bullion Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Bullion Option Available Bullion Option Style

ISDA Name

American

European

Bermuda

Bullion Option Available Bullion Option Type

ISDA Name

Bullion Put Option

Bullion Call Option

Bermuda

Bullion Options Available Bullion

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

Metal Ounce Delivery Loco/Rules

Gold Fine troy ounce London/LBMA

Palladium Troy ounce Zurich/LPPM or London/LPPM

Platinum Troy ounce Zurich/LPPM or London/LPPM

Silver Troy ounce London/LBMA

ISDA Definition

GOLD-A.M. FIX

GOLD-P.M. FIX

PALLADIUM-A.M. FIX
Bullion Options

46

For any Available Currency other than USD and any Bullion Option to which Cash Settlement is applicable, the 

Commodity Reference Price shall be per Sub-Annex A, save that the reference to U.S. Dollars shall be replaced by a 

reference to the relevant Available Currency.

PALLADIUM-P.M. FIX

PLATINUM-A.M. FIX

PLATINUM-P.M. FIX

SILVER-FIX
CDS – ABX Indices (Broad Based) Contracts

47

CDS – ABX Indices (Broad Based) Contracts

Terms and Conditions

Summary: This covers credit default swaps on broad-based ABX 

indices (“CDS – ABX Indices (Broad Based) 

Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which CDS – ABX Indices (Broad 

Based) Contracts may be traded are shown below or in 

the attached table(s) or the Relevant Annexes 

promulgated by the index sponsor and referenced below 

or in the attached table(s), as such Relevant Annexes 

may be amended from time to time by the Index 

Sponsor.

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2003 ISDA Credit Derivatives Definitions, as 

published by the International Swaps and Derivatives 

Association, Inc. (the “Credit Derivatives Definitions”), 

NOT including supplements thereto; and

(b) the ABX Transactions Standard Terms Supplement, 

as published by CDS IndexCo LLC on July 19, 2006 

(the “ABX Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: ABX

ISDA OTC Transaction type: ABX.HE

Further Limitations: None

Terms:

Index: The ABX Index selected by the parties from among the 

Available ABX Indices.

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

Annex Date: As specified for the applicable Index on the list of 

Available ABX Indices.

Trade Date: As agreed by the parties.

Effective Date: The Trade Date (unless otherwise specified by the 

parties).

Scheduled Termination Date: The “Legal Final Maturity Date of the Index” specified 

in the Relevant Annex.

Floating Rate Payer: As specified by the parties.

Fixed Rate Payer: As specified by the parties.

Aggregate Floating Rate Payer Calculation Amount: An amount is USD specified by the parties.

Fixed Rate: A number of basis points equal to the “Applicable 

Coupon” as specified for the applicable Index on the 

Relevant Annex.

Initial Payment Payer: As selected by the parties.
CDS – ABX Indices (Broad Based) Contracts

48

Initial Payment Amount: As specified by the parties. Notwithstanding anything to 

the contrary contained in the ABX Standard Terms, the 

Initial Payment Amount shall be paid by the Initial 

Payment Payer on the date that is three Business Days 

following the Trade Date, unless otherwise specified by 

the parties.

Available ABX Indices for CDS - ABX Indices (Broad Based) Contracts

Index Relevant Annex

ABX.HE.A.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.A.06-1.pdf

ABX.HE.AA.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AA.06-1.pdf

ABX.HE.AAA.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.06-1.pdf

ABX.HE.AA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AA.06-2.pdf

ABX.HE.AAA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.06-2.pdf

ABX.HE.AAA.07-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.07-1.pdf

ABX.HE.AAA.07-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.07-2.pdf

ABX.HE.PENAAA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.06-2.pdf

ABX.HE.PENAAA.07-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.07-1.pdf

ABX.HE.PENAAA.07-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.07-2.pdf

NO ABX INDEX WILL BE TRADED ON THE SEF ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.
CDS Index Contract – Emerging Markets Swaps and Swaptions

49

CDS Index Contract – Emerging Markets Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – Emerging Markets 

Swaps and Swaptions” contracts – i.e., an agreement to 

buy or sell protection on a broad-based basket of 

emerging markets sovereign entities.

Index: CDX.EM: Series 12 through current, so long as such 

Index is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event 

occurring. Credit events include Bankruptcy and Failure 

to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 

500 bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by the parties, subject to Applicable Law.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer 

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement (i.e., the Big Bang 

and Little Bang Protocols). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – Emerging Markets Swaps and Swaptions

50

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is 

the SEFs understanding that the DCOs will be 

converting all trades to the 2014 definitions, with 

individual component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European Crossover 5Y Swaps and Swaptions

51

CDS Index Contract – European Crossover 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European 

Crossover 5Y Swaps and Swaptions”. The European 

Crossover index comprises 50 equally weighted credit 

default swaps on the most liquid sub-investment grade 

European corporate entities.

Index: ITRAXX.EUROPE CROSSOVER: Series 10 to 

current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of 

500 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the 

tpSEF Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – European Crossover 5Y Swaps and Swaptions

52

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting 

all trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European HiVol 5Y Swaps and Swaptions

53

CDS Index Contract – European HiVol 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European HiVol 5Y 

Swaps and Swaptions” – i.e., an agreement to buy or 

sell protection on a basket comprised of 30 equally 

weighted credit default swaps on the widest spread nonfinancial European corporate entities.

Index: ITRAXX.EUROPE HIVOL: Series 10 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of 

100 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the 

tpSEF Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – European HiVol 5Y Swaps and Swaptions

54

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting 

all trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European IG 5Y Swaps and Swaptions

55

CDS Index Contract – European IG 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European IG 5Y 

Swaps and Swaptions” – i.e., an agreement to buy or 

sell protection on a basket of liquid European based 

entities with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 10 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of 

100 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the 

tpSEF Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection

seller. 

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.
CDS Index Contract – European IG 5Y Swaps and Swaptions

56

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting 

all trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European IG 10Y Swaps and Swaptions

57

CDS Index Contract – European IG 10Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European IG 10Y 

Swaps and Swaptions” – i.e., an agreement to buy or 

sell protection on a basket of liquid European based 

entities with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 7 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of 

100 bps and exchanged on a quarterly basis.

Swap Tenor: 10Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the 

tpSEF Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions 

on the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – European IG 10Y Swaps and Swaptions

58

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades 

will convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is 

the SEFs understanding that the DCOs will be 

converting all trades to the 2014 definitions, with 

individual component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part 

of their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

59

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

Terms and Conditions

Contract Overview: An agreement to buy or sell protection on a basket of 

liquid North America based entities with a high yield 

credit rating (CDX.NA.HY, CDX.NA.HY.B and 

CDX.NA.HY.BB) or an investment grade credit rating 

(CDX.NA.IG).

Index: CDX.NA.HY: Series 8 to current.

CDX.NA.HY.B: Series 8 to current.

CDX.NA.HY.BB: Series 8 to current.

CDX.NA.IG: Series 8 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include Bankruptcy, Failure to Pay and 

Restructuring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

High Yield indices such as the CDX.NA.HY are traded 

on price.

Investment Grade indices such as the CDX.NA.IG are 

traded on spread.

Swap Conventions: For CDX.NA.HY, CDX.NA.HY.B and 

CDX.NA.HY.BB, fixed coupon payments are 

calculated at a spread of 500 bps and exchanged on a 

quarterly basis.

For CDX.NA.IG, fixed coupon payments are calculated 

at a spread of 100 bps and exchanged on a quarterly 

basis.

Swap Tenor: 3Y, 5Y, 7Y and 10Y or as otherwise agreed by the 

parties.

Tranching: Transactions may have only one tranche, where all 

losses are allocated to the protection seller, starting with 

the first dollar of loss and ending only when the entire 

notional of the transaction has been exhausted or the 

Transaction itself expires.

Transactions may also be tranched in a way in which 

losses are allocated to the protection seller only after a 

certain amount of losses have occurred on the Index 

(the “attachment point”) and cease being allocated to 

the protection seller after a certain additional amount of 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

60

losses have occurred on the Index (the “detachment 

point”).

In the case of tranched transactions in the CDX.NA.HY, 

CDX.NA.HY.B or CDX.NA.HY.BB, the tranches 

include:

Attachment Point Detachment Point

0 10%

0 15%

10% 15%

15% 25%

25% 35%

35% 100%

In the case of tranched transactions in the CDX.NA.IG, 

the tranches include:

Attachment Point Detachment Point

0 3%

3% 7%

7% 10%

7% 15%

10% 15%

15% 30%

15% 100%

In addition to the customary tranches enumerated 

above, the parties may agree to custom attachment and 

detachment points.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the SEF: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the relevant 

ISDA Definitions (see below). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

61

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

each of the CDX.NA.HY, CDX.NA.HY.B, 

CDX.NA.HY.BB and CDX.NA.IG on the terms 

described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

Tranching: Swaptions may be written on tranched or untranched 

transactions.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions)

2014/2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: IHS Markit Ltd, which sponsors the Index, has 

published information on treatment of both legacy and 

future indices.

The parties should consult IHS Markit Ltd’s 

documentation to determine the exact treatment. It is the 

SEF’s understanding that, in general, all CDS index 

trades will convert to the 2014 Definitions, with 

individual components being excluded if they would be 

impacted by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting 

all trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contracts – CMBX

62

CDS Index Contracts – CMBX

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “CMBX Indices” (“CDS Index Contracts –

CMBX”). The terms under which CDS Index Contracts 

– CMBX may be traded are shown below.

Contract Overview: An agreement to buy or sell protection on one of the IHS 

Markit Ltd CMBX Indices listed under the heading 

“Index” immediately below. Each such index is 

composed of twenty-five (25) equally-weighted 

reference obligations that are tranches of commercial 

mortgage-backed securities offerings that meet the 

relevant eligibility criteria published by IHS Markit Ltd 

from time to time.

Index: CMBX.NA.AAA: Series 6 to current.

CMBX.NA.AS: Series 6 to current.

CMBX.NA.AA: Series 6 to current.

CMBX.NA.A: Series 6 to current.

CMBX.NA.BBB-: Series 6 to current.

CMBX.NA.BB: Series 6 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller and receives a payment from the 

seller of protection in the case of a credit event 

occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer and 

makes a payment to the buyer of protection in the case of 

a credit event occurring. The Seller owns the credit risk 

of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at the applicable 

spread specified below:

• CMBX.NA.AAA: 50 bps 

• CMBX.NA.AS: 100 bps

• CMBX.NA.AA: 150 bps

• CMBX.NA.A: 200 bps

• CMBX.NA.BBB-: 300 bps

• CMBX.NA.BB: 500 bps

Fixed coupon payments are exchanged on a monthly 

basis.
CDS Index Contracts – CMBX

63

Swap Tenor: As agreed by counterparties, subject to applicable law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc. 

Such payments are paid by the protection seller to the 

protection buyer.

Fixed Monthly Cash Payments: Reflected in basis points 

and paid by the protection buyer to the protection seller.

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – iTraxx Australia

64

CDS Index Contracts – iTraxx Australia

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “iTraxx® Australia Index” (“CDS Index 

Contracts – iTraxx Australia”). The terms under which 

CDS Index Contracts – iTraxx Australia may be traded 

are shown below.

Contract Overview: An agreement to buy or sell protection on an index 

composed of twenty five (25) liquid Australian entities 

with investment grade credit ratings that trade in the 

CDS market or have significant domestic bond issuance 

as published by IHS Markit Ltd. from time to time.

Index: iTraxx® Australia Index: Series 30 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by counterparties, subject to Applicable Law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.
CDS Index Contracts – iTraxx Australia

65

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – iTraxx Japan

66

CDS Index Contracts – iTraxx Japan

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “Markit iTraxx® Japan Index” (“CDS Index 

Contracts – iTraxx Japan”). The terms under which CDS 

Index Contracts – iTraxx Japan may be traded are shown 

below.

Contract Overview: An agreement to buy or sell protection on an index 

composed of forty (40) Japanese entities with investment 

grade credit ratings that trade in the CDS market as 

published by IHS Markit Ltd. from time to time.

Index: Markit iTraxx® Japan Index: Series 30 to current.

Currency: JPY

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by counterparties, subject to Applicable Law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.
CDS Index Contracts – iTraxx Japan

67

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade)

68

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade)

Terms and Conditions

Summary: This covers “CDS Index Contracts – ITRXAEJ.IG 

(iTraxx® Asia ex-Japan Investment Grade)” – i.e., an 

agreement to buy or sell protection on a broad-based 

basket of investment grade Asian corporate and 

sovereign/agency issuers (excluding Japanese issuers).

Index: ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment 

Grade): Series 14 through current, so long as such Index 

is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 

100 bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by the parties, subject to Applicable Law.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer 

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2003 

ISDA Credit Derivatives Definitions, as modified by 

the 2009 ISDA Credit Derivatives Determination 

Committees and Auction Settlement Supplement (i.e., 

the Big Bang and Little Bang Protocols) and the ISDA 

2014 Credit Derivatives Protocol (for Series 21 and 

prior) and the ISDA 2014 Definitions (for Series 22 and 

later).

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.
CDS Index Contracts – MCDX Index

69

CDS Index Contracts – MCDX Index

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s MCDX Index (“CDS Index Contracts –

MCDX Index”). The terms under which CDS Index 

Contracts – MCDX Index may be traded are shown 

below.

Contract Overview: Until October 2018, an agreement to buy or sell 

protection on a broad-based index composed of fifty (50) 

municipal credits.

Beginning with MCDX.NA Series 31 in October 2018, 

an agreement to buy or sell protection on a broad-based 

index composed of twenty (20) municipal credits.

Index: MCDX: all series

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include “Bankruptcy” and “Failure to 

Pay.”

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

MCDX indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps coupon and exchanged on a quarterly basis at 75% 

recovery.

Swap Tenor: 3 years, 5 years, 10 years

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades
CDS Index Contracts – MCDX Index

70

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2003 ISDA 

Credit Derivatives Definitions, as modified by the 2009 

ISDA Credit Derivatives Determinations Committees 

and Auction Settlement Supplement thereto.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the 

seller.
Commodity Index Swaps

71

Commodity Index Swaps

Terms and Conditions

Summary: This covers commodity index swaps (each, a 

“Commodity Index Swap”).

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Index

ISDA OTC Transaction type: Swap

ISDA OTC Settlement type: Cash

Terms:

Trade Date: The date on which the contract is entered into.

Effective Date: As specified by the parties.

Termination Date: As specified by the parties.

Commodity: The index specified by the parties from among the 

indices listed in the table below titled “Commodity Index 

Swap Available Indices.”

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties.

Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties, expressed as a rate or overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Floating Price: In relation to each Calculation Period, the level of the 

specified Available Commodity Index at the end of the 

such Calculation Period less the level of the specified 

Available Commodity Index at the start of the such 

Calculation Period, the result of which is divided by the 

level of the specified Available Commodity Index at the 

start of the such Calculation Period.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.
Commodity Index Swaps

72

Minimum and Incremental Price: The minimum price is $10,000,000 and the minimum 

incremental price is $1,000,000.

Calculation Agent: As agreed by the parties.

Commodity Index Swap Available Commodity Indices

Abbr Name

BCOM BCOM ER

BCOMF1 BCOM F1 ER

BCOMF2 BCOM F2 ER

BCOMF3 BCOM F3 ER

BCOMF4 BCOM F4 ER

BCOMF5 BCOM F5 ER

BCOMF6 BCOM F6 ER

BCOMAG BCOM Agriculture ER

BCOMEN BCOM Energy ER

BCOMGR BCOM Grains ER

BCOMIN BCOM Industrial Metals ER

BCOMLI BCOM Livestock ER

BCOMPE BCOM Petroleum ER

BCOMPR BCOM Precious Metals ER

BCOMSO BCOM Softs ER

BCOMXAG BCOM ex-Agriculture ER

BCOMXAL BCOM ex-Agriculture and Livestock ER

BCOMXE BCOM ex-Energy ER

BCOMXGR BCOM ex-Grains ER

BCOMXIM BCOM ex-Industrial Metals ER

BCOMXLI BCOM ex-Livestock ER

BCOMXPE BCOM ex-Petroleum ER

BCOMXPM BCOM ex-Precious Metals ER

BCOMXSO BCOM ex-Softs ER

BCOMAL BCOM Aluminum ER

BCOMCO BCOM Brent Crude ER

BCOMCC BCOM Cocoa ER

BCOMKC BCOM Coffee ER

BCOMHG BCOM Copper ER

BCOMCN BCOM Corn ER

BCOMCT BCOM Cotton ER

BCOMFC BCOM Feeder Cattle ER

BCOMGO BCOM Gas Oil ER

BCOMGC BCOM Gold ER

BCOMHO BCOM Heating Oil ER

BCOMPB BCOM Lead ER

BCOMLH BCOM Lean Hogs ER

BCOMLC BCOM Live Cattle ER
Commodity Index Swaps

73

Abbr Name

BCOMNG BCOM Natural Gas ER

BCOMNI BCOM Nickel ER

BCOMOJ BCOM Orange Juice ER

BCOMPA BCOM Palladium ER

BCOMPL BCOM Platinum ER

BCOMSI BCOM Silver ER

BCOMSM BCOM Soybean Meal ER

BCOMSM1 Bloomberg Soybean Meal Subindex 1 Month Forward

BCOMBO BCOM Soybean Oil ER

BCOMSY BCOM Soybeans ER

BCOMSB BCOM Sugar ER

BCOMSN BCOM Tin ER

BCOMRB BCOM Unleaded Gas ER

BCOMWH BCOM Wheat ER

BCOMKW BCOM Kansas Wheat ER

BCOMCL BCOM WTI Crude Oil ER

BCOMZS BCOM Zinc ER

BCOMAU BCOM AUD ER

BCOMEU BCOM EUR ER

BCOMGB BCOM GBP ER

BCOMCH BCOM CHF ER

BCOMJY BCOM JPY ER

BCOMALC BCOM Aluminum Capped ER

BCOMKCC BCOM Coffee Capped ER

BCOMHGC BCOM Copper Capped ER

BCOMCLC BCOM WTI Crude Oil Capped ER

BCOMCNC BCOM Corn Capped ER

BCOMLCC BCOM Cattle Capped ER

BCOMCTC BCOM Cotton Capped ER

BCOMGCC BCOM Gold Capped ER

BCOMLHC BCOM Lean Hogs Capped ER

BCOMHOC BCOM Heating Oil Capped ER

BCOMKWC BCOM Kansas Wheat Capped ER

BCOMCOC BCOM Brent Crude Capped ER

BCOMNGC BCOM Natural Gas Capped ER

BCOMNIC BCOM Nickel Capped ER

BCOMSYC BCOM Soybeans Capped ER

BCOMBOC BCOM Soybean Oil Capped ER

BCOMSIC BCOM Silver Capped ER

BCOMSBC BCOM Sugar Capped ER

BCOMSMC BCOM Soybean Meal Capped ER

BCOMRBC BCOM Unleaded Gas Capped ER
Commodity Index Swaps

74

Abbr Name

BCOMWHC BCOM Wheat Capped ER

BCOMZSC BCOM Zinc Capped ER

BCOMTR BCOM TR

BCOMF1T BCOM F1 TR

BCOMF2T BCOM F2 TR

BCOMF3T BCOM F3 TR

BCOMF4T BCOM F4 TR

BCOMF5T BCOM F5 TR

BCOMF6T BCOM F6 TR

BCOMRS BCOM Roll Select

DJCICN Dow Jones Commodity Index Corn

DJCISB Dow Jones Commodity Index Sugar

DJCILC Dow Jones Commodity Index Live Cattle

DJCIAW Dow Jones Commodity Index All Wheat

SPGCCI S&P GSCI

SPGCBO S&P GSCI Soybean Oil

SPGCBR S&P GSCI Brent Crude

SPGCCC S&P GSCI Cocoa

SPGCCL S&P GSCI Crude Oil

SPGCCN S&P GSCI Corn

SPGCCT S&P GSCI Cotton

SPGCFC S&P GSCI Feeder Cattle

SPGCGC S&P GSCI Gold

SPGCGO S&P GSCI Gasoline

SPGCHG S&P GSCI North American Copper

SPGCHO S&P GSCI Heating Oil

SPGCHU S&P GSCI Unleaded Gasoline

SPGCIA S&P GSCI Aluminum

SPGCIC S&P GSCI Copper

SPGCIK S&P GSCI Nickel

SPGCIL S&P GSCI Lead

SPGCIN S&P GSCI Industrial Metals

SPGCIZ S&P GSCI Zinc

SPGCKC S&P GSCI Coffee

SPGCKW S&P GSCI Kansas Wheat

SPGCLC S&P GSCI Live Cattle

SPGCLH S&P GSCI Lean Hogs

SPGCNG S&P GSCI Natural Gas

SPGCPA S&P GSCI Palladium

SPGCPL S&P GSCI Platinum

SPGCSB S&P GSCI Sugar

SPGCSI S&P GSCI Silver
Commodity Index Swaps

75

Abbr Name

SPGCSO S&P GSCI Soybeans

SPGCWH S&P GSCI Wheat

SPGSES S&P GSCI Enhanced Commodity

SPGSSM S&P GSCI Soybean Meal

SPGCCIP S&P GSCI ER

SPGCBRP S&P GSCI Brent Crude ER

SPGCCCP S&P GSCI Cocoa ER

SPGCCLP S&P GSCI Crude Oil ER

SPGCCNP S&P GSCI Corn ER

SPGCCTP S&P GSCI Cotton ER

SPGCENP S&P GSCI Energy ER

SPGCFCP S&P GSCI Feeder Cattle ER

SPGCGCP S&P GSCI Gold ER

SPGCGOP S&P GSCI Gasoil ER

SPGCHGP S&P GSCI North American Copper ER

SPGCHOP S&P GSCI Heating Oil ER

SPGCHUP S&P GSCI Unleaded Gasoline ER

SPGCIAP S&P GSCI Aluminum ER

SPGCICP S&P GSCI Copper ER

SPGCIKP S&P GSCI Nickel ER

SPGCILP S&P GSCI Lead ER

SPGCINP S&P GSCI Industrial Metals ER

SPGCNGP S&P GSCI Natural Gas ER

SG3MCI S&P GSCI 3 Month Forward
Deliverable Foreign Exchange Options

76

Deliverable Foreign Exchange Options

Terms and Conditions

Summary: This covers “Deliverable Foreign Exchange Options”.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”); 

and

(b) ISDA OTC Taxonomies.

Contract Types: Each Deliverable Foreign Exchange Option traded is 

bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge. 

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Vanilla Option, Simple Exotic or Complex Exotic

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties.

Commencement Date: The Trade Date, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Currency Option Style: As specified by the parties.

(An American option can be exercised any time up to 

and including the Expiration Date; a European option 

can only be exercised on the Expiration Date.)
Deliverable Foreign Exchange Options

77

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a 

binary or digital option.

Call Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price.

Put Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price.

Strike Price: As specified by the parties (if only one of the Put 

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions.

Settlement Rate Option: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Settlement: Deliverable or Cash Settlement

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.
Deliverable Foreign Exchange Options

78

Barrier Event: As specified by the parties.

Calculation Agent: As specified by the parties.

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions.

Deliverable Foreign Exchange Option Available Currency Pairs

AUD/CAD CNH/AUD EUR/SAR JPY/CNH THB/HKD

AUD/CHF CNH/CAD EUR/SEK JPY/HKD THB/JPY

AUD/CNH CNH/EUR EUR/SGD JPY/SGD THB/NZD

AUD/HKD CNH/GBP EUR/THB JPY/THB THB/SGD

AUD/JPY CNH/HKD EUR/TRY MXN/JPY TRY/JPY

AUD/MXN CNH/JPY EUR/USD NOK/JPY USD/AED

AUD/NOK CNH/NZD EUR/ZAR NOK/SEK USD/BHD

AUD/NZD CNH/SGD GBP/AUD NZD/CAD USD/CAD

AUD/SEK CNH/THB GBP/CAD NZD/CHF USD/CHF

AUD/SGD EUR/AED GBP/CHF NZD/CNH USD/CNH

AUD/THB EUR/AUD GBP/CNH NZD/HKD USD/CZK

AUD/USD EUR/BHD GBP/HKD NZD/JPY USD/DKK

AUD/ZAR EUR/CAD GBP/JPY NZD/NOK USD/HKD

CAD/CHF EUR/CHF GBP/MXN NZD/SEK USD/HUF

CAD/CNH EUR/CNH GBP/NOK NZD/SGD USD/ILS

CAD/HKD EUR/CZK GBP/NZD NZD/THB USD/ISK

CAD/JPY EUR/DKK GBP/SEK NZD/USD USD/JPY

CAD/MXN EUR/GBP GBP/SGD SEK/JPY USD/KWD

CAD/NOK EUR/HKD GBP/THB SGD/AUD USD/MXN

CAD/SEK EUR/HUF GBP/TRY SGD/CAD USD/NOK

CAD/SGD EUR/ILS GBP/USD SGD/CNH USD/OMR

CAD/THB EUR/ISK GBP/ZAR SGD/EUR USD/PLN

CHF/CNH EUR/JPY HKD/AUD SGD/GBP USD/QAR

CHF/HKD EUR/KWD HKD/CAD SGD/HKD USD/RON

CHF/JPY EUR/MXN HKD/CHF SGD/JPY USD/RUB

CHF/MXN EUR/NOK HKD/CNH SGD/NZD USD/SAR
Deliverable Foreign Exchange Options

79

CHF/NOK EUR/NZD HKD/EUR SGD/THB USD/SEK

CHF/PLN EUR/OMR HKD/GBP THB/AUD USD/SGD

CHF/SEK EUR/PLN HKD/JPY THB/CHF USD/THB

CHF/SGD EUR/QAR HKD/NZD THB/CNH USD/TRY

CHF/THB EUR/RON HKD/SGD THB/EUR USD/ZAR

CHF/TRY EUR/RUB HKD/THB THB/GBP ZAR/JPY
Equity Index Swaps

80

Equity Index Swaps

Terms and Conditions

Summary: This covers equity index swaps (each, an “Equity Index 

Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Swap may be 

traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions (“Equity 

Definitions”)

(c) Annex IS to 2009 Americas Master Equity 

Derivatives Confirmation, to 2007 European Master 

Equity Derivatives Confirmation Agreement (for EMEA 

indices, as indicated on the Equity Index Available 

Indices attached) or to Second Revised 2005 AEJ 

Interdealer Master Equity Derivatives Confirmation 

Agreement (for AEJ indices, as indicated on the Equity 

Index Available Indices attached)
Equity Index Swaps

81

(d) the Revised ISDA AEJ Reference Price Source 

Matrix (June 25, 2009, or as updated effective prior to 

the Trade Date) (“AEJ Source”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Strike Date: For a Forward Starting Transaction, as agreed by the 

parties (only for EMEA Indices).

Forward Starting: As per Annex IS (only for EMEA Indices).

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): (i) The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention, or (ii) in the case of AEJ Indices, per Annex 

IS.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days (except for AEJ Indices).

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions (except for AEJ Indices).

Termination Date (“terminationDate”): Per Annex IS, unless otherwise specified by the parties.

Index: As specified by the parties from among the Available 

Indices.

Number of Index Units: As specified by the parties or, if not so specified, 

determined by Annex IS (except for AEJ Indices).

Index Unit: Per Annex IS (except for AEJ Indices and EMEA 

Indices).

Exchange(s): (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Multiple Exchange Index Annex/Component Security 

Index Annex:

Per Annex IS (EMEA Indices only).

Related Exchanges: (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Hedging Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Determining Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: As per Annex IS.

Type of Return: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless specified by the parties.

Initial Price Election: As specified by the parties (in the case of an EMEA 

Index only).
Equity Index Swaps

82

Initial Price: As specified by the parties and (other than in the case of 

AEJ Indices) adjusted in accordance with Annex IS.

Final Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Final Price: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Time: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Dates: As specified by the parties.

Averaging Dates: In the case of AEJ Indices, as and if specified by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Payment Dates: As per Annex IS, unless otherwise specified by the 

parties.

Initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties to the 

extent permitted by Annex IS.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As per Annex IS.

Payment Dates Business Days: As per Annex IS.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment Dates): As per Annex IS, unless otherwise specified by the 

parties.

Compounding: As specified by the parties (EMEA Indices only).

Compounding Dates: As specified by the parties if Compounding is applicable 

(EMEA Indices only).

Futures Price Valuation:

Futures Price Valuation: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties or, if not so specified, per the Equity 

Definitions.

Exchange-traded Contract: As specified in the Transaction Supplement.

Adjustment to Section 6.8 of the Equity Definitions: As per Annex IS (other than in the case of AEJ Indices).

Settlement Terms:

Cash Settlement: As per Annex IS.

Settlement Currency: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties.

FX Rate: As agreed by the parties or as specified by the parties 

from among the Available FX Rates.
Equity Index Swaps

83

Dividends:

Dividend Payment Date(s): If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as agreed by the parties or, absent such 

agreement, per the Equity Definitions.

Dividend Period: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Dividend Amount: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Relevant Dividend: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Reinvestment of Dividends: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties.

Dividend Recovery: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Declared Cash Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, (ii) in the case of 

AEJ Indices, as and if agreed by the parties, or (iii) in the 

case of EMEA Indices, as agreed by the parties.

Declared Cash Equivalent Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as and if agreed by the parties.

Index Adjustment Events:

Index Cancellation: As per Annex IS.

Index Modification: As per Annex IS.

Index Disruption: As per Annex IS.

Additional Disruption Events:

Change in Law: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS unless otherwise agreed by the parties.

Insolvency Filing: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties or, absent such agreement, per the 

Equity Definitions.

Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS (as applicable to the relevant country of 

underlier) unless otherwise agreed by the parties.

Increased Cost of Hedging: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Consequences of Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Loss of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.
Equity Index Swaps

84

Increased Cost of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Cancellation Amount: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Non-Reliance: As per Annex IS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IS.

Additional Acknowledgements: As per Annex IS.

Index Disclaimer: As per Annex IS.

Optional Early Termination: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, inapplicable.

Break Funding Recovery: If Optional Early Termination is applicable, as specified 

by the parties.

Break Fee: As specified by the parties in the case of EMEA Indices.

Calculation Agent: (i) As agreed by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless otherwise agreed by the 

parties.

Equity Index Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

JPY Japanese Yen JPTO

KRW Korean Won KRSE

SEK Swedish Krona SEST

USD United States Dollars USNY

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices

Abbr Name

0000AR S&P/TSX Composite Total Return Index

AEX AEX Index (EMEA)

AMZX Alerian MLP Index Total Return

AMZIXVWAP Alerian MLP Infrastructure Index Total Return VWAP

AS51 S&P/ASX 200 (AEJ)

BEL20 BEL20 Index (EMEA)
Equity Index Swaps

85

CAC Cotation Assistée en Continu 40 (EMEA)

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

EWTRGSPC REUTERS – REU - S&P EW 500 INDEX

FTSEMIB FTSE MIB Index (EMEA)

GCUDCA MSCI Daily TR Gross Small Cap Canada USD

GCUDUS MSCI Daily Total Return Gross Small Cap USA USD

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUCA MSCI Canada Index USD Daily Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ)

HSI Hang Seng Index (AEJ)

IBEX IBEX 35 Index(EMEA)

IBOV BOVESPA Index

IXBTR S&P 500 Material Select Sector Total Return

IXCPR Communication Services Select Sector Index

IXCTR Communication Services Select Sector Index TR

IXETR S&P 500 Energy Select Sector Total Return

IXITR S&P 500 Industrials Select Sector Total Return

IXMTR S&P 500 Financials Select Sector Total Return

IXRTR S&P 500 Consumer Staples Select Sector Total Return

IXTTR S&P 500 Technology Select Sector Total Return

IXUTR S&P 500 Utilities Select Sector Total Return

IXVTR S&P 500 Health Care Select Sector Total Return

IXYTR S&P 500 Consumer Discretionary Select Sector Total Return

KOSPI Korea Composite Stock Price Index (AEJ)

M1CNA MSCI China A Inclusion USD Index (Net)

M8CA0EN MSCI Canada Energy Gross Return Index

M8CA0FN MSCI Canada Financials Gross Return Index

MEXBOL Mexican IPC Index (Indice de Precios y Cotizaciones)

MSLUELAN MSCI Emerging Markets Latin America Small Cap Index (USD) (Net Dividends)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUEAFE MSCI EAFE Net Total Return USD Index

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDDUJN MSCI Japan Index Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDEUSPR MSCI Peru Index Total Return (Net Dividends)

NDUEBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

OEXT S&P 100 Total Return

OMX OMX Stockholm 30 (EMEA)

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return
Equity Index Swaps

86

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

SOLCABTR Solactive Canada Bank TR Index

SP5LVIT S&P 500 Low Volatility Total Return Index

SPSIBITR S&P Biotechnology Select Industry Total Return Index

SPSIOP S&P Oil & Gas Exploration & Production Select Industry Index

SPTRCOND S&P 500 Consumer Discretionary Sector Total Return Index

SPTRCONS S&P 500 Consumer Staples Sector Total Return Index

SPTRENRS S&P 500 Energy Sector Total Return Index

SPTRFINL S&P 500 Financials Sector Total Return Index

SPTRHLTH S&P 500 Health Care Sector Total Return Index

SPTRINDU S&P 500 Industrials Sector Total Return Index

SPTRINFT S&P 500 Information Technology Sector Total Return Index

SPTRMATR S&P 500 Materials Sector Total Return Index

SPTRMDCP S&P MidCap 400 Total Return

SPTRRLST S&P 500 Real Estate Sector Total Return Index

SPTRSMCP S&P SmallCap 600 Total Return

SPTRSVX S&P 500 Value Total Return Index

SPTRUTIL S&P 500 Utilities Sector Total Return Index

SPXT S&P 500 Total Return

STBANKXR S&P/TSX Composite Banks GICS Level Industry Group Total Return Index

STCHEMR S&P/TSX Composite Index Chemicals GICS Industry Total Return

STENRSR S&P/TSX Composite Energy Index Total Return Swap

STFINLR S&P/TSX Composite Financials GICS Level Sector Total Return Index

STINSUR S&P/TSX Composite Insurance GICS Industry Group Total Return Index

STMATRR S&P/TSX Composite Materials GICS Level Sector Total Return Index

STMEDAR S&P/TSX Composite Media GICS Industry Group Total Return Index

STTELSR S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index

STUTILR S&P/TSX Composite Utilities GICS Level Sector Total Return Index

SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index

TX60AR S&P/TSX 60 Total Return Index

TTENAR S&P/TSX Capped Energy Total Return Index

TTUTAR S&P/TSX Capped Utilities Total Return Index

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return

XSOX PHLX Semiconductor Sector Index Total Return

Equity Index Available FX Rates

Currency Pair Available FX Rates

KRW/USD BB: The rate implied by sourcing the Index on 

Bloomberg via “KOSPI>USD>GO”

ISDA: The rate determined in accordance with the AEJ 

Source

Equity Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F
Equity Index Swaps

87

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

AUD-AONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUND-SwapMarker All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY (BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Equity Index Swaps

88

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

CAD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-SwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-AVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUNDBloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-Swap-Index All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

89

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-EURIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDC-COMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis Swaps-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-ATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

90

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

GRD-ATHIMID-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-4:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-MUTANCALL-TONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks)-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

91

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

JPY-TONA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

KRW-Quarterly Annual Swap 

Rate-3:30-ICAP 3M N/A Per ISDA 2006 N

KRW-Bond-3222 3M N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap Rate-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference BanksICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

92

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

USD-Federal Funds-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SOFR-Compound N/A N/A N/A N

USD-SIFMA Municipal Swap 

Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-Secondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-ICAP 

BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T500 All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

93

Equity Index Requirements and Defaults

Date Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
Equity Index Variance Swaps

94

Equity Index Variance Swaps

Terms and Conditions

Summary/Contract Description: This covers equity index variance swaps (each, an 

“Equity Index Variance Swap”). An Equity Index 

Variance Swap is a product used to hedge or take a direct 

view on the volatility of an underlying equity index by 

paying or receiving an amount based on the difference 

between the actual realized variance of an index over the 

life of the contract and the variance strike price agreed at 

contract inception.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Variance

ISDA OTC Transaction type: Single Index

Available Underlying Indices: The index specified by the parties from among the 

indices listed in the table below titled “Equity Index 

Variance Swap Available Indices.”

Contract Size: The contracts are quoted in “Vega” amounts. The 

minimum contract size is 1,000 of the currency of which 

the underlying index settles in.

Quoting Convention: The contracts are quoted in volatility percentage points.

Leg Conventions: Floating Leg Rate – The realized variance rate that is 

calculated on the Expiration Date.

Fixed Leg Rate – The agreed fixed rate of variance 

(Traded Price).

Tenor: Tenors of any duration greater than 0 years and less than 

50 years.

Trade Types: Capped – the maximum payout of the contract is capped 

at an agreed price.

Uncapped – there is no maximum payout on the contract.

Trade Start Types: Immediate – the observation period of the contract 

begins on the Trade Date.

Forward – the observation period of the contract begins 

on an agreed-upon date after the Trade Date.

Trade Date: The date on which the contract is entered into.

Observation Start Date: The Trade Date or, in the case of a forward starting 

transaction, an agreed-upon date after the Trade Date.

Valuation Date: The date upon which the final rate of volatility will be 

calculated on using the “Applicable Formula” below.

Settlement: The contracts are cash settled. If the difference between 

the realized variance and the “Variance Strike” (as 

agreed by the parties) is positive the seller pays the 
Equity Index Variance Swaps

95

difference to the buyer. If the difference between the 

realized variance and the Variance Strike is negative the 

buyer pays the difference to the seller.

Settlement of the contract occurs after the Valuation 

Date and in line with the settlement convention of the 

underlying equity index.

Settlement Payments/Payment Date: T+2 (adjustments according to following business day 

convention).

Minimum Price or Incremental Price: The contracts are quoted in volatility percentage points. 

There is no minimum price or minimum incremental 

price for the contract.

Payment Frequency: One time.

Payment Exchange: The buyer of a variance swap pays a fixed rate (the 

Variance Strike) in exchange for a payout based on the 

daily realized variance.

The seller of a variance swap receives a fixed rate (the 

Variance Strike) in exchange for a payout based on the 

daily realized variance.

Day Count: Business Days Per Year = 252

Business Day Convention: Following business day convention.

Applicable Formula: The final realized rate of variance will be calculated 

using the following formula:

Where:

n = the number of observations excluding the initial 

observation on the Observation Start Date, but including 

the Valuation Date;

i = the relevant observation day;

Indexi = the closing level of the underlying index “i” 

business days from the Observation Start Date, except 

for (i) Index0 which shall equal the initial index level, 

and (ii) Indexn which shall equal the closing level of the 

underlying index on the Valuation Date. Indexi-1 will be 

modified by deducting the dividend in case it is an exdate.

If applicable, the volatility cap will be set at 2.5x the 

Volatility Strike.

N = Expected number of observations as agreed by the 

parties.
Equity Index Variance Swaps

96

ln = the natural logarithm.

Market Disruption: As specified by the parties.

Equity Index Variance Swap Available Indices

Abbr Name

DAX Deutscher Aktien Index

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

FTXIN25 FTSE China 50 Index

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index

HSI Hang Seng Index

IBOV BOVESPA Index

KOSPI Korea Composite Stock Price Index

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDUEEGF MSCI Emerging Markets Index

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

OEXT S&P 100 Total Return

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index

UKX FTSE 100 Index
Equity Index Volatility Swaps

97

Equity Index Volatility Swaps

Terms and Conditions

Summary: This covers equity index volatility swaps (each, an 

“Equity Index Volatility Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Volatility Swap 

may be traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions

(c) Annex IVS to: (i) the 2006 Japan Master Variance 

Swap Confirmation Agreement for Japan Indices, (ii) the 

2007 Americas Master Variance Swap Confirmation 

Agreement, (iii) the Revised 2007 AEJ Master Variance 

Swap Confirmation Agreement for AEJ indices, or (iv) 

the 2007 European Variance Swap Master Confirmation 

Agreement for EMEA Indices (as indicated on the 

Equity Index Volatility Swap –Available Indices below)

(d) the Market Practice Statement for Variance Swap 

Transactions Involving Japanese Shares or Indices 

Regarding When Exchange-Imposed Daily Price 

Limitations Would Constitute a Market Disruption Event 

Due To a Trading Disruption published by ISDA on 

October 22, 2009 (the “Japan Index Market Practice 

Statement”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.
Equity Index Volatility Swaps

98

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Volatility

ISDA OTC Transaction Type: Single Index

Further Limitations: None.

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): As per Annex IVS (other than for a Japan Index).

Termination Date (“terminationDate”): As per Annex IVS.

Exchanges: As specified by the parties.

Related Exchanges: As per Annex IVS.

Volatility Buyer: Not applicable.

Volatility Seller: Not applicable.

Volatility Cap: If applicable, as specified by the parties.

Index: As specified by the parties from among the Equity Index 

Volatility Swap – Available Indices (see below).

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): The Volatility Seller.

Equity Notional Amount: As specified by the parties (other than for an EMEA 

Index).

Equity Notional Reset: As per Annex IVS.

Type of Return: As per Annex IVS.

Initial Price: As per Annex IVS.

Final Price: As per Annex IVS.

Valuation Time: As per Annex IVS.

Observation Start Date: As specified by the parties or otherwise as per Annex 

IVS.

Observation End Date: As per Annex IVS.

Observation Day: As per Annex IVS (with Disrupted Date being 

determined, in the case of a Japan Index, in accordance 

with the Japan Index Market Practice Statement).

Non-Disrupted Observation Day: As per Annex IVS.

Observation Period: As per Annex IVS.

Futures Price Valuation: As specified by the parties or determined in accordance 

with Annex IVS.

Default Exchange-traded Contract: As per Annex IVS.

Equity Amount: The product of the Equity Notional Amount and the 

Final Realized Volatility (or, if there is a Volatility Cap, 

the lesser of the Realized Volatility or the Volatility 

Cap).

Variance Strike Price: Not applicable.

Variance Cap: Not applicable.

Final Realized Volatility: As per Annex IVS.

Initial Index Level: As specified by the parties.

Closing Index Level: If specified by the parties, and determined per Annex 

IVS.

Expiring Contract Level: If specified by the parties or as determined per Annex 

IVS.

Variance Amount: Not applicable.

Volatility Strike Price: Not applicable.

Variance Strike Price: Not applicable.

Variance Cap Amount: Not applicable.

Final Realized Volatility (“FRV”): Per Annex IVS.
Equity Index Volatility Swaps

99

N: As specified by the parties or otherwise per Annex IVS 

(other than for an AEJ Index).

Expected N: As specified by the parties or otherwise per Annex IVS 

(only for an AEJ Index).

Market Disruption Event: As per Annex IVS.

Fixed Amount:

Fixed Amount Payer: The Volatility Buyer.

Fixed Amount: The product of the Equity Notional Amount and the 

Volatility Strike.

Volatility Strike: As specified by the parties.

Settlement Terms:

Cash Settlement: As per Annex IVS.

Settlement Currency: As per Annex IVS.

Cash Settlement Payment Date: As per Annex IVS.

Index Adjustment Events:

Index Cancellation: As per Annex IVS.

Index Modification: As per Annex IVS.

Index Disruption: As per Annex IVS.

IVS Cancellation and Payment: As per Annex IVS.

Additional Disruption Events:

Change in Law: As per Annex IVS.

Non-Reliance: As per Annex IVS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IVS.

Additional Acknowledgements: As per Annex IVS.

Index Disclaimer: As per Annex IVS.

Calculation Agent: As agreed by the parties.

Equity Index Volatility Swap – Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

Equity Index Volatility Swap – Available Indices

Abbr Name

SPX S&P 500 Index

SPXT S&P 500 Total Return
Fixed for Floating Agricultural Swaptions

100

Fixed for Floating Agricultural Swaptions

Terms and Conditions

Summary: This covers uncleared fixed for floating agricultural 

swaptions (“Fixed for Floating Agricultural Swaptions”).

Limitations on Available Selections and Default 

Settings:

The terms under which Fixed for Floating Agricultural 

Swaptions may be traded are shown below and in the 

attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Trade Date: As agreed by the parties.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: Swaption

Buyer: As specified by the parties.

Seller: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.

Physical/Contract Settlement: Applicable

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the 

times on such days specified by the parties.

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Terms of the Underlying Transaction to which the Swaption Relates:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.
Fixed for Floating Agricultural Swaptions

101

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available 

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.
Fixed for Floating Agricultural Swaptions

102

Fixed for Floating Agricultural Swaptions Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swaptions Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

 

1 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT
Fixed for Floating Agricultural Swaptions

103

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price
Fixed for Floating Agricultural Swap Contracts

104

Fixed for Floating Agricultural Swap Contracts

Terms and Conditions

Summary: This covers uncleared fixed-for-floating agricultural 

swaps (“Fixed for Floating Agricultural Swap 

Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which Fixed for Floating Agricultural 

Swap Contracts may be traded are shown below and in 

the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available 

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.
Fixed for Floating Agricultural Swap Contracts

105

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.

Fixed-for-Floating Agricultural Swap Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swap Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

ISDA Definition

COCOA-GBP-EURONEXT
Fixed for Floating Agricultural Swap Contracts

106

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

 

1 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

COCOA-NYBOT1

COFFEE ARABICA-NYBOTError! Unknown switch argument.

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOTError! Unknown switch argument.

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOTError! Unknown switch argument.

LEAN HOGS-CME

LIVE CATTLE-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOTError! Unknown switch argument.

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT
Fixed for Floating Interest Rate Swaps

107

Fixed for Floating Interest Rate Swaps

Terms and Conditions

Summary: This covers uncleared fixed for floating interest rate 

swaps (“Fixed for Floating Interest Rate Swap 

(Uncleared)”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Fixed for Floating Interest Rate 

Swap (Uncleared) contract may be traded are as 

specified in these terms and conditions or in the attached 

tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.
Fixed for Floating Interest Rate Swaps

108

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 
Fixed for Floating Interest Rate Swaps

109

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are 

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is not 

applicable.

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.

Final Exchange:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.
Fixed for Floating Interest Rate Swaps

110

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller’s Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a cross currency Transaction whose 

currencies are listed as a “currency pair” in the Cross 

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 
Fixed for Floating Interest Rate Swaps

111

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

BRL Brazilian Reai Any of BR{SP,RJ,BR} and not 

otherwise declared a market 

holiday by the BM&F

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CNH Chinese Renminbi (HK) HKHK and CNBE

CNY Chinese Renminbi CNBE

COP Colombian Peso COBO

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

INR Indian Rupee INMU

JPY Japanese Yen JPTO

KRW Korean Won KRSE

MXN Mexican Peso (New) MXMC

MYR Malaysian Ringgit MYKL

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PHP Phillipine Peso PHMA

PLN Polish Zloty PLWA

RON Romanian Leu ROBU

RUB Russian Ruble RUMO

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

THB Thai Baht THBA
Fixed for Floating Interest Rate Swaps

112

TRY Turkish Lira TRIS

TWD Taiwan Dollar TWTA

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

BRL 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CNH 5,000,000 100,000 N/A N/A

CNY 5,000,000 100,000 N/A N/A

COP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

HKD 25,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A
Fixed for Floating Interest Rate Swaps

113

INR 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

KRW 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

MYR 5,000,000 100,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PHP 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

RON 5,000,000 100,000 N/A N/A

RUB 5,000,000 100,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

THB 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

TWD 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPAll quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

114

Reference Banks

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

BRL-CDI-CETIP See below N/A See below See below

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

115

CLP-CLICPBloomberg All quoted tenors N/A Per ISDA 2006 N

CNH-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CNH-HIBOR-TMA All quoted tenors N/A Per ISDA 2006 N

CNYCNREPOFIX=CFXSReuters

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

CNY-SHIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

COP-IBR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBOR-PRBO All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2-

DKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CITA-DKNA14-

COMPOUND All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

116

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

117

Swap Rate-10:00

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

118

GRD-ATHIBORTelerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKABBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate4:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HUF-BUBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

INR-FBIL-MIBOROIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

119

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDABloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

120

MXN-TIIE-BanxicoReference Banks All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBOR-BNM All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

PLN-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLN-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

RON-RBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIMENFEA All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIMEReference Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIORReference Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

121

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

122

THB-THBFIX-Reuters All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

TWD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

TWD-Reuters-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-Telerate-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-TWCPBA All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-BSBY All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISAll quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

123

COMPOUND

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006

No

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

124

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary 

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de 
Fixed for Floating Interest Rate Swaps

125

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties. 

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days). 

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F.

Definition of USD-SOFR-COMPOUND

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USD-
Fixed for Floating Interest Rate Swaps

126

SOFR-COMPOUND, per ISDA 2006

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the 

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it 

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as 

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the 

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which 

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is 

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of OBFR 

has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be permanently 

or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or other official 

sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to, Swap 

Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period occurring on 

or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR 

were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if 

necessary, in accordance with the method set forth in Section 8.1(a):

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the 

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities 

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in the 

relevant Calculation Period;

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New 

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of 

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day 

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities 

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a 

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as 

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was published 

on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi; 

“d” is the number of calendar days in the relevant Calculation Period;
Fixed for Floating Interest Rate Swaps

127

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following 

events:

(d) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR) announcing 

that it has ceased or will cease to provide SOFR permanently or indefinitely, provided that, at that time, there is 

no successor administrator that will continue to provide SOFR; 

(e) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a 

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely, 

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(f) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to, but 

need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor 

administrator of SOFR) ceases to publish SOFR or the date as of which SOFR may no longer be used; and

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York, as 

the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and published 

on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single rate, the midpoint of the short-term interest rate target range set by the Federal Open Markets Committee and published on the 

Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target range and the lower 

bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at 

http://www.federalreserve.gov, or any Successor Source.

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 
Fixed for Floating Interest Rate Swaps

128

Compounding 

ISDA MTM Matrix: Applicable (to Mark-to-Market 

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Fixed Floating Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement 

Matrix:

Applicable, if cross currency swap 

with currency pair included in 

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 
Fixed for Floating Interest Rate Swaps

129

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Fixed for Floating Interest Rate Swaptions

130

Fixed for Floating Interest Rate Swaptions

Terms and Conditions

Summary: This covers fixed for floating interest rate swaptions 

(“Fixed for Floating Interest Rate Swaptions”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Fixed for Floating Interest Rate 

Swaption may be traded are as specified in these terms 

and conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Terms of “Underlying Swap Transaction”:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.
Fixed for Floating Interest Rate Swaptions

131

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.
Fixed for Floating Interest Rate Swaptions

132

Compounding Dates In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Swaption Terms:

Option Style: As specified by the parties.

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller's Agent: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Swaption Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is 

specified.

Fallback Exercise: As specified by the parties (if required) .

Swaption Settlement Terms:

Cash Settlement As specified by the parties.

Physical Settlement As specified by the parties.

Cleared Physical Settlement As specified by the parties.
Fixed for Floating Interest Rate Swaptions

133

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Underlying Swap 

Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable and the Underlying Swap Transaction is a 

cross-currency Transaction where the currency pair is 

included in the Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.
Fixed for Floating Interest Rate Swaptions

134

Fixed Floating Swaptions Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Swaptions Underlying Swap Transaction Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Swaptions Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A
Fixed for Floating Interest Rate Swaptions

135

Fixed Floating Swaptions Underlying Swap Transaction Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 10,000,000 1,000,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Swaptions Underlying Swap Transaction Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

136

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 N

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

137

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

138

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

139

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

140

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SAR-SRIORReference Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

141

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap 

Rate-11:15-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

142

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

143

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Fixed Floating Swaption Underlying Swap Transaction Requirements and Defaults

Variable Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Termination Date Business Day 

Convention

No Adjustment

Period End Dates Payment Dates
Fixed for Floating Interest Rate Swaptions

144

Payment Date Business Day 

Convention

Modified Following

Linear Interpolation Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding Inapplicable

Compounding Business Day 

Convention

Same as Business Day Convention 

for Period End Dates

Method of Averaging Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method Compounding or Flat Compounding Compounding

Fixed Floating Swaption Requirements and Defaults

Setting Requirement Default

Option Style: American, Bermuda, European

Premium Payment Date Business 

Day Convention

Following

Fixed Floating Swaption Requirements and Defaults

(Swaption—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Automatic Exercise

Threshold

Fixed Floating Swaption Requirements and Defaults

(Swaption Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount

ISDA Settlement Matrix Applicable, if single currency swap 

with Currency included in Matrix

ISDA Cross Currency Settlement 

Matrix

Applicable, if cross currency swap 

with currency pair included in 

Matrix

Cash Settlement Valuation Time

Cash Settlement Valuation Date Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”
Fixed for Floating Interest Rate Swaptions

145

Valuation Business Day Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention

Following

Cash Settlement Method Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks Fallbacks per ISDA 2006 

Definitions

Quotation Rate bid

ask

mid
Forward Rate Agreements (Uncleared)

146

Forward Rate Agreements (Uncleared)

Terms and Conditions

Summary: This covers uncleared forward rate agreements 

(“Forward Rate Agreements” or “FRAs”).

Limitations on Available Selections and Default 

Settings:

The terms under which an FRA may be traded are as 

specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET”/EUTA is considered a location.

In many cases there are normal “vanilla” terms on 

which the parties will transact. These are shown as 

“Default” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or 

“Default Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded 

(e.g., London versus NY). In that case the default 

settings may vary by market.

Incorporated Standards: These terms and conditions incorporate by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.2.4 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: None
Forward Rate Agreements (Uncleared)

147

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“adjustedEffectiveDate”): The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“adjustedTerminationDate”): The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention.

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Rate Payer (“buyerPartyReference”): As specified by the parties.

Fixed Rate (“fixedRate”): As specified by the parties.

Floating Rate Payer (“sellerPartyReference”): As specified by the parties.

Payment Date (“paymentDate”): As specified by the parties.

Floating Rate Option (“floatingIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Spread: As specified by the parties.

Floating Rate Day Count Fraction 

(“dayCountFraction”):

As specified by the parties.

Reset Date: The Effective Date.

Discounting (“fraDiscounting”): As specified by the parties.

Business Days: As specified by the parties.

Calculation Agent: As specified by the parties.

FRA Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO

FRA Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment
Forward Rate Agreements (Uncleared)

148

Preceding

FRA Available Day Count Fractions

ISDA Name

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

1/1

FRA Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 500,000,000 10,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

FRA Floating Rate Options and Defaults

Currency Floating Rate 

Option (any 

from ISDA 

2006 if not 

specified)

Available 

Tenors

Default 

Tenor

Default Day 

Count Fraction

Additional 

Business 

Day 

Locations

Default for 

Currency 

(Y/N)

AUD Actual/360 N

CAD

CHF

CZK Actual/360 N

DKK

EUR

GBP

HUF

ILS ILSTELBOR01-

Reuters

All quoted N Per ISDA 2006 N Y

JPY

NOK

NZD NZD-BBRFRAAll quoted N Per ISDA 2006 N Y
Forward Rate Agreements (Uncleared)

149

PLN

SEK

USD USD-LIBORBBA3M Actual/360 GBLO Y

ZAR

FRA Discounting Types

ISDA Name FpML Default for (Currency)

FRA Discounting ISDA All but AUD

FRA Yield Discounting AFMA AUD

None NONE None
Forward Rate Agreements – CME Cleared

150

Forward Rate Agreements – CME Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared 

by the Chicago Mercantile Exchange Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Forward Rate 

Agreement/CME Cleared may be traded are as specified 

in these terms and conditions, which incorporate the 

CME Rulebook, in particular Chapters 900 and 901 

(and any successor provisions) and the CME Cleared 

IRS Product Scope (or any successor).

By electing to trade a Forward Rate 

Agreement/CME Cleared, participants are 

representing that they are familiar with the CME 

Rulebook and the limitations on transaction terms 

contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA 

Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product(s): N/A

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to the limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Settlement: As per the CME Rulebook, in advance or arrears.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.
Forward Rate Agreements – CME Cleared

151

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

FRA Discounting: As per CME Rulebook, which may require different 

discounting conventions depending on payment 

convention.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.
Forward Rate Agreements – LCH Cleared

152

Forward Rate Agreements – LCH Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared 

by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Forward Rate 

Agreement/LCH Cleared may be traded are as specified 

in these terms and conditions, which incorporate the 

LCH Rulebook, in particular Schedule 4A (or any 

successor provisions).

By electing to trade a Forward Rate 

Agreement/LCH Cleared, participants are 

representing that they are familiar with the LCH 

Rulebook and the limitations on transaction terms 

contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, 

since the LCH may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the LCH Rulebook, which may limit the earliest or 
Forward Rate Agreements – LCH Cleared

153

latest day on which such fees may be paid based on 

Currency or other factors.

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the LCH Rulebook.

Floating Rate Payer: As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

FRA Discounting: As per the LCH Rulebook.

Discount Rate As per the LCH Rulebook.

FRA Yield Discounting: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
iBoxx Index Swaps

154

iBoxx Index Swaps

Terms and Conditions

Summary: This covers iBoxx index swaps (each, an “iBoxx Index 

Swap”) on a bilateral basis.

Limitations on Available Selections and Default 

Settings:

The terms under which an iBoxx Index Swap may be 

traded are shown below and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency and any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) the iBoxx Index Transaction Standard Terms 

Supplement (current version or as specified by the 

parties) (“iBoxx STS”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Total Return Swap Index

ISDA OTC Sub-Product: iBoxx

ISDA OTC Transaction type: N/A
iBoxx Index Swaps

155

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): The Business Day following the Trade Date, unless 

otherwise agreed by the parties.

Effective Date Business Days: The Business Days specified below, unless otherwise 

specified by the parties.

Effective Date Business Day Convention: The Business Day Convention specified below, unless 

otherwise specified by the parties.

Termination Date (“terminationDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Notional Amount (“notional”): An amount specified by the parties, which will be in the 

relevant Settlement Currency (unless otherwise agreed 

by the parties).

Index As specified by the parties from among the Available 

Indices.

Index Buyer: As agreed by the parties.

Index Seller: As agreed by the parties.

Calculation Agent: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Settlement Currency: The currency in which the Index is denominated.

Business Days: As specified in the iBoxx STS for the relevant 

Settlement Currency, unless otherwise agreed by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): Index Buyer

Floating Rate Payer Period End Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Floating Rate Payer Payment Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Linear Interpolation: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, per the Definitions unless otherwise agreed by 

the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies per the Definitions unless otherwise agreed by 

the parties.

Floating Rate Option: As specified by the parties.

Floating Rate for the initial Calculation Period As specified by the parties.

Spread: As specified by the parties.

Designated Maturity (“indexTenor”) As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Floating Rate Day Count Fraction: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Reset Dates (“resetDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Payment Dates Business Days: The Business Days specified above, unless otherwise 

agreed by the parties.

Business Days (Other Than Payment Dates): The Business Days specified above, unless otherwise 

agreed by the parties.

Business Day Convention (Other Than Payment Dates): The Business Day Convention specified above, unless 

otherwise specified by the parties.
iBoxx Index Swaps

156

Index Return Amount:

Index Return Amount Payment Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Initial Fixing Amount: As agreed by the parties and rounded as specified in the 

iBoxx STS (unless the parties otherwise agree).

Final Fixing Amount: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Scheduled Final Fixing Date: As specified by the parties, subject to the Business Day 

Convention (unless the parties otherwise agree).

Final Fixing Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Index Adjustment and Index Discontinuance Events: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

iBoxx Index Available Currencies and Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA and GBLO

GBP Sterling EUTA and GBLO

USD United States Dollars USNY

iBoxx Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

iBoxx Index Available Indices

Name Currency

iBoxx EUR Corporates EUR

iBoxx EUR Liquid High Yield Index EUR

iBoxx GBP Corporates GBP

iBoxx USD Domestic Corporates USD

iBoxx USD Liquid High Yield Index USD

iBoxx USD Liquid Investment Grade Index USD

iBoxx USD Liquid Leveraged Loans Index USD

iBoxx Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)
iBoxx Index Swaps

157

iBoxx Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

158

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

159

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

160

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

161

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N
Inflation Swaps

162

Inflation Swaps

Terms and Conditions

Summary: This covers inflation swaps (“Inflation Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Inflation Swap may be traded 

are as specified in these terms and conditions or in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2008 ISDA Inflation Derivatives Definitions, 

including Supplements 1 and 2 thereto and any other 

Supplements through Trade Date

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Inflation

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 
Inflation Swaps

163

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Fixed Amount: As specified by the parties (in lieu of all items other than 

Payment Date(s)).

Fixed Rate Payment Date (“unadjustedPaymentDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate (“floatingRate”): Notwithstanding the 2006 Definitions, “Floating Rate” 

will equal:

rounded in accordance with the 2008 ISDA Inflation 

Derivatives Definitions and subject to the Negative 

Interest Rate Treatment.

Index: As specified by the parties from among the Available 

Inflation Indices.

Index_Initial (“initialIndexLevel”): As specified by the parties.

Index_Final: The Index level for the Reference Month(s) specified by 

the parties in the Reference Year(s) specified by the 

parties.

Reference Month(s): As specified by the parties.

Reference Year(s) As specified by the parties.

Day Count Fraction: 1/1

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.
Inflation Swaps

164

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Negative Interest Rates (“negativeInterestRateMethod”): As selected by the parties from among the Available 

Treatments.

Related Bond: The bond, if any, specified by the parties as such.

Fallback Bond (“fallbackBondApplicable”): As selected by the parties if no Related Bond is selected.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

USD United States Dollars USNY

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

Inflation Swap Indices
Inflation Swaps

165

Index Name Description

AUD-CPI Australia: AUD – Non-revised Consumer Price Index (CPI)

AUS-CPI Austria: AUS – Non-revised Consumer Price Index (CPI)

AUS-HICP Austria: AUS – Non-revised Harmonised Indices of Consumer Prices (HICP)

BLG-CPI-GI Belgium: BLG – Non-revised Consumer Price Index - General Index (CPI)

BLG-CPI-HI Belgium: BLG – Non-revised Consumer Price Index - Health Index (CPI)

BLG-HICP Belgium: BLG – Non-revised Harmonised Consumer Price Index (HICP)

DEM-CPI Germany: DEM – Non-revised Consumer Price Index (CPI)

DEM-CPI-NRW Germany: DEM – Non-revised Consumer Price Index for North Rhine-Westphalia

DEM-HICP Germany: DEM – Non-revised Harmonised Consumer Price Index (HICP)

ESP-CPI Spain: ESP – National-Non-revised Consumer Price Index (CPI)

ESP-HICP Spain: ESP – Harmonised-Non-revised Consumer Price Index (HICP)

ESP-R-CPI Spain: ESP – National-Revised Consumer Price Index (CPI).

ESP-R-HICP Spain: ESP – Harmonised-Revised Consumer Price Index (HICP)

EUR-AI-CPI European Union: EUR – All Items-Non-revised Consumer Price Index

EUR-AI-R-CPI European Union: EUR – All Items–Revised Consumer Price Index

EUR-EXT-CPI European Union: EUR – Excluding Tobacco-Non-revised Consumer Price Index

EUR-EXT-RCPI European Union: EUR – Excluding Tobacco–Revised Consumer Price Index

FRC-EXT-CPI France: FRC – Excluding Tobacco-Non-Revised Consumer Price Index

FRC-HICP France: FRC – Harmonised-Non-revised Consumer Price Index (HICP)

GRD-CPI Greece: GRD – Non-revised Consumer Price Index (CPI)

GRD-HICP Greece: GRD – Harmonised-Non-revised Consumer Price Index (HICP)

ILS-CPI Israel: ILS – Non-revised Consumer Price Index (CPI)

IRL-CPI Ireland: IRL – Non-revised Consumer Price Index (CPI)

IRL-HICP Ireland: IRL – Harmonised-Non-revised Consumer Price Index (HICP)
Inflation Swaps

166

ITL-BC-EXTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees–Excluding Tobacco Consumer 

Price Index

ITL-BC-INTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees-Including Tobacco Consumer 

Price Index

ITL-HICP Italy: ITL – Non-revised Harmonised Consumer Price Index (HICP)

ITL-WC-EXTCPI Italy: ITL – Whole Community –Excluding Tobacco Consumer Price Index

ITL-WC-INTCPI Italy: ITL – Whole Community –Including Tobacco Consumer Price Index

LUX-CPI Luxembourg: LUX – Non-revised Consumer Price Index (CPI)

LUX-HICP Luxembourg: LUX – Harmonised-Non-revised Consumer Price Index (HICP)

NLG-CPI Netherlands: NLG – Non-revised Consumer Price Index (CPI)

NLG-HICP Netherlands: NLG – Harmonised-Non-revised Consumer Price Index (HICP)

POR-CPI Portugal: POR – Non-revised Consumer Price Index (CPI)

POR-HICP Portugal: POR – Harmonised-Non-revised Consumer Price Index (HICP)

UK-HICP United Kingdom: GBP – Harmonised-Non-revised Consumer Price Index (HICP)

UK-RPI United Kingdom: GBP – Non-revised Retail Price Index (UKRPI)

UK-RPIX United Kingdom: GBP – Non-revised Retail Price Index Excluding Mortgage Interest 

Payments (UKRPIX)

USA-CPI-U United States: USA – Non-revised Consumer Price Index – Urban (CPI-U)

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Fallback Bond: Applicable
Interest Rate Caps/Floors

167

Interest Rate Caps/Floors

Terms and Conditions

Summary: This covers interest rate caps and floors (“Interest Rate 

Caps/Floors”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Cap/Floor may 

be traded are as specified in these terms and conditions 

and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Cap/Floor

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 
Interest Rate Caps/Floors

168

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount 1:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Cap Rate: As specified by the parties.

Floor Rate: As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.
Interest Rate Caps/Floors

169

Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller’s Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.
Interest Rate Caps/Floors

170

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Cap/Floor Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA

GBP Pound Sterling GBLO

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO
Interest Rate Caps/Floors

171

Cap/Floor Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Cap/Floor Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Cap/Floor Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Cap/Floor Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Cap/Floor Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Cap/Floor Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

172

Rate-10:00-Bloomberg

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OIS- All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

173

COMPOUND

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

174

Rate-11:00-

BGCANTOR

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Interest Rate Caps/Floors

175

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

176

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Cap/Floor Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Compounding or Flat Compounding Compounding

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)
Interest Rate Caps/Floors

177

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Cap/Floor Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days before 

Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks
Interest Rate Caps/Floors

178

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Interest Rate Swaps – ASX Cleared

179

Interest Rate Swaps – ASX Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by ASX Clear 

(Futures) Pty Limited (“ASX”) (such swaps, “Interest 

Rate Swaps – ASX Cleared”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Swap – ASX 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the ASX OTC 

Rulebook and the ASX OTC Handbook (collectively, 

the “ASX Rules”), in particular Schedule 1 to the ASX 

OTC Handbook (and any successor provisions).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap – ASX Cleared, 

participants are representing that they are familiar 

with the ASX Rules and the limitations on 

transaction terms contained therein. 

In particular, participants represent that they are 

familiar with the limitations on transactions for US 

Persons set forth in Section 4.3 of the ASX OTC 

Handbook (or any successor provisions).

Incorporated Standards: This contract description incorporates by reference the 

ASX Rules as in effect from time to time.

The ASX Rules themselves may incorporate certain 

additional standards, such as the 2006 ISDA 

Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and ASX-cleared 

contracts, since ASX may reserve the right to select 

when and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the ASX Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2006, as amended) 

binding on the parties in accordance with the ASX 

Rules.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the ASX Rules.

This may vary from period to period to the extent 

permitted by the ASX Rules.

The ASX Rules may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the ASX Rules.

Business Days: As per the ASX Rules, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the ASX Rules.

Trade Date: As per the ASX Rules.
Interest Rate Swaps – ASX Cleared

180

Effective Date: As per the ASX Rules.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the ASX Rules.

Termination Date Business Day Convention: As per the ASX Rules, and thus subject to limitations 

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the ASX Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the 

ASX Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the 

ASX Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the ASX Rules and any other restrictions in the ASX 

Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the ASX Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page.

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the ASX Rules and any other restrictions in the ASX 

Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties.

Compounding: As per the ASX Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the ASX Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the ASX Rules.
Interest Rate Swaps – ASX Cleared

181

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations 

in the ASX Rules.
Interest Rate Swaps – Eurex Cleared

182

Interest Rate Swaps – Eurex Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Eurex 

Clearing AG (“Eurex”) (such swaps, “Interest Rate 

Swaps – Eurex Cleared”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Swap – Eurex 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the Eurex Clearing 

Conditions (Clearing-Bedingungen) (collectively, the 

“Eurex Rules”).

By electing to trade an Interest Rate Swap – Eurex 

Cleared, participants are representing that they are 

familiar with the Eurex Rules and the limitations on 

transaction terms contained therein.

Incorporated Standards: This contract description incorporates by reference the 

Eurex Rules as in effect from time to time.

The Eurex Rules themselves may incorporate certain 

additional standards, such as the 2000 ISDA 

Definitions, the 2006 ISDA Definitions or the 

Rahmenvertrag für Finanztermingeschäfte (“DRV”). Be 

aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and Eurex-cleared 

contracts, since Eurex may reserve the right to select 

when and how such changes become effective. Also 

be aware that Eurex has elected to make the 2006 

ISDA Definitions applicable to certain classes of 

transactions, regardless of the parties’ election to use 

the 2000 ISDA Definitions.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, Inflation, OIS and Basis

Further Limitations: Must comply with the Eurex Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 Definitions, ISDA 

2006 Definitions, each as amended, the DRV) binding 

on the parties in accordance with the Eurex Rules.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the Eurex Rules.

This may vary from period to period to the extent 

permitted by the Eurex Rules.

The Eurex Rules may limit the Floating Rate Options 

and other terms for which variable notionals are 

permitted.
Interest Rate Swaps – Eurex Cleared

183

Currency: One of the currencies permitted for the relevant 

transaction type per the Eurex Rules.

Business Days: As per the Eurex Rules, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the Eurex Rules.

Trade Date: As per the Eurex Rules.

Effective Date: As per the Eurex Rules.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the Eurex Rules for the related type 

of transaction and Currency.

Termination Date Business Day Convention: As per the Eurex Rules, and thus subject to limitations 

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the Eurex Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the Eurex Rules and any other restrictions in the Eurex 

Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the Eurex Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page.

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the Eurex Rules and any other restrictions in the Eurex 

Rules.
Interest Rate Swaps – Eurex Cleared

184

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties.

Compounding: As per the Eurex Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.
Interest Rate Swaps – JSCC Cleared

185

Interest Rate Swaps – JSCC Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Japan Securities 

Clearing Corporation (“JSCC”) (such swaps, “Interest Rate 

Swaps – JSCC Cleared”).

Limitations on Available Selections and 

Default Settings:

The terms under which an Interest Rate Swap – JSCC Cleared 

may be traded are as specified in these terms and conditions, 

which incorporate the JSCC Interest Rate Swap Clearing 

Business Rules (‹à— ̃ƒXƒƒbƒvŽæˆø ́ŽZ‹Æ–±‚ÉŠÖ‚·‚é‹

Æ–±•û–@‘)and the JSCC Handling Procedures of Interest 

Rate Swap Business Rules (‹à— ̃ƒXƒƒbƒvŽæˆø ́ŽZ‹Æ–±

‚ÉŠÖ‚·‚é‹Æ–±•û–@‘‚ÌŽæˆμ‚¢) (collectively, the “JSCC 

Rules”).

By electing to trade an Interest Rate Swap – JSCC Cleared, 

participants are representing that they are familiar with 

the JSCC Rules and the limitations on transaction terms 

contained therein. 

In particular, participants represent that they are familiar 

with the limitations on transactions for US Persons set 

forth in Article 47-2 of the JSCC Handling Procedures of 

Interest Rate Swap Business Rules (or any successor 

provisions).

Incorporated Standards: This contract description incorporates by reference the JSCC 

Rules as in effect from time to time.

The JSCC Rules themselves may incorporate certain additional 

standards, such as the 2000 ISDA Definitions or 2006 ISDA 

Definitions. 

Be aware that the timing of effectiveness of amendments or 

supplements to the ISDA standards may vary between 

bilateral and JSCC-cleared contracts, since JSCC may 

reserve the right to select when and how such changes 

become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the JSCC Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 or ISDA 2006, each as 

amended) binding on the parties in accordance with the JSCC 

Rules.

Notional Amount: An amount in Currency determined by the parties subject to 

limitations in the JSCC Rules.

This may vary from period to period to the extent permitted by 

the JSCC Rules.

The JSCC Rules may limit the Currencies and Floating Rate 

Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant transaction 

type per the JSCC Rules.

Business Days: As per the JSCC Rules, which may require certain Business 

Days be applicable on a per Currency or Floating Rate Option 
Interest Rate Swaps – JSCC Cleared

186

Basis and may otherwise limit the available Business Day 

locations which can be elected.

Business Day Convention: As per the JSCC Rules.

Trade Date: As per the JSCC Rules.

Effective Date: As per the JSCC Rules.

Termination Date: As agreed by the parties, subject to any minimum or maximum 

tenor in the JSCC Rules.

Termination Date Business Day Convention: As per the JSCC Rules, and thus subject to limitations based on 

other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the JSCC Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or maximum 

rate and per-period variability permitted in the JSCC Rules and 

any other restrictions in the JSCC Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to the JSCC Rules, which may provide a more 

limited list of available options for a Currency than does the 

Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules, 

which may provide a more limited set of Designated Maturities 

than does the related rate source page.

Spread: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to any minimum or maximum rate and perperiod variability permitted by the JSCC Rules and any other 

restrictions in the JSCC Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined by the 

parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties.

Compounding: As per the JSCC Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules.

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations in the 

JSCC Rules.
IOS Index Contracts

187

IOS Index Contracts

Terms and Conditions

Summary: This covers Markit IOS Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) the Markit IOS Standard Terms Supplement (March 

12, 2010 version) or any subsequent Standard Terms 

Supplement (the “Standard Terms”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: IOS

ISDA OTC Transaction Type: IOS

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit IOS Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:

Initial Payment: Per the Standard Terms.
IOS Index Contracts

188

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
MBX Index Contracts

189

MBX Index Contracts

Terms and Conditions

Summary: This covers Markit MBX Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit MBX Standard Terms Supplement 

(September 12, 2010 version) or any subsequent 

Standard Terms Supplement (the “Standard 

Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: MBX

ISDA OTC Transaction Type: MBX

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit MBX Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.
MBX Index Contracts

190

Initial Payment:

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
Municipal Market Data Rate Lock Transactions

191

Municipal Market Data Rate Lock Transactions

Terms and Conditions

Summary: This covers rate lock transactions indexed to the 

Thomson Reuters Municipal Market Data (“MMD”) 

AAA Curve (“MMD Rate Lock Transactions”).

Limitations on Available Selections and Default 

Settings:

The terms under which a MMD Rate Lock Transaction 

may be traded are as specified in these terms and 

conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).
Municipal Market Data Rate Lock Transactions

192

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

DV01: As specified by the parties.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal:

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Floating Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

Payment Dates (“unadjustedPaymentDate”): The Termination Date

Relevant Rate: The Relevant Rate for a Reset Date will be the level of 

the Thomson Reuters Municipal index for a tenor of the 

Designated Maturity which represents the offer-side of 

5.00% coupon “AAA” rated state general obligation 

bonds based on institutional block size ($2 million+) 

market activity in both the primary and secondary 

municipal bond market, as of at 3:00 p.m. eastern 

standard time as published on the Thomson Reuters 

TM3 page.

Designated Maturity (‘indexTenor”) As specified by the parties from among the available 

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): The second Business Day preceding the Floating Rate 

Payment Date.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY
Municipal Market Data Rate Lock Transactions

193

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Notional Amounts

Currency Minimum Increment Maximum Default

USD 25,000,000 1,000,000 N/A N/A
Natural Gas Date/Instrument Spread Contracts

194

Natural Gas Date/Instrument Spread Contracts

Terms and Conditions

Summary: This covers “Natural Gas Date/Instrument Spread Contracts”. 

A natural-gas date/instrument spread contract is a cash-settled agreement

between two counterparties whereby one counterparty agrees to pay a

floating amount to the other counterparty on a given date, and then

receive a different floating amount from the other counterparty on a 

different, later date.

The difference between the two floating amounts is the spread, which is 

the quoted price for the contract.

The floating amounts are based on the notional quantity traded and the

price of natural gas a stated hub published by one of a series of industry.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a 

given issue of the publication source (e.g., monthly based on the first 

issue of the month) or an average of prices (e.g., average of weekly 

bid prices for each weekly issue), as agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate 

(IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) 

(IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention and Minimum 

Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.
Natural Gas Date/Instrument Spread Contracts

195

Notional Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell on the near leg and Buy or Sell on the far leg. 

These would be reversed so that if the first leg is buying the second leg 

must be selling, for instance.

Calculation Periods: Two calculation periods – one for each leg of the spread. 

A single date or date range over which the reference price of the 

commodity will be calculated. 

If a date range the reference price will be averaged across the days, 

contracts or publication source issues as agreed by the counterparties.

Settlement Date(s): Specified settlement or payment date when the floating amounts are 

exchanged.

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Natural Gas – Financial Basis Swap Contracts

196

Natural Gas – Financial Basis Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Financial Basis Swap Contracts”. 

A natural gas financial basis swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated based on 

the reported price for natural gas at a given hub, and in exchange, the second 

counterparty will pay a floating amount to the first counterparty on the same given 

date(s) based on the maturity price of a natural gas futures contract tied to a 

different hub. 

The floating amounts paid are determined based on the notional quantity and, in the 

case of the first floating amount, the price of natural gas a stated hub published by 

one of a series of industry publications and, in the case of the second floating 

amount, an applicable futures contract based on the reference commodity.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given issue of 

the Publication Source (e.g., monthly based on the first issue of the month) or an 

average of prices (e.g., average of weekly bid prices for each weekly issue), as 

agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Contracts on Reference 

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future) Last Day Settlement

For transactions where the settlement currency is CAD, this price will be converted 

to CAD at then-current spot.

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)
Natural Gas – Financial Basis Swap Contracts

197

Quoting Convention 

and Minimum 

Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-futures based floating amount is 

paid (buy) or received (sell).

Calculation Period: A single date or date range over which the reference price of the commodity will be 

calculated. 

If a date range the reference price will be averaged across the days, contracts or 

Publication Source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and the 

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Natural Gas – Fixed/Floating Swap Contracts

198

Natural Gas – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Fixed/Floating Swap Contracts”. 

A fixed/floating natural gas swap contract is a cash settled agreement between 

two counterparties whereby one counterparty agrees to pay a fixed amount to 

the other counterparty on a given date, and in exchange the second counterparty 

will pay a floating amount to the first counterparty on the same given date. 

The fixed amount paid is determined based on the notional quantity traded and 

the price of the reference commodity. 

The floating amount paid is determined based on the notional quantity and the 

price of an applicable futures contract based on the reference commodity over 

an agreed future calculation period.

Reference Commodities: • Henry Hub Natural Gas

• Waha Natural Gas

• Permian Natural Gas Basis Swap

• TTF Natural Gas

Contracts on Reference 

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future)

• NYMEX Waha Natural Gas Basis Swap

• NYMEX Permian Natural Gas Basis Swap

• ICE TTF Natural Gas (Monthly)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD (Other than TTF)

• EUR (TTF)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties

Minimum Size: Notional amount, as agreed by counterparties

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD (Other than TTF)

• EUR (TTF)

Trading Conventions: Buy or Sell which refers to whether or not the fixed amount is paid (buy) or 

received (sell).

Calculation Periods: A single date or date range over which the reference price of the commodity will 

be calculated. 

If a date range the reference price will be averaged across all days.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date when the fixed payment amount and the 

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency. 

The contracts settle on both the NYMEX Last Day and NYMEX Penultimate 

publications.
Natural Gas – Swing Swap Contracts

199

Natural Gas – Swing Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Swing Swap Contracts”. 

A natural gas swing swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated 

based on the daily reported price for natural gas at a given hub, and in 

exchange the second counterparty will pay a floating amount to the first 

counterparty on the same given date(s) based on the price at the same hub 

reported for a different period (e.g., weekly or monthly). 

The floating amounts paid are determined based on the notional quantity and, 

in the case of the first floating amount, the daily price of natural gas a stated 

hub published by one of a series of industry publications and, in the case of the 

second floating amount, a price of natural gas the same hub published with 

respect to a different periodicity.

Publication Sources (Non-Daily): • CGPR—Canadian Gas Price Reporter

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given 

issue of the Publication Source (e.g., monthly based on the first issue of the 

month) or an average of prices (e.g., average of weekly bid prices for each 

weekly issue), as agreed by the parties.

Publication Sources (Daily): • Gas Daily –Platt’s Gas Daily’s Daily Report

Reference Commodities and NonDaily Publication Source:

• AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.
Natural Gas – Swing Swap Contracts

200

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-daily price based floating 

amount is paid(buy) or received (sell).

Calculation Period: The reference price may be averaged across the days, contracts or publication 

source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and 

the floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Non-Deliverable Swaps

201

Non-Deliverable Swaps

Terms and Conditions

Summary: This covers non-deliverable single-currency swaps 

(“Non-Deliverable Single-Currency Swaps”) and nondeliverable cross-currency swaps (“Non-Deliverable 

Cross-Currency Swaps” and, together with NonDeliverable Single-Currency Swaps, “Non-Deliverable 

Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which Non-Deliverable SingleCurrency Swaps and Non-Deliverable Cross-Currency 

Swaps may be traded are as specified in these terms and 

conditions or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions (including Supplement 31 

thereto);

(b) ISDA OTC Taxonomies;

(c) FpML Location Codes;

(d) the ISDA/EMTA 1998 FX and Currency Option 

Definitions (“1998 Definitions”);

(e) the EMTA Non-Deliverable Forward Templates;

(f) the EMTA-ISDA Market Practice for NonDeliverable CLP “Cámara” (CLP TNA) Interest 

Rate Swap Transactions (“CLP TNA Best 

Practices”); 

(g) the Recommended EMTA-ISDA Market Practice 

for BRL CDI Non-Deliverable Interest Rate Swap 

Transactions (Amended March 13, 2009) (“BRL 

CDI Best Practices”); 

(h) The current ISDA Revised Non-Deliverable Swap 

Transaction Standard Terms Supplement (“Asian 

STS”); and

(i) The current ISDA Non-Deliverable Swap 

Transaction Fallback Matrix (the “Asian Matrix,” 

and, together with the Asian STS, the “Asian 

Terms”).
Non-Deliverable Swaps

202

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Settlement Currency: With respect to Non-Deliverable Single-Currency 

Swaps, USD.

With respect to any Non-Deliverable Cross-Currency 

Swap, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Index Currency: With respect to any Non-Deliverable Single-Currency 

Swaps, the currency elected by the parties from among 

those specified in the list of Available Single Currencies.

With respect to any Non-Deliverable Cross-Currency 

Swaps, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FX Rate: The amount of Index Currency corresponding to one unit 

of the Settlement Currency.

The FX Rate will be determined on the date determined 

as specified for the relevant Available Single Currency 

or Available Currency Pair and in accordance:

(a) in the case of Index Currencies not identified as 

subject to Asian Terms, with the specified NDF 

Template and Rate Sources and Fallback Rates, treating 

the scheduled date of determination of the FX Rate as 

the “Valuation Date” under the NDF Template; and

(b) in the case of Index Currencies identified as subject 

to Asian Terms, in accordance with the Asian Terms.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction or for any Non-Deliverable Cross-Currency 

Swap Transaction involving ARS or PEN, an amount in 

the Index Currency agreed by the parties.
Non-Deliverable Swaps

203

For any other Non-Deliverable Cross-Currency Swap 

Transaction, an amount in the Index Currency or 

Settlement Currency agreed by the parties.

Fixed Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions.

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is not 

identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal an amount in the Settlement Currency equal to:

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Fixed Amount shall be calculated in accordance with the 

Asian Terms.

Fixed Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Fixed Rate Payer Period End Date 

Business Day Convention.

Fixed Rate Payer Period End Date Business Days: If a Fixed Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Fixed Rate 

Payer Period End Dates will not be adjusted.

Fixed Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Fixed Rate Payer Payment Date 

Business Day Convention.

Fixed Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction, an amount in the Index Currency agreed by 

the parties.

For any Non-Deliverable Cross-Currency Swap, an 

amount in the Settlement Currency agreed by the parties.

For any other Non-Deliverable Cross-Currency Swap, an 

amount agreed by the parties in whichever of the Index 

Currency or Settlement Currency is not the currency in 

which the Fixed Rate Payer Currency Amount is 

denominated.

Floating Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions.

If the Currency Amount is denominated in BRL, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 
Non-Deliverable Swaps

204

be calculated as set forth under Definition of BRL 

Floating Rate Option.

If the Currency Amount is not denominated in the 

Settlement Currency or BRL and the Index Currency is 

not identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal an amount in the Settlement Currency equal to:

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Floating Amount shall be calculated in accordance with 

the Asian Terms.

Floating Rate Option: For the relevant Currency, as selected by the parties 

from among the Available Floating Rate Options for 

such Currency.

Designated Maturity (‘indexTenor”): As specified by the parties from among the available 

tenors.

Spread: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Floating Rate Payer Period End 

Date Business Day Convention.

Floating Rate Payer Period End Date Business Days: If a Floating Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Floating Rate 

Payer Period End Dates will not be adjusted.

Floating Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Floating Rate Payer Payment Date 

Business Day Convention.

Floating Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions.

Compounding: As specified by the parties.

Method of Averaging: As specified by the parties.

Final Exchange:

Final Exchange Date: As specified by the parties.

Final Exchange Business Days: As specified by the parties from among the Available 

Business Days.

Final Exchange Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Rate Payer Final Exchange Amount: If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Fixed Rate 

Payer Final Exchange Amount.
Non-Deliverable Swaps

205

If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms, an amount in the Settlement Currency equal to:

If the Fixed Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Fixed Rate Payer Final Exchange Amount shall 

be calculated in accordance with the Asian Terms.

Floating Rate Payer Final Exchange Amount: If the Floating Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Floating 

Rate Payer Final Exchange Amount.

If the Floating Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms an amount in the Settlement Currency equal to:

If the Floating Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Floating Rate Payer Final Exchange Amount 

shall be calculated in accordance with the Asian Terms.

Non-Deliverable Swap Settlement Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

Non-Deliverable Swap Available Currencies

Index Currency NDF Template Rate Source Fallback Rate 

Source(s) (in 

order)

Determination 

Date

Business Days

INR N/A N/A N/A N/A INMU

MYR N/A N/A N/A N/A MYKL

THB N/A N/A N/A N/A THBA

Non-Deliverable Cross-Currency Swap Available Currency Pairs

Index 

Currency

Settlement 

Currency

NDF

Template

Rate Source Fallback Rate 

Source(s) (in 

order)

Determination 

Date

Business 

Days

ARS USD 17 May 06 ARS03 ARS04 Payment – 2 

BD

ARBA

USNY

BRL USD 17 May 06 BRL09 BRL12, 

BRL13

Payment – 2 

BD

USNY and 

any of 

BR{SP,RJ, 

BR}

CLP USD 01 Aug 06 CLP10 CLP11 Payment – 2 

BD

CLSA 

USNY

COP USD 01 Aug 06 COP02 COP03 Payment – 2 

BD

USNY

COBO
Non-Deliverable Swaps

206

PEN USD 03 Dec 07 PEN05 PEN04 Payment – 2 

BD

USNY

PELI

Applicability of Asian Terms

Index Currency Asian Terms

ARS Not Applicable

BRL Not Applicable

CLP Not Applicable

COP Not Applicable

INR Applicable

MYR Applicable

PEN Not Applicable

THB Applicable

Non-Deliverable Swap Floating Rate Options

Index Currency Floating Rate Option Defined In Business Days

ARS Not Applicable—Fixed Leg ONLY ARBA

USNY

BRL BRL-CDI-CETIP See below USNY and any of 

BR{SP,RJ, BR}

CLP CLP-Indice Cámara 

Promedio (ICP)

CLP TNA Best Practices USNY

CLSA

CLP CLP-Unidad de Fomentos

(UF/CLF)

See below USNY 

CLSA

COP COP-IBR-OISCOMPOUNDISDA 2006 USNY

COBO

COP COP-Unidad de Valor Real 

(UVR)

See below USNY 

COBO

INR INR-FBIL-MIBOR-OISCOMPOUNDISDA 2006 INMU

INR INR-MITOR-OISCOMPOUNDISDA 2006 INMU

MYR MYR-KLIBOR-BNM ISDA 2006 MYKL

PEN Not Applicable—Fixed Leg ONLY USNY

PELI

THB THB-THBFIX-Reuters ISDA 2006 THBA

USD Any USD Floating Rate 

Option available under 

tpSEF’s Fixed/Floating 

Swap Listing 

See tpSEF’s Fixed/Floating 

Swap Listing

See tpSEF’s 

Fixed/Floating Swap 

Listing

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary 

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 
Non-Deliverable Swaps

207

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de 

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties.

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days).

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F.

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF): For any Reset Date, the difference between the value of the 

unidad de fomento (UF/CLF) as certified by the Chilean Banco 
Non-Deliverable Swaps

208

Central de Chile for the calendar day preceding such Reset 

Date and the value of the unidad de fomento (UF/CLF) as 

certified by the Chilean Banco Central de Chile for such Reset 

Date.

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the CLP-Unidad de 

Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad 

de fomento (UF/CLF) as certified by the Chilean Banco 

Central de Chile, the Calculation Agent shall determine the 

CLP-Unidad de Fomento (UF/CLF) for such day.

Definition of COP-Unidad de Valor Real (UVR)

COP-Unidad de Valor Real (UVR): For any Reset Date, the difference between the value of the 

unidad de valor real (UVR) as certified by the Colombian 

Banco de Republica for the calendar day preceding such Reset 

Date and the value of unidad de valor real (UVR) as certified 

by the Colombian Banco de Republica for such Reset Date.

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the COP-Unidad de 

Valor Real (UVR).

If for any Reset Date there is no published the difference 

between the value of the unidad de valor real (UVR) as 

certified by the Colombian Banco de Republica, the 

Calculation Agent shall determine the COP-Unidad de Valor 

Real (UVR) for such day.

Non-Deliverable Swap Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Non-Deliverable Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Non-Deliverable Single-Currency Swap Notional Amounts

Currency Minimum Increment

INR 5,000,000 100,000

MYR 5,000,000 100,000

RHB 5,000,000 100,000
Non-Deliverable Swaps

209

Non-Deliverable Cross-Currency Swap Notional Amounts

Currency Minimum Increment

ARS As implied by the USD minimum As implied by the USD increment

BRL As implied by the USD minimum As implied by the USD increment

CLP As implied by the USD minimum As implied by the USD increment

COP As implied by the USD minimum As implied by the USD increment

PEN As implied by the USD minimum As implied by the USD increment

USD 1,000,000 100,000
Non-Deliverable Foreign Exchange Options

210

Non-Deliverable Foreign Exchange Options

Terms and Conditions

Summary: This covers “Non-Deliverable Foreign Exchange 

Options”.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”);

(b) the current EMTA Template Terms for NonDeliverable Currency Option Transactions applicable to 

the Reference Currency and Settlement Currency (to the 

extent available for a particular Currency Pair) (available 

at: https://www.emta.org/ndftt.aspx); and

(c) ISDA OTC Taxonomies.

Contract Types: Each Non-Deliverable Foreign Exchange Option traded 

is bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge. 

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Vanilla Option, NDO, Simple Exotic or Complex Exotic

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties.

Commencement Date: The Trade Date, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Buyer: As specified by the parties.

Seller: As specified by the parties.
Non-Deliverable Foreign Exchange Options

211

Currency Option Style: As specified by the parties.

(An American option can be exercised any time up to 

and including the Expiration Date; a European option can 

only be exercised on the Expiration Date.)

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a 

binary or digital option.

Call Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price.

Put Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price.

Strike Price: As specified by the parties (if only one of the Put 

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions.

Settlement Rate Option: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Settlement: Non-Deliverable

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.
Non-Deliverable Foreign Exchange Options

212

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier Event: As specified by the parties.

Calculation Agent: As specified by the parties.

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions.

Non-Deliverable Foreign Exchange Option Available Currency Pairs

AUD/CNY CNY/THB IDR/PHP MYR/CNH THB/INR

AUD/IDR CNY/TWD IDR/THB MYR/CNY THB/KRW

AUD/INR EUR/ARS IDR/TWD MYR/EUR THB/MYR

AUD/KRW EUR/BRL INR/AUD MYR/GBP THB/PHP

AUD/MYR EUR/CLP INR/CAD MYR/IDR THB/TWD

AUD/PHP EUR/CNY INR/CHF MYR/INR TWD/AUD

AUD/TWD EUR/COP INR/CNH MYR/JPY TWD/CAD

BRL/JPY EUR/IDR INR/CNY MYR/KRW TWD/CHF

BRL/MXN EUR/INR INR/EUR MYR/NZD TWD/CNH

CAD/BRL EUR/KRW INR/GBP MYR/PHP TWD/CNY

CAD/CNY EUR/KZT INR/HKD MYR/SGD TWD/EUR

CAD/IDR EUR/MYR INR/IDR MYR/TWD TWD/GBP

CAD/INR EUR/PEN INR/JPY NZD/CNY TWD/HKD

CAD/KRW EUR/PHP INR/KRW NZD/IDR TWD/IDR

CAD/MYR EUR/TWD INR/NZD NZD/INR TWD/INR

CAD/PHP EUR/UAH INR/PHP NZD/KRW TWD/JPY

CAD/TWD GBP/BRL INR/SGD NZD/MYR TWD/KRW

CHF/BRL GBP/CNY INR/TWD NZD/PHP TWD/MYR

CHF/CNY GBP/IDR JPY/CNY NZD/TWD TWD/NZD

CHF/IDR GBP/INR JPY/IDR PHP/AUD TWD/PHP

CHF/INR GBP/KRW JPY/INR PHP/CAD TWD/SGD

CHF/KRW GBP/MYR JPY/KRW PHP/CHF TWD/THB

CHF/MYR GBP/PHP JPY/MYR PHP/CNH USD/ARS

CHF/PHP GBP/TWD JPY/PHP PHP/CNY USD/BRL
Non-Deliverable Foreign Exchange Options

213

CHF/TWD HKD/CNY JPY/TWD PHP/EUR USD/CLP

CNH/IDR HKD/IDR KRW/AUD PHP/GBP USD/CNY

CNH/INR HKD/INR KRW/CAD PHP/HKD USD/COP

CNH/KRW HKD/KRW KRW/CHF PHP/IDR USD/EGP

CNH/MYR HKD/MYR KRW/CNH PHP/INR USD/GHS

CNH/PHP HKD/PHP KRW/CNY PHP/JPY USD/IDR

CNH/TWD HKD/TWD KRW/EUR PHP/KRW USD/INR

CNY/AUD IDR/AUD KRW/GBP PHP/MYR USD/KES

CNY/CAD IDR/CAD KRW/IDR PHP/NZD USD/KRW

CNY/CHF IDR/CHF KRW/INR PHP/THB USD/KZT

CNY/EUR IDR/CNH KRW/JPY PHP/TWD USD/MYR

CNY/GBP IDR/CNY KRW/MYR SGD/CNY USD/NGN

CNY/HKD IDR/EUR KRW/NZD SGD/IDR USD/PEN

CNY/IDR IDR/GBP KRW/PHP SGD/INR USD/PHP

CNY/INR IDR/HKD KRW/SGD SGD/KRW USD/RUB

CNY/JPY IDR/INR KRW/THB SGD/MYR USD/TWD

CNY/KRW IDR/JPY KRW/TWD SGD/PHP USD/UAH

CNY/MYR IDR/KRW MYR/AUD SGD/TWD USD/VND

CNY/NZD IDR/MYR MYR/CAD THB/CNY USD/ZMW

CNY/PHP IDR/NZD MYR/CHF THB/IDR
Non-Deliverable Forward Foreign Exchange Contracts

214

Non-Deliverable Forward Foreign Exchange Contracts

Terms and Conditions

Summary: A non-deliverable forward (“NDF”) is an outright 

forward in which the counterparties settle the difference 

between the contracted NDF price or rate and the 

prevailing spot price or rate on an agreed notional 

amount in an agreed settlement currency.

Reference Currency

(i.e., Non-Delivery Currency):

• AOA Angolan Kwanza

• ARS Argentine Peso 

• BDT Bangladeshi Taka

• BRL Brazilian Real 

• CLP Chilean Peso 

• COP Colombian Peso 

• CNY Chinese Renminbi 

• DZD Algerian Dinar

• EGP Egyptian pound 

• GHS Ghanaian Cedi

• GTQ Guatemalan quetzal 

• IDR Indonesian Rupiah 

• INR Indian Rupee 

• KES Kenyan Shilling

• KRW South Korean Won 

• KZT Kazakh tenge 

• LKR Sri Lankan Rupee

• MAD Moroccan Dirham

• MUR Mauritian Rupee

• MYR Malaysian Ringgit 

• MZN Mozambican Metical

• NGN Nigerian Naira

• PEN Peruvian nuevo sol 

• PHP Philippine Peso 

• PKR Pakistani Rupee

• RUB Russian ruble 

• TND Tunisian Dinar

• TWD Taiwan Dollar 

• TZS Tanzanian Shilling
Non-Deliverable Forward Foreign Exchange Contracts

215

• UAH Ukrainian Hryvnia

• UGX Ugandan Shilling

• UYU Uruguayan peso 

• VEB Venezuelan bolívar

• VND Vietnamese đồng 

• XAF Central African CFA Franc

• XOF West African CFA Franc

• ZMW Zambian Kwacha

Settlement Currency: • AUD Australian Dollar

• CAD Canadian Dollar

• EUR Euro

• GBP British Pound

• JPY Japanese Yen

• USD US Dollar

• CHF Swiss Franc

Quoting Convention and Minimum Increment: Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which contract size is expressed, as agreed 

by counterparties.

Trading Conventions: Buy or Sell which refers to the contract size expressed 

in notional currency.

Forward Rates: Currency exchange rate expressed as the amount of 

reference currency per unit of settlement currency.

Trade Date: The date on which parties enter into the contract.

Settlement Date: Specified settlement or payment date, as agreed by 

counterparties.

Fixing Date: The date at which the difference between the prevailing 

market exchange rate and the agreed upon exchange 

rate is calculated.

Settlement Procedure: Bilateral settlement performed in settlement currency.

Disruption Events: Unless otherwise specified by the parties, as set forth in 

the EMTA Template Terms for Non-Deliverable FX 

Forward Transactions applicable to the Reference 

Currency and Settlement Currency:

http://www.emta.org/ndftt.aspx
PO Index Contracts

216

PO Index Contracts

Terms and Conditions

Summary: This covers Markit PO Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit PO Standard Terms Supplement (June 

12, 2010 version) or any subsequent Standard 

Terms Supplement (the “Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: PO

ISDA OTC Transaction Type: PO

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit PO Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:
PO Index Contracts

217

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

218

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating interest 

rate swaps cleared by the Chicago Mercantile Exchange 

Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared may be 

traded are as specified in these terms and conditions, 

which incorporate the CME Rulebook, in particular 

Chapters 900 and 901 (and any successor provisions) 

and the CME Cleared IRS Product Scope (or any 

successor).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared, 

participants are representing that they are familiar

with the CME Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

219

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set.

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate for Initial Calculation Period: As per the CME Rulebook.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Compounding: As per the CME Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the CME Rulebook.
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

220

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating swaps 

cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swaps/LCH Cleared contract may 

be traded are as specified in these terms and conditions, 

which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/LCH Cleared, 

participants are representing that they are familiar 

with the LCH Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, since 

the LCH may reserve the right to select when and how 

such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with LCH Clearing Requirements

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA 2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties subject 

to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in the 

LCH Rulebook, which may limit the earliest or latest day 

on which such fees may be paid based on Currency or

other factors.
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

221

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

LCH Rulebook.

Floating Rate Payer As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Rate Payer Compounding Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the related 

rate source page.

Spread: Subject to any minimum or maximum rate and per-period 

variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction.
U.S. Electricity – Fixed/Floating Swap Contracts

222

U.S. Electricity – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers fixed-for-floating U.S. electricity swaps 

(“U.S. Electricity – Fixed/Floating Swap Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which U.S. Electricity – Fixed/Floating 

Swap Contracts may be traded are shown below or in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy

ISDA OTC Sub-Product: Elec

ISDA OTC Transaction type: Swap

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: USNY

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: USNY

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Commodity As specified by the parties from among the Available 

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Settlement Periods: If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein.

Parties may specify one of the Available Set Tenors as a 

Settlement Period or may specify another period.
U.S. Electricity – Fixed/Floating Swap Contracts

223

Applicable Days: If applicable to the relevant Commodity Reference Price 

and specified therein or if applicable to the relevant 

Available Set Tenor and specified therein (i.e., Month).

Applicable Days does not apply to Commodity 

Reference Prices under the headings “ISDA Definition” 

or “Exchange Definition”.

Duration: Hourly

Start Time(s)/End Time(s): If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.

Payment Date Business Days: USNY

Payment Date Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.

U.S. Electricity – Fixed/Floating Swap Contracts Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

U.S. Electricity – Fixed/Floating Swap Contracts Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding
U.S. Electricity – Fixed/Floating Swap Contracts

224

U.S. Electricity – Fixed/Floating Swap Contracts Available Set Tenors

Set Tenor Settlement Period

Month The specified calendar month; if OFF PEAK/PEAK is 

not specified, PEAK is assumed

Season Season Days in Specified Year

Winter 1 January through the last 

day of February in the 

specified year

Spring 1 March through 30 April 

in the specified year

Summer 1 July through 31 August 

in the specified year

Quarter Quarter Number Days in Specified Year

Q1 1 January through 31 

March

Q2 1 April through 30 June

Q3 1 July through 30 

September

Q4 1 October through 31 

December

Calendar Year 1 January through 31 December in the specified year

Planning Year 1 June in the specified beginning calendar year through 

31 May in the specified ending calendar year

U.S. Electricity – Fixed/Floating Swap Contracts Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

Note that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the 

Clock”); for the equivalent Peak and Off-Peak prices, see below.

ISDA Definition

ELECTRICITY-NYISO-ZONE A (WEST)-DAY AHEAD

ELECTRICITY-NYISO-ZONE G (HUD VL)-DAY AHEAD

ELECTRICITY-NYISO-ZONE J (N.Y.C.)-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-MASS HUB-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-NE MASS BOSTON-DAY AHEAD

ELECTRICITY-PJM-EASTERN HUB-DAY AHEAD

ELECTRICITY-PJM-PSEG-DAY AHEAD

ELECTRICITY-PJM-WESTERN HUB-DAY AHEAD

Exchange Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. Note 

that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the Clock”); 

for the equivalent Peak and Off-Peak prices, see below.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price
U.S. Electricity – Fixed/Floating Swap Contracts

225

ELECTRICITY

-NP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISONP15-DAY 

AHEAD"

ELECTRICITY

-NP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISONP15-DAY 

AHEAD"

ELECTRICITY

-SP15 DAY 

AHEAD OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY 

AHEAD"

ELECTRICITY

-SP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY 

AHEAD"

ELECTRICITY

-PALO VERDE 

OFF PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE 

OFF-PEAK-ICE

ELECTRICITY

-PALO VERDE 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE 

PEAK-ICE

ELECTRICITY

-MID C OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C OFFPEAK-ICE

ELECTRICITY

-MID C PEAKICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C PEAKICE

Non-ISDA, Non-Exchange Definitions

For any of the Commodity Reference Prices below, the price for the Settlement Period specified for that Pricing Date 

will be that hour’s Specified Price per MWh of electricity for delivery on an Applicable Day specified for that 

Commodity Reference Price, published by the specified Source on the specified Page under the specified Heading 

(or any successor Source, Page or Heading), that reports prices effective on such Applicable Day.
U.S. Electricity – Fixed/Floating Swap Contracts

226

Commodity 

Reference Price

Settlement 

Period

Source Page Heading

ELECTRICITYPJM-AEP 

DAYTON HUBATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBATC 

REALTIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

REAL TIME

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

REAL TIME

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-COMED 

HUB-ATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYPJM-COMED 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYPJM-COMED 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYMISOINDIANA HUBATC DAY 

AHEAD

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBOFF PEAK Eastern Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)
U.S. Electricity – Fixed/Floating Swap Contracts

227

DAY AHEAD

ELECTRICITYMISOINDIANA HUBPEAK DAY 

AHEAD

Eastern 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBATC REAL 

TIME

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBOFF PEAK 

REAL TIME

Eastern Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBPEAK REAL 

TIME

Eastern 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOMICHIGAN 

HUB-ATC DAY 

AHEAD

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISOMICHIGAN

HUB-OFF 

PEAK DAY 

AHEAD

Central Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISOMICHIGAN 

HUB-PEAK 

DAY AHEAD

Central 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK 

DAY AHEAD

Central Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK DAY 

AHEAD

Central 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

228

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC REAL 

TIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK 

REAL TIME

Central Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK REAL 

TIME

Central 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-ATC 

DAY AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh
U.S. Electricity – Fixed/Floating Swap Contracts

229

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMASS HUBATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYISO NEW 

ENGLANDMASS HUBOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HU

B, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMASS HUBPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HU

B, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh
U.S. Electricity – Fixed/Floating Swap Contracts

230

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-DAY 

AHEAD

See ISDA Definition

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYPJMATLANTIC 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJMATLANTIC 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJMATLANTIC 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITY- N/A PJM http://www.pjm.com/markets-and- BGE ZONE, 
U.S. Electricity – Fixed/Floating Swap Contracts

231

PJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-ATC 

DAY AHEAD

operations/energy/day-ahead/lmpda.aspx TotalLMP

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJM-DPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-DPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-DPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-EASTERN 

HUB-ATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYPJM-EASTERN 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP

ELECTRICITYPJM-EASTERN 

HUB- PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP

ELECTRICITYPJM-JCPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-JCPL 

ZONE-OFF 

PEAK DAY 

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

232

AHEAD

ELECTRICITYPJM-JCPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-PECO 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PECO 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PECO 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

233

ZONE-PEAK 

DAY AHEAD

ELECTRICITYPJM-PPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PSEG 

ZONE-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITYPJM-PSEG 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPSEG ZONE, 

TotalLMP

ELECTRICITYPJM-PSEG 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPSEG ZONE, 

TotalLMP

ELECTRICITYPJM-WESTATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYPJM-WESTOFF PEAK 

DAY AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP

ELECTRICITYPJM-WESTPEAK DAY 

AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP

ELECTRICITYPJM-WEST 

HUB-ATC 

REALTIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYPJM-WEST 

HUB-OFF 

PEAK REAL 

TIME

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYPJM-WEST 

HUB-OFF 

PEAK REAL 

TIME

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITY- See ISDA Definition
U.S. Electricity – Fixed/Floating Swap Contracts

234

NYISO-NY 

ZONE A-ATC 

DAY AHEAD

ELECTRICITYNYISO-NY 

ZONE A-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE A- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE A-ATC 

DAY AHEAD

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE A-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE A- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C-ATC 

DAY AHEAD

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE G-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY 

ZONE G-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

HUD VL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE G- PEAK 

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

HUD VL, LBMP 

($/MWHr)
U.S. Electricity – Fixed/Floating Swap Contracts

235

DAY AHEAD (Report Type: Day-Ahead Market 

LBMP/Zonal)

ELECTRICITYNYISO-NY 

ZONE H-ATC 

DAY AHEAD

See ISDA 

Definition

ELECTRICITYNYISO-NY 

ZONE H-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

N.Y.C., LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE H- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

N.Y.C., LBMP 

($/MWHr)

ELECTRICITYCAISO-NP 15 

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-NP15- PEAK-ICE and ELECTRICITY-NP15- OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange).

ELECTRICITYCAISO-SP 15 

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-SP15- PEAK-ICE and ELECTRICITY-SP15- OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange).

ELECTRICITYPALO VERDE 

ATC-ICE

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-PALO VERDE PEAK-ICE and ELECTRICITY-PALO VERDE OFFPEAK-ICE Commodity Reference Prices for the relevant period, weighted on the basis of the 

number of hourly periods in the relevant period which are peak and off-peak respectively 

(with peak and off peak having the meaning specified in the definition of the Commodity 

Reference Price by the Exchange)

ELECTRICITYMID C ATCICENotwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-MID C PEAK-ICE and ELECTRICITY-MID C OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange)

U.S. Electricity – Fixed/Floating Swap Contracts Specified Time Periods

Non-FERC Holidays (all times are 

Hours Ending and use 24-hour 

clock)

FERC Holidays

California Off Peak Excludes 0700 through 2200 Pacific 

Prevailing Time

Includes all hours on FERC 

Holidays

California Peak Includes 0700 through 2200 Pacific 

Prevailing Time

Excludes all hours on FERC 

Holidays

Eastern Off Peak1 Excludes 0800 through 2300 Eastern Includes all hours on FERC 

 

1 Times for Commodity Reference Prices reported for Central Timezone (e.g., Illinois, Michigan) will be converted 

to their Eastern time equivalents
U.S. Electricity – Fixed/Floating Swap Contracts

236

Prevailing Time Holidays

Eastern Peak Includes 0800 through 2300 Eastern 

Prevailing Time

Excludes all hours on FERC 

Holidays
USD Equity Basket Swap (Broad Based)

237

USD Equity Basket Swap (Broad Based)

Terms and Conditions

Summary: This covers equity total-return swaps on broad-based 

baskets of equities traded in USD. 

For purposes of relevant CFTC and SEC regulations, 

such basket shall be on a broad-based index.

Limitations on Available Selections and Default 

Settings:

The terms under which USD Equity Basket Swap (Broad 

Based) may be traded are shown below or in the attached 

tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) 2002 ISDA Equity Derivatives Definitions; and

(c) Annex SS to 2004 Americas Interdealer Master 

Equity Derivatives Confirmation (except that references 

therein to the 2000 ISDA Definitions shall be deemed 

references to the 2006 ISDA Definitions).

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Basket

Further Limitations: None

Terms:

Type of Transaction: Share Basket Swap Transaction

Trade Date: As agreed by the parties.

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): Per Annex SS, unless otherwise agreed by the parties.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.
USD Equity Basket Swap (Broad Based)

238

Termination Date (“terminationDate”): Per Annex SS, unless otherwise specified by the parties.

Basket: As specified by the parties in compliance with the rules 

and regulations of the CFTC and SEC applicable to 

broad-based indices.

Exchange(s): As specified by the parties with respect to each Share 

comprised in the Basket.

Related Exchanges: Per Annex SS, unless otherwise agreed by the parties.

Hedging Party: As specified by the parties.

Determining Party: As specified by the parties.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: Per Annex SS.

Type of Return: Total Return

Initial Price: As specified by the parties and adjusted in accordance 

with Annex SS.

Final Price: As per Annex SS unless otherwise agreed by the parties.

Valuation Time: As per Annex SS unless otherwise agreed by the parties.

Valuation Date: As specified by the parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): As per Annex SS.

Payment Dates: As per Annex SS, unless otherwise agreed by the parties.

Floating Rate Option (“floatingRateIndex”): As per Annex SS, unless otherwise agreed by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: Actual/360

Reset Date (“resetDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment 

Dates):

As per Annex SS, unless otherwise specified by the 

parties.

Settlement Terms:

Cash Settlement: Applicable

Settlement Currency: USD

Dividends:

Dividend Payment Date(s): As per Annex SS unless otherwise agreed by the parties.

Dividend Period: As per Annex SS unless otherwise agreed by the parties.

Dividend Amount: As per Annex SS unless otherwise agreed by the parties.

Relevant Dividend: If type of return is “Total Return” as per Annex SS 

unless otherwise agreed by the parties.

Reinvestment of Dividends: Inapplicable

Dividend Recovery: As per Annex SS unless otherwise agreed by the parties.

Adjustment Events:

Method of Adjustment: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Consequences of Merger Events:

Share-for-Share: As per Annex SS unless otherwise agreed by the parties.

Share-for-Other: As per Annex SS unless otherwise agreed by the parties.

Share-for-Combined: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Consequences of Tender Offers:
USD Equity Basket Swap (Broad Based)

239

Tender Offer: As per Annex SS, unless otherwise agreed by the parties.

Share-for-Share As agreed by the parties if Tender Offer is applicable.

Share-for-Other: As agreed by the parties if Tender Offer is applicable.

Share-for-Combined: As agreed by the parties if Tender Offer is applicable.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Composition of Combined Consideration: Per Annex SS unless otherwise agreed by the parties.

Nationalization, Insolvency or Delisting: Per Annex SS unless otherwise agreed by the parties.

Additional Disruption Events:

Change in Law: As per Annex SS, unless otherwise agreed by the parties.

Insolvency Filing: As per Annex SS, unless otherwise agreed by the parties.

Hedging Disruption: As per Annex SS.

Increased Cost of Hedging: As per Annex SS unless otherwise agreed by the parties.

Loss of Stock Borrow: Inapplicable

Increased Cost of Stock Borrow: Inapplicable

Non-Reliance: As per Annex SS unless otherwise agreed by the parties.

Agreements and Acknowledgements Regarding 

Hedging Activities:

As per Annex SS.

Additional Acknowledgements: As per Annex SS unless otherwise agreed by the parties.

Index Disclaimer: As per Annex SS unless otherwise agreed by the parties.

Mutual Early Termination Right: As agreed by the parties.

Interest Breakage Cost: If Mutual Early Termination Right is applicable, as 

specified by the parties.

Calculation Agent: As agreed by the parties.

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A One Year from 

Effective Date

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Requirements and Defaults

Date Requirement Default

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
USD Equity Basket Swap (Broad Based)

240