600365904

Bloomberg SEF LLC 731 Lexington Avenue Tel +1 212 318 2000

New York, NY 10022 bloombergsef.com 

January 30, 2023 

Submitted via Portal

Melissa Jurgens

Office of the Secretariat

U.S. Commodity Futures Trading Commission 

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581 

Re: Bloomberg SEF LLC – 40.60 Rule Amendment – Amended Rulebook (BSEF-2023-R-01) 

Dear Sir or Madam:

Pursuant to Section 5c(c) of the Commodity Exchange Act (the “Act”) and Section 40.6(a) of the 

regulations of the U.S. Commodity Futures Trading Commission (the “CFTC”, or the 

“Commission”), Bloomberg SEF LLC (“BSEF”) hereby notifies the Commission that it has 

amended its Rulebook. The amended Rulebook will become effective on January 1, 2024. 

A concise explanation and analysis of the amendments to the Rulebook and their compliance 

with applicable provisions of the Act, including core principles and the Commission’s 

regulations, is attached hereto as Exhibit A. A clean copy of the amended Rulebook is attached 

hereto as Exhibit B, and a copy of the amended Rulebook marked to show changes against the 

version effective as of December 5, 2022 is attached hereto as Exhibit C. 

BSEF hereby certifies that: (i) the amended Rulebook complies with the Act and the 

Commission’s regulations thereunder, and (ii) a notice and copy of this submission is being 

concurrently posted on BSEF’s website. There were no substantive opposing views to the 

amendments to the Rulebook. 
Please contact the undersigned at (212) 617-7331 with any questions regarding this matter.

Chief Compliance Officer

Bloomberg SEF LLC

731 Lexington Avenue

New York, NY 10022

cc: Marilee Dalman, Division of Market Oversight, U.S. Commodity Futures Trading 

Commission
B-1 

Exhibit A

Explanation and Analysis 

Capitalized terms used but not defined herein have the meanings assigned to them in the Rulebook. 

Amendment and Explanation Supporting Rule or Core 

Principle

Table of Contents

• Updated page numbers in Table of Contents 

Chapter 4

• Added Rule 412 YLDVOL Forward Swap Contract 

Eligibility 

Chapter 5

• Updated Rule 516.C (a)(i) and Rule 522.B to 

incorporate new Rule Chapter 5A Auction Rules

• Added Chapter 5A. YLDVOL Forward Swap 

Settlement Price Auction

Chapter 13 

• Amended Rule 1318 to incorporate 1318B Option – 

USD SOFR OIS Fixed-to-Floating Swap Contract 

• Added USD YLDVOL Forward Swap Contract 

Amended to incorporate new 

auction protocol and new 

products filed as 2022-P-04 

and 2023-P-01 with the 

Commission; Conforming 

changes; Core Principle 3
C 

Exhibit B

Rulebook (clean) 

[see attached]
600746302

BLOOMBERG SEF LLC 

RULEBOOK

JANUARY 1, 2024
ii

CHAPTER 1. DEFINITIONS .........................................................................................................1

CHAPTER 2. SEF GOVERNANCE.............................................................................................15

RULE 201. Board......................................................................................................................15

RULE 202. [Reserved]..............................................................................................................15

RULE 203. [Reserved]..............................................................................................................15

RULE 204. Regulatory Oversight Committee ..........................................................................15

RULE 205. Additional Committees and Panels........................................................................16

RULE 206. Power of the Board to Review Decisions..............................................................16

RULE 207. Eligibility ...............................................................................................................17

RULE 208. Officers ..................................................................................................................18

RULE 209. Chief Compliance Officer......................................................................................18

RULE 210. Conflicts of Interest................................................................................................20

RULE 211. Restrictions on Certain Persons who Possess Material, Non-Public 

Information: Improper Use or Disclosure of Material Non-Public Information ...22

RULE 212. Emergency Rules...................................................................................................22

RULE 213. Information-Sharing Agreements ..........................................................................23

RULE 214. Regulatory Services Agreement with the Regulatory Services Provider ..............24

CHAPTER 3. PARTICIPANTS....................................................................................................25

RULE 301. Eligibility Criteria for Becoming a Participant......................................................25

RULE 302. Authorized Traders ................................................................................................26

RULE 303. Participant Application Process; Termination of Participant.................................27

RULE 304. Trading Privileges of a Participant ........................................................................28

RULE 305. Termination or Limitation of Trading Privileges and Trading Access..................28

RULE 306. Assessments and Fees............................................................................................29

RULE 307. Authorized Representatives...................................................................................29

RULE 308. Recording of Communications..............................................................................30

RULE 309. Notices to Participants ...........................................................................................30

RULE 310. Communications between BSEF and Participants.................................................30

RULE 311. Application of BSEF Rules and Jurisdiction .........................................................30

RULE 312. Description of Participant’s Status.........................................................................31

RULE 313. Dissolution of Participants.....................................................................................31

RULE 314. Withdrawal of Participant......................................................................................31

RULE 315. Compliance with the Commodity Exchange Act...................................................31

RULE 316. Access....................................................................................................................32

RULE 316.A. ECP Access............................................................................................................32

RULE 316.B. ISV Access.............................................................................................................32

RULE 317. Direct Market Access.............................................................................................32

RULE 318. Legal Certainty for SEF Trades.............................................................................32

RULE 319. Rights and Responsibilities after Suspension or Termination ...............................33

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, DMA 

CUSTOMERS, AUTHORIZED TRADERS AND SUPERVISED 

PERSONS..............................................................................................................34
iii

RULE 401. Duties and Responsibilities....................................................................................34

RULE 402. Required Disclosures to BSEF...............................................................................34

RULE 403. Inspections by BSEF..............................................................................................35

RULE 404. Minimum Financial and Related Reporting Requirements ...................................36

RULE 405. Position Liquidation upon Default.........................................................................36

RULE 406. Authority to Impose Restrictions...........................................................................36

RULE 407. Customers and Accounts........................................................................................36

RULE 408. Disclosure Requirements; Know Your Counterparty Requirements.....................37

RULE 409. Books and Records ................................................................................................37

RULE 409.A. Participant and Clearing Member Books and Records..........................................37

RULE 409.B. BSEF Books and Records......................................................................................38

RULE 410. Responsibility for Mandatory Trading...................................................................38

RULE 411. Eligibility for Clearing Exempt Transactions........................................................38

RULE 412. YLDVOL Forward Swap Contract Eligibility.......................................................39

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND BUSINESS 

CONDUCT ............................................................................................................39

RULE 501. Scope......................................................................................................................39

RULE 502. Procedures..............................................................................................................39

RULE 503. Business Days and Trading Hours.........................................................................40

RULE 504. Rule Violations......................................................................................................40

RULE 505. Fraudulent Acts......................................................................................................40

RULE 506. Prohibited Transactions .........................................................................................40

RULE 506.A Fictitious or Wash Transactions............................................................................40

RULE 506.B Pre-Arranged Transactions ...................................................................................41

RULE 507. Pre-Execution Communications ............................................................................41

RULE 508.A Price Manipulation................................................................................................41

RULE 508.B Disruptive Practices..............................................................................................41

RULE 508.C Post-Trade Anonymity..........................................................................................41

RULE 509. Prohibition of Misstatements.................................................................................42

RULE 510. Acts Detrimental to Welfare of SEF......................................................................42

RULE 511. Adherence to Law..................................................................................................42

RULE 512. Use of Trading Privileges ......................................................................................42

RULE 513. Supervision ............................................................................................................42

RULE 514. Misuse of the SEF Platform...................................................................................43

RULE 515. Mishandling of Customer Orders...........................................................................43

RULE 516. Trade Cancellation, Correction, Offset and Adjustment – General.......................43

RULE 516.A Notification of Action Taken and Trade Review – Cleared Swaps.......................44

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset – Cleared 

Swaps.....................................................................................................................45

RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment – Non-Cleared 

Swaps.....................................................................................................................47

RULE 516.D Prime Broker Trades..............................................................................................47

RULE 516.E Trade Cancellation and Adjustment by BSEF.......................................................47

RULE 516.F Trade Reporting by BSEF......................................................................................48

RULE 517. Withholding Orders Prohibited..............................................................................48
iv

RULE 518. Priority of Customers’ Orders................................................................................48

RULE 519. Trading Against Customers’ Orders Prohibited ....................................................48

RULE 519.A. General Prohibition................................................................................................48

RULE 519.B. Exceptions..............................................................................................................48

RULE 520. Disclosing Orders Prohibited.................................................................................48

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial Owners..................49

RULE 522. Execution of Orders on the SEF Platform .............................................................49

RULE 522.A. Required Transactions and Cleared Swaps ...........................................................49

RULE 522.B. Permitted Transactions ..........................................................................................50

RULE 522.C. Package Transactions.............................................................................................50

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption.......................................50

RULE 522.E. Block Trades in Swaps...........................................................................................50

RULE 523. Trade Confirmations..............................................................................................51

RULE 524. Order Entry Requirements.....................................................................................53

RULE 524.A. General...................................................................................................................53

RULE 524.B. Customer Type Indicator (CTI) Codes..................................................................54

RULE 524.C. Pre-Arranged Transactions....................................................................................54

RULE 525. Position Limits.......................................................................................................54

RULE 526. Exemptions from Position Limits..........................................................................55

RULE 527. Position Accountability..........................................................................................55

RULE 528. Bunched Orders and Orders Eligible for Post-Execution Allocation ....................55

RULE 529. Orders Entered Prior to SEF Opening ...................................................................56

RULE 530. Identification of Authorized Traders .....................................................................56

RULE 531. Pre-Arranged Transactions ....................................................................................57

RULE 531.A. Block Trades..........................................................................................................57

RULE 531.B. Trade Correction ....................................................................................................58

RULE 532. Reporting to SDR...................................................................................................58

RULE 533. Cleared Swaps........................................................................................................59

RULE 534. Non-Cleared Swaps ...............................................................................................59

RULE 535. Risk Controls .........................................................................................................60

CHAPTER 5A. YLDVOL FORWARD SWAP SETTLEMENT PRICE AUCTION..................60

CHAPTER 6. DISCIPLINARY RULES.......................................................................................63

RULE 601. General...................................................................................................................63

RULE 602. Inquiries and Investigation.....................................................................................64

RULE 603. Investigative Reports .............................................................................................65

RULE 604. Warning Letters .....................................................................................................65

RULE 605. Review of Investigation Reports............................................................................65

RULE 606. [Reserved]..............................................................................................................67

RULE 607. Notice of Charges ..................................................................................................67

RULE 608. Service of Notice of Charges.................................................................................67

RULE 609. Answer to Notice of Charges.................................................................................67

RULE 610. Admission or Failure to Deny................................................................................68

RULE 611. Denial of Charges and Right to a Hearing .............................................................68

RULE 612. Settlements.............................................................................................................68
v

RULE 613. Disciplinary Panel..................................................................................................70

RULE 614. Convening Disciplinary Proceeding Hearings.......................................................70

RULE 615. Respondent Review of Evidence ...........................................................................71

RULE 616. Conducting Disciplinary Proceeding Hearings......................................................72

RULE 617. Decision of Disciplinary Panel ..............................................................................73

RULE 618. Sanctions................................................................................................................74

RULE 619. Costs.......................................................................................................................75

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary Impositions of Fines 

and Other Summary Actions..................................................................................75

RULE 621. Summary Imposition of Fines................................................................................77

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities..........................................78

RULE 623. [Reserved]..............................................................................................................79

RULE 624. Notice to the Respondent, the Regulatory Services Provider and the Public ........79

CHAPTER 7. ARBITRATION .....................................................................................................79

RULE 701. General...................................................................................................................79

RULE 702. Forum and Arbitration Rules.................................................................................79

RULE 703. Initiating an Arbitration Claim...............................................................................80

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments...............................80

RULE 705. Penalties.................................................................................................................80

CHAPTER 8. MISCELLANEOUS...............................................................................................80

RULE 801. Anti-Money Laundering and Anti-Terrorism........................................................80

RULE 802. Gifts and Gratuities................................................................................................80

RULE 803. Market Data ...........................................................................................................80

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes...................................81

RULE 805. Confidentiality .......................................................................................................81

RULE 806. Extension or Waiver of BSEF Rules .....................................................................82

RULE 807. Effect of Amendment, Repeal or New Rule ..........................................................82

RULE 808. Swap Contract Specifications................................................................................82

RULE 809. Timely Publication of Trading Information...........................................................83

RULE 810. Governing Law, Jurisdiction and Dispute Resolution ...........................................83

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES...........................................84

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES ..........................................84

RULE 902. Indemnification by BSEF ......................................................................................87

CHAPTER 10. [RESERVED].......................................................................................................87

CHAPTER 11. [RESERVED].......................................................................................................87

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS......................................88

RULE 1201. CDS Index Contract – North America High Yield................................................88

RULE 1202. CDS Index Contract – North America Investment Grade .....................................89
vi 

RULE 1203. CDS Index Contract – CDX Emerging Markets....................................................90

RULE 1204. CDS Index Contract – Europe ...............................................................................91

RULE 1205. CDS Index Contract – Europe Crossover ..............................................................92

RULE 1206. CDS Index Contract – Europe HiVol ....................................................................93

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial ........................................94

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe ...........................................95

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial .............................96

RULE 1210. CDS Index Contract – iTraxx Japan ......................................................................97

RULE 1211. CDS Index Contract – iTraxx Australia .................................................................98

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y ....................99

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y ..............................100

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y ...................................................101

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y ..................................102

RULE 1216. Option – CDS Index Contract CDX North America High Yield ........................103

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade ..............104

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets ..................................105

RULE 1219. Option – CDS Index Contract – iTraxx Europe...................................................106

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover .................................107

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol........................................108

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA ....................................................109

RULE 1223. CDS Index Contract – LCDX ..............................................................................110

RULE 1224. CDS Index Contract – MCDX .............................................................................111

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe ..........................112

RULE 1226. Option – CDS Index Contract – LCDX ...............................................................113

RULE 1227. Option – CDS Index Contract – MCDX ..............................................................114

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan ......................................................115

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial ..........................................116

RULE 1230. CDS Index Contract - iTraxx MSCI ESG Screened Europe Index .....................117

RULE 1231. CDS Index Contract - CDX North American Investment Grade (BBB-rated) 

Index ....................................................................................................................118

RULE 1232. CDS Index Contract - CDX North American High Yield (Ex-BB) Index 

Contract ................................................................................................................119

RULE 1233. CDS Index Contract – iTraxx Asia Ex-Japan IG (Restricted) Index Contract ....120

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS .....................................121

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract .........................................121

RULE 1302. [Reserved] ............................................................................................................122

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* ................................................123

RULE 1304. [Reserved] ............................................................................................................124

RULE 1305. [Reserved] ............................................................................................................124

RULE 1306. [Reserved] ............................................................................................................124

RULE 1307. [Reserved] ............................................................................................................124

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract ......................................125

RULE 1309. [Reserved] ............................................................................................................126

RULE 1310. [Reserved] ............................................................................................................126

RULE 1311. [Reserved] ............................................................................................................126
vii 

RULE 1312. [Reserved] ............................................................................................................126

RULE 1313. [Reserved] ............................................................................................................126

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract* .................................................127

RULE 1315. USD Basis Swap Contract ...................................................................................128

RULE 1316. [Reserved] ............................................................................................................130

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract ........................................131

RULE 1318A USD SOFR OIS Fixed-to-Floating Swap Contract .............................................132

RULE 1318B Option - USD SOFR OIS Fixed-to-Floating Swap Contract ...............................134

RULE 1319. [Reserved] ............................................................................................................135

RULE 1320. [Reserved] ............................................................................................................135

RULE 1321. [Reserved] ............................................................................................................135

RULE 1322. [Reserved] ............................................................................................................135

RULE 1323. [Reserved] ............................................................................................................135

RULE 1324. [Reserved] ............................................................................................................135

RULE 1325. [Reserved] ............................................................................................................135

RULE 1326. [Reserved] ............................................................................................................135

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract .................................128

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract.....................129

RULE 1329. [Reserved] ............................................................................................................130

RULE 1330. [Reserved] ............................................................................................................130

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract ......................................131

RULE 1332. [Reserved] ............................................................................................................132

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract ...........................................133

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract....................................134

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract..................................................135

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract ..................................................136

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract..................................................137

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract ..................................................138

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract....................................................139

RULE 1340. [Reserved] ............................................................................................................140

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract .................................................141

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating 

Swap Contract ......................................................................................................142

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract ................................................143

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract ...............144

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract ...............................................145

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract ...............................................146

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract..................................147

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon Fixed-toFloating Swap Contract........................................................................................148

RULE 1349. USD YLDVOL Forward Swap Contract .............................................................149

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract ...............151

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract ...................................................152

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract .................................................153

RULE 1353. EUR €STR Fixed-to-Floating Swap Contract .....................................................154

RULE 1354. JPY OIS TONAR Fixed-to-Floating Swap Contract ...........................................155
viii

RULE 1355. SGD SOR Fixed-to-Floating Swap Contract .......................................................156

RULE 1356. OIS SORA Fixed-to-Floating Swap Contract .....................................................157

RULE 1357. CAD OIS CORRA Fixed-to-Floating Swap Contract .........................................158

RULE 1358. USD U.S. CPI Urban Consumers Not Seasonably Adjusted Fixed-to-Floating 

(Inflation Zero Coupon) Swap Contract ..............................................................159

RULE 1359. EUR Eurostat Eurozone Harmonized Index of Consumer Prices Excluding 

Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap Contract ..................160

RULE 1360. GBP UK Retail Prices Index Fixed-to-Floating (Inflation Zero Coupon) 

Swap Contract ......................................................................................................161

RULE 1361. EUR France Inflation Consumer Price Index Excluding Tobacco Fixed-toFloating (Inflation Zero Coupon) Swap Contract ................................................162

RULE 1362. Colombian Peso Indicador Bancario Referencia Overnight Fixed-to-Floating 

Swap Contract ......................................................................................................163

RULE 1363. ILS TELBOR Fixed-to-Floating Swap Contract .................................................164

RULE 1364. NZD OIS Reserve Bank of New Zealand Official Daily Cash Rate Fixed-toFloating Swap Contract........................................................................................165

RULE 1365. USD BSBY Fixed-to-Floating Swap Contract ....................................................166

RULE 1366. THB THOR Fixed-to-Floating Swap Contract ....................................................167

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS ..........168

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward ....................................168

RULE 1402. Foreign Exchange Contract – Vanilla FX Option................................................174

RULE 1403. Foreign Exchange Contract – Exotic FX Option .................................................176

RULE 1404. [RESERVED] ......................................................................................................178

RULE 1405. Foreign Exchange Contract – Average Rate Forward .........................................179

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward ...........................181

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward ............................183

RULE 1408. [RESERVED] ......................................................................................................185

RULE 1409. Foreign Exchange Contract – UYU Non-Deliverable Forward ..........................186

Annex A ISDA Dodd Frank Act-Swap Transaction Reporting Party Requirements 
1

CHAPTER 1. DEFINITIONS

When used in the BSEF Rules the following terms shall have the respective meanings as 

follows:

“Account” means a Person (including a Prime Broker) that (i) granted in 

Writing (standalone or as part of a broader instrument) to an Account 

Manager investment or trading authority to send RFQs, place Orders and 

execute Trades on the SEF on behalf and in the name of such Person; and 

(ii) is a Counterparty to a Trade. The definition of “Account” shall not 

include any investor, shareholder or any other Person with beneficial 

ownership in the Account. 

“Account Manager” means a Person that acts as an agent and attorney-infact to buy or sell Swaps via the SEF operated by BSEF in the name and 

on behalf of another Person. An Account Manager may also be a 

Participant. 

“Act” or “CEA” means the Commodity Exchange Act, as amended from 

time to time.

“Affected Person” means a SEF applicant whose admission application is 

declined or is conditioned or a Person whose status as a Participant is 

terminated as set forth in Rule 303(e).

“Affiliate” means, with respect to any Person, any Person who, directly or 

indirectly, Controls, is Controlled by, or is under common Control with, 

such other Person.

“Alleged Error Trade” has the meaning set forth in Rule 516.A(a).

“Appeals Panel” means a panel appointed by the Chief Compliance 

Officer pursuant to Rule 620.

“Applicable Law” means, with respect to any Person, any statute, law, 

regulation, rule or ordinance of any governmental or Self-Regulatory 

Organization applicable to such Person, including the CEA and CFTC 

Regulations.

“Appropriate Minimum Block Size” means the minimum notional or 

principal amount for a category of Swap that qualifies as a Block Trade 

pursuant to CFTC Regulation 43.6.

“Authorized Representative” means any Person who is authorized by a 

Participant to represent the Participant in SEF matters pursuant to Rule 

307.

“Authorized Trader” means any natural person associated with a 

Participant and, if applicable, a DMA Customer who (i) has Trading 
2

Access to the SEF operated by BSEF using a Participant ID and (ii) is 

assigned a valid Trader ID.

“Block Trade” means a single Swap transaction publicly reportable under 

Part 43 of the CFTC Regulations that:

(a) Involves a Swap that is listed on BSEF;

(b) Occurs away from the SEF Platform or is executed using 

functionality on the SEF Platform that is not the Order Book;

(c) Has a notional or principal amount at or above the Appropriate 

Minimum Block Size applicable to such Swap; and

(d) Is reported as set forth in Rule 532.

“Board” means the Board of Directors of BSEF constituted from time to 

time in accordance with the Operating Agreement.

“BSEF” means Bloomberg SEF LLC, a Delaware limited liability 

company.

“Bunched Orders” means a single Order placed by an Account Manager 

for two or more of its Accounts on the SEF operated by BSEF pursuant to 

Rule 528.

“Business Day” means a day on which the SEF operated by BSEF is open 

for trading.

“By-Laws” means, with respect to any Person that is not an individual, the 

By-Laws or Operating Agreement of such Person, and, if no other Person 

is specified, means the By-Laws or Operating Agreement of BSEF.

“CFTC” or “Commission” means the Commodity Futures Trading 

Commission or any successor regulatory body.

“CFTC Regulations” means the rules and regulations promulgated by the 

CFTC, as amended.

“Chief Compliance Officer” means the individual appointed by the 

Board as BSEF’s chief compliance officer in accordance with the 

Operating Agreement, with the duties and responsibilities as may be 

prescribed by the Board from time to time as set forth in Rule 208.

“Chief Technology Officer” means the individual with the duties and 

responsibilities related to supervision of technology of the SEF operated 

by BSEF. 

“Claim” has the meaning set forth in Rule 902.
3

“Cleared Swap” means a Swap that is subject to the mandatory clearing 

requirement of Section 2(h)(1)(A) of the CEA or any Swap that is 

intended by a Participant to be submitted to a DCO for clearing 

contemporaneously with execution.

"Clearing Account Identifier" means a unique identifier assigned to a Participant or 

Account by a Clearing House.

“Clearing Exception” means an exception from the clearing requirement 

set forth in Section 2(h)(1) of the Act because one counterparty to the 

transaction is entitled to the exception from the clearing requirement set 

forth in Section 2(h)(7) of the Act, CFTC Regulations or CFTC Staff NoAction Letters.

“Clearing Exception Form” has the meaning set forth in Rule 411.

“Clearing Exempt Transaction” means a Trade exempt from the 

clearing requirement of Section 2(h)(1) of the Act because one 

Counterparty to the Trade is entitled to and has elected to use a Clearing 

Exception.

“Clearing House” means such Derivatives Clearing Organization(s) 

registered with the Commission or Derivatives Clearing Organization(s) 

that the Commission has determined to exempt from registration that 

provide clearing services with respect to any or all of Swaps traded on the 

SEF operated by BSEF.

“Clearing House Rules” means the Certificate of Incorporation, the ByLaws and any rule, interpretation, stated policy, or instrument 

corresponding to any of the foregoing, in each case as adopted or amended 

from time to time by the Clearing House relating to any or all of the 

Swaps.

“Clearing Member” means a member of a Clearing House that is 

authorized to clear trades in any or all Swaps for a Participant or its 

Accounts or Customers. Each Clearing Member must sign documentation 

required by BSEF.

“Client” means an Account.

“CLOB” means an Order Book that will match Orders pursuant to pre-determined, nondiscretionary methods. All bids and offers entered into the CLOB must be firm. The 

CLOB supports the following Order types:

(a) Market Order (Fill_Or_Kill; Immediate_or_Cancel)

(b) Limit Order (Fill_Or_Kill; Immediate_Or_Cancel; Good_Til_Date/Time).
4

“Compliance Department” means all SEF Officials and/or agents of 

BSEF (including the Regulatory Services Provider) that assist BSEF with 

the implementation, surveillance and enforcement of the BSEF Rules and 

other Obligations.

“Confirmation” has the meaning set forth in Rule 523(a).

“Control” means the possession, direct or indirect, of the power to direct 

or cause the direction of the management and policies of a Person, 

whether through the ownership of securities, by Swap, or otherwise. The 

terms “controlling” or “controlled” shall have meanings correlative to the 

foregoing.

“Correcting Trade” means a Trade executed and submitted for clearing 

to a Clearing House, with the same terms and conditions as an Error Trade 

other than any corrections to any operational or clerical error and the time 

of execution.

“Counterparty” means a Participant or a Participant’s Account or 

Customer whose Legal Entity Identifier is reported by BSEF to an SDR as 

a counterparty to a Trade.

“Covered Package Transaction” means a Package Transaction that has 

at least one or more of the following components: 

a. the issuance of a bond in the primary market; 

b. a commodity for future delivery (until November 15, 2025);

c. a swap (as defined in Section 1a(47) of the CEA) that is not subject 

to the clearing requirement;

d. a non-swap (as defined in Section 1a(47) of the CEA) instrument 

other than an instrument listed in subsections a or b above or U.S. 

Treasury securities or agency mortgage-based securities; or

e. a swap over which the Commission does not have exclusive 

jurisdiction such as a mixed swap (as defined in Section 1a(47)(D) 

of the CEA).

“CTI” has the meaning set forth in Rule 524.B.

“Customer” means any Person who uses an FCM or Introducing Broker 

as agent in connection with trading in any Swap on the SEF operated by 

BSEF. The term “Customer” shall include a DMA Customer.

“Customer Account” means an account carried by a Participant on behalf 

of a Customer.
5

“Daily Settlement Price” means the settlement price for a Swap 

calculated each Business Day by or on behalf of BSEF. The Daily 

Settlement Price can be expressed in currency, spread, yield or any other 

appropriate measure commonly used in swap markets.

“DCM” means a contract market or designated contract market as defined 

in CFTC Regulation 1.3(h).

“Derivatives Clearing Organization” or “DCO” has the meaning 

attributed to such term by Section 1a(9) of the CEA.

“Direct Market Access” or “DMA” means an arrangement among a 

Sponsoring Broker, its Customer and BSEF that allows one or more 

representatives of that Customer to have Trading Access using the 

Participant ID of the Sponsoring Broker.

“Director” means a member of the Board.

“Disciplinary Panel” means the panel appointed pursuant to Rule 613(b) 

to conduct hearings in connection with disciplinary proceedings (other 

than summary impositions of fines pursuant to Rule 601(b)), to make 

findings, render decisions, and impose sanctions pursuant to Chapter 6 of 

the Rules. The Disciplinary Panel must meet the composition 

requirements set forth in Part 40 of the CFTC Regulations and the 

composition requirements set forth in Rule 613(b). 

“Disclosed Order Book” means a screen on the SEF Platform where 

Participants have the ability to enter multiple indicative, disclosed bids 

and offers in foreign exchange Swaps, observe or receive bids and offers 

entered by other market participants, and transact on such bids and offers.

“Dispute” has the meaning set forth in Rule 701.

“DMA Customer” means a Customer of a Sponsoring Broker where 

representatives of the Customer that are natural persons are designated by 

the Sponsoring Broker to have Trading Access to the SEF Platform using 

the Participant ID of the Sponsoring Broker and where such Customer 

signs the DMA Customer Documentation. 

“DMA Customer Documentation” means the agreements (together with 

any applicable schedules, exhibits or appendices thereto required by 

BSEF) in form and substance acceptable to BSEF, that are required to be 

executed and delivered to BSEF before a DMA Customer may access the 

SEF Platform. Except as otherwise provided in these Rules, in the event 

of any conflict between these Rules and the DMA Customer 

Documentation, these Rules shall govern. 

“DMA Order” means an Order or RFQ placed by a DMA Customer using 

the Participant ID of the Sponsoring Broker.
6 

“ECP” means an eligible contract participant as defined in Section 1a(18) 

of the CEA. 

“Eligibility Criteria” means the criteria set forth in Rule 301(a).

“Emergency” means any occurrence or circumstance that, in the opinion 

of the Board, or a Person or Persons duly authorized to issue such an 

opinion on behalf of the Board under circumstances and pursuant to 

procedures that are specified, requires immediate action and threatens or 

may threaten such things as the fair and orderly trading in, or the 

liquidation of or delivery pursuant to, any agreements, contracts, swaps or 

transactions or the timely collection and payment of funds in connection 

with clearing and settlement by a derivatives clearing organization, 

including: (a) any manipulative or attempted manipulative activity; (b) any 

actual, attempted or threatened corner, squeeze, congestion or undue 

concentration of positions; (c) any circumstances which may materially 

affect the performance of agreements, contracts, swaps or transactions, 

including failure of the payment system or the bankruptcy or insolvency of 

any participant; (d) any action taken by any governmental body, or any 

other registered entity, board of trade, market or facility which may have a 

direct impact on trading or clearing and settlement; (e) at the request of the 

CFTC; and (f) any other circumstance which may have a severe, adverse 

effect upon the functioning of BSEF. 

“Emergency Rules” has the meaning set forth in Rule 212(a). 

“End of Trading” means such time as BSEF may from time to time 

prescribe. The End of Trading is the time as of which such actions as are 

specified in the BSEF Rules or the relevant Swap Specifications as taking 

place at the end of a Business Day, such as determination Daily Settlement 

Prices, will occur. 

“Error Trade” means a Trade in a Cleared Swap executed on or subject to 

the rules of a SEF that contains an operational or clerical error, including 

incorrect leg sequencing. 

“Fill-Or-Kill” means that the Order must be immediately filled 

completely or canceled.

“Financial Entity” has the meaning set forth in CEA Section 2(h)(7)(C).

“Futures Commission Merchant” or “FCM” has the meaning set forth 

in Section 1a(28) of the CEA or a foreign person performing a similar role 

or function with respect to a Person that is not a U.S. Person and subject as 

such to foreign regulation. 

“Good-til-Date/Time” means that the Order has an expiration time and 

date.
7 

“Governmental Body” means (a) any U.S. or non-U.S. federal, national, 

state or local court or (b) any U.S. or non-U.S. federal, national, state or 

local entity that is (i) a governmental authority, (ii) a regulatory body or 

(iii) a self-regulatory body. 

“Immediate-Or-Cancel” means that the Order may be filled partially, 

but the Order must be actioned immediately, or else canceled. Any 

remaining portion will be canceled. 

“Interested Person” has the meaning attributed to such term in Rule 

210(a). 

“Introducing Broker” has the meaning set forth in CFTC Regulation 

1.3(mm) or a foreign person performing a similar role or function with 

respect to a Person that is not a U.S. Person and subject as such to foreign 

regulation. 

“ISDA” means the International Swaps and Derivatives Association, Inc. 

“ISV” means an independent software vendor.

“Legal Entity Identifier” has the meaning set forth in Part 45 of the 

 CFTC Regulations. 

“Local Law” has the meaning attributed to such term in Rule 810(a). 

“Major Swap Participant” has the meaning set forth in Section 1a(33) 

 of the CEA. 

 “MAT Recipient Participant” shall have the meaning set forth in Rule 

522.A(b). 

“NFA” means the National Futures Association.

“No-Bust Range” shall have the meaning set forth in Rule 535(c). 

“Non-Cleared Swap” means a Swap that is not a Cleared Swap.

“Non-Cleared Swap Agreement” means an underlying previouslynegotiated freestanding agreement that governs the performance and 

settlement of a Non-Cleared Swap and applicable credit support and 

default provisions, including, without limitation, ISDA master agreements, 

other master agreements, terms supplements and master confirmation 

agreements incorporating industry definitions. 

“Notice of Charges” means a notice sent by the Compliance Department 

pursuant to Rule 607. 
8

“Notice to Participants” means a communication sent by or on behalf of 

BSEF to all Participants as described in Rule 309. Please see all Notices to 

Participants, which are posted on BSEF’s website. 

“Obligation” means each BSEF Rule, order or procedure issued by BSEF, 

including Notice to Participants, and other requirement implemented by 

BSEF under the BSEF Rules.

“Officer” has the meaning attributed to such term in Rule 208.

“Offsetting Trade” means a Trade executed and submitted for clearing to 

a Clearing House, with terms and conditions that economically reverse an 

Error Trade that was accepted for clearing. 

“Operating Agreement” means the operating agreement of BSEF.

“Order” means (i) a firm response to a Request For Quote, (ii) a response 

to a Resting Quote, (iii) the display of a quote on an Order Book or (iv) a 

firm offer to enter into a Swap.

In addition to an Order to execute at a specific price and CLOB Order 

types, the SEF Platform supports the following types of special Orders:

“Best Price Order” means an Order that can be sent using RFQT

for rate Swaps and that contains a condition to prevent the 

execution by the SEF Platform of such an Order where a 

Responding Participant has updated its quotation to a better price 

(as defined by the Requesting Participant) for the Requesting 

Participant.

“Reserve Price Order” means an Order that can be sent using 

RFQT for rate Swaps and that will be automatically sent to the 

Recipient Participant that responds with a price that is at or better 

than the price designated in advance by the Requesting Participant. 

Please see Notice to Participants 2016-3, which is posted on 

BSEF’s website.

“Order Book” means the trading system or platform operated by BSEF in which all 

market participants in the trading system or platform have the ability to enter multiple 

bids and offers, observe or receive bids and offers entered by other market participants, 

and transact on such bids and offers. A Participant must indicate if a bid or offer posted 

on an Order Book is firm or indicative. 

“Package Transaction” means a transaction involving two or more 

instruments:

(a) that is executed between two or more Counterparties;
9

(b) that is priced or quoted as one economic transaction with 

simultaneous or near simultaneous execution of all components;

(c) that has at least one component that is a Required Transaction; and

(d) where the execution of each component is contingent upon the 

execution of all other components.

“Participant” means any Person that has been granted, and continues to 

have, Trading Privileges under the BSEF Rules and has signed the 

Participant Documentation or DMA Customer Documentation. Subject to 

Applicable Law, a Participant may trade for its own proprietary account or 

for or on behalf of a Customer or Account. An ISV cannot be a 

Participant. 

“Participant Documentation” means the agreements (together with any 

applicable schedules, exhibits or appendices thereto required by BSEF) in 

form and substance acceptable to BSEF, that are required to be executed 

and delivered to BSEF before a Person may access the SEF operated by 

BSEF as a Participant. Participant Documentation shall not include DMA 

Customer Documentation. 

“Participant ID” means each unique identifier assigned to a Participant 

other than a DMA Customer by BSEF for access to the SEF operated by 

BSEF.

“Permitted Transaction” means any transaction involving (i) a Swap that 

is not a Required Transaction or (ii) a Required Transaction that is a 

component of a Covered Package Transaction. 

“Person” means a natural person or an entity.

“Pre-Execution Communication” means a communication between two 

Persons for the purpose of discerning interest in the execution of a Swap 

prior to execution of the Swap on the SEF operated by BSEF, including 

any communication that involves discussion of the size, side of market, or 

price of an Order or a potentially forthcoming Order; provided that any 

communication between two Persons that involves an agreement between 

the parties to a Swap that legally binds the parties to such Swap shall not 

be considered a Pre-Execution Communication.

“President” means the individual appointed by the Board as BSEF’s chief 

executive officer in accordance with the Operating Agreement, with the 

duties and responsibilities as may be prescribed by the Board from time to 

time as set forth in Rule 208.

“Prime Broker” means a Person that acts as credit counterparty for 

transactions executed on the SEF in the name and on behalf of such 

Person by its client or an agent of its client that is a BSEF Participant and 
10 

that has authorized a Participant to send RFQs, place Orders or enter into 

Trades in the name and on behalf of such Person. 

“Prime Broker Trade” means a Trade in a Non-Cleared Swap where one 

Counterparty is a Prime Broker and the other is a Participant with which the 

Prime Broker has a Non-Cleared Swap Agreement. Only a Permitted Transaction 

can be a Prime Broker Trade.

“Proprietary Account” has the meaning set forth in 

CFTC Regulation 1.3(y). 

“Public Director” means a Person that meets the qualifications described 

in Rule 207(e). 

“Qualified Account Manager” means any Person with more than $25,000,000 in 

total assets under management that is either: (A) a commodity trading advisor 

registered pursuant to Section 4n of the Act, or exempt from registration under the 

Act, or a principal thereof, who has discretionary trading authority or directs 

client accounts; (B) an investment adviser who has discretionary trading authority 

or directs client accounts and satisfies the criteria of CFTC Regulations § 

4.7(a)(2)(v); or (C) a foreign person who performs a similar role or function as the 

persons described in sub-paragraphs (A) or (B) above and is subject as such to 

foreign regulation. 

“Regulatory Oversight Committee” means the committee of the Board 

constituted in accordance with Rule 204. 

“Regulatory Services Agreement” means the agreement between BSEF 

and the Regulatory Services Provider whereby the Regulatory Services 

Provider provides market surveillance and trade practice surveillance 

functions as well as other compliance related services to the SEF operated 

by BSEF. 

“Regulatory Services Provider” means the organization which provides 

regulatory services to BSEF pursuant to a Regulatory Services Agreement. 

“Reporting Counterparty” has the meaning set forth in Part 45 of the CFTC 

 Regulations. 

“Request for Quote” or “RFQ” means an electronic message 

disseminated on the SEF Platform for the purposes of soliciting bids or 

offers for a specific Swap.

“Request for Quote Functionality” means RFQT or RFQS. All RFQs 

and responses to RFQs will disclose the name of the Person with which 

the Authorized Trader who placed an Order or sent an RFQ is associated 

with in BSEF’s records.
11

“RFQS” means a SEF Platform functionality that allows a Requesting 

Participant to request a continuous stream of indicative quotes in a Swap 

from other Participants. At any time during the continuous stream, a 

Requesting Participant may send an Order to buy and/or sell a Swap to a 

Participant that provided an indicative quote. A Requesting Participant 

must provide to BSEF a standing instruction regarding RFQS recipients 

that will be applied by BSEF to all RFQS for such Requesting Participant. 

The SEF Platform will automatically display to a Requesting Participant a 

continuous stream of indicative quotes from all Participants indicated in 

the standing instruction upon Requesting Participant’s access to the SEF 

Platform. The Requesting Participant may send an Order to a recipient 

Participant requesting an execution at the price indicated in the indicative 

response. 

“RFQT ” means a functionality of the SEF Platform that allows a

Requesting Participant to send an RFQ to buy and/or sell a Swap to any 

Participant(s), to which all such Participants may respond with a firm or 

indicative quote. The Requesting Participant may accept a firm response 

to an RFQ from a Recipient Participant or send an Order to a Recipient 

Participant requesting execution. 

(a) For RFQT for credit Swaps, if the SEF Platform receives from the 

same Recipient Participant that provided the initial price accepted by 

a Requesting Participant an updated response to an RFQ after the

Requesting Participant’s acceptance and before the execution of a 

Trade by BSEF (a “Revised Price”); and 

(i) if the firm Revised Price is better for the Requesting Participant 

than the firm initial price the Requesting Participant accepted, then 

the Trade will be executed by the SEF Platform at such Revised 

Price;

(ii) if the firm Revised Price is worse for the Requesting Participant 

than the firm initial price the Requesting Participant accepted, then 

the acceptance of the initial price by the Requesting Participant will 

be rejected by the SEF Platform.

(b) For RFQT for foreign exchange Swaps in the event that any 

Recipient Participant provides an updated price at the same time as a 

Requesting Participant intends to accept a firm response to the RFQ, 

then the Requesting Participant’s Trade will be executed at such 

updated price, rather than at the price which the Requesting 

Participant intended to accept initially. If the updated price is an 

indicative response, Requesting Participant’s Order will be sent for 

execution by the SEF Platform at the updated price. 

“Requesting Participant” means a Participant initiating an RFQ.
12

“Required Transaction” means any transaction involving a Swap that is 

subject to the trade execution requirement of Section 2(h)(8) of the Act.

“Recipient Participant” means a Participant that has received an RFQ 

from a Requesting Participant.

“Resting Quote” means any firm or indicative bid or offer displayed on 

an Order Book. 

“Rules” means, with respect to any Person, the rules of such Person and 

the interpretations, resolutions, orders, directives and procedures of the 

Person thereunder as in effect from time to time, and if no other Person is 

specified, means the Rules of the SEF operated by BSEF and the 

interpretations, resolutions, orders and directives and procedures of the 

SEF operated by BSEF thereunder as in effect from time to time. 

“SDR” means a swap data repository, as defined in Section 1a(48) of the 

CEA.

“SEC” means the U.S. Securities and Exchange Commission.

“SEF” means a swap execution facility as defined in Section 1a(50) of the 

CEA.

“SEF Action” and “SEF Actions” have the meanings attributed to such 

terms in Rule 210(a).

“SEF Data” has meaning set forth in Rule 803(a). 

“SEF Activity” means business for which a Participant is subject to the 

BSEF Rules, which is purportedly conducted subject to the BSEF Rules, 

or which should have been conducted subject to the BSEF Rules including 

Permitted Transactions and Block Trades.

“SEF Official” means any Director or Officer of, or individual employed 

directly by, BSEF, the Regulatory Services Provider or any individual 

rendering similar services to BSEF under an administrative or similar 

agreement.

“SEF Platform” means the electronic trading system of the SEF 

established and operated by BSEF, or any successor thereto, that is made 

available by BSEF to Participants for trading in Swaps.

“SEF Proceeding” has the meaning attributed to such term in Rule 

210(a).

“Self-Regulatory Organization” or “SRO” shall, unless otherwise 

provided, have the meaning attributed to such term in CFTC Regulation 

1.3(ee) and, in addition, shall include a Derivatives Clearing Organization, 
13

and a registered futures association. BSEF is a self-regulatory 

organization.

“Sponsoring Broker” means a Participant other than a DMA Customer 

that allows its designated Customers to access the SEF Platform using the 

Participant ID of the Participant and (i) with respect to Cleared Swaps, is a 

Clearing Member; and (ii) with respect to Non-Cleared Swaps, is (x) an 

FCM or Introducing Broker; or (y) non-U.S. Person acting in a similar 

capacity that is not required to register as an FCM or Introducing Broker 

under the Act and that is appropriately licensed in a jurisdiction where its 

DMA Customer is located.

“Supervised Persons” means any directors, officers, employees or agents 

of any Participant.

“Swap” means any agreement, contract or transaction that is a swap as 

defined in Section 1a(47) of the CEA and as further defined by the CFTC, 

which is listed on the SEF operated by BSEF in accordance with CFTC 

Regulation 37.4.

“Swap Dealer” has the meaning set form in Section 1a(49) of the CEA.

“Swap Specification” means, with respect to any Swap, the Rules or other 

trading protocols containing specifications for such Swap, as adopted, 

amended, supplemented or otherwise modified from time to time by 

BSEF.

“Terms Incorporated by Reference” has the meaning set forth in Rule 

523(c).

“Trade” means any purchase or sale of any Swap executed on the SEF 

Platform or subject to BSEF Rules.

“Trade Communication” has meaning set forth in Rule 523(c).

“Trader ID” means a unique identifier issued to each Authorized Trader 

which enables BSEF to identify the individual entering RFQs or Orders 

into the SEF operated by BSEF. 

“Trading Access” means the right granted to a Person to send RFQs or 

place Orders and/or enter into transactions for certain or all Swaps to the 

SEF Platform or execute Swaps subject to the BSEF Rules.

“Trading Account” means, with respect to each Participant, Account or 

Customer, each account through which the Participant will trade Swaps 

and through which BSEF will monitor, as applicable, the open Swap 

positions and closed Swap positions of such Participants, Accounts or 

Customers and each account through which the Participant will present a 

Swap for clearing to a Clearing House. 
14

“Trading Hours” means, for any Business Day, the hours as may be 

published by BSEF in a Notice to Participants from time to time.

“Trading Privileges” means Trading Access or the right granted to a 

Person to use the SEF operated by BSEF for execution of Swaps. No 

Person may exercise Trading Privileges on behalf of a Participant during 

any suspension of such Participant’s Trading Privileges. 

“Unique Transaction Identifier” or “UTI” means a unique identifier 

assigned by BSEF to a Trade in accordance with CFTC Regulation 45.5.

“U.S. Person” shall have the meaning set forth in CFTC Regulation 

23.23.

“Vice President” means the individual appointed by the Board in 

accordance with the Operating Agreement, with the duties and 

responsibilities as may be prescribed by the Board from time to time as set 

forth in Rule 208. 

“Written” or “Writing” means printing, lithography, photography, and 

other modes of representing or reproducing words or data in a visible 

form, including electronic transmissions.

* * * * * *

The following rules of construction shall apply to the BSEF Rules:

(i) the headings in the BSEF Rules are for convenience only and do not affect the 

construction of the BSEF Rules;

(ii) all references to time in the BSEF Rules are to local time in New York, New 

York, except where expressly provided otherwise;

(iii) in the BSEF Rules, words denoting a singular number include the plural number 

where the context permits and vice versa;

(iv) where the context permits or requires, any pronoun shall include the 

corresponding masculine, feminine and neuter forms;

(v) forms of the word “include” mean that the inclusion is not limited to the items 

listed; 

(vi) “or” is disjunctive but not exclusive; 

(vii) for purposes of constructing these Rules other than Rules 306 and 317, 

references to the term “Participant” refer to both the terms “Participant” and “DMA Customer”; 

and

(viii) references in the BSEF Rules to statutory provisions include those provisions as 

amended, and any rules or regulations promulgated thereunder.
15

CHAPTER 2. SEF GOVERNANCE

RULE 201. Board

(a) The Board shall manage the business and affairs of BSEF in accordance with the 

Operating Agreement. At all times the Board must be composed of at least 20%, but no less than 

two, Public Directors. The Board has the power and authority to call for review, and to affirm, 

modify, suspend or overrule, any and all decisions and actions of standing committees or special 

committees of the Board or any panel of the Officers.

(b) The Board may act (including to appoint Public Directors, to the extent provided 

in the Operating Agreement) only by the decision of an absolute majority in number of the 

members of the Board, either by vote at a meeting or by Written consent without a meeting.

(c) Each Director (including Public Directors) shall be appointed in accordance with 

the Operating Agreement and the procedures included therein and shall serve until his or her 

successor is duly appointed, or until his or her earlier resignation or removal, with or without 

cause. 

(d) The members of the Board, including Public Directors, shall be of sufficiently 

good repute and, where applicable, have sufficient expertise in financial services. 

(e) The percentage of Public Directors required to serve on the Board or any 

committee thereof pursuant to this Chapter 2 shall be deemed to be modified to comply with the 

CEA and CFTC Regulations, in each case, as in effect from time to time.

(f) Without limitation of any other provisions of this Rule 201, the provisions of 

Article III of the Operating Agreement shall be deemed to be part of the BSEF Rules, and shall 

be deemed to be incorporated herein, to the same extent and with the same force and effect as if 

set forth herein in their entirety.

RULE 202. [Reserved]

RULE 203. [Reserved]

RULE 204. Regulatory Oversight Committee

(a) The Regulatory Oversight Committee of the Board shall consist only of Public 

Directors, appointed by the Board. Each member of the Regulatory Oversight Committee shall 

serve until the due appointment of his or her successor, or until his or her earlier resignation or 

removal, with or without cause, as a member of the Regulatory Oversight Committee or as a 

Director. A member of the Regulatory Oversight Committee may serve for multiple terms. The 

Regulatory Oversight Committee shall report to the Board. 

(b) The Regulatory Oversight Committee shall oversee BSEF’s regulatory program 

on behalf of the Board. It shall make such recommendations to the Board as will, in its 

judgment, best promote the interests of the SEF operated by BSEF. The Regulatory Oversight 

Committee shall also have such other powers and perform such other duties as set forth in the 

BSEF Rules, the Operating Agreement and as the Board may delegate to it from time to time. 
16

(c) Without limiting the generality of the foregoing, the Regulatory Oversight 

Committee shall have authority to:

(i) Monitor the compliance program of the SEF operated by BSEF for 

sufficiency and effectiveness;

(ii) Oversee all facets of the compliance program, including trade practice and 

market surveillance, audits, examinations conducted by the Regulatory Services Provider 

and other regulatory responsibilities with respect to Participants, Customers, Accounts 

and Clearing Members (including ensuring compliance with any financial integrity, 

financial reporting, sales practice, recordkeeping and other requirements), and overseeing 

the conduct of investigations by the Regulatory Services Provider;

(iii) Review the size and allocation of the regulatory budget and resources and 

the number, hiring and termination, and compensation of compliance personnel;

(iv) Assist BSEF in minimizing actual and potential conflicts of interest;

(v) Recommend changes that would ensure fair, vigorous, and effective 

compliance; and

(vi) Review compliance proposals and advise the Board as to whether and how 

such changes may impact compliance.

(d) The Regulatory Oversight Committee shall oversee the regulatory program of the 

SEF operated by BSEF on behalf of the Board. The Board shall delegate sufficient authority, 

dedicate sufficient resources, and allow sufficient time for the Regulatory Oversight Committee 

to fulfill its mandate. 

RULE 205. Additional Committees and Panels

(a) The Board may create such additional standing committees of the Board as it may 

from time to time deem necessary or advisable.

(b) In addition to the standing committees, the Board may from time to time 

constitute and appoint, by Rule or resolution, special committees of the Board and designate their 

composition, responsibilities and powers.

(c) BSEF may create additional committees of BSEF, or panels, for such purposes as 

may from time to time be necessary or advisable. Members of each such committee may be 

members of the Board, Supervised Persons of Participants or such other individuals as may be 

qualified to serve on such committee. 

RULE 206. Power of the Board to Review Decisions

The Board has the power and authority to call for review, and to affirm, modify, suspend 

or overrule, any and all decisions and actions of standing committees or special committees of 

the Board.
17

RULE 207. Eligibility

(a) A Director must meet the qualifications set forth from time to time in the 

Operating Agreement.

(b) An individual may not serve as a Director or serve on a committee established by 

the Board, a Disciplinary Panel or an Appeals Panel if the individual:

(i) within the prior three (3) years has been found, by a final decision in any 

action or proceeding brought in a court of competent jurisdiction, the CFTC or any SelfRegulatory Organization, to have committed a disciplinary offense (as defined in CFTC 

Regulation § 1.63);

(ii) within the prior three (3) years has entered into a settlement agreement in 

which any of the findings or, in the absence of such findings, any of the acts charged, 

included a disciplinary offense; 

(iii) has been suspended or expelled from membership in a Self-Regulatory 

Organization, is serving any sentence or probation, or owes any portion of a fine or 

penalty related to either;

1. a finding of a disciplinary offense by a final decision in any action 

or proceeding brought in a court of competent jurisdiction, the CFTC, or 

any Self-Regulatory Organization; or

2. a settlement agreement in which any of the findings or, in the 

absence of such findings, any of the acts charged included a disciplinary 

offense. 

(iv) is currently subject to an agreement with the CFTC or Self-Regulatory 

Organization not to apply for registration with the CFTC or for membership in the SelfRegulatory Organization; 

(v) is currently, or within the past three (3) years has been, subject to a 

revocation or suspension of registration by the CFTC; 

(vi) has been convicted of a felony listed in Section 8a(2)(D)(ii) through (iv) of 

the CEA; or

(vii) is currently subject to a denial, suspension or disqualification from serving 

on a disciplinary committee, arbitration or appeals panel or governing board of any selfregulatory organization, as that term is defined in CFTC Regulations § 1.63(a). 

(c) Any Director, member of a committee established by the Board or any member of 

a Disciplinary Panel, an Appeals Panel, any individual nominated to serve in any such role, or 

any individual authorized by the Regulatory Oversight Committee to take summary action shall 

immediately notify the President if such individual meets one or more of the criteria in Rule 

207(b). 
18

(d) For purposes of this Rule, the terms “disciplinary offense,” “final decision,” and 

“settlement agreement” have the meanings set forth in CFTC Regulation § 1.63(a).

(e) To qualify as a Public Director, a Director must be found, by the Board on the 

record, to have no material relationship with BSEF or any of its Affiliates. A “material 

relationship” is one that reasonably could affect the independent judgment or decision making of 

such individual as a Public Director. In addition, an individual shall not be considered a “Public 

Director” if any of the following circumstances exist: 

(i) such Director is an Officer or an employee of BSEF, or an officer or an 

employee of an Affiliate of BSEF; 

(ii) such Director is a Participant, or a director, an officer or an employee of a 

Participant; or

(iii) such Director, or an entity with which the Director is a partner, an officer, 

or a director, receives more than $100,000 in combined annual payments for legal, 

accounting, or consulting services from BSEF or any Affiliate of BSEF. Compensation 

for services as a director of BSEF or as a director of an Affiliate of BSEF does not count 

toward the $100,000 payment limit, nor does deferred compensation for services 

rendered prior to becoming a Director of BSEF, so long as such compensation is in no 

way contingent, conditioned or revocable.

(f) Any of the relationships set forth in sub-paragraphs (e)(i) through (iii) of this Rule 

apply to the “immediate family” of such Director, i.e., spouse, parents, children and siblings.

(g) A Public Director may also serve as a director of an Affiliate of BSEF if he or she 

otherwise meets the requirements in paragraphs (e) and (f) of this Rule. 

RULE 208. Officers

The Board shall appoint a President, a Chief Compliance Officer, one or more vice 

presidents, a secretary, a treasurer, and such other officers of BSEF (all of the foregoing, 

collectively, the “Officers”) as it may deem necessary or appropriate from time to time, in 

accordance with the Operating Agreement. The Officers shall have such powers and duties in 

the management of BSEF as the Board may prescribe from time to time in accordance with the 

Operating Agreement. Each Director and Officer is entitled to indemnification pursuant to the 

Operating Agreement with respect to matters relating to BSEF.

RULE 209. Chief Compliance Officer

(a) The Board shall appoint and approve the Chief Compliance Officer. The Board 

shall approve the compensation of the Chief Compliance Officer. Removal of the Chief 

Compliance Officer shall require the approval of a majority of the Board. BSEF shall notify the 

CFTC of the removal of the Chief Compliance Officer and the appointment of any new Chief 

Compliance Officer, whether interim or permanent, within two business days, as defined in 

CFTC Regulation 40.1, of such appointment. 

(b) The individual designated to serve as Chief Compliance Officer shall have the 

background and skills appropriate for fulfilling the responsibilities of the position. No individual 
19

disqualified from registration pursuant to Sections 8a(2) or 8a(3) of the CEA may serve as a 

Chief Compliance Officer. The Chief Compliance Officer may not be a member of BSEF’s legal 

department and may not serve as its general counsel.

(c) The Chief Compliance Officer shall report directly to the Board. The Chief 

Compliance Officer shall meet with the Board at least annually. The Chief Compliance Officer 

shall also meet with the Regulatory Oversight Committee at least quarterly. Each such meeting 

may occur in person or by means of conference telephone. The Chief Compliance Officer shall 

provide any information regarding the regulatory program of the SEF operated by BSEF that is 

requested by the Board or the Regulatory Oversight Committee.

(d) The position of Chief Compliance Officer shall carry with it the authority and 

resources to develop and enforce policies and procedures necessary to fulfill the duties set forth 

for chief compliance officers in the Act and the CFTC Regulations. The Chief Compliance 

Officer shall have supervisory authority over all staff acting in furtherance of the Chief 

Compliance Officer’s obligations. 

(e) The Chief Compliance Officer’s duties shall include, but are not limited to, the 

following:

(i) Overseeing and reviewing the compliance of the SEF operated by BSEF

with Section 5h of the Act and any CFTC Regulations;

(ii) In consultation with the Board or the senior Officer of BSEF, resolving 

any conflicts of interest that may arise, including: (1) conflicts between business 

considerations and compliance requirements; (2) conflicts between business 

considerations and the requirement that the SEF operated by BSEF provide fair, open, 

and impartial access as set forth in CFTC Regulation 37.202; and (3) conflicts between

BSEF’s management and members of the Board;

(iii) Establishing and administering Written policies and procedures reasonably 

designed to prevent violation of the Act and any Rules adopted by the Commission;

(iv) Taking reasonable steps to ensure compliance with the Act and CFTC 

Regulations relating to agreements, contracts, or transactions, and with CFTC 

Regulations under Section 5h of the CEA;

(v) Establishing procedures for the remediation of noncompliance issues 

identified by the Chief Compliance Officer through a compliance office review, lookback, internal or external audit finding, self-reported error, or validated complaint;

(vi) Establishing and following appropriate procedures for the handling, 

management response, remediation, retesting, and closing of noncompliance issues;

(vii) Establishing and administering a compliance manual designed to promote 

compliance with the applicable laws, Rules, and regulations and administering a Written 

code of ethics designed to prevent ethical violations and to promote honesty and ethical 

conduct;
20

(viii) Supervising the SEF’s compliance program with respect to trade practice 

surveillance; market surveillance; real-time market monitoring; compliance with audit 

trail requirements; enforcement, disciplinary and appeals proceedings; audits, 

examinations conducted by the Regulatory Services Provider, and other regulatory 

responsibilities with respect to Participants, Accounts, Customers and Clearing Members

(including ensuring compliance with, if applicable, financial integrity, financial reporting, 

sales practice, recordkeeping, and other requirements); 

(ix) Supervising the effectiveness and sufficiency of any regulatory services 

provided to BSEF by the Regulatory Services Provider; and 

(x) Preparing and filing the annual compliance report of BSEF.

RULE 210. Conflicts of Interest

(a) A Director, Officer, panel member or other Person authorized to exercise BSEF’s 

authority concerning any inquiry, investigation or any disciplinary or appeals proceeding, 

summary suspension, or other summary actions (any such action, a “SEF Action” and, 

collectively, “SEF Actions”), or Emergency actions taken pursuant to Rule 212 (each such SEF 

Action or Emergency Action, a “SEF Proceeding”) who knowingly has a “material conflict of 

interest” between his or her position as a Director, Officer, panel member or exercise of authority 

concerning any SEF Proceeding and his or her personal interests (each, an “Interested Person”) 

may not participate in any deliberations or vote of the Board committee, panel or exercise any 

authority in any SEF Proceeding involving his or her personal interest, except as described in 

Rule 210(d).

(b) For purposes of Rule 210(a), a “material conflict of interest” includes a 

Director’s, Officer’s, or other Person’s:

being named as a respondent or potential respondent in a SEF Proceeding;

being an employer, employee, fellow employee or an Affiliate of a 

respondent or potential respondent in a SEF Proceeding;

having any significant, ongoing business relationship with a respondent or 

potential respondent in a SEF Proceeding;

having a family relationship with a respondent or potential respondent in a 

SEF Proceeding (including the individual’s spouse, co-habitator, former spouse, parent, 

step-parent, child, step-child, sibling, step-brother, step-sister, grandparent, grandchild, 

uncle, aunt, nephew, niece, father-in-law, mother-in-law, son-in-law, daughter-in-law, 

brother-in-law or sister-in-law); and/or

having a direct and substantial financial interest in the result of the 

deliberations or vote based upon either SEF or non-SEF positions. A direct and 

substantial financial interest includes positions held in Swaps in the accounts of, 

Controlled by, or affiliated with the Interested Person or any other types of direct and 

substantial financial positions of the Interested Person that are reasonably expected to be 

affected by the deliberations or vote.
21

(c) Before considering any SEF Proceeding, an Interested Person must disclose in 

Writing to the Board the material facts concerning his or her relationship or interest in the matter.

(d) Any Interested Person who would be required otherwise to abstain from 

deliberations and voting pursuant to Rule 210(a) as a result of having a direct and substantial 

financial interest in the result of the deliberations and vote may participate in deliberations, prior 

to a vote on the matter, if:

the material facts about the Interested Person’s financial interest in the 

matter are disclosed or known to the Board;

the Board determines that the participation by the Interested Person would 

be consistent with the public interest; and

a majority of the Directors (excluding any Interested Persons) vote to 

allow the Interested Person to participate in deliberations on the matter.

(e) If a determination is made pursuant to Rule 210(d) that an Interested Person may 

participate in deliberations prior to a vote, then the minutes of the meeting of the Board or 

committee thereof will reflect the determination and the reasons for the determination.

(f) If a determination is made pursuant to Rule 210(a) that all Directors are Interested 

Persons with respect to a matter subject to a vote by the Board, the President will appoint a panel 

of individuals who are not Interested Persons with respect to such matter, which will have the 

same authority and powers over such matter that the Board would have if the Directors were not 

Interested Persons with respect to such matter.

(g) No Director, Officer or member of any committee or panel established by the 

Board shall use or disclose for any purpose other than the performance of his or her official 

duties and responsibilities as a Director, Officer or committee or panel member any material, 

non-public information obtained as a result of the individual’s duties and responsibilities as a 

Director, Officer or committee or panel member. No Director, Officer or committee or panel 

member shall, directly or indirectly, disclose or use at any time, either during his or her 

association with BSEF or thereafter, any confidential information of which the Board member or 

committee or panel member becomes aware. Each Director, Officer or committee or panel 

member in possession of confidential information shall take all appropriate steps to safeguard the 

information and to protect it against disclosure, misuse, espionage, loss and theft.

(h) Notwithstanding Rule 210(g), a Director, Officer or committee or panel member 

may disclose confidential information if required by Applicable Law or a court order to be 

revealed to the United States Department of Justice or the CFTC.

(i) For the purposes of Rule 210(g), the term “material, non-public information” shall 

mean “material information” that is “nonpublic information,” as such terms are defined in CFTC 

Regulation 1.59(a).
22 

RULE 211. Restrictions on Certain Persons who Possess Material, NonPublic Information: Improper Use or Disclosure of Material 

Non-Public Information

No member of the Board or of any Board committee, no member of any other committee 

of BSEF, no Officer of BSEF, no employee of BSEF, no agent of BSEF, no subcontractor of 

BSEF and no consultant to BSEF shall: 

(a) trade for such Person’s own account, or for or on behalf of any other account, in 

any commodity interest on the basis of any material, non-public information obtained through 

the performance of such Person’s official duties; 

(b) use or disclose, for any purpose other than the performance of such Person’s 

official duties, any material, non-public information obtained by such Person as a result of such 

Person’s official duties, provided, however, that this Section shall not prohibit disclosures made 

by such Person in the course of his or her official duties or disclosures made to the CFTC, any 

Self-Regulatory Organization, a court of competent jurisdiction or any agency or department of 

the federal or state government; or 

(c) trade, directly or indirectly, in any Swap traded on the SEF operated by BSEF; in 

any related commodity interest; or in any commodity interest traded on any DCM or SEF or 

cleared by any Clearing House if such Person has access to material non-public information 

concerning such Swap or commodity interest. 

RULE 212. Emergency Rules

(a) In the event of an Emergency, BSEF may implement temporary emergency 

procedures and rules (“Emergency Rules”), subject to the applicable provisions of the CEA and 

CFTC Regulations. Implementation of Emergency Rules shall be done in consultation with the 

CFTC. Emergency Rules may require or authorize BSEF, the Board, any committee of the 

Board, the President, or any other Officer to take actions necessary or appropriate to respond to 

the Emergency, including the following actions: 

suspending or curtailing trading or limiting trading to liquidation only (in 

whole or in part); 

extending or shortening the last trading date for Swaps; 

ordering the fixing of a settlement price;

ordering the liquidation or transfer of an open position in any Swap, or the 

reduction of positions;

extending, limiting or changing the Trading Hours; 

imposing or modifying intraday market restrictions;

transferring customer contracts and the margin in an emergency;

imposing special margin requirements;
23

extending or shortening the expiration date of a Swap;

altering any Swap’s settlement terms and conditions;

imposing or modifying price limits; 

imposing, modifying or reducing position limits; and/or

temporarily modifying or suspending any provision of the BSEF Rules or 

Obligations.

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the 

Board must approve the implementation of such Emergency Rule at a duly convened meeting

requested by the President or any other Officer. Directors may attend such a meeting by 

teleconference. Each Director participating in such meeting shall be subject to Rule 210. If the 

President, Vice President or the Chief Technology Officer determines that Emergency Rules 

must be implemented with respect to an Emergency before a meeting of the Board can 

reasonably be convened, then the President, Vice President or the Chief Technology Officer shall 

have the authority, without Board action, to implement any Emergency Rules with respect to 

such Emergency that he or she deems necessary or appropriate to respond to such Emergency.

(c) Whenever BSEF, the Board, any committee of the Board, or the President, Vice 

President or the Chief Technology Officer takes actions necessary or appropriate to respond to an 

Emergency (including the actions set forth in paragraph (a) above), an Authorized 

Representative of BSEF will post a Notice to Participants regarding such Emergency, as soon as 

practicable. When the Board, any committee of the Board or the President, Vice President or the 

Chief Technology Officer determines that the Emergency is no longer in effect, permitting the 

SEF operated by BSEF to resume normal functioning; any such actions responding to an 

Emergency will be terminated.

(d) BSEF will use reasonable efforts to notify the CFTC prior to implementing, 

modifying or terminating an Emergency Rule. If such prior notification is not possible or 

practicable, BSEF will notify the CFTC as soon as possible or reasonably practicable, but in all 

circumstances within twenty-four (24) hours of the implementation, modification or termination 

of such Emergency Rule.

(e) Upon taking any action in response to an Emergency, BSEF will document the 

decision-making process related to such action. Such documentation will be kept for at least five 

years following the date on which the Emergency ceases to exist or to affect the SEF operated by 

BSEF, and all such documentation will be provided to the CFTC upon request.

RULE 213. Information-Sharing Agreements

(a) BSEF shall enter into information-sharing agreements or other arrangements or 

procedures necessary to allow BSEF to obtain any necessary information to perform any 

monitoring of trading and Trade processing, provide information to other markets, the CFTC or 

any other Governmental Body with jurisdiction over BSEF upon request and which allow BSEF 

to carry out such international information-sharing agreements as the CFTC may require. As 
24

part of any information-sharing agreements or other arrangements or procedures adopted 

pursuant to this Rule, BSEF may:

provide market surveillance reports to the CFTC, any Governmental Body 

with jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO 

obligations, to other markets;

share information and documents concerning current and former 

Participants to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets;

share information and documents concerning ongoing and completed

investigations to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets; and/or

require its current or former Participants to provide information and 

documents to BSEF at the request of the CFTC, any Governmental Body with 

jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO obligations, to 

other markets.

(b) BSEF may enter into any information-sharing arrangement with any Person or 

body (including the CFTC, the NFA, any Self-Regulatory Organization, any SEF, DCM, market, 

or clearing organization, or any Governmental Body) if BSEF (i) believes that such entity 

exercises a legal or regulatory function under any law or regulation, or a function comprising or 

associated with the enforcement of a legal or regulatory function, or (ii) considers such 

arrangement to be in furtherance of the purpose or duties of BSEF and the SEF operated by 

BSEF under Applicable Law. 

(c) BSEF may disclose any information provided by or relating to Participant, 

Account Managers, Authorized Traders, Supervised Persons, Clearing Members, Customers or 

Accounts or their agents, or Trades of Participant or of its Customers or Accounts, including the 

content of this Agreement, to any Governmental Body, to the Regulatory Services Provider, to 

an SDR where BSEF reports Trades, to any other person or entity as required by Applicable Law 

or as necessary to conclude Participant’s Trades, submit Participant’s Trades for clearance or 

perform services requested by a Participant, and to any Person providing services to BSEF with 

respect to the SEF operated by BSEF. BSEF will not disclose any proprietary data or personal 

information of any Participant, Account Manager, Authorized Trader, Supervised Person, 

Clearing Member, Customer or Account without a corresponding confidentiality agreement 

between such Person and BSEF, unless the Person requesting such information is a 

Governmental Body.

RULE 214. Regulatory Services Agreement with the Regulatory Services 

Provider

BSEF has contracted with the Regulatory Services Provider to provide certain regulatory 

services to BSEF pursuant to a Regulatory Services Agreement. In accordance with the 

Regulatory Services Agreement, the Regulatory Services Provider may perform certain 

surveillance, investigative, and regulatory functions under the BSEF Rules and BSEF may 

provide information to the Regulatory Services Provider in connection with the performance by 
25

the Regulatory Services Provider of those functions. BSEF shall retain ultimate decision-making 

authority with respect to any functions that are contracted to the Regulatory Services Provider.

RULE 215. Delivery and Service of CFTC Communications for Non-U.S. 

Participants

In accordance with CFTC Rule 15.05, BSEF will serve as an agent of a non-U.S. 

Participant or a Customer of non-U.S. Participant for whom Swaps were executed or a non-U.S. 

Authorized Trader for purposes of accepting delivery and service of any communication issued 

by or on behalf of the CFTC to the non-U.S. Participant or the Customer of the non-U.S. 

Participant or the non-U.S. Authorized Trader, in each case with respect to any swap traded on 

the SEF operated by BSEF. 

CHAPTER 3. PARTICIPANTS

RULE 301. Eligibility Criteria for Becoming a Participant

(a) To be eligible for admission as a Participant, an applicant warrants to BSEF that it

meets the following criteria:

is an ECP, and each Account or Customer on whose behalf it wishes to 

trade on the SEF operated by BSEF is an ECP, in each case eligible to enter into the asset 

classes of Swaps it wishes to trade on the SEF operated by BSEF;

is of good reputation and business integrity;

is validly organized, in good standing, and authorized by its governing 

body and, if relevant, documents of organization, to trade Swaps;

has not filed for bankruptcy;

is not a SEF Official, agent or affiliate of BSEF;

is not prohibited from using the services of BSEF for any reason 

whatsoever;

holds all registrations required under Applicable Law, if any;

is not subject to statutory disqualification under Section 8a(2) of the CEA; 

satisfies any other criteria that BSEF may require from a Participant to 

perform its SRO responsibilities, comply with Applicable Law or provide SEF services;

and

is not an ISV or an automated trading system.

(b) Once admitted, the Participant shall continue to comply with all applicable 

Eligibility Criteria in this Rule 301.
26

(c) With respect to Cleared Swaps, each Participant that is an Account Manager, 

FCM or Introducing Broker must ensure that each of its, as applicable, Accounts or Customers 

has a clearing account with a Clearing Member that is a member of the Clearing House accepting 

for clearance Cleared Swaps traded on the SEF operated by BSEF and provide BSEF with 

evidence of such relationship. With respect to Non-Cleared Swaps, each Participant that is an 

Account Manager or Introducing Broker must ensure that each of its, as applicable, Accounts or 

Customers complies with Rule 534, if applicable. A DMA Customer that is an Account 

Manager must ensure that each of its Accounts complies with Rule 534, if applicable. Each 

Participant or DMA Customer that is an Account Manager must provide BSEF upon BSEF’s 

prior Written request with Written representation or proof of authority to place RFQs or Orders 

and execute Trades on the SEF operated by BSEF on behalf or in the name of each Account. 

(d) With respect to Cleared Swaps, each Participant that is not an Account Manager 

must either be a Clearing Member of a Clearing House where the Cleared Swaps are cleared or 

have a clearing account with a Clearing Member with respect to such Cleared Swap and provide 

SEF with evidence of such relationship. With respect to Non-Cleared Swaps, each Participant 

that is not an Account Manager must comply with Rule 534, if applicable. 

(e) Each Participant must establish a Trading Account. In addition to all information 

required by BSEF, information in each Trading Account shall at minimum be sufficient to allow 

BSEF to present a Trade for clearing to a Clearing House. A Participant must keep such 

information current and up-to-date. Please see Notices to Participants 2016-5A and 2017-1, 

which are posted on BSEF’s website. 

(f) Participants that do not have a relationship with a Clearing Member as set forth in 

subsection (c) or (d) of this Rule 301 are prohibited from entering RFQs or Orders in Cleared 

Swaps on the SEF operated by BSEF.

(g) Upon request of BSEF, a Participant shall promptly provide to BSEF or its 

Regulatory Services Provider information about the Participant, its Customers, Accounts, 

Clearing Members and Authorized Traders as BSEF requests related to or in connection with 

SEF Activity. 

RULE 302. Authorized Traders

(a) Each Participant shall nominate or designate one or more Authorized Traders, 

who will conduct SEF Activity on behalf of the Participant. 

(b) Each Authorized Trader:

(i) must be a natural person;

(ii) must satisfy any other requirements as may be prescribed by BSEF from 

time to time; and

(iii) must have a Trader ID.

A Participant that authorizes a third party to trade for its Trading Account on a 

discretionary basis pursuant to a power of attorney or other instrument must identify or approve a 

specific natural person as its Authorized Trader with respect to such Trading Account.
27

(c) Without limiting the foregoing, each Authorized Trader will abide by applicable

BSEF Rules and Applicable Law, and each Participant or DMA Customer, as applicable, will 

ensure on an ongoing basis that:

(i) none of its Authorized Traders is subject to a disqualification pursuant to 

any Applicable Law (unless an appropriate exemption has been obtained with respect 

thereto);

(ii) each of its Authorized Traders will be technically proficient; 

(iii) each of its Authorized Traders will conduct its business in a fair and 

equitable manner; and 

(iv) each of its Authorized Traders will conduct its business in accordance 

with the BSEF Rules.

(d) By agreeing to become an Authorized Trader, an individual agrees to be bound by 

the duties and responsibilities of an Authorized Trader under these Rules and to be subject to, 

and comply with, the BSEF Rules and Obligations. Among other duties and responsibilities that 

BSEF may impose, an Authorized Trader must:

have the authority, at BSEF’s request, to adjust or withdraw any Order 

submitted under any Trader ID assigned to him or her; and

ensure that any SEF Activity conducted under any Trader ID assigned to 

him or her complies with all BSEF Rules and Obligations.

(e) To nominate or designate an Authorized Trader, a Participant must follow the 

procedures established by BSEF. BSEF may establish criteria that individuals must fulfill to 

become an Authorized Trader. Any such criteria will be set out in the BSEF Rules. BSEF will 

not accept the registration as an Authorized Trader of any individual who is a SEF Official.

(f) BSEF will maintain a list of all appointed Authorized Traders for each 

Participant.

(g) BSEF may, in its sole discretion terminate, revoke or suspend an Authorized 

Trader and shall promptly notify the Participant in Writing of such action. Upon such 

termination, revocation or suspension, BSEF will disable access of such Authorized Trader to the 

SEF operated by BSEF. 

(h) To request the termination of the designation of an Authorized Trader, the 

Participant or the Authorized Trader must notify BSEF following the procedures established by 

BSEF. BSEF will terminate access of such Authorized Trader to the SEF operated by BSEF 

immediately upon receipt of such notice from Participant. 

RULE 303. Participant Application Process; Termination of Participant

(a) Any Person who desires to become a Participant shall (i) submit signed 

Participant Documentation; (ii) agree in Writing to abide by the BSEF Rules and Applicable 
28

Law; (iii) provide such information and documentation as may be requested by BSEF; and (iv) 

follow the application procedures established by BSEF. 

(b) In considering an application from a potential Participant, BSEF may require 

additional information from the applicant, or conduct an investigation to verify information 

submitted by the applicant, or both.

(c) If BSEF decides to admit an applicant as a Participant, it shall promptly notify the 

applicant and state in such notice the date on which the applicant shall become a Participant.

(d) If BSEF decides to decline or condition an application for admission as a 

Participant, or terminate a Person’s status as a Participant, BSEF shall promptly notify such 

Affected Person thereof in a Writing sent to the address provided by the applicant or maintained 

in BSEF registry of Participants. Such Affected Person may, within seven (7) calendar days, 

request in Writing that BSEF provide the reasons for the denial, conditioning or termination of 

Participant status. Within fourteen (14) calendar days after receiving such Written request, 

BSEF shall send in Writing to the Affected Person the reasons for the denial, conditioning or 

termination. Within fourteen (14) calendar days of receiving the BSEF’s Written response, the 

Affected Person may request in Writing that BSEF reconsider its determination, and may provide 

any relevant representations or other information that such Affected Person believes to be 

relevant to the reconsideration.

(e) BSEF may deny, condition or terminate Participant status of any Person if: 

(i) such Person is unable to satisfactorily demonstrate its ability to satisfy the Eligibility Criteria 

as set forth in Rule 301(a) to become or remain a Participant; (ii) such Person is unable to 

satisfactorily demonstrate its capacity to adhere to all applicable BSEF Rules; (iii) such Person 

would bring BSEF into disrepute as determined by BSEF in its sole discretion; or (iv) for such 

other cause as BSEF may reasonably determine.

RULE 304. Trading Privileges of a Participant

(a) Upon admission as a Participant or DMA Customer, the Participant or DMA 

Customer must execute such Participant Documentation or DMA Customer Documentation, as 

applicable, as required from time to time by BSEF, and such Participant Documentation or DMA 

Customer Documentation, as applicable, must remain in effect for the Participant or DMA 

Customer to access the SEF operated by BSEF. 

(b) Admission as a Participant entitles the Participant only to Trading Privileges and 

does not confer any right of ownership in, or right to attend or vote at meetings of, BSEF, or 

right to share in the profits, of BSEF. A Participant may not transfer or assign its status as a 

Participant.

RULE 305. Termination or Limitation of Trading Privileges and Trading 

Access

(a) Notwithstanding anything in the BSEF Rules to the contrary, the Chief 

Compliance Officer may, after consultation with the Regulatory Oversight Committee, if 

practicable, summarily suspend, revoke, limit, condition, restrict or qualify the Trading 

Privileges of a Participant or the Trading Access of an Authorized Trader, and may take other 
29 

summary action against any Participant or any of its Supervised Persons or any Authorized 

Trader in accordance with the BSEF Rules; provided, however, that the Chief Compliance 

Officer must reasonably believe that the business, conduct or activities of the Participant, 

Authorized Trader or Supervised Person in question is not in the best interests of BSEF or the 

marketplace, including based on any of the following: (i) statutory disqualification from 

registration as provided in CEA Section 8a(2) or (3); (ii) non-payment of fees, costs, charges, 

fines or arbitration awards; or (iii) the reasonable belief that immediate action is necessary to 

protect the public or the best interests of BSEF and the SEF operated by BSEF. BSEF may deny 

or limit Trading Privileges of a Participant or Trading Access of any Authorized Trader upon 

default of the Participant, Customer or Account, as applicable, on any Swap with respect to such 

Participant, Customer or Account.

(b) Whenever practicable, the Compliance Department, acting on behalf of the Chief 

Compliance Officer, shall provide prior Written notice to the party against whom any action in 

accordance with paragraph (a) shall be taken. If prior notice is not practicable, BSEF will give 

notice at the earliest possible opportunity to the respondent against whom the action is brought. 

The Compliance Department, acting on behalf of the Chief Compliance Officer, will prepare a 

notice of summary action (which will state the action, the reasons for the action, and the effective 

time, date and duration of the action) and serve the notice on such party. 

(c) The summary action will become final upon the expiration of 20 days after the 

notice of action is served on the respondent. 

(d) At the request of BSEF, a respondent against whom a summary action is brought 

pursuant to this Rule 305 must provide books and records over which the respondent has access 

or control and must furnish information to, or appear or testify before, BSEF or the in connection 

with the enforcement of any BSEF Rule. 

(e) Participant may appeal any decision taken by BSEF under this Rule 305 as 

provided in Rule 620; provided, however, that any such decision by BSEF to deny or otherwise 

limit applicant’s Trading Privileges or Trading Access shall continue in effect during such 

review. 

RULE 306. Assessments and Fees

BSEF shall set the times and amounts of any assessments or fees to be paid by 

Participants, which assessments or fees shall be paid to BSEF when due. If a Participant fails to 

pay when due any such assessments or fees levied on such Participant, and such payment 

obligation remains unsatisfied for thirty days after its due date, BSEF may suspend, revoke, 

limit, condition, restrict or qualify the Trading Privileges of such Participant as it deems 

necessary or appropriate.

RULE 307. Authorized Representatives

Each Participant shall designate one or more Authorized Representatives who will 

represent the Participant before BSEF and its committees and receive notices on behalf of the 

Participant. The Authorized Representative shall be empowered by the Participant to act on its 

behalf and BSEF shall be entitled to rely on the actions of the Authorized Representative as 

binding on the Participant. Each Participant must provide BSEF with current contact and other 
30

requested information for each of its Authorized Representatives so that BSEF is able to 

immediately contact the Authorized Representatives.

RULE 308. Recording of Communications

BSEF may record conversations and retain copies of electronic communications between 

SEF Officials, on one hand, and Participants, their Account Managers, Authorized Traders, 

Supervised Persons or other agents, on the other hand, to the extent required by Applicable Law. 

Any such recordings may be retained by BSEF or the Regulatory Services Provider in such 

manner and for such periods of time as BSEF may deem necessary or appropriate. 

RULE 309. Notices to Participants

BSEF shall publish a Notice to Participants with respect to each addition to, modification 

of, or clarification of, the BSEF Rules or of any action to implement any BSEF Rules, in a form 

and manner that is reasonably designed to enable each Participant to become aware of and 

familiar with, and to implement any necessary preparatory measures to be taken by it with 

respect to, such addition or modification, prior to the effective date thereof. For purposes of 

publication in accordance with the first sentence of this Rule, it shall be sufficient (without 

limiting the discretion of BSEF as to any other reasonable means of communication) if a Notice 

to Participants is published on BSEF’s website and posted on BSEF’s internal notification 

system. Any Notice to Participants shall also be deemed to have been made to all Account 

Managers, Authorized Traders and Supervised Persons.

RULE 310. Communications between BSEF and Participants

Each Participant must provide BSEF with its current electronic mail address and 

telephone number and the electronic mail address and telephone number of any of its Authorized 

Traders and immediately (and in any event within 24 hours) update this information whenever it 

changes. All communications between BSEF and the Participant will be transmitted by 

electronic mail and/or posted on BSEF’s website, except as otherwise specified by BSEF. The 

Participant shall be responsible for conveying such communications to its Authorized Traders

and/or to its Account Managers. Each Participant will be responsible for promptly reviewing 

and, if necessary, responding to all electronic communications from BSEF to the Participant or 

any of its Account Managers, Authorized Traders, Supervised Persons or any Person to whom it 

has given Trader ID(s). All communications made to a Participant shall also be deemed to have 

been made to all Account Managers, Authorized Traders and Supervised Persons of such 

Participant. 

RULE 311. Application of BSEF Rules and Jurisdiction

(a) ANY MARKET PARTICIPANT THAT DIRECTLY OR INDIRECTLY 

EFFECTS A TRANSACTION ON THE SEF OPERATED BY BSEF, OR ANY 

PARTICIPANT, AUTHORIZED TRADER, CLEARING MEMBER OR OTHER 

PERSON ACCESSING OR ENTERING ANY RFQ OR ORDER OR SUBMITTING 

ANY SWAP INTO THE SEF OPERATED BY BSEF OR EXECUTING ANY TRADE 

PURSUANT TO THE RULES (i) IS BOUND BY, AND SHALL COMPLY WITH, THE 

BSEF RULES AND OBLIGATIONS, THE CLEARING HOUSE RULES, SWAP 

SPECIFICATIONS AND APPLICABLE LAW, IN EACH CASE TO THE EXTENT 
31

APPLICABLE TO IT, (ii) SUBMITS TO THE JURISDICTION OF BSEF WITH 

RESPECT TO ANY AND ALL MATTERS ARISING FROM, RELATED TO, OR IN 

CONNECTION WITH, THE STATUS, ACTIONS OR OMISSIONS OF SUCH

PARTICIPANT, AUTHORIZED TRADER OR OTHER PERSON, AND (iii) AGREES 

TO ASSIST BSEF IN COMPLYING WITH ITS LEGAL AND REGULATORY 

OBLIGATIONS, COOPERATE WITH BSEF, THE CFTC AND ANY 

GOVERNMENTAL BODY WITH JURISDICTION OVER BSEF OR THE SEF 

OPERATED BY BSEF IN ANY INQUIRY, INVESTIGATION, AUDIT, 

EXAMINATION OR PROCEEDING.

(b) Any Person whose access to the SEF operated by BSEF is suspended for any 

period remains subject to the BSEF Rules, the Obligations and BSEF’s jurisdiction throughout 

the period of suspension. Any Person whose access to the SEF operated by BSEF is revoked or 

terminated shall remain bound by the BSEF Rules and Applicable Law, in each case to the 

extent applicable to it, and subject to the jurisdiction of BSEF with respect to any and all 

matters arising from, related to, or in connection with, the status, actions or omissions of such 

Participant prior to such revocation or termination.

RULE 312. Description of Participant’s Status 

A Participant shall ensure that the form, content and context of any description of the 

Participant’s status on the SEF operated by BSEF is not inconsistent with, and does not 

misrepresent, the Participant’s capacity on the SEF operated by BSEF under the BSEF Rules or 

the Participant’s registration, if any, under the CEA, or under any other Applicable Law.

RULE 313. Dissolution of Participants 

All rights and privileges of a Participant terminate upon, and all obligations of a 

Participant shall survive the dissolution of the Participant.

RULE 314. Withdrawal of Participant

(a) To withdraw from the SEF operated by BSEF, a Participant must notify BSEF of 

its withdrawal. Such withdrawal shall be accepted and effective immediately upon receipt of 

such notice by BSEF. 

(b) When BSEF accepts the withdrawal of a Participant, all rights and privileges of 

such Participant terminate (including the Trading Privileges). The accepted withdrawal of a 

Participant shall not affect the rights of BSEF under the BSEF Rules or relieve the former 

Participant of such Participant’s obligations under the BSEF Rules before such withdrawal. 

Notwithstanding the accepted withdrawal of a Participant, the withdrawn Participant remains 

subject to the BSEF Rules, the Obligations and the jurisdiction of BSEF for acts done and 

omissions made while a Participant, and must cooperate in any SEF Proceeding under Chapter 6 

as if the withdrawn Participant were still a Participant.

RULE 315. Compliance with the Commodity Exchange Act

All SEF Participants shall comply with all relevant provisions of the CEA and the Rules 

and regulations duly issued pursuant thereto by the CFTC, including the filing of reports, 
32 

maintenance of books and records, and permitting inspection and visitation by Authorized 

Representatives of the CFTC or Department of Justice. 

RULE 316. Access

RULE 316.A. ECP Access

BSEF will provide its services to any ECP with access to its markets and BSEF services 

that is impartial, transparent and applied in a fair and non-discriminatory manner; provided, 

however, that each ECP complies with BSEF’s documentation and the eligibility requirements 

set forth in this Rulebook. 

RULE 316.B. ISV Access

BSEF will provide ISVs with access to its trading platform and its data in a fair and nondiscriminatory manner; provided, however, that each ISV shall comply with BSEF’s criteria 

governing such access. Such access criteria shall be impartial and transparent.

RULE 317. Direct Market Access

(a) DMA may be sponsored only by a Sponsoring Broker. 

(b) All trades in Cleared Swaps executed via DMA connection must be guaranteed by 

a Sponsoring Broker that assumes financial responsibility for all trades in Cleared Swaps 

executed through the DMA connection. 

(c) Each DMA Customer must execute the DMA Customer Documentation as a 

condition of being granted access to the SEF operated by BSEF. 

(d) A Sponsoring Broker shall assist BSEF in any investigation into potential 

violations of the BSEF Rules, CFTC Regulations or the Act which occur through or with respect 

to a DMA connection guaranteed by such Sponsoring Broker. Such assistance must be timely 

and may include requiring any DMA Customer to produce documents, to answer questions from 

BSEF, and/or to appear in connection with an investigation. 

(e) A Sponsoring Broker shall suspend or terminate the Trading Access of a DMA 

Customer or any Authorized Trader associated with such DMA Customer if BSEF determines 

that the actions of the DMA Customer or any of its Authorized Traders threaten the integrity of 

the SEF operated by BSEF or liquidity of any Swap or violate any BSEF Rule or if the DMA 

Customer or any of its Authorized Traders fails to cooperate in an investigation. 

(f) If a Sponsoring Broker has actual or constructive notice of a violation of the 

BSEF Rules in connection with Direct Market Access by its DMA Customer and the Sponsoring 

Broker fails to take appropriate action, BSEF may consider that the Sponsoring Broker has 

committed an act detrimental to the interest or welfare of BSEF.

RULE 318. Legal Certainty for SEF Trades

A transaction entered into on or pursuant to the BSEF Rules shall not be void, voidable, 

subject to rescission, otherwise invalidated, or rendered unenforceable as a result of: 
33

(a) a violation by BSEF of the provisions of section 5h of the Act or CFTC 

Regulations;

(b) any CFTC proceeding to alter or supplement a Rule, term, or condition under 

section 8a(7) of the Act or to declare an emergency under section 8a(9) of the Act; or

(c) any other proceeding the effect of which is to:

(i) alter or supplement a specific term or condition or trading rule or 

procedure; or

(ii) require BSEF to adopt a specific term or condition, trading rule or 

procedure, or to take or refrain from taking a specific action.

RULE 319. Rights and Responsibilities after Suspension or Termination

(a) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are suspended, none of its rights and Trading Privileges (including the right to 

hold oneself out to the public as a Participant, enter RFQs or Orders into the SEF operated by 

BSEF and receive Participant rates for fees, costs, and charges at Participant levels) will apply 

during the period of the suspension, except for the right of the Participant in question to assert 

claims against others as provided in the BSEF Rules or the right to Trading Access. Any such 

suspension will not affect the rights of creditors under the BSEF Rules or relieve the Participant 

in question of its, his or her obligations under the BSEF Rules to perform any Swaps entered into 

before the suspension, or for any SEF fees, costs, or charges incurred during the suspension. 

(b) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are terminated, all of a Participant’s rights and Trading Privileges or an 

Authorized Trader’s right to Trading Access will terminate, except for the right of the Participant 

in question to assert claims against others, as provided in the BSEF Rules. Any such termination 

will not affect the rights of creditors under the BSEF Rules. A terminated Participant may only 

seek to reinstate its Trading Privileges by applying for Trading Privileges pursuant to Rule 304. 

BSEF will not consider the application of a terminated Participant if such Participant continues 

to fail to appear at disciplinary or appeals proceedings without good cause or continues to 

impede the progress of disciplinary or appeals proceedings.

(c) A suspended or terminated Participant, Authorized Trader or Supervised Person

remains subject to the BSEF Rules and the jurisdiction of BSEF for acts and omissions prior to 

the suspension or termination, and must cooperate in any inquiry, investigation, disciplinary or 

appeals proceeding, summary suspension or other summary action as if the suspended or 

terminated Participant still had Trading Privileges or the terminated Authorized Trader still had 

Trading Access. BSEF may discipline a suspended Participant or Authorized Trader under this 

Chapter 6 for any violation of a BSEF Rule or provision of Applicable Law committed by the 

Participant or Authorized Trader before, during or after the suspension.

(d) Upon the request of a Customer, in the event of the suspension or revocation of 

the Trading Privileges of a Participant, BSEF shall seek to facilitate the transfer of any Customer 

accounts held by such Participant to other Participants with Trading Privileges. 
34

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, 

DMA CUSTOMERS, AUTHORIZED TRADERS AND 

SUPERVISED PERSONS

RULE 401. Duties and Responsibilities

(a) Each Participant, Account Manager, DMA Customer, Authorized Trader and 

Supervised Person shall:

(i) ensure that BSEF’s facilities are used in a responsible manner and are not 

used for any improper purpose;

(ii) ensure that BSEF’s facilities are used only to conduct SEF Activity;

(iii) ensure that all SEF Activity conducted by the Participant, Account 

Managers, Authorized Traders and Supervised Persons is performed in a manner 

consistent with applicable BSEF Rules and their respective Obligations;

(iv) comply with all BSEF Rules and Obligations and act in a manner 

consistent with each BSEF Rule and Obligation;

(v) observe high standards of integrity, market conduct, commercial honor, 

fair dealing, and just and equitable principles of trade while conducting or attempting to 

conduct any SEF Activity, or any aspect of any business connected with or concerning 

the SEF operated by BSEF;

(vi) not mislead or conceal any material fact or matter in any dealings or 

filings with BSEF or in response to any SEF Proceeding; and

(vii) keep the Authorized Trader’s Trader IDs, account numbers and passwords 

confidential.

(b) Each Participant shall be responsible for promptly informing BSEF of any 

material changes to Eligibility Criteria information provided to BSEF by the Participant.

RULE 402. Required Disclosures to BSEF

Each Participant shall immediately notify the Compliance Department upon becoming 

aware of any of the following events:

(a) any material change to the contact or other information provided to BSEF by the 

Participant;

(b) any damage to, or failure or inadequacy of, the systems, facilities or equipment of 

the Participant to effect transactions pursuant to the BSEF Rules or to timely perform the 

Participant’s financial obligations under or in connection with Swaps of such Participant or 

Swaps of any Customer or Account of such Participant;

(c) any refusal of admission of the Participant for membership in, any SelfRegulatory Organization, SEF, DCM, or Derivatives Clearing Organization;
35

(d) any expulsion, suspension or fine in excess of $25,000 (whether through an 

adverse determination, voluntary settlement or otherwise) imposed on the Participant by any 

Self-Regulatory Organization, SEF, DCM, Derivatives Clearing Organization or, with respect to 

SEF Activity, any relevant Governmental Body;

(e) any revocation, suspension or conditioning of any registration or license of a 

Participant necessary to conduct SEF Activity granted by any relevant Governmental Body;

(f) (A) the commencement of any judicial or administrative proceeding against the 

Participant or any Authorized Trader or Supervised Person or (B) the imposition of any fine in 

excess of $25,000, cease and desist order, denial of trading privileges, censure or other sanction 

or remedy (whether through an adverse determination, voluntary settlement or otherwise) 

imposed, in each case of (A) and (B), by any Self-Regulatory Organization, SEF, DCM, 

Derivatives Clearing Organization or, with respect to SEF Activity, any relevant Governmental 

Body;

(g) any indictment or conviction of, or any confession of guilt or plea of guilty or 

nolo contendere by, any principals or senior officers of the Participant or any Authorized Trader 

for any felony or misdemeanor involving, arising from, or related to, the purchase or sale of any 

commodity, futures contract, swap, option, security, securities futures product or other financial 

instrument, or involving or arising from fraud or moral turpitude; and

(h) the Participant’s or a 10% or greater owner of the Participant becoming the 

subject of a petition for bankruptcy;

(i) the appointment of a receiver, trustee or administrator for the Participant or a 10% 

or greater owner of the Participant;

(j) the presentment of a petition, or the passing of a resolution, for the Participant’s

or a 10% or greater owner of the Participant winding-up;

(k) the commencement of proceedings for the Participant’s or the 10% or greater 

owner’s of the Participant dissolution; or

(l) the occurrence of an event of insolvency with respect to the Participant or the

10% owner or greater owner of the Participant.

RULE 403. Inspections by BSEF

(a) BSEF or the Regulatory Services Provider (or their respective authorized 

representatives), shall have the right with such prior reasonable advance notice as is practicable 

under the circumstances, in connection with determining whether all BSEF Rules are being, will 

be, or have been complied with by the Participant, to:

inspect the books and records of the Participants relating to SEF Activity;

inspect systems, equipment and software of any kind operated by the 

Participant in connection with SEF Activity and any data stored in any of the systems or 

equipment related to SEF Activity; and/or
36

copy or reproduce any data to which BSEF has access under this Rule.

(b) Such books and records, systems, equipment, software and data shall be made 

available to BSEF and the Regulatory Services Provider and their respective authorized 

representatives during regular business hours and BSEF and the Regulatory Services Provider 

and their respective authorized representatives agree to adhere to Participant’s reasonable logical 

and physical access and security procedures. 

(c) Each Participant, DMA Customer and Authorized Trader shall provide the 

Regulatory Services Provider with the same access to their books and records as they are 

required to provide to BSEF under the BSEF Rules and Applicable Law.

(d) The Compliance Department may require a Participant to furnish (periodically or

on a particular occasion) information concerning the Participant’s SEF Activity.

RULE 404. Minimum Financial and Related Reporting Requirements

Each Participant that is registered with any Self-Regulatory Organization shall comply 

with the provisions of Applicable Law relating to minimum financial and related reporting and 

recordkeeping requirements.

RULE 405. Position Liquidation upon Default

Upon default of any Swap by a Participant, Customer or Client, BSEF shall have the right 

to arrange the liquidation of all or some Swap positions of such Participant, Customer or Client, 

as applicable, opened via the SEF operated by BSEF.

RULE 406. Authority to Impose Restrictions

Whenever a Participant is subject to the early warning requirements set forth in the CFTC 

Regulations, including CFTC Regulation 1.12, the President, or his or her designee, may impose 

such conditions or restrictions on the business and operations of such Participant as the 

President, or his or her designee, may deem necessary or appropriate for the protection of 

Customers, other Participants or the SEF operated by BSEF.

RULE 407. Customers and Accounts

(a) No Participant shall carry an account for a Customer or enter an RFQ or Order in 

the name of a Account unless the Participant has entered into a Written agreement with the 

Customer or Account that is in compliance with Applicable Law and the BSEF Rules.

(b) Each Participant must: (1) ensure that the Customer or Account is an ECP at the 

time of execution of any Swap; (2) subject every Swap executed for the Customer or Account to

the terms of the BSEF Rules insofar as they are applicable to that Swap; (3) in relation to any 

Swap executed for the Customer or Account, be able to comply with all requirements of the 

BSEF Rules and any other arrangements, provisions and directions given by BSEF; and (4) 

provide BSEF and its agents, including its Regulatory Services Provider, access to all 

information in connection with or related to its SEF Activity necessary for monitoring and 

enforcement of BSEF Rules. 
37

RULE 408. Disclosure Requirements; Know Your Counterparty 

Requirements

(a) With respect to Non-Cleared Swaps, Participants that are Swap Dealers or Major 

Swap Participants shall verify the status of each Counterparty as an ECP with respect to each 

Trade as provided in Part 23 of the CFTC Regulations applicable to business conduct standards 

for Swap Dealers and Major Swap Participants in their dealing with counterparties.

(b) Each Participant must comply with the disclosure requirements imposed by the 

BSEF Rules. 

RULE 409. Books and Records

RULE 409.A. Participant and Clearing Member Books and Records

(a) Each Participant, Clearing Member and market participant shall prepare and keep 

current all books, ledgers and other similar records relating to SEF Activity required to be kept 

by it pursuant to the Act, CFTC Regulations and these Rules and shall prepare and keep current 

such other books and records relating to SEF Activity and adopt such forms as BSEF may from 

time to time prescribe. Such books and records shall be made available, upon request, to BSEF, 

the CFTC, the Department of Justice or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives. 

(b) In addition to information required by subsection (a) of this Rule 409, each 

Participant, Clearing Member and market participant must comply with all applicable 

requirements of CFTC Regulation 1.35. 

(c) If a Participant cannot enter an Order or Request for Quote received from its 

Customer into the SEF Platform, the Participant must immediately create an electronic record 

that includes the account identifier that relates to the Customer Account, time of receipt, and 

terms of the Order or Request for Quote.

(d) As required by CFTC Regulation 37.404, each Participant, Clearing Member and 

market participant, as applicable, must keep records of their trading on the SEF operated by 

BSEF (including records of its or its activity in the index or instrument used as a reference price, 

the underlying commodity and related derivatives markets) and make such records available, 

upon request, to BSEF, the CFTC or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives.

(e) Each Participant, Clearing Member and market participant shall keep all books 

and records required to be kept by it pursuant to these Rules for a period of five years from the 

date on which they are first prepared unless otherwise provided in these Rules or required by 

Applicable Law. Such books and records shall be readily accessible during the first two years of 

such five-year period. During such five-year period, all such books and records shall be made 

available for inspection by, and copies thereof shall be delivered to, BSEF and its Authorized 

Representatives upon request. 
38

(f) Each Participant and Authorized Trader shall provide the NFA with the same 

access to its books and records and offices as it is required to provide BSEF under these Rules 

and Applicable Law. 

(g) BSEF may require a Participant, Clearing Member and market participant to 

furnish such information concerning the Participant or Clearing Member’s business that is 

subject to these Rules as BSEF deems necessary to enable it to perform its obligations under 

Applicable Law, including information relating to (i) Swaps executed on the SEF operated by 

BSEF and in related derivatives markets, including in the products underlying those Swaps, and 

(ii) information requested by a government agency relating to the SEF and/or BSEF’s

compliance with Applicable Law that BSEF believes is maintained by, or otherwise in the 

possession of, a Participant or Clearing Member.

(h) All data and information provided to or obtained by BSEF pursuant to this Rule 

409 shall be subject to the provisions of Rule 805.

(i) A DMA Customer can delegate the maintenance of the DMA Customer’s records 

required by CFTC Regulation 1.35 for transactions executed on BSEF to its Sponsoring Broker; 

provided, however, that the DMA Customer has an agreement with its Sponsoring Broker 

regarding the maintenance of such records. The DMA Customer shall remain ultimately 

responsible for all CFTC Regulation 1.35 recordkeeping obligations, including any records not 

covered by the agreement with its Sponsoring Broker. Notwithstanding anything to the contrary 

in this Rule 409.A, the DMA Customer shall remain directly responsible for the maintenance of 

all records set forth in Rule 409.A(d).

RULE 409.B. BSEF Books and Records

BSEF shall keep, or cause to be kept, complete and accurate books and records, including 

all books and records required to be maintained pursuant to the CEA, the CFTC Regulations or 

the BSEF Rules as required by CFTC Regulation 1.31.

RULE 410. Responsibility for Mandatory Trading

Each Participant that is a Swap Dealer or Major Swap Participant shall be responsible for 

compliance with the mandatory trading requirement under Section 2(h)(8) of the CEA and shall 

not enter into any Required Transaction outside a SEF that lists a Swap related to such Required 

Transaction.

RULE 411. Eligibility for Clearing Exempt Transactions

(a) Each Participant wishing to execute any Clearing Exempt Transaction on the SEF 

operated by BSEF must submit to BSEF documentation demonstrating its eligibility (or the 

eligibility of its relevant Client or Customer, if applicable) for a Clearing Exception (a 

“Clearing Exception Form”) required by CFTC Regulations or CFTC Staff No-Action 

Letters prior to sending an RFQ or placing an Order subject to the Clearing Exception.

(b) Each Participant must comply with the conditions of the applicable Clearing 

Exception. 
39

RULE 412. YLDVOL Forward Swap Contract Eligibility

Each Participant in compliance with Rule 534, and any other requirements applicable to 

Participants that respond to RFQs, is eligible to receive RFQs for a YLDVOL Forward Swap 

contract (Rule 1349) from other Participants and to provide responses to such RFQs; provided, 

however, that BSEF has the right to suspend a Participant’s ability to receive RFQs for a 

YLDVOL Forward Swap contract (Rule 1349) if a Participant has not placed at least one bid and 

offer for an YLDVOL Swaption Straddle eligible for the Auction Book (as defined in Chapter 

5A) during three consecutive Auctions (as defined in Chapter 5A) starting from the third Auction 

after the listing of YLDVOL Forward Swap contract (Rule 1349).

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND 

BUSINESS CONDUCT

RULE 501. Scope

This Chapter 5 prescribes Rules concerning trading practices and business conduct on the 

SEF operated by BSEF and applies to all RFQs, Orders and Trades in Swaps as defined in 

Chapter 1.

RULE 502. Procedures

(a) With respect to trading on or though the SEF Platform or subject to BSEF Rules, 

BSEF may adopt, without limitation, procedures relating to transactions in Swaps and trading on 

the SEF Platform or subject to BSEF Rules, including procedures to:

disseminate the prices of bids and offers on, and trades in, Swaps;

record, and account for, Swaps and SEF Activity and regulate 

administrative matters affecting Swaps and SEF Activity;

establish limits on the number and/or size of RFQs or Orders that may be 

submitted by a Participant through the SEF Platform or subject to BSEF Rules;

establish limits on the aggregate notional amount of Swaps that may be 

held by a Participant;

establish a limit on the maximum daily price fluctuations for any Swap 

and provide for any related restriction or suspension of trading in the Swap; and

establish minimum price quoting increments for each Swap.

(b) BSEF may, in its discretion and at any time, amend any procedures adopted 

pursuant to Rule 502(a), and will publish the amendments in a Notice to Participant or in any 

other manner determined appropriate by BSEF.
40

RULE 503. Business Days and Trading Hours

Except as provided in Rule 212 with respect to Emergencies, BSEF shall determine and 

publish a Notice to Participants listing the Business Days of the SEF operated by BSEF and the 

Trading Hours for each Swap.

RULE 504. Rule Violations

(a) It shall be an offense for a Participant, Account Manager, DMA Customer,

Authorized Trader or Supervised Person to violate any BSEF Rule regulating the conduct or 

business of a Participant or its Account Managers, Authorized Traders or Supervised Persons, 

or any agreement made with BSEF, or to engage in fraud, dishonorable or dishonest conduct, or 

in conduct which is inconsistent with just and equitable principles of trade.

(b) Participants shall assist BSEF in any investigation into potential violations of the 

BSEF Rules or, with respect to the SEF Activity, the CEA. Such assistance must be timely and 

may include, but not be limited to, producing documents, answering questions from BSEF or its 

designee, and/or appearing in connection with an investigation. 

(c) If a Participant has actual or constructive notice of a violation of BSEF Rules in 

connection with the use of the SEF operated by BSEF by a Participant, Customer, Account, 

Clearing Member or Authorized Trader and the Participant fails to take appropriate action, the 

Participant may be found to have committed an act detrimental to the interest or welfare of the 

SEF operated by BSEF.

RULE 505. Fraudulent Acts

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant shall (a) intentionally or recklessly, directly or indirectly, 

engage, or attempt to engage, in any fraudulent act or intentionally or recklessly, directly or 

indirectly, use or employ, or attempt to use or employ, any manipulative device, scheme or 

artifice to defraud, deceive, trick or mislead or intentionally or recklessly, directly or indirectly, 

engage, or attempt to engage in any other activity prohibited by CFTC Regulation 180.1(a), or 

(b) engage, or attempt to engage, in any other activity prohibited by CEA section 9(a)(2), in each 

case of (a) and (b) in connection with or related to any SEF Activity. Specifically, no 

Participant, Account Manager, DMA Customer, Authorized Trader or Supervised Person shall 

directly or indirectly, engage in front running, fraudulent trading, money passes, trading ahead of 

customers, trading against customers, accommodation trading or improper cross trading. 

RULE 506. Prohibited Transactions

RULE 506.A Fictitious or Wash Transactions 

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant that directly or indirectly effects a transaction on the SEF 

operated by BSEF shall create fictitious transactions or wash transactions or execute any Order 

with knowledge of its nature. No Person shall place or accept Orders in the same Swap where 

the Person knows or reasonably should know that the purpose of the Orders is to avoid taking a 

bona fide market position exposed to market risk (transactions commonly known or referred to 
41 

as wash sales). Orders for different accounts with common beneficial ownership that are entered 

with the intent to negate market risk or price competition shall also be deemed to violate the 

prohibition on wash trades. Additionally, no Person shall knowingly execute or accommodate 

the execution of such Orders by direct or indirect means.

RULE 506.B Pre-Arranged Transactions 

No Participant, Account Manager, DMA Customer or Authorized Trader shall engage in

a pre-arranged transaction except as permitted by Rule 516, Rule 521 or Rule 531. 

RULE 507. Pre-Execution Communications

(a) Pre-Execution Communications with respect to Swaps executed through the 

Order Book shall be prohibited except in the case of Trades executed in accordance with Rule 

521. 

(b) Pre-Execution Communications are permitted with respect to Swaps executed 

through the Request for Quote Functionality in accordance with Rule 522. 

RULE 508.A Price Manipulation 

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant shall directly or indirectly engage in any conduct that 

manipulates or attempts to manipulate the price of any Swap, including without limitation, 

engaging in activity in violation of CFTC Regulation 180.2. 

RULE 508.B Disruptive Practices 

(a) No Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person shall engage in any trading, practice or conduct that constitutes a 

“disruptive practice,” as such term is described in CEA section 4c(a)(5) or in any interpretive 

guidance issued by the CFTC, in relation to the trading of any Swap. 

(b) A Participant may post on the CLOB and submit an RFQ to the SEF Platform in 

the same Swap at the same time using the same Participant ID only as permitted by Rule 

508.B(a) and Rule 508.A. 

RULE 508.C Post-Trade Anonymity 

(a) It is prohibited to disclose, directly or indirectly, including through a third-party 

service provider, the identity of a counterparty for Cleared Swaps executed, pre-arranged or prenegotiated anonymously on or pursuant to the rules of the SEF operated by BSEF. 

 

(b) Prohibition on post-trade name give-up shall not apply to components of a 

Package Transaction that are not Cleared Swaps. 

(c) The compliance date for swaps subject to the trade execution requirement under 

section 2(h)(8) of the CEA is July 5, 2021. 
42

RULE 509. Prohibition of Misstatements

It shall be an offense to make any knowing misstatement of a material fact to BSEF, any 

SEF Official, any Board committee or SEF panel, the Compliance Department and/or agents of 

BSEF (including the Regulatory Services Provider) or any Participant or any of its Account 

Managers, Authorized Traders or Supervised Persons.

RULE 510. Acts Detrimental to Welfare of SEF

It shall be an offense to engage in any act that is detrimental to the interest or welfare of 

the SEF operated by BSEF.

RULE 511. Adherence to Law

(a) No Participant, Account Manager, Customer, Authorized Trader or Supervised 

Person shall engage in conduct in violation of the BSEF Rules, the Act, CFTC Regulations, the 

Rules of any SEF, or the rules of any DCM, DCO or SRO that has jurisdiction over such 

Participant, Account Manager, Customer, Authorized Trader or Supervised Person or, with 

respect to SEF Activity, the laws, rules or regulations of any relevant Governmental Body. 

(b) Without limiting subsection (a) of this Rule, 

each Participant that is an FCM or a Clearing Member must comply with 

all requirements of Applicable Law regarding the treatment of Customer 

funds and Customer Orders; and

each Participant, Customer or Account must comply with all margin 

requirements established by each relevant Clearing House and by each relevant Clearing 

Member, if applicable, as well as any margin requirements set forth by the CFTC or 

Applicable Law. 

RULE 512. Use of Trading Privileges

No Participant, Account Manager, DMA Customer, Authorized Trader or Supervised 

Person may use such Participant’s Trading Privileges in any way that could be expected to bring 

disrepute upon such Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person.

RULE 513. Supervision

Each Participant, DMA Customer and Account Manager shall be responsible for 

establishing, maintaining and administering reasonable supervisory procedures to ensure that its 

Authorized Traders and Supervised Persons, as applicable, comply with the BSEF Rules, the 

Act, CFTC Regulations, the Rules of any SEF, or the rules of any DCM, DCO or SRO that has 

jurisdiction over such Participant, Account Manager, DMA Customer, Authorized Traders or 

Supervised Persons or, with respect to SEF Activity, the laws, rules or regulations of any 

relevant Governmental Body, and such Participant may be held accountable for the actions of 

such Account Managers, Authorized Traders or Supervised Persons.
43

RULE 514. Misuse of the SEF Platform

Misuse of the SEF Platform is strictly prohibited. Only Swaps can be traded on the SEF 

operated by BSEF. It shall be deemed an act detrimental to the interest and welfare of the SEF 

operated by BSEF to willfully or negligently engage in unauthorized use of the SEF Platform, to 

assist any Person in obtaining unauthorized access to the SEF Platform, to trade on the SEF 

Platform without an agreement and an established account with a Derivatives Clearing 

Organization or a Clearing Member, to alter the equipment associated with the SEF Platform, to 

interfere with the operation of the SEF Platform, to intercept or interfere with information 

provided thereby, or in any way to use the SEF Platform in a manner contrary to the BSEF 

Rules.

Please see Notice to Participants 2017-2, which is posted on BSEF’s website.

RULE 515. Mishandling of Customer Orders 

Any Participant that mishandles any Customer Order is responsible for all remedial 

actions with respect to such Order.

RULE 516. Trade Cancellation, Correction, Offset and Adjustment –

General

Please see Notices to Participants 2015-1, 2016-5A, 2016-8 and 2020-1 (which address 

Error Trades intended to be corrected as set forth in Rule 516.A(c)), which are posted on BSEF’s 

website.

(a) Any Trade executed on the SEF Platform operated by BSEF or in accordance with BSEF 

Rules can be canceled, corrected, adjusted or offset only in accordance with this Rule 516. 

(b) A Participant involved in an Error Trade and acting as an Account Manager, Introducing 

Broker or FCM shall have the authority to request or consent to the cancellation, adjustment or 

offset, as applicable, of such Trade on behalf of the relevant Counterparty involved in the Trade.

(c) Timing of an Offset or Correction – Cleared Swaps

(i) For Error Trades rejected by a Clearing House for non-credit reasons, the 

Correcting Trade must be executed on the SEF operated by BSEF and submitted for 

clearing as quickly as technologically practicable after receipt of notice of the rejection 

by the Clearing House to the Clearing Members, but, in any event, no later than one hour

from the issuance of the notice.

(ii) For Error Trades accepted by a Clearing House, the Offsetting Trade 

and/or the Correcting Trade must be executed and submitted for clearing no later than 

three Business Days after the Error Trade was executed. 

(d) Timing of a Correction, Cancellation or Adjustment – Non-Cleared Swaps. Any 

correction, cancellation or adjustment of a Trade in Non-Cleared Swaps made pursuant to this 

Rule 516 shall be made no later than three Business Days after the erroneous Trade was 

discovered. 
44

RULE 516.A Notification of Action Taken and Trade Review – Cleared 

Swaps

(a) Cleared Swaps Executed on a Non-Anonymous Basis

(i) If Participants involved in a Trade agree that the Trade is an Error Trade and that 

the cancellation, correction, adjustment or offset of the Error Trade is appropriate 

and will not adversely impact market integrity, facilitate market manipulation, or 

other illegitimate activity, or otherwise violate the CEA, CFTC Regulations or 

BSEF Rules, Participants may enter into an Offsetting Trade to correct an Error 

Trade or into a Correcting Trade using functionality approved by BSEF, as 

specified in Notice to Participants 2020-1. Use of such functionality required by 

BSEF will constitute notice to the Compliance Department and BSEF permission 

to perform the actions described in Rule 516.B(a). 

(ii) For a Trade corrected pursuant to subsection (a)(i) of this Rule 516.A, the 

Compliance Department will conduct an ex post facto review of the Trade, the 

Offsetting Trade and the Correcting Trade within one Business Day of the date of 

execution of the Offsetting and the Correcting Trade. Such ex post facto review 

will include a review of the electronic audit trail of the Trade, as well as other 

facts and circumstances associated with the Trade. If BSEF makes an affirmative 

finding that such Trade was not an Error Trade, BSEF Compliance will consider 

any action appropriate under BSEF Rules. 

(iii)In the case of a Trade in Cleared Swaps executed on a non-anonymous basis, 

BSEF may, but is not obliged to, inform Participants affected by the Error Trade 

of the identity and contact information of any other Participant affected by the 

Error Trade.

(b) Cleared Swaps Executed on an Anonymous Basis

(i) To request cancellation, correction, adjustment or offset of a Trade in Cleared 

Swaps executed on an anonymous basis (“Alleged Error Trade”), a Participant 

must notify the BSEF Support Desk at 1-212-617-1530 or 

bsefdesk@bloomberg.net or by any form of written communication approved by 

BSEF by providing the Trade ID (FIT Key) of the Alleged Error and stating the 

grounds for the request as soon as possible, but no later than the end of the 

Business Day following the date of execution of the Alleged Error Trade. For 

notifications received after such date, BSEF shall have discretion as to whether to 

review the request to cancel, correct, adjust or offset the Alleged Error Trade.

(ii) The Compliance Department will review promptly the electronic audit trail of the 

Alleged Error Trade as well as any facts and circumstances associated with the 

Alleged Error Trade. If BSEF makes an affirmative finding that the Alleged Error 

Trade was an Error Trade and that the cancellation, correction, adjustment or 

offset of the Alleged Error Trade is appropriate and would not adversely impact 

market integrity, facilitate market manipulation or other illegitimate activity, or 

otherwise violate the CEA, CFTC Regulations or BSEF Rules, BSEF will 

designate such Alleged Error Trade as an “Error Trade.”
45

(iii)BSEF will inform affected Participants of the Error Trade alleged as set forth in 

subsection (b)(i) and of the next steps that the Participants must or could make. 

(iv)BSEF will not take any action with respect to an Error Trade unless the Error 

Trade is outside the No-Bust Range. BSEF will inform the affected Participants 

of the final disposition of the Error Trade. 

(v) For Trades in Cleared Swaps executed on an anonymous basis, BSEF will not 

inform Participants affected by the Error Trade of the identity and contact 

information of any other Participant affected by the Error Trade and will facilitate 

a pre-arranged Offsetting Trade or a Correcting Trade if all such Participants 

agree to or are required to enter into Trades described in Rule 516.B.

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset 

– Cleared Swaps 

(a) Participant Errors

(i) For each Error Trade cleared by a Clearing House, BSEF may, if both 

Participants agree:

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or

(B) allow the affected Participants to enter into a pre-arranged 

Offsetting Trade to offset the position on the books of the Clearing House 

that resulted from the Error Trade; and/or 

(C) if desired by the affected Participants, allow the affected 

Participants to execute a Correcting Trade, provided, however, that the 

terms of such new Trade shall not include costs or fees associated with the 

Error Trade. 

(ii) For each Error Trade rejected by a Clearing House and determined to be 

void ab initio under Rule 533 because of an operational or clerical error or omission 

made by a Participant, Counterparty or Account Manager, if both Participants agree, the 

affected Participants may enter into a pre-arranged Correcting Trade.

(iii) All BSEF Rules other than Rule 522.A shall apply to Correcting Trades 

executed by Participants pursuant to this Rule 516.B(a). 

(iv) Participants must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(a)(i)(A). 

(v) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the Correcting Trade is also rejected by the Clearing House and void ab initio, 

the affected Participants will not be provided a second opportunity to correct the Error 

Trade.

(b) System Errors
46

(i) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade cleared by a Clearing House

was the result of an error made by the SEF Platform and the Trade has been designated as 

an Error Trade, then BSEF may: 

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or

(B) direct the affected Participants to enter into a pre-arranged 

Offsetting Trade to offset the position on the books of the Clearing House 

that resulted from the Error Trade; and/or

(C) direct the affected Participants to execute a Correcting Trade , 

provided, however, that the terms of such new Trade shall not include 

costs or fees associated with the Error Trade.

(ii) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade rejected by a Clearing 

House and determined to be void ab initio under Rule 533 because of an operational or 

clerical error or omission made by the SEF Platform was the result of an error made by 

the SEF Platform, then BSEF may direct the affected Participants to enter into a prearranged Correcting Trade, provided, however, that the terms of such new Trade shall not 

include costs or fees associated with the Error Trade.

(iii) If BSEF directs affected Participants to enter into a pre-arranged Trade in 

accordance with sub-section (i)(B) above, the affected Participants shall enter into such 

pre-arranged Trade.

(iv) All BSEF Rules other than Rule 522.A shall apply to Correcting Trades

executed by Participants pursuant to this Rule 516.B(b).

(v) Notwithstanding anything to the contrary in this Rule 516(B)(b), BSEF 

reserves the right to correct an Error Trade resulting from an error made by the SEF 

Platform by any means BSEF deems appropriate. 

(vi) If BSEF is unable to determine how to correct the Error Trade, BSEF may 

either not fix the error, or it may seek guidance on how to address the error from the 

affected Participants. Any such guidance may not be implemented without consent from 

both Participants.

(vii) Participant must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(b)(i)(A). 

(viii) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the Correcting Trade is also rejected by the Clearing House and void ab initio, 

the affected Participants will not be directed to enter into another Trade to correct the

Error Trade.
47

RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment –

Non-Cleared Swaps

(a) Participant Error

Except as set forth in Chapter 5A, the Participants involved in an

erroneous Trade, other than a Prime Broker Trade, may mutually agree to cancel the 

erroneous Trade or to correct or adjust the erroneous Trade. BSEF will cancel, correct or 

adjust the erroneous Trade as instructed by the affected Participants. A Prime Broker 

Trade shall be canceled in accordance with Rule 516.D.

(b) System Error

If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade, other than a Prime Broker 

Trade, was the result of an error made by the SEF Platform, then BSEF may:

(A) cancel such Trade; or

(B) if both Participants, or with respect to a Prime Broker Trade, both 

Participants and the Prime Broker, affected by the erroneous Trade agree, 

correct or adjust the price. 

RULE 516.D Prime Broker Trades

(a) A Participant that is a Counterparty to a Prime Broker Trade may request the 

cancellation of a Prime Broker Trade. The Participant must request cancellation by sending a 

cancellation message to BSEF. The cancellation message must state the UTI of the Prime 

Broker Trade, name and contact information of the Prime Broker for the Prime Broker Trade and 

the reason for cancellation. If the Prime Broker confirms the cancellation, BSEF will cancel the 

Prime Broker Trade.

(b) Subject to subsection (c) of this Rule, a Prime Broker shall have the right to 

cancel any Prime Broker Trade (i) that is executed in excess of the limit, terms or parameters

established by the Prime Broker with respect to the Prime Broker Trade, (ii) because the Prime 

Broker Trade was executed by or with a Person that was not authorized by the Prime Broker, or 

(iii) because the Prime Broker Trade was executed for an unauthorized product. The Prime 

Broker must request cancellation by sending a cancellation message to BSEF. The cancellation 

message must state the UTI of the Prime Broker Trade and the reason for cancellation. If BSEF 

determines that the cancellation satisfies the conditions of Rule 516.D(b), BSEF will cancel the 

Prime Broker Trade. 

(c) Each Prime Broker that wishes to have the ability to instruct BSEF to cancel 

Trades executed on BSEF under Rule 516.D.(b) must enter into an agreement with BSEF.

RULE 516.E Trade Cancellation and Adjustment by BSEF

(d) BSEF may adjust or cancel a Trade (i) that resulted from a market disrupting 

event, (ii) that is executed at a price that was outside the No-Bust Range, (iii) to comply with 

Applicable Law or (iv) that was intended to be cleared and was submitted to a Clearing House 
48

via a service provider but was not presented to the Clearing House for clearing due to a postexecution processing issue. Please see Notice to Participants 2016-5A, which is posted on 

BSEF’s website. 

(e) If BSEF takes action pursuant to this Rule 516.E, it will give prompt notice to 

affected Participant(s). 

RULE 516.F Trade Reporting by BSEF

BSEF will report the adjustment or cancellation of the Trade and any new Trade entered 

into pursuant to this Rule in accordance with Rule 532. 

RULE 517. Withholding Orders Prohibited

(a) Any Participant entering RFQs or Orders on the SEF operated by BSEF for its 

Customers shall not withhold or withdraw from the market any RFQ or Order, or any part of an 

RFQ or Order, for the benefit of any Person other than the Customers.

(b) A Participant must enter immediately into the SEF operated by BSEF all Orders 

or Requests for Quotes received from its Customers that are executable immediately. If a 

Participant cannot immediately enter into the SEF Platform an Order or Request for Quote 

received from its Customer, the Participant must enter the Order or Request for Quote into the 

SEF operated by BSEF as soon as practicable, and must immediately create an electronic record 

as provided in Rule 409.

RULE 518. Priority of Customers’ Orders

No Participant that is an FCM or Introducing Broker shall enter an Order into the SEF 

operated by BSEF for his own account, an account in which he has a direct or indirect financial 

interest or an account over which he has discretionary trading authority, including an Order 

allowing discretion as to time and price, when such Person is in possession of any Order in the 

same Swap for its Customer that the SEF operated by BSEF is capable of accepting.

RULE 519. Trading Against Customers’ Orders Prohibited

RULE 519.A. General Prohibition

No Person in possession of a Customer’s Order shall knowingly take, directly or 

indirectly, the opposite side of such Order for its own account, an account in which it has a direct 

or indirect financial interest, or an account over which it has discretionary trading authority.

RULE 519.B. Exceptions

The foregoing restriction shall not apply to transactions executed pursuant to Rule 531.A 

or Rule 531.B.

RULE 520. Disclosing Orders Prohibited

No Person shall disclose another Person’s RFQ or Order to buy or sell except to a 

designated SEF Official or the CFTC, and no Person shall solicit or induce another Person to 
49

disclose RFQ or Order information. No Person shall take action or direct another to take action 

based on non-public RFQ or Order information, however acquired. 

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial 

Owners

(a) A Participant that is a broker or a dealer which seeks either to execute against a 

Customer’s Order or to execute two Customers against each other through an Order Book 

following some form of pre-arrangement or pre-negotiating of such Orders must expose one side 

of the transaction for a minimum of 15 seconds to the other Participants before the second side of 

the transaction (whether for the Participant’s own account or for a second Customer) can be 

submitted for execution.

(b) Notwithstanding the foregoing clause (a), this Rule shall not apply to any DMA 

Order.

RULE 522. Execution of Orders on the SEF Platform

RULE 522.A. Required Transactions and Cleared Swaps

(a) No Participant shall execute a Required Transaction in a Swap listed on the SEF 

operated by BSEF other than as described in this Rule 522.A unless it is a Block Trade. 

(b) Request for Quote Functionality 

(i) The SEF Platform will not transmit an RFQ or an Order for a Required 

Transaction unless (x) an RFQ for a specific Swap is sent to at least three MAT Recipient 

Participants using RFQT; or (y) RFQS displays quotes from at least three MAT Recipient 

Participants.

(ii) Together with the first response from any MAT Recipient Participant, the 

SEF Platform will display to a Requesting Participant any firm Resting Quotes for the 

Swap indicated in the RFQ that are posted on an Order Book together with any responses 

to the RFQ from the MAT Recipient Participants, and such Resting Quotes will remain 

displayed until all responses to the RFQ are received or the time for response has lapsed. 

The SEF Platform will permit the Requesting Participant to execute against such firm 

Resting Quotes along with any responsive Order from a MAT Recipient Participant.

“MAT Recipient Participant” means, with respect to any Requesting Participant 

sending any RFQ via the Request for Quote functionality of the SEF Platform, a 

Participant other than the Requesting Participant that (x) is not an Affiliate of or 

Controlled by the Requesting Participant and (y) is not an Affiliate of or Controlled by 

any other MAT Recipient Participant receiving the same RFQ of the Requesting 

Participant. 

(iii) The Request for Quote Functionality will provide each Participant with 

equal priority in receiving RFQs, transmitting and displaying responses and accepting 

resulting Orders. 

(c) Anonymous CLOB for Cleared Swaps
50

Only firm bids and offers can be posted on the CLOB. Firm bids or offers may be 

posted on the CLOB for Cleared Swaps only by a Participant that is a member of the applicable 

Clearing House, by a Participant that has a clearing account with a Clearing Member as set forth 

in Rule 533(b), or by a Participant in the name of an Account or Customer that has a clearing 

account with a Clearing Member as set forth in Rule 533(b). Bids and offers posted on the 

CLOB for Cleared Swaps are anonymous and will be matched on a price/time priority basis.

BSEF shall not disclose the names of Participants or Counterparties for a Trade executed on the 

CLOB and it shall be a violation of the Rules for a Participant or Counterparty to ascertain or 

attempt to ascertain the name of the Participant or Counterparty that is on the opposite side of a 

Trade executed on the CLOB.

RULE 522.B. Permitted Transactions

The following execution methods are available for Permitted Transactions:

(a) Disclosed Order Book for Permitted Transactions in foreign exchange Swaps;

(b) Anonymous CLOB for Permitted Transactions in rate and credit Swaps that are 

Cleared Swaps;

(c) Disclosed CLOB for Permitted Transactions in rate and credit Swaps that are 

Non-Cleared Swaps;

(d) RFQS for rate, credit, non-deliverable forwards; 

(e) RFQT for all Swaps; and 

(f) Auction for a YLDVOL Swaption Straddle as defined in Chapter 5A. 

RULE 522.C. Package Transactions 

(a) Other than as set forth in Rule 522.C(b), a Package Transaction or a component of 

a Package Transaction that is a Required Transaction must be executed as provided in Rule 

522.A. 

(b) A Covered Package Transaction or a component of a Covered Package 

Transaction that is a Required Transaction may be executed using RFQT in accordance with 

CFTC Rule 37.9(d) or No-Action Letter 22-15, which expires November 15, 2025.

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption

No Participant shall enter into a Clearing Exempt Transaction unless it (or its Account or 

Customer) or its Counterparty can claim a Clearing Exception with respect to such Clearing 

Exempt Transaction. An Order for a Clearing Exempt Transaction will be rejected if an 

applicable Clearing Exception Form is not on file with BSEF. 

RULE 522.E. Block Trades in Swaps 

(a) Block Trades in Swaps may be executed using the Request for Quote 

Functionality and reported to an SDR as set forth in BSEF Rule 532(d).
51 

(b) Each Counterparty to a Block Trade must be an ECP. 

(c) The aggregation of Orders for different accounts to satisfy the Minimum Block 

Trade size is permissible only by a Person who is a Qualified Account Manager.

(d) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account. 

RULE 523. Trade Confirmations 

(a) BSEF will confirm each Trade at the same time as execution of the Trade. BSEF 

will provide each Counterparty to a Trade that is entered into on or pursuant to the BSEF Rules 

with a Written record of all of the terms of the Trade which shall legally supersede any previous 

agreement and serve as a confirmation of the transaction (a “Confirmation”) as soon as 

technologically practicable after the execution of a Trade. Such terms shall legally supersede 

any previous agreement and serve as a confirmation of the Trade. BSEF will not include specific 

customer identifiers for accounts included in Bunched Orders if the applicable requirements of 

CFTC Regulation 1.35(b)(5) are met.

(b) On the Confirmation BSEF will:

(i) provide the UTI for the Trade and the name of the SDR where the Trade is 

reported; 

(ii) identify the Counterparty that is a Reporting Counterparty pursuant to 

CFTC Regulation 45.8, and notify each Counterparty or its agent if the Counterparty is a 

Reporting Counterparty, using the information provided by a Participant pursuant to Rule 

524.A or 524.C; and 

(iii) if both Counterparties have equal reporting status under CFTC Regulation 

45.8, BSEF will designate the Reporting Counterparty using the following rules: 

(A) For the rates asset class, the Reporting Counterparty will be 

determined as set forth in the table below: 

A Trade that is 

not a leg of a 

Package 

Transaction

A Package 

Transaction 

defined on the 

SEF Platform as 

“curves”

A Package 

Transaction 

defined on the 

SEF Platform as 

“butterflies”

A Package 

Transaction 

defined on the

SEF Platform as 

“rolls”

Package 

Transactions 

executed via the 

BOLT 

functionality of 

the SEF Platform

in accordance 

with the ISDA 

Dodd-Frank Act 

– Swap 

Transaction 

the fixed rate 

payer on the leg 

with longer 

maturity is the 

Reporting 

the fixed rate 

payer on the leg 

with the middle 

tenor (“body”) is 

the Reporting 

the fixed rate 

payer of the far 

month leg is the 

Reporting 

on an individual 

leg basis in 

accordance with 

the ISDA DoddFrank Act –
52 

Reporting Party 

Requirements, 

the relevant 

portion of which 

is attached to this 

Rulebook as 

Annex A

Counterparty on 

all legs

Counterparty on 

all legs

Counterparty on 

all legs

Swap 

Transaction 

Reporting Party 

Requirements, 

the relevant 

portion of which 

is attached to this 

Rulebook as 

Annex A

(B) For the credit asset class, the Reporting Counterparty will be 

determined as set forth in the table below: 

A Trade that is not a 

Package Transaction

A Package 

Transaction defined 

on the SEF Platform 

as a “curve”

A Package Transaction 

defined on the SEF 

Platform as a “roll”

A Package 

Transactions defined 

on the SEF Platform 

as a “switch”

the seller of protection

is the Reporting 

Counterparty

the seller of protection 

on the leg with longer 

maturity is the 

Reporting 

Counterparty on all 

legs

the seller of protection 

on the leg with longer 

maturity is the 

Reporting 

Counterparty on all 

legs

the seller of 

protection on the 

second leg of the 

switch (as displayed 

on the SEF Platform) 

is the reporting 

counterparty for all 

legs

(C) For the foreign exchange asset class: the Reporting Counterparty is 

the liquidity provider. For a Package Transaction, Reporting Counterparty 

will be determined on an individual leg basis and is the liquidity provider. 

A “liquidity provider” is a Person that: (i) for RFQ, provided the responses 

to an RFQ that led to the reported Trade; or (ii) for an Order Book, 

provided the first quote that led to the reported Trade. 

(c) With respect to any Non-Cleared Swap, a Confirmation shall for purposes of 

Commission Regulation 37.6(b) consist of the Trade Communication and the Terms 

Incorporated by Reference. In the event of any conflict between (x) the Trade Communication 

and (y) the Terms Incorporated by Reference, the Trade Communication shall prevail to the 

extent of any inconsistency and the Trade Communication will state the same. 

“Trade Communication” shall mean a Written communication provided by 

BSEF to each Participant involved in a Trade containing the economic terms of 

the Trade agreed by the Participants on the SEF operated by BSEF. 

“Terms Incorporated by Reference” shall mean the Non-Cleared Swap 

Agreement(s) governing the Trade memorialized in the Trade Communication. 

(d) In accordance with CFTC No-Action Letter 17-17, until the effective date of 

revised CFTC regulations that establish a permanent, practicable SEF confirmation solution, 
53

Participants entering into Non-Cleared Swaps on or subject to the rules of the SEF operated by 

BSEF are not required to provide to BSEF the Non-Cleared Swap Agreement(s) governing such 

Non-Cleared Swaps prior to entering into a Trade in a Non-Cleared Swap, but must provide 

copies of the Non-Cleared Swap Agreement(s) to BSEF upon request. Upon request from the 

Commission, BSEF will request a Participant to provide copies of the applicable Non-Cleared 

Swap Agreement(s) and will provide such copies to the Commission.

RULE 524. Order Entry Requirements

Please see Notice to Participants 2017-1, which is posted on BSEF’s website.

RULE 524.A. General

Each Authorized Trader entering an RFQ or Order with respect to any Swap traded on 

the SEF operated by BSEF must include with the Order, as applicable:

(a) the Trader ID; 

(b) the Participant ID;

(c) the Legal Entity Identifier of the Participant placing the RFQ or Order;

(d) the Counterparty’s Legal Entity Identifier;

(e) the Swap description or code;

(f) the price or yield, quantity, maturity or expiration date of the Swap;

(g) side of the Order;

(h) the CTI code;

(i) Trading Accounts and other relevant account(s);

(j) a yes/no indication of whether the Counterparty is a Swap Dealer with respect to 

the Swap with respect to which the Order is placed;

(k) a yes/no indication of whether the Counterparty is a Major Swap Participant with 

respect to the Swap with respect to which the Order is placed;

(l) a yes/no indication of whether the Counterparty is a Financial Entity;

(m) a yes/no indication of whether the Counterparty is a U.S. person; 

(n) a yes/no indication that a Swap is an inter-affiliate Swap that should not be 

subject to the real-time reporting requirements; 

(o) a yes/no indication of the Clearing Exception;

(p) an indication of whether the Swap is a leg of a Covered Package Transaction;
54

(q) if applicable, other terms of a Swap that is not a Cleared Swap required by BSEF 

(e.g., type of Clearing Exception); or

(r) if the Swap is a Cleared Swap:

 (i) an indication that the Swap will be cleared; and

 (ii) the Clearing Account Identifier for a Clearing House where the Swap is 

intended to be cleared; and 

(s) if the Swap will be allocated:

(i) an indication that the Swap will be allocated; and

(ii) if the Swap is allocated pre-execution, the Legal Entity Identifier for each 

Account that will receive allocations and the Clearing Account Identifier 

for a Clearing House where each allocation is intended to be cleared.

RULE 524.B. Customer Type Indicator (CTI) Codes

Each Participant must identify each transaction submitted to the SEF operated by BSEF 

with the correct customer type indicator code (a “CTI” code). The CTI codes are as follows:

CTI 1- Transactions executed by a Participant for its own account, for an account it

controls, or for an account in which it has an ownership or financial interest. 

Applies to Trades placed by Account Managers and proprietary traders other than 

FCMs and Introducing Brokers.

CTI 2- Transactions executed for the Proprietary Account of a Participant. Applies to 

FCMs and Introducing Brokers trading for their Proprietary Accounts.

CTI 3- Orders that a Participant executes on behalf of another Participant, or for an 

account such other Participant controls or in which such other Participant has an 

ownership or financial interest. Applies to Trades placed by a DMA Customer 

using the Participant ID of the Sponsoring Broker.

CTI 4- Any transaction not meeting the definition of CTIs 1, 2 or 3. Applies to Trades 

placed by FCMs and Introducing Brokers for their Customers and anything else.

RULE 524.C. Pre-Arranged Transactions

All Trades executed in accordance with Rule 531, unless otherwise exempted by a Rule, 

must be in the form of a Written or electronic record and include in the Order ticket all 

information required by Rule 524.A.

RULE 525. Position Limits

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position limitations for speculators. Where the CFTC has established a position limit for any 
55

Swap, BSEF’s position limit for that Swap shall not be higher than such limit established by the 

CFTC. Such limits will apply only with respect to trading on the SEF operated by BSEF.

(b) Except as otherwise provided by the BSEF Rules, no Person, including a 

Participant, may hold or control a position in excess of such position limits and a Participant may 

not maintain a position in excess of such position limits for an Account or Customer if such 

Participant knows, or with reasonable care should know, that such position will cause such 

Account or Customer to exceed the applicable position limits.

(c) Position limits shall apply to (i) all positions in accounts for which any Person, by 

power of attorney or otherwise, directly or indirectly holds positions or controls trading, and (ii) 

positions held by two or more Persons acting pursuant to an expressed or implied agreement or 

understanding, as if the positions were held by, or the trading of the positions were executed by, 

a single Person.

(d) For Required Transactions, BSEF will enforce position limits only for Trades 

executed on the SEF operated by BSEF. If BSEF establishes position limits or position 

accountability levels for Permitted Transactions, BSEF will demonstrate compliance with CFTC 

Regulation 37.600 by sending the CFTC a list of Permitted Transactions traded on the SEF 

operated by BSEF.

RULE 526. Exemptions from Position Limits 

Any Person seeking an exemption from the position limits referred to in Rule 525 must 

file an application with BSEF. BSEF shall notify the applicant whether the exemption has been 

approved and whether BSEF has imposed any limitations or conditions on the exemption. The 

decision of BSEF shall be final.

RULE 527. Position Accountability 

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position accountability levels for speculators. Any Person, including a Participant, who owns or 

controls Swaps in excess of the applicable position accountability level shall provide to BSEF at 

its request any information regarding the nature of the position, trading strategy or hedging 

activities, if applicable, and if ordered by BSEF, shall not increase the size of any such position. 

(b) For purposes of this Rule, all positions in accounts for which a Person, by power 

of attorney or otherwise, directly or indirectly controls trading shall be included with the 

positions held by such Person. The provisions of this Rule shall apply to positions held by two 

or more Persons acting pursuant to an expressed or implied agreement or understanding, as if the 

positions were held by a single Person.

RULE 528. Bunched Orders and Orders Eligible for Post-Execution 

Allocation

(a) Only the following categories of Persons may place a Bunched Order to be 

allocated post-execution on the SEF Platform or that is subject to BSEF Rules:
56 

a commodity trading advisor registered with the Commission pursuant to 

the Act or excluded or exempt from registration under the Act or the CFTC Regulations, 

except for entities exempt under CFTC Regulation 4.14(a)(3);

an investment adviser registered with the SEC pursuant to the Investment 

Advisers Act of 1940 or with a state pursuant to applicable state law or excluded or 

exempt from registration under the Investment Advisers Act of 1940 or applicable state 

law or rule;

a bank, insurance company, trust company, or savings and loan 

association subject to federal or state regulation;

a foreign adviser that exercises discretionary trading authority solely over 

the accounts of non-U.S. persons, as defined in CFTC Regulation 4.7(a)(1)(iv); 

a Futures Commission Merchant registered with the Commission pursuant 

to the Act; or

an Introducing Broker registered with the Commission pursuant to the 

Act.

(b) Bunched Orders must be allocated and recorded in accordance with CFTC 

Regulation 1.35(b)(5) and the NFA’s Interpretative Notice related to Compliance Rule 2-10. 

(c) Bunched Orders may be entered using an Account Series Designation or suspense 

account number; provided, however, that:

the Order is being placed by an Account Manager for multiple accounts 

eligible for post-execution allocation; and 

an Account Manager that places a Bunched Order shall keep and must 

make available upon request of any representative of the Commission, the United States 

Department of Justice, BSEF or other appropriate regulatory agency, records sufficient to 

demonstrate that all allocations meet the standards of CFTC Regulations 1.35(b)(5)(iv) 

and to permit the reconstruction of the handling of the order from the time of placement 

by the Account Manager to the allocation to individual accounts. 

RULE 529. Orders Entered Prior to SEF Opening

Participants are prohibited from sending any Request for Quote or Order or using an

Order Book or any other facility of BSEF prior to the opening of the trading session. 

RULE 530. Identification of Authorized Traders

Each Authorized Trader shall be identified to BSEF and shall be subject to the BSEF 

Rules. It is the duty of the Participant to ensure that Authorized Trader (and Trader ID) 

registration is current and accurate at all times. Each individual must use a Trader ID to access 

the SEF operated by BSEF. In no event may a Person enter an RFQ or Order or permit the entry 
57

of an RFQ or Order by an individual using a user Trader ID other than the individual’s own 

Trader ID.

RULE 531. Pre-Arranged Transactions

RULE 531.A. Block Trades

(a) Each buy or sell Order underlying a Block Trade must (1) if the Order is entered 

by a broker, state explicitly that it is to be, or may be, executed by means of a Block Trade and 

(2) comply with any other applicable CFTC Regulations governing Block Trades.

(b) Each Person transacting a Block Trade shall be a Participant and shall comply 

with all applicable BSEF Rules other than those which by their terms only apply to trading 

through the SEF Platform.

(c) Each Counterparty to a Block Trade must be an ECP.

(d) A Block Trade executed outside the SEF Platform by a Participant must be 

reported to the SEF operated by BSEF. A Block Trade must be reported to the SEF operated by 

BSEF by one Counterparty (or a Participant acting on behalf of such Counterparty) and 

confirmed by the other Counterparty (or a Participant acting on behalf of such Counterparty) as 

soon as practicable after its execution, but may not be submitted any later than 10 minutes after 

the execution of the Block Trade. Each Block Trade must state the time of execution to the 

nearest millisecond. BSEF shall have the right not to accept any transaction that does not satisfy 

the conditions set forth in this Rule.

(e) BSEF will review the information submitted by the Participant(s) for the Block 

Trade and will report the Block Trade as required by Part 43 and Part 45 of the CFTC 

Regulations if the details are complete and accurate in accordance with this Rule. A Participant 

that executes a Bunched Order as a Block Trade must comply with Rule 524.C. A Participant 

that executes a Bunched Order as a Block Trade must provide BSEF with the allocation 

information as soon as practicable. 

(f) Block Trades shall not trigger unexecuted Orders.

(g) Each Participant or Account Manager that is a party to a Block Trade or executes 

a Block Trade on behalf of its Accounts or Customers must comply with the recordkeeping 

requirements set forth in Rule 409.A(c). Upon request by BSEF, such Participant shall produce 

satisfactory evidence, including the order ticket referred to in the preceding sentence, that the 

Block Trade meets the requirements set forth in this Rule 531.A.

(h) Any Block Trade in violation of these requirements shall constitute conduct 

which is inconsistent with just and equitable principles of trade. 

(i) The aggregation of Orders for different accounts in order to satisfy the Minimum 

Block Trade size is permissible only by a Person who is a Qualified Account Manager.

(j) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 
58 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account. 

(k) Please see Notice to Participants 2014-3, which is posted on BSEF’s website. 

RULE 531.B. Trade Correction 

 If permitted by Rule 516, two Participants may pre-arrange a Trade correcting an error. 

RULE 531.C. Covered Package Transactions and Permitted Transactions

(a) Two Participants may pre-arrange a Covered Package Transaction subject to 

BSEF Rules outside the SEF Platform; provided, however, that each component of such

Covered Package Transaction that is a Required Transaction must be executed on the SEF 

Platform via the Request for Quote Functionality. 

(b) Two Participants may pre-arrange a Permitted Transaction subject to BSEF Rules 

outside the SEF Platform, provided, however, that such Permitted Transaction must be 

executed on the SEF Platform via the Request for Quote Functionality. 

RULE 532. Reporting to SDR 

(a) BSEF will report each Trade to an SDR of BSEF’s choice as soon as 

technologically practicable after the execution of such Trade. For Cleared Swaps, BSEF will 

report all real-time data required by Part 43 of the CFTC Regulations and all creation data 

required by Part 45 of the CFTC Regulations. Until the expiration date of CFTC No-Action 

Letter 17-17, for Non-Cleared Swaps, BSEF will report all real-time data required by Part 43 of 

the CFTC Regulations and all primary economic terms data required by Part 45 of the CFTC 

Regulations, as well as any confirmation data that is readily available and collected by BSEF. 

(b) The Reporting Counterparty designated in accordance with subsection (b) of Rule 

523 shall comply with all reporting obligations set forth in Part 45 of the CFTC Regulations 

applicable to a Reporting Counterparty including reporting Trade allocations. 

(c) BSEF will report the actual notional or principal amount of a Block Trade to the 

appropriate SDR as set forth in Part 43 and Part 45 of the CFTC Regulation. 

(d) BSEF will report any Trade that is a Block Trade as a “block trade” for purposes 

of Part 43 of CFTC Regulations. 

(e) Each Participant that is the Reporting Counterparty, or an Account Manager or 

broker for a Reporting Counterparty shall review the Trade details as soon as technologically 

practicable upon transmission of the Trade details to the Participant. The non-reporting 

counterparty shall report any errors in such Trade details to the Reporting Counterparty as soon 

as technologically practicable. The Reporting Counterparty shall report all errors in such Trade 

details to BSEF as soon as technologically practicable after finding or being made aware of any 

error or omission in the data as reported and/or maintained by the relevant SDR. BSEF shall 

then submit the corrected data to the relevant SDR. 
59

(f) No Person, including BSEF, shall submit or agree to submit a cancellation or 

correction for the purpose of re-reporting Swap transaction and pricing data in order to gain or 

extend a delay in public dissemination of accurate Swap transaction or pricing data or to 

otherwise evade the reporting requirements in Part 43 of the CFTC Regulations.

(g) BSEF will report all Trades to DTCC Data Repository (U.S.) LLC.

RULE 533. Cleared Swaps

(a) Each Cleared Swap shall be cleared through the Clearing House indicated in the 

Swap Specification in accordance with the CEA and the CFTC Regulations.

(b) For each Cleared Swap a Participant expects to enter into via the SEF Platform or 

subject to BSEF Rules, the Participant or an Account or Customer of the Participant must 

establish a clearing account with the Clearing House or with a Clearing Member of the Clearing 

House, in each case, designated in the Swap Specification for such Cleared Swap. 

(c) All Trades in Cleared Swaps by a Participant or its Account or Customer must be 

guaranteed to the Clearing House by a Clearing Member following the Clearing Member’s 

acceptance of such Trade for clearing.

(d) BSEF shall submit each Trade to the Clearing House specified in the Swap 

Specifications. If BSEF receives a notice from the Clearing House rejecting a Trade for clearing, 

such Trade is void ab initio. Please see Notice to Participants 2016-8, which is posted on BSEF’s 

website.

(e) BSEF will provide each Clearing Member with tools to screen each Order or RFQ 

in Cleared Swaps based on criteria established by such Clearing Member. If an Order or an RFQ 

fails to satisfy the criteria established by the Clearing Member, BSEF will reject the Order or 

will not allow the RFQ to be sent. 

(f) If manual affirmation of a Trade in Cleared Swaps is required prior to 

presentation of the Trade to a Clearing House, a Participant must affirm the Trade within 5 

minutes after the execution of the Trade. 

RULE 534. Non-Cleared Swaps

(a) Any Participant that is a Swap Dealer or Major Swap Participant, or if neither 

Counterparty is a Swap Dealer or Major Swap Participant, the Participant that is the Reporting 

Counterparty, that places an Order or sends or responds to an RFQ with respect to a Non-Cleared 

Swap shall ensure that there is a Non-Cleared Swap Agreement between the Participant or its 

Account or Customer, as applicable, and the prospective Counterparty to such Swap prior to 

placing such Order or sending or responding to such RFQ. Both Participants involved in 

execution of a Non-Cleared Swap (whether in a principal capacity or in their capacity as agents 

on behalf of their respective Accounts or Customers) shall, upon the request of BSEF, make 

available to BSEF any terms of such Non-Cleared Swap that are not reflected in the applicable 

Swap Specification and shall comply with Order entry requirements for Non-Cleared Swaps that 

BSEF shall establish from time to time. 
60

(b) Each Participant involved in a Prime Broker Trade must notify the Prime Broker 

as soon as technologically possible of each Prime Broker Trade executed pursuant to the Rules 

of BSEF to which the Prime Broker is a Counterparty, and provide to the Prime Broker the 

Confirmation for the Prime Broker Trade issued by BSEF.

RULE 535. Risk Controls

(a) BSEF may, in its sole discretion, reject any RFQ or Order or Block Trade placed 

or reported on the SEF Platform if such RFQ or Order or Block Trade is in violation of any 

BSEF Rule or Applicable Law.

(b) BSEF shall have the right to take any action to reduce the potential of market 

disruption, including market restrictions that pause or halt trading in market conditions 

prescribed by BSEF if such action is in the best interest of the swap markets. 

(c) BSEF shall have the right in its sole discretion to cancel Trades executed at prices 

outside the No-Bust Range. “No-Bust Range” shall mean the price of a Swap that is no more 

than 30% higher or lower than the prior Business Day’s Daily Settlement Price for such Swap. 

(d) If a Swap affected by any action of BSEF under this Rule 535 is fungible with, 

linked to, or a substitute for, other Swaps on the SEF operated by BSEF, BSEF may apply the 

same action to any such other Swaps.

(e) If a Swap is fungible with, linked to or a substitute for a financial instrument 

trading on another trading venue, including any trading venue regulated by the SEC (a “Linked 

Swap”), and such other trading venue placed risk controls on such financial instrument, BSEF

shall have the right to place similar risk controls on the Linked Swap. 

CHAPTER 5A. YLDVOL FORWARD SWAP SETTLEMENT PRICE AUCTION

(a) Definitions.

“YLDVOL Forward” means the YLDVOL Forward Swap Contract described in Rule 1349.

“Auction” means the Settlement Price auction conducted on the Auction Book.

“Auction Book” means an Order Book on the SEF Platform to which Participants may submit 

Orders during the Auction Queue Period for participation in the Auction.

“Auction Price” means the price calculated as set forth in Rule 1349.

“Auction Start Time” means the time on which BSEF starts applying the Auction execution 

algorithm to YLDVOL Swaption Straddles accepted into the Auction and is set for 9:30 a.m. 

Eastern Standard time on the third Wednesday of each calendar month, unless that day falls on a 

U.S. public holiday, in which case the Auction takes place on a preceding Business Day, or as 

otherwise specified by BSEF. 
61 

“Auction Queue Period” means a time period specified by BSEF prior to the Auction Start 

Time during which BSEF accepts YLDVOL Swaption Straddles for the Auction Book. 

“Failed Auction” means an event where: (a) less than three Participants submitted Eligible 

YLDVOL Swaption Straddles to the Auction Book and no Auction is conducted; or (b) less than 

three Eligible YLDVOL Swaption Straddle bids and offers were submitted to the Auction Book 

and no Auction is conducted. 

“Fixed Strike Price” means a price designated by BSEF on the Order ticket for the Auction 

Book which is the at the money strike price of an option contract listed in Rule 1318.B at the 

start of the Auction Queue Period. 

“Maximum Spread” means the difference between a YLDVOL Swaption Straddles ask price 

and bid price as set forth on the Auction Book by BSEF. BSEF, in its sole discretion, may 

modify the Maximum Spread at the beginning of the Auction Queue Period when it deems 

necessary to maintain a fair and orderly Auction. 

“YLDVOL Swaption Straddle” means an Order entered into the Auction Book by a Participant 

to simultaneously buy or sell a one month put and call option contract listed in Rule 1318.B for 

10 years USD SOFR OIS Fixed-to-Floating Swap Contract listed in Rule 1318.A for USD 100 

million notional amount at a Fixed Strike Price. The spread between the bid and the offer shall 

not exceed the Maximum Spread. 

“Settlement Price” means the price calculated as set forth in Rule 1349 and published by BSEF 

after the closing of the Auction, which shall be used for settlement of an open YLDVOL 

Forward following its expiration. 

(b) Eligible YLDVOL Swaption Straddles. The following conditions are necessary 

for a YLDVOL Swaption Straddle to be deemed eligible for inclusion in the Auction: 

1. A Participant must submit both a bid and an offer price for a YLDVOL Swaption 

Straddle. Any bid or offer pair submission that has a spread exceeding the 

Maximum Spread will be rejected by BSEF. 

2. If there are more than five Participants submitting YLDVOL Swaption Straddles 

into the Auction Book and the second highest bid (lowest offer) is higher (lower) 

than the third highest bid (lowest offer) by more than 50% of the second bid–offer 

spread, the top two bids (offers) will be rejected from the Auction. 

3. If there are less than four Participants submitting YLDVOL Swaption Straddles

into the Auction Book and the highest bid (lowest offer) is higher (lower) than the 

second highest bid (lowest offer) by more than 50% of the first maximum bid–

offer spread, the top bid (offer) will be rejected from the Auction. 

(c) YLDVOL Swaption Straddle Entry. YLDVOL Swaption Straddles for the 

Auction may only be entered into the Auction Book during the Queue Period. During the 

Auction Queue Period, BSEF will accept YLDVOL Swaption Straddles and any changes or 
62

cancellations of those Orders. Order entry cut-off time is the time specified by BSEF on the 

Auction Book.

(d) Execution. Orders in the Auction Book are not eligible for execution until the 

Auction Start Time. BSEF will enter all YLDVOL Swaption Straddles it receives during the 

Auction Queue Period into the Auction Book at the Auction Start Time. BSEF will not disclose 

the identity of a Participant submitting the Orders to the Auction Book prior to the execution. 

BSEF, however, will disclose the names of the counterparties to transactions executed during the 

Auction to each other following the execution of any Order during the Auction. 

BSEF will execute Trades on the Auction Book using an algorithm that matches the highest bid 

against the lowest offer, with the resulting price for each matched pair being the price of the 

matched bid or offer entered first into the Auction Book, until all possible matches have been 

executed. If no bid is equal or greater than an offer, BSEF will not execute any trades. 

Notwithstanding anything to the contrary in these Rules, trades executed on the Auction Book 

may be canceled only in BSEF’s sole discretion.

In the case of a Failed Auction, the Settlement Price will be calculated based on the Fallback 

Settlement Price Determination as set forth in Rule 1349.

(e) Unexecuted Orders. Following the conclusion of the Auction, BSEF will cancel 

any unexecuted Orders.

(f) Settlement of Auction Trades. A Participant shall notify BSEF if it does not 

intend to settle a trade executed by BSEF on the Auction Book.

(g) Deviation from Standard Auction Process. Upon reasonable notice to 

Participants, BSEF, in its sole discretion, may deviate from the standard manner of conducting 

the Auction described in this Rule 5A-1, including adjusting the Auction Queue Period or the 

Auction Start Time, modifying any time periods described in this Rule 5A-1, when it believes it 

is necessary in the interests of a fair and orderly market. BSEF will maintain records of all 

determinations to deviate from the standard manner of conducting the Auction and will 

periodically review these determinations for consistency with the interests of a fair and orderly 

market, and in accordance with applicable CFTC rules.
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CHAPTER 6. DISCIPLINARY RULES

RULE 601. General

(a) Any Person is subject to this Chapter 6 if it is alleged to have violated, to have 

aided and abetted a violation, to be violating, or to be about to violate, any BSEF Rule or any 

provision of Applicable Law for which BSEF possesses jurisdiction. 

(b) BSEF, through the Compliance Department, the Disciplinary Panel and the 

Appeals Panel, will conduct inquiries, investigations, disciplinary and appeals proceedings, 

summary impositions of fines, summary suspensions or other summary actions in accordance 

with this Chapter 6.

(c) No SEF Official will interfere with or attempt to influence the process or 

resolution of any inquiry, investigation, disciplinary or appeals proceeding, summary imposition 

of fines, summary suspension or other summary action. No Director will interfere with or 

attempt to influence the process or resolution of any inquiry, investigation, disciplinary or 

appeals proceeding and summary imposition of fines, summary suspension or other summary 

action, except to the extent provided under the BSEF Rules with respect to a proceeding in which 

the Director is a member of the relevant panel. 

(d) Any Person that directly or indirectly effects a transaction on the SEF operated by 

BSEF may be represented by counsel during any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary actions 

pursuant to this Chapter 6.

(e) Pursuant to this Chapter 6, BSEF may hold a Participant liable for, and impose 

sanctions against such Participant, for such Participant’s own acts and omissions that constitute a 

violation as well as for the acts and omissions of each (i) Authorized Trader of such Participant, 

(ii) Supervised Person of such Participant, (iii) other Person using the Trader ID or login 

credentials linked to the Participant or Participant ID, or (iv) other agent or representative of such 

Participant, in each case, that constitute a violation as if such violation were that of the 

Participant.

(f) Pursuant to this Chapter 6, BSEF may hold an Authorized Trader liable for, and 

impose sanctions against him or her, for such Authorized Trader’s own acts and omissions that 

constitute a violation as well as or for the acts and omissions of any other agent or representative 

of such Authorized Trader that constitute a violation as if such violation were that of the 

Authorized Trader.

(g) A Person subject to a disciplinary or appeals proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider) shall 

not knowingly make or cause to be made an ex parte communication relevant to the merits of a 

disciplinary or appeals proceeding to any member of the Disciplinary Panel or Appeals Panel

hearing such proceeding. Members of a Disciplinary Panel or Appeals Panel shall not 

knowingly make or cause to be made an ex parte communication relevant to the merits of a 
64

disciplinary or appeals proceeding to any Person subject to such proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider). 

Any Person who receives, makes or learns of any communication which is prohibited by this 

Rule shall promptly give notice of such communication and any response thereto to the 

Compliance Department and all parties to the proceeding to which the communication relates. A 

Person shall not be deemed to have violated this Rule if the Person refuses an attempted 

communication concerning the merits of a proceeding as soon as it becomes apparent the 

communication concerns the merits.

(h) In the event that the Chief Compliance Officer has a conflict of 

interest as defined in Rule 210 in respect of any matter under Chapter 6 of 

these Rules, the Chief Compliance Officer may appoint a member of the 

Compliance Department to carry out the Chief Compliances Officer’s 

duties in his or her stead with respect to that matter.

RULE 602. Inquiries and Investigation 

(a) The Compliance Department, with the assistance of a Regulatory Services 

Provider, if necessary, will conduct inquiries and, if applicable, investigations with respect to any 

matter within BSEF’s jurisdiction of which it becomes aware or which the Commission requests 

BSEF to investigate. The Compliance Department will determine the nature and scope of its 

inquiries and investigations within its sole discretion and will function independently of any 

commercial interests of BSEF. The Compliance Department’s investigation must be completed 

within 12 months of the date when the Compliance Department commenced its investigation 

unless there are mitigating factors that may reasonably justify an investigation taking longer than 

12 months, including the complexity of the investigation, the number of Participants or 

individuals involved as potential wrongdoers, the number of potential violations to be 

investigated, and the volume of documents and data to be examined and analyzed by the

Compliance Department.

(b) The Compliance Department has the authority to: 

(i) initiate inquiries and investigations;

(ii) prepare investigation reports and provide recommendations concerning 

initiating disciplinary proceedings;

(iii) prosecute alleged violations if a disciplinary proceeding has been 

authorized; and

(iv) represent BSEF on appeals of a Disciplinary Panel decision, the summary 

imposition of fines, summary suspension or other summary action.

(c) Each Participant, Account Manager, Authorized Trader, Supervised Person and 

Clearing Member:

is obligated to appear and testify and respond in Writing to requests for 

information within the time period required by the Compliance Department in connection 
65

with: (A) any BSEF Rule; (B) any inquiry or investigation; or (C) any preparation by and 

presentation during a disciplinary or appeals proceeding, summary imposition of fines, 

summary suspension or other summary action by BSEF;

is obligated to produce books, records, papers, documents or other 

tangible evidence in its, his or her possession, custody or control within the time period 

required by the Compliance Department in connection with: (A) any BSEF Rule; (B) any 

inquiry or investigation; or (C) any preparation by and presentation during a disciplinary 

or appeals proceeding, summary imposition of fines, summary suspension or other 

summary action by BSEF; and

may not impede or delay any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary action.

RULE 603. Investigative Reports

(a) The Compliance Department will maintain a Written log of all inquiries and 

investigations and their disposition. The Compliance Department will prepare a Written report 

of each inquiry and investigation, regardless of whether the evidence gathered during any inquiry 

or investigation forms a reasonable basis to believe that a violation within BSEF’s jurisdiction 

has occurred or is about to occur or whether the evidence gathered results in closing the matter 

without further action or through summary action.

(b) Any such report prepared in accordance with Rule 603(a) will include (i) the 

reasons the inquiry or investigation was initiated; (ii) a summary of the complaint, if any; (iii) the 

relevant facts and evidence gathered; (iv) the Compliance Department’s analysis, conclusions 

and recommendations; and (v) the Participant’s disciplinary history at BSEF. 

(c) For each potential respondent, the Compliance Department will recommend either 

(i) closing the investigation without further action; (ii) resolving the investigation through an 

informal disposition; or (iii) initiating disciplinary proceedings. 

RULE 604. Warning Letters

(a) The Chief Compliance Officer may issue a warning letter without the approval of 

a Disciplinary Panel in order to close an inquiry or investigation administratively.

(b) No more than one warning letter may be issued to the same Person or entity for 

the same Rule violation within a rolling 12-month period.

(c) Warning letters must contain an affirmative finding that a Rule violation has 

occurred. 

RULE 605. Review of Investigation Reports

(a) The Chief Compliance Officer will timely review each proposed investigation 

report received from the Compliance Department to determine whether a reasonable basis exists 

for finding that a violation of BSEF Rules within BSEF’s jurisdiction has occurred or is about to 

occur. Within 30 days of receipt of the investigation report the Chief Compliance Officer must 

take one of the following actions:
66

If the Chief Compliance Officer determines that additional investigation or 

evidence is needed to decide whether a reasonable basis exists to find that a violation of 

BSEF Rules within BSEF’s jurisdiction has occurred or is about to occur, the Chief 

Compliance Officer will promptly direct the Compliance Department to do at least one of 

the following:

(A) conduct further investigation; and/or

(B) gather any necessary new or additional information or evidence 

from the potential respondents.

The Compliance Department will revise the investigation report as 

necessary to reflect the additional information gathered pursuant to this paragraph (a) and 

will resubmit a revised proposed investigation report to the Chief Compliance Officer. 

(b) After receiving a completed investigation report, the Chief Compliance Officer

will determine for each potential respondent whether to authorize: 

the commencement of disciplinary proceedings because a reasonable basis 

exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has occurred 

or is about to occur and adjudication is warranted;

the informal disposition of the investigation because disciplinary 

proceedings are unwarranted, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603; or

the closing of the investigation without any action because no reasonable 

basis exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has 

occurred or is about to occur, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603.

(c) If the Chief Compliance Officer determines that disciplinary proceedings should 

be authorized pursuant to Rule 605(b)(i), the Chief Compliance Officer may in his or her 

discretion provide each potential respondent with a Written draft Notice of Charges (“Draft 

Notice of Charges”) which shall contain all information required pursuant to Rule 607.

(d) The Draft Notice of Charges must be accompanied by a Written notice that shall 

inform the potential respondent:

that an investigation report has been completed by BSEF’s Compliance 

Department;

that a Notice of Charges will be served, in accordance with Rule 608, 10 

business days, as defined in CFTC Regulation 40.1, after receipt of the Written notice;

that a settlement offer may be submitted pursuant to Rule 612; and

of the respondent’s right to a hearing if a Notice of Charges is served in 

accordance with Rule 608. 
67

RULE 606. [Reserved]

RULE 607. Notice of Charges

(a) If the Chief Compliance Officer authorizes disciplinary proceedings pursuant to 

Rule 605(b)(i), the Compliance Department will prepare, and serve in accordance with Rule 608, 

a Notice of Charges.

(b) A Notice of Charges will:

state the acts, practices or conduct that the respondent is alleged to have 

engaged in;

state the BSEF Rule or provision of Applicable Law alleged to have been 

violated or about to be violated;

state the proposed sanctions;

advise the respondent of its right to a hearing;

state the period of time within which the respondent can request a hearing 

on the Notice of Charges, which will not be less than 20 days after service of the Notice 

of Charges;

advise the respondent that any failure to request a hearing within the 

period stated, except for good cause, will be deemed to constitute a waiver of the right to 

a hearing; 

advise the respondent that any allegation in the Notice of Charges that is 

not expressly denied will be deemed to be admitted; and

advise the respondent of its right to be represented by legal counsel or any 

other representative of its choosing (other than any member of the Disciplinary Panel or 

any Person substantially related to the disciplinary proceedings such as a material witness 

or other respondent) in all succeeding stages of the disciplinary process.

RULE 608. Service of Notice of Charges

Any Notice of Charges or other documents contemplated to be served pursuant to this 

Chapter 6 may be served (and service shall be deemed complete) upon the respondent either 

personally or by leaving the same at his or her place of business, or by tracked delivery via 

reputable overnight courier, or by deposit in the United States mail, postage prepaid, via 

registered or certified mail addressed to the respondent at the address as it appears on the books 

and records of BSEF.

RULE 609. Answer to Notice of Charges

(a) If the respondent determines to answer a Notice of Charges, the respondent must 

file answers within 20 days after being served with such notice, or within such other time period 

determined appropriate by the Chief Compliance Officer.
68

(b) To answer a Notice of Charges, the respondent must in Writing:

specify the allegations that the respondent denies or admits;

specify the allegations that the respondent does not have sufficient 

information to either deny or admit;

specify any specific facts that contradict the Notice of Charges;

specify any affirmative defenses to the Notice of Charges; and

sign and serve the answer on the Chief Compliance Officer.

(c) Any failure by the respondent to timely serve an answer to a Notice of Charges 

will be deemed to be an admission to the allegations in such notice. Any failure by the 

respondent to answer one or more allegations in a Notice of Charges will be deemed to be an 

admission of that allegation or those allegations. Any allegation in a Notice of Charges that the 

respondent fails to expressly deny will be deemed to be admitted. A statement of a lack of 

sufficient information shall have the effect of a denial of an allegation. A general denial by the 

respondent, without more, will not satisfy the requirements of paragraph (b) above.

RULE 610. Admission or Failure to Deny

(a) If respondent admits or fails to deny any of the charges, the Chief Compliance 

Officer may find that the violations alleged in the Notice of Charges for which the respondent 

admitted or failed to deny any of the charges have been committed. The Chief Compliance 

Officer then must take the following action:

(i) impose a sanction for each violation found to have been committed; and

(ii) notify the respondent in Writing of any sanction to be imposed and advise 

the respondent that it may request a hearing on such sanction within a specified period of 

time.

(b) If a respondent fails to request a hearing within 20 days as specified in the notice

described in 610(a)(ii), the respondent will be deemed to have accepted the sanction and will 

have waived any right to appeal such sanctions.

RULE 611. Denial of Charges and Right to a Hearing

In every instance where a respondent has denied a charge, the respondent shall have a 

right to request a hearing before the Disciplinary Panel. Except for good cause, the hearing must 

be limited to only those denied charges for which a hearing has been requested.

RULE 612. Settlements

(a) Any offer of settlement should contain proposed findings and sanctions and be 

signed by a potential respondent/respondent and submitted to the Chief Compliance Officer. A 

potential respondent/respondent may offer to settle disciplinary proceedings without admitting or 

denying the findings contained in a Draft Notice of Charges or a Notice of Charges, but must 
69

accept the jurisdiction of BSEF over it and over the subject matter of the proceedings and 

consent to the entry of the findings and sanctions imposed. 

(b) A potential respondent may at any time within 10 business days, as defined in 

CFTC Regulation 40.1, of receipt of the Draft Notice of Charges specified in Rule 605, propose 

in Writing an offer of settlement to anticipated disciplinary proceedings. The Chief Compliance 

Officer must review an offer of settlement received pursuant to this paragraph (b) within 30 

business days, as defined in CFTC Regulation 40.1, after receipt of the offer of settlement. The 

Chief Compliance Officer shall have discretion and be authorized to accept or reject an offer of 

settlement for $25,000 or less on behalf of BSEF. The Chief Compliance Officer shall also have 

the discretion and be authorized to convene and forward the offer of settlement to the 

Disciplinary Panel with a recommendation on whether to accept or reject the offer of settlement. 

The potential respondent may withdraw such offer of settlement at any time before acceptance 

by the Chief Compliance Officer, but may not withdraw such offer of settlement at any time

after acceptance by the Chief Compliance Officer.

(c) A respondent may at any time after receipt of a Notice of Charges, but before 

disciplinary proceedings have concluded, propose in Writing an offer of settlement to instituted 

disciplinary proceedings. If a respondent submits an offer of settlement after being served a 

Notice of Charges pursuant to Rule 608, the Chief Compliance Officer will forward the offer of 

settlement to the Disciplinary Panel with a recommendation on whether to accept or reject the

offer of settlement. The Disciplinary Panel must review an offer of settlement received pursuant 

to this paragraph (c) or paragraph (b) above within 90 business days, as defined in CFTC 

Regulation 40.1, after the receipt of the offer of settlement by the Chief Compliance Officer

unless an extension was agreed by the respondent in Writing. The respondent may withdraw

such offer of settlement at any time before acceptance by the Disciplinary Panel, but may not

withdraw such offer of settlement at any time after acceptance by the Disciplinary Panel. The 

Disciplinary Panel may review the offer of settlement and determine whether to accept or reject 

the offer of settlement in person, by means of telephone conference or in Writing.

(d) The Chief Compliance Officer or the Disciplinary Panel may accept an offer of 

settlement received pursuant to paragraph (b) or (c) of this Rule, respectively, but may not alter 

the terms of a settlement offer unless the potential respondent/respondent agrees. 

(e) If an offer of settlement is accepted by the Chief Compliance Officer or the 

Disciplinary Panel, a Written decision shall be issued by the Chief Compliance Officer or the 

Disciplinary Panel, as applicable, specifying: 

the Rule violations the Compliance Department/it has reason to believe 

were committed, including the basis or reasons of its conclusions;

any sanction to be imposed, which must include full customer restitution 

where customer harm has been demonstrated; and 

if applicable, that the potential respondent/respondent has accepted the 

sanctions imposed without either admitting or denying the Rule violations.
70

(f) In the event that the Disciplinary Panel accepts an offer of settlement without the 

agreement of the Compliance Department, the Written decision must adequately support such 

acceptance. 

(g) If an offer of settlement is accepted pursuant to this Rule and the related Written 

decision becomes final, the respondent’s submission of the offer of settlement will be deemed to 

constitute a waiver of the right to notice, opportunity for a hearing and review and appeal under 

these Rules.

(h) If an offer of settlement of a potential respondent/respondent is not accepted by 

the Chief Compliance Officer or the Disciplinary Panel, pursuant to paragraph (b) or (c) of this 

Rule, respectively, fails to become final or is withdrawn by the potential respondent/respondent, 

the matter will proceed as if the offer of settlement had not been made and the offer of settlement 

and all documents relating to it will not become part of the record. Neither a potential 

respondent/respondent nor the Compliance Department may use an unaccepted offer of 

settlement as an admission or in any other manner at a hearing of disciplinary proceedings. 

RULE 613. Disciplinary Panel

(a) The Disciplinary Panel is responsible for adjudicating disciplinary cases pursuant 

to a Notice of Charges authorized by the Chief Compliance Officer.

(b) Each Disciplinary Panel shall be composed of three individuals selected by the 

Chief Compliance Officer. Except in cases concerning the timely submission of accurate 

records, each Disciplinary Panel shall consist of at least one individual who would not be 

disqualified from serving as a Public Director, who shall chair the Disciplinary Panel. No 

member of the BSEF Compliance Department or Person involved in adjudicating any other stage 

of a proceeding shall participate in a Disciplinary Panel for such proceeding. 

(c) A respondent may seek to disqualify any individual on the Disciplinary Panel for 

the reasons identified in the BSEF Rules or for any other reasonable grounds, by serving Written 

notice on the Chief Compliance Officer. By not filing a request for disqualification within 10

days, the respondent will be deemed to have waived any objection to the composition of a 

Disciplinary Panel. The Chief Compliance Officer of BSEF will decide the merits of any request 

for disqualification within his or her sole discretion. Any such decision will be final and not 

subject to appeal.

RULE 614. Convening Disciplinary Proceeding Hearings

(a) All disciplinary proceedings (except for summary impositions of fines pursuant to 

Rule 621) will be conducted at a hearing before the Disciplinary Panel. A hearing will be

conducted privately and confidentially. Notwithstanding the confidentiality of hearings, the 

Disciplinary Panel may appoint an expert to attend any hearing and assist in deliberations if such 

expert agrees to be subject to an appropriate confidentiality agreement. 

(b) After reasonable notice to each respondent, the Disciplinary Panel will promptly 

convene a hearing to conduct the disciplinary proceedings with respect to such respondent. 

Parties to a disciplinary proceeding include each respondent and the Compliance Department 

including BSEF enforcement staff. 
71

(c) The chairperson of the Disciplinary Panel may continue, adjourn or otherwise 

conduct the hearing, as he or she may deem appropriate. The chairperson of the Disciplinary

Panel will determine all procedural and evidentiary matters, including the admissibility and 

relevance of any evidence proffered. In determining procedural and evidentiary matters, the 

chairperson of the Disciplinary Panel will not be bound by any evidentiary or procedural rules or 

law. Once admitted during the hearing, the Disciplinary Panel may consider, and attach the 

weight it believes appropriate to, evidence or other materials. The Chief Compliance Officer of 

BSEF, or its designee, will provide guidance to the chairperson of the Disciplinary Panel on the 

conduct of the hearing.

(d) Except for procedural and evidentiary matters decided by the chairperson of the 

Disciplinary Panel pursuant to paragraph (c) above and Rule 616, unless each respondent 

otherwise consents, the entire Disciplinary Panel must be present during the entire hearing and 

any related deliberations.

RULE 615. Respondent Review of Evidence

(a) Prior to the commencement of a Disciplinary Panel hearing, each respondent will 

be given the opportunity to review all books, records, documents, papers, transcripts of 

testimony and other tangible evidence in the possession or under the control of BSEF that the 

Compliance Department will use to support the allegations and proposed sanctions in the Notice 

of Charges or which the chairperson of the Disciplinary Panel deems relevant to the disciplinary 

proceedings. BSEF may withhold documents that:

(i) are privileged or constitute attorney work product; 

(ii) were prepared by an employee of BSEF but will not be offered as 

evidence in the disciplinary proceedings; 

(iii) may disclose a technique or guideline used in examinations, investigations 

or enforcement proceedings; or 

(iv) disclose the identity of a confidential source.

(b) If any books, records, documents, papers, transcripts of testimony, or other 

tangible evidence contain information that could adversely affect the competitive position of the 

Person providing the information or if such information might compromise other investigations 

being conducted by the Compliance Department, the Compliance Department may redact, edit or 

code such information before furnishing it to the respondent.

(c) Notwithstanding anything in paragraph (b) above to the contrary, the Compliance 

Department:

will not redact, edit or code competitive or investigative information

contained in documents in a manner that would impair the respondent’s ability to defend 

against the allegations or proposed sanctions in the notices of charges; and

will provide the respondent with access to the information and portions of 

the documents that the Compliance Department intends to rely on to support the 

allegations or proposed sanctions in the Notice of Charges.
72

(d) For purposes of this Rule 615, information that could adversely affect the

competitive position includes positions in Swaps currently held, trading strategies employed in 

establishing or liquidating positions, the identity of any Participant or Authorized Trader and the 

personal finances of the Person providing the information.

RULE 616. Conducting Disciplinary Proceeding Hearings

(a) At a hearing conducted in connection with any disciplinary proceeding, the 

Compliance Department will present its case supporting the allegations and proposed sanctions 

in the Notice of Charges to the Disciplinary Panel. If a respondent has timely filed an answer to 

the Notice of Charges in accordance with Rule 609, the respondent is entitled to attend and 

participate in the hearing.

(b) At a hearing conducted in connection with any disciplinary proceedings, the 

Disciplinary Panel or the Compliance Department and each respondent may:

present evidence and facts determined relevant and admissible by the 

chairperson of the Disciplinary Panel;

call and examine witnesses; and

cross-examine witnesses called by other parties.

(c) Any Person within BSEF’s jurisdiction who is called as a witness must participate 

in the hearing and produce evidence. BSEF will make reasonable efforts to secure the presence 

of all other Persons called as witnesses whose testimony would be relevant.

(d) If the respondent fails to file an answer, has filed a general denial, or if any or all 

of the allegations in the Notice of Charges are not expressly denied in the respondent’s answer, 

the chairperson of the Disciplinary Panel may limit evidence concerning any allegations not 

expressly denied in determining the sanctions to impose. If a respondent fails to file an answer 

but appears at the hearing, the respondent may not participate in the hearing (by calling or cross 

examining witnesses, testifying in defense, presenting evidence concerning the Notice of 

Charges, or otherwise) unless the Disciplinary Panel determines that the respondent had a 

compelling reason for failing to timely file an answer. If the Disciplinary Panel determines that 

the respondent had a compelling reason for failing to timely file an answer, the Disciplinary

Panel will adjourn the hearing and direct the respondent to promptly file a Written answer in 

accordance with Rule 609.

(e) Any Person entitled, or required or called upon, to attend a hearing before a 

Disciplinary Panel pursuant to paragraph (b)(ii) above will be given reasonable notice, confirmed 

in Writing, specifying the date, time and place of the hearing, and the caption of the disciplinary 

proceedings. BSEF will require all Participants (that are individuals), Customers, Account 

Managers, Clearing Members, Authorized Traders and Supervised Persons that are called as 

witnesses to appear at the hearing and produce evidence. BSEF will make reasonable efforts to 

secure the presence of all other Persons called as witnesses whose testimony would be relevant.

(f) If during any disciplinary proceedings the Disciplinary Panel determines that a 

reasonable basis exists to believe that the respondent violated or is about to violate a BSEF Rule
73

or a provision of Applicable Law other than the violations alleged in the Notice of Charges, the 

Disciplinary Panel may consider those apparent violations after providing the respondent with an 

opportunity to answer the additional allegations in accordance with Rule 609. In connection 

with considering apparent violations pursuant to this paragraph (f), the Disciplinary Panel may 

request that the Compliance Department provide the Disciplinary Panel with any additional 

information.

(g) The Disciplinary Panel may summarily impose sanctions on any Participant, 

Account Manager, Authorized Trader or Supervised Person that impedes or delays the progress 

of a hearing.

(h) BSEF will arrange for any hearing conducted in connection with disciplinary 

proceedings to be recorded hearing verbatim, or substantially verbatim, in a manner capable of 

accurate transcription. If the respondent requests a copy of all or portions of the recording of a 

hearing, the chairperson of the Disciplinary Panel may within his or her sole discretion order the 

respondent to pay the costs for transcribing the recording of the hearing.

(i) As promptly as reasonable following a hearing, the Disciplinary Panel will issue a 

Written decision rendering its decision based on the weight of the evidence contained in the 

record of the disciplinary proceedings. A decision by a majority of the Disciplinary Panel will 

constitute the decision of the Disciplinary Panel.

(j) No interlocutory appeals of rulings of any Disciplinary Panel are permitted.

(k) If the respondent has requested a hearing, a copy of the hearing shall be made and 

shall become a part of the record of the proceeding. The record shall not be required to be 

transcribed unless:

(i) the transcript is requested by Commission staff or the respondent;

(ii) the decision is appealed pursuant to the BSEF Rules; or

(iii) the decision is reviewed by the Commission pursuant to section 8c of the 

Act or Part 9 of CFTC Regulations. 

In all other instances, a summary record of a hearing is permitted.

RULE 617. Decision of Disciplinary Panel

(a) The Disciplinary Panel’s Written decision must be based upon the weight of the 

evidence contained in the record of the proceeding and shall provide a copy to the respondent. 

The decision shall include:

the Notice of Charges or a summary of the charges;

the answer, if any, or a summary of the answer;

a summary of the evidence produced at the hearing or, where appropriate, 

incorporation by reference of the investigation report;
74 

a statement of findings and conclusions with respect to each charge, and a 

complete explanation of the evidentiary and other basis for such findings and conclusions 

with respect to each charge;

an indication of each specific Rule that the respondent was found to have 

violated; and 

a declaration of all sanctions imposed against the respondent, including 

the basis for such sanctions and the effective date of such sanctions. 

(b) Upon rendering a final decision by the Disciplinary Panel, BSEF shall, within 30 

days thereafter, provide a Written notice of such action to the Person against whom the action 

was taken. 

(c) The Written decision will become final 20 days after it is served on the 

respondent and a copy thereof is provided to the Compliance Department.

RULE 618. Sanctions 

(a) After notice and opportunity for hearing in accordance with the BSEF Rules, 

BSEF will impose sanctions on any Participant, Account Manager, Authorized Trader, 

Supervised Person, Account, Customer, Clearing Member or other Person using any Trader ID 

or login credentials linked to the Participant that is found to have violated or to have attempted to 

violate a BSEF Rule or provision of Applicable Law for which BSEF possesses jurisdiction. 

Subject to the limitations set forth in Rule 618(b), BSEF may impose one or more of the 

following sanctions or remedies: (i) censure; (ii) limitation on Trading Privileges, Trading 

Access or other activities, functions or operations; (iii) suspension of Trading Privileges or 

Trading Access; (iv) fine (subject to paragraph (b) below); (v) disgorgement; (vi) termination of 

Trading Privileges or Trading Access; (vii) in the event of a customer harm, full customer 

restitution, except where the amount of restitution or to whom it should be provided cannot 

reasonably be determined; or (viii) any other sanction or remedy deemed to be appropriate. All 

sanctions, including those imposed pursuant to an accepted settlement offer, shall take into 

account respondent’s disciplinary history. 

For purposes of Rule 618(a)(vii), “customer” shall have the meaning set forth in CFTC 

Regulation 1.3(k).

(b) BSEF may impose a fine of up to $100,000 for each violation of a BSEF Rule. If 

a fine or other amount is not paid within 30 days of the date that it becomes payable, then interest 

will accrue on the sum from the date that it became payable at the quoted prime rate plus three 

percent. BSEF has sole discretion to select the bank on whose quotations to base the prime rate. 

Each Participant will be responsible for paying any fine or other amount imposed on, but not 

paid by, any of its Authorized Traders, Account Managers, Supervised Persons, Accounts or 

Customers. The following schedule lists the recommended fines that BSEF may impose: 

Type of Violation Fine Per Occurrence1

1 Within a “rolling” 12-month period.
75 

First

Violation

Second

Violation

Third

Violation

Failure to provide information to BSEF as required by 

the BSEF Rules

$1000 $1500 $2500

Impeding or delaying a BSEF examination, inquiry or 

investigation undertaken pursuant to BSEF Rule 402

$1000 $1500 $2500

RULE 619. Costs

(a) Regardless of the outcome of any disciplinary proceeding, the Disciplinary Panel 

may order a respondent to pay some or all of the costs associated with the disciplinary 

proceedings that the Disciplinary Panel believes were unnecessarily caused by the respondent. 

Costs may include costs associated with the inquiry or investigation, the prosecution by the 

Compliance Department, legal and professional assistance, as well as the hearing and 

administrative costs and other expenses incurred by the Disciplinary Panel.

(b) The Disciplinary Panel may only award costs against BSEF if the Panel concludes 

that BSEF has behaved in a manifestly unreasonable manner in the commencement or conduct of 

the disciplinary proceedings in question. The Disciplinary Panel must limit any award of costs 

against BSEF to an amount that the Panel concludes is reasonable and appropriate, but does not 

exceed the respondent’s costs for external legal or other external professional assistance.

(c) The Disciplinary Panel may determine the amounts and allocation of costs in any 

manner it may deem appropriate. BSEF or the respondent will pay any costs ordered to be paid 

by it by the Disciplinary Panel within 30 days of Written notice of the amount imposed by the 

Disciplinary Panel. 

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary 

Impositions of Fines and Other Summary Actions

(a) Each respondent found by the Disciplinary Panel to have violated (or, in the case 

of a Participant, whose Authorized Trader, Supervised Person or other Person using its 

Participant ID was found to have violated) a Rule or who is subject to termination or limitation 

of Trading Privileges or Trading Access imposed pursuant to Rule 305, any summary fine 

imposed pursuant to Rule 621 or any summary action imposed pursuant to Rule 622 may appeal 

the decision within 20 days of receiving the Written decision of the Disciplinary Panel or the 

notice of summary action, as the case may be, by filing a notice of appeal with the Chief 

Compliance Officer. 

(b) BSEF may appeal all or any part of a decision of the Disciplinary Panel, including 

any sanctions that may or may not have been imposed by the Disciplinary Panel, within 20 days 

of receiving the Written Decision of the Disciplinary Panel, by filing a notice of appeal with the 

Chief Compliance Officer. 

(c) While an appeal is pending, the effect of the Written decision of the Disciplinary 

Panel or the summary action (including any sanctions, remedies or costs imposed thereby) shall 

be suspended. 
76

(d) The notice of appeal must state in writing the grounds for appeal, including the 

findings of fact, conclusions or sanctions to which the appellant objects. An appellant may 

appeal the Written decision of the Disciplinary Panel or any summary action on the grounds that:

the Written decision or summary action was arbitrary, capricious, an abuse 

of discretion, or not in accordance with these Rules; 

the Written decision or summary action exceeded the authority or 

jurisdiction of the Disciplinary Panel, the Chief Compliance Officer or BSEF; 

the Written decision or summary action failed to observe required 

procedures; 

the Written decision or summary action was unsupported by the facts or 

evidence; or 

the sanctions, remedies or costs which were imposed were inappropriate 

or unsupported by the record. 

(e) The Chief Compliance Officer will forward copies of any notice of appeal 

received by it to all parties to the disciplinary proceeding or summary action, as the case may be, 

except the appellant. On or before the 20th day after filing a notice of appeal, the appellant must 

file with the Chief Compliance Officer and serve on BSEF a brief supporting the notice of appeal 

and documents supporting the brief. On or before the 20th day after the date on which the 

appellant serves its supporting brief, the appellee must file and serve its brief in opposition. On 

or before the 10th day after the date on which the appellee serves its brief in opposition, the 

appellant must file and serve on BSEF a brief in reply. 

(f) In connection with any appeal, BSEF will furnish to the Chief Compliance 

Officer and to the respondent/appellant a transcript of the hearing, any exhibits introduced at the 

hearing, the notice of appeal and briefs filed to support and oppose the appeal. 

(g) No later than 30 days after the last submission filed pursuant to paragraph (e) of 

this Rule 620, the Chief Compliance Officer will appoint an Appeals Panel to consider and 

determine the appeal. An Appeals Panel shall be comprised of three individuals, none of whom 

shall be a member of the Compliance Department or have been a member of any Disciplinary 

Panel involved in the matters on appeal. The chairperson of the Appeals Panel shall be an 

individual who would not be disqualified from serving as a Public Director. 

(h) Within 10 days of being notified of the appointment of the Appeals Panel, an 

appellant or appellee may seek to disqualify any individual named to the Appeals Panel for the 

reasons identified in these Rules, by serving Written notice on the Chief Compliance Officer. By 

not timely filing a request for disqualification, the appellant or appellee will be deemed to have 

waived any objection to the composition of the Appeals Panel. The Chief Compliance Officer 

will decide the merits of any request for disqualification within his or her sole discretion. Any 

such decision will be final and not subject to appeal. 

(i) The Appeals Panel may hold a hearing to allow parties to present oral arguments. 

Any hearing will be conducted privately and confidentially. Notwithstanding the confidentiality 
77

of hearings, the Appeals Panel may appoint an expert to attend any hearing and assist in the 

deliberations if such individual(s) agree to be subject to appropriate confidentiality agreements. 

In determining procedural and evidentiary matters, the Appeals Panel will not be bound by 

evidentiary or procedural rules or law.

(j) The Appeals Panel will only consider on appeal the record before the Disciplinary 

Panel or, in the case of a summary action, the record considered by the Chief Compliance 

Officer, the notice of appeal, the briefs filed in support and opposition of the appeal, and any oral 

arguments of the parties. The Appeals Panel may only consider new evidence when the Appeals 

Panel is satisfied that good cause exists for why the evidence was not introduced during the 

disciplinary proceeding or when imposing the summary action. 

(k) After completing its review, the Appeals Panel may affirm, modify or reverse any 

Written decision of the Disciplinary Panel or summary action under appeal, in whole or in part, 

including increasing, decreasing or eliminating any sanction or remedy imposed, imposing any 

other sanction or remedy authorized by these Rules, or remanding the matter to the same or a 

different Disciplinary Panel for further disciplinary proceedings or for reconsideration by the 

Chief Compliance Officer in the case of summary action. The Appeals Panel may order a new 

hearing for good cause or if the Appeals Panel deems it appropriate. 

(l) As promptly as reasonably possible following its review, the Appeals Panel will 

issue a Written decision on appeal rendering its decision based on the preponderance of the 

evidence before the Appeals Panel. The decision of the Appeals Panel will include a statement 

of findings of fact and conclusions for each finding, sanction, remedy and cost reviewed on 

appeal, including each specific Rule and provision of Applicable Law that the respondent is 

found to have violated, if any, and the imposition of sanctions, remedies and costs, if any, and 

the effective date of each sanction, remedy or cost. 

(m) The Appeals Panel’s Written order on appeal (including findings of fact and 

conclusions and the imposition of sanctions, remedies and costs, and the effective date of any 

sanction, remedy and cost) will be the final action of BSEF and will not be subject to appeal 

within BSEF. 

RULE 621. Summary Imposition of Fines

(a) The Chief Compliance Officer may summarily impose a fine against a Participant, 

Account Manager, Authorized Trader, Supervised Person, Account, Customer, Clearing Member 

or other Person using any Trader ID or login credentials linked to the Participant for failing:

to make timely payments of fees, cost, charges or fines to BSEF;

to make timely and accurate submissions to BSEF of notices, reports or 

other information required by the BSEF Rules; or

to keep any books and records required by the BSEF Rules.

(b) The Compliance Department, acting on behalf of the Chief Compliance Officer, 

will give notice of any fine imposed pursuant to this Rule 621 to each Participant subject thereto. 

The notice will specify (i) the violations of the BSEF Rules for which the fine is being imposed, 
78 

(ii) the date of the violation for which the fine is being imposed and (iii) the amount of the fine. 

Within 20 days of serving the notice of fine, the Participant must either pay or cause the payment 

of the fine. The fine will become final upon the expiration of 20 days after the notice of fine is 

served on the Participant.

(c) BSEF will set the amount of any fines imposed pursuant to this Rule 621, with the 

maximum aggregate fine for each violation not to exceed $5,000 on an annual basis. Summary 

imposition of fines pursuant to this Rule 621 will not preclude BSEF from bringing any other 

action against the Participant (or any of its Account Managers, Authorized Traders or Supervised 

Persons) or Authorized Trader, as the case may be. The following schedule lists the 

recommended summary fines that BSEF or the Chief Compliance Officer may impose: 

Type of Violation Fine Per Occurrence2

First

Summary 

Fine

Second

Summary 

Fine

Third

Summary 

Fine

Failure to maintain complete and accurate books and 

records as required by BSEF Rule 409.B

$1000 $1500 $2500

Failure to provide any disclosure required by BSEF 

Rule 402

$1000 $1250 $1500

Failure to identify and maintain a current list of 

Authorized Traders as required by BSEF Rule 530

$1000 $1250 $1500

Violation of Order entry requirements pursuant to Rule 

524, including failure to provide an accurate Legal 

Entity Identifier

$1250 $1500 $1750

Violation of Trade reporting requirements $1250 $1500 $1750

Violation of the requirements to timely report a block 

trade pursuant to Rule 531.A(d)

$1250 $1500 $1750

Failure to provide information required by BSEF Rule 

301(e)

$1250 $1500 $1750

Failure to notify BSEF under Rule 516.A(a) about a 

Trade executed in error prior to a request for 

cancellation, correction or adjustment of a Trade or 

failure to comply with Rule 516.A(c) 

$1250 $1750 $2000

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities

(a) No BSEF employee that is also an employee of an affiliate of BSEF that engages 

in trading activity shall perform an investigation of such affiliated trading entity. 

(b) In the event that a Disciplinary Panel is convened for a hearing involving an 

affiliated trading entity, no Person associated with BSEF or such affiliated trading entity shall be 

a member of such Disciplinary Panel.

2 Within a “rolling” 12-month period.
79

(c) The Board must approve the issuance of disciplinary charges and acceptance of 

settlement offers involving an affiliated trading entity.

RULE 623. [Reserved]

RULE 624. Notice to the Respondent, the Regulatory Services Provider 

and the Public

BSEF will provide Written notice of disciplinary proceedings to the parties consistent 

with applicable CFTC Regulations. Whenever BSEF suspends, expels, fines or otherwise 

disciplines, or denies any Person access, to BSEF, BSEF will make the disclosures required by 

CFTC Regulations. In accordance with CFTC Regulation § 9.11, upon rendering a final decision 

regarding a disciplinary or access denial action, BSEF shall provide notice to the Commission by 

filing with NFA’s BASIC.

CHAPTER 7. ARBITRATION

RULE 701. General

(a) Except as otherwise provided in these Rules, Participants, Authorized Traders and 

any market participant that directly or indirectly effects a transaction on the SEF operated by 

BSEF shall submit to the NFA for arbitration all disputes, controversies and claims between or 

among themselves arising out of a Swap or the use of the systems or services of BSEF or the 

services, equipment, or facilities used to support such systems or services, including the SEF 

Platform and the SEF operated by BSEF (each, a “Dispute”). Any such claim against a 

Participant shall be brought within two years from the time that a cause of action has accrued. 

This Rule 701 shall in no way be construed to create a cause of action and shall not authorize an 

action that would otherwise be prohibited by these Rules or Applicable Law. In the event that 

this Rule 701 is held to be unenforceable in connection with any Dispute or a claim is deemed by 

a court of competent jurisdiction to be not arbitrable, (i) exclusive jurisdiction for any such 

Dispute will reside in any state or federal court sitting in New York County, New York, (ii) the 

Participants involved in the Dispute will be presumed to have submitted to the personal 

jurisdiction of any such court, and (iii) an action to enforce any judgment or decision of such 

court may be brought in the same court or in any other court with jurisdiction or venue. Finally, 

all Participants unconditionally and irrevocably waive any and all right to trial by jury in 

connection with any such Dispute.

(b) Notwithstanding the foregoing, this Rule 701 does not apply to Disputes between 

Participants, Authorized Traders or any market participant that directly or indirectly effects a 

transaction on the SEF operated by BSEF that: (i) such Persons are required by the Rules of a 

Self-Regulatory Organization to submit to the Dispute resolution procedures of that SelfRegulatory Organization; or (ii) such Persons have, by valid and binding agreement, committed 

to negotiate or litigate in a forum other than the forum set out in Rule 702.

RULE 702. Forum and Arbitration Rules

NFA will conduct any and all arbitrations of a type described in Rule 701 pursuant to 

NFA’s Member Arbitration Rules, as if each Participant or Authorized Trader to such arbitration 

was an “NFA Member”.
80

RULE 703. Initiating an Arbitration Claim

(a) A Participant or Authorized Trader may initiate an arbitration claim by submitting 

the required documents and fees to NFA. 

(b) A Participant or Authorized Trader submitting an arbitration claim shall provide 

notice of such claim to BSEF.

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments

All claims relating to Trade cancelations pursuant to Rule 516 shall be arbitrated in 

accordance with this Chapter 7.

RULE 705. Penalties 

(a) Any failure on the part of any Participant or Authorized Trader to arbitrate a case 

subject to arbitration, or the commencement by any such Participant or its Person of a suit in any 

court prior to arbitrating a case subject to arbitration, violates these Rules and subjects such 

Person to disciplinary proceedings pursuant to Chapter 6. 

(b) BSEF may summarily suspend, pursuant to Chapter 6, a Participant or Authorized 

Trader that fails to satisfy an arbitration award rendered in any arbitration conducted pursuant to 

this Chapter 7.

CHAPTER 8. MISCELLANEOUS

RULE 801. Anti-Money Laundering and Anti-Terrorism

(a) It is SEF policy: (1) Not to engage in or knowingly assist any money laundering 

or other illicit business, and (2) Not to engage in or knowingly assist, or be a conduit for, terrorist 

financing.

(b) Participants will be required to provide sufficient information for Participants and 

their Accounts, if applicable, for SEF to complete “know your customer” checks and to conduct 

restricted list searches, including searches against the Specially Designated Nationals and 

Blocked Persons list maintained by the Office of Foreign Assets Control of the U.S. Department 

of the Treasury.

RULE 802. Gifts and Gratuities

Except as permitted in Writing by the Chief Compliance Officer, no Participant or 

Authorized Trader shall, directly or indirectly, give or permit to be given anything of value 

(including gratuities) to a SEF Official or BSEF, including any agents or independent contractors 

of BSEF. A gift of any kind is considered a gratuity. 

RULE 803. Market Data

(a) Subject to each Participant's rights in Participant’s own data (and the data of its 

Accounts and Customers) as set forth in the Participant Documentation, BSEF shall own all 

rights, title and interest, database rights and trade secret rights in and to all data and other 
81 

information contained in, displayed on, generated by or derived from the SEF Platform or the 

SEF operated by BSEF or Trades entered into pursuant to the BSEF Rules, including Orders, 

prices and volumes (“SEF Data”).

(b) Participants and Authorized Traders shall not, and shall cause their Affiliates, 

Accounts and Customers not to, distribute, sell or retransmit SEF Data or other information 

obtained via the SEF operated by BSEF, provided that any such restrictions shall not apply to 

Participant’s own data (and the data of its Accounts and Customers).

(c) BSEF may at any time restrict or establish utilization fees in respect of SEF Data 

and/or the format and presentation thereof with respect to Participants, Customers or Accounts, 

provided that any such fees shall not apply to Participants’ use of Participant's own data (and the 

data of its Accounts and Customers). 

(d) Subject to Rule 805, BSEF may make SEF Data and other information it may 

deem appropriate available to Participants and other Persons at such times and in such manner 

(whether through the SEF Platform, a ticker, financial information services or otherwise) as it 

may consider necessary or advisable from time to time. Each Participant or other Person 

receiving any such information through the SEF operated by BSEF may redistribute such 

information only to such extent and in such manner as may be permitted by BSEF from time to 

time.

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes

BSEF shall not use for business or marketing purposes any proprietary data or personal 

information it collects or receives, from or on behalf of any person, for the purpose of fulfilling 

its regulatory obligations; provided, however, that BSEF may use such data or information for 

business or marketing purposes if the Person from whom it collects or receives such data or 

information clearly consents in Writing to BSEF’s use of such data or information in such 

manner. BSEF shall not condition access to its market(s) or market services on a Person’s 

consent to BSEF’s use of proprietary data or personal information for business or marketing 

purposes. BSEF, where necessary for regulatory purposes, may share such data or information 

with one or more SEFs or DCMs registered with the CFTC. 

RULE 805. Confidentiality

(a) All non-public information provided by a Participant or Authorized Trader to 

BSEF shall be held in confidence and shall not be made known to any other Person except as 

follows: 

with the consent of the Participant or Authorized Trader providing such 

information; 

to a Governmental Body if BSEF is requested or legally required to do so 

by such Governmental Body; 

pursuant to a lawful discovery request; 

to a Derivatives Clearing Organization of which such Participant is a 

member or in connection with the clearing of a Swap; 
82

to an SDR; 

subject to appropriate confidentiality requirements, to any Person 

providing services to BSEF, including the Regulatory Services Provider;

pursuant to an information sharing agreement or other arrangement or 

procedures in accordance with Rule 213; 

subject to appropriate confidentiality requirements, to BSEF employees, 

the Board, Board committees, Disciplinary Panels, Appeals Panels, BSEF Officers, 

attorneys, auditors, and agents, independent contractors or other Persons that have been 

engaged by BSEF, in each case, who require such information in connection with the 

discharge of their duties to BSEF; and

as otherwise permitted under these Rules.

(b) All information and data obtained or received by BSEF from inspections of 

accounting and other records will be treated as confidential by BSEF; however, this Rule does 

not supplant Rule 212 (Emergency Rules) and the Rules in Chapter 6 (Disciplinary Rules), or 

any other requirement of legal process or law.

RULE 806. Extension or Waiver of BSEF Rules

If necessary and expedient, the Chief Compliance Officer may, in its sole discretion, 

waive, or extend the time period for performing, any act or acts designated by the BSEF Rules, 

but only to the extent such waiver or extension is not inconsistent with the CEA or the CFTC 

Regulations or other applicable regulations.

RULE 807. Effect of Amendment, Repeal or New Rule 

(a) If an amendment or repeal of a BSEF Rule or adoption of a new BSEF Rule does 

not materially change the terms or conditions of a Swap and does not affect the value of open 

Swaps, then the effective date of any amendment or repeal of a Rule or adoption of a new Rule 

relating to Swaps is binding on all Swaps entered into before and after the effective date of such 

amendment, repeal or adoption and, to the extent applicable, before the effective date of such 

amendment, repeal or adoption.

(b) If an amendment or repeal of a BSEF Rule or adoption of a new Rule materially 

changes the terms or conditions of an open Swap or affects the value of open Swaps, then the 

amendment, repeal or new BSEF Rule shall not affect any open Swaps and shall be binding only 

on new Swaps listed for trading after the effective date of such amendment, repeal or adoption, 

and Swaps listed as of the effective date of such amendment, repeal or adoption with no open 

positions then in existence, unless otherwise specifically provided by the Board.

RULE 808. Swap Contract Specifications

(a) BSEF shall permit trading only in Swaps that are not readily susceptible to 

manipulation. To demonstrate to the CFTC compliance with the requirements of this Rule 

808(a), BSEF shall, at the time it submits a new Swap in advance to the CFTC pursuant to Part 

40 of the CFTC Regulations, provide the applicable information as set forth in Appendix C to 
83 

Part 38 of the CFTC Regulations – Demonstration of Compliance That a Contract is not Readily 

Susceptible to Manipulation.

(b) Notwithstanding any provision of the BSEF Rules to the contrary, the Swap 

Specification with respect to a particular Swap shall govern the applicability of the BSEF Rules 

to trading in such Swap and, in the event of any conflict between the BSEF Rules and the Swap 

Specification, the Swap Specification shall govern with respect to trading in the relevant Swap. 

(c) The Swap Specification for each individual Swap may specify:

(i) different classes of Participants eligible to trade such Swaps. Each such 

class of Participants shall have the rights and obligations specified by the Swap 

Specification for each such Swap; 

(ii) whether such Swap may be settled via cash settlement, physical delivery 

of the underlying commodity, or by any other means, as applicable; and 

(iii) the method for determining settlement prices.

(d) Each Swap contract will be published by BSEF on its website.

(e) Swap Specifications are incorporated into the Rulebook by reference and each 

Swap Specification shall constitute a BSEF Rule. 

RULE 809. Timely Publication of Trading Information 

BSEF will publish trading information as required by Core Principle 9 of Part 37, and by 

Part 16, of the CFTC Regulations. 

RULE 810. Governing Law, Jurisdiction and Dispute Resolution

(a) Unless preempted by the Act, the law of the State of New York governs the BSEF 

Rules and any Participant Documentation regardless of the laws that would otherwise apply 

under choice-of-law principles. If a Participant provides an opinion of a counsel (i) stating that 

the Participant cannot be subject to the law of the State of New York and must be subject to the 

law of the jurisdiction of the location where the Participant is organized (the “Local Law”) and 

(ii) enumerating specific provisions of these Rules or the Participant Documentation that must be 

subject to the Local Law, BSEF will specify the application of the Local Law to the enumerated 

specific provisions of these Rules and the Participant Documentation; provided, however, that in 

no event shall Local Law supersede any provision of the Act. 

(b) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 

connection with the BSEF Rules or use of the SEF operated by BSEF must be brought to 

arbitration pursuant to subsection (c) of this Rule 810 within one (1) year from the occurrence of 

the event giving rise to the dispute. This Rule 810 shall in no way create a cause of action nor 

authorize an action that would otherwise be prohibited by the BSEF Rules. 

(c) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 
84 

connection with the BSEF Rules will be settled by arbitration administered in New York County, 

New York by the American Arbitration Association (the “AAA”) under its Commercial 

Arbitration Rules. The dispute will be submitted to one arbitrator who will be appointed by the 

AAA. Any arbitrator appointed for purposes of this Rule 810 will have experience with and 

knowledge of commodities, derivatives and Swaps as listed on the National Roster of Arbitrators 

kept in the AAA’s records. Judgment on the award rendered by the arbitrator will be binding on 

the parties and may be entered in any state or federal court sitting in New York County, New 

York, and BSEF and each Participant shall be deemed to have consented to the personal 

jurisdiction of any such court. Each party to the dispute will bear its own costs and expenses in 

connection with any arbitration hereunder, as well as an equal share of the administrative fees 

and the fees of the arbitrator; provided, however, that the arbitrator will be entitled to include in 

any award a full reimbursement for the prevailing party’s costs and expenses, such party’s share 

of the administrative fees and the fees of the arbitrator, or any combination of any or all of the 

above. In the event that this Rule 810 is held to be unenforceable in connection with any dispute 

or a claim is deemed by a court of competent jurisdiction to be not arbitrable, (i) exclusive 

jurisdiction for any such dispute will reside in any state or federal court sitting in New York 

County, New York, (ii) BSEF and the Participant involved in the dispute will be presumed to 

have submitted to the personal jurisdiction of any such court, and (iii) an action to enforce any 

judgment or decision of such court may be brought in the same court or in any other court with 

jurisdiction or venue. Finally, all Participants unconditionally and irrevocably waive any and all 

right to trial by jury in connection with any such dispute.

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES

(a) NONE OF BSEF, ITS AFFILIATES OR ANY CONTRACTORS AND SUBCONTRACTORS PROVIDING SERVICES RELATED TO BSEF OR THE SEF OPERATED 

BY BSEF, NOR ANY OF THEIR RESPECTIVE SUCCESSORS OR ASSIGNS, DIRECTORS, 

OFFICERS, EMPLOYEES, AGENTS, PARTNERS, CONSULTANTS, OR LICENSORS 

(EACH, A “DISCLAIMING PARTY”) SHALL BE LIABLE TO ANY PERSON 

(INCLUDING ANY PARTICIPANT, AUTHORIZED TRADER, SUPERVISED PERSON, 

ACCOUNT, CUSTOMER, CLEARING MEMBER OR ANY MARKET PARTICIPANT 

THAT DIRECTLY OR INDIRECTLY EFFECTS A TRANSACTION ON THE SEF 

OPERATED BY BSEF) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

(INCLUDING LOSS OF PROFITS, LOSS OF USE, AND DIRECT, INDIRECT, SPECIAL, 

INCIDENTAL, CONSEQUENTIAL OR PUNITIVE DAMAGES), ARISING FROM:

ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION, TERMINATION, OR 

ANY OTHER EVENT, IN CONNECTION WITH THE FURNISHING, 

PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE 

ALL OR ANY PART OF ANY OF THE SEF OPERATED BY BSEF, SEF 

PLATFORM OR SERVICES OF THE DISCLAIMING PARTY, OR SERVICES, 

EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SEF OPERATED BY 

BSEF, SEF PLATFORM OR SERVICES, INCLUDING ELECTRONIC ORDER 

ENTRY/DELIVERY, TRADING THROUGH ANY ELECTRONIC MEANS, 

ELECTRONIC COMMUNICATION OF MARKET DATA, SEF DATA OR 

INFORMATION, WORKSTATIONS USED BY PARTICIPANTS, AUTHORIZED 
85

TRADERS, SUPERVISED PERSONS, CLEARING MEMBERS, ACCOUNTS OR

CUSTOMERS, PRICE REPORTING SYSTEMS AND ANY AND ALL 

COMMUNICATIONS NETWORKS, SOFTWARE AND HARDWARE RELATING 

THERETO;

ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION OR TERMINATION, 

OR ANY OTHER EVENT, OF THE SEF PLATFORM OR ANY SERVICES OF A 

DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR FACILITIES USED TO 

SUPPORT SUCH TRADING SYSTEMS OR SERVICES, CAUSED BY ANY THIRD 

PARTIES INCLUDING INDEPENDENT SOFTWARE VENDORS OR NETWORK 

PROVIDERS;

ANY ERRORS OR INACCURACIES IN INFORMATION PROVIDED 

BY THE DISCLAIMING PARTY OR IN ANY OF THE DISCLAIMING PARTY’S 

SYSTEMS, SERVICES, EQUIPMENT OR FACILITIES;

ANY UNAUTHORIZED ACCESS TO OR UNAUTHORIZED USE OF 

ANY OF THE DISCLAIMING PARTY’S SYSTEMS, SERVICES, EQUIPMENT OR 

FACILITIES BY ANY PERSON.

THE FOREGOING LIMITATION OF LIABILITY SHALL APPLY WHETHER A CLAIM 

ARISES IN CONTRACT, TORT, NEGLIGENCE, STRICT LIABILITY, CONTRIBUTION 

OR OTHERWISE AND WHETHER THE CLAIM IS BROUGHT DIRECTLY OR AS A 

THIRD PARTY CLAIM. 

(b) NOTWITHSTANDING SUBSECTION (a), (c) or (f) OF THIS RULE 901, IN 

NO EVENT SHALL ANY AFFILIATE OF BSEF ACTING AS SEF PLATFORM 

TECHNOLOGY SERVICES PROVIDER BE LIABLE TO ANY PERSON NOR SHALL ANY 

PERSON BRING ANY LEGAL ACTION (WHETHER IN TORT, NEGLIGENCE, OR 

BREACH OF CONTRACT) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

INCLUDING LOSS OF PROFITS, LOSS OF USE, DIRECT, SPECIAL, PUNITIVE, 

INDIRECT, INCIDENTAL OR CONSEQUENTIAL DAMAGES, ARISING FROM THE USE 

OF THE SEF OPERATED BY BSEF OR SEF PLATFORM. 

(c) WITHOUT LIMITING BSEF’S INDEMNIFICATION OBLIGATION UNDER 

RULE 902, THERE ARE NO EXPRESS OR IMPLIED WARRANTIES OR 

REPRESENTATIONS (INCLUDING WARRANTIES OF MERCHANTABILITY AND 

FITNESS FOR A PARTICULAR PURPOSE OR USE) PROVIDED BY ANY DISCLAIMING 

PARTY RELATING TO ANY SYSTEMS OR SERVICES OF ANY DISCLAIMING PARTY 

OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR 

SERVICES. 

(d) ANY DISPUTE ARISING OUT OF THE USE OF SYSTEMS OR SERVICES 

OF ANY DISCLAIMING PARTY OR SERVICES, EQUIPMENT, OR FACILITIES USED TO 

SUPPORT SUCH SYSTEMS OR SERVICES IN WHICH THE DISCLAIMING PARTY OR 

DISCLAIMING PARTIES IS A PARTY SHALL BE SUBJECT TO ARBITRATION AS 

PROVIDED IN RULE 810(c) AS IF THE DISCLAIMING PARTY WERE BSEF AND THE 

OPPOSITE PARTY OR PARTIES WERE A PARTICIPANT. ANY ACTIONS, SUITS OR 
86

PROCEEDINGS BROUGHT AGAINST ANY DISCLAIMING PARTY MUST BE 

BROUGHT WITHIN ONE YEAR FROM THE TIME THAT A CAUSE OF ACTION HAS 

ACCRUED. THIS PARAGRAPH (d) SHALL IN NO WAY BE CONSTRUED TO LIMIT A 

PARTY’S OBLIGATION TO ARBITRATE ITS CLAIM OR TO CREATE A CAUSE OF 

ACTION (OR MODIFY THE LIMITATION ON ACTIONS PROVIDED IN RULE 901(a)) 

AND SHALL NOT AUTHORIZE AN ACTION THAT WOULD OTHERWISE BE 

PROHIBITED BY THE BSEF RULES. IF FOR ANY REASON, A COURT OF COMPETENT 

JURISDICTION FINDS THAT A DISPUTE IS NOT ARBITRABLE, SUCH DISPUTE 

SHALL BE SUBJECT TO THE JURISDICTION OF EACH OF THE FEDERAL AND STATE 

COURTS LOCATED IN NEW YORK COUNTY, NEW YORK IN CONNECTION WITH 

ANY MATTERS ARISING OUT OF THIS RULEBOOK AND NO PARTY TO SUCH 

DISPUTE MAY ASSERT A DEFENSE OF FORUM NON CONVENIENS, SOVEREIGN 

IMMUNITY, ACT OF STATE OR ANALOGOUS DOCTRINES IN CONNECTION WITH 

ANY ACTION. 

(e) TO THE EXTENT PERMITTED BY APPLICABLE LAW, THE TOTAL 

COMBINED AGGREGATE LIABILITY OF BSEF SHALL NOT EXCEED (i) $20,000 FOR 

ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED ON A SINGLE DAY, (ii) 

$100,000 FOR ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED IN A 

SINGLE CALENDAR MONTH; AND (iii) $1,200,000 FOR ALL LOSSES AND CLAIMS 

FROM ALL CAUSES SUFFERED IN A SINGLE CALENDAR YEAR. ANY DISPUTED 

CLAIM PURSUANT TO THIS PARAGRAPH (e) SHALL BE SUBJECT TO ARBITRATION 

TO THE EXTENT PROVIDED IN RULE 810(c).

IN NO EVENT SHALL TOTAL COMBINED AGGREGATE LIABILITY OF BSEF FOR ALL 

CLAIMS AND CLAIMS AGAINST DISCLAIMING PARTIES ARISING OUT OF ANY 

FAILURES, MALFUNCTIONS, FAULTS IN DELIVERY, DELAYS, OMISSIONS, 

SUSPENSIONS, INACCURACIES, INTERRUPTIONS, TERMINATIONS, OR ANY OTHER 

CAUSES, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION, 

MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE 

SEF OPERATED BY BSEF OR SEF PLATFORM, OR SERVICES, EQUIPMENT OR 

FACILITIES USED TO SUPPORT BSEF, THE SEF OPERATED BY BSEF OR SEF 

PLATFORM, OR THE NEGLIGENCE OR GROSS NEGLIGENCE OF BSEF EMPLOYEES, 

AGENTS OR SUBAGENTS EXCEED $1,200,000 IN ANY GIVEN CALENDAR YEAR. 

IF THE NUMBER OF ALLOWED CLAIMS ARISING OUT OF ANY FAILURES OR 

MALFUNCTIONS ON A SINGLE DAY, SINGLE MONTH OR SINGLE YEAR CANNOT 

BE FULLY SATISFIED BECAUSE OF THE ABOVE DOLLAR LIMITATIONS, ALL SUCH 

CLAIMS SHALL BE LIMITED TO A PRO RATA SHARE OF THE MAXIMUM AMOUNT 

FOR THE RESPECTIVE PERIOD. 

(f) THE LIMITATIONS OF LIABILITY IN THIS RULE 901 SHALL NOT APPLY 

TO BSEF’S INDEMNIFICATION OBLIGATION UNDER RULE 902 AND SHALL NOT 

PROTECT ANY PARTY FOR WHICH THERE HAS BEEN A FINAL DETERMINATION 

(INCLUDING EXHAUSTION OF ANY APPEALS) BY A COURT OR ARBITRATOR TO 

HAVE ENGAGED IN FRAUD OR WILLFUL MISCONDUCT. ADDITIONALLY, THE 

FOREGOING LIMITATIONS ON LIABILITY OF THIS RULE SHALL BE SUBJECT TO 

THE CEA AND THE REGULATIONS PROMULGATED THEREUNDER, EACH AS IN 

EFFECT FROM TIME TO TIME.
87 

RULE 902. Indemnification by BSEF

BSEF, at its expense, shall indemnify, hold harmless and defend Participant against any 

loss, claim, demand or expense (including reasonable attorneys’ fees) (“Claim”) that the SEF 

Platform or any portion thereof infringes, misappropriates or violates any intellectual property or 

proprietary rights of any third party; provided, however, that BSEF shall not be required to 

indemnify Participant for any Claim to the extent it arises from or in connection with any (a) 

additions, changes or modifications by Participant to the SEF Platform, which changes were not 

provided by BSEF or any of its Affiliates, (b) use of the SEF Platform in combination with other 

products or services not provided by BSEF or its Affiliates, or (c) use of the SEF Platform other 

than as expressly permitted by the Rules or the Participant Documentation. BSEF shall control 

such defense and all negotiations relative to the settlement of any such Claim. Participant shall 

promptly provide BSEF with written notice of any claim which falls within the scope of this 

paragraph (provided that failure to provide such notice shall not relieve BSEF of its indemnity 

obligations hereunder except to the extent it is prejudiced thereby). 

CHAPTER 10. [RESERVED]

CHAPTER 11. [RESERVED]
88 

CHAPTER 12.CREDIT CONTRACTS TERMS AND CONDITIONS

RULE 1201. CDS Index Contract – North America High Yield

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating.

Ticker CDX HY CDSI [series number] [tenor]

Index CDX.NA.HY: Series 11 to current series other than series “made available to trade”

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: 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.

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade”

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
89 

RULE 1202. CDS Index Contract – North America Investment Grade

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade credit

rating

Ticker CDX IG CDSI [series number] [tenor]

Index CDX.NA.IG: Series 11 to current other than series “made available to trade”

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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.

Swap Conventions

Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade” 

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
90 

RULE 1203. CDS Index Contract – CDX Emerging Markets

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of sovereign issuers, domiciled in Latin 

America

Ticker CDX EM CDSI [series number] [tenor]

Index CDX Emerging Markets: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: 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 Traded on price

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
91 

RULE 1204. CDS Index Contract – Europe 

Contract Overview An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit 

rating.

Ticker ITRX EUR CDSI [series number] [tenor]

Index iTRAXX.EUROPE: Series 7 to current, other than series “made available to trade”

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade”

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
92 

RULE 1205. CDS Index Contract – Europe Crossover

Contract Overview The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid sub-investment 

grade European corporate entities.

Ticker ITRX XOVER CDSI [series number] [tenor]

Index iTRAXX.EUROPE CROSSOVER: Series 10 to current, other than series “made available to trade”

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade” 

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
93 

RULE 1206. CDS Index Contract – Europe HiVol

Contract Overview 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. 

Ticker HIVOL CDSI [series number] [tenor]

Index iTRAXX.EUROPE HIVOL: 

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
94 

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial 

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade 

European entities.

Ticker SNRFIN CDSI [series number] [tenor]

Index iTRAXX EUROPE SENIOR FINANCIAL

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
95 

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe 

Contract Overview An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone region plus Denmark, 

Norway, Sweden and United Kingdom that trade on Western European documentation.

Ticker ITRX SOVX WE CDSI [series number] [tenor]

Index iTRAXX SovX Western Europe: all series

Currency USD 

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House n/a; Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
96 

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial 

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade 

European entities.

Ticker SUBFIN CDSI [series number] [tenor]

Index iTRAXX EUROPE SUBORDINATED FINANCIAL : All Series

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
97 

RULE 1210. CDS Index Contract – iTraxx Japan 

Contract Overview An agreement to buy or sell protection on a basket comprised of 50 equally-weighted investment grade Japanese 

entities.

Ticker ITRX JAPAN CDSI [series number] [tenor]

Index iTRAXX.JAPAN: All Series.

Currency JPY

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
98 

RULE 1211. CDS Index Contract – iTraxx Australia 

Contract Overview An agreement to buy or sell protection on a basket comprised of 25 equally-weighted investment grade Australian 

entities.

Ticker ITRX AUS CDSI [series number] [tenor]

Index ITRAXX.AUSTRALIA : All Series

Currency USD 

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
99 

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade 

credit rating.

Ticker CDX IG CDSI [series number] 5Y

Index CDX.NA.IG: at any time, the then-current on-the-run series and the preceding series that was replaced by the current 

one

Currency USD

Quoting 

Convention and

Minimum Price 

Increment

CLOB: 0.0025 Basis Points

RFQS: 0.01 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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.

Swap Conventions 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.

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, (ie, 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.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
100 

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit 

rating.

Ticker CDX HY CDSI [series number] 5Y

Index CDX.NA.HY: at any time, the then-current on-the-run series and the preceding series that was replaced by the 

current one

Currency USD

Quoting 

Convention and

Minimum 

Increment

CLOB: $0.0025

RFQS: $0.0025

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: 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.

Swap Conventions Traded on price 

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.

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, (ie 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.

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
101 

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y

Contract 

Overview

An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit 

rating.

Ticker ITRX EUR CDSI [series number] 5Y

Index iTRAXX.EUROPE: at any time, the then-current on-the-run series and the preceding series that was replaced by the 

current one

Currency EUR

Quoting 

Convention and

Minimum 

Increment

CLOB: 0.0025 Basis Points

RFQS: 0.001 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 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.

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, (ie, 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.

Trading Hours 

and Venue

00:01 - 24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
102 

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y 

Contract Overview The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid sub-investment 

grade European corporate entities.

Ticker ITRX XOVER CDSI [series number] 5Y

Index iTRAXX.EUROPE CROSSOVER: at any time, the then-current on-the-run series and the preceding series that was 

replaced by the current one 

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

RFQS: 0.001 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: 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 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.

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, (ie 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.

Trading Hours and 

Venue

00:01 - 24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
103

RULE 1216. Option – CDS Index Contract CDX North America High Yield

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – North America High Yield. 

Index of 

Underlying Swap

CDX.NA.HY: Series 11 to current

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
104

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – North America Investment Grade. 

Index of 

Underlying Swap

CDX.NA.IG: Series 11 to current

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
105

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – CDX Emerging Markets

Index of 

Underlying Swap

CDX.EM: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
106

RULE 1219. Option – CDS Index Contract – iTraxx Europe

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – European Investment Grade. An agreement to buy or sell protection on a basket of liquid 

European based entities with an investment grade credit rating. 

Index of 

Underlying Swap

ITRAXX.EUROPE: Series 10 to current

Tenor of 

Underlying Swap

Any 

Currency EUR

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
107

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – Europe Crossover. An index comprising 75 equally weighted credit default swaps on the 

most liquid sub-investment grade European corporate entities. 

Index of 

Underlying Swap

ITRAXX.EUROPE CROSSOVER: Series 10 to current

Tenor of 

Underlying Swap

Any 

Currency EUR

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
108

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – European HiVol. 

Index of 

Underlying Swap

ITRAXX.EUROPE HIVOL: Series 10 to current

Tenor of 

Underlying Swap

Any 

Currency EUR

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

n/a; Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
109 

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA 

Contract Overview An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most liquid corporate and 

quasi-sovereign entities from Central & Eastern European, Middle Eastern and African countries.

Ticker ITRX Corp CEEMEA CDSI [series number] [tenor]

Index iTraxx CEEMEA: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
110 

RULE 1223. CDS Index Contract – LCDX

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 100 reference entities, referencing first 

lien leveraged loans CDS.

Ticker LCDX [series number] [tenor]

Index LCDX: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: 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 Traded on price

Fixed coupon payments are calculated at a spread of 250 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
111 

RULE 1224. CDS Index Contract – MCDX

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 50 CDS contracts referencing municipal 

issuers as the Reference Entity.

Ticker MCDX [series number] [tenor] 

Index MCDX: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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, (ie 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.

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
112

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker ITRAX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – iTRAXX SovX Western Europe

Index of 

Underlying Swap

iTRAXX SovX Western Europe: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

None. 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
113

RULE 1226. Option – CDS Index Contract – LCDX

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker LCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – LCDX

Index of 

Underlying Swap

LCDX: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
114

RULE 1227. Option – CDS Index Contract – MCDX

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker MCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – MCDX

Index of 

Underlying Swap

MCDX: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

Trading Hours 

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
115 

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan 

Contract Overview An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian (excluding Japanese) entities 

with primarily investment grade credit ratings that trade in the CDS market.

Ticker ITRX EXJP IG CDSI [series number] [tenor]

Index iTraxx Asia ex-Japan; all series

Currency USD

Quoting Convention

and

Minimum Increment

Minimum Increment: As agreed by counterparties

Minimum Size 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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 payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet S.A. or 

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
116 

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial 

Contract Overview An agreement to buy or sell protection on a basket of one hundred (100) equally weighted credit default 

swaps on investment grade European entities.

Ticker ITRX Europe NONFIN CDSI [series number] [tenor]

Index iTraxx Europe Non-Financial

Currency EUR

Quoting Convention

and

Minimum Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by the counterparties

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by the 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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 payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Trading Hours and Venue 00:01-24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or 

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
117 

RULE 1230. CDS Index Contract - iTraxx MSCI ESG Screened Europe Index

Contract Overview An agreement to buy or sell protection on a basket of equally weighted European entities from the iTraxx 

MSCI ESG Screened Europe Index with an MSCI ESG Rating above BBB

Ticker ITRX EUR MSCIESG CDSI [series number] [tenor]

Index iTRAXX.EUROPE MSCI ESG Screened: All Series.

Currency EUR

Quoting Convention

and

Minimum Increment

As agreed by the counterparties

Minimum Size As agreed by the 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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.

Trading Hours 00:01-24:00 Sunday-Friday; Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations 

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
118 

RULE 1231. CDS Index Contract - CDX North American Investment Grade (BBB-rated) 

Index 

Contract Overview An agreement to buy or sell protection on a basket of North American entities with an investment grade 

rating of BBB.

Ticker CDX IGBBB CDSI [series number] [tenor]

Index CDX.NA.IG.BBB: All series

Currency USD

Quoting Convention

and

Minimum Increment

As agreed by the counterparties

Minimum Size As agreed by the 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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.

Trading Hours 00:01-24:00 Sunday-Friday; Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
119 

RULE 1232. CDS Index Contract - CDX North American High Yield (Ex-BB) Index 

Contract

Contract Overview An agreement to buy or sell protection on a basket of high yield North American entities with credit ratings 

higher than BB.

Ticker CDX HYEXBB CDSI [series number] [tenor]

Index CDX.NA.HY.EXBB: All series.

Currency USD

Quoting Convention

and

Minimum Increment

As agreed by the counterparties

Minimum Size As agreed by the 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 Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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.

Trading Hours 00:01-24:00 Sunday-Friday; Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
120 

RULE 1233. CDS Index Contract – iTraxx Asia Ex-Japan IG (Restricted) Index Contract

Contract Overview An agreement to buy or sell protection on a basket comprised of thirty-eight (38) liquid Asian (excluding 

Japanese or U.S. sanctioned) entities with primarily investment grade credit ratings that trade in the CDS 

market.

Ticker iTraxx EXJPR IG CDSI [series number] [tenor]

Index iTraxx Asia ex-Japan IG Restricted; all series

Currency USD

Quoting Convention

and

Minimum Increment

Minimum Increment: As agreed by counterparties

Minimum Size 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 Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

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.

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 payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Trading Hours and 

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.; ICE Clear Europe Limited; LCH.Clearnet S.A. or 

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
121 

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker AUD SWAP vs Floating Index Maturity

Currency AUD

Floating Rate 

Index

BBSW

Floating Rate 

Index Maturity

3, 6 months

Fixed Rate Par; Custom Coupon

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Semi-Annual, Quarterly 

• Day Count Conventions: ACT/365(Fixed)

• Holiday Calendar: Australia

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets : Semi-Annual, Quarterly 

• Day Count Conventions: ACT/365(Fixed) 

• Holiday Calendar: Australia

• Fixing Calendar: Australia

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up to 

30 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 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.

Periodic 

Settlement:

Payment and 

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BBSW Fixing Date is two (2) Sydney business days prior to the Effective Date. 

Trade Start Types Spot: 

• A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot:

• Any date where the Effective Date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties.

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
122

RULE 1302. [Reserved]
123 

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker EUR SWAP vs [Floating Index Maturity]

Currency EUR

Floating Rate 

Index

EURIBOR

Floating Rate 

Index Maturity

1, 3, 6, 12 months

Fixed Rate • Par

• Custom coupon

• Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Contract Size Fixed notional; as agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

• Payment: Quarterly, Semi-Annual, Annual

• Day Count Conventions: 30/360, ACT/360, 30E/360

• Holiday Calendar: Target

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets : Monthly, Quarterly, Semi-Annual, Annual 

• Day Count Conventions: ACT/360, 30/360 

• Holiday Calendar: Target

• Fixing Calendar: Target

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A non-MAT or non-MAC EUR EURIBOR Fixedto-Floating Swap Contract can have a tenor from 28 days to up to 50 years. A MAC EUR EURIBOR Fixed-toFloating Swap Contract can have a tenor from 1 year to 30 years. 

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

This is 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.

Periodic 

Settlement:

Payment and 

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Euribor Fixing Date is 2 Target business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd, Eurex Clearing Aktiengesellschaft. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

____________________________________

* Certain EUR EURIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set 

forth in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
124

RULE 1304. [Reserved]

RULE 1305. [Reserved]

RULE 1306. [Reserved]

RULE 1307. [Reserved]
125

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SWAP OIS [Maturity]

Currency USD

Floating Rate 

Index

Fed Funds

Fixed Rate Par; Custom Coupon

Quoting 

Convention 

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Quarterly, Semi-annual, Annual

• Day Count Conventions: ACT/360, Act/365, 30/360

• Holiday Calendar: New York

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets : Quarterly, Annual

• Day Count Conventions: ACT/360 

• Holiday Calendar: New York

• Fixing Calendar: New York

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to up to 50 

years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 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.

Periodic 

Settlement:

Payment and 

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Fed Funds Fixing Date is 2 New York business days prior to the Effective Date. 

Trade Start Types Spot: 

• A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot:

• Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd.. Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
126

RULE 1309. [Reserved]

RULE 1310. [Reserved]

RULE 1311. [Reserved]

RULE 1312. [Reserved]

RULE 1313. [Reserved]
127 

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract* 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SWAP VS [Floating Index Maturity]

Currency USD

Floating Rate 

Index

LIBOR

Floating Rate 

Index Maturity

1, 3, 6, 12 months

Fixed Rate • Par

• Custom Coupon

• Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Contract Size Fixed notional, as agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

• Payment: Monthly, Quarterly, Semi-Annual, Annual

• Day Count Conventions: 30/360, ACT/360/ ACT/365

• Holiday Calendar: London, New York

• Business Day Conventions: Modified Following

Floating Leg

• Payment/Resets: Monthly, Quarterly, Semi-Annual

• Day Count Conventions: ACT/360

• Holiday Calendar: London, New York

• Fixing Calendar: London

• Business Day Conventions: Modified Following

Swap Tenor • The duration of time from the effective date to the maturity date. A non-MAT USD LIBOR Fixed-to-Floating Swap 

Contract can have a Tenor from 28 days to up to 50 years.

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

This is 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.

Periodic 

Settlement:

Payment and 

Resets

• Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

• Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

• Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first LIBOR Fixing Date is two (2) London business days prior to the Effective Date

Trade Start Types • Spot: A new swap where the Effective Date is T+2 from the trade date

• Non-Spot: Any date where the Effective Date is a date other than the spot date

•

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 -24:00; Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

____________________________________

* Certain USD LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth 

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
128

RULE 1315. USD Basis Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a 

term to maturity. 

Ticker USD SWAP [floating rate 1] V [floating rate 2] [tenor]

Currency USD

Floating Rate 

Index 

1 Month USD-LIBOR

3 Month USD-LIBOR

6 Month USD-LIBOR

1 Month USD-BSBY

3 Month USD-BSBY

SOFR

Fed Funds

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Spread

Sell = Receive Spread 

Swap Conventions LIBOR Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual

Day Count Conventions: ACT/360, or as agreed by the counterparties

Compounding Method: Flat, Exclude Spread 

Holiday Calendar: England, US, or as agreed by the counterparties

Fixing Calendar: England 

Business Day Conventions: Modified Following

BSBY Floating Leg

Payment/Resets: Monthly, Quarterly

Day Count Conventions: ACT/360, or as agreed by the counterparties 

Holiday Calendar: US, or as agreed by the counterparties

Fixing Calendar: USGS

Business Day Conventions: Modified Following

SOFR Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

Day Count Conventions: ACT/360, or as agreed by the counterparties 

Holiday Calendar: England, US, or as agreed by the counterparties

Fixing Calendar: USGS 

Business Day Conventions: Modified Following

Fed Funds Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

Day Count Conventions: ACT/360, or as agreed by the counterparties 

Holiday Calendar: US, or as agreed by the counterparties

Fixing Calendar: US 

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50 

years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments (i.e., 

the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index, and Floating Reset Dates.

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first LIBOR Fixing Date is two London business days prior to the Effective Date. If Fed Funds or SOFR is one of 

the index leg tenors, the first Fixing Date will equal the effective date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House 
129

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time

Clearing House Tenor LIBOR Basis: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

SOFR v LIBOR: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

SOFR v Fed Funds: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

SOFR v BSBY: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Tenor BSBY Basis: LCH.Clearnet Ltd. or Bilateral

Fed Funds v LIBOR: LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
130

RULE 1316. [Reserved]
131

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker SEK SWAP VS 3M [Trade Start Type] [tenor]

Currency SEK

Floating Rate 

Index

STIBOR

Fixed Rate Par; Custom Coupon

Quoting 

Convention and 

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Quarterly, Semi-Annual, Annual

• Day Count Conventions: 30/360, ACT/360, ACT/365

• Holiday Calendar: Stockholm

• Business Day Conventions: Modified Following

Floating Leg 

• Payment/Resets : Quarterly, Semi-Annual

• Day Count Conventions: ACT/360 

• Holiday Calendar: Stockholm

• Fixing Calendar: Stockholm

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long 

as 15 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 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.

Periodic 

Settlement:

Payment and 

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first STIBOR Fixing Date is 2 Stockholm business days prior to the Effective Date. 

Trade Start Types Spot: 

• A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot:

• Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
132 

RULE 1318A USD SOFR OIS Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker USD SOFR OIS [Tenor] 

Currency USD

Floating Rate Index

SOFR

Fixed Rate Par; Custom Coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Quoting Convention 

and Minimum 

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Annual 

• Day Count Conventions: ACT/360 or as agreed by the counterparties.

• Holiday Calendars: U.S. Government Securities Business Day 

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets: Daily, Annual 

• Day Count Conventions: ACT/360, or as agreed by the counterparties

• Holiday Calendars: U.S Government Securities Business Day 

• Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up 

to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SOFR Fixing Date is equal to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
133
134 

RULE 1318B Option - USD SOFR OIS Fixed-to-Floating Swap Contract 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. If counterparties elected to exercise the option by delivery of the 

underlying swap, the counterparties enter into and, if required, submit the underlying swap for clearing by a

derivative clearing organization set forth below (the “Clearing House”).

Ticker USD SWAPTION VS SOFR MM/DD/YY, where MM/DD/YY is the expiry date of the swaption

Underlying Swap USD SOFR OIS Fixed-to-Floating Swap Contract

Index of Underlying 

Swap

U.S. Secured Overnight Financing Rate (SOFR)

Tenor of Underlying 

Swap

As agreed by the counterparties

Currency USD

Quoting Convention 

and

Minimum Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading Conventions A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and 

receive the floating leg.

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the fixed 

leg and pay the floating leg.

Option Strike Price Fixed coupon of the underlying swap

Option Expiry Date As agreed by the parties

Option Settlement 

Type

Cash or a delivery of a USD SOFR OIS Fixed-to-Floating Swap Contract Swap

Exercise method The owner of the option must notify the writer of the option of the owner’s intent to exercise the option during 

business hours on the expiration date of the option. Notice shall be in the form and manner as agreed by the 

counterparties. If the counterparties elected the exercise by physical delivery, the counterparties must submit the 

Swap for clearing to the Clearing House, if the swap is subject to the mandatory clearing requirement.

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

Trading Hours 00:01 - 24:00 Sunday-Friday; Eastern Time

Settlement Procedure Bilateral

Clearing House for the 

underlying Swap

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
135

RULE 1319. [Reserved] 

RULE 1320. [Reserved]

RULE 1321. [Reserved]

RULE 1322. [Reserved]

RULE 1323. [Reserved]

RULE 1324. [Reserved]

RULE 1325. [Reserved]

RULE 1326. [Reserved]
128

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract

Contract 

Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity.

Ticker CAD SWAP 3M [Trade Start Type] [tenor]

Currency CAD

Floating Rate 

Index

3 Month CDOR

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap 

Conventions

Fixed Leg 

• Payment: Semi-Annual

• Day Count Conventions: ACT/365F

• Holiday Calendar: Canada 

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: Quarterly, Semi-Annual

• Day Count Conventions: ACT/365F

• Holiday Calendar: Canada 

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long 

as 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 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.

Periodic 

Settlement:

Payment and 

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Libor Fixing 

Date

The first CDOR Fixing Date is equal to the Effective Date. 

Trade Start 

Types

Spot: 

• A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot:

• Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative 

Limits

As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
129

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract

Contract 

Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity.

Ticker MXN SWAP vs. 28D [tenor]

Currency MXN

Floating Rate 

Index

28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio)

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap 

Conventions

Fixed Leg 

• Payment: 28 Days

• Day Count Conventions: ACT/360

• Holiday Calendar: Mexico

• Business Day Conventions: Modified Following 

Floating Leg 

• Payment/Resets: 28 Days

• Day Count Conventions: ACT/360

• Holiday Calendar: Mexico 

• Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 3 months to as long 

as 260 months.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 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.

Periodic 

Settlement:

Payment and 

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Libor Fixing 

Date

The first Mexican Interbank Fixing Date is one Mexican business day prior to the Effective Date. 

Trade Start 

Types

Spot: 

• A new swap where the Effective Date is T+1 from the trade date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative 

Limits

As set forth in Part 150 of the CFTC Regulations
130 

RULE 1329. [Reserved] 

RULE 1330. [Reserved]
131

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker AUD OIS SWAP [Trade Start Type] [Tenor]

Currency AUD

Floating Rate 

Index

RBACOR (Interbank Overnight Cash Rate)

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Annual

• Day Count Conventions: ACT/365 

• Holiday Calendar: Australia

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets : Annual

• Day Count Conventions: ACT/365

• Holiday Calendar: Australia

• Fixing Calendar: Australia

• Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 24 

months.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 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.

Periodic 

Settlement:

Payment and 

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Libor Fixing Date is T+1.

Trade Start Types Spot: 

• A new swap where the Effective Date is T+1 from the trade date.

Non Spot

• Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
132 

RULE 1332. [Reserved]
133

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker GBP SWAP vs SON [tenor]

Currency GBP

Floating Rate 

Index

SONIA

Fixed Rate Par; Custom coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Quarterly, Annual, Semi-Annual

• Day Count Conventions: ACT/365, ACT/360, 30/360

• Holiday Calendar: London

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets : Quarterly, Annual, Semi-Annual

• Day Count Conventions: ACT/365, ACT/360, 30/360

• Holiday Calendar: London

• Fixing Calendar: London

• Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 5 days to up to 50 

years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 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.

Periodic 

Settlement:

Payment and 

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count 

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Libor Fixing Date is equal to the trade date. 

Trade Start Types Spot: 

• A new swap where the Effective Date is T+0 from the trade date.

Non Spot

• Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker IRS USD [Underlying Tenor] [Strike] [Expiry Date]

Underlying Swap USD LIBOR Fixed-to-Floating Swap Contract

Index of Underlying 

Swap

LIBOR (3M) 

Tenor of Underlying 

Swap

Any 

Currency USD

Quoting Convention 

and

Minimum Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading Conventions A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and receive 

the floating leg.

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the fixed leg

and pay the floating leg.

Option Strike Price Fixed coupon of the underlying swap

Option Expiry Date As agreed by the parties

Option Settlement 

Type

Cash or a delivery of a cleared swap

Exercise method The owner of the option must notify the writer of the option of the owner’s intent to exercise the option during 

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery). 

Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the exercise by 

physical delivery, the counterparties must submit the Swap for clearing to the Clearing House. 

Trading Hours and 

Venue

00:01 - 24:00 Sunday-Friday; Eastern Time

Clearing House for the 

underlying Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet Ltd. or 

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations 

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
600746302

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker NOK SWAP vs [Floating Index Maturity]

Currency NOK

Floating Rate Index NIBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: 30/360

o Holiday Calendar: Norway

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/ Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Norway

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first NIBOR Fixing Date is two Norwegian business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker DKK SWAP vs [Floating Index Maturity]

Currency DKK

Floating Rate Index CIBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: 30/360

o Holiday Calendar: Denmark

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Denmark

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CIBOR Fixing Date is two Danish business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker HKD SWAP vs [Floating Index Maturity] 

Currency HKD

Floating Rate Index HIBOR

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Hong Kong

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/ Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Hong Kong

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first HIBOR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker PLN SWAP vs [Floating Index Maturity]

Currency PLN

Floating Rate Index WIBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: ACT/ACT

o Holiday Calendar: Poland

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Poland

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first WIBOR Fixing Date is two Polish business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker ZAR SWAP vs [Floating Index Maturity]

Currency ZAR

Floating Rate Index JIBAR

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: South Africa

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly 

o Day Count Conventions: ACT/365

o Holiday Calendar: South Africa

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first JIBAR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1340. [Reserved]
600746302

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker HUF SWAP vs [Floating Index Maturity]

Currency HUF

Floating Rate Index BUBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Hungary

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Hungary

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BUBOR Fixing Date is two Hungarian business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating 

Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker KRW SWAP vs [Floating Index Maturity]

Currency KRW

Floating Rate Index South Korean Won 3 Month Certificate of Deposit

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: Quarterly

 Day Count Conventions: ACT/365

 Holiday Calendar: South Korea

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Quarterly/Quarterly

 Day Count Conventions: ACT/365

 Holiday Calendar: South Korea 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first South Korean Won 3 Month Certificate of Deposit Fixing Date is one South Korean business day 

prior to the Effective Date.

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CZK SWAP vs [Floating Index Maturity]

Currency CZK

Floating Rate Index PRIBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Czech Republic

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/ Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Czech Republic

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first PRIBOR Fixing Date is two Czech business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CLP SWAP vs [Floating Index Maturity]

Currency CLP

Floating Rate Index Indice Cámara Promedio Rate 

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Chile

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Chile

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Indice Cámara Promedio Rate Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker MYR SWAP vs [Floating Index Maturity]

Currency MYR

Floating Rate Index KLIBOR

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Malaysia

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Malaysia

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first KLIBOR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker TWD SWAP vs [Floating Index Maturity]

Currency TWD

Floating Rate Index TAIBOR

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Taiwan

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Taiwan

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first TAIBOR Fixing Date is two Taiwan business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker INR SWAP vs [Floating Index Maturity]

Currency INR

Floating Rate Index FBIL Overnight MIBOR

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: India

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Annual/Daily

 Day Count Conventions: ACT/365

 Holiday Calendar: India

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to 

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first FBIL Overnight MIBOR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon Fixed-to-Floating 

Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker BRL SWAP vs [Floating Index Maturity]

Currency BRL

Floating Rate Index Brazilian Interfinancial Offered Rate (DI Rate)

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: At Maturity

 Day Count Conventions: DU/252

 Holiday Calendar: Brazil

 Business Day Conventions: Following

Floating Leg

 Payment/Resets: At maturity/daily

 Day Count Conventions: DU/252

 Holiday Calendar: Brazil

 Business Day Conventions: Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first Brazilian Interfinancial Offered Rate Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1349. USD YLDVOL Forward Swap Contract

Contract Overview The Contract is a cash-settled, uncleared swap contract allowing the counterparties to buy or sell YLDVUS Index at a 

specified price on a future date. Under the Contract, one counterparty agrees to buy or sell the Contract at a predetermined price for a particular tenor and the other counterparty agrees to take the opposite position.

Ticker USD Forward v YLDVUS MM/DDDD where MM/DDDD is the maturity date of the forward

Index YLDVUS

Settlement Currency USD

Quoting Convention and 

Minimum Increment

Prices to be expressed in points to two decimal places. 

1 point = $1000 

The minimum price change (tick) is .01 or $10.

Contract Multiplier The contract multiplier for each Contract is $1000 of Normal Vega. Normal Vega is Vega when assuming returns in 

interest rates follow a normal distribution. 

Vega is the price sensitivity of an instrument to changes to volatility of the underlying asset.

Contract Value Price * Contract Multiplier 

Contract Maturities 12 active monthly contracts

Contract Expiration The third Wednesday of the Contract named calendar month of delivery, unless that day falls on a U.S. public holiday, 

in which case the Expiration Date will be the preceding trading day, or as otherwise specified by BSEF.

Termination of Trading 8:00 pm New York time on the New York business day immediately preceding the third Wednesday of the Contract’s 

named month of delivery.

Settlement Price The Settlement Price will be determined based on firm bids and offers from the Auction held by BSEF on the 

Expiration Date for a spot month Contract, as described in Chapter 5A of the BSEF Rulebook. The Settlement Price 

will be determined based upon the Auction Price calculated using the following hierarchy: 

Auction Price Calculation

A. If there is no overlap between bids and offers participating in the Auction, then the Auction Price will be an 

arithmetic average of the highest four bids and lowest four offers. If there are less than four bids and offers, the 

Auction price will be an arithmetic average of all bids and offers;

B. If there is an overlap between bids and offers participating in the Auction, then: 

1. Consider all eligible prices (i.e., integer increments) from the range of traded prices as matched on the 

Auction, including intermediate price levels where no trade took place. This ensures that the Auction Price 

falls within the range of traded prices at the conclusion of the Auction.

2. The Auction Price is set where the maximum volume of eligible orders will trade. If there is more than one 

such price, principle 3 is applied to this select range of prices.

3. The Auction Price is set where order imbalances (i.e., surplus volumes) are minimized. These are buying or 

selling volumes that will not be matched (i.e., leftovers) at a particular price. If there is more than one such 

price (where match volume is maximized AND order imbalance is minimized), consider principle 4.

4. Look at the direction (buy or sell) of the order imbalances. 

a. If there are both buy and sell surplus volumes, the Settlement Price is set to be the average of the 

two prices where buy and sell surplus volumes switch. 

b. If all are excess buy (sell) volumes, use the highest (lowest) of these select price levels as the 

Settlement Price. 

c. If there are prices where both buy and sell imbalances are zero, the Settlement Price is set to be 

the average (or mid-point) of these prices.

YLDVOL Settlement Price Calculation

Once the Auction is concluded, the Settlement Price will be calculated using the following formula: 

SSSSSSSSSSSSSSSSSSSS PPPPPPPP = �2ππ

ττ

×

FF × dddd(TT1MM)

2 × ∑ ττii × dddd�TTppppppii� 10

ii=1

Where: 

• ττ is the year fraction from calculation date to the YLDVOL Swaption Straddle expiration date according to ISDA 

ACT/360 day count convention.

• F is the Auction Price. 

• dddd(TT1MM) is the discount factor from the Spot Date to the Effective Date, where:

o Spot Date is the day that is two business days after calculation date.

o Effective Date is the effective date of the underlying swap and is set two business days after the 

Expiration Date. 
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• ττii is the year fraction from the i

th period accrual start date of the underlying swap to the ith period accrual end date 

of the underlying swap according to ISDA ACT/360 day count convention. 

• dddd�TTppppppii� is the discount factor from calculation date to the i

th period payment date of the underlying swap. 

Fallback Settlement Price Determination:

If no Settlement Price can be calculated due to a Failed Auction, then Settlement Price shall be calculated in accordance 

with the following fallback rules:

i. using an average of three (3) randomly selected snapshots taken of the levels of YLDVUS Index in the 

thirty-minute period prior to the Auction; 

ii. if the process described in the preceding subsection (i) does not produce a Settlement Price, then the 

YLDVUS Index’s prior business day’s end-of-day level (using the calculation calendar for the option 

described in a contract listed in Rule 1318.B to determine the prior business day) shall be used; and 

iii. if the end-of-day level of YLDVUS Index for the prior business day is not available, the previous month’s 

Settlement Price shall be used to the extent a prior month’s Settlement Price is available.

Settlement Price Publication

The Settlement Price will be published by BSEF on https://www.bloomberg.com/professional/product/swap-executionfacility/. The Settlement Price based on the Auction Price will be published at 10 a.m. EST, and the Settlement Price 

based on the fallback Settlement Price Determinations will be published at 10:15 a.m. EST

Settlement Date 3rd Friday of the Contract month 

Settlement Procedure Cash-settled

At Maturity: 

Number of Contracts * Settlement Price * Multiplier = Cash Settlement Value 

Intra-Period: 

Index Points * Number of Contracts * Multiplier 

(Index Points is the difference in value of where the YLDVUS Contract was bought / sold in the market)

Termination of Trading 6:59 p.m. EST on the Business Day prior to the Expiration Date. 

Trading Hours 00:01-24:00 EST, from Sunday-Friday

“Made Available to Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

Clearing House None

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker CNY SWAP vs [Floating Index Maturity]

Currency CNY

Floating Rate Index China Fixing Repo (7D) Rate

Floating Rate Index Maturity 7 days

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: China Interbank

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: China Interbank

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first China Fixing Repo (7D) Rate Fixing Date is one business day prior to the Effective Date of the 

swap.

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker NZD [Tenor] Swap

Currency NZD

Floating Rate Index Bank Bill Benchmark Rate (BKBM)

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

• Payment: Monthly, Quarterly, Semi-Annual, Annual, At Maturity 

• Day Count Conventions: ACT/365.FIXED or as agreed by the counterparties.

• Holiday Calendars: Auckland, Wellington 

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets : Quarterly 

• Day Count Conventions: ACT/365.FIXED, or as agreed by the counterparties

• Holiday Calendars: Auckland, Wellington

• Business Day Conventions: Modified Following with adjustment to period end dates

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up 

to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BKBM Fixing Date is equal to the trade date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1352. CHF SARON Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CHF SWAP OIS [Tenor]

Currency CHF

Floating Rate Index Swiss Average Rate Overnight 

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

• Payment: Annual, at Maturity 

• Day Count Conventions: ACT/360 or as agreed by the counterparties.

• Holiday Calendar: Switzerland

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets: Annual, at Maturity

• Day Count Conventions: ACT/360 or as agreed by the counterparties

• Holiday Calendar: Switzerland

• Business Day Conventions: Modified Following with adjustment to period end dates

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up 

to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SARON Fixing Date is equal to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1353. EUR €STR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker EUR Swap (ESTR) [Tenor] 

Currency EUR

Floating Rate Index €STR

Fixed Rate Par; Custom coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Annual 

• Day Count Conventions: ACT/360 or as agreed by the counterparties.

• Holiday Calendars: Target

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets: Daily, Annual 

• Day Count Conventions: ACT/360, or as agreed by the counterparties

• Holiday Calendars: Target 

• Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up to 

70 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first €STR Fixing Date is equal to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1354. JPY OIS TONAR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker JPY OIS SWAP [Tenor] 

Currency JPY

Floating Rate Index TONAR

Fixed Rate Par, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

• Payment: Annual, Semi-Annual, Quarterly 

• Day Count Conventions: ACT/365, ACT/360, 30/360

• Holiday Calendars: Tokyo

• Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

• Payment/Resets: Annual, Semi-Annual, Quarterly 

• Day Count Conventions: ACT/365, or as agreed by the counterparties

• Holiday Calendars: Tokyo

• Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up to 

50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first TONAR Fixing Date is equal to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue Japan Securities Clearing Corporation, LCH.Clearnet Ltd.; Chicago Mercantile Exchange, Inc.; Eurex Clearing 

Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
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RULE 1355. SGD SOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker SGD SWAP vs [Floating Index Maturity]

Currency SGD

Floating Rate Index SOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SOR Fixing Date is two Singapore business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1356. OIS SORA Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker SGD SWAP vs SORA [Floating Index Maturity]

Currency SGD

Floating Rate Index SORA

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SORA Fixing Date is equal to the Effective Date of the swap

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1357. CAD OIS CORRA Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker CAD SWAP vs CORRA [Floating Index Maturity]

Currency CAD

Floating Rate Index CORRA

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Canada

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Canada

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CORRA Fixing Date is equal to the Effective Date of the swap

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.,LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1358. USD U.S. CPI Urban Consumers Not Seasonably Adjusted Fixed-to-Floating 

(Inflation Zero Coupon) Swap Contract 

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero 

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional principal 

amount and the other party pays a floating rate linked to an inflation index.

Ticker USD [ZC Inflation] Swap vs CPURNSA [Tenor] 

USD [ZC Inflation] Swap vs CPURNSA [Maturity Date]

Currency USD

Floating Rate Index U.S. CPI Urban Consumers Not Seasonably Adjusted (CPURNSA)

Fixed Rate Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating 

Swap Conventions Fixed Leg 

• Payment: At maturity 

• Compounding: Annual

• Day Count Conventions: 1/1

• Holiday Calendars: Federal Reserve, England

• Business Day Conventions: Modified Following with adjustment to period end dates 

Inflation Leg 

• Payment/Resets: At maturity/At maturity

• Day Count Conventions: 1/1

• Holiday Calendars: Federal Reserve, England

• Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to 

30 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the 

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency, 

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency, 

Day Count, Floating Rate Index and Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CPURNSA Fixing Date is observed 3 months prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is 2 business days after trade date.

Non-Spot: Any swap with an Effective Date different to the Effective Date of a Spot Swap.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1359. EUR Eurostat Eurozone Harmonized Index of Consumer Prices Excluding 

Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap Contract 

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero 

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional principal 

amount and the other party pays a floating rate linked to an inflation index.

Ticker EUR ZC Inflation Swap vs CPTFEMU [tenor]

EUR ZC Inflation Swap vs CPTFEMU [maturity date] 

Currency EUR

Floating Rate Index Harmonized Index of Consumer Prices Excluding Tobacco (HICP-EXCL)

Fixed Rate Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating 

Swap Conventions Fixed Leg 

Payment: At maturity

Compounding: Annual 

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

Payment: At maturity

Resets: 3 Months before Effective Date and 3 Months before Maturity Date 

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to 

50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the 

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency, 

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency, 

Day Count, Floating Rate Index and Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first HICP-EXCL Fixing Date is observed 3 months prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1360. GBP UK Retail Prices Index Fixed-to-Floating (Inflation Zero Coupon) Swap 

Contract

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero 

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional principal 

amount and the other party pays a floating rate linked to an inflation index. 

Ticker GBP ZC Inflation Swap vs UKRPI [tenor]

GBP ZC Inflation Swap vs UKRPI [maturity date]

Currency GBP

Floating Rate Index United Kingdom Retail Prices Index (UK RPI)

Fixed Rate Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Floating 

Sell = Receive Fixed, Pay Floating 

Swap Conventions Fixed Leg 

Payment: At maturity

Compounding: Annual 

Day Count Conventions: 1/1

Holiday Calendar: England

Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

Payment: At Maturity

Resets: 2 Months before Effective Date and 2 Months before Maturity Date 

Day Count Conventions: 1/1

Holiday Calendar: England

Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to 

50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the 

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency, 

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency, 

Day Count, Floating Rate Index and Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first UK RPI Fixing Date is observed 2 months prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1361. EUR France Inflation Consumer Price Index Excluding Tobacco Fixed-toFloating (Inflation Zero Coupon) Swap Contract

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero 

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional principal 

amount and the other party pays a floating rate linked to an inflation index.

Ticker EUR ZC Inflation Swap vs FRCPXTOB [tenor]

EUR ZC Inflation Swap vs FRCPXTOB [maturity date]

Currency EUR

Floating Rate Index France Consumer Price Index Excluding Tobacco (CPI-Excl)

Fixed Rate Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating 

Swap Conventions Fixed Leg 

Payment: At maturity

Compounding: Annual 

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

Payment: At Maturity

Resets: 3 Months before Effective Date and 3 Months before Maturity Date 

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to 

30 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the 

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency, 

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency, 

Day Count, Floating Rate Index and Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CPI-Excl Fixing Date is observed 3 months prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1362. Colombian Peso Indicador Bancario Referencia Overnight Fixed-to-Floating 

Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker COP Swap NDOIS [Tenor]

Currency COP

Floating Rate Index IBR Overnight (Indicador Bancario de Referencia)

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/360 or as agreed by the counterparties

o Holiday Calendar: Bogota, New York

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/360 or as agreed by the counterparties

o Holiday Calendar: Bogota, New York

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first IBR Fixing Date is equal to the Effective Date of the swap

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc, LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1363. ILS TELBOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker ILS Swap VS [Floating Leg Index Tenor] [Swap Tenor] 

Currency ILS

Floating Rate Index ILS-TELBOR01-Reuters

Fixed Rate Par, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

Payment: Annual 

Day Count Conventions: ACT/365 or as agreed by the counterparties.

Holiday Calendars: Tel Aviv

Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

Payment/Resets: Quarterly, Annual 

Day Count Conventions: ACT/365, or as agreed by the counterparties

Holiday Calendars: Tel Aviv

Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 

11 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first TELBOR Fixing Date is equal to 2 business days prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1364. NZD OIS Reserve Bank of New Zealand Official Daily Cash Rate Fixed-toFloating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker NZD SWAP vs OCR

Currency NZD

Floating Rate Index OCR (Reserve Bank of New Zealand Official Daily Cash Rate)

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual, Annual or At Maturity

o Day Count Conventions: ACT/365

o Holiday Calendar: Auckland, Wellington

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual or At Maturity

o Day Count Conventions: ACT/365

o Holiday Calendar: Auckland, Wellington

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days 

to up to 11 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrued, and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first OCR Fixing Date is on the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1365. USD BSBY Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker USD SWAP vs [BSBY 1M]; USD SWAP vs [BSBY 3M]

Currency USD

Floating Rate Index BSBY

Floating Rate Index Maturity 1M, 3M

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: 30/360, ACT/360, ACT/365

o Holiday Calendar: New York

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly

o Day Count Conventions: ACT/360

o Holiday Calendar: New York

o Fixing Calendar: U.S. Government Securities

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first BSBY Fixing Date is two U.S. Government Securities business days prior to the Effective Date 

of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

RULE 1366. THB THOR Fixed-to-Floating Swap Contract 

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker THB NDOIS vs THOR

Currency THB

Floating Rate Index THOR

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Bangkok, Thailand

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Bangkok, Thailand

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 11 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrued and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first THOR Fixing Date is two Singapore business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward

Contract 

Overview

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference between the 

contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount.

Reference 

Currency 

Non-deliverable currency

• BRL Brazilian Real

• ARS Argentine Peso

• CNY Chinese Renminbi

• IDR Indonesian Rupiah

• INR Indian Rupee

• KRW South Korean Won

• MYR Malaysian Ringgit (Please see Notice to Participants 2017-3, which is posted on BSEF’s website)

• PHP Philippine Peso

• TWD Taiwan Dollar

• VND Vietnamese đồng

• EGP Egyptian pound

• RUB Russian ruble

• KZT Kazakh tenge

• CLP Chilean Peso

• COP Colombian Peso

• PEN Peruvian nuevo sol

• UAH Ukrainian hryvnia

• NGN Nigerian naira

• GHS Ghanaian cedi

• PKR Pakistani rupee

• UGX Ugandan Shilling

• PYG Paraguay Guarani

Settlement 

Currency

See currency list below

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 in

Trading 

Conventions

Buy or Sell which refers to the contract size expressed in notional currency

Forward Rate 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

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 based on the exchange rate published by sources set forth in 

Attachment B hereto.

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative 

Limits

As set in Part 150 of the CFTC Regulations

Reportable 

Levels

As set in CFTC Regulation 15.03
600746302

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
600746302

Attachment B

Exchange Rate Sources

Currency Primary Fixing Source Description Secondary Fixing 

Source

Description

Brazilian Real (BRL) BRL PTAX The BRL PTAX Rate is 

published at 

approximately 6:00 PM 

São Paulo time on the 

Valuation Date.

The BZFXPTAX Index 

refers to the average rate 

displayed by Brazil's 

Central Bank under the 

transaction PTAX800, in 

the SISBACEN (Central 

Bank System), regarding 

the notation 220-USD 

(moeda 220 - Dolar dos 

Estados Unidos). 

EMTA BRL Industry 

Survey Rate (BRL 12) 

The EMTA BRL 

Industry Survey Rate is 

determined pursuant to 

the EMTA BRL 

Industry Survey Rate 

Methodology dated 

March 1, 2004. 

Argentine Peso (ARS) EMTA ARS Industry 

Survey Rate 

The EMTA ARS 

Industry Survey Rate 

resulting from the 

EMTA ARS Industry 

Survey Rate 

Methodology dated as of 

January 2, 2003, is 

available only on a 

Business Day in both 

Buenos Aires and New 

York City.

This rate quotation 

appears on EMTA's 

website, 

http://www.emta.org.

EMTA ARS Indicative 

Survey Rate

The EMTA ARS 

Industry Survey Rate 

resulting from the 

EMTA ARS Industry 

Survey Rate 

Methodology dated as 

of January 2, 2003, is 

available only on a 

Business Day in both 

Buenos Aires and New 

York City. 

Chinese Renminbi 

(CNY)

CNY SAEC The CNY SAEC 

(CNY01) Rate is 

published at 

approximately 9:15 a.m., 

Beijing time on the 

Valuation Date.

This is the daily CNY 

fixing price released by 

China Foreign Exchange 

Trading System. In the 

interbank market, the 

fluctuation should not 

exceed +/-1% of the 

average price. The price 

of this index starts from 

Jan 4,2006, when China 

introduced OTC trading 

system in interbank 

currency market. For 

more historical prices, 

please refer to HP of 

CYCFUSDP Index.

SFEMC CNY 

Indicative Survey Rate

The SFEMC CNY 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC CNY 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

Indonesian Rupiah 

(IDR) IDR VWAP 

The IDR VWAP 

(IDR03) Rate is 

published at 

approximately 11:30 

a.m., Singapore time, on 

the Valuation Date. 

As of 6th Aug 2013, the 

Association of Banks 

Singapore's (ABS) IDR 

Spot FX benchmark 

SFEMC IDR Indicative 

Survey Rate

The SFEMC IDR 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC IDR 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.
600746302

transitions from a 

surveyed benchmark to a 

traded benchmark. It 

will be changed from a 

trimmed arithmetic 

mean of submissions 

contributed by a panel of 

banks (Contributor 

Banks) to a rate based 

on the Volume 

Weighted Average Price 

(VWAP) of actual 

interbank transactions.

Indian Rupee (INR)

INR RBIB 

The INR RBIB (INR01) 

Rate is published at 

approximately 12:30 

p.m. Mumbai time on 

the Valuation Date.

The Rupee Reference 

Rate is the rate based on 

12.00 noon dollar-rupee 

rates offered by various 

banks in Mumbai. 

SFEMC INR Indicative 

Survey Rate

The SFEMC INR 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC INR 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

South Korean Won 

(KRW)

KRW KFTC18 The KRW KFTC18 

(KRW02) Rate is 

published at 

approximately 3:30 p.m. 

Seoul time on the 

Valuation Date.

The basic exchange rate 

of the Korean won 

against the US dollar is 

determined as the 

transaction volumeweighted average of the 

rates applied in daily 

transactions between 

foreign exchange banks 

brokered through Seoul 

Money Brokerage 

Services, Ltd.(SMBS) 

and another brokerage 

house, and is announced 

at 3:00 pm every 

business day.

SFEMC KRW 

Indicative Survey Rate

The SFEMC KRW 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC KRW 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

Malaysian Ringgit 

(MYR)

(Please see Notice to 

Participants 2017-3, 

which is posted on 

BSEF’s website)

MYR ABS The MYR ABS 

(MYR01) Rate is 

published at 

approximately 11:30 

a.m. Singapore time on 

the Valuation Date. 

Published by the Central 

Bank of Malaysia (Bank 

Nagara)

SFEMC MYR 

Indicative Survey Rate

The SFEMC MYR 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC MYR 

Indicative Survey Rate 

Methodology dated July 

15, 2005.

Philippine Peso (PHP) PHP PDSPESO The PHP PDSPESO 

(PHP06) Rate is 

published at 

approximately 11:30 

a.m., Manila time, on the 

Valuation Date.

Produced by the Bankers 

Association of 

Philippines.

The SFEMC PHP 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC PHP 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

SFEMC PHP Indicative 

Survey Rate

Taiwan Dollar (TWD) TWD TAIFX1 The TWD TAIFX1 Rate 

is published at 

approximately 11:00 

SFEMC TWD 

Indicative Survey Rate

The SFEMC TWD 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC TWD 
600746302

a.m. Taipei time on the 

Valuation Date by

Taipei Forex Inc. 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

Vietnamese đồng 

(VND)

VND The Association of 

Banks Singapore's 

(ABS)

Egyptian pound (EGP) EGP FEMF Published by Central 

Bank of Egypt Treasury.

Rates are updated only 

when there are FX Spot 

transactions among the 

39 participating banks.

EMTA EGP Indicative 

Survey Rate

The EMTA EGP 

Indicative Survey Rate 

is determined pursuant 

to the EMTA EGP 

Indicative Survey Rate 

Methodology dated as 

of May 24, 2010.

Russian ruble (RUB) RUB CME-EMTA The RUB CME-EMTA 

Ruble Rate is 

determined pursuant to 

the Chicago Mercantile 

Exchange / EMTA, Inc. 

Daily Russian Ruble Per 

U.S. Dollar Reference 

Rate Methodology 

Effective June 16, 2005. 

EMTA RUB Indicative 

Survey Rate 

The EMTA RUB 

Indicative Survey Rate 

is determined pursuant 

to the EMTA RUB 

Indicative Survey 

Methodology effective 

June 16, 2005. 

Kazakh tenge (KZT) KZT KASE The KZT KASE Rate is 

published by the 

Kazakhstan Stock 

Exchange Inc. at 

approximately 11:00 am, 

Almaty, time. 

EMTA KZT Indicative 

Survey Rate 

The EMTA KZT 

Indicative Survey Rate 

is determined pursuant 

to the EMTA KZT 

Indicative Survey 

Methodology effective 

March 16, 2009. 

Chilean Peso (CLP) CLP DÓLAR OBS Chilean Observed Dollar 

Exchange Rate (Dolar 

Observado) - Chilean 

Central Bank Rates are 

published daily for 

operations settled in the 

prior business day.

EMTA CLP Indicative 

Survey Rate 

The EMTA CLP 

Indicative Survey Rate 

is determined pursuant 

to the EMTA CLP 

Indicative Survey Rate 

Methodology dated as 

of August 1, 2006. 

Colombian Peso 

(COP)

COP TRM The Market 

Representative 

Exchange Rate (Tasa 

Representativa del 

Mercado) states the 

daily exchange rate in 

the Colombian market, 

settled in the previous 

business day. It 

corresponds to the 

arithmetic average of the 

average weighed bid and 

offer rates of interbank 

and transfer operations, 

completed by authorized 

market intermediaries. 

The Superintendencia 

Financiera of Colombia 

is obligated by law 

(Article 80 of the 

Exchange Regulation -

Board of Directors of the 

Central Bank) to 

calculate and publish the 

TRM.

Peruvian Nuevo sol 

(PEN)

PEN INTERBANK 

AVE

The data required to 

calculate this rate are 

derived from the 

interbank market 

transacted over ICAP 

Datatec and published 

by Superintendecia de 

Banca Peru.

EMTA PEN Indicative 

Survey Rate

The EMTA PEN 

Indicative Survey Rate 

is determined pursuant 

to the EMTA

PEN Indicative Survey 

Rate Methodology 

dated as of August 1, 

2006
600746302

Ukrainian Hryvnia 

(UAH)

EMTA UAH Industry 

Survey Rate

The EMTA UAH 

Industry Survey Rate is 

posted on Thomson 

Reuters Screen 

EMTAUAHFIX Page at 

approximately 11:30 am, 

Kiev Time. 

EMTA UAH Indicative 

Survey Rate 

The EMTA UAH 

Indicative Survey Rate 

is determined pursuant 

to the EMTA UAH 

Indicative Survey 

Methodology effective 

March 16, 2009. 

Nigerian Naira (NGN) NGN FMDA FMDA - Financial Mkt EMTA NGN Indicative 

Survey Rate 

The EMTA NGN 

Indicative Survey Rate 

is determined pursuant 

to the NGN Indicative 

Survey Rate 

Methodology dated as 

of December 27, 2010. 

Ghanaian Cedi (GHS) GHS ICAP The GHS ICAP rate 

(GHS01) is determined 

by ICAP Broking 

Services South Africa 

(Pty) Ltd. not later than 

1:00 p.m., Accra time, 

based on a poll of 

onshore FX dealers. 

EMTA GHS Indicative 

Survey Rate 

The EMTA GHS 

Indicative Survey Rate 

is determined pursuant 

to the GHS Indicative 

Survey Rate 

Methodology dated as 

of May 9, 2012.

Pakistani Rupee (PKR) PKR SBPK The PKR SBPK Rate is 

published at 

approximately 2:30 pm, 

Karachi time, on the 

Valuation Date by State 

Bank of Pakistan

SFEMC PKR Indicative 

Survey Rate

The SFEMC PKR 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC PKR 

Indicative Survey Rate 

Methodology dated as 

of July 14, 2008.

Bloomberg Fixing Source BFIX:

The Bloomberg FX Fixing rates (“BFIX”) are fixed and published every 30 minutes on the hour and half-hour (liquidity permitting). The BFIX 

prices are created by taking a short-term Time-Weighted Average Price (TWAP) of the geometric mid-rates of Bloomberg Generic (BGN) prices 

leading up to and following the fixing time. 

By using a short-term TWAP to create the fixing, it ensures that BFIX rates are unsusceptible to spikes and manipulations in the market at fixing 

time. The length of time used in the TWAP varies from currency to currency, and may in fact vary over time, based on the average tick arrival 

frequency of the specific currency pair. By using the geometric average to calculate mid-rates, it ensures that BFIX prices are perfectly invertible 

(e.g., the USDEUR fix is exactly 1 / EURUSD fix). BFIX prices are published on the BLOOMBERG TERMINAL(R) service within 15 seconds 

of the fixing time.

A linear time-weighted average of quotes is used leading up to the fixing time and for a short time after the fix. For major currencies, this linear 

TWAP starts eleven seconds before the fix and then decays for six seconds after the fix. For less liquid currencies, the approaching side of the 

TWAP envelope might be longer than eleven seconds, depending on the quoting frequency of the specific currency pair. The decay after the fix 

time is always six seconds.

BFIX rates are available on BFIX <GO> and throughout the Bloomberg terminal and API. 

Bloomberg BGN Reference Price

BGN is a sophisticated pricing algorithm that produces highly accurate bid and ask quotes that are derived from hundreds of quality sources, 

including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers, and trading 

platforms.

The Bloomberg Generic represents Bloomberg's highest-quality FX rate source and is designed to match market-consensus executable bid/ask 

rates and to be resistant to manipulation by market participants.

For each currency pair the BGN values are based on FX rates from a select subset of Bloomberg's more than 1,000 price contributors. The 

specific members of the subset are chosen by an automated data quality and consistency scoring algorithm and reviewed periodically. No 

contributor knows whether or not their prices are included in any BGN set of input prices. These input prices are run through Bloomberg's 

proprietary blending algorithm which automatically mitigates the effect of outlier quotes and creates a market consensus bid-ask pair of prices for 

each currency pair.
600746302

RULE 1402. Foreign Exchange Contract – Vanilla FX Option 

Contract 

Overview

A foreign-exchange option (commonly shortened to just FX option or currency option) is a derivative financial 

instrument that gives the owner the right but not the obligation to exchange money denominated in one currency into 

another currency at a pre-agreed exchange rate on a specified date.

Trade Date The date on which parties enter into the contract

Option Style American / European

• A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined point in 

time.

• An American option on the other hand may be exercised at any time before the expiration date.

Option Type Put/ Call

• Call option – the right to buy an asset at a fixed date and price.

• Put option – the right to sell an asset a fixed date and price.

Call Currency Currency for call option

Put Currency Currency for put option

Strike Price The exchange rate agreed upon inception of the contract at which the investor can exercise an option.

Expiration Date Date at which option contract expires

Expiration 

Time

Time at which option contract expires

Settlement Date Settlement date of the option contract

Premium Premium amount expressed in premium currency

Premium 

currency

Currency in which option premium is expressed in

Premium Date Date on which premium amount is due

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 in; please see Notice to Participants 2017-3, which is posted on BSEF’s 

website.

Settlement 

Procedure 

Bilateral settlement performed in settlement currency

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative 

Limits

As set in Part 150 of the CFTC Regulations

Reportable 

Levels

As set in CFTC Regulation 15.03
600746302

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
600746302

RULE 1403. Foreign Exchange Contract – Exotic FX Option 

Contract Overview An exotic foreign-exchange option is an option which has more than one trigger relating to the determination of 

the payoff.

Trade Date The date on which parties enter into the contract

Option Style American / European

• A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined 

point in time.

• An American option on the other hand may be exercised at any time before the expiration date.

Option Type Put/ Call

• Call option – the right to buy an asset at a fixed date and price.

• Put option – the right to sell an asset a fixed date and price.

Call Currency Currency for call option

Put Currency Currency for put option

Strike Price The currency exchange rate at which the investor can exercise an option.

Expiration Date Date at which option contract expires

Barrier Low Pre-set low barrier level either springs the option into existence or extinguishes an already existing option.

Barrier High Pre-set high barrier level either springs the option into existence or extinguishes an already existing option.

Barrier Style American / European

Barrier Direction The four types of barrier options are:

• Up-and-out: spot price starts below the barrier level and has to move up for the option to be knocked out.

• Down-and-out: spot price starts above the barrier level and has to move down for the option to become 

null and void.

• Up-and-in: spot price starts below the barrier level and has to move up for the option to become activated.

• Down-and-in: spot price starts above the barrier level and has to move down for the option to become 

activated.

Expiration Time Time at which option contract expires (cut off time)

Settlement Date Settlement date of the option contract

Premium Premium amount expressed in premium currency

Premium currency Currency in which option premium is expressed in

Premium Date Date on which premium amount is due

Quoting Convention 

and Minimum 

Increment

Notional amount, as agreed by counterparties

Notional Currency Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted on 

BSEF’s website.

Settlement Procedure Bilateral settlement performed in settlement currency

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time 

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
600746302

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
600746302

RULE 1404. [RESERVED]
600746302

RULE 1405. Foreign Exchange Contract – Average Rate Forward

Contract Overview An average rate forward allows the buyer the ability to create a hedge rate for a future exposure by locking in 

forward points and a spot rate. At some point in the future, there is an averaging period of daily spot observations to 

determine an average rate which, when compared to the hedge rate, will set the payout. Unlike options, this hedge 

tool is a forward contract and has no premium cost associated with it.

Currency Pair Underlying currency instrument composed of ISO currency codes (ISO 4217) of the base currency and the counter 

currency, separating them with a slash character; see currency list below

Settlement Currency See currency list below

Quoting Convention 

and Minimum 

Increment

Notional amount, as agreed by counterparties

Minimum Size $1

Notional Currency Currency in which contract size is expressed; please see Notice to Participants 2017-3, which is posted on BSEF’s 

website.

Trading 

Conventions

Buy or Sell which refers to the contract size expressed in notional currency

Forward Rate 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 Settlement or payment date

Fixing Date End of observation period specified by counterparties

Frequency Observation frequency specified by counterparties

Settlement 

Procedure 

Bilateral settlement performed in settlement currency based on the exchanges rate published by either Bloomberg 

(BFIX) or Reuters (WM/Reuters)

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time 

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
600746302

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
600746302

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount.

Reference Currency (i.e., NonDeliverable Currency)ARS Argentine Peso

Settlement Currency See currency list below

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 in, as agreed by counterparties

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency

Forward Rate 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 based on the EMTA ARS Industry Survey Rate / 

EMTA ARS Indicative Survey Rate (secondary); BFIX or BGN.

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
600746302

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
600746302

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional 

amount.

Reference Currency (i.e., NonDeliverable Currency)KES Kenyan Shilling

Settlement Currency See currency list below

Quoting Convention 

and Minimum Increment

Notional amount, as agreed by the counterparties.

Minimum Size Notional amount, as agreed by the counterparties.

Notional Currency Currency in which contract size is expressed in, as agreed by the counterparties; please see Notice to 

Participants 2017-3, which is posted on BSEF’s website.

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency.

Forward Rate 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 the 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 based on the EMTA KES Industry Survey 

Rate or BFIX.

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time

Clearing Venue Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 151 of the CFTC Regulations.

Reportable Levels As set forth in CFTC Regulation 15.03.
600746302

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
600746302

RULE 1408. [RESERVED]
600746302

RULE 1409. Foreign Exchange Contract – UYU Non-Deliverable Forward

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional 

amount.

Reference Currency (i.e., NonDeliverable Currency)UYU Uruguayan Peso

Spot FX Rate or Reference Rate “UYU OFFICIAL” or “UYU01 as determined by the Banco Central Del Uruguay (Central Bank of 

Uruguay) (www.bcu.gub.uy) or as specified in the EMTA template.

Settlement Currency See list below

Quoting Convention 

and Minimum Increment

Notional amount, as agreed by the counterparties.

Minimum Size Notional amount, as agreed by the counterparties.

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency.

Contracted NDF Rate or Forward Rate 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 the counterparties.

Fixing Date The date at which the difference between the Spot FX Rate/Reference Rate and the Forward 

Rate/Contracted NDF Rate is calculated.

Settlement Procedure Bilateral settlement performed in settlement currency 

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time

Clearing Venue Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 151 of the CFTC Regulations.

Reportable Levels As set forth in CFTC Regulation 15.03.
600746302

Currency list: 

AED UAE Dirham 

AFN Afghanistan Afghani 

ALL Albanian Lek 

AMD Armenia Dram 

ANG Neth. Ant. Guilder 

AOA Angolan Kwanza 

ARS Argentine Peso 

ARS Argentine Peso 

AUD Australian Dollar 

AWG Aruban Guilder 

BAM Bosnia-Herze Convrt 

Mrka

BBD Barbados Dollar 

BDT Bangladesh Taka 

BGN Bulgarian Lev 

BHD Bahraini Dinar 

BIF Burundi Franc 

BMD Bermudian Dollar 

BND Brunei Dollar 

BOB Bolivian Boliviano 

BRL Brazilian Real

BSD Bahamas Dollar 

BWP Botswana Pula 

BYR Belarus Ruble 

BZD Belize Dollar 

CAD Canadian Dollar 

CDF Congolese Franc 

CHF Swiss Franc 

CLP Chilean Peso 

CNY China Renminbi

COP Colombian Peso 

CRC Costa Rican Colon 

CVE Cape Verde Escudo 

CZK Czech Koruna 

DJF Djibouti Franc 

DKK Danish Krone 

DOP Dominican Repb. 

DZD Algerian Dinar 

EGP Egyptian Pound

ERN Eritrean Nakfa 

EUR Euro 

FJD Fiji Dollar 

GBP British Pound 

GEL Georgia Lari 

GMD Gambian Dalasi 

GNF Guinea Franc 

GTQ Guatemala Quetzal 

GYD Guyana Dollar 

HKD Hong Kong Dollar 

HNL Honduras Lempira 

HRK Croatia Kuna 

HTG Haiti Gourde 

HUF Hungarian Forint 

IDR Indonesian Rupiah

ILS Israeli Shekel 

INR Indian Rupee

ISK Iceland Krona 

JMD Jamaica Dollar 

JOD Jordanian Dinar 

JPY Japanese Yen 

KGS Kyrgyzstan Som 

KHR Cambodia Riel 

KMF Comoros Franc 

KRW South Korean Won 

KWD Kuwaiti Dinar 

KYD Cayman Islands Dollar

KZT Kazakhstan Tenge 

LAK Laos Kip 

LBP Lebanese Pound 

LKR Sri Lankan Rupee 

LTL Lithuanian Litas 

LVL Latvian Lats 

MAD Moroccan Dirham 

MDL Moldova Leu 

MGA Malagascy Ariary 

MKD Macedonia Denar 

MMK Myanmar Kyat 

MNT Mongolian Togrog 

MOP Macau Pataca 

MRO Mauritania Ouguiya 

MUR Mauritius Rupee 

MVR Maldives Rufiyaa 

MWK Malawi Kwacha 

MXN Mexican Peso 

MYR Malaysian Ringgit

MZM Mozambique Metical 

MZN New Mozambique 

Metical

NGN Nigeria Naira

NID New Iraqi Dinar 

NIO Nicaragua Cordoba 

NLG Dutch Guilder 

NOK Norwegian Krone 

NPR Nepalese Rupee 

NZD New Zealand Dollar 

OMR Omani Rial 

PAB Panamanian Balboa 

PEN Peruvian New Sol 

PGK Papua N.G. Kina 

PHP Philippines Peso

PKR Pakistani Rupee 

PLN Polish Zloty 

PTE Portuguese Escudo 

PYG Paraguay Guarani 

QAR Qatari Riyal 

ROL Romanian Leu 

RON New Romanian Leu 

RSD Serbian Dinar 

RUB Russian Ruble

RWF Rwanda Franc 

SAR Saudi Riyal 

SBD Solomon Is. Dollar 

SCR Seychelles Rupee 

SDD Sudanese Dinar 

SDG New Sudanese Pound 

SDP Old Sudanese Pound 

SEK Swedish Krona 

SGD Singapore Dollar 

SIT Slovenia Tolar 

SKK Slovakia Koruna 

SLL Sierra Leone Leone 

SOS Somali Shilling 

SRD Suriname Dollar 

SSP South Sudanese Pound

STD Sao Tome Dobra 

THB Thai Baht 

THO Thai Baht Onshore 

TJS Tajikistan Somoni 

TND Tunisian Dinar 

TOP Tonga Pa'Anga 

TRY Turkish Lira 

TTD Trinidad/Tobago Dol 

TWD Taiwan Dollar

TZS Tanzanian Shilling 

UAH Ukraine Hryvnia

UGX Ugandan Shilling 

USD US Dollar

UYU Uruguay Peso 

UZS Uzbekistan Sum 

VEE Venezuela Essential Rate

VEF Venezuelan Bolivar

VND Vietnamese Dong

VUV Vanuatu Vatu 

WST Samoa (West) Tala 

XAF CFA Franc Beac

XCD East Caribbean Dollar

XDR Special Drawing Rights

XOF CFA Franc Bceao

XPF Pacific Island Franc

YER Yemeni Rial 

ZAR S. African Rand 

ZMK Zambian Kwacha 

ZMW Zambian Kwacha

ZWR Zimbabwe Dollar
Annex A

Excerpt from ISDA Dodd Frank Act-Swap Transaction 

Reporting Party Requirements 

Product Attribute Determination

RP Tiebreaker Logic ‐ Rates

Trade Type Explanation Reporting Party

Cap/ Floor When a single Fixed Rate Payer exists Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

Debt Option All Option Buyer

Exotic All Reverse ASCII sort, first LEI/Entity ID

FRA All Fixed Rate Payer

IRS Basis All Reverse ASCII sort, first LEI/Entity ID

IRS Fix‐Fix All Reverse ASCII sort, first LEI/Entity ID

IRS Fix‐Float All Fixed Rate Payer

IRSwap: Inflation When a single Fixed Rate Payer exists Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

IRSwap: OIS All Fixed Rate Payer

Swaption All Option Buyer

XCCY Basis All Reverse ASCII sort, first LEI/Entity ID

XCCY Fix‐Fix All Reverse ASCII sort, first LEI/Entity ID

XCCY Fix‐Float All Fixed Rate Payer

 

 
C-1

Exhibit C

Rulebook (marked) 

[see attached] 
BLOOMBERG SEF LLC

RULEBOOK

DECEMBER 5, 2022

JANUARY 1, 2024

60070281600746302
CHAPTER 1. DEFINITIONS 1

CHAPTER 2. SEF GOVERNANCE 15

RULE 201. Board 15

RULE 202. [Reserved] 15

RULE 203. [Reserved] 15

RULE 204. Regulatory Oversight Committee 15

RULE 205. Additional Committees and Panels 16

RULE 206. Power of the Board to Review Decisions 16

RULE 207. Eligibility 17

RULE 208. Officers 18

RULE 209. Chief Compliance Officer 18

RULE 210. Conflicts of Interest 20

RULE 211. Restrictions on Certain Persons who Possess Material, Non-Public

Information: Improper Use or Disclosure of Material Non-Public Information 22

RULE 212. Emergency Rules 22

RULE 213. Information-Sharing Agreements 23

RULE 214. Regulatory Services Agreement with the Regulatory Services Provider 24

CHAPTER 3. PARTICIPANTS 25

RULE 301. Eligibility Criteria for Becoming a Participant 25

RULE 302. Authorized Traders 26

RULE 303. Participant Application Process; Termination of Participant 27

RULE 304. Trading Privileges of a Participant 28

RULE 305. Termination or Limitation of Trading Privileges and Trading Access 28

RULE 306. Assessments and Fees 29

RULE 307. Authorized Representatives 29

RULE 308. Recording of Communications 30

RULE 309. Notices to Participants 30

RULE 310. Communications between BSEF and Participants 30

RULE 311. Application of BSEF Rules and Jurisdiction 30

RULE 312. Description of Participant’s Status 31

RULE 313. Dissolution of Participants 31

RULE 314. Withdrawal of Participant 31

RULE 315. Compliance with the Commodity Exchange Act 31

RULE 316. Access 32

RULE 316.A. ECP Access 32

RULE 316.B. ISV Access 32

RULE 317. Direct Market Access 32

RULE 318. Legal Certainty for SEF Trades 32

RULE 319. Rights and Responsibilities after Suspension or Termination 33

ii
CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, DMA

CUSTOMERS, AUTHORIZED TRADERS AND SUPERVISED

PERSONS 34

RULE 401. Duties and Responsibilities 34

RULE 402. Required Disclosures to BSEF 34

RULE 403. Inspections by BSEF 35

RULE 404. Minimum Financial and Related Reporting Requirements 36

RULE 405. Position Liquidation upon Default 36

RULE 406. Authority to Impose Restrictions 36

RULE 407. Customers and Accounts 36

RULE 408. Disclosure Requirements; Know Your Counterparty Requirements 37

RULE 409. Books and Records 37

RULE 409.A. Participant and Clearing Member Books and Records 37

RULE 409.B. BSEF Books and Records 38

RULE 410. Responsibility for Mandatory Trading 38

RULE 411. Eligibility for Clearing Exempt Transactions 38

RULE 412. YLDVOL Forward Swap Contract Eligibility 39

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND BUSINESS

CONDUCT 39

RULE 501. Scope 39

RULE 502. Procedures 39

RULE 503. Business Days and Trading Hours 3940

RULE 504. Rule Violations 3940

RULE 505. Fraudulent Acts 40

RULE 506. Prohibited Transactions 40

RULE 506.A Fictitious or Wash Transactions 40

RULE 506.B Pre-Arranged Transactions 4041

RULE 507. Pre-Execution Communications 41

RULE 508.A Price Manipulation 41

RULE 508.B Disruptive Practices 41

RULE 508.C Post-Trade Anonymity 41

RULE 509. Prohibition of Misstatements 4142

RULE 510. Acts Detrimental to Welfare of SEF 4142

RULE 511. Adherence to Law 42

RULE 512. Use of Trading Privileges 42

RULE 513. Supervision 42

RULE 514. Misuse of the SEF Platform 4243

RULE 515. Mishandling of Customer Orders 43

RULE 516. Trade Cancellation, Correction, Offset and Adjustment – General 43

RULE 516.A Notification of Action Taken and Trade Review – Cleared Swaps 4344

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset – Cleared

Swaps 45

iii
RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment – Non-Cleared

Swaps 4647

RULE 516.D Prime Broker Trades 47

RULE 516.E Trade Cancellation and Adjustment by BSEF 47

RULE 516.F Trade Reporting by BSEF 4748

RULE 517. Withholding Orders Prohibited 48

RULE 518. Priority of Customers’ Orders 48

RULE 519. Trading Against Customers’ Orders Prohibited 48

RULE 519.A. General Prohibition 48

RULE 519.B. Exceptions 48

RULE 520. Disclosing Orders Prohibited 48

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial Owners 4849

RULE 522. Execution of Orders on the SEF Platform 49

RULE 522.A. Required Transactions and Cleared Swaps 49

RULE 522.B. Permitted Transactions 50

RULE 522.C. Package Transactions 50

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption 50

RULE 522.E. Block Trades in Swaps 50

RULE 523. Trade Confirmations 51

RULE 524. Order Entry Requirements 5253

RULE 524.A. General 53

RULE 524.B. Customer Type Indicator (CTI) Codes 54

RULE 524.C. Pre-Arranged Transactions 54

RULE 525. Position Limits 54

RULE 526. Exemptions from Position Limits 55

RULE 527. Position Accountability 55

RULE 528. Bunched Orders and Orders Eligible for Post-Execution Allocation 55

RULE 529. Orders Entered Prior to SEF Opening 56

RULE 530. Identification of Authorized Traders 56

RULE 531. Pre-Arranged Transactions 5657

RULE 531.A. Block Trades 5657

RULE 531.B. Trade Correction 5758

RULE 532. Reporting to SDR 58

RULE 533. Cleared Swaps 59

RULE 534. Non-Cleared Swaps 59

RULE 535. Risk Controls 60

CHAPTER 5A. YLDVOL FORWARD SWAP SETTLEMENT PRICE AUCTION 60

CHAPTER 6. DISCIPLINARY RULES 6063

RULE 601. General 6063

RULE 602. Inquiries and Investigation 6164

RULE 603. Investigative Reports 6265

RULE 604. Warning Letters 6365

RULE 605. Review of Investigation Reports 6365

RULE 606. [Reserved] 6467

iv
RULE 607. Notice of Charges 6467

RULE 608. Service of Notice of Charges 6567

RULE 609. Answer to Notice of Charges 6567

RULE 610. Admission or Failure to Deny 6668

RULE 611. Denial of Charges and Right to a Hearing 6668

RULE 612. Settlements 6668

RULE 613. Disciplinary Panel 6770

RULE 614. Convening Disciplinary Proceeding Hearings 6870

RULE 615. Respondent Review of Evidence 6871

RULE 616. Conducting Disciplinary Proceeding Hearings 6972

RULE 617. Decision of Disciplinary Panel 7173

RULE 618. Sanctions 7174

RULE 619. Costs 7275

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary Impositions of Fines

and Other Summary Actions 7375

RULE 621. Summary Imposition of Fines 7577

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities 7678

RULE 623. [Reserved] 7679

RULE 624. Notice to the Respondent, the Regulatory Services Provider and the Public 7679

CHAPTER 7. ARBITRATION 7679

RULE 701. General 7679

RULE 702. Forum and Arbitration Rules 7779

RULE 703. Initiating an Arbitration Claim 7780

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments 7780

RULE 705. Penalties 7780

CHAPTER 8. MISCELLANEOUS 7880

RULE 801. Anti-Money Laundering and Anti-Terrorism 7880

RULE 802. Gifts and Gratuities 7880

RULE 803. Market Data 7880

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes 7981

RULE 805. Confidentiality 7981

RULE 806. Extension or Waiver of BSEF Rules 8082

RULE 807. Effect of Amendment, Repeal or New Rule 8082

RULE 808. Swap Contract Specifications 8082

RULE 809. Timely Publication of Trading Information 8183

RULE 810. Governing Law, Jurisdiction and Dispute Resolution 8183

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES 8284

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES 8284

RULE 902. Indemnification by BSEF 8487

CHAPTER 10. [RESERVED] 8587

v
CHAPTER 11. [RESERVED] 8587

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS 8688

RULE 1201. CDS Index Contract – North America High Yield 8688

RULE 1202. CDS Index Contract – North America Investment Grade 8789

RULE 1203. CDS Index Contract – CDX Emerging Markets 8890

RULE 1204. CDS Index Contract – Europe 8991

RULE 1205. CDS Index Contract – Europe Crossover 9092

RULE 1206. CDS Index Contract – Europe HiVol 9193

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial 9294

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe 9395

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial 9496

RULE 1210. CDS Index Contract – iTraxx Japan 9597

RULE 1211. CDS Index Contract – iTraxx Australia 9698

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y 9799

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y 98100

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y 99101

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y 100102

RULE 1216. Option – CDS Index Contract CDX North America High Yield 101103

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade 102104

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets 103105

RULE 1219. Option – CDS Index Contract – iTraxx Europe 104106

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover 105107

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol 106108

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA 107109

RULE 1223. CDS Index Contract – LCDX 108110

RULE 1224. CDS Index Contract – MCDX 109111

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe 110112

RULE 1226. Option – CDS Index Contract – LCDX 111113

RULE 1227. Option – CDS Index Contract – MCDX 112114

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan 113115

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial 114116

RULE 1230. CDS Index Contract - iTraxx MSCI ESG Screened Europe Index 115117

RULE 1231. CDS Index Contract - CDX North American Investment Grade (BBB-rated)

Index 116118

RULE 1232. CDS Index Contract - CDX North American High Yield (Ex-BB) Index

Contract 117119

RULE 1233. CDS Index Contract – iTraxx Asia Ex-Japan IG (Restricted) Index Contract118120

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS 119121

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract 119121

RULE 1302. [Reserved] 120122

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* 121123

RULE 1304. [Reserved] 122124

vi
RULE 1305. [Reserved] 122124

RULE 1306. [Reserved] 122124

RULE 1307. [Reserved] 122124

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract 123125

RULE 1309. [Reserved] 124126

RULE 1310. [Reserved] 124126

RULE 1311. [Reserved] 124126

RULE 1312. [Reserved] 124126

RULE 1313. [Reserved] 124126

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract* 125127

RULE 1315. USD Basis Swap Contract 126128

RULE 1316. [Reserved] 128130

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract 129131

RULE 1318. A USD SOFR OIS Fixed-to-Floating Swap Contract 132

RULE 1318B Option - USD SOFR OIS Fixed-to-Floating Swap Contract 130134

RULE 1319. [Reserved] 131135

RULE 1320. [Reserved] 131135

RULE 1321. [Reserved] 131135

RULE 1322. [Reserved] 131135

RULE 1323. [Reserved] 131135

RULE 1324. [Reserved] 131135

RULE 1325. [Reserved] 131135

RULE 1326. [Reserved] 131135

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract 128

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract 129

RULE 1329. [Reserved] 130

RULE 1330. [Reserved] 130

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract 131

RULE 1332. [Reserved] 132

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract 133

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract 134

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract 135

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract 136

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract 137

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract 138

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract 139

RULE 1340. [Reserved] 140

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract 141

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating

Swap Contract 142

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract 143

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract 144

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract 145

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract 146

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract 147

vii
RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon

Fixed-to-Floating Swap Contract 148

RULE 1349. [Reserved]USD YLDVOL Forward Swap Contract 149

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract 150151

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract 151152

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract 152153

RULE 1353. EUR €STR Fixed-to-Floating Swap Contract 153154

RULE 1354. JPY OIS TONAR Fixed-to-Floating Swap Contract 154155

RULE 1355. SGD SOR Fixed-to-Floating Swap Contract 155156

RULE 1356. OIS SORA Fixed-to-Floating Swap Contract 156157

RULE 1357. CAD OIS CORRA Fixed-to-Floating Swap Contract 157158

RULE 1358. USD U.S. CPI Urban Consumers Not Seasonably Adjusted Fixed-to-Floating

(Inflation Zero Coupon) Swap Contract 158159

RULE 1359. EUR Eurostat Eurozone Harmonized Index of Consumer Prices Excluding

Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap Contract 159160

RULE 1360. GBP UK Retail Prices Index Fixed-to-Floating (Inflation Zero Coupon)

Swap Contract 160161

RULE 1361. EUR France Inflation Consumer Price Index Excluding Tobacco

Fixed-to-Floating (Inflation Zero Coupon) Swap Contract 161162

RULE 1362. Colombian Peso Indicador Bancario Referencia Overnight Fixed-to-Floating

Swap Contract 162163

RULE 1363. ILS TELBOR Fixed-to-Floating Swap Contract 163164

RULE 1364. NZD OIS Reserve Bank of New Zealand Official Daily Cash Rate

Fixed-to-Floating Swap Contract 164165

RULE 1365. USD BSBY Fixed-to-Floating Swap Contract 165166

RULE 1366. THB THOR Fixed-to-Floating Swap Contract 166167

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS 167168

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward 167168

RULE 1402. Foreign Exchange Contract – Vanilla FX Option 173174

RULE 1403. Foreign Exchange Contract – Exotic FX Option 175176

RULE 1404. [RESERVED] 177178

RULE 1405. Foreign Exchange Contract – Average Rate Forward 178179

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward 180181

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward 182183

RULE 1408. [RESERVED] 184185

RULE 1409. Foreign Exchange Contract – UYU Non-Deliverable Forward 185186

Annex A ISDA Dodd Frank Act-Swap Transaction Reporting Party Requirements

viii
CHAPTER 1. DEFINITIONS

When used in the BSEF Rules the following terms shall have the respective meanings as

follows:

“Account” means a Person (including a Prime Broker) that (i) granted in

Writing (standalone or as part of a broader instrument) to an Account

Manager investment or trading authority to send RFQs, place Orders and

execute Trades on the SEF on behalf and in the name of such Person; and

(ii) is a Counterparty to a Trade. The definition of “Account” shall not

include any investor, shareholder or any other Person with beneficial

ownership in the Account.

“Account Manager” means a Person that acts as an agent and

attorney-in-fact to buy or sell Swaps via the SEF operated by BSEF in the

name and on behalf of another Person. An Account Manager may also be

a Participant.

“Act” or “CEA” means the Commodity Exchange Act, as amended from

time to time.

“Affected Person” means a SEF applicant whose admission application is

declined or is conditioned or a Person whose status as a Participant is

terminated as set forth in Rule 303(e).

“Affiliate” means, with respect to any Person, any Person who, directly or

indirectly, Controls, is Controlled by, or is under common Control with,

such other Person.

“Alleged Error Trade” has the meaning set forth in Rule 516.A(a).

“Appeals Panel” means a panel appointed by the Chief Compliance

Officer pursuant to Rule 620.

“Applicable Law” means, with respect to any Person, any statute, law,

regulation, rule or ordinance of any governmental or Self-Regulatory

Organization applicable to such Person, including the CEA and CFTC

Regulations.

“Appropriate Minimum Block Size” means the minimum notional or

principal amount for a category of Swap that qualifies as a Block Trade

pursuant to CFTC Regulation 43.6.

“Authorized Representative” means any Person who is authorized by a

Participant to represent the Participant in SEF matters pursuant to Rule

307.

“Authorized Trader” means any natural person associated with a

Participant and, if applicable, a DMA Customer who (i) has Trading

1
Access to the SEF operated by BSEF using a Participant ID and (ii) is

assigned a valid Trader ID.

“Block Trade” means a single Swap transaction publicly reportable under

Part 43 of the CFTC Regulations that:

(a) Involves a Swap that is listed on BSEF;

(b) Occurs away from the SEF Platform or is executed using

functionality on the SEF Platform that is not the Order Book;

(c) Has a notional or principal amount at or above the Appropriate

Minimum Block Size applicable to such Swap; and

(d) Is reported as set forth in Rule 532.

“Board” means the Board of Directors of BSEF constituted from time to

time in accordance with the Operating Agreement.

“BSEF” means Bloomberg SEF LLC, a Delaware limited liability

company.

“Bunched Orders” means a single Order placed by an Account Manager

for two or more of its Accounts on the SEF operated by BSEF pursuant to

Rule 528.

“Business Day” means a day on which the SEF operated by BSEF is open

for trading.

“By-Laws” means, with respect to any Person that is not an individual, the

By-Laws or Operating Agreement of such Person, and, if no other Person

is specified, means the By-Laws or Operating Agreement of BSEF.

“CFTC” or “Commission” means the Commodity Futures Trading

Commission or any successor regulatory body.

“CFTC Regulations” means the rules and regulations promulgated by the

CFTC, as amended.

“Chief Compliance Officer” means the individual appointed by the

Board as BSEF’s chief compliance officer in accordance with the

Operating Agreement, with the duties and responsibilities as may be

prescribed by the Board from time to time as set forth in Rule 208.

“Chief Technology Officer” means the individual with the duties and

responsibilities related to supervision of technology of the SEF operated

by BSEF.

“Claim” has the meaning set forth in Rule 902.

2
“Cleared Swap” means a Swap that is subject to the mandatory clearing

requirement of Section 2(h)(1)(A) of the CEA or any Swap that is

intended by a Participant to be submitted to a DCO for clearing

contemporaneously with execution.

"Clearing Account Identifier" means a unique identifier assigned to a Participant or

Account by a Clearing House.

“Clearing Exception” means an exception from the clearing requirement

set forth in Section 2(h)(1) of the Act because one counterparty to the

transaction is entitled to the exception from the clearing requirement set

forth in Section 2(h)(7) of the Act, CFTC Regulations or CFTC Staff

No-Action Letters.

“Clearing Exception Form” has the meaning set forth in Rule 411.

“Clearing Exempt Transaction” means a Trade exempt from the

clearing requirement of Section 2(h)(1) of the Act because one

Counterparty to the Trade is entitled to and has elected to use a Clearing

Exception.

“Clearing House” means such Derivatives Clearing Organization(s)

registered with the Commission or Derivatives Clearing Organization(s)

that the Commission has determined to exempt from registration that

provide clearing services with respect to any or all of Swaps traded on the

SEF operated by BSEF.

“Clearing House Rules” means the Certificate of Incorporation, the

By-Laws and any rule, interpretation, stated policy, or instrument

corresponding to any of the foregoing, in each case as adopted or amended

from time to time by the Clearing House relating to any or all of the

Swaps.

“Clearing Member” means a member of a Clearing House that is

authorized to clear trades in any or all Swaps for a Participant or its

Accounts or Customers. Each Clearing Member must sign documentation

required by BSEF.

“Client” means an Account.

“CLOB” means an Order Book that will match Orders pursuant to pre-determined,

non-discretionary methods. All bids and offers entered into the CLOB must be firm.

The CLOB supports the following Order types:

(a) Market Order (Fill_Or_Kill; Immediate_or_Cancel)

(b) Limit Order (Fill_Or_Kill; Immediate_Or_Cancel; Good_Til_Date/Time).

“Compliance Department” means all SEF Officials and/or agents of

BSEF (including the Regulatory Services Provider) that assist BSEF with

3
the implementation, surveillance and enforcement of the BSEF Rules and

other Obligations.

“Confirmation” has the meaning set forth in Rule 523(a).

“Control” means the possession, direct or indirect, of the power to direct

or cause the direction of the management and policies of a Person,

whether through the ownership of securities, by Swap, or otherwise. The

terms “controlling” or “controlled” shall have meanings correlative to the

foregoing.

“Correcting Trade” means a Trade executed and submitted for clearing

to a Clearing House, with the same terms and conditions as an Error Trade

other than any corrections to any operational or clerical error and the time

of execution.

“Counterparty” means a Participant or a Participant’s Account or

Customer whose Legal Entity Identifier is reported by BSEF to an SDR as

a counterparty to a Trade.

“Covered Package Transaction” means a Package Transaction that has

at least one or more of the following components:

a. the issuance of a bond in the primary market;

b. a commodity for future delivery (until November 15, 2025);

c. a swap (as defined in Section 1a(47) of the CEA) that is not

subject to the clearing requirement;

d. a non-swap (as defined in Section 1a(47) of the CEA) instrument

other than an instrument listed in subsections a or b above or U.S.

Treasury securities or agency mortgage-based securities; or

e. a swap over which the Commission does not have exclusive

jurisdiction such as a mixed swap (as defined in Section 1a(47)(D)

of the CEA).

“CTI” has the meaning set forth in Rule 524.B.

“Customer” means any Person who uses an FCM or Introducing Broker

as agent in connection with trading in any Swap on the SEF operated by

BSEF. The term “Customer” shall include a DMA Customer.

“Customer Account” means an account carried by a Participant on behalf

of a Customer.

“Daily Settlement Price” means the settlement price for a Swap

calculated each Business Day by or on behalf of BSEF. The Daily

4
Settlement Price can be expressed in currency, spread, yield or any other

appropriate measure commonly used in swap markets.

“DCM” means a contract market or designated contract market as defined

in CFTC Regulation 1.3(h).

“Derivatives Clearing Organization” or “DCO” has the meaning

attributed to such term by Section 1a(9) of the CEA.

“Direct Market Access” or “DMA” means an arrangement among a

Sponsoring Broker, its Customer and BSEF that allows one or more

representatives of that Customer to have Trading Access using the

Participant ID of the Sponsoring Broker.

“Director” means a member of the Board.

“Disciplinary Panel” means the panel appointed pursuant to Rule 613(b)

to conduct hearings in connection with disciplinary proceedings (other

than summary impositions of fines pursuant to Rule 601(b)), to make

findings, render decisions, and impose sanctions pursuant to Chapter 6 of

the Rules. The Disciplinary Panel must meet the composition

requirements set forth in Part 40 of the CFTC Regulations and the

composition requirements set forth in Rule 613(b).

“Disclosed Order Book” means a screen on the SEF Platform where

Participants have the ability to enter multiple indicative, disclosed bids

and offers in foreign exchange Swaps, observe or receive bids and offers

entered by other market participants, and transact on such bids and offers.

“Dispute” has the meaning set forth in Rule 701.

“DMA Customer” means a Customer of a Sponsoring Broker where

representatives of the Customer that are natural persons are designated by

the Sponsoring Broker to have Trading Access to the SEF Platform using

the Participant ID of the Sponsoring Broker and where such Customer

signs the DMA Customer Documentation.

“DMA Customer Documentation” means the agreements (together with

any applicable schedules, exhibits or appendices thereto required by

BSEF) in form and substance acceptable to BSEF, that are required to be

executed and delivered to BSEF before a DMA Customer may access the

SEF Platform. Except as otherwise provided in these Rules, in the event

of any conflict between these Rules and the DMA Customer

Documentation, these Rules shall govern.

“DMA Order” means an Order or RFQ placed by a DMA Customer

using the Participant ID of the Sponsoring Broker.

5
“ECP” means an eligible contract participant as defined in Section 1a(18)

of the CEA.

“Eligibility Criteria” means the criteria set forth in Rule 301(a).

“Emergency” means any occurrence or circumstance that, in the opinion

of the Board, or a Person or Persons duly authorized to issue such an

opinion on behalf of the Board under circumstances and pursuant to

procedures that are specified, requires immediate action and threatens or

may threaten such things as the fair and orderly trading in, or the

liquidation of or delivery pursuant to, any agreements, contracts, swaps or

transactions or the timely collection and payment of funds in connection

with clearing and settlement by a derivatives clearing organization,

including: (a) any manipulative or attempted manipulative activity; (b)

any actual, attempted or threatened corner, squeeze, congestion or undue

concentration of positions; (c) any circumstances which may materially

affect the performance of agreements, contracts, swaps or transactions,

including failure of the payment system or the bankruptcy or insolvency

of any participant; (d) any action taken by any governmental body, or any

other registered entity, board of trade, market or facility which may have a

direct impact on trading or clearing and settlement; (e) at the request of

the CFTC; and (f) any other circumstance which may have a severe,

adverse effect upon the functioning of BSEF.

“Emergency Rules” has the meaning set forth in Rule 212(a).

“End of Trading” means such time as BSEF may from time to time

prescribe. The End of Trading is the time as of which such actions as are

specified in the BSEF Rules or the relevant Swap Specifications as taking

place at the end of a Business Day, such as determination Daily

Settlement Prices, will occur.

“Error Trade” means a Trade in a Cleared Swap executed on or subject to

the rules of a SEF that contains an operational or clerical error, including

incorrect leg sequencing.

“Fill-Or-Kill” means that the Order must be immediately filled

completely or canceled.

“Financial Entity” has the meaning set forth in CEA Section 2(h)(7)(C).

“Futures Commission Merchant” or “FCM” has the meaning set forth

in Section 1a(28) of the CEA or a foreign person performing a similar role

or function with respect to a Person that is not a U.S. Person and subject

as such to foreign regulation.

“Good-til-Date/Time” means that the Order has an expiration time and

date.

6
“Governmental Body” means (a) any U.S. or non-U.S. federal, national,

state or local court or (b) any U.S. or non-U.S. federal, national, state or

local entity that is (i) a governmental authority, (ii) a regulatory body or

(iii) a self-regulatory body.

“Immediate-Or-Cancel” means that the Order may be filled partially,

but the Order must be actioned immediately, or else canceled. Any

remaining portion will be canceled.

“Interested Person” has the meaning attributed to such term in Rule

210(a).

“Introducing Broker” has the meaning set forth in CFTC Regulation

1.3(mm) or a foreign person performing a similar role or function with

respect to a Person that is not a U.S. Person and subject as such to foreign

regulation.

“ISDA” means the International Swaps and Derivatives Association, Inc.

“ISV” means an independent software vendor.

“Legal Entity Identifier” has the meaning set forth in Part 45 of the 

CFTC Regulations.

“Local Law” has the meaning attributed to such term in Rule 810(a).

“Major Swap Participant” has the meaning set forth in Section 1a(33) 

of the CEA.

 “MAT Recipient Participant” shall have the meaning set forth in Rule

522.A(b).

“NFA” means the National Futures Association.

“No-Bust Range” shall have the meaning set forth in Rule 535(c).

“Non-Cleared Swap” means a Swap that is not a Cleared Swap.

“Non-Cleared Swap Agreement” means an underlying

previously-negotiated freestanding agreement that governs the

performance and settlement of a Non-Cleared Swap and applicable credit

support and default provisions, including, without limitation, ISDA master

agreements, other master agreements, terms supplements and master

confirmation agreements incorporating industry definitions.

“Notice of Charges” means a notice sent by the Compliance Department

pursuant to Rule 607.

7
“Notice to Participants” means a communication sent by or on behalf of

BSEF to all Participants as described in Rule 309. Please see all Notices to

Participants, which are posted on BSEF’s website.

“Obligation” means each BSEF Rule, order or procedure issued by BSEF,

including Notice to Participants, and other requirement implemented by

BSEF under the BSEF Rules.

“Officer” has the meaning attributed to such term in Rule 208.

“Offsetting Trade” means a Trade executed and submitted for clearing to

a Clearing House, with terms and conditions that economically reverse an

Error Trade that was accepted for clearing.

“Operating Agreement” means the operating agreement of BSEF.

“Order” means (i) a firm response to a Request For Quote, (ii) a response

to a Resting Quote, (iii) the display of a quote on an Order Book or (iv) a

firm offer to enter into a Swap.

In addition to an Order to execute at a specific price and CLOB Order

types, the SEF Platform supports the following types of special Orders:

“Best Price Order” means an Order that can be sent using RFQT

for rate Swaps and that contains a condition to prevent the

execution by the SEF Platform of such an Order where a

Responding Participant has updated its quotation to a better price

(as defined by the Requesting Participant) for the Requesting

Participant.

“Reserve Price Order” means an Order that can be sent using

RFQT for rate Swaps and that will be automatically sent to the

Recipient Participant that responds with a price that is at or better

than the price designated in advance by the Requesting Participant.

Please see Notice to Participants 2016-3, which is posted on

BSEF’s website.

“Order Book” means the trading system or platform operated by BSEF in which all

market participants in the trading system or platform have the ability to enter multiple

bids and offers, observe or receive bids and offers entered by other market participants,

and transact on such bids and offers. A Participant must indicate if a bid or offer posted

on an Order Book is firm or indicative.

“Package Transaction” means a transaction involving two or more

instruments:

(a) that is executed between two or more Counterparties;

8
(b) that is priced or quoted as one economic transaction with

simultaneous or near simultaneous execution of all components;

(c) that has at least one component that is a Required Transaction; and

(d) where the execution of each component is contingent upon the

execution of all other components.

“Participant” means any Person that has been granted, and continues to

have, Trading Privileges under the BSEF Rules and has signed the

Participant Documentation or DMA Customer Documentation. Subject to

Applicable Law, a Participant may trade for its own proprietary account or

for or on behalf of a Customer or Account. An ISV cannot be a

Participant.

“Participant Documentation” means the agreements (together with any

applicable schedules, exhibits or appendices thereto required by BSEF) in

form and substance acceptable to BSEF, that are required to be executed

and delivered to BSEF before a Person may access the SEF operated by

BSEF as a Participant. Participant Documentation shall not include DMA

Customer Documentation.

“Participant ID” means each unique identifier assigned to a Participant

other than a DMA Customer by BSEF for access to the SEF operated by

BSEF.

“Permitted Transaction” means any transaction involving (i) a Swap that

is not a Required Transaction or (ii) a Required Transaction that is a

component of a Covered Package Transaction.

“Person” means a natural person or an entity.

“Pre-Execution Communication” means a communication between two

Persons for the purpose of discerning interest in the execution of a Swap

prior to execution of the Swap on the SEF operated by BSEF, including

any communication that involves discussion of the size, side of market, or

price of an Order or a potentially forthcoming Order; provided that any

communication between two Persons that involves an agreement between

the parties to a Swap that legally binds the parties to such Swap shall not

be considered a Pre-Execution Communication.

“President” means the individual appointed by the Board as BSEF’s chief

executive officer in accordance with the Operating Agreement, with the

duties and responsibilities as may be prescribed by the Board from time to

time as set forth in Rule 208.

“Prime Broker” means a Person that acts as credit counterparty for

transactions executed on the SEF in the name and on behalf of such

Person by its client or an agent of its client that is a BSEF Participant and

9
that has authorized a Participant to send RFQs, place Orders or enter into

Trades in the name and on behalf of such Person.

“Prime Broker Trade” means a Trade in a Non-Cleared Swap where one

Counterparty is a Prime Broker and the other is a Participant with which the

Prime Broker has a Non-Cleared Swap Agreement. Only a Permitted Transaction

can be a Prime Broker Trade.

“Proprietary Account” has the meaning set forth in CFTC Regulation

1.3(y).

“Public Director” means a Person that meets the qualifications described

in Rule 207(e).

“Qualified Account Manager” means any Person with more than $25,000,000 in

total assets under management that is either: (A) a commodity trading advisor

registered pursuant to Section 4n of the Act, or exempt from registration under the

Act, or a principal thereof, who has discretionary trading authority or directs

client accounts; (B) an investment adviser who has discretionary trading authority

or directs client accounts and satisfies the criteria of CFTC Regulations §

4.7(a)(2)(v); or (C) a foreign person who performs a similar role or function as

the persons described in sub-paragraphs (A) or (B) above and is subject as such to

foreign regulation.

“Regulatory Oversight Committee” means the committee of the Board

constituted in accordance with Rule 204.

“Regulatory Services Agreement” means the agreement between BSEF

and the Regulatory Services Provider whereby the Regulatory Services

Provider provides market surveillance and trade practice surveillance

functions as well as other compliance related services to the SEF operated

by BSEF.

“Regulatory Services Provider” means the organization which provides

regulatory services to BSEF pursuant to a Regulatory Services

Agreement.

“Reporting Counterparty” has the meaning set forth in Part 45 of the CFTC 

Regulations.

“Request for Quote” or “RFQ” means an electronic message

disseminated on the SEF Platform for the purposes of soliciting bids or

offers for a specific Swap.

“Request for Quote Functionality” means RFQT or RFQS. All RFQs

and responses to RFQs will disclose the name of the Person with which

the Authorized Trader who placed an Order or sent an RFQ is associated

with in BSEF’s records.

10
“RFQS” means a SEF Platform functionality that allows a Requesting

Participant to request a continuous stream of indicative quotes in a Swap

from other Participants. At any time during the continuous stream, a

Requesting Participant may send an Order to buy and/or sell a Swap to a

Participant that provided an indicative quote. A Requesting Participant

must provide to BSEF a standing instruction regarding RFQS recipients

that will be applied by BSEF to all RFQS for such Requesting Participant.

The SEF Platform will automatically display to a Requesting Participant a

continuous stream of indicative quotes from all Participants indicated in

the standing instruction upon Requesting Participant’s access to the SEF

Platform. The Requesting Participant may send an Order to a recipient

Participant requesting an execution at the price indicated in the indicative

response.

“RFQT ” means a functionality of the SEF Platform that allows a

Requesting Participant to send an RFQ to buy and/or sell a Swap to any

Participant(s), to which all such Participants may respond with a firm or

indicative quote. The Requesting Participant may accept a firm response

to an RFQ from a Recipient Participant or send an Order to a Recipient

Participant requesting execution.

(a) For RFQT for credit Swaps, if the SEF Platform receives from the

same Recipient Participant that provided the initial price accepted by

a Requesting Participant an updated response to an RFQ after the

Requesting Participant’s acceptance and before the execution of a

Trade by BSEF (a “Revised Price”); and

(i) if the firm Revised Price is better for the Requesting Participant

than the firm initial price the Requesting Participant accepted, then

the Trade will be executed by the SEF Platform at such Revised

Price;

(ii) if the firm Revised Price is worse for the Requesting Participant

than the firm initial price the Requesting Participant accepted, then

the acceptance of the initial price by the Requesting Participant will

be rejected by the SEF Platform.

(b) For RFQT for foreign exchange Swaps in the event that any

Recipient Participant provides an updated price at the same time as a

Requesting Participant intends to accept a firm response to the RFQ,

then the Requesting Participant’s Trade will be executed at such

updated price, rather than at the price which the Requesting

Participant intended to accept initially. If the updated price is an

indicative response, Requesting Participant’s Order will be sent for

execution by the SEF Platform at the updated price.

“Requesting Participant” means a Participant initiating an RFQ.

11
“Required Transaction” means any transaction involving a Swap that is

subject to the trade execution requirement of Section 2(h)(8) of the Act.

“Recipient Participant” means a Participant that has received an RFQ

from a Requesting Participant.

“Resting Quote” means any firm or indicative bid or offer displayed on

an Order Book.

“Rules” means, with respect to any Person, the rules of such Person and

the interpretations, resolutions, orders, directives and procedures of the

Person thereunder as in effect from time to time, and if no other Person is

specified, means the Rules of the SEF operated by BSEF and the

interpretations, resolutions, orders and directives and procedures of the

SEF operated by BSEF thereunder as in effect from time to time.

“SDR” means a swap data repository, as defined in Section 1a(48) of the

CEA.

“SEC” means the U.S. Securities and Exchange Commission.

“SEF” means a swap execution facility as defined in Section 1a(50) of the

CEA.

“SEF Action” and “SEF Actions” have the meanings attributed to such

terms in Rule 210(a).

“SEF Data” has meaning set forth in Rule 803(a).

“SEF Activity” means business for which a Participant is subject to the

BSEF Rules, which is purportedly conducted subject to the BSEF Rules,

or which should have been conducted subject to the BSEF Rules including

Permitted Transactions and Block Trades.

“SEF Official” means any Director or Officer of, or individual employed

directly by, BSEF, the Regulatory Services Provider or any individual

rendering similar services to BSEF under an administrative or similar

agreement.

“SEF Platform” means the electronic trading system of the SEF

established and operated by BSEF, or any successor thereto, that is made

available by BSEF to Participants for trading in Swaps.

“SEF Proceeding” has the meaning attributed to such term in Rule

210(a).

“Self-Regulatory Organization” or “SRO” shall, unless otherwise

provided, have the meaning attributed to such term in CFTC Regulation

1.3(ee) and, in addition, shall include a Derivatives Clearing Organization,

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and a registered futures association. BSEF is a self-regulatory

organization.

“Sponsoring Broker” means a Participant other than a DMA Customer

that allows its designated Customers to access the SEF Platform using the

Participant ID of the Participant and (i) with respect to Cleared Swaps, is a

Clearing Member; and (ii) with respect to Non-Cleared Swaps, is (x) an

FCM or Introducing Broker; or (y) non-U.S. Person acting in a similar

capacity that is not required to register as an FCM or Introducing Broker

under the Act and that is appropriately licensed in a jurisdiction where its

DMA Customer is located.

“Supervised Persons” means any directors, officers, employees or agents

of any Participant.

“Swap” means any agreement, contract or transaction that is a swap as

defined in Section 1a(47) of the CEA and as further defined by the CFTC,

which is listed on the SEF operated by BSEF in accordance with CFTC

Regulation 37.4.

“Swap Dealer” has the meaning set form in Section 1a(49) of the CEA.

“Swap Specification” means, with respect to any Swap, the Rules or

other trading protocols containing specifications for such Swap, as

adopted, amended, supplemented or otherwise modified from time to time

by BSEF.

“Terms Incorporated by Reference” has the meaning set forth in Rule

523(c).

“Trade” means any purchase or sale of any Swap executed on the SEF

Platform or subject to BSEF Rules.

“Trade Communication” has meaning set forth in Rule 523(c).

“Trader ID” means a unique identifier issued to each Authorized Trader

which enables BSEF to identify the individual entering RFQs or Orders

into the SEF operated by BSEF.

“Trading Access” means the right granted to a Person to send RFQs or

place Orders and/or enter into transactions for certain or all Swaps to the

SEF Platform or execute Swaps subject to the BSEF Rules.

“Trading Account” means, with respect to each Participant, Account or

Customer, each account through which the Participant will trade Swaps

and through which BSEF will monitor, as applicable, the open Swap

positions and closed Swap positions of such Participants, Accounts or

Customers and each account through which the Participant will present a

Swap for clearing to a Clearing House.

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“Trading Hours” means, for any Business Day, the hours as may be

published by BSEF in a Notice to Participants from time to time.

“Trading Privileges” means Trading Access or the right granted to a

Person to use the SEF operated by BSEF for execution of Swaps. No

Person may exercise Trading Privileges on behalf of a Participant during

any suspension of such Participant’s Trading Privileges.

“Unique Transaction Identifier” or “UTI” means a unique identifier

assigned by BSEF to a Trade in accordance with CFTC Regulation 45.5.

“U.S. Person” shall have the meaning set forth in CFTC Regulation

23.23.

“Vice President” means the individual appointed by the Board in

accordance with the Operating Agreement, with the duties and

responsibilities as may be prescribed by the Board from time to time as set

forth in Rule 208.

“Written” or “Writing” means printing, lithography, photography, and

other modes of representing or reproducing words or data in a visible

form, including electronic transmissions.

* * * * * *

The following rules of construction shall apply to the BSEF Rules:

(i) the headings in the BSEF Rules are for convenience only and do not affect the

construction of the BSEF Rules;

(ii) all references to time in the BSEF Rules are to local time in New York, New

York, except where expressly provided otherwise;

(iii) in the BSEF Rules, words denoting a singular number include the plural number

where the context permits and vice versa;

(iv) where the context permits or requires, any pronoun shall include the

corresponding masculine, feminine and neuter forms;

(v) forms of the word “include” mean that the inclusion is not limited to the items

listed;

(vi) “or” is disjunctive but not exclusive;

(vii) for purposes of constructing these Rules other than Rules 306 and 317,

references to the term “Participant” refer to both the terms “Participant” and “DMA Customer”;

and

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(viii) references in the BSEF Rules to statutory provisions include those provisions as

amended, and any rules or regulations promulgated thereunder.

CHAPTER 2. SEF GOVERNANCE

RULE 201. Board

(a) The Board shall manage the business and affairs of BSEF in accordance with the

Operating Agreement. At all times the Board must be composed of at least 20%, but no less than

two, Public Directors. The Board has the power and authority to call for review, and to affirm,

modify, suspend or overrule, any and all decisions and actions of standing committees or special

committees of the Board or any panel of the Officers.

(b) The Board may act (including to appoint Public Directors, to the extent provided

in the Operating Agreement) only by the decision of an absolute majority in number of the

members of the Board, either by vote at a meeting or by Written consent without a meeting.

(c) Each Director (including Public Directors) shall be appointed in accordance with

the Operating Agreement and the procedures included therein and shall serve until his or her

successor is duly appointed, or until his or her earlier resignation or removal, with or without

cause.

(d) The members of the Board, including Public Directors, shall be of sufficiently

good repute and, where applicable, have sufficient expertise in financial services.

(e) The percentage of Public Directors required to serve on the Board or any

committee thereof pursuant to this Chapter 2 shall be deemed to be modified to comply with the

CEA and CFTC Regulations, in each case, as in effect from time to time.

(f) Without limitation of any other provisions of this Rule 201, the provisions of

Article III of the Operating Agreement shall be deemed to be part of the BSEF Rules, and shall

be deemed to be incorporated herein, to the same extent and with the same force and effect as if

set forth herein in their entirety.

RULE 202. [Reserved]

RULE 203. [Reserved]

RULE 204. Regulatory Oversight Committee

(a) The Regulatory Oversight Committee of the Board shall consist only of Public

Directors, appointed by the Board. Each member of the Regulatory Oversight Committee shall

serve until the due appointment of his or her successor, or until his or her earlier resignation or

removal, with or without cause, as a member of the Regulatory Oversight Committee or as a

Director. A member of the Regulatory Oversight Committee may serve for multiple terms. The

Regulatory Oversight Committee shall report to the Board.

(b) The Regulatory Oversight Committee shall oversee BSEF’s regulatory program

on behalf of the Board. It shall make such recommendations to the Board as will, in its

judgment, best promote the interests of the SEF operated by BSEF. The Regulatory Oversight

15
Committee shall also have such other powers and perform such other duties as set forth in the

BSEF Rules, the Operating Agreement and as the Board may delegate to it from time to time.

(c) Without limiting the generality of the foregoing, the Regulatory Oversight

Committee shall have authority to:

(i) Monitor the compliance program of the SEF operated by BSEF for

sufficiency and effectiveness;

(ii) Oversee all facets of the compliance program, including trade practice and

market surveillance, audits, examinations conducted by the Regulatory Services Provider

and other regulatory responsibilities with respect to Participants, Customers, Accounts

and Clearing Members (including ensuring compliance with any financial integrity,

financial reporting, sales practice, recordkeeping and other requirements), and overseeing

the conduct of investigations by the Regulatory Services Provider;

(iii) Review the size and allocation of the regulatory budget and resources and

the number, hiring and termination, and compensation of compliance personnel;

(iv) Assist BSEF in minimizing actual and potential conflicts of interest;

(v) Recommend changes that would ensure fair, vigorous, and effective

compliance; and

(vi) Review compliance proposals and advise the Board as to whether and how

such changes may impact compliance.

(d) The Regulatory Oversight Committee shall oversee the regulatory program of the

SEF operated by BSEF on behalf of the Board. The Board shall delegate sufficient authority,

dedicate sufficient resources, and allow sufficient time for the Regulatory Oversight Committee

to fulfill its mandate.

RULE 205. Additional Committees and Panels

(a) The Board may create such additional standing committees of the Board as it may

from time to time deem necessary or advisable.

(b) In addition to the standing committees, the Board may from time to time

constitute and appoint, by Rule or resolution, special committees of the Board and designate

their composition, responsibilities and powers.

(c) BSEF may create additional committees of BSEF, or panels, for such purposes as

may from time to time be necessary or advisable. Members of each such committee may be

members of the Board, Supervised Persons of Participants or such other individuals as may be

qualified to serve on such committee.

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RULE 206. Power of the Board to Review Decisions

The Board has the power and authority to call for review, and to affirm, modify, suspend

or overrule, any and all decisions and actions of standing committees or special committees of

the Board.

RULE 207. Eligibility

(a) A Director must meet the qualifications set forth from time to time in the

Operating Agreement.

(b) An individual may not serve as a Director or serve on a committee established by

the Board, a Disciplinary Panel or an Appeals Panel if the individual:

(i) within the prior three (3) years has been found, by a final decision in any

action or proceeding brought in a court of competent jurisdiction, the CFTC or any

Self-Regulatory Organization, to have committed a disciplinary offense (as defined in

CFTC Regulation § 1.63);

(ii) within the prior three (3) years has entered into a settlement agreement in

which any of the findings or, in the absence of such findings, any of the acts charged,

included a disciplinary offense;

(iii) has been suspended or expelled from membership in a Self-Regulatory

Organization, is serving any sentence or probation, or owes any portion of a fine or

penalty related to either;

1. a finding of a disciplinary offense by a final decision in any action

or proceeding brought in a court of competent jurisdiction, the CFTC, or

any Self-Regulatory Organization; or

2. a settlement agreement in which any of the findings or, in the

absence of such findings, any of the acts charged included a disciplinary

offense.

(iv) is currently subject to an agreement with the CFTC or Self-Regulatory

Organization not to apply for registration with the CFTC or for membership in the

Self-Regulatory Organization;

(v) is currently, or within the past three (3) years has been, subject to a

revocation or suspension of registration by the CFTC;

(vi) has been convicted of a felony listed in Section 8a(2)(D)(ii) through (iv)

of the CEA; or

(vii) is currently subject to a denial, suspension or disqualification from serving

on a disciplinary committee, arbitration or appeals panel or governing board of any

self-regulatory organization, as that term is defined in CFTC Regulations § 1.63(a).

17
(c) Any Director, member of a committee established by the Board or any member of

a Disciplinary Panel, an Appeals Panel, any individual nominated to serve in any such role, or

any individual authorized by the Regulatory Oversight Committee to take summary action shall

immediately notify the President if such individual meets one or more of the criteria in Rule

207(b).

(d) For purposes of this Rule, the terms “disciplinary offense,” “final decision,” and

“settlement agreement” have the meanings set forth in CFTC Regulation § 1.63(a).

(e) To qualify as a Public Director, a Director must be found, by the Board on the

record, to have no material relationship with BSEF or any of its Affiliates. A “material

relationship” is one that reasonably could affect the independent judgment or decision making of

such individual as a Public Director. In addition, an individual shall not be considered a “Public

Director” if any of the following circumstances exist:

(i) such Director is an Officer or an employee of BSEF, or an officer or an

employee of an Affiliate of BSEF;

(ii) such Director is a Participant, or a director, an officer or an employee of a

Participant; or

(iii) such Director, or an entity with which the Director is a partner, an officer,

or a director, receives more than $100,000 in combined annual payments for legal,

accounting, or consulting services from BSEF or any Affiliate of BSEF. Compensation

for services as a director of BSEF or as a director of an Affiliate of BSEF does not count

toward the $100,000 payment limit, nor does deferred compensation for services

rendered prior to becoming a Director of BSEF, so long as such compensation is in no

way contingent, conditioned or revocable.

(f) Any of the relationships set forth in sub-paragraphs (e)(i) through (iii) of this Rule

apply to the “immediate family” of such Director, i.e., spouse, parents, children and siblings.

(g) A Public Director may also serve as a director of an Affiliate of BSEF if he or she

otherwise meets the requirements in paragraphs (e) and (f) of this Rule.

RULE 208. Officers

The Board shall appoint a President, a Chief Compliance Officer, one or more vice

presidents, a secretary, a treasurer, and such other officers of BSEF (all of the foregoing,

collectively, the “Officers”) as it may deem necessary or appropriate from time to time, in

accordance with the Operating Agreement. The Officers shall have such powers and duties in

the management of BSEF as the Board may prescribe from time to time in accordance with the

Operating Agreement. Each Director and Officer is entitled to indemnification pursuant to the

Operating Agreement with respect to matters relating to BSEF.

RULE 209. Chief Compliance Officer

(a) The Board shall appoint and approve the Chief Compliance Officer. The Board

shall approve the compensation of the Chief Compliance Officer. Removal of the Chief

18
Compliance Officer shall require the approval of a majority of the Board. BSEF shall notify the

CFTC of the removal of the Chief Compliance Officer and the appointment of any new Chief

Compliance Officer, whether interim or permanent, within two business days, as defined in

CFTC Regulation 40.1, of such appointment.

(b) The individual designated to serve as Chief Compliance Officer shall have the

background and skills appropriate for fulfilling the responsibilities of the position. No individual

disqualified from registration pursuant to Sections 8a(2) or 8a(3) of the CEA may serve as a

Chief Compliance Officer. The Chief Compliance Officer may not be a member of BSEF’s

legal department and may not serve as its general counsel.

(c) The Chief Compliance Officer shall report directly to the Board. The Chief

Compliance Officer shall meet with the Board at least annually. The Chief Compliance Officer

shall also meet with the Regulatory Oversight Committee at least quarterly. Each such meeting

may occur in person or by means of conference telephone. The Chief Compliance Officer shall

provide any information regarding the regulatory program of the SEF operated by BSEF that is

requested by the Board or the Regulatory Oversight Committee.

(d) The position of Chief Compliance Officer shall carry with it the authority and

resources to develop and enforce policies and procedures necessary to fulfill the duties set forth

for chief compliance officers in the Act and the CFTC Regulations. The Chief Compliance

Officer shall have supervisory authority over all staff acting in furtherance of the Chief

Compliance Officer’s obligations.

(e) The Chief Compliance Officer’s duties shall include, but are not limited to, the

following:

(i) Overseeing and reviewing the compliance of the SEF operated by BSEF

with Section 5h of the Act and any CFTC Regulations;

(ii) In consultation with the Board or the senior Officer of BSEF, resolving

any conflicts of interest that may arise, including: (1) conflicts between business

considerations and compliance requirements; (2) conflicts between business

considerations and the requirement that the SEF operated by BSEF provide fair, open,

and impartial access as set forth in CFTC Regulation 37.202; and (3) conflicts between

BSEF’s management and members of the Board;

(iii) Establishing and administering Written policies and procedures

reasonably designed to prevent violation of the Act and any Rules adopted by the

Commission;

(iv) Taking reasonable steps to ensure compliance with the Act and CFTC

Regulations relating to agreements, contracts, or transactions, and with CFTC

Regulations under Section 5h of the CEA;

(v) Establishing procedures for the remediation of noncompliance issues

identified by the Chief Compliance Officer through a compliance office review,

look-back, internal or external audit finding, self-reported error, or validated complaint;

19
(vi) Establishing and following appropriate procedures for the handling,

management response, remediation, retesting, and closing of noncompliance issues;

(vii) Establishing and administering a compliance manual designed to promote

compliance with the applicable laws, Rules, and regulations and administering a Written

code of ethics designed to prevent ethical violations and to promote honesty and ethical

conduct;

(viii) Supervising the SEF’s compliance program with respect to trade practice

surveillance; market surveillance; real-time market monitoring; compliance with audit

trail requirements; enforcement, disciplinary and appeals proceedings; audits,

examinations conducted by the Regulatory Services Provider, and other regulatory

responsibilities with respect to Participants, Accounts, Customers and Clearing Members

(including ensuring compliance with, if applicable, financial integrity, financial

reporting, sales practice, recordkeeping, and other requirements);

(ix) Supervising the effectiveness and sufficiency of any regulatory services

provided to BSEF by the Regulatory Services Provider; and

(x) Preparing and filing the annual compliance report of BSEF.

RULE 210. Conflicts of Interest

(a) A Director, Officer, panel member or other Person authorized to exercise BSEF’s

authority concerning any inquiry, investigation or any disciplinary or appeals proceeding,

summary suspension, or other summary actions (any such action, a “SEF Action” and,

collectively, “SEF Actions”), or Emergency actions taken pursuant to Rule 212 (each such SEF

Action or Emergency Action, a “SEF Proceeding”) who knowingly has a “material conflict of

interest” between his or her position as a Director, Officer, panel member or exercise of

authority concerning any SEF Proceeding and his or her personal interests (each, an “Interested

Person”) may not participate in any deliberations or vote of the Board committee, panel or

exercise any authority in any SEF Proceeding involving his or her personal interest, except as

described in Rule 210(d).

(b) For purposes of Rule 210(a), a “material conflict of interest” includes a

Director’s, Officer’s, or other Person’s:

(i) being named as a respondent or potential respondent in a SEF Proceeding;

(ii) being an employer, employee, fellow employee or an Affiliate of a

respondent or potential respondent in a SEF Proceeding;

(iii) having any significant, ongoing business relationship with a respondent or

potential respondent in a SEF Proceeding;

(iv) having a family relationship with a respondent or potential respondent in a

SEF Proceeding (including the individual’s spouse, co-habitator, former spouse, parent,

step-parent, child, step-child, sibling, step-brother, step-sister, grandparent, grandchild,

20
uncle, aunt, nephew, niece, father-in-law, mother-in-law, son-in-law, daughter-in-law,

brother-in-law or sister-in-law); and/or

(v) having a direct and substantial financial interest in the result of the

deliberations or vote based upon either SEF or non-SEF positions. A direct and

substantial financial interest includes positions held in Swaps in the accounts of,

Controlled by, or affiliated with the Interested Person or any other types of direct and

substantial financial positions of the Interested Person that are reasonably expected to be

affected by the deliberations or vote.

(c) Before considering any SEF Proceeding, an Interested Person must disclose in

Writing to the Board the material facts concerning his or her relationship or interest in the

matter.

(d) Any Interested Person who would be required otherwise to abstain from

deliberations and voting pursuant to Rule 210(a) as a result of having a direct and substantial

financial interest in the result of the deliberations and vote may participate in deliberations, prior

to a vote on the matter, if:

(i) the material facts about the Interested Person’s financial interest in the

matter are disclosed or known to the Board;

(ii) the Board determines that the participation by the Interested Person would

be consistent with the public interest; and

(iii) a majority of the Directors (excluding any Interested Persons) vote to

allow the Interested Person to participate in deliberations on the matter.

(e) If a determination is made pursuant to Rule 210(d) that an Interested Person may

participate in deliberations prior to a vote, then the minutes of the meeting of the Board or

committee thereof will reflect the determination and the reasons for the determination.

(f) If a determination is made pursuant to Rule 210(a) that all Directors are Interested

Persons with respect to a matter subject to a vote by the Board, the President will appoint a panel

of individuals who are not Interested Persons with respect to such matter, which will have the

same authority and powers over such matter that the Board would have if the Directors were not

Interested Persons with respect to such matter.

(g) No Director, Officer or member of any committee or panel established by the

Board shall use or disclose for any purpose other than the performance of his or her official

duties and responsibilities as a Director, Officer or committee or panel member any material,

non-public information obtained as a result of the individual’s duties and responsibilities as a

Director, Officer or committee or panel member. No Director, Officer or committee or panel

member shall, directly or indirectly, disclose or use at any time, either during his or her

association with BSEF or thereafter, any confidential information of which the Board member or

committee or panel member becomes aware. Each Director, Officer or committee or panel

member in possession of confidential information shall take all appropriate steps to safeguard the

information and to protect it against disclosure, misuse, espionage, loss and theft.

21
(h) Notwithstanding Rule 210(g), a Director, Officer or committee or panel member

may disclose confidential information if required by Applicable Law or a court order to be

revealed to the United States Department of Justice or the CFTC.

(i) For the purposes of Rule 210(g), the term “material, non-public information”

shall mean “material information” that is “nonpublic information,” as such terms are defined in

CFTC Regulation 1.59(a).

RULE 211. Restrictions on Certain Persons who Possess Material,

Non-Public Information: Improper Use or Disclosure of

Material Non-Public Information

No member of the Board or of any Board committee, no member of any other committee

of BSEF, no Officer of BSEF, no employee of BSEF, no agent of BSEF, no subcontractor of

BSEF and no consultant to BSEF shall:

(a) trade for such Person’s own account, or for or on behalf of any other account, in

any commodity interest on the basis of any material, non-public information obtained through

the performance of such Person’s official duties;

(b) use or disclose, for any purpose other than the performance of such Person’s

official duties, any material, non-public information obtained by such Person as a result of such

Person’s official duties, provided, however, that this Section shall not prohibit disclosures made

by such Person in the course of his or her official duties or disclosures made to the CFTC, any

Self-Regulatory Organization, a court of competent jurisdiction or any agency or department of

the federal or state government; or

(c) trade, directly or indirectly, in any Swap traded on the SEF operated by BSEF; in

any related commodity interest; or in any commodity interest traded on any DCM or SEF or

cleared by any Clearing House if such Person has access to material non-public information

concerning such Swap or commodity interest.

RULE 212. Emergency Rules

(a) In the event of an Emergency, BSEF may implement temporary emergency

procedures and rules (“Emergency Rules”), subject to the applicable provisions of the CEA and

CFTC Regulations. Implementation of Emergency Rules shall be done in consultation with the

CFTC. Emergency Rules may require or authorize BSEF, the Board, any committee of the

Board, the President, or any other Officer to take actions necessary or appropriate to respond to

the Emergency, including the following actions:

(i) suspending or curtailing trading or limiting trading to liquidation only (in

whole or in part);

(ii) extending or shortening the last trading date for Swaps;

(iii) ordering the fixing of a settlement price;

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(iv) ordering the liquidation or transfer of an open position in any Swap, or the

reduction of positions;

(v) extending, limiting or changing the Trading Hours;

(vi) imposing or modifying intraday market restrictions;

(vii) transferring customer contracts and the margin in an emergency;

(viii) imposing special margin requirements;

(ix) extending or shortening the expiration date of a Swap;

(x) altering any Swap’s settlement terms and conditions;

(xi) imposing or modifying price limits;

(xii) imposing, modifying or reducing position limits; and/or

(xiii) temporarily modifying or suspending any provision of the BSEF Rules or

Obligations.

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the

Board must approve the implementation of such Emergency Rule at a duly convened meeting

requested by the President or any other Officer. Directors may attend such a meeting by

teleconference. Each Director participating in such meeting shall be subject to Rule 210. If the

President, Vice President or the Chief Technology Officer determines that Emergency Rules

must be implemented with respect to an Emergency before a meeting of the Board can

reasonably be convened, then the President, Vice President or the Chief Technology Officer

shall have the authority, without Board action, to implement any Emergency Rules with respect

to such Emergency that he or she deems necessary or appropriate to respond to such Emergency.

(c) Whenever BSEF, the Board, any committee of the Board, or the President, Vice

President or the Chief Technology Officer takes actions necessary or appropriate to respond to

an Emergency (including the actions set forth in paragraph (a) above), an Authorized

Representative of BSEF will post a Notice to Participants regarding such Emergency, as soon as

practicable. When the Board, any committee of the Board or the President, Vice President or the

Chief Technology Officer determines that the Emergency is no longer in effect, permitting the

SEF operated by BSEF to resume normal functioning; any such actions responding to an

Emergency will be terminated.

(d) BSEF will use reasonable efforts to notify the CFTC prior to implementing,

modifying or terminating an Emergency Rule. If such prior notification is not possible or

practicable, BSEF will notify the CFTC as soon as possible or reasonably practicable, but in all

circumstances within twenty-four (24) hours of the implementation, modification or termination

of such Emergency Rule.

(e) Upon taking any action in response to an Emergency, BSEF will document the

decision-making process related to such action. Such documentation will be kept for at least five

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years following the date on which the Emergency ceases to exist or to affect the SEF operated by

BSEF, and all such documentation will be provided to the CFTC upon request.

RULE 213. Information-Sharing Agreements

(a) BSEF shall enter into information-sharing agreements or other arrangements or

procedures necessary to allow BSEF to obtain any necessary information to perform any

monitoring of trading and Trade processing, provide information to other markets, the CFTC or

any other Governmental Body with jurisdiction over BSEF upon request and which allow BSEF

to carry out such international information-sharing agreements as the CFTC may require. As

part of any information-sharing agreements or other arrangements or procedures adopted

pursuant to this Rule, BSEF may:

(i) provide market surveillance reports to the CFTC, any Governmental Body

with jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO

obligations, to other markets;

(ii) share information and documents concerning current and former

Participants to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as

necessary for BSEF to comply with its SRO obligations, to other markets;

(iii) share information and documents concerning ongoing and completed

investigations to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as

necessary for BSEF to comply with its SRO obligations, to other markets; and/or

(iv) require its current or former Participants to provide information and

documents to BSEF at the request of the CFTC, any Governmental Body with

jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO obligations, to

other markets.

(b) BSEF may enter into any information-sharing arrangement with any Person or

body (including the CFTC, the NFA, any Self-Regulatory Organization, any SEF, DCM, market,

or clearing organization, or any Governmental Body) if BSEF (i) believes that such entity

exercises a legal or regulatory function under any law or regulation, or a function comprising or

associated with the enforcement of a legal or regulatory function, or (ii) considers such

arrangement to be in furtherance of the purpose or duties of BSEF and the SEF operated by

BSEF under Applicable Law.

(c) BSEF may disclose any information provided by or relating to Participant,

Account Managers, Authorized Traders, Supervised Persons, Clearing Members, Customers or

Accounts or their agents, or Trades of Participant or of its Customers or Accounts, including the

content of this Agreement, to any Governmental Body, to the Regulatory Services Provider, to

an SDR where BSEF reports Trades, to any other person or entity as required by Applicable Law

or as necessary to conclude Participant’s Trades, submit Participant’s Trades for clearance or

perform services requested by a Participant, and to any Person providing services to BSEF with

respect to the SEF operated by BSEF. BSEF will not disclose any proprietary data or personal

information of any Participant, Account Manager, Authorized Trader, Supervised Person,

Clearing Member, Customer or Account without a corresponding confidentiality agreement

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between such Person and BSEF, unless the Person requesting such information is a

Governmental Body.

RULE 214. Regulatory Services Agreement with the Regulatory Services

Provider

BSEF has contracted with the Regulatory Services Provider to provide certain regulatory

services to BSEF pursuant to a Regulatory Services Agreement. In accordance with the

Regulatory Services Agreement, the Regulatory Services Provider may perform certain

surveillance, investigative, and regulatory functions under the BSEF Rules and BSEF may

provide information to the Regulatory Services Provider in connection with the performance by

the Regulatory Services Provider of those functions. BSEF shall retain ultimate decision-making

authority with respect to any functions that are contracted to the Regulatory Services Provider.

RULE 215. Delivery and Service of CFTC Communications for Non-U.S.

Participants

In accordance with CFTC Rule 15.05, BSEF will serve as an agent of a non-U.S.

Participant or a Customer of non-U.S. Participant for whom Swaps were executed or a non-U.S.

Authorized Trader for purposes of accepting delivery and service of any communication issued

by or on behalf of the CFTC to the non-U.S. Participant or the Customer of the non-U.S.

Participant or the non-U.S. Authorized Trader, in each case with respect to any swap traded on

the SEF operated by BSEF.

CHAPTER 3. PARTICIPANTS

RULE 301. Eligibility Criteria for Becoming a Participant

(a) To be eligible for admission as a Participant, an applicant warrants to BSEF that it

meets the following criteria:

(i) is an ECP, and each Account or Customer on whose behalf it wishes to

trade on the SEF operated by BSEF is an ECP, in each case eligible to enter into the asset

classes of Swaps it wishes to trade on the SEF operated by BSEF;

(ii) is of good reputation and business integrity;

(iii) is validly organized, in good standing, and authorized by its governing

body and, if relevant, documents of organization, to trade Swaps;

(iv) has not filed for bankruptcy;

(v) is not a SEF Official, agent or affiliate of BSEF;

(vi) is not prohibited from using the services of BSEF for any reason

whatsoever;

(vii) holds all registrations required under Applicable Law, if any;

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(viii) is not subject to statutory disqualification under Section 8a(2) of the CEA;

(ix) satisfies any other criteria that BSEF may require from a Participant to

perform its SRO responsibilities, comply with Applicable Law or provide SEF services;

and

(x) is not an ISV or an automated trading system.

(b) Once admitted, the Participant shall continue to comply with all applicable

Eligibility Criteria in this Rule 301.

(c) With respect to Cleared Swaps, each Participant that is an Account Manager,

FCM or Introducing Broker must ensure that each of its, as applicable, Accounts or Customers

has a clearing account with a Clearing Member that is a member of the Clearing House

accepting for clearance Cleared Swaps traded on the SEF operated by BSEF and provide BSEF

with evidence of such relationship. With respect to Non-Cleared Swaps, each Participant that is

an Account Manager or Introducing Broker must ensure that each of its, as applicable, Accounts

or Customers complies with Rule 534, if applicable. A DMA Customer that is an Account

Manager must ensure that each of its Accounts complies with Rule 534, if applicable. Each

Participant or DMA Customer that is an Account Manager must provide BSEF upon BSEF’s

prior Written request with Written representation or proof of authority to place RFQs or Orders

and execute Trades on the SEF operated by BSEF on behalf or in the name of each Account.

(d) With respect to Cleared Swaps, each Participant that is not an Account Manager

must either be a Clearing Member of a Clearing House where the Cleared Swaps are cleared or

have a clearing account with a Clearing Member with respect to such Cleared Swap and provide

SEF with evidence of such relationship. With respect to Non-Cleared Swaps, each Participant

that is not an Account Manager must comply with Rule 534, if applicable.

(e) Each Participant must establish a Trading Account. In addition to all information

required by BSEF, information in each Trading Account shall at minimum be sufficient to allow

BSEF to present a Trade for clearing to a Clearing House. A Participant must keep such

information current and up-to-date. Please see Notices to Participants 2016-5A and 2017-1,

which are posted on BSEF’s website.

(f) Participants that do not have a relationship with a Clearing Member as set forth in

subsection (c) or (d) of this Rule 301 are prohibited from entering RFQs or Orders in Cleared

Swaps on the SEF operated by BSEF.

(g) Upon request of BSEF, a Participant shall promptly provide to BSEF or its

Regulatory Services Provider information about the Participant, its Customers, Accounts,

Clearing Members and Authorized Traders as BSEF requests related to or in connection with

SEF Activity.

RULE 302. Authorized Traders

(a) Each Participant shall nominate or designate one or more Authorized Traders,

who will conduct SEF Activity on behalf of the Participant.

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(b) Each Authorized Trader:

(i) must be a natural person;

(ii) must satisfy any other requirements as may be prescribed by BSEF from

time to time; and

(iii) must have a Trader ID.

A Participant that authorizes a third party to trade for its Trading Account on a

discretionary basis pursuant to a power of attorney or other instrument must identify or approve

a specific natural person as its Authorized Trader with respect to such Trading Account.

(c) Without limiting the foregoing, each Authorized Trader will abide by applicable

BSEF Rules and Applicable Law, and each Participant or DMA Customer, as applicable, will

ensure on an ongoing basis that:

(i) none of its Authorized Traders is subject to a disqualification pursuant to

any Applicable Law (unless an appropriate exemption has been obtained with respect

thereto);

(ii) each of its Authorized Traders will be technically proficient;

(iii) each of its Authorized Traders will conduct its business in a fair and

equitable manner; and

(iv) each of its Authorized Traders will conduct its business in accordance

with the BSEF Rules.

(d) By agreeing to become an Authorized Trader, an individual agrees to be bound by

the duties and responsibilities of an Authorized Trader under these Rules and to be subject to,

and comply with, the BSEF Rules and Obligations. Among other duties and responsibilities that

BSEF may impose, an Authorized Trader must:

(i) have the authority, at BSEF’s request, to adjust or withdraw any Order

submitted under any Trader ID assigned to him or her; and

(ii) ensure that any SEF Activity conducted under any Trader ID assigned to

him or her complies with all BSEF Rules and Obligations.

(e) To nominate or designate an Authorized Trader, a Participant must follow the

procedures established by BSEF. BSEF may establish criteria that individuals must fulfill to

become an Authorized Trader. Any such criteria will be set out in the BSEF Rules. BSEF will

not accept the registration as an Authorized Trader of any individual who is a SEF Official.

(f) BSEF will maintain a list of all appointed Authorized Traders for each

Participant.

(g) BSEF may, in its sole discretion terminate, revoke or suspend an Authorized

Trader and shall promptly notify the Participant in Writing of such action. Upon such

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termination, revocation or suspension, BSEF will disable access of such Authorized Trader to

the SEF operated by BSEF.

(h) To request the termination of the designation of an Authorized Trader, the

Participant or the Authorized Trader must notify BSEF following the procedures established by

BSEF. BSEF will terminate access of such Authorized Trader to the SEF operated by BSEF

immediately upon receipt of such notice from Participant.

RULE 303. Participant Application Process; Termination of Participant

(a) Any Person who desires to become a Participant shall (i) submit signed

Participant Documentation; (ii) agree in Writing to abide by the BSEF Rules and Applicable

Law; (iii) provide such information and documentation as may be requested by BSEF; and (iv)

follow the application procedures established by BSEF.

(b) In considering an application from a potential Participant, BSEF may require

additional information from the applicant, or conduct an investigation to verify information

submitted by the applicant, or both.

(c) If BSEF decides to admit an applicant as a Participant, it shall promptly notify the

applicant and state in such notice the date on which the applicant shall become a Participant.

(d) If BSEF decides to decline or condition an application for admission as a

Participant, or terminate a Person’s status as a Participant, BSEF shall promptly notify such

Affected Person thereof in a Writing sent to the address provided by the applicant or maintained

in BSEF registry of Participants. Such Affected Person may, within seven (7) calendar days,

request in Writing that BSEF provide the reasons for the denial, conditioning or termination of

Participant status. Within fourteen (14) calendar days after receiving such Written request,

BSEF shall send in Writing to the Affected Person the reasons for the denial, conditioning or

termination. Within fourteen (14) calendar days of receiving the BSEF’s Written response, the

Affected Person may request in Writing that BSEF reconsider its determination, and may

provide any relevant representations or other information that such Affected Person believes to

be relevant to the reconsideration.

(e) BSEF may deny, condition or terminate Participant status of any Person if: (i)

such Person is unable to satisfactorily demonstrate its ability to satisfy the Eligibility Criteria as

set forth in Rule 301(a) to become or remain a Participant; (ii) such Person is unable to

satisfactorily demonstrate its capacity to adhere to all applicable BSEF Rules; (iii) such Person

would bring BSEF into disrepute as determined by BSEF in its sole discretion; or (iv) for such

other cause as BSEF may reasonably determine.

RULE 304. Trading Privileges of a Participant

(a) Upon admission as a Participant or DMA Customer, the Participant or DMA

Customer must execute such Participant Documentation or DMA Customer Documentation, as

applicable, as required from time to time by BSEF, and such Participant Documentation or DMA

Customer Documentation, as applicable, must remain in effect for the Participant or DMA

Customer to access the SEF operated by BSEF.

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(b) Admission as a Participant entitles the Participant only to Trading Privileges and

does not confer any right of ownership in, or right to attend or vote at meetings of, BSEF, or

right to share in the profits, of BSEF. A Participant may not transfer or assign its status as a

Participant.

RULE 305. Termination or Limitation of Trading Privileges and Trading

Access

(a) Notwithstanding anything in the BSEF Rules to the contrary, the Chief

Compliance Officer may, after consultation with the Regulatory Oversight Committee, if

practicable, summarily suspend, revoke, limit, condition, restrict or qualify the Trading

Privileges of a Participant or the Trading Access of an Authorized Trader, and may take other

summary action against any Participant or any of its Supervised Persons or any Authorized

Trader in accordance with the BSEF Rules; provided, however, that the Chief Compliance

Officer must reasonably believe that the business, conduct or activities of the Participant,

Authorized Trader or Supervised Person in question is not in the best interests of BSEF or the

marketplace, including based on any of the following: (i) statutory disqualification from

registration as provided in CEA Section 8a(2) or (3); (ii) non-payment of fees, costs, charges,

fines or arbitration awards; or (iii) the reasonable belief that immediate action is necessary to

protect the public or the best interests of BSEF and the SEF operated by BSEF. BSEF may deny

or limit Trading Privileges of a Participant or Trading Access of any Authorized Trader upon

default of the Participant, Customer or Account, as applicable, on any Swap with respect to such

Participant, Customer or Account.

(b) Whenever practicable, the Compliance Department, acting on behalf of the Chief

Compliance Officer, shall provide prior Written notice to the party against whom any action in

accordance with paragraph (a) shall be taken. If prior notice is not practicable, BSEF will give

notice at the earliest possible opportunity to the respondent against whom the action is brought.

The Compliance Department, acting on behalf of the Chief Compliance Officer, will prepare a

notice of summary action (which will state the action, the reasons for the action, and the

effective time, date and duration of the action) and serve the notice on such party.

(c) The summary action will become final upon the expiration of 20 days after the

notice of action is served on the respondent.

(d) At the request of BSEF, a respondent against whom a summary action is brought

pursuant to this Rule 305 must provide books and records over which the respondent has access

or control and must furnish information to, or appear or testify before, BSEF or the in connection

with the enforcement of any BSEF Rule.

(e) Participant may appeal any decision taken by BSEF under this Rule 305 as

provided in Rule 620; provided, however, that any such decision by BSEF to deny or otherwise

limit applicant’s Trading Privileges or Trading Access shall continue in effect during such

review.

RULE 306. Assessments and Fees

BSEF shall set the times and amounts of any assessments or fees to be paid by

Participants, which assessments or fees shall be paid to BSEF when due. If a Participant fails to

29
pay when due any such assessments or fees levied on such Participant, and such payment

obligation remains unsatisfied for thirty days after its due date, BSEF may suspend, revoke,

limit, condition, restrict or qualify the Trading Privileges of such Participant as it deems

necessary or appropriate.

RULE 307. Authorized Representatives

Each Participant shall designate one or more Authorized Representatives who will

represent the Participant before BSEF and its committees and receive notices on behalf of the

Participant. The Authorized Representative shall be empowered by the Participant to act on its

behalf and BSEF shall be entitled to rely on the actions of the Authorized Representative as

binding on the Participant. Each Participant must provide BSEF with current contact and other

requested information for each of its Authorized Representatives so that BSEF is able to

immediately contact the Authorized Representatives.

RULE 308. Recording of Communications

BSEF may record conversations and retain copies of electronic communications between

SEF Officials, on one hand, and Participants, their Account Managers, Authorized Traders,

Supervised Persons or other agents, on the other hand, to the extent required by Applicable Law.

Any such recordings may be retained by BSEF or the Regulatory Services Provider in such

manner and for such periods of time as BSEF may deem necessary or appropriate.

RULE 309. Notices to Participants

BSEF shall publish a Notice to Participants with respect to each addition to, modification

of, or clarification of, the BSEF Rules or of any action to implement any BSEF Rules, in a form

and manner that is reasonably designed to enable each Participant to become aware of and

familiar with, and to implement any necessary preparatory measures to be taken by it with

respect to, such addition or modification, prior to the effective date thereof. For purposes of

publication in accordance with the first sentence of this Rule, it shall be sufficient (without

limiting the discretion of BSEF as to any other reasonable means of communication) if a Notice

to Participants is published on BSEF’s website and posted on BSEF’s internal notification

system. Any Notice to Participants shall also be deemed to have been made to all Account

Managers, Authorized Traders and Supervised Persons.

RULE 310. Communications between BSEF and Participants

Each Participant must provide BSEF with its current electronic mail address and

telephone number and the electronic mail address and telephone number of any of its Authorized

Traders and immediately (and in any event within 24 hours) update this information whenever it

changes. All communications between BSEF and the Participant will be transmitted by

electronic mail and/or posted on BSEF’s website, except as otherwise specified by BSEF. The

Participant shall be responsible for conveying such communications to its Authorized Traders

and/or to its Account Managers. Each Participant will be responsible for promptly reviewing

and, if necessary, responding to all electronic communications from BSEF to the Participant or

any of its Account Managers, Authorized Traders, Supervised Persons or any Person to whom it

has given Trader ID(s). All communications made to a Participant shall also be deemed to have

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been made to all Account Managers, Authorized Traders and Supervised Persons of such

Participant.

RULE 311. Application of BSEF Rules and Jurisdiction

(a) ANY MARKET PARTICIPANT THAT DIRECTLY OR INDIRECTLY

EFFECTS A TRANSACTION ON THE SEF OPERATED BY BSEF, OR ANY

PARTICIPANT, AUTHORIZED TRADER, CLEARING MEMBER OR OTHER

PERSON ACCESSING OR ENTERING ANY RFQ OR ORDER OR SUBMITTING

ANY SWAP INTO THE SEF OPERATED BY BSEF OR EXECUTING ANY TRADE

PURSUANT TO THE RULES (i) IS BOUND BY, AND SHALL COMPLY WITH, THE

BSEF RULES AND OBLIGATIONS, THE CLEARING HOUSE RULES, SWAP

SPECIFICATIONS AND APPLICABLE LAW, IN EACH CASE TO THE EXTENT

APPLICABLE TO IT, (ii) SUBMITS TO THE JURISDICTION OF BSEF WITH

RESPECT TO ANY AND ALL MATTERS ARISING FROM, RELATED TO, OR IN

CONNECTION WITH, THE STATUS, ACTIONS OR OMISSIONS OF SUCH

PARTICIPANT, AUTHORIZED TRADER OR OTHER PERSON, AND (iii) AGREES

TO ASSIST BSEF IN COMPLYING WITH ITS LEGAL AND REGULATORY

OBLIGATIONS, COOPERATE WITH BSEF, THE CFTC AND ANY

GOVERNMENTAL BODY WITH JURISDICTION OVER BSEF OR THE SEF

OPERATED BY BSEF IN ANY INQUIRY, INVESTIGATION, AUDIT,

EXAMINATION OR PROCEEDING.

(b) Any Person whose access to the SEF operated by BSEF is suspended for any

period remains subject to the BSEF Rules, the Obligations and BSEF’s jurisdiction throughout

the period of suspension. Any Person whose access to the SEF operated by BSEF is revoked or

terminated shall remain bound by the BSEF Rules and Applicable Law, in each case to the

extent applicable to it, and subject to the jurisdiction of BSEF with respect to any and all

matters arising from, related to, or in connection with, the status, actions or omissions of such

Participant prior to such revocation or termination.

RULE 312. Description of Participant’s Status

A Participant shall ensure that the form, content and context of any description of the

Participant’s status on the SEF operated by BSEF is not inconsistent with, and does not

misrepresent, the Participant’s capacity on the SEF operated by BSEF under the BSEF Rules or

the Participant’s registration, if any, under the CEA, or under any other Applicable Law.

RULE 313. Dissolution of Participants

All rights and privileges of a Participant terminate upon, and all obligations of a

Participant shall survive the dissolution of the Participant.

RULE 314. Withdrawal of Participant

(a) To withdraw from the SEF operated by BSEF, a Participant must notify BSEF of

its withdrawal. Such withdrawal shall be accepted and effective immediately upon receipt of

such notice by BSEF.

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(b) When BSEF accepts the withdrawal of a Participant, all rights and privileges of

such Participant terminate (including the Trading Privileges). The accepted withdrawal of a

Participant shall not affect the rights of BSEF under the BSEF Rules or relieve the former

Participant of such Participant’s obligations under the BSEF Rules before such withdrawal.

Notwithstanding the accepted withdrawal of a Participant, the withdrawn Participant remains

subject to the BSEF Rules, the Obligations and the jurisdiction of BSEF for acts done and

omissions made while a Participant, and must cooperate in any SEF Proceeding under Chapter 6

as if the withdrawn Participant were still a Participant.

RULE 315. Compliance with the Commodity Exchange Act

All SEF Participants shall comply with all relevant provisions of the CEA and the Rules

and regulations duly issued pursuant thereto by the CFTC, including the filing of reports,

maintenance of books and records, and permitting inspection and visitation by Authorized

Representatives of the CFTC or Department of Justice.

RULE 316. Access

RULE 316.A. ECP Access

BSEF will provide its services to any ECP with access to its markets and BSEF services

that is impartial, transparent and applied in a fair and non-discriminatory manner; provided,

however, that each ECP complies with BSEF’s documentation and the eligibility requirements

set forth in this Rulebook.

RULE 316.B. ISV Access

BSEF will provide ISVs with access to its trading platform and its data in a fair and

non-discriminatory manner; provided, however, that each ISV shall comply with BSEF’s criteria

governing such access. Such access criteria shall be impartial and transparent.

RULE 317. Direct Market Access

(a) DMA may be sponsored only by a Sponsoring Broker.

(b) All trades in Cleared Swaps executed via DMA connection must be guaranteed by

a Sponsoring Broker that assumes financial responsibility for all trades in Cleared Swaps

executed through the DMA connection.

(c) Each DMA Customer must execute the DMA Customer Documentation as a

condition of being granted access to the SEF operated by BSEF.

(d) A Sponsoring Broker shall assist BSEF in any investigation into potential

violations of the BSEF Rules, CFTC Regulations or the Act which occur through or with respect

to a DMA connection guaranteed by such Sponsoring Broker. Such assistance must be timely

and may include requiring any DMA Customer to produce documents, to answer questions from

BSEF, and/or to appear in connection with an investigation.

(e) A Sponsoring Broker shall suspend or terminate the Trading Access of a DMA

Customer or any Authorized Trader associated with such DMA Customer if BSEF determines

that the actions of the DMA Customer or any of its Authorized Traders threaten the integrity of

the SEF operated by BSEF or liquidity of any Swap or violate any BSEF Rule or if the DMA

Customer or any of its Authorized Traders fails to cooperate in an investigation.

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(f) If a Sponsoring Broker has actual or constructive notice of a violation of the

BSEF Rules in connection with Direct Market Access by its DMA Customer and the Sponsoring

Broker fails to take appropriate action, BSEF may consider that the Sponsoring Broker has

committed an act detrimental to the interest or welfare of BSEF.

RULE 318. Legal Certainty for SEF Trades

A transaction entered into on or pursuant to the BSEF Rules shall not be void, voidable,

subject to rescission, otherwise invalidated, or rendered unenforceable as a result of:

(a) a violation by BSEF of the provisions of section 5h of the Act or CFTC

Regulations;

(b) any CFTC proceeding to alter or supplement a Rule, term, or condition under

section 8a(7) of the Act or to declare an emergency under section 8a(9) of the Act; or

(c) any other proceeding the effect of which is to:

(i) alter or supplement a specific term or condition or trading rule or

procedure; or

(ii) require BSEF to adopt a specific term or condition, trading rule or

procedure, or to take or refrain from taking a specific action.

RULE 319. Rights and Responsibilities after Suspension or Termination

(a) When the Trading Privileges of a Participant or the Trading Access of any

Authorized Trader are suspended, none of its rights and Trading Privileges (including the right to

hold oneself out to the public as a Participant, enter RFQs or Orders into the SEF operated by

BSEF and receive Participant rates for fees, costs, and charges at Participant levels) will apply

during the period of the suspension, except for the right of the Participant in question to assert

claims against others as provided in the BSEF Rules or the right to Trading Access. Any such

suspension will not affect the rights of creditors under the BSEF Rules or relieve the Participant

in question of its, his or her obligations under the BSEF Rules to perform any Swaps entered into

before the suspension, or for any SEF fees, costs, or charges incurred during the suspension.

(b) When the Trading Privileges of a Participant or the Trading Access of any

Authorized Trader are terminated, all of a Participant’s rights and Trading Privileges or an

Authorized Trader’s right to Trading Access will terminate, except for the right of the Participant

in question to assert claims against others, as provided in the BSEF Rules. Any such termination

will not affect the rights of creditors under the BSEF Rules. A terminated Participant may only

seek to reinstate its Trading Privileges by applying for Trading Privileges pursuant to Rule 304.

BSEF will not consider the application of a terminated Participant if such Participant continues

to fail to appear at disciplinary or appeals proceedings without good cause or continues to

impede the progress of disciplinary or appeals proceedings.

(c) A suspended or terminated Participant, Authorized Trader or Supervised Person

remains subject to the BSEF Rules and the jurisdiction of BSEF for acts and omissions prior to

the suspension or termination, and must cooperate in any inquiry, investigation, disciplinary or

appeals proceeding, summary suspension or other summary action as if the suspended or

terminated Participant still had Trading Privileges or the terminated Authorized Trader still had

Trading Access. BSEF may discipline a suspended Participant or Authorized Trader under this

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Chapter 6 for any violation of a BSEF Rule or provision of Applicable Law committed by the

Participant or Authorized Trader before, during or after the suspension.

(d) Upon the request of a Customer, in the event of the suspension or revocation of

the Trading Privileges of a Participant, BSEF shall seek to facilitate the transfer of any Customer

accounts held by such Participant to other Participants with Trading Privileges.

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS,

DMA CUSTOMERS, AUTHORIZED TRADERS AND

SUPERVISED PERSONS

RULE 401. Duties and Responsibilities

(a) Each Participant, Account Manager, DMA Customer, Authorized Trader and

Supervised Person shall:

(i) ensure that BSEF’s facilities are used in a responsible manner and are not

used for any improper purpose;

(ii) ensure that BSEF’s facilities are used only to conduct SEF Activity;

(iii) ensure that all SEF Activity conducted by the Participant, Account

Managers, Authorized Traders and Supervised Persons is performed in a manner

consistent with applicable BSEF Rules and their respective Obligations;

(iv) comply with all BSEF Rules and Obligations and act in a manner

consistent with each BSEF Rule and Obligation;

(v) observe high standards of integrity, market conduct, commercial honor,

fair dealing, and just and equitable principles of trade while conducting or attempting to

conduct any SEF Activity, or any aspect of any business connected with or concerning

the SEF operated by BSEF;

(vi) not mislead or conceal any material fact or matter in any dealings or

filings with BSEF or in response to any SEF Proceeding; and

(vii) keep the Authorized Trader’s Trader IDs, account numbers and passwords

confidential.

(b) Each Participant shall be responsible for promptly informing BSEF of any

material changes to Eligibility Criteria information provided to BSEF by the Participant.

RULE 402. Required Disclosures to BSEF

Each Participant shall immediately notify the Compliance Department upon becoming

aware of any of the following events:

(a) any material change to the contact or other information provided to BSEF by the

Participant;

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(b) any damage to, or failure or inadequacy of, the systems, facilities or equipment of

the Participant to effect transactions pursuant to the BSEF Rules or to timely perform the

Participant’s financial obligations under or in connection with Swaps of such Participant or

Swaps of any Customer or Account of such Participant;

(c) any refusal of admission of the Participant for membership in, any

Self-Regulatory Organization, SEF, DCM, or Derivatives Clearing Organization;

(d) any expulsion, suspension or fine in excess of $25,000 (whether through an

adverse determination, voluntary settlement or otherwise) imposed on the Participant by any

Self-Regulatory Organization, SEF, DCM, Derivatives Clearing Organization or, with respect to

SEF Activity, any relevant Governmental Body;

(e) any revocation, suspension or conditioning of any registration or license of a

Participant necessary to conduct SEF Activity granted by any relevant Governmental Body;

(f) (A) the commencement of any judicial or administrative proceeding against the

Participant or any Authorized Trader or Supervised Person or (B) the imposition of any fine in

excess of $25,000, cease and desist order, denial of trading privileges, censure or other sanction

or remedy (whether through an adverse determination, voluntary settlement or otherwise)

imposed, in each case of (A) and (B), by any Self-Regulatory Organization, SEF, DCM,

Derivatives Clearing Organization or, with respect to SEF Activity, any relevant Governmental

Body;

(g) any indictment or conviction of, or any confession of guilt or plea of guilty or

nolo contendere by, any principals or senior officers of the Participant or any Authorized Trader

for any felony or misdemeanor involving, arising from, or related to, the purchase or sale of any

commodity, futures contract, swap, option, security, securities futures product or other financial

instrument, or involving or arising from fraud or moral turpitude; and

(h) the Participant’s or a 10% or greater owner of the Participant becoming the

subject of a petition for bankruptcy;

(i) the appointment of a receiver, trustee or administrator for the Participant or a 10%

or greater owner of the Participant;

(j) the presentment of a petition, or the passing of a resolution, for the Participant’s

or a 10% or greater owner of the Participant winding-up;

(k) the commencement of proceedings for the Participant’s or the 10% or greater

owner’s of the Participant dissolution; or

(l) the occurrence of an event of insolvency with respect to the Participant or the

10% owner or greater owner of the Participant.

RULE 403. Inspections by BSEF

(a) BSEF or the Regulatory Services Provider (or their respective authorized

representatives), shall have the right with such prior reasonable advance notice as is practicable

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under the circumstances, in connection with determining whether all BSEF Rules are being, will

be, or have been complied with by the Participant, to:

(i) inspect the books and records of the Participants relating to SEF Activity;

(ii) inspect systems, equipment and software of any kind operated by the

Participant in connection with SEF Activity and any data stored in any of the systems or

equipment related to SEF Activity; and/or

(iii) copy or reproduce any data to which BSEF has access under this Rule.

(b) Such books and records, systems, equipment, software and data shall be made

available to BSEF and the Regulatory Services Provider and their respective authorized

representatives during regular business hours and BSEF and the Regulatory Services Provider

and their respective authorized representatives agree to adhere to Participant’s reasonable logical

and physical access and security procedures.

(c) Each Participant, DMA Customer and Authorized Trader shall provide the

Regulatory Services Provider with the same access to their books and records as they are

required to provide to BSEF under the BSEF Rules and Applicable Law.

(d) The Compliance Department may require a Participant to furnish (periodically or

on a particular occasion) information concerning the Participant’s SEF Activity.

RULE 404. Minimum Financial and Related Reporting Requirements

Each Participant that is registered with any Self-Regulatory Organization shall comply

with the provisions of Applicable Law relating to minimum financial and related reporting and

recordkeeping requirements.

RULE 405. Position Liquidation upon Default

Upon default of any Swap by a Participant, Customer or Client, BSEF shall have the

right to arrange the liquidation of all or some Swap positions of such Participant, Customer or

Client, as applicable, opened via the SEF operated by BSEF.

RULE 406. Authority to Impose Restrictions

Whenever a Participant is subject to the early warning requirements set forth in the

CFTC Regulations, including CFTC Regulation 1.12, the President, or his or her designee, may

impose such conditions or restrictions on the business and operations of such Participant as the

President, or his or her designee, may deem necessary or appropriate for the protection of

Customers, other Participants or the SEF operated by BSEF.

RULE 407. Customers and Accounts

(a) No Participant shall carry an account for a Customer or enter an RFQ or Order in

the name of a Account unless the Participant has entered into a Written agreement with the

Customer or Account that is in compliance with Applicable Law and the BSEF Rules.

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(b) Each Participant must: (1) ensure that the Customer or Account is an ECP at the

time of execution of any Swap; (2) subject every Swap executed for the Customer or Account to

the terms of the BSEF Rules insofar as they are applicable to that Swap; (3) in relation to any

Swap executed for the Customer or Account, be able to comply with all requirements of the

BSEF Rules and any other arrangements, provisions and directions given by BSEF; and (4)

provide BSEF and its agents, including its Regulatory Services Provider, access to all

information in connection with or related to its SEF Activity necessary for monitoring and

enforcement of BSEF Rules.

RULE 408. Disclosure Requirements; Know Your Counterparty

Requirements

(a) With respect to Non-Cleared Swaps, Participants that are Swap Dealers or Major

Swap Participants shall verify the status of each Counterparty as an ECP with respect to each

Trade as provided in Part 23 of the CFTC Regulations applicable to business conduct standards

for Swap Dealers and Major Swap Participants in their dealing with counterparties.

(b) Each Participant must comply with the disclosure requirements imposed by the

BSEF Rules.

RULE 409. Books and Records

RULE 409.A. Participant and Clearing Member Books and Records

(a) Each Participant, Clearing Member and market participant shall prepare and keep

current all books, ledgers and other similar records relating to SEF Activity required to be kept

by it pursuant to the Act, CFTC Regulations and these Rules and shall prepare and keep current

such other books and records relating to SEF Activity and adopt such forms as BSEF may from

time to time prescribe. Such books and records shall be made available, upon request, to BSEF,

the CFTC, the Department of Justice or any Governmental Body, regulator or Self-Regulatory

Organization with jurisdiction over BSEF, and their respective Authorized Representatives.

(b) In addition to information required by subsection (a) of this Rule 409, each

Participant, Clearing Member and market participant must comply with all applicable

requirements of CFTC Regulation 1.35.

(c) If a Participant cannot enter an Order or Request for Quote received from its

Customer into the SEF Platform, the Participant must immediately create an electronic record

that includes the account identifier that relates to the Customer Account, time of receipt, and

terms of the Order or Request for Quote.

(d) As required by CFTC Regulation 37.404, each Participant, Clearing Member and

market participant, as applicable, must keep records of their trading on the SEF operated by

BSEF (including records of its or its activity in the index or instrument used as a reference price,

the underlying commodity and related derivatives markets) and make such records available,

upon request, to BSEF, the CFTC or any Governmental Body, regulator or Self-Regulatory

Organization with jurisdiction over BSEF, and their respective Authorized Representatives.

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(e) Each Participant, Clearing Member and market participant shall keep all books

and records required to be kept by it pursuant to these Rules for a period of five years from the

date on which they are first prepared unless otherwise provided in these Rules or required by

Applicable Law. Such books and records shall be readily accessible during the first two years of

such five-year period. During such five-year period, all such books and records shall be made

available for inspection by, and copies thereof shall be delivered to, BSEF and its Authorized

Representatives upon request.

(f) Each Participant and Authorized Trader shall provide the NFA with the same

access to its books and records and offices as it is required to provide BSEF under these Rules

and Applicable Law.

(g) BSEF may require a Participant, Clearing Member and market participant to

furnish such information concerning the Participant or Clearing Member’s business that is

subject to these Rules as BSEF deems necessary to enable it to perform its obligations under

Applicable Law, including information relating to (i) Swaps executed on the SEF operated by

BSEF and in related derivatives markets, including in the products underlying those Swaps, and

(ii) information requested by a government agency relating to the SEF and/or BSEF’s

compliance with Applicable Law that BSEF believes is maintained by, or otherwise in the

possession of, a Participant or Clearing Member.

(h) All data and information provided to or obtained by BSEF pursuant to this Rule

409 shall be subject to the provisions of Rule 805.

(i) A DMA Customer can delegate the maintenance of the DMA Customer’s records

required by CFTC Regulation 1.35 for transactions executed on BSEF to its Sponsoring Broker;

provided, however, that the DMA Customer has an agreement with its Sponsoring Broker

regarding the maintenance of such records. The DMA Customer shall remain ultimately

responsible for all CFTC Regulation 1.35 recordkeeping obligations, including any records not

covered by the agreement with its Sponsoring Broker. Notwithstanding anything to the contrary

in this Rule 409.A, the DMA Customer shall remain directly responsible for the maintenance of

all records set forth in Rule 409.A(d).

RULE 409.B. BSEF Books and Records

BSEF shall keep, or cause to be kept, complete and accurate books and records, including

all books and records required to be maintained pursuant to the CEA, the CFTC Regulations or

the BSEF Rules as required by CFTC Regulation 1.31.

RULE 410. Responsibility for Mandatory Trading

Each Participant that is a Swap Dealer or Major Swap Participant shall be responsible for

compliance with the mandatory trading requirement under Section 2(h)(8) of the CEA and shall

not enter into any Required Transaction outside a SEF that lists a Swap related to such Required

Transaction.

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RULE 411. Eligibility for Clearing Exempt Transactions

(a) Each Participant wishing to execute any Clearing Exempt Transaction on the SEF

operated by BSEF must submit to BSEF documentation demonstrating its eligibility (or the

eligibility of its relevant Client or Customer, if applicable) for a Clearing Exception (a

“Clearing Exception Form”) required by CFTC Regulations or CFTC Staff No-Action

Letters prior to sending an RFQ or placing an Order subject to the Clearing Exception.

(b) Each Participant must comply with the conditions of the applicable Clearing

Exception.

RULE 412. YLDVOL Forward Swap Contract Eligibility

Each Participant in compliance with Rule 534, and any other requirements applicable to

Participants that respond to RFQs, is eligible to receive RFQs for a YLDVOL Forward Swap

contract (Rule 1349) from other Participants and to provide responses to such RFQs; provided,

however, that BSEF has the right to suspend a Participant’s ability to receive RFQs for a

YLDVOL Forward Swap contract (Rule 1349) if a Participant has not placed at least one bid and

offer for an YLDVOL Swaption Straddle eligible for the Auction Book (as defined in Chapter

5A) during three consecutive Auctions (as defined in Chapter 5A) starting from the third

Auction after the listing of YLDVOL Forward Swap contract (Rule 1349).

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND

BUSINESS CONDUCT

RULE 501. Scope

This Chapter 5 prescribes Rules concerning trading practices and business conduct on the

SEF operated by BSEF and applies to all RFQs, Orders and Trades in Swaps as defined in

Chapter 1.

RULE 502. Procedures

(a) With respect to trading on or though the SEF Platform or subject to BSEF Rules,

BSEF may adopt, without limitation, procedures relating to transactions in Swaps and trading on

the SEF Platform or subject to BSEF Rules, including procedures to:

(i) disseminate the prices of bids and offers on, and trades in, Swaps;

(ii) record, and account for, Swaps and SEF Activity and regulate

administrative matters affecting Swaps and SEF Activity;

(iii) establish limits on the number and/or size of RFQs or Orders that may be

submitted by a Participant through the SEF Platform or subject to BSEF Rules;

(iv) establish limits on the aggregate notional amount of Swaps that may be

held by a Participant;

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(v) establish a limit on the maximum daily price fluctuations for any Swap

and provide for any related restriction or suspension of trading in the Swap; and

(vi) establish minimum price quoting increments for each Swap.

(b) BSEF may, in its discretion and at any time, amend any procedures adopted

pursuant to Rule 502(a), and will publish the amendments in a Notice to Participant or in any

other manner determined appropriate by BSEF.

RULE 503. Business Days and Trading Hours

Except as provided in Rule 212 with respect to Emergencies, BSEF shall determine and

publish a Notice to Participants listing the Business Days of the SEF operated by BSEF and the

Trading Hours for each Swap.

RULE 504. Rule Violations

(a) It shall be an offense for a Participant, Account Manager, DMA Customer,

Authorized Trader or Supervised Person to violate any BSEF Rule regulating the conduct or

business of a Participant or its Account Managers, Authorized Traders or Supervised Persons,

or any agreement made with BSEF, or to engage in fraud, dishonorable or dishonest conduct, or

in conduct which is inconsistent with just and equitable principles of trade.

(b) Participants shall assist BSEF in any investigation into potential violations of the

BSEF Rules or, with respect to the SEF Activity, the CEA. Such assistance must be timely and

may include, but not be limited to, producing documents, answering questions from BSEF or its

designee, and/or appearing in connection with an investigation.

(c) If a Participant has actual or constructive notice of a violation of BSEF Rules in

connection with the use of the SEF operated by BSEF by a Participant, Customer, Account,

Clearing Member or Authorized Trader and the Participant fails to take appropriate action, the

Participant may be found to have committed an act detrimental to the interest or welfare of the

SEF operated by BSEF.

RULE 505. Fraudulent Acts

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised

Person or any market participant shall (a) intentionally or recklessly, directly or indirectly,

engage, or attempt to engage, in any fraudulent act or intentionally or recklessly, directly or

indirectly, use or employ, or attempt to use or employ, any manipulative device, scheme or

artifice to defraud, deceive, trick or mislead or intentionally or recklessly, directly or indirectly,

engage, or attempt to engage in any other activity prohibited by CFTC Regulation 180.1(a), or

(b) engage, or attempt to engage, in any other activity prohibited by CEA section 9(a)(2), in each

case of (a) and (b) in connection with or related to any SEF Activity. Specifically, no

Participant, Account Manager, DMA Customer, Authorized Trader or Supervised Person shall

directly or indirectly, engage in front running, fraudulent trading, money passes, trading ahead of

customers, trading against customers, accommodation trading or improper cross trading.

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RULE 506. Prohibited Transactions

RULE 506.A Fictitious or Wash Transactions

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised

Person or any market participant that directly or indirectly effects a transaction on the SEF

operated by BSEF shall create fictitious transactions or wash transactions or execute any Order

with knowledge of its nature. No Person shall place or accept Orders in the same Swap where

the Person knows or reasonably should know that the purpose of the Orders is to avoid taking a

bona fide market position exposed to market risk (transactions commonly known or referred to

as wash sales). Orders for different accounts with common beneficial ownership that are entered

with the intent to negate market risk or price competition shall also be deemed to violate the

prohibition on wash trades. Additionally, no Person shall knowingly execute or accommodate

the execution of such Orders by direct or indirect means.

RULE 506.B Pre-Arranged Transactions

No Participant, Account Manager, DMA Customer or Authorized Trader shall engage in

a pre-arranged transaction except as permitted by Rule 516, Rule 521 or Rule 531.

RULE 507. Pre-Execution Communications

(a) Pre-Execution Communications with respect to Swaps executed through the

Order Book shall be prohibited except in the case of Trades executed in accordance with Rule

521.

(b) Pre-Execution Communications are permitted with respect to Swaps executed

through the Request for Quote Functionality in accordance with Rule 522.

RULE 508.A Price Manipulation

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised

Person or any market participant shall directly or indirectly engage in any conduct that

manipulates or attempts to manipulate the price of any Swap, including without limitation,

engaging in activity in violation of CFTC Regulation 180.2.

RULE 508.B Disruptive Practices

(a) No Participant, Account Manager, DMA Customer, Authorized Trader or

Supervised Person shall engage in any trading, practice or conduct that constitutes a

“disruptive practice,” as such term is described in CEA section 4c(a)(5) or in any interpretive

guidance issued by the CFTC, in relation to the trading of any Swap.

(b) A Participant may post on the CLOB and submit an RFQ to the SEF Platform in

the same Swap at the same time using the same Participant ID only as permitted by Rule

508.B(a) and Rule 508.A.

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RULE 508.C Post-Trade Anonymity

(a) It is prohibited to disclose, directly or indirectly, including through a third-party

service provider, the identity of a counterparty for Cleared Swaps executed, pre-arranged or

pre-negotiated anonymously on or pursuant to the rules of the SEF operated by BSEF.

(b) Prohibition on post-trade name give-up shall not apply to components of a

Package Transaction that are not Cleared Swaps.

(c) The compliance date for swaps subject to the trade execution requirement under

section 2(h)(8) of the CEA is July 5, 2021.

RULE 509. Prohibition of Misstatements

It shall be an offense to make any knowing misstatement of a material fact to BSEF, any

SEF Official, any Board committee or SEF panel, the Compliance Department and/or agents of

BSEF (including the Regulatory Services Provider) or any Participant or any of its Account

Managers, Authorized Traders or Supervised Persons.

RULE 510. Acts Detrimental to Welfare of SEF

It shall be an offense to engage in any act that is detrimental to the interest or welfare of

the SEF operated by BSEF.

RULE 511. Adherence to Law

(a) No Participant, Account Manager, Customer, Authorized Trader or Supervised

Person shall engage in conduct in violation of the BSEF Rules, the Act, CFTC Regulations, the

Rules of any SEF, or the rules of any DCM, DCO or SRO that has jurisdiction over such

Participant, Account Manager, Customer, Authorized Trader or Supervised Person or, with

respect to SEF Activity, the laws, rules or regulations of any relevant Governmental Body.

(b) Without limiting subsection (a) of this Rule,

(i) each Participant that is an FCM or a Clearing Member must comply with

all requirements of Applicable Law regarding the treatment of Customer

funds and Customer Orders; and

(ii) each Participant, Customer or Account must comply with all margin

requirements established by each relevant Clearing House and by each relevant Clearing

Member, if applicable, as well as any margin requirements set forth by the CFTC or

Applicable Law.

RULE 512. Use of Trading Privileges

No Participant, Account Manager, DMA Customer, Authorized Trader or Supervised

Person may use such Participant’s Trading Privileges in any way that could be expected to bring

disrepute upon such Participant, Account Manager, DMA Customer, Authorized Trader or

Supervised Person.

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RULE 513. Supervision

Each Participant, DMA Customer and Account Manager shall be responsible for

establishing, maintaining and administering reasonable supervisory procedures to ensure that its

Authorized Traders and Supervised Persons, as applicable, comply with the BSEF Rules, the

Act, CFTC Regulations, the Rules of any SEF, or the rules of any DCM, DCO or SRO that has

jurisdiction over such Participant, Account Manager, DMA Customer, Authorized Traders or

Supervised Persons or, with respect to SEF Activity, the laws, rules or regulations of any

relevant Governmental Body, and such Participant may be held accountable for the actions of

such Account Managers, Authorized Traders or Supervised Persons.

RULE 514. Misuse of the SEF Platform

Misuse of the SEF Platform is strictly prohibited. Only Swaps can be traded on the SEF

operated by BSEF. It shall be deemed an act detrimental to the interest and welfare of the SEF

operated by BSEF to willfully or negligently engage in unauthorized use of the SEF Platform, to

assist any Person in obtaining unauthorized access to the SEF Platform, to trade on the SEF

Platform without an agreement and an established account with a Derivatives Clearing

Organization or a Clearing Member, to alter the equipment associated with the SEF Platform, to

interfere with the operation of the SEF Platform, to intercept or interfere with information

provided thereby, or in any way to use the SEF Platform in a manner contrary to the BSEF

Rules.

Please see Notice to Participants 2017-2, which is posted on BSEF’s website.

RULE 515. Mishandling of Customer Orders

Any Participant that mishandles any Customer Order is responsible for all remedial

actions with respect to such Order.

RULE 516. Trade Cancellation, Correction, Offset and Adjustment –

General

Please see Notices to Participants 2015-1, 2016-5A, 2016-8 and 2020-1 (which address

Error Trades intended to be corrected as set forth in Rule 516.A(c)), which are posted on BSEF’s

website.

(a) Any Trade executed on the SEF Platform operated by BSEF or in accordance with BSEF

Rules can be canceled, corrected, adjusted or offset only in accordance with this Rule 516.

(b) A Participant involved in an Error Trade and acting as an Account Manager, Introducing

Broker or FCM shall have the authority to request or consent to the cancellation, adjustment or

offset, as applicable, of such Trade on behalf of the relevant Counterparty involved in the Trade.

(c) Timing of an Offset or Correction – Cleared Swaps

(i) For Error Trades rejected by a Clearing House for non-credit reasons, the

Correcting Trade must be executed on the SEF operated by BSEF and submitted for

clearing as quickly as technologically practicable after receipt of notice of the rejection

by the Clearing House to the Clearing Members, but, in any event, no later than one hour

from the issuance of the notice.

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(ii) For Error Trades accepted by a Clearing House, the Offsetting Trade

and/or the Correcting Trade must be executed and submitted for clearing no later than

three Business Days after the Error Trade was executed.

(d) Timing of a Correction, Cancellation or Adjustment – Non-Cleared Swaps. Any

correction, cancellation or adjustment of a Trade in Non-Cleared Swaps made pursuant to this

Rule 516 shall be made no later than three Business Days after the erroneous Trade was

discovered.

RULE 516.A Notification of Action Taken and Trade Review – Cleared

Swaps

(a) Cleared Swaps Executed on a Non-Anonymous Basis

(i) If Participants involved in a Trade agree that the Trade is an Error Trade and that

the cancellation, correction, adjustment or offset of the Error Trade is appropriate

and will not adversely impact market integrity, facilitate market manipulation, or

other illegitimate activity, or otherwise violate the CEA, CFTC Regulations or

BSEF Rules, Participants may enter into an Offsetting Trade to correct an Error

Trade or into a Correcting Trade using functionality approved by BSEF, as

specified in Notice to Participants 2020-1. Use of such functionality required by

BSEF will constitute notice to the Compliance Department and BSEF permission

to perform the actions described in Rule 516.B(a).

(ii) For a Trade corrected pursuant to subsection (a)(i) of this Rule 516.A, the

Compliance Department will conduct an ex post facto review of the Trade, the

Offsetting Trade and the Correcting Trade within one Business Day of the date of

execution of the Offsetting and the Correcting Trade. Such ex post facto review

will include a review of the electronic audit trail of the Trade, as well as other

facts and circumstances associated with the Trade. If BSEF makes an affirmative

finding that such Trade was not an Error Trade, BSEF Compliance will consider

any action appropriate under BSEF Rules.

(iii) In the case of a Trade in Cleared Swaps executed on a non-anonymous

basis, BSEF may, but is not obliged to, inform Participants affected by the Error

Trade of the identity and contact information of any other Participant affected by

the Error Trade.

(b) Cleared Swaps Executed on an Anonymous Basis

(i) To request cancellation, correction, adjustment or offset of a Trade in Cleared

Swaps executed on an anonymous basis (“Alleged Error Trade”), a Participant

must notify the BSEF Support Desk at 1-212-617-1530 or

bsefdesk@bloomberg.net or by any form of written communication approved by

BSEF by providing the Trade ID (FIT Key) of the Alleged Error and stating the

grounds for the request as soon as possible, but no later than the end of the

Business Day following the date of execution of the Alleged Error Trade. For

notifications received after such date, BSEF shall have discretion as to whether to

review the request to cancel, correct, adjust or offset the Alleged Error Trade.

(ii) The Compliance Department will review promptly the electronic audit trail of the

Alleged Error Trade as well as any facts and circumstances associated with the

Alleged Error Trade. If BSEF makes an affirmative finding that the Alleged Error

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Trade was an Error Trade and that the cancellation, correction, adjustment or

offset of the Alleged Error Trade is appropriate and would not adversely impact

market integrity, facilitate market manipulation or other illegitimate activity, or

otherwise violate the CEA, CFTC Regulations or BSEF Rules, BSEF will

designate such Alleged Error Trade as an “Error Trade.”

(iii) BSEF will inform affected Participants of the Error Trade alleged as set

forth in subsection (b)(i) and of the next steps that the Participants must or could

make.

(iv)BSEF will not take any action with respect to an Error Trade unless the Error

Trade is outside the No-Bust Range. BSEF will inform the affected Participants

of the final disposition of the Error Trade.

(v) For Trades in Cleared Swaps executed on an anonymous basis, BSEF will not

inform Participants affected by the Error Trade of the identity and contact

information of any other Participant affected by the Error Trade and will facilitate

a pre-arranged Offsetting Trade or a Correcting Trade if all such Participants

agree to or are required to enter into Trades described in Rule 516.B.

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset

– Cleared Swaps

(a) Participant Errors

(i) For each Error Trade cleared by a Clearing House, BSEF may, if both

Participants agree:

(A) request, or allow the Participants to request, the appropriate

Clearing House to cancel, correct or adjust the Error Trade; or

(B) allow the affected Participants to enter into a pre-arranged

Offsetting Trade to offset the position on the books of the Clearing House

that resulted from the Error Trade; and/or

(C) if desired by the affected Participants, allow the affected

Participants to execute a Correcting Trade, provided, however, that the

terms of such new Trade shall not include costs or fees associated with the

Error Trade.

(ii) For each Error Trade rejected by a Clearing House and determined to be

void ab initio under Rule 533 because of an operational or clerical error or omission

made by a Participant, Counterparty or Account Manager, if both Participants agree, the

affected Participants may enter into a pre-arranged Correcting Trade.

(iii) All BSEF Rules other than Rule 522.A shall apply to Correcting Trades

executed by Participants pursuant to this Rule 516.B(a).

(iv) Participants must report to BSEF as soon as possible all changes made to

the Error Trade pursuant to Rule 516.B(a)(i)(A).

(v) With respect to an Error Trade rejected by a Clearing House for non-credit

reasons, if the Correcting Trade is also rejected by the Clearing House and void ab initio,

the affected Participants will not be provided a second opportunity to correct the Error

Trade.

(b) System Errors

(i) If, after its own investigation or a notice from a Participant, BSEF

determines in its sole discretion that the execution of a Trade cleared by a Clearing

45
House was the result of an error made by the SEF Platform and the Trade has been

designated as an Error Trade, then BSEF may:

(A) request, or allow the Participants to request, the appropriate

Clearing House to cancel, correct or adjust the Error Trade; or

(B) direct the affected Participants to enter into a pre-arranged

Offsetting Trade to offset the position on the books of the Clearing House

that resulted from the Error Trade; and/or

(C) direct the affected Participants to execute a Correcting Trade ,

provided, however, that the terms of such new Trade shall not include

costs or fees associated with the Error Trade.

(ii) If, after its own investigation or a notice from a Participant, BSEF

determines in its sole discretion that the execution of a Trade rejected by a Clearing

House and determined to be void ab initio under Rule 533 because of an operational or

clerical error or omission made by the SEF Platform was the result of an error made by

the SEF Platform, then BSEF may direct the affected Participants to enter into a

pre-arranged Correcting Trade, provided, however, that the terms of such new Trade

shall not include costs or fees associated with the Error Trade.

(iii) If BSEF directs affected Participants to enter into a pre-arranged Trade in

accordance with sub-section (i)(B) above, the affected Participants shall enter into such

pre-arranged Trade.

(iv) All BSEF Rules other than Rule 522.A shall apply to Correcting Trades

executed by Participants pursuant to this Rule 516.B(b).

(v) Notwithstanding anything to the contrary in this Rule 516(B)(b), BSEF

reserves the right to correct an Error Trade resulting from an error made by the SEF

Platform by any means BSEF deems appropriate.

(vi) If BSEF is unable to determine how to correct the Error Trade, BSEF may

either not fix the error, or it may seek guidance on how to address the error from the

affected Participants. Any such guidance may not be implemented without consent from

both Participants.

(vii) Participant must report to BSEF as soon as possible all changes made to

the Error Trade pursuant to Rule 516.B(b)(i)(A).

(viii) With respect to an Error Trade rejected by a Clearing House for non-credit

reasons, if the Correcting Trade is also rejected by the Clearing House and void ab initio,

the affected Participants will not be directed to enter into another Trade to correct the

Error Trade.

46
RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment –

Non-Cleared Swaps

(a) Participant Error

(i) TheExcept as set forth in Chapter 5A, the Participants involved in an

erroneous Trade, other than a Prime Broker Trade, may mutually agree to cancel the

erroneous Trade or to correct or adjust the erroneous Trade. BSEF will cancel, correct or

adjust the erroneous Trade as instructed by the affected Participants. A Prime Broker

Trade shall be canceled in accordance with Rule 516.D.

(b) System Error

(i) If, after its own investigation or a notice from a Participant, BSEF

determines in its sole discretion that the execution of a Trade, other than a Prime Broker

Trade, was the result of an error made by the SEF Platform, then BSEF may:

(A) cancel such Trade; or

(B) if both Participants, or with respect to a Prime Broker Trade, both

Participants and the Prime Broker, affected by the erroneous Trade agree,

correct or adjust the price.

RULE 516.D Prime Broker Trades

(a) A Participant that is a Counterparty to a Prime Broker Trade may request the

cancellation of a Prime Broker Trade. The Participant must request cancellation by sending a

cancellation message to BSEF. The cancellation message must state the UTI of the Prime

Broker Trade, name and contact information of the Prime Broker for the Prime Broker Trade and

the reason for cancellation. If the Prime Broker confirms the cancellation, BSEF will cancel the

Prime Broker Trade.

(b) Subject to subsection (c) of this Rule, a Prime Broker shall have the right to

cancel any Prime Broker Trade (i) that is executed in excess of the limit, terms or parameters

established by the Prime Broker with respect to the Prime Broker Trade, (ii) because the Prime

Broker Trade was executed by or with a Person that was not authorized by the Prime Broker, or

(iii) because the Prime Broker Trade was executed for an unauthorized product. The Prime

Broker must request cancellation by sending a cancellation message to BSEF. The cancellation

message must state the UTI of the Prime Broker Trade and the reason for cancellation. If BSEF

determines that the cancellation satisfies the conditions of Rule 516.D(b), BSEF will cancel the

Prime Broker Trade.

(c) Each Prime Broker that wishes to have the ability to instruct BSEF to cancel

Trades executed on BSEF under Rule 516.D.(b) must enter into an agreement with BSEF.

RULE 516.E Trade Cancellation and Adjustment by BSEF

(d) BSEF may adjust or cancel a Trade (i) that resulted from a market disrupting

event, (ii) that is executed at a price that was outside the No-Bust Range, (iii) to comply with

Applicable Law or (iv) that was intended to be cleared and was submitted to a Clearing House

47
via a service provider but was not presented to the Clearing House for clearing due to a

post-execution processing issue. Please see Notice to Participants 2016-5A, which is posted on

BSEF’s website.

(e) If BSEF takes action pursuant to this Rule 516.E, it will give prompt notice to

affected Participant(s).

RULE 516.F Trade Reporting by BSEF

BSEF will report the adjustment or cancellation of the Trade and any new Trade entered

into pursuant to this Rule in accordance with Rule 532.

RULE 517. Withholding Orders Prohibited

(a) Any Participant entering RFQs or Orders on the SEF operated by BSEF for its

Customers shall not withhold or withdraw from the market any RFQ or Order, or any part of an

RFQ or Order, for the benefit of any Person other than the Customers.

(b) A Participant must enter immediately into the SEF operated by BSEF all Orders

or Requests for Quotes received from its Customers that are executable immediately. If a

Participant cannot immediately enter into the SEF Platform an Order or Request for Quote

received from its Customer, the Participant must enter the Order or Request for Quote into the

SEF operated by BSEF as soon as practicable, and must immediately create an electronic record

as provided in Rule 409.

RULE 518. Priority of Customers’ Orders

No Participant that is an FCM or Introducing Broker shall enter an Order into the SEF

operated by BSEF for his own account, an account in which he has a direct or indirect financial

interest or an account over which he has discretionary trading authority, including an Order

allowing discretion as to time and price, when such Person is in possession of any Order in the

same Swap for its Customer that the SEF operated by BSEF is capable of accepting.

RULE 519. Trading Against Customers’ Orders Prohibited

RULE 519.A. General Prohibition

No Person in possession of a Customer’s Order shall knowingly take, directly or

indirectly, the opposite side of such Order for its own account, an account in which it has a direct

or indirect financial interest, or an account over which it has discretionary trading authority.

RULE 519.B. Exceptions

The foregoing restriction shall not apply to transactions executed pursuant to Rule 531.A

or Rule 531.B.

RULE 520. Disclosing Orders Prohibited

No Person shall disclose another Person’s RFQ or Order to buy or sell except to a

designated SEF Official or the CFTC, and no Person shall solicit or induce another Person to

48
disclose RFQ or Order information. No Person shall take action or direct another to take action

based on non-public RFQ or Order information, however acquired.

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial

Owners

(a) A Participant that is a broker or a dealer which seeks either to execute against a

Customer’s Order or to execute two Customers against each other through an Order Book

following some form of pre-arrangement or pre-negotiating of such Orders must expose one side

of the transaction for a minimum of 15 seconds to the other Participants before the second side

of the transaction (whether for the Participant’s own account or for a second Customer) can be

submitted for execution.

(b) Notwithstanding the foregoing clause (a), this Rule shall not apply to any DMA

Order.

RULE 522. Execution of Orders on the SEF Platform

RULE 522.A. Required Transactions and Cleared Swaps

(a) No Participant shall execute a Required Transaction in a Swap listed on the SEF

operated by BSEF other than as described in this Rule 522.A unless it is a Block Trade.

(b) Request for Quote Functionality

(i) The SEF Platform will not transmit an RFQ or an Order for a Required

Transaction unless (x) an RFQ for a specific Swap is sent to at least three MAT Recipient

Participants using RFQT; or (y) RFQS displays quotes from at least three MAT Recipient

Participants.

(ii) Together with the first response from any MAT Recipient Participant, the

SEF Platform will display to a Requesting Participant any firm Resting Quotes for the

Swap indicated in the RFQ that are posted on an Order Book together with any responses

to the RFQ from the MAT Recipient Participants, and such Resting Quotes will remain

displayed until all responses to the RFQ are received or the time for response has lapsed.

The SEF Platform will permit the Requesting Participant to execute against such firm

Resting Quotes along with any responsive Order from a MAT Recipient Participant.

“MAT Recipient Participant” means, with respect to any Requesting Participant

sending any RFQ via the Request for Quote functionality of the SEF Platform, a

Participant other than the Requesting Participant that (x) is not an Affiliate of or

Controlled by the Requesting Participant and (y) is not an Affiliate of or Controlled by

any other MAT Recipient Participant receiving the same RFQ of the Requesting

Participant.

(iii) The Request for Quote Functionality will provide each Participant with

equal priority in receiving RFQs, transmitting and displaying responses and accepting

resulting Orders.

(c) Anonymous CLOB for Cleared Swaps

Only firm bids and offers can be posted on the CLOB. Firm bids or offers may be

posted on the CLOB for Cleared Swaps only by a Participant that is a member of the applicable

49
Clearing House, by a Participant that has a clearing account with a Clearing Member as set forth

in Rule 533(b), or by a Participant in the name of an Account or Customer that has a clearing

account with a Clearing Member as set forth in Rule 533(b). Bids and offers posted on the

CLOB for Cleared Swaps are anonymous and will be matched on a price/time priority basis.

BSEF shall not disclose the names of Participants or Counterparties for a Trade executed on the

CLOB and it shall be a violation of the Rules for a Participant or Counterparty to ascertain or

attempt to ascertain the name of the Participant or Counterparty that is on the opposite side of a

Trade executed on the CLOB.

RULE 522.B. Permitted Transactions

The following execution methods are available for Permitted Transactions:

(a) Disclosed Order Book for Permitted Transactions in foreign exchange Swaps;

(b) Anonymous CLOB for Permitted Transactions in rate and credit Swaps that are

Cleared Swaps;

(c) Disclosed CLOB for Permitted Transactions in rate and credit Swaps that are

Non-Cleared Swaps;

(d) RFQS for rate, credit, non-deliverable forwards; and

(e) RFQT for all Swaps; and

(f) Auction for a YLDVOL Swaption Straddle as defined in Chapter 5A.

RULE 522.C. Package Transactions

(a) Other than as set forth in Rule 522.C(b), a Package Transaction or a component of

a Package Transaction that is a Required Transaction must be executed as provided in Rule

522.A.

(b) A Covered Package Transaction or a component of a Covered Package

Transaction that is a Required Transaction may be executed using RFQT in accordance with

CFTC Rule 37.9(d) or No-Action Letter 22-15, which expires November 15, 2025.

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption

No Participant shall enter into a Clearing Exempt Transaction unless it (or its Account or

Customer) or its Counterparty can claim a Clearing Exception with respect to such Clearing

Exempt Transaction. An Order for a Clearing Exempt Transaction will be rejected if an

applicable Clearing Exception Form is not on file with BSEF.

RULE 522.E. Block Trades in Swaps

(a) Block Trades in Swaps may be executed using the Request for Quote

Functionality and reported to an SDR as set forth in BSEF Rule 532(d).

(b) Each Counterparty to a Block Trade must be an ECP.

50
51

Package

Transactions

executed via the

BOLT

functionality of

the SEF Platform

A Trade that is

not a leg of a

Package

Transaction

in accordance

with the ISDA

Dodd-Frank Act

– Swap

Transaction

Reporting Party

Requirements,

the relevant

portion of which

is attached to this

A Package

Transaction

defined on the

SEF Platform as

“curves”

the fixed rate

payer on the leg

with longer

maturity is the

Reporting

Counterparty on

all legs

(c) The aggregation of Orders for different accounts to satisfy the Minimum Block

Trade size is permissible only by a Person who is a Qualified Account Manager.

(d) A Qualified Account Manager transacting an aggregated Block Trade on behalf

of any other Person must receive prior Written instruction or consent from each such other

Person to do so. Such instruction or consent may be provided in the power of attorney or similar

document by which the other Person provides the Person with discretionary trading authority or

the authority to direct the trading in its account.

RULE 523. Trade Confirmations

(a) BSEF will confirm each Trade at the same time as execution of the Trade. BSEF

will provide each Counterparty to a Trade that is entered into on or pursuant to the BSEF Rules

with a Written record of all of the terms of the Trade which shall legally supersede any previous

agreement and serve as a confirmation of the transaction (a “Confirmation”) as soon as

technologically practicable after the execution of a Trade. Such terms shall legally supersede

any previous agreement and serve as a confirmation of the Trade. BSEF will not include

specific customer identifiers for accounts included in Bunched Orders if the applicable

requirements of CFTC Regulation 1.35(b)(5) are met.

(b) On the Confirmation BSEF will:

(i) provide the UTI for the Trade and the name of the SDR where the Trade is

reported;

(ii) identify the Counterparty that is a Reporting Counterparty pursuant to

CFTC Regulation 45.8, and notify each Counterparty or its agent if the Counterparty is a

Reporting Counterparty, using the information provided by a Participant pursuant to Rule

524.A or 524.C; and

(iii) if both Counterparties have equal reporting status under CFTC Regulation

45.8, BSEF will designate the Reporting Counterparty using the following rules:

(A) For the rates asset class, the Reporting Counterparty will be

determined as set forth in the table below:

the fixed rate

payer on the leg

with the middle

tenor (“body”) is

the Reporting

Counterparty on

all legs

A Package

Transaction

defined on the

SEF Platform as

“butterflies”

the fixed rate

payer of the far

month leg is the

Reporting

Counterparty on

all legs

on an individual

leg basis in

accordance with

the ISDA

Dodd-Frank Act

– Swap

Transaction

Reporting Party

Requirements,

the relevant

A Package

Transaction

defined on the

SEF Platform as

“rolls”
52

A Trade that is not a

Package Transaction

Rulebook as

Annex A

A Package

Transaction defined

on the SEF Platform

as a “curve”

A Package Transaction

defined on the SEF

Platform as a “roll”

A Package

Transactions defined

on the SEF Platform

as a “switch”

the seller of protection

is the Reporting

Counterparty

portion of which

is attached to this

Rulebook as

Annex A

the seller of protection

on the leg with longer

maturity is the

Reporting

Counterparty on all

legs

the seller of protection

on the leg with longer

maturity is the

Reporting

Counterparty on all

legs

(B) For the credit asset class, the Reporting Counterparty will be

determined as set forth in the table below:

the seller of

protection on the

second leg of the

switch (as displayed

on the SEF Platform)

is the reporting

counterparty for all

legs

(C) For the foreign exchange asset class: the Reporting Counterparty is

the liquidity provider. For a Package Transaction, Reporting Counterparty

will be determined on an individual leg basis and is the liquidity provider.

A “liquidity provider” is a Person that: (i) for RFQ, provided the

responses to an RFQ that led to the reported Trade; or (ii) for an Order

Book, provided the first quote that led to the reported Trade.

(c) With respect to any Non-Cleared Swap, a Confirmation shall for purposes of

Commission Regulation 37.6(b) consist of the Trade Communication and the Terms

Incorporated by Reference. In the event of any conflict between (x) the Trade Communication

and (y) the Terms Incorporated by Reference, the Trade Communication shall prevail to the

extent of any inconsistency and the Trade Communication will state the same.

“Trade Communication” shall mean a Written communication provided by

BSEF to each Participant involved in a Trade containing the economic terms of

the Trade agreed by the Participants on the SEF operated by BSEF.

“Terms Incorporated by Reference” shall mean the Non-Cleared Swap

Agreement(s) governing the Trade memorialized in the Trade Communication.

(d) In accordance with CFTC No-Action Letter 17-17, until the effective date of

revised CFTC regulations that establish a permanent, practicable SEF confirmation solution,

Participants entering into Non-Cleared Swaps on or subject to the rules of the SEF operated by

BSEF are not required to provide to BSEF the Non-Cleared Swap Agreement(s) governing such

Non-Cleared Swaps prior to entering into a Trade in a Non-Cleared Swap, but must provide

copies of the Non-Cleared Swap Agreement(s) to BSEF upon request. Upon request from the
Commission, BSEF will request a Participant to provide copies of the applicable Non-Cleared

Swap Agreement(s) and will provide such copies to the Commission.

RULE 524. Order Entry Requirements

Please see Notice to Participants 2017-1, which is posted on BSEF’s website.

RULE 524.A. General

Each Authorized Trader entering an RFQ or Order with respect to any Swap traded on

the SEF operated by BSEF must include with the Order, as applicable:

(a) the Trader ID;

(b) the Participant ID;

(c) the Legal Entity Identifier of the Participant placing the RFQ or Order;

(d) the Counterparty’s Legal Entity Identifier;

(e) the Swap description or code;

(f) the price or yield, quantity, maturity or expiration date of the Swap;

(g) side of the Order;

(h) the CTI code;

(i) Trading Accounts and other relevant account(s);

(j) a yes/no indication of whether the Counterparty is a Swap Dealer with respect to

the Swap with respect to which the Order is placed;

(k) a yes/no indication of whether the Counterparty is a Major Swap Participant with

respect to the Swap with respect to which the Order is placed;

(l) a yes/no indication of whether the Counterparty is a Financial Entity;

(m) a yes/no indication of whether the Counterparty is a U.S. person;

(n) a yes/no indication that a Swap is an inter-affiliate Swap that should not be

subject to the real-time reporting requirements;

(o) a yes/no indication of the Clearing Exception;

(p) an indication of whether the Swap is a leg of a Covered Package Transaction;

(q) if applicable, other terms of a Swap that is not a Cleared Swap required by BSEF

(e.g., type of Clearing Exception); or

53
(r) if the Swap is a Cleared Swap:

 (i) an indication that the Swap will be cleared; and

 (ii) the Clearing Account Identifier for a Clearing House where the Swap is

intended to be cleared; and

(s) if the Swap will be allocated:

(i) an indication that the Swap will be allocated; and

(ii) if the Swap is allocated pre-execution, the Legal Entity Identifier for each

Account that will receive allocations and the Clearing Account Identifier

for a Clearing House where each allocation is intended to be cleared.

RULE 524.B. Customer Type Indicator (CTI) Codes

Each Participant must identify each transaction submitted to the SEF operated by BSEF

with the correct customer type indicator code (a “CTI” code). The CTI codes are as follows:

CTI 1- Transactions executed by a Participant for its own account, for an account it

controls, or for an account in which it has an ownership or financial interest.

Applies to Trades placed by Account Managers and proprietary traders other than

FCMs and Introducing Brokers.

CTI 2- Transactions executed for the Proprietary Account of a Participant. Applies to

FCMs and Introducing Brokers trading for their Proprietary Accounts.

CTI 3- Orders that a Participant executes on behalf of another Participant, or for an

account such other Participant controls or in which such other Participant has an

ownership or financial interest. Applies to Trades placed by a DMA Customer

using the Participant ID of the Sponsoring Broker.

CTI 4- Any transaction not meeting the definition of CTIs 1, 2 or 3. Applies to Trades

placed by FCMs and Introducing Brokers for their Customers and anything else.

RULE 524.C. Pre-Arranged Transactions

All Trades executed in accordance with Rule 531, unless otherwise exempted by a Rule,

must be in the form of a Written or electronic record and include in the Order ticket all

information required by Rule 524.A.

RULE 525. Position Limits

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate,

position limitations for speculators. Where the CFTC has established a position limit for any

Swap, BSEF’s position limit for that Swap shall not be higher than such limit established by the

CFTC. Such limits will apply only with respect to trading on the SEF operated by BSEF.

54
(b) Except as otherwise provided by the BSEF Rules, no Person, including a

Participant, may hold or control a position in excess of such position limits and a Participant may

not maintain a position in excess of such position limits for an Account or Customer if such

Participant knows, or with reasonable care should know, that such position will cause such

Account or Customer to exceed the applicable position limits.

(c) Position limits shall apply to (i) all positions in accounts for which any Person, by

power of attorney or otherwise, directly or indirectly holds positions or controls trading, and (ii)

positions held by two or more Persons acting pursuant to an expressed or implied agreement or

understanding, as if the positions were held by, or the trading of the positions were executed by,

a single Person.

(d) For Required Transactions, BSEF will enforce position limits only for Trades

executed on the SEF operated by BSEF. If BSEF establishes position limits or position

accountability levels for Permitted Transactions, BSEF will demonstrate compliance with CFTC

Regulation 37.600 by sending the CFTC a list of Permitted Transactions traded on the SEF

operated by BSEF.

RULE 526. Exemptions from Position Limits

Any Person seeking an exemption from the position limits referred to in Rule 525 must

file an application with BSEF. BSEF shall notify the applicant whether the exemption has been

approved and whether BSEF has imposed any limitations or conditions on the exemption. The

decision of BSEF shall be final.

RULE 527. Position Accountability

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate,

position accountability levels for speculators. Any Person, including a Participant, who owns or

controls Swaps in excess of the applicable position accountability level shall provide to BSEF at

its request any information regarding the nature of the position, trading strategy or hedging

activities, if applicable, and if ordered by BSEF, shall not increase the size of any such position.

(b) For purposes of this Rule, all positions in accounts for which a Person, by power

of attorney or otherwise, directly or indirectly controls trading shall be included with the

positions held by such Person. The provisions of this Rule shall apply to positions held by two

or more Persons acting pursuant to an expressed or implied agreement or understanding, as if the

positions were held by a single Person.

RULE 528. Bunched Orders and Orders Eligible for Post-Execution

Allocation

(a) Only the following categories of Persons may place a Bunched Order to be

allocated post-execution on the SEF Platform or that is subject to BSEF Rules:

55
(i) a commodity trading advisor registered with the Commission pursuant to

the Act or excluded or exempt from registration under the Act or the CFTC Regulations,

except for entities exempt under CFTC Regulation 4.14(a)(3);

(ii) an investment adviser registered with the SEC pursuant to the Investment

Advisers Act of 1940 or with a state pursuant to applicable state law or excluded or

exempt from registration under the Investment Advisers Act of 1940 or applicable state

law or rule;

(iii) a bank, insurance company, trust company, or savings and loan

association subject to federal or state regulation;

(iv) a foreign adviser that exercises discretionary trading authority solely over

the accounts of non-U.S. persons, as defined in CFTC Regulation 4.7(a)(1)(iv);

(v) a Futures Commission Merchant registered with the Commission pursuant

to the Act; or

(vi) an Introducing Broker registered with the Commission pursuant to the

Act.

(b) Bunched Orders must be allocated and recorded in accordance with CFTC

Regulation 1.35(b)(5) and the NFA’s Interpretative Notice related to Compliance Rule 2-10.

(c) Bunched Orders may be entered using an Account Series Designation or suspense

account number; provided, however, that:

(i) the Order is being placed by an Account Manager for multiple accounts

eligible for post-execution allocation; and

(ii) an Account Manager that places a Bunched Order shall keep and must

make available upon request of any representative of the Commission, the United States

Department of Justice, BSEF or other appropriate regulatory agency, records sufficient to

demonstrate that all allocations meet the standards of CFTC Regulations 1.35(b)(5)(iv)

and to permit the reconstruction of the handling of the order from the time of placement

by the Account Manager to the allocation to individual accounts.

RULE 529. Orders Entered Prior to SEF Opening

Participants are prohibited from sending any Request for Quote or Order or using an

Order Book or any other facility of BSEF prior to the opening of the trading session.

RULE 530. Identification of Authorized Traders

Each Authorized Trader shall be identified to BSEF and shall be subject to the BSEF

Rules. It is the duty of the Participant to ensure that Authorized Trader (and Trader ID)

registration is current and accurate at all times. Each individual must use a Trader ID to access

the SEF operated by BSEF. In no event may a Person enter an RFQ or Order or permit the entry

56
of an RFQ or Order by an individual using a user Trader ID other than the individual’s own

Trader ID.

RULE 531. Pre-Arranged Transactions

RULE 531.A. Block Trades

(a) Each buy or sell Order underlying a Block Trade must (1) if the Order is entered

by a broker, state explicitly that it is to be, or may be, executed by means of a Block Trade and

(2) comply with any other applicable CFTC Regulations governing Block Trades.

(b) Each Person transacting a Block Trade shall be a Participant and shall comply

with all applicable BSEF Rules other than those which by their terms only apply to trading

through the SEF Platform.

(c) Each Counterparty to a Block Trade must be an ECP.

(d) A Block Trade executed outside the SEF Platform by a Participant must be

reported to the SEF operated by BSEF. A Block Trade must be reported to the SEF operated by

BSEF by one Counterparty (or a Participant acting on behalf of such Counterparty) and

confirmed by the other Counterparty (or a Participant acting on behalf of such Counterparty) as

soon as practicable after its execution, but may not be submitted any later than 10 minutes after

the execution of the Block Trade. Each Block Trade must state the time of execution to the

nearest millisecond. BSEF shall have the right not to accept any transaction that does not satisfy

the conditions set forth in this Rule.

(e) BSEF will review the information submitted by the Participant(s) for the Block

Trade and will report the Block Trade as required by Part 43 and Part 45 of the CFTC

Regulations if the details are complete and accurate in accordance with this Rule. A Participant

that executes a Bunched Order as a Block Trade must comply with Rule 524.C. A Participant

that executes a Bunched Order as a Block Trade must provide BSEF with the allocation

information as soon as practicable.

(f) Block Trades shall not trigger unexecuted Orders.

(g) Each Participant or Account Manager that is a party to a Block Trade or executes

a Block Trade on behalf of its Accounts or Customers must comply with the recordkeeping

requirements set forth in Rule 409.A(c). Upon request by BSEF, such Participant shall produce

satisfactory evidence, including the order ticket referred to in the preceding sentence, that the

Block Trade meets the requirements set forth in this Rule 531.A.

(h) Any Block Trade in violation of these requirements shall constitute conduct

which is inconsistent with just and equitable principles of trade.

(i) The aggregation of Orders for different accounts in order to satisfy the Minimum

Block Trade size is permissible only by a Person who is a Qualified Account Manager.

(j) A Qualified Account Manager transacting an aggregated Block Trade on behalf

of any other Person must receive prior Written instruction or consent from each such other

Person to do so. Such instruction or consent may be provided in the power of attorney or similar

document by which the other Person provides the Person with discretionary trading authority or

the authority to direct the trading in its account.

(k) Please see Notice to Participants 2014-3, which is posted on BSEF’s website.

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RULE 531.B. Trade Correction

If permitted by Rule 516, two Participants may pre-arrange a Trade correcting an error.

RULE 531.C. Covered Package Transactions and Permitted Transactions

(a) Two Participants may pre-arrange a Covered Package Transaction subject to

BSEF Rules outside the SEF Platform; provided, however, that each component of such

Covered Package Transaction that is a Required Transaction must be executed on the SEF

Platform via the Request for Quote Functionality.

(b) Two Participants may pre-arrange a Permitted Transaction subject to BSEF Rules

outside the SEF Platform, provided, however, that such Permitted Transaction must be

executed on the SEF Platform via the Request for Quote Functionality.

RULE 532. Reporting to SDR

(a) BSEF will report each Trade to an SDR of BSEF’s choice as soon as

technologically practicable after the execution of such Trade. For Cleared Swaps, BSEF will

report all real-time data required by Part 43 of the CFTC Regulations and all creation data

required by Part 45 of the CFTC Regulations. Until the expiration date of CFTC No-Action

Letter 17-17, for Non-Cleared Swaps, BSEF will report all real-time data required by Part 43 of

the CFTC Regulations and all primary economic terms data required by Part 45 of the CFTC

Regulations, as well as any confirmation data that is readily available and collected by BSEF.

(b) The Reporting Counterparty designated in accordance with subsection (b) of Rule

523 shall comply with all reporting obligations set forth in Part 45 of the CFTC Regulations

applicable to a Reporting Counterparty including reporting Trade allocations.

(c) BSEF will report the actual notional or principal amount of a Block Trade to the

appropriate SDR as set forth in Part 43 and Part 45 of the CFTC Regulation.

(d) BSEF will report any Trade that is a Block Trade as a “block trade” for purposes

of Part 43 of CFTC Regulations.

(e) Each Participant that is the Reporting Counterparty, or an Account Manager or

broker for a Reporting Counterparty shall review the Trade details as soon as technologically

practicable upon transmission of the Trade details to the Participant. The non-reporting

counterparty shall report any errors in such Trade details to the Reporting Counterparty as soon

as technologically practicable. The Reporting Counterparty shall report all errors in such Trade

details to BSEF as soon as technologically practicable after finding or being made aware of any

error or omission in the data as reported and/or maintained by the relevant SDR. BSEF shall

then submit the corrected data to the relevant SDR.

(f) No Person, including BSEF, shall submit or agree to submit a cancellation or

correction for the purpose of re-reporting Swap transaction and pricing data in order to gain or

extend a delay in public dissemination of accurate Swap transaction or pricing data or to

otherwise evade the reporting requirements in Part 43 of the CFTC Regulations.

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(g) BSEF will report all Trades to DTCC Data Repository (U.S.) LLC.

RULE 533. Cleared Swaps

(a) Each Cleared Swap shall be cleared through the Clearing House indicated in the

Swap Specification in accordance with the CEA and the CFTC Regulations.

(b) For each Cleared Swap a Participant expects to enter into via the SEF Platform or

subject to BSEF Rules, the Participant or an Account or Customer of the Participant must

establish a clearing account with the Clearing House or with a Clearing Member of the Clearing

House, in each case, designated in the Swap Specification for such Cleared Swap.

(c) All Trades in Cleared Swaps by a Participant or its Account or Customer must be

guaranteed to the Clearing House by a Clearing Member following the Clearing Member’s

acceptance of such Trade for clearing.

(d) BSEF shall submit each Trade to the Clearing House specified in the Swap

Specifications. If BSEF receives a notice from the Clearing House rejecting a Trade for

clearing, such Trade is void ab initio. Please see Notice to Participants 2016-8, which is posted

on BSEF’s website.

(e) BSEF will provide each Clearing Member with tools to screen each Order or RFQ

in Cleared Swaps based on criteria established by such Clearing Member. If an Order or an RFQ

fails to satisfy the criteria established by the Clearing Member, BSEF will reject the Order or

will not allow the RFQ to be sent.

(f) If manual affirmation of a Trade in Cleared Swaps is required prior to

presentation of the Trade to a Clearing House, a Participant must affirm the Trade within 5

minutes after the execution of the Trade.

RULE 534. Non-Cleared Swaps

(a) Any Participant that is a Swap Dealer or Major Swap Participant, or if neither

Counterparty is a Swap Dealer or Major Swap Participant, the Participant that is the Reporting

Counterparty, that places an Order or sends or responds to an RFQ with respect to a Non-Cleared

Swap shall ensure that there is a Non-Cleared Swap Agreement between the Participant or its

Account or Customer, as applicable, and the prospective Counterparty to such Swap prior to

placing such Order or sending or responding to such RFQ. Both Participants involved in

execution of a Non-Cleared Swap (whether in a principal capacity or in their capacity as agents

on behalf of their respective Accounts or Customers) shall, upon the request of BSEF, make

available to BSEF any terms of such Non-Cleared Swap that are not reflected in the applicable

Swap Specification and shall comply with Order entry requirements for Non-Cleared Swaps that

BSEF shall establish from time to time.

(b) Each Participant involved in a Prime Broker Trade must notify the Prime Broker

as soon as technologically possible of each Prime Broker Trade executed pursuant to the Rules

of BSEF to which the Prime Broker is a Counterparty, and provide to the Prime Broker the

Confirmation for the Prime Broker Trade issued by BSEF.

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RULE 535. Risk Controls

(a) BSEF may, in its sole discretion, reject any RFQ or Order or Block Trade placed

or reported on the SEF Platform if such RFQ or Order or Block Trade is in violation of any

BSEF Rule or Applicable Law.

(b) BSEF shall have the right to take any action to reduce the potential of market

disruption, including market restrictions that pause or halt trading in market conditions

prescribed by BSEF if such action is in the best interest of the swap markets.

(c) BSEF shall have the right in its sole discretion to cancel Trades executed at prices

outside the No-Bust Range. “No-Bust Range” shall mean the price of a Swap that is no more

than 30% higher or lower than the prior Business Day’s Daily Settlement Price for such Swap.

(d) If a Swap affected by any action of BSEF under this Rule 535 is fungible with,

linked to, or a substitute for, other Swaps on the SEF operated by BSEF, BSEF may apply the

same action to any such other Swaps.

(e) If a Swap is fungible with, linked to or a substitute for a financial instrument

trading on another trading venue, including any trading venue regulated by the SEC (a “Linked

Swap”), and such other trading venue placed risk controls on such financial instrument, BSEF

shall have the right to place similar risk controls on the Linked Swap.

CHAPTER 5A. YLDVOL FORWARD SWAP SETTLEMENT PRICE AUCTION

(a) Definitions.

“YLDVOL Forward” means the YLDVOL Forward Swap Contract described in Rule 1349.

“Auction” means the Settlement Price auction conducted on the Auction Book.

“Auction Book” means an Order Book on the SEF Platform to which Participants may submit

Orders during the Auction Queue Period for participation in the Auction.

“Auction Price” means the price calculated as set forth in Rule 1349.

“Auction Start Time” means the time on which BSEF starts applying the Auction execution

algorithm to YLDVOL Swaption Straddles accepted into the Auction and is set for 9:30 a.m.

Eastern Standard time on the third Wednesday of each calendar month, unless that day falls on a

U.S. public holiday, in which case the Auction takes place on a preceding Business Day, or as

otherwise specified by BSEF.

“Auction Queue Period” means a time period specified by BSEF prior to the Auction Start

Time during which BSEF accepts YLDVOL Swaption Straddles for the Auction Book.

“Failed Auction” means an event where: (a) less than three Participants submitted Eligible

YLDVOL Swaption Straddles to the Auction Book and no Auction is conducted; or (b) less than

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three Eligible YLDVOL Swaption Straddle bids and offers were submitted to the Auction Book

and no Auction is conducted.

“Fixed Strike Price” means a price designated by BSEF on the Order ticket for the Auction

Book which is the at the money strike price of an option contract listed in Rule 1318.B at the

start of the Auction Queue Period.

“Maximum Spread” means the difference between a YLDVOL Swaption Straddles ask price

and bid price as set forth on the Auction Book by BSEF. BSEF, in its sole discretion, may

modify the Maximum Spread at the beginning of the Auction Queue Period when it deems

necessary to maintain a fair and orderly Auction.

“YLDVOL Swaption Straddle” means an Order entered into the Auction Book by a Participant

to simultaneously buy or sell a one month put and call option contract listed in Rule 1318.B for

10 years USD SOFR OIS Fixed-to-Floating Swap Contract listed in Rule 1318.A for USD 100

million notional amount at a Fixed Strike Price. The spread between the bid and the offer shall

not exceed the Maximum Spread.

“Settlement Price” means the price calculated as set forth in Rule 1349 and published by BSEF

after the closing of the Auction, which shall be used for settlement of an open YLDVOL

Forward following its expiration.

(b) Eligible YLDVOL Swaption Straddles. The following conditions are necessary

for a YLDVOL Swaption Straddle to be deemed eligible for inclusion in the Auction:

1. A Participant must submit both a bid and an offer price for a YLDVOL Swaption

Straddle. Any bid or offer pair submission that has a spread exceeding the

Maximum Spread will be rejected by BSEF.

2. If there are more than five Participants submitting YLDVOL Swaption Straddles

into the Auction Book and the second highest bid (lowest offer) is higher (lower)

than the third highest bid (lowest offer) by more than 50% of the second bid–offer

spread, the top two bids (offers) will be rejected from the Auction.

3. If there are less than four Participants submitting YLDVOL Swaption Straddles

into the Auction Book and the highest bid (lowest offer) is higher (lower) than the

second highest bid (lowest offer) by more than 50% of the first maximum

bid–offer spread, the top bid (offer) will be rejected from the Auction.

(c) YLDVOL Swaption Straddle Entry. YLDVOL Swaption Straddles for the

Auction may only be entered into the Auction Book during the Queue Period. During the

Auction Queue Period, BSEF will accept YLDVOL Swaption Straddles and any changes or

cancellations of those Orders. Order entry cut-off time is the time specified by BSEF on the

Auction Book.

(d) Execution. Orders in the Auction Book are not eligible for execution until the

Auction Start Time. BSEF will enter all YLDVOL Swaption Straddles it receives during the

Auction Queue Period into the Auction Book at the Auction Start Time. BSEF will not disclose

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the identity of a Participant submitting the Orders to the Auction Book prior to the execution.

BSEF, however, will disclose the names of the counterparties to transactions executed during the

Auction to each other following the execution of any Order during the Auction.

BSEF will execute Trades on the Auction Book using an algorithm that matches the highest bid

against the lowest offer, with the resulting price for each matched pair being the price of the

matched bid or offer entered first into the Auction Book, until all possible matches have been

executed. If no bid is equal or greater than an offer, BSEF will not execute any trades.

Notwithstanding anything to the contrary in these Rules, trades executed on the Auction Book

may be canceled only in BSEF’s sole discretion.

In the case of a Failed Auction, the Settlement Price will be calculated based on the Fallback

Settlement Price Determination as set forth in Rule 1349.

(e) Unexecuted Orders. Following the conclusion of the Auction, BSEF will cancel

any unexecuted Orders.

(f) Settlement of Auction Trades. A Participant shall notify BSEF if it does not

intend to settle a trade executed by BSEF on the Auction Book.

(g) Deviation from Standard Auction Process. Upon reasonable notice to

Participants, BSEF, in its sole discretion, may deviate from the standard manner of conducting

the Auction described in this Rule 5A-1, including adjusting the Auction Queue Period or the

Auction Start Time, modifying any time periods described in this Rule 5A-1, when it believes it

is necessary in the interests of a fair and orderly market. BSEF will maintain records of all

determinations to deviate from the standard manner of conducting the Auction and will

periodically review these determinations for consistency with the interests of a fair and orderly

market, and in accordance with applicable CFTC rules.

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CHAPTER 6. DISCIPLINARY RULES

RULE 601. General

(a) Any Person is subject to this Chapter 6 if it is alleged to have violated, to have

aided and abetted a violation, to be violating, or to be about to violate, any BSEF Rule or any

provision of Applicable Law for which BSEF possesses jurisdiction.

(b) BSEF, through the Compliance Department, the Disciplinary Panel and the

Appeals Panel, will conduct inquiries, investigations, disciplinary and appeals proceedings,

summary impositions of fines, summary suspensions or other summary actions in accordance

with this Chapter 6.

(c) No SEF Official will interfere with or attempt to influence the process or

resolution of any inquiry, investigation, disciplinary or appeals proceeding, summary imposition

of fines, summary suspension or other summary action. No Director will interfere with or

attempt to influence the process or resolution of any inquiry, investigation, disciplinary or

appeals proceeding and summary imposition of fines, summary suspension or other summary

action, except to the extent provided under the BSEF Rules with respect to a proceeding in

which the Director is a member of the relevant panel.

(d) Any Person that directly or indirectly effects a transaction on the SEF operated by

BSEF may be represented by counsel during any inquiry, investigation, disciplinary or appeals

proceeding, summary imposition of fines, summary suspension or other summary actions

pursuant to this Chapter 6.

(e) Pursuant to this Chapter 6, BSEF may hold a Participant liable for, and impose

sanctions against such Participant, for such Participant’s own acts and omissions that constitute a

violation as well as for the acts and omissions of each (i) Authorized Trader of such Participant,

(ii) Supervised Person of such Participant, (iii) other Person using the Trader ID or login

credentials linked to the Participant or Participant ID, or (iv) other agent or representative of

such Participant, in each case, that constitute a violation as if such violation were that of the

Participant.

(f) Pursuant to this Chapter 6, BSEF may hold an Authorized Trader liable for, and

impose sanctions against him or her, for such Authorized Trader’s own acts and omissions that

constitute a violation as well as or for the acts and omissions of any other agent or representative

of such Authorized Trader that constitute a violation as if such violation were that of the

Authorized Trader.

(g) A Person subject to a disciplinary or appeals proceeding (and any counsel or

representative of such Person) and the Compliance Department (and any counsel or

representative of the Compliance Department including any Regulatory Services Provider) shall

not knowingly make or cause to be made an ex parte communication relevant to the merits of a

disciplinary or appeals proceeding to any member of the Disciplinary Panel or Appeals Panel

hearing such proceeding. Members of a Disciplinary Panel or Appeals Panel shall not

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knowingly make or cause to be made an ex parte communication relevant to the merits of a

disciplinary or appeals proceeding to any Person subject to such proceeding (and any counsel or

representative of such Person) and the Compliance Department (and any counsel or

representative of the Compliance Department including any Regulatory Services Provider).

Any Person who receives, makes or learns of any communication which is prohibited by this

Rule shall promptly give notice of such communication and any response thereto to the

Compliance Department and all parties to the proceeding to which the communication relates. A

Person shall not be deemed to have violated this Rule if the Person refuses an attempted

communication concerning the merits of a proceeding as soon as it becomes apparent the

communication concerns the merits.

(h) In the event that the Chief Compliance Officer has a conflict of

interest as defined in Rule 210 in respect of any matter under Chapter 6 of

these Rules, the Chief Compliance Officer may appoint a member of the

Compliance Department to carry out the Chief Compliances Officer’s

duties in his or her stead with respect to that matter.

RULE 602. Inquiries and Investigation

(a) The Compliance Department, with the assistance of a Regulatory Services

Provider, if necessary, will conduct inquiries and, if applicable, investigations with respect to

any matter within BSEF’s jurisdiction of which it becomes aware or which the Commission

requests BSEF to investigate. The Compliance Department will determine the nature and scope

of its inquiries and investigations within its sole discretion and will function independently of

any commercial interests of BSEF. The Compliance Department’s investigation must be

completed within 12 months of the date when the Compliance Department commenced its

investigation unless there are mitigating factors that may reasonably justify an investigation

taking longer than 12 months, including the complexity of the investigation, the number of

Participants or individuals involved as potential wrongdoers, the number of potential violations

to be investigated, and the volume of documents and data to be examined and analyzed by the

Compliance Department.

(b) The Compliance Department has the authority to:

(i) initiate inquiries and investigations;

(ii) prepare investigation reports and provide recommendations concerning

initiating disciplinary proceedings;

(iii) prosecute alleged violations if a disciplinary proceeding has been

authorized; and

(iv) represent BSEF on appeals of a Disciplinary Panel decision, the summary

imposition of fines, summary suspension or other summary action.

(c) Each Participant, Account Manager, Authorized Trader, Supervised Person and

Clearing Member:

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(i) is obligated to appear and testify and respond in Writing to requests for

information within the time period required by the Compliance Department in connection

with: (A) any BSEF Rule; (B) any inquiry or investigation; or (C) any preparation by and

presentation during a disciplinary or appeals proceeding, summary imposition of fines,

summary suspension or other summary action by BSEF;

(ii) is obligated to produce books, records, papers, documents or other

tangible evidence in its, his or her possession, custody or control within the time period

required by the Compliance Department in connection with: (A) any BSEF Rule; (B) any

inquiry or investigation; or (C) any preparation by and presentation during a disciplinary

or appeals proceeding, summary imposition of fines, summary suspension or other

summary action by BSEF; and

(iii) may not impede or delay any inquiry, investigation, disciplinary or

appeals proceeding, summary imposition of fines, summary suspension or other summary

action.

RULE 603. Investigative Reports

(a) The Compliance Department will maintain a Written log of all inquiries and

investigations and their disposition. The Compliance Department will prepare a Written report

of each inquiry and investigation, regardless of whether the evidence gathered during any

inquiry or investigation forms a reasonable basis to believe that a violation within BSEF’s

jurisdiction has occurred or is about to occur or whether the evidence gathered results in closing

the matter without further action or through summary action.

(b) Any such report prepared in accordance with Rule 603(a) will include (i) the

reasons the inquiry or investigation was initiated; (ii) a summary of the complaint, if any; (iii)

the relevant facts and evidence gathered; (iv) the Compliance Department’s analysis,

conclusions and recommendations; and (v) the Participant’s disciplinary history at BSEF.

(c) For each potential respondent, the Compliance Department will recommend either

(i) closing the investigation without further action; (ii) resolving the investigation through an

informal disposition; or (iii) initiating disciplinary proceedings.

RULE 604. Warning Letters

(a) The Chief Compliance Officer may issue a warning letter without the approval of

a Disciplinary Panel in order to close an inquiry or investigation administratively.

(b) No more than one warning letter may be issued to the same Person or entity for

the same Rule violation within a rolling 12-month period.

(c) Warning letters must contain an affirmative finding that a Rule violation has

occurred.

RULE 605. Review of Investigation Reports

(a) The Chief Compliance Officer will timely review each proposed investigation

report received from the Compliance Department to determine whether a reasonable basis exists

65
for finding that a violation of BSEF Rules within BSEF’s jurisdiction has occurred or is about to

occur. Within 30 days of receipt of the investigation report the Chief Compliance Officer must

take one of the following actions:

(i) If the Chief Compliance Officer determines that additional investigation

or evidence is needed to decide whether a reasonable basis exists to find that a violation

of BSEF Rules within BSEF’s jurisdiction has occurred or is about to occur, the Chief

Compliance Officer will promptly direct the Compliance Department to do at least one of

the following:

(A) conduct further investigation; and/or

(B) gather any necessary new or additional information or evidence

from the potential respondents.

(ii) The Compliance Department will revise the investigation report as

necessary to reflect the additional information gathered pursuant to this paragraph (a) and

will resubmit a revised proposed investigation report to the Chief Compliance Officer.

(b) After receiving a completed investigation report, the Chief Compliance Officer

will determine for each potential respondent whether to authorize:

(iii) the commencement of disciplinary proceedings because a reasonable basis

exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has occurred

or is about to occur and adjudication is warranted;

(iv) the informal disposition of the investigation because disciplinary

proceedings are unwarranted, in which case the Chief Compliance Officer shall complete

the investigation report in compliance with Rule 603; or

(v) the closing of the investigation without any action because no reasonable

basis exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has

occurred or is about to occur, in which case the Chief Compliance Officer shall complete

the investigation report in compliance with Rule 603.

(c) If the Chief Compliance Officer determines that disciplinary proceedings should

be authorized pursuant to Rule 605(b)(i), the Chief Compliance Officer may in his or her

discretion provide each potential respondent with a Written draft Notice of Charges (“Draft

Notice of Charges”) which shall contain all information required pursuant to Rule 607.

(d) The Draft Notice of Charges must be accompanied by a Written notice that shall

inform the potential respondent:

(vi) that an investigation report has been completed by BSEF’s Compliance

Department;

(vii) that a Notice of Charges will be served, in accordance with Rule 608, 10

business days, as defined in CFTC Regulation 40.1, after receipt of the Written notice;

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(viii) that a settlement offer may be submitted pursuant to Rule 612; and

(ix) of the respondent’s right to a hearing if a Notice of Charges is served in

accordance with Rule 608.

RULE 606. [Reserved]

RULE 607. Notice of Charges

(a) If the Chief Compliance Officer authorizes disciplinary proceedings pursuant to

Rule 605(b)(i), the Compliance Department will prepare, and serve in accordance with Rule 608,

a Notice of Charges.

(b) A Notice of Charges will:

(i) state the acts, practices or conduct that the respondent is alleged to have

engaged in;

(ii) state the BSEF Rule or provision of Applicable Law alleged to have been

violated or about to be violated;

(iii) state the proposed sanctions;

(iv) advise the respondent of its right to a hearing;

(v) state the period of time within which the respondent can request a hearing

on the Notice of Charges, which will not be less than 20 days after service of the Notice

of Charges;

(vi) advise the respondent that any failure to request a hearing within the

period stated, except for good cause, will be deemed to constitute a waiver of the right to

a hearing;

(vii) advise the respondent that any allegation in the Notice of Charges that is

not expressly denied will be deemed to be admitted; and

(viii) advise the respondent of its right to be represented by legal counsel or any

other representative of its choosing (other than any member of the Disciplinary Panel or

any Person substantially related to the disciplinary proceedings such as a material witness

or other respondent) in all succeeding stages of the disciplinary process.

RULE 608. Service of Notice of Charges

Any Notice of Charges or other documents contemplated to be served pursuant to this

Chapter 6 may be served (and service shall be deemed complete) upon the respondent either

personally or by leaving the same at his or her place of business, or by tracked delivery via

reputable overnight courier, or by deposit in the United States mail, postage prepaid, via

registered or certified mail addressed to the respondent at the address as it appears on the books

and records of BSEF.

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RULE 609. Answer to Notice of Charges

(a) If the respondent determines to answer a Notice of Charges, the respondent must

file answers within 20 days after being served with such notice, or within such other time period

determined appropriate by the Chief Compliance Officer.

(b) To answer a Notice of Charges, the respondent must in Writing:

(i) specify the allegations that the respondent denies or admits;

(ii) specify the allegations that the respondent does not have sufficient

information to either deny or admit;

(iii) specify any specific facts that contradict the Notice of Charges;

(iv) specify any affirmative defenses to the Notice of Charges; and

(v) sign and serve the answer on the Chief Compliance Officer.

(c) Any failure by the respondent to timely serve an answer to a Notice of Charges

will be deemed to be an admission to the allegations in such notice. Any failure by the

respondent to answer one or more allegations in a Notice of Charges will be deemed to be an

admission of that allegation or those allegations. Any allegation in a Notice of Charges that the

respondent fails to expressly deny will be deemed to be admitted. A statement of a lack of

sufficient information shall have the effect of a denial of an allegation. A general denial by the

respondent, without more, will not satisfy the requirements of paragraph (b) above.

RULE 610. Admission or Failure to Deny

(a) If respondent admits or fails to deny any of the charges, the Chief Compliance

Officer may find that the violations alleged in the Notice of Charges for which the respondent

admitted or failed to deny any of the charges have been committed. The Chief Compliance

Officer then must take the following action:

(i) impose a sanction for each violation found to have been committed; and

(ii) notify the respondent in Writing of any sanction to be imposed and advise

the respondent that it may request a hearing on such sanction within a specified period of

time.

(b) If a respondent fails to request a hearing within 20 days as specified in the notice

described in 610(a)(ii), the respondent will be deemed to have accepted the sanction and will

have waived any right to appeal such sanctions.

RULE 611. Denial of Charges and Right to a Hearing

In every instance where a respondent has denied a charge, the respondent shall have a

right to request a hearing before the Disciplinary Panel. Except for good cause, the hearing must

be limited to only those denied charges for which a hearing has been requested.

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RULE 612. Settlements

(a) Any offer of settlement should contain proposed findings and sanctions and be

signed by a potential respondent/respondent and submitted to the Chief Compliance Officer. A

potential respondent/respondent may offer to settle disciplinary proceedings without admitting or

denying the findings contained in a Draft Notice of Charges or a Notice of Charges, but must

accept the jurisdiction of BSEF over it and over the subject matter of the proceedings and

consent to the entry of the findings and sanctions imposed.

(b) A potential respondent may at any time within 10 business days, as defined in

CFTC Regulation 40.1, of receipt of the Draft Notice of Charges specified in Rule 605, propose

in Writing an offer of settlement to anticipated disciplinary proceedings. The Chief Compliance

Officer must review an offer of settlement received pursuant to this paragraph (b) within 30

business days, as defined in CFTC Regulation 40.1, after receipt of the offer of settlement. The

Chief Compliance Officer shall have discretion and be authorized to accept or reject an offer of

settlement for $25,000 or less on behalf of BSEF. The Chief Compliance Officer shall also have

the discretion and be authorized to convene and forward the offer of settlement to the

Disciplinary Panel with a recommendation on whether to accept or reject the offer of settlement.

The potential respondent may withdraw such offer of settlement at any time before acceptance

by the Chief Compliance Officer, but may not withdraw such offer of settlement at any time

after acceptance by the Chief Compliance Officer.

(c) A respondent may at any time after receipt of a Notice of Charges, but before

disciplinary proceedings have concluded, propose in Writing an offer of settlement to instituted

disciplinary proceedings. If a respondent submits an offer of settlement after being served a

Notice of Charges pursuant to Rule 608, the Chief Compliance Officer will forward the offer of

settlement to the Disciplinary Panel with a recommendation on whether to accept or reject the

offer of settlement. The Disciplinary Panel must review an offer of settlement received pursuant

to this paragraph (c) or paragraph (b) above within 90 business days, as defined in CFTC

Regulation 40.1, after the receipt of the offer of settlement by the Chief Compliance Officer

unless an extension was agreed by the respondent in Writing. The respondent may withdraw

such offer of settlement at any time before acceptance by the Disciplinary Panel, but may not

withdraw such offer of settlement at any time after acceptance by the Disciplinary Panel. The

Disciplinary Panel may review the offer of settlement and determine whether to accept or reject

the offer of settlement in person, by means of telephone conference or in Writing.

(d) The Chief Compliance Officer or the Disciplinary Panel may accept an offer of

settlement received pursuant to paragraph (b) or (c) of this Rule, respectively, but may not alter

the terms of a settlement offer unless the potential respondent/respondent agrees.

(e) If an offer of settlement is accepted by the Chief Compliance Officer or the

Disciplinary Panel, a Written decision shall be issued by the Chief Compliance Officer or the

Disciplinary Panel, as applicable, specifying:

(i) the Rule violations the Compliance Department/it has reason to believe

were committed, including the basis or reasons of its conclusions;

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(ii) any sanction to be imposed, which must include full customer restitution

where customer harm has been demonstrated; and

(iii) if applicable, that the potential respondent/respondent has accepted the

sanctions imposed without either admitting or denying the Rule violations.

(f) In the event that the Disciplinary Panel accepts an offer of settlement without the

agreement of the Compliance Department, the Written decision must adequately support such

acceptance.

(g) If an offer of settlement is accepted pursuant to this Rule and the related Written

decision becomes final, the respondent’s submission of the offer of settlement will be deemed to

constitute a waiver of the right to notice, opportunity for a hearing and review and appeal under

these Rules.

(h) If an offer of settlement of a potential respondent/respondent is not accepted by

the Chief Compliance Officer or the Disciplinary Panel, pursuant to paragraph (b) or (c) of this

Rule, respectively, fails to become final or is withdrawn by the potential respondent/respondent,

the matter will proceed as if the offer of settlement had not been made and the offer of settlement

and all documents relating to it will not become part of the record. Neither a potential

respondent/respondent nor the Compliance Department may use an unaccepted offer of

settlement as an admission or in any other manner at a hearing of disciplinary proceedings.

RULE 613. Disciplinary Panel

(a) The Disciplinary Panel is responsible for adjudicating disciplinary cases pursuant

to a Notice of Charges authorized by the Chief Compliance Officer.

(b) Each Disciplinary Panel shall be composed of three individuals selected by the

Chief Compliance Officer. Except in cases concerning the timely submission of accurate

records, each Disciplinary Panel shall consist of at least one individual who would not be

disqualified from serving as a Public Director, who shall chair the Disciplinary Panel. No

member of the BSEF Compliance Department or Person involved in adjudicating any other stage

of a proceeding shall participate in a Disciplinary Panel for such proceeding.

(c) A respondent may seek to disqualify any individual on the Disciplinary Panel for

the reasons identified in the BSEF Rules or for any other reasonable grounds, by serving Written

notice on the Chief Compliance Officer. By not filing a request for disqualification within 10

days, the respondent will be deemed to have waived any objection to the composition of a

Disciplinary Panel. The Chief Compliance Officer of BSEF will decide the merits of any request

for disqualification within his or her sole discretion. Any such decision will be final and not

subject to appeal.

RULE 614. Convening Disciplinary Proceeding Hearings

(a) All disciplinary proceedings (except for summary impositions of fines pursuant to

Rule 621) will be conducted at a hearing before the Disciplinary Panel. A hearing will be

conducted privately and confidentially. Notwithstanding the confidentiality of hearings, the

70
Disciplinary Panel may appoint an expert to attend any hearing and assist in deliberations if such

expert agrees to be subject to an appropriate confidentiality agreement.

(b) After reasonable notice to each respondent, the Disciplinary Panel will promptly

convene a hearing to conduct the disciplinary proceedings with respect to such respondent.

Parties to a disciplinary proceeding include each respondent and the Compliance Department

including BSEF enforcement staff.

(c) The chairperson of the Disciplinary Panel may continue, adjourn or otherwise

conduct the hearing, as he or she may deem appropriate. The chairperson of the Disciplinary

Panel will determine all procedural and evidentiary matters, including the admissibility and

relevance of any evidence proffered. In determining procedural and evidentiary matters, the

chairperson of the Disciplinary Panel will not be bound by any evidentiary or procedural rules or

law. Once admitted during the hearing, the Disciplinary Panel may consider, and attach the

weight it believes appropriate to, evidence or other materials. The Chief Compliance Officer of

BSEF, or its designee, will provide guidance to the chairperson of the Disciplinary Panel on the

conduct of the hearing.

(d) Except for procedural and evidentiary matters decided by the chairperson of the

Disciplinary Panel pursuant to paragraph (c) above and Rule 616, unless each respondent

otherwise consents, the entire Disciplinary Panel must be present during the entire hearing and

any related deliberations.

RULE 615. Respondent Review of Evidence

(a) Prior to the commencement of a Disciplinary Panel hearing, each respondent will

be given the opportunity to review all books, records, documents, papers, transcripts of

testimony and other tangible evidence in the possession or under the control of BSEF that the

Compliance Department will use to support the allegations and proposed sanctions in the Notice

of Charges or which the chairperson of the Disciplinary Panel deems relevant to the disciplinary

proceedings. BSEF may withhold documents that:

(i) are privileged or constitute attorney work product;

(ii) were prepared by an employee of BSEF but will not be offered as

evidence in the disciplinary proceedings;

(iii) may disclose a technique or guideline used in examinations, investigations

or enforcement proceedings; or

(iv) disclose the identity of a confidential source.

(b) If any books, records, documents, papers, transcripts of testimony, or other

tangible evidence contain information that could adversely affect the competitive position of the

Person providing the information or if such information might compromise other investigations

being conducted by the Compliance Department, the Compliance Department may redact, edit or

code such information before furnishing it to the respondent.

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(c) Notwithstanding anything in paragraph (b) above to the contrary, the Compliance

Department:

(i) will not redact, edit or code competitive or investigative information

contained in documents in a manner that would impair the respondent’s ability to defend

against the allegations or proposed sanctions in the notices of charges; and

(ii) will provide the respondent with access to the information and portions of

the documents that the Compliance Department intends to rely on to support the

allegations or proposed sanctions in the Notice of Charges.

(d) For purposes of this Rule 615, information that could adversely affect the

competitive position includes positions in Swaps currently held, trading strategies employed in

establishing or liquidating positions, the identity of any Participant or Authorized Trader and the

personal finances of the Person providing the information.

RULE 616. Conducting Disciplinary Proceeding Hearings

(a) At a hearing conducted in connection with any disciplinary proceeding, the

Compliance Department will present its case supporting the allegations and proposed sanctions

in the Notice of Charges to the Disciplinary Panel. If a respondent has timely filed an answer to

the Notice of Charges in accordance with Rule 609, the respondent is entitled to attend and

participate in the hearing.

(b) At a hearing conducted in connection with any disciplinary proceedings, the

Disciplinary Panel or the Compliance Department and each respondent may:

(i) present evidence and facts determined relevant and admissible by the

chairperson of the Disciplinary Panel;

(ii) call and examine witnesses; and

(iii) cross-examine witnesses called by other parties.

(c) Any Person within BSEF’s jurisdiction who is called as a witness must participate

in the hearing and produce evidence. BSEF will make reasonable efforts to secure the presence

of all other Persons called as witnesses whose testimony would be relevant.

(d) If the respondent fails to file an answer, has filed a general denial, or if any or all

of the allegations in the Notice of Charges are not expressly denied in the respondent’s answer,

the chairperson of the Disciplinary Panel may limit evidence concerning any allegations not

expressly denied in determining the sanctions to impose. If a respondent fails to file an answer

but appears at the hearing, the respondent may not participate in the hearing (by calling or cross

examining witnesses, testifying in defense, presenting evidence concerning the Notice of

Charges, or otherwise) unless the Disciplinary Panel determines that the respondent had a

compelling reason for failing to timely file an answer. If the Disciplinary Panel determines that

the respondent had a compelling reason for failing to timely file an answer, the Disciplinary

Panel will adjourn the hearing and direct the respondent to promptly file a Written answer in

accordance with Rule 609.

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(e) Any Person entitled, or required or called upon, to attend a hearing before a

Disciplinary Panel pursuant to paragraph (b)(ii) above will be given reasonable notice,

confirmed in Writing, specifying the date, time and place of the hearing, and the caption of the

disciplinary proceedings. BSEF will require all Participants (that are individuals), Customers,

Account Managers, Clearing Members, Authorized Traders and Supervised Persons that are

called as witnesses to appear at the hearing and produce evidence. BSEF will make reasonable

efforts to secure the presence of all other Persons called as witnesses whose testimony would be

relevant.

(f) If during any disciplinary proceedings the Disciplinary Panel determines that a

reasonable basis exists to believe that the respondent violated or is about to violate a BSEF Rule

or a provision of Applicable Law other than the violations alleged in the Notice of Charges, the

Disciplinary Panel may consider those apparent violations after providing the respondent with an

opportunity to answer the additional allegations in accordance with Rule 609. In connection

with considering apparent violations pursuant to this paragraph (f), the Disciplinary Panel may

request that the Compliance Department provide the Disciplinary Panel with any additional

information.

(g) The Disciplinary Panel may summarily impose sanctions on any Participant,

Account Manager, Authorized Trader or Supervised Person that impedes or delays the progress

of a hearing.

(h) BSEF will arrange for any hearing conducted in connection with disciplinary

proceedings to be recorded hearing verbatim, or substantially verbatim, in a manner capable of

accurate transcription. If the respondent requests a copy of all or portions of the recording of a

hearing, the chairperson of the Disciplinary Panel may within his or her sole discretion order the

respondent to pay the costs for transcribing the recording of the hearing.

(i) As promptly as reasonable following a hearing, the Disciplinary Panel will issue a

Written decision rendering its decision based on the weight of the evidence contained in the

record of the disciplinary proceedings. A decision by a majority of the Disciplinary Panel will

constitute the decision of the Disciplinary Panel.

(j) No interlocutory appeals of rulings of any Disciplinary Panel are permitted.

(k) If the respondent has requested a hearing, a copy of the hearing shall be made and

shall become a part of the record of the proceeding. The record shall not be required to be

transcribed unless:

(i) the transcript is requested by Commission staff or the respondent;

(ii) the decision is appealed pursuant to the BSEF Rules; or

(iii) the decision is reviewed by the Commission pursuant to section 8c of the

Act or Part 9 of CFTC Regulations.

In all other instances, a summary record of a hearing is permitted.

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RULE 617. Decision of Disciplinary Panel

(a) The Disciplinary Panel’s Written decision must be based upon the weight of the

evidence contained in the record of the proceeding and shall provide a copy to the respondent.

The decision shall include:

(i) the Notice of Charges or a summary of the charges;

(ii) the answer, if any, or a summary of the answer;

(iii) a summary of the evidence produced at the hearing or, where appropriate,

incorporation by reference of the investigation report;

(iv) a statement of findings and conclusions with respect to each charge, and a

complete explanation of the evidentiary and other basis for such findings and conclusions

with respect to each charge;

(v) an indication of each specific Rule that the respondent was found to have

violated; and

(vi) a declaration of all sanctions imposed against the respondent, including

the basis for such sanctions and the effective date of such sanctions.

(b) Upon rendering a final decision by the Disciplinary Panel, BSEF shall, within 30

days thereafter, provide a Written notice of such action to the Person against whom the action

was taken.

(c) The Written decision will become final 20 days after it is served on the

respondent and a copy thereof is provided to the Compliance Department.

RULE 618. Sanctions

(a) After notice and opportunity for hearing in accordance with the BSEF Rules,

BSEF will impose sanctions on any Participant, Account Manager, Authorized Trader,

Supervised Person, Account, Customer, Clearing Member or other Person using any Trader ID

or login credentials linked to the Participant that is found to have violated or to have attempted

to violate a BSEF Rule or provision of Applicable Law for which BSEF possesses jurisdiction.

Subject to the limitations set forth in Rule 618(b), BSEF may impose one or more of the

following sanctions or remedies: (i) censure; (ii) limitation on Trading Privileges, Trading

Access or other activities, functions or operations; (iii) suspension of Trading Privileges or

Trading Access; (iv) fine (subject to paragraph (b) below); (v) disgorgement; (vi) termination of

Trading Privileges or Trading Access; (vii) in the event of a customer harm, full customer

restitution, except where the amount of restitution or to whom it should be provided cannot

reasonably be determined; or (viii) any other sanction or remedy deemed to be appropriate. All

sanctions, including those imposed pursuant to an accepted settlement offer, shall take into

account respondent’s disciplinary history.

For purposes of Rule 618(a)(vii), “customer” shall have the meaning set forth in CFTC

Regulation 1.3(k).

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75

Fine Per Occurrence1

Failure to provide information to BSEF as required by

the BSEF Rules

(b) BSEF may impose a fine of up to $100,000 for each violation of a BSEF Rule. If

a fine or other amount is not paid within 30 days of the date that it becomes payable, then

interest will accrue on the sum from the date that it became payable at the quoted prime rate plus

three percent. BSEF has sole discretion to select the bank on whose quotations to base the prime

rate. Each Participant will be responsible for paying any fine or other amount imposed on, but

not paid by, any of its Authorized Traders, Account Managers, Supervised Persons, Accounts or

Customers. The following schedule lists the recommended fines that BSEF may impose:

$1000 $1500 $2500

Impeding or delaying a BSEF examination, inquiry or

investigation undertaken pursuant to BSEF Rule 402

First

Violation

$1000 $1500

Second

Violation

$2500

Type of Violation

RULE 619. Costs

(a) Regardless of the outcome of any disciplinary proceeding, the Disciplinary Panel

may order a respondent to pay some or all of the costs associated with the disciplinary

proceedings that the Disciplinary Panel believes were unnecessarily caused by the respondent.

Costs may include costs associated with the inquiry or investigation, the prosecution by the

Compliance Department, legal and professional assistance, as well as the hearing and

administrative costs and other expenses incurred by the Disciplinary Panel.

(b) The Disciplinary Panel may only award costs against BSEF if the Panel concludes

that BSEF has behaved in a manifestly unreasonable manner in the commencement or conduct of

the disciplinary proceedings in question. The Disciplinary Panel must limit any award of costs

against BSEF to an amount that the Panel concludes is reasonable and appropriate, but does not

exceed the respondent’s costs for external legal or other external professional assistance.

(c) The Disciplinary Panel may determine the amounts and allocation of costs in any

manner it may deem appropriate. BSEF or the respondent will pay any costs ordered to be paid

by it by the Disciplinary Panel within 30 days of Written notice of the amount imposed by the

Disciplinary Panel.

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary

Impositions of Fines and Other Summary Actions

(a) Each respondent found by the Disciplinary Panel to have violated (or, in the case

of a Participant, whose Authorized Trader, Supervised Person or other Person using its

Participant ID was found to have violated) a Rule or who is subject to termination or limitation

of Trading Privileges or Trading Access imposed pursuant to Rule 305, any summary fine

imposed pursuant to Rule 621 or any summary action imposed pursuant to Rule 622 may appeal

the decision within 20 days of receiving the Written decision of the Disciplinary Panel or the

Third

Violation

1

 Within a “rolling” 12-month period.
notice of summary action, as the case may be, by filing a notice of appeal with the Chief

Compliance Officer.

(b) BSEF may appeal all or any part of a decision of the Disciplinary Panel, including

any sanctions that may or may not have been imposed by the Disciplinary Panel, within 20 days

of receiving the Written Decision of the Disciplinary Panel, by filing a notice of appeal with the

Chief Compliance Officer.

(c) While an appeal is pending, the effect of the Written decision of the Disciplinary

Panel or the summary action (including any sanctions, remedies or costs imposed thereby) shall

be suspended.

(d) The notice of appeal must state in writing the grounds for appeal, including the

findings of fact, conclusions or sanctions to which the appellant objects. An appellant may

appeal the Written decision of the Disciplinary Panel or any summary action on the grounds that:

(i) the Written decision or summary action was arbitrary, capricious, an abuse

of discretion, or not in accordance with these Rules;

(ii) the Written decision or summary action exceeded the authority or

jurisdiction of the Disciplinary Panel, the Chief Compliance Officer or BSEF;

(iii) the Written decision or summary action failed to observe required

procedures;

(iv) the Written decision or summary action was unsupported by the facts or

evidence; or

(v) the sanctions, remedies or costs which were imposed were inappropriate

or unsupported by the record.

(e) The Chief Compliance Officer will forward copies of any notice of appeal

received by it to all parties to the disciplinary proceeding or summary action, as the case may be,

except the appellant. On or before the 20th day after filing a notice of appeal, the appellant must

file with the Chief Compliance Officer and serve on BSEF a brief supporting the notice of appeal

and documents supporting the brief. On or before the 20th day after the date on which the

appellant serves its supporting brief, the appellee must file and serve its brief in opposition. On

or before the 10th day after the date on which the appellee serves its brief in opposition, the

appellant must file and serve on BSEF a brief in reply.

(f) In connection with any appeal, BSEF will furnish to the Chief Compliance

Officer and to the respondent/appellant a transcript of the hearing, any exhibits introduced at the

hearing, the notice of appeal and briefs filed to support and oppose the appeal.

(g) No later than 30 days after the last submission filed pursuant to paragraph (e) of

this Rule 620, the Chief Compliance Officer will appoint an Appeals Panel to consider and

determine the appeal. An Appeals Panel shall be comprised of three individuals, none of whom

shall be a member of the Compliance Department or have been a member of any Disciplinary

76
Panel involved in the matters on appeal. The chairperson of the Appeals Panel shall be an

individual who would not be disqualified from serving as a Public Director.

(h) Within 10 days of being notified of the appointment of the Appeals Panel, an

appellant or appellee may seek to disqualify any individual named to the Appeals Panel for the

reasons identified in these Rules, by serving Written notice on the Chief Compliance Officer.

By not timely filing a request for disqualification, the appellant or appellee will be deemed to

have waived any objection to the composition of the Appeals Panel. The Chief Compliance

Officer will decide the merits of any request for disqualification within his or her sole discretion.

Any such decision will be final and not subject to appeal.

(i) The Appeals Panel may hold a hearing to allow parties to present oral arguments.

Any hearing will be conducted privately and confidentially. Notwithstanding the confidentiality

of hearings, the Appeals Panel may appoint an expert to attend any hearing and assist in the

deliberations if such individual(s) agree to be subject to appropriate confidentiality agreements.

In determining procedural and evidentiary matters, the Appeals Panel will not be bound by

evidentiary or procedural rules or law.

(j) The Appeals Panel will only consider on appeal the record before the Disciplinary

Panel or, in the case of a summary action, the record considered by the Chief Compliance

Officer, the notice of appeal, the briefs filed in support and opposition of the appeal, and any oral

arguments of the parties. The Appeals Panel may only consider new evidence when the Appeals

Panel is satisfied that good cause exists for why the evidence was not introduced during the

disciplinary proceeding or when imposing the summary action.

(k) After completing its review, the Appeals Panel may affirm, modify or reverse any

Written decision of the Disciplinary Panel or summary action under appeal, in whole or in part,

including increasing, decreasing or eliminating any sanction or remedy imposed, imposing any

other sanction or remedy authorized by these Rules, or remanding the matter to the same or a

different Disciplinary Panel for further disciplinary proceedings or for reconsideration by the

Chief Compliance Officer in the case of summary action. The Appeals Panel may order a new

hearing for good cause or if the Appeals Panel deems it appropriate.

(l) As promptly as reasonably possible following its review, the Appeals Panel will

issue a Written decision on appeal rendering its decision based on the preponderance of the

evidence before the Appeals Panel. The decision of the Appeals Panel will include a statement

of findings of fact and conclusions for each finding, sanction, remedy and cost reviewed on

appeal, including each specific Rule and provision of Applicable Law that the respondent is

found to have violated, if any, and the imposition of sanctions, remedies and costs, if any, and

the effective date of each sanction, remedy or cost.

(m) The Appeals Panel’s Written order on appeal (including findings of fact and

conclusions and the imposition of sanctions, remedies and costs, and the effective date of any

sanction, remedy and cost) will be the final action of BSEF and will not be subject to appeal

within BSEF.

77
78

Third

Summary

Fine

Failure to identify and maintain a current list of

Authorized Traders as required by BSEF Rule 530

$1000 $1250

Fine Per Occurrence2

$1500

Failure to maintain complete and accurate books and

records as required by BSEF Rule 409.B

RULE 621. Summary Imposition of Fines

(a) The Chief Compliance Officer may summarily impose a fine against a

Participant, Account Manager, Authorized Trader, Supervised Person, Account, Customer,

Clearing Member or other Person using any Trader ID or login credentials linked to the

Participant for failing:

(i) to make timely payments of fees, cost, charges or fines to BSEF;

(ii) to make timely and accurate submissions to BSEF of notices, reports or

other information required by the BSEF Rules; or

(iii) to keep any books and records required by the BSEF Rules.

(b) The Compliance Department, acting on behalf of the Chief Compliance Officer,

will give notice of any fine imposed pursuant to this Rule 621 to each Participant subject thereto.

The notice will specify (i) the violations of the BSEF Rules for which the fine is being imposed,

(ii) the date of the violation for which the fine is being imposed and (iii) the amount of the fine.

Within 20 days of serving the notice of fine, the Participant must either pay or cause the payment

of the fine. The fine will become final upon the expiration of 20 days after the notice of fine is

served on the Participant.

(c) BSEF will set the amount of any fines imposed pursuant to this Rule 621, with the

maximum aggregate fine for each violation not to exceed $5,000 on an annual basis. Summary

imposition of fines pursuant to this Rule 621 will not preclude BSEF from bringing any other

action against the Participant (or any of its Account Managers, Authorized Traders or Supervised

Persons) or Authorized Trader, as the case may be. The following schedule lists the

recommended summary fines that BSEF or the Chief Compliance Officer may impose:

Violation of Order entry requirements pursuant to Rule

524, including failure to provide an accurate Legal

Entity Identifier

$1000

$1250 $1500

$1500

$1750

$2500

Violation of Trade reporting requirements $1250 $1500 $1750

Failure to provide any disclosure required by BSEF

Rule 402

First

Summary

Fine

Violation of the requirements to timely report a block

$1000

$1250 $1500

$1250

$1750

Second

Summary

Fine

$1500

Type of Violation

2

 Within a “rolling” 12-month period.
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$1250 $1500

trade pursuant to Rule 531.A(d)

$1750

Failure to notify BSEF under Rule 516.A(a) about a

Trade executed in error prior to a request for

cancellation, correction or adjustment of a Trade or

failure to comply with Rule 516.A(c)

$1250 $1750 $2000

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities

(a) No BSEF employee that is also an employee of an affiliate of BSEF that engages

in trading activity shall perform an investigation of such affiliated trading entity.

(b) In the event that a Disciplinary Panel is convened for a hearing involving an

affiliated trading entity, no Person associated with BSEF or such affiliated trading entity shall be

a member of such Disciplinary Panel.

(c) The Board must approve the issuance of disciplinary charges and acceptance of

settlement offers involving an affiliated trading entity.

RULE 623. [Reserved]

RULE 624. Notice to the Respondent, the Regulatory Services Provider

and the Public

BSEF will provide Written notice of disciplinary proceedings to the parties consistent

with applicable CFTC Regulations. Whenever BSEF suspends, expels, fines or otherwise

disciplines, or denies any Person access, to BSEF, BSEF will make the disclosures required by

CFTC Regulations. In accordance with CFTC Regulation § 9.11, upon rendering a final decision

regarding a disciplinary or access denial action, BSEF shall provide notice to the Commission by

filing with NFA’s BASIC.

CHAPTER 7. ARBITRATION

RULE 701. General

(a) Except as otherwise provided in these Rules, Participants, Authorized Traders and

any market participant that directly or indirectly effects a transaction on the SEF operated by

BSEF shall submit to the NFA for arbitration all disputes, controversies and claims between or

among themselves arising out of a Swap or the use of the systems or services of BSEF or the

services, equipment, or facilities used to support such systems or services, including the SEF

Platform and the SEF operated by BSEF (each, a “Dispute”). Any such claim against a

Participant shall be brought within two years from the time that a cause of action has accrued.

This Rule 701 shall in no way be construed to create a cause of action and shall not authorize an

action that would otherwise be prohibited by these Rules or Applicable Law. In the event that

this Rule 701 is held to be unenforceable in connection with any Dispute or a claim is deemed by

a court of competent jurisdiction to be not arbitrable, (i) exclusive jurisdiction for any such

Dispute will reside in any state or federal court sitting in New York County, New York, (ii) the

Failure to provide information required by BSEF Rule

301(e)
Participants involved in the Dispute will be presumed to have submitted to the personal

jurisdiction of any such court, and (iii) an action to enforce any judgment or decision of such

court may be brought in the same court or in any other court with jurisdiction or venue. Finally,

all Participants unconditionally and irrevocably waive any and all right to trial by jury in

connection with any such Dispute.

(b) Notwithstanding the foregoing, this Rule 701 does not apply to Disputes between

Participants, Authorized Traders or any market participant that directly or indirectly effects a

transaction on the SEF operated by BSEF that: (i) such Persons are required by the Rules of a

Self-Regulatory Organization to submit to the Dispute resolution procedures of that

Self-Regulatory Organization; or (ii) such Persons have, by valid and binding agreement,

committed to negotiate or litigate in a forum other than the forum set out in Rule 702.

RULE 702. Forum and Arbitration Rules

NFA will conduct any and all arbitrations of a type described in Rule 701 pursuant to

NFA’s Member Arbitration Rules, as if each Participant or Authorized Trader to such arbitration

was an “NFA Member”.

RULE 703. Initiating an Arbitration Claim

(a) A Participant or Authorized Trader may initiate an arbitration claim by submitting

the required documents and fees to NFA.

(b) A Participant or Authorized Trader submitting an arbitration claim shall provide

notice of such claim to BSEF.

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments

All claims relating to Trade cancelations pursuant to Rule 516 shall be arbitrated in

accordance with this Chapter 7.

RULE 705. Penalties

(a) Any failure on the part of any Participant or Authorized Trader to arbitrate a case

subject to arbitration, or the commencement by any such Participant or its Person of a suit in any

court prior to arbitrating a case subject to arbitration, violates these Rules and subjects such

Person to disciplinary proceedings pursuant to Chapter 6.

(b) BSEF may summarily suspend, pursuant to Chapter 6, a Participant or Authorized

Trader that fails to satisfy an arbitration award rendered in any arbitration conducted pursuant to

this Chapter 7.

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CHAPTER 8. MISCELLANEOUS

RULE 801. Anti-Money Laundering and Anti-Terrorism

(a) It is SEF policy: (1) Not to engage in or knowingly assist any money laundering

or other illicit business, and (2) Not to engage in or knowingly assist, or be a conduit for,

terrorist financing.

(b) Participants will be required to provide sufficient information for Participants and

their Accounts, if applicable, for SEF to complete “know your customer” checks and to conduct

restricted list searches, including searches against the Specially Designated Nationals and

Blocked Persons list maintained by the Office of Foreign Assets Control of the U.S. Department

of the Treasury.

RULE 802. Gifts and Gratuities

Except as permitted in Writing by the Chief Compliance Officer, no Participant or

Authorized Trader shall, directly or indirectly, give or permit to be given anything of value

(including gratuities) to a SEF Official or BSEF, including any agents or independent contractors

of BSEF. A gift of any kind is considered a gratuity.

RULE 803. Market Data

(a) Subject to each Participant's rights in Participant’s own data (and the data of its

Accounts and Customers) as set forth in the Participant Documentation, BSEF shall own all

rights, title and interest, database rights and trade secret rights in and to all data and other

information contained in, displayed on, generated by or derived from the SEF Platform or the

SEF operated by BSEF or Trades entered into pursuant to the BSEF Rules, including Orders,

prices and volumes (“SEF Data”).

(b) Participants and Authorized Traders shall not, and shall cause their Affiliates,

Accounts and Customers not to, distribute, sell or retransmit SEF Data or other information

obtained via the SEF operated by BSEF, provided that any such restrictions shall not apply to

Participant’s own data (and the data of its Accounts and Customers).

(c) BSEF may at any time restrict or establish utilization fees in respect of SEF Data

and/or the format and presentation thereof with respect to Participants, Customers or Accounts,

provided that any such fees shall not apply to Participants’ use of Participant's own data (and the

data of its Accounts and Customers).

(d) Subject to Rule 805, BSEF may make SEF Data and other information it may

deem appropriate available to Participants and other Persons at such times and in such manner

(whether through the SEF Platform, a ticker, financial information services or otherwise) as it

may consider necessary or advisable from time to time. Each Participant or other Person

receiving any such information through the SEF operated by BSEF may redistribute such

information only to such extent and in such manner as may be permitted by BSEF from time to

time.

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RULE 804. Prohibited Use of Data Collected for Regulatory Purposes

BSEF shall not use for business or marketing purposes any proprietary data or personal

information it collects or receives, from or on behalf of any person, for the purpose of fulfilling

its regulatory obligations; provided, however, that BSEF may use such data or information for

business or marketing purposes if the Person from whom it collects or receives such data or

information clearly consents in Writing to BSEF’s use of such data or information in such

manner. BSEF shall not condition access to its market(s) or market services on a Person’s

consent to BSEF’s use of proprietary data or personal information for business or marketing

purposes. BSEF, where necessary for regulatory purposes, may share such data or information

with one or more SEFs or DCMs registered with the CFTC.

RULE 805. Confidentiality

(a) All non-public information provided by a Participant or Authorized Trader to

BSEF shall be held in confidence and shall not be made known to any other Person except as

follows:

(i) with the consent of the Participant or Authorized Trader providing such

information;

(ii) to a Governmental Body if BSEF is requested or legally required to do so

by such Governmental Body;

(iii) pursuant to a lawful discovery request;

(iv) to a Derivatives Clearing Organization of which such Participant is a

member or in connection with the clearing of a Swap;

(v) to an SDR;

(vi) subject to appropriate confidentiality requirements, to any Person

providing services to BSEF, including the Regulatory Services Provider;

(vii) pursuant to an information sharing agreement or other arrangement or

procedures in accordance with Rule 213;

(viii) subject to appropriate confidentiality requirements, to BSEF employees,

the Board, Board committees, Disciplinary Panels, Appeals Panels, BSEF Officers,

attorneys, auditors, and agents, independent contractors or other Persons that have been

engaged by BSEF, in each case, who require such information in connection with the

discharge of their duties to BSEF; and

(ix) as otherwise permitted under these Rules.

(b) All information and data obtained or received by BSEF from inspections of

accounting and other records will be treated as confidential by BSEF; however, this Rule does

not supplant Rule 212 (Emergency Rules) and the Rules in Chapter 6 (Disciplinary Rules), or

any other requirement of legal process or law.

82
RULE 806. Extension or Waiver of BSEF Rules

If necessary and expedient, the Chief Compliance Officer may, in its sole discretion,

waive, or extend the time period for performing, any act or acts designated by the BSEF Rules,

but only to the extent such waiver or extension is not inconsistent with the CEA or the CFTC

Regulations or other applicable regulations.

RULE 807. Effect of Amendment, Repeal or New Rule

(a) If an amendment or repeal of a BSEF Rule or adoption of a new BSEF Rule does

not materially change the terms or conditions of a Swap and does not affect the value of open

Swaps, then the effective date of any amendment or repeal of a Rule or adoption of a new Rule

relating to Swaps is binding on all Swaps entered into before and after the effective date of such

amendment, repeal or adoption and, to the extent applicable, before the effective date of such

amendment, repeal or adoption.

(b) If an amendment or repeal of a BSEF Rule or adoption of a new Rule materially

changes the terms or conditions of an open Swap or affects the value of open Swaps, then the

amendment, repeal or new BSEF Rule shall not affect any open Swaps and shall be binding only

on new Swaps listed for trading after the effective date of such amendment, repeal or adoption,

and Swaps listed as of the effective date of such amendment, repeal or adoption with no open

positions then in existence, unless otherwise specifically provided by the Board.

RULE 808. Swap Contract Specifications

(a) BSEF shall permit trading only in Swaps that are not readily susceptible to

manipulation. To demonstrate to the CFTC compliance with the requirements of this Rule

808(a), BSEF shall, at the time it submits a new Swap in advance to the CFTC pursuant to Part

40 of the CFTC Regulations, provide the applicable information as set forth in Appendix C to

Part 38 of the CFTC Regulations – Demonstration of Compliance That a Contract is not Readily

Susceptible to Manipulation.

(b) Notwithstanding any provision of the BSEF Rules to the contrary, the Swap

Specification with respect to a particular Swap shall govern the applicability of the BSEF Rules

to trading in such Swap and, in the event of any conflict between the BSEF Rules and the Swap

Specification, the Swap Specification shall govern with respect to trading in the relevant Swap.

(c) The Swap Specification for each individual Swap may specify:

(i) different classes of Participants eligible to trade such Swaps. Each such

class of Participants shall have the rights and obligations specified by the Swap

Specification for each such Swap;

(ii) whether such Swap may be settled via cash settlement, physical delivery

of the underlying commodity, or by any other means, as applicable; and

(iii) the method for determining settlement prices.

(d) Each Swap contract will be published by BSEF on its website.

83
(e) Swap Specifications are incorporated into the Rulebook by reference and each

Swap Specification shall constitute a BSEF Rule.

RULE 809. Timely Publication of Trading Information

BSEF will publish trading information as required by Core Principle 9 of Part 37, and by

Part 16, of the CFTC Regulations.

RULE 810. Governing Law, Jurisdiction and Dispute Resolution

(a) Unless preempted by the Act, the law of the State of New York governs the BSEF

Rules and any Participant Documentation regardless of the laws that would otherwise apply

under choice-of-law principles. If a Participant provides an opinion of a counsel (i) stating that

the Participant cannot be subject to the law of the State of New York and must be subject to the

law of the jurisdiction of the location where the Participant is organized (the “Local Law”) and

(ii) enumerating specific provisions of these Rules or the Participant Documentation that must be

subject to the Local Law, BSEF will specify the application of the Local Law to the enumerated

specific provisions of these Rules and the Participant Documentation; provided, however, that in

no event shall Local Law supersede any provision of the Act.

(b) Any dispute between BSEF and a Participant or any market participant that

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in

connection with the BSEF Rules or use of the SEF operated by BSEF must be brought to

arbitration pursuant to subsection (c) of this Rule 810 within one (1) year from the occurrence of

the event giving rise to the dispute. This Rule 810 shall in no way create a cause of action nor

authorize an action that would otherwise be prohibited by the BSEF Rules.

(c) Any dispute between BSEF and a Participant or any market participant that

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in

connection with the BSEF Rules will be settled by arbitration administered in New York County,

New York by the American Arbitration Association (the “AAA”) under its Commercial

Arbitration Rules. The dispute will be submitted to one arbitrator who will be appointed by the

AAA. Any arbitrator appointed for purposes of this Rule 810 will have experience with and

knowledge of commodities, derivatives and Swaps as listed on the National Roster of Arbitrators

kept in the AAA’s records. Judgment on the award rendered by the arbitrator will be binding on

the parties and may be entered in any state or federal court sitting in New York County, New

York, and BSEF and each Participant shall be deemed to have consented to the personal

jurisdiction of any such court. Each party to the dispute will bear its own costs and expenses in

connection with any arbitration hereunder, as well as an equal share of the administrative fees

and the fees of the arbitrator; provided, however, that the arbitrator will be entitled to include in

any award a full reimbursement for the prevailing party’s costs and expenses, such party’s share

of the administrative fees and the fees of the arbitrator, or any combination of any or all of the

above. In the event that this Rule 810 is held to be unenforceable in connection with any dispute

or a claim is deemed by a court of competent jurisdiction to be not arbitrable, (i) exclusive

jurisdiction for any such dispute will reside in any state or federal court sitting in New York

County, New York, (ii) BSEF and the Participant involved in the dispute will be presumed to

have submitted to the personal jurisdiction of any such court, and (iii) an action to enforce any

judgment or decision of such court may be brought in the same court or in any other court with

84
jurisdiction or venue. Finally, all Participants unconditionally and irrevocably waive any and all

right to trial by jury in connection with any such dispute.

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES

(a) NONE OF BSEF, ITS AFFILIATES OR ANY CONTRACTORS AND

SUB-CONTRACTORS PROVIDING SERVICES RELATED TO BSEF OR THE SEF

OPERATED BY BSEF, NOR ANY OF THEIR RESPECTIVE SUCCESSORS OR ASSIGNS,

DIRECTORS, OFFICERS, EMPLOYEES, AGENTS, PARTNERS, CONSULTANTS, OR

LICENSORS (EACH, A “DISCLAIMING PARTY”) SHALL BE LIABLE TO ANY

PERSON (INCLUDING ANY PARTICIPANT, AUTHORIZED TRADER, SUPERVISED

PERSON, ACCOUNT, CUSTOMER, CLEARING MEMBER OR ANY MARKET

PARTICIPANT THAT DIRECTLY OR INDIRECTLY EFFECTS A TRANSACTION ON

THE SEF OPERATED BY BSEF) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES

(INCLUDING LOSS OF PROFITS, LOSS OF USE, AND DIRECT, INDIRECT, SPECIAL,

INCIDENTAL, CONSEQUENTIAL OR PUNITIVE DAMAGES), ARISING FROM:

(i) ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY,

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION, TERMINATION, OR

ANY OTHER EVENT, IN CONNECTION WITH THE FURNISHING,

PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE

ALL OR ANY PART OF ANY OF THE SEF OPERATED BY BSEF, SEF PLATFORM

OR SERVICES OF THE DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR

FACILITIES USED TO SUPPORT SUCH SEF OPERATED BY BSEF, SEF

PLATFORM OR SERVICES, INCLUDING ELECTRONIC ORDER

ENTRY/DELIVERY, TRADING THROUGH ANY ELECTRONIC MEANS,

ELECTRONIC COMMUNICATION OF MARKET DATA, SEF DATA OR

INFORMATION, WORKSTATIONS USED BY PARTICIPANTS, AUTHORIZED

TRADERS, SUPERVISED PERSONS, CLEARING MEMBERS, ACCOUNTS OR

CUSTOMERS, PRICE REPORTING SYSTEMS AND ANY AND ALL

COMMUNICATIONS NETWORKS, SOFTWARE AND HARDWARE RELATING

THERETO;

(ii) ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY,

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION OR TERMINATION,

OR ANY OTHER EVENT, OF THE SEF PLATFORM OR ANY SERVICES OF A

DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR FACILITIES USED TO

SUPPORT SUCH TRADING SYSTEMS OR SERVICES, CAUSED BY ANY THIRD

PARTIES INCLUDING INDEPENDENT SOFTWARE VENDORS OR NETWORK

PROVIDERS;

(iii) ANY ERRORS OR INACCURACIES IN INFORMATION PROVIDED

BY THE DISCLAIMING PARTY OR IN ANY OF THE DISCLAIMING PARTY’S

SYSTEMS, SERVICES, EQUIPMENT OR FACILITIES;

85
(iv) ANY UNAUTHORIZED ACCESS TO OR UNAUTHORIZED USE OF

ANY OF THE DISCLAIMING PARTY’S SYSTEMS, SERVICES, EQUIPMENT OR

FACILITIES BY ANY PERSON.

THE FOREGOING LIMITATION OF LIABILITY SHALL APPLY WHETHER A CLAIM

ARISES IN CONTRACT, TORT, NEGLIGENCE, STRICT LIABILITY, CONTRIBUTION

OR OTHERWISE AND WHETHER THE CLAIM IS BROUGHT DIRECTLY OR AS A

THIRD PARTY CLAIM.

(b) NOTWITHSTANDING SUBSECTION (a), (c) or (f) OF THIS RULE 901, IN

NO EVENT SHALL ANY AFFILIATE OF BSEF ACTING AS SEF PLATFORM

TECHNOLOGY SERVICES PROVIDER BE LIABLE TO ANY PERSON NOR SHALL ANY

PERSON BRING ANY LEGAL ACTION (WHETHER IN TORT, NEGLIGENCE, OR

BREACH OF CONTRACT) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES

INCLUDING LOSS OF PROFITS, LOSS OF USE, DIRECT, SPECIAL, PUNITIVE,

INDIRECT, INCIDENTAL OR CONSEQUENTIAL DAMAGES, ARISING FROM THE USE

OF THE SEF OPERATED BY BSEF OR SEF PLATFORM.

(c) WITHOUT LIMITING BSEF’S INDEMNIFICATION OBLIGATION UNDER

RULE 902, THERE ARE NO EXPRESS OR IMPLIED WARRANTIES OR

REPRESENTATIONS (INCLUDING WARRANTIES OF MERCHANTABILITY AND

FITNESS FOR A PARTICULAR PURPOSE OR USE) PROVIDED BY ANY DISCLAIMING

PARTY RELATING TO ANY SYSTEMS OR SERVICES OF ANY DISCLAIMING PARTY

OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR

SERVICES.

(d) ANY DISPUTE ARISING OUT OF THE USE OF SYSTEMS OR SERVICES

OF ANY DISCLAIMING PARTY OR SERVICES, EQUIPMENT, OR FACILITIES USED TO

SUPPORT SUCH SYSTEMS OR SERVICES IN WHICH THE DISCLAIMING PARTY OR

DISCLAIMING PARTIES IS A PARTY SHALL BE SUBJECT TO ARBITRATION AS

PROVIDED IN RULE 810(c) AS IF THE DISCLAIMING PARTY WERE BSEF AND THE

OPPOSITE PARTY OR PARTIES WERE A PARTICIPANT. ANY ACTIONS, SUITS OR

PROCEEDINGS BROUGHT AGAINST ANY DISCLAIMING PARTY MUST BE

BROUGHT WITHIN ONE YEAR FROM THE TIME THAT A CAUSE OF ACTION HAS

ACCRUED. THIS PARAGRAPH (d) SHALL IN NO WAY BE CONSTRUED TO LIMIT A

PARTY’S OBLIGATION TO ARBITRATE ITS CLAIM OR TO CREATE A CAUSE OF

ACTION (OR MODIFY THE LIMITATION ON ACTIONS PROVIDED IN RULE 901(a))

AND SHALL NOT AUTHORIZE AN ACTION THAT WOULD OTHERWISE BE

PROHIBITED BY THE BSEF RULES. IF FOR ANY REASON, A COURT OF COMPETENT

JURISDICTION FINDS THAT A DISPUTE IS NOT ARBITRABLE, SUCH DISPUTE

SHALL BE SUBJECT TO THE JURISDICTION OF EACH OF THE FEDERAL AND STATE

COURTS LOCATED IN NEW YORK COUNTY, NEW YORK IN CONNECTION WITH

ANY MATTERS ARISING OUT OF THIS RULEBOOK AND NO PARTY TO SUCH

DISPUTE MAY ASSERT A DEFENSE OF FORUM NON CONVENIENS, SOVEREIGN

IMMUNITY, ACT OF STATE OR ANALOGOUS DOCTRINES IN CONNECTION WITH

ANY ACTION.

(e) TO THE EXTENT PERMITTED BY APPLICABLE LAW, THE TOTAL

COMBINED AGGREGATE LIABILITY OF BSEF SHALL NOT EXCEED (i) $20,000 FOR

86
ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED ON A SINGLE DAY, (ii)

$100,000 FOR ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED IN A

SINGLE CALENDAR MONTH; AND (iii) $1,200,000 FOR ALL LOSSES AND CLAIMS

FROM ALL CAUSES SUFFERED IN A SINGLE CALENDAR YEAR. ANY DISPUTED

CLAIM PURSUANT TO THIS PARAGRAPH (e) SHALL BE SUBJECT TO ARBITRATION

TO THE EXTENT PROVIDED IN RULE 810(c).

IN NO EVENT SHALL TOTAL COMBINED AGGREGATE LIABILITY OF BSEF FOR ALL

CLAIMS AND CLAIMS AGAINST DISCLAIMING PARTIES ARISING OUT OF ANY

FAILURES, MALFUNCTIONS, FAULTS IN DELIVERY, DELAYS, OMISSIONS,

SUSPENSIONS, INACCURACIES, INTERRUPTIONS, TERMINATIONS, OR ANY OTHER

CAUSES, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION,

MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE

SEF OPERATED BY BSEF OR SEF PLATFORM, OR SERVICES, EQUIPMENT OR

FACILITIES USED TO SUPPORT BSEF, THE SEF OPERATED BY BSEF OR SEF

PLATFORM, OR THE NEGLIGENCE OR GROSS NEGLIGENCE OF BSEF EMPLOYEES,

AGENTS OR SUBAGENTS EXCEED $1,200,000 IN ANY GIVEN CALENDAR YEAR.

IF THE NUMBER OF ALLOWED CLAIMS ARISING OUT OF ANY FAILURES OR

MALFUNCTIONS ON A SINGLE DAY, SINGLE MONTH OR SINGLE YEAR CANNOT

BE FULLY SATISFIED BECAUSE OF THE ABOVE DOLLAR LIMITATIONS, ALL SUCH

CLAIMS SHALL BE LIMITED TO A PRO RATA SHARE OF THE MAXIMUM AMOUNT

FOR THE RESPECTIVE PERIOD.

(f) THE LIMITATIONS OF LIABILITY IN THIS RULE 901 SHALL NOT APPLY

TO BSEF’S INDEMNIFICATION OBLIGATION UNDER RULE 902 AND SHALL NOT

PROTECT ANY PARTY FOR WHICH THERE HAS BEEN A FINAL DETERMINATION

(INCLUDING EXHAUSTION OF ANY APPEALS) BY A COURT OR ARBITRATOR TO

HAVE ENGAGED IN FRAUD OR WILLFUL MISCONDUCT. ADDITIONALLY, THE

FOREGOING LIMITATIONS ON LIABILITY OF THIS RULE SHALL BE SUBJECT TO

THE CEA AND THE REGULATIONS PROMULGATED THEREUNDER, EACH AS IN

EFFECT FROM TIME TO TIME.

RULE 902. Indemnification by BSEF

BSEF, at its expense, shall indemnify, hold harmless and defend Participant against any

loss, claim, demand or expense (including reasonable attorneys’ fees) (“Claim”) that the SEF

Platform or any portion thereof infringes, misappropriates or violates any intellectual property or

proprietary rights of any third party; provided, however, that BSEF shall not be required to

indemnify Participant for any Claim to the extent it arises from or in connection with any (a)

additions, changes or modifications by Participant to the SEF Platform, which changes were not

provided by BSEF or any of its Affiliates, (b) use of the SEF Platform in combination with other

products or services not provided by BSEF or its Affiliates, or (c) use of the SEF Platform other

than as expressly permitted by the Rules or the Participant Documentation. BSEF shall control

such defense and all negotiations relative to the settlement of any such Claim. Participant shall

promptly provide BSEF with written notice of any claim which falls within the scope of this

paragraph (provided that failure to provide such notice shall not relieve BSEF of its indemnity

obligations hereunder except to the extent it is prejudiced thereby).

87
CHAPTER 10. [RESERVED]

CHAPTER 11. [RESERVED]

88
89

Swap Tenor

USD

Any, other than tenors “made available to trade”

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

CDX HY CDSI [series number] [tenor]

Maturity Date

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.;

Trading

Conventions

CDX.NA.HY: Series 11 to current series other than series “made available to trade”

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

CHAPTER 12.CREDIT CONTRACTS TERMS AND CONDITIONS

RULE 1201. CDS Index Contract – North America High Yield

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
90

Swap Tenor

USD

Any, other than tenors “made available to trade”

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

CDX IG CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade credit

rating

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

CDX.NA.IG: Series 11 to current other than series “made available to trade”

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1202. CDS Index Contract – North America Investment Grade

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
91

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

CDX EM CDSI [series number] [tenor]

Maturity Date

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of a number of sovereign issuers, domiciled in Latin

America

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

CDX Emerging Markets: all series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1203. CDS Index Contract – CDX Emerging Markets

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on price

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
92

Swap Tenor

EUR

Any, other than tenors “made available to trade”

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

ITRX EUR CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit

rating.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTRAXX.EUROPE: Series 7 to current, other than series “made available to trade”

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1204. CDS Index Contract – Europe

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
93

Swap Tenor

EUR

Any, other than tenors “made available to trade”

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

ITRX XOVER CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid sub-investment

grade European corporate entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTRAXX.EUROPE CROSSOVER: Series 10 to current, other than series “made available to trade”

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1205. CDS Index Contract – Europe Crossover

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
94

Swap Tenor

EUR

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention

and

Minimum

Increment

HIVOL CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours

and Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

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.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTRAXX.EUROPE HIVOL:

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1206. CDS Index Contract – Europe HiVol

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
95

Swap Tenor

EUR

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

SNRFIN CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade

European entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Trading

Conventions

iTRAXX EUROPE SENIOR FINANCIAL

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
96

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

ITRX SOVX WE CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone region plus Denmark,

Norway, Sweden and United Kingdom that trade on Western European documentation.

n/a; Bilateral

Trading

Conventions

iTRAXX SovX Western Europe: all series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
97

Swap Tenor

EUR

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

SUBFIN CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade

European entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Trading

Conventions

iTRAXX EUROPE SUBORDINATED FINANCIAL : All Series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
98

Swap Tenor

JPY

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention

and

Minimum

Increment

ITRX JAPAN CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours

and Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of 50 equally-weighted investment grade Japanese

entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Trading

Conventions

iTRAXX.JAPAN: All Series.

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1210. CDS Index Contract – iTraxx Japan

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
99

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

ITRX AUS CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of 25 equally-weighted investment grade Australian

entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; Bilateral

Trading

Conventions

ITRAXX.AUSTRALIA : All Series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1211. CDS Index Contract – iTraxx Australia

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
100

Swap Tenor

USD

5Y

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention and

Minimum Price

Increment

CDX IG CDSI [series number] 5Y

Maturity Date

CLOB: 0.0025 Basis Points

RFQS: 0.01 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie, 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade

credit rating.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

CDX.NA.IG: at any time, the then-current on-the-run series and the preceding series that was replaced by the current

one

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
101

Swap Tenor

USD

5Y

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention and

Minimum

Increment

CDX HY CDSI [series number] 5Y

Maturity Date

CLOB: $0.0025

RFQS: $0.0025

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours

and Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit

rating.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

CDX.NA.HY: at any time, the then-current on-the-run series and the preceding series that was replaced by the

current one

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
102

Swap Tenor

EUR

5Y

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention and

Minimum

Increment

ITRX EUR CDSI [series number] 5Y

Maturity Date

CLOB: 0.0025 Basis Points

RFQS: 0.001 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract

Overview

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, (ie, 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.

Minimum Size

Trading Hours

and Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 - 24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit

rating.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTRAXX.EUROPE: at any time, the then-current on-the-run series and the preceding series that was replaced by the

current one

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
103

Swap Tenor

EUR

5Y

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

ITRX XOVER CDSI [series number] 5Y

Maturity Date

CLOB: 0.0025 Basis Points

RFQS: 0.001 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours and

Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

00:01 - 24:00 Sunday-Friday; Eastern Time

Index

Clearing House

The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid sub-investment

grade European corporate entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTRAXX.EUROPE CROSSOVER: at any time, the then-current on-the-run series and the preceding series that was

replaced by the current one

Block Size

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

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
104

Trading

Conventions

CDX.NA.HY: Series 11 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – North America High Yield.

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1216. Option – CDS Index Contract CDX North America High Yield

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
105

Trading

Conventions

CDX.NA.IG: Series 11 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – North America Investment Grade.

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
106

Trading

Conventions

CDX.EM: all series

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – CDX Emerging Markets

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
107

Trading

Conventions

ITRAXX.EUROPE: Series 10 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

EUR

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – European Investment Grade. An agreement to buy or sell protection on a basket of liquid

European based entities with an investment grade credit rating.

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1219. Option – CDS Index Contract – iTraxx Europe

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
108

Trading

Conventions

ITRAXX.EUROPE CROSSOVER: Series 10 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

EUR

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – Europe Crossover. An index comprising 75 equally weighted credit default swaps on the

most liquid sub-investment grade European corporate entities.

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
109

Trading

Conventions

ITRAXX.EUROPE HIVOL: Series 10 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

EUR

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

n/a; Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – European HiVol.

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
110

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention

and

Minimum

Increment

ITRX Corp CEEMEA CDSI [series number] [tenor]

Maturity Date

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours

and Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most liquid corporate and

quasi-sovereign entities from Central & Eastern European, Middle Eastern and African countries.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTraxx CEEMEA: all series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
111

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention

and

Minimum

Increment

LCDX [series number] [tenor]

Maturity Date

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours

and Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of a number of 100 reference entities, referencing first

lien leveraged loans CDS.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Trading

Conventions

LCDX: all series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1223. CDS Index Contract – LCDX

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on price

Fixed coupon payments are calculated at a spread of 250 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
112

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention

and

Minimum

Increment

MCDX [series number] [tenor]

Maturity Date

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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, (ie 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.

Minimum Size

Trading Hours

and Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of a number of 50 CDS contracts referencing municipal

issuers as the Reference Entity.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Trading

Conventions

MCDX: all series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1224. CDS Index Contract – MCDX

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
113

Trading

Conventions

iTRAXX SovX Western Europe: all series

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

ITRAX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

None.

Quoting

Convention and

Minimum

Increment

CDS Index Contract – iTRAXX SovX Western Europe

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
114

Trading

Conventions

LCDX: all series

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

LCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – LCDX

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1226. Option – CDS Index Contract – LCDX

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
115

Trading

Conventions

MCDX: all series

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby 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.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

MCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

00:01 -24:00 Sunday-Friday; Eastern Time

Underlying Swap

Clearing House for

the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – MCDX

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1227. Option – CDS Index Contract – MCDX

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
116

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting Convention

and

Minimum Increment

ITRX EXJP IG CDSI [series number] [tenor]

Maturity Date

Minimum Increment: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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 payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours and

Venue

Minimum Size: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian (excluding Japanese) entities

with primarily investment grade credit ratings that trade in the CDS market.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet S.A. or

Bilateral

Trading Conventions

iTraxx Asia ex-Japan; all series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set forth in CFTC Regulation 15.03

Currency
117

Swap Tenor

EUR

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the

start date of the swap.

Quoting Convention

and

Minimum Increment

ITRX Europe NONFIN CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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 payments, expressed in percentage points of the

notional, which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours and Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by the counterparties

00:01-24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of one hundred (100) equally weighted credit default

swaps on investment grade European entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or

Bilateral

Trading Conventions

iTraxx Europe Non-Financial

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set forth in CFTC Regulation 15.03

Currency
118

Swap Tenor

EUR

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the

start date of the swap.

Quoting Convention

and

Minimum Increment

ITRX EUR MSCIESG CDSI [series number] [tenor]

Maturity Date

As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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.

Minimum Size

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of equally weighted European entities from the iTraxx

MSCI ESG Screened Europe Index with an MSCI ESG Rating above BBB

Bilateral

Trading Conventions

iTRAXX.EUROPE MSCI ESG Screened: All Series.

Block Size

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.

As set forth in Appendix F to Part 43 of CFTC Regulations

RULE 1230. CDS Index Contract - iTraxx MSCI ESG Screened Europe Index

Speculative Limits As set forth in Part 150 of CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set forth in CFTC Regulation 15.03

Currency
119

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the

start date of the swap.

Quoting Convention

and

Minimum Increment

CDX IGBBB CDSI [series number] [tenor]

Maturity Date

As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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.

Minimum Size

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of North American entities with an investment grade

rating of BBB.

Bilateral

Trading Conventions

CDX.NA.IG.BBB: All series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1231. CDS Index Contract - CDX North American Investment Grade (BBB-rated)

Index

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set forth in CFTC Regulation 15.03

Currency
120

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the

start date of the swap.

Quoting Convention

and

Minimum Increment

CDX HYEXBB CDSI [series number] [tenor]

Maturity Date

As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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.

Minimum Size

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket of high yield North American entities with credit ratings

higher than BB.

Bilateral

Trading Conventions

CDX.NA.HY.EXBB: All series.

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1232. CDS Index Contract - CDX North American High Yield (Ex-BB) Index

Contract

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

As set forth in CFTC Regulation 15.03

Currency
121

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

Quoting Convention

and

Minimum Increment

iTraxx EXJPR IG CDSI [series number] [tenor]

Maturity Date

Minimum Increment: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

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 payments, expressed in percentage points of the

notional, which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours and

Venue

Minimum Size: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of thirty-eight (38) liquid Asian (excluding

Japanese or U.S. sanctioned) entities with primarily investment grade credit ratings that trade in the CDS

market.

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.; ICE Clear Europe Limited; LCH.Clearnet S.A. or

Bilateral

Trading Conventions

iTraxx Asia ex-Japan IG Restricted; all series

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations

RULE 1233. CDS Index Contract – iTraxx Asia Ex-Japan IG (Restricted) Index Contract

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set forth in CFTC Regulation 15.03

Currency
122
123

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up to

30 years.

Par; Custom Coupon

Effective Date

Currency

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Maturity Date

Quoting

Convention and

Minimum

Increment

The final date on which the obligations no longer accrue and the final payment occurs.

AUD

As agreed by the counterparties

Periodic

Settlement:

Payment and

Resets

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date

Minimum Size

The first BBSW Fixing Date is two (2) Sydney business days prior to the Effective Date.

As agreed by the counterparties

Trade Start Types

Floating Rate

Index

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the Effective Date is a date other than the spot date.

Settlement

Procedure

Trading

Conventions

As determined by the Clearing House or an agreement between the counterparties.

BBSW

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Trading Hours

Ticker

00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House

Swap Conventions

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Floating Rate

Index Maturity

Block Size

AUD SWAP vs Floating Index Maturity

As set forth in Appendix F to Part 43 of the CFTC Regulations.

3, 6 months

Contract Overview

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

Swap Tenor

Fixed Rate

Fixed Leg

 Payment: Semi-Annual, Quarterly

 Day Count Conventions: ACT/365(Fixed)

 Holiday Calendar: Australia

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets : Semi-Annual, Quarterly

 Day Count Conventions: ACT/365(Fixed)

 Holiday Calendar: Australia

 Fixing Calendar: Australia

 Business Day Conventions: Modified Following
RULE 1302. [Reserved]

124
125

 Par

 Custom coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Swap Tenor

Currency

The duration of time from the effective date to the maturity date. A non-MAT or non-MAC EUR EURIBOR

Fixed-to-Floating Swap Contract can have a tenor from 28 days to up to 50 years. A MAC EUR EURIBOR

Fixed-to-Floating Swap Contract can have a tenor from 1 year to 30 years.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Effective Date

Quoting

Convention and

Minimum

Increment

The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments.

This is also known as the start date of the swap.

EUR

As agreed by the counterparties

Maturity Date

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract*

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment and

Resets

Contract Size

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Fixed notional; as agreed by the counterparties

First Fixing Date

Floating Rate

Index

The first Euribor Fixing Date is 2 Target business days prior to the Effective Date of the swap.

Trade Start Types

Minimum Size

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

EURIBOR

As agreed by the counterparties

Settlement

Procedure

Ticker

As determined by the Clearing House

Trading Hours

Trading

Conventions

00:01 -24:00 Sunday-Friday (Eastern Time)

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Clearing House

Floating Rate

Index Maturity

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd, Eurex Clearing Aktiengesellschaft. or Bilateral

EUR SWAP vs [Floating Index Maturity]

Block Size

Swap Conventions

As set forth in Appendix F to Part 43 of the CFTC Regulations.

1, 3, 6, 12 months

Contract Overview

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Fixed Rate

Reportable Levels As set forth in CFTC Regulation 15.03

____________________________________

* Certain EUR EURIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set

forth in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm.

Fixed Leg

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360, 30E/360

 Holiday Calendar: Target

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets : Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: ACT/360, 30/360

 Holiday Calendar: Target

 Fixing Calendar: Target

Business Day Conventions: Modified Following
RULE 1304. [Reserved]

RULE 1305. [Reserved]

RULE 1306. [Reserved]

RULE 1307. [Reserved]

126
127

Effective Date

Quoting

Convention

Minimum

Increment

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

As agreed by counterparties

Maturity Date

Currency

The final date on which the obligations no longer accrue and the final payment occurs.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Periodic

Settlement:

Payment and

Resets

Minimum Size

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

USD

As agreed by counterparties

First Fixing Date

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract

The first Fed Funds Fixing Date is 2 New York business days prior to the Effective Date.

Trade Start Types

Trading

Conventions

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Settlement

Procedure

Floating Rate

Index

As determined by the Clearing House

Trading Hours

Swap Conventions

00:01 -24:00 Sunday-Friday Eastern Time

Fed Funds

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd.. Eurex Clearing Aktiengesellschaft or Bilateral

Fixed Rate

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

USD SWAP OIS [Maturity]

Speculative Limits

Par; Custom Coupon

As set in Part 150 of the CFTC Regulations

Swap Tenor

Contract Overview

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to up to 50

years.

As set in CFTC Regulation 15.03

Fixed Leg

 Payment: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, Act/365,

30/360

 Holiday Calendar: New York

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets : Quarterly, Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: New York

 Fixing Calendar: New York

Business Day Conventions: Modified Following
RULE 1309. [Reserved]

RULE 1310. [Reserved]

RULE 1311. [Reserved]

RULE 1312. [Reserved]

RULE 1313. [Reserved]

128
129

 The duration of time from the effective date to the maturity date. A non-MAT USD LIBOR Fixed-to-Floating Swap

Contract can have a Tenor from 28 days to up to 50 years.

Contract Overview

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments.

This is also known as the start date of the swap.

Fixed Rate

Maturity Date

 Par

 Custom Coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

The final date on which the obligations no longer accrue and the final payment occurs.

Currency

Periodic

Settlement:

Payment and

Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

 Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

 Payments are settled in accordance with the payment frequency of the swap.

Contract Size

USD

First Fixing Date

Fixed notional, as agreed by the counterparties

The first LIBOR Fixing Date is two (2) London business days prior to the Effective Date

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract*

Trade Start Types  Spot: A new swap where the Effective Date is T+2 from the trade date

 Non-Spot: Any date where the Effective Date is a date other than the spot date



Minimum Size

Settlement

Procedure

As agreed by the counterparties

As determined by the Clearing House

Floating Rate

Index

Trading Hours 00:01 -24:00; Sunday-Friday (Eastern Time)

Trading

Conventions

LIBOR

Clearing House

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Ticker

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Swap Conventions

Speculative Limits

Fixed Leg

 Payment: Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360/ ACT/365

 Holiday Calendar: London, New York

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Monthly, Quarterly, Semi-Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: London, New York

 Fixing Calendar: London

 Business Day Conventions: Modified Following

As set forth in Part 150 of the CFTC Regulations

Floating Rate

Index Maturity

Reportable Levels

USD SWAP VS [Floating Index Maturity]

As set forth in CFTC Regulation 15.03

Swap Tenor

____________________________________

* Certain USD LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm.

1, 3, 6, 12 months
130

Swap Conventions LIBOR Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual

Day Count Conventions: ACT/360, or as agreed by the counterparties

Compounding Method: Flat, Exclude Spread

Holiday Calendar: England, US, or as agreed by the counterparties

Fixing Calendar: England

Business Day Conventions: Modified Following

BSBY Floating Leg

Payment/Resets: Monthly, Quarterly

Day Count Conventions: ACT/360, or as agreed by the counterparties

Holiday Calendar: US, or as agreed by the counterparties

Fixing Calendar: USGS

Business Day Conventions: Modified Following

SOFR Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity

Day Count Conventions: ACT/360, or as agreed by the counterparties

Holiday Calendar: England, US, or as agreed by the counterparties

Fixing Calendar: USGS

Business Day Conventions: Modified Following

Fed Funds Floating Leg

Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity

Day Count Conventions: ACT/360, or as agreed by the counterparties

Holiday Calendar: US, or as agreed by the counterparties

Fixing Calendar: US

 Business Day Conventions: Modified Following

Floating Rate

Index

Swap Tenor

1 Month USD-LIBOR

3 Month USD-LIBOR

6 Month USD-LIBOR

1 Month USD-BSBY

3 Month USD-BSBY

SOFR

Fed Funds

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50

years.

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments (i.e.,

the start date of the swap).

Quoting

Convention and

Minimum

Increment

USD SWAP [floating rate 1] V [floating rate 2] [tenor]

Maturity Date

As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

Periodic

Settlement:

Payment and

Resets

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index, and Floating Reset Dates.

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Minimum Size

First Fixing Date

As agreed by the counterparties

The first LIBOR Fixing Date is two London business days prior to the Effective Date. If Fed Funds or SOFR is one of

the index leg tenors, the first Fixing Date will equal the effective date of the swap.

Currency

Trade Start Types

An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a

term to maturity.

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Trading

Conventions

USD

Settlement

Procedure

Buy = Pay Spread

Sell = Receive Spread

As determined by the Clearing House

RULE 1315. USD Basis Swap Contract
131

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits

Clearing House

As set forth in Part 150 of the CFTC Regulations

Trading Hours

Tenor LIBOR Basis: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or

Bilateral

SOFR v LIBOR: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or

Bilateral

SOFR v Fed Funds: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or

Bilateral

SOFR v BSBY: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Tenor BSBY Basis: LCH.Clearnet Ltd. or Bilateral

Fed Funds v LIBOR: LCH.Clearnet Ltd. or Bilateral

Reportable Levels As set forth in CFTC Regulation 15.03

00:01-24:00 Sunday-Friday Eastern Time
RULE 1316. [Reserved]

132
133

Effective Date

Quoting

Convention and

Minimum

Increment

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

As agreed by counterparties

Maturity Date

Currency

The final date on which the obligations no longer accrue and the final payment occurs.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Periodic

Settlement:

Payment and

Resets

Minimum Size

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

SEK

As agreed by counterparties

First Fixing Date

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract

The first STIBOR Fixing Date is 2 Stockholm business days prior to the Effective Date.

Trade Start Types

Trading

Conventions

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Settlement

Procedure

Floating Rate

Index

As determined by the Clearing House or an agreement between the counterparties

Trading Hours

Swap Conventions

00:01 -24:00 Sunday-Friday Eastern Time

STIBOR

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Fixed Rate

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

SEK SWAP VS 3M [Trade Start Type] [tenor]

Speculative Limits

Par; Custom Coupon

As set in Part 150 of the CFTC Regulations

Swap Tenor

Contract Overview

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long

as 15 years.

As set in CFTC Regulation 15.03

Fixed Leg

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360,

ACT/365

 Holiday Calendar: Stockholm

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets : Quarterly, Semi-Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: Stockholm

 Fixing Calendar: Stockholm

 Business Day Conventions: Modified Following
134

USD SOFR OIS [Tenor]

Effective Date

Par; Custom Coupon; the then-current rates for Market Agreed Coupon (“MAC”)

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Contract Overview

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention

and Minimum

Increment

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Currency

First Fixing Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The first SOFR Fixing Date is equal to the effective date of the swap.

Minimum Size

USD

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

RULE 1318A USD SOFR OIS Fixed-to-Floating Swap Contract

Settlement Procedure As determined by the Clearing House

Trading Conventions

Trading Hours

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

00:01 -24:00 Sunday-Friday (Eastern Time)

Floating Rate Index

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Swap Conventions

SOFR

Block Size

Fixed Leg 

 Payment: Annual 

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendars: U.S. Government Securities Business Day 

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg 

 Payment/Resets: Daily, Annual 

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Holiday Calendars: U.S Government Securities Business Day 

 Business Day Conventions: Modified Following with adjustment to period end dates

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Ticker

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up

to 50 years.

As set forth in CFTC Regulation 15.03

Fixed Rate
135
136

Minimum Size As agreed by the counterparties

Tenor of Underlying

Swap

USD SWAPTION VS SOFR OIS [Tenor] MM/DD/YY, where MM/DD/YY is the expiry date of the swaption

Trading Conventions

As agreed by the counterparties

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and

receive the floating leg.

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the fixed

leg and pay the floating leg.

Contract Overview

Option Strike Price Fixed coupon of the underlying swap

Currency

Swap Conventions

USD

Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendars: U.S. Government Securities Business Day

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets: Daily, Annual

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Holiday Calendars: U.S Government Securities Business Day

 Business Day Conventions: Modified Following with adjustment to period end dates

Underlying Swap

Swap Tenor

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity. An agreement granting the owner the right, but not the obligation, to enter into

a Swap listed for trading on BSEF which is exercisable only on a specific date. If counterparties elected to

exercise the option by delivery of the underlying swap, the counterparties enter into and, if required, submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up

to 50 years.

Floating Rate Index

USD SOFR OIS Fixed-to-Floating Swap Contract

EffectiveOption

Expiry Date

SOFR

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).As agreed by the parties

RULE 1318. RULE 1318B Option - USD SOFR OIS Fixed-to-Floating Swap Contract

Option Settlement

Type

Cash or a delivery of a USD SOFR OIS Fixed-to-Floating Swap Contract Swap

Fixed Rate

Maturity Date

Par; Custom Coupon; the then-current rates for Market Agreed Coupon (“MAC”)

The final date on which the obligations no longer accrue and the final payment occurs.

Index of Underlying

Swap

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Quoting Convention

and

Minimum Increment

U.S. Secured Overnight Financing Rate (SOFR)

Exercise method

First Fixing Date

As agreed by the counterparties

The first SOFR Fixing Date is equal to the effective date of the swap.The owner of the option must notify the

writer of the option of the owner’s intent to exercise the option during business hours on the expiration date of the

option. Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the

Ticker
137

00:01 - 24:00 Sunday-Friday; (Eastern Time)

exercise by physical delivery, the counterparties must submit the Swap for clearing to the Clearing House, if the

swap is subject to the mandatory clearing requirement.

Trade Start Types

Settlement Procedure Bilateral

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Clearing

VenueHouse for the

underlying Swap

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Settlement

Procedure

Block Size

“Made Available to

Trade” Determination

As set forth in Appendix F to Part 43 of the CFTC Regulations.

As determined by

theMandatory

Clearing House

Determination

Speculative Limits

None

As set forth in Part 150 of the CFTC RegulationsSame as for the underlying Swap

None

Reportable Levels As set forth in CFTC Regulation 15.03Same as for the underlying Swap

Trading Hours
RULE 1319. [Reserved]

RULE 1320. [Reserved]

RULE 1321. [Reserved]

RULE 1322. [Reserved]

RULE 1323. [Reserved]

RULE 1324. [Reserved]

RULE 1325. [Reserved]

RULE 1326. [Reserved]

138
128

Effective Date

Contract Size

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also

known as the start date of the swap.

As agreed by counterparties

Maturity Date

Currency

The final date on which the obligations no longer accrue and the final payment occurs.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Periodic

Settlement:

Payment and

Resets

Minimum Size

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

CAD

As agreed by counterparties

First Libor Fixing

Date

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract

The first CDOR Fixing Date is equal to the Effective Date.

Trade Start

Types

Trading

Conventions

Spot:

 A new swap where the Effective Date is T+0 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Settlement

Procedure

Floating Rate

Index

As determined by the Clearing House or an agreement between the counterparties

Trading Hours

Swap

Conventions

00:01 -24:00 Sunday-Friday Eastern Time

3 Month CDOR

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Fixed Rate

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

CAD SWAP 3M [Trade Start Type] [tenor]

Speculative

Limits

Par; Custom Coupon

As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Contract

Overview

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long

as 50 years.

As set forth in CFTC Regulation 15.03

Fixed Leg

 Payment: Semi-Annual

 Day Count Conventions: ACT/365F

 Holiday Calendar: Canada

 Business Day Conventions: Modified Following



Floating Leg

Payment/Resets: Quarterly, Semi-Annual

Day Count Conventions: ACT/365F

Holiday Calendar: Canada

Business Day Conventions: Modified Following
129

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 3 months to as long

as 260 months.

Effective Date

Contract Size

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also

known as the start date of the swap.

As agreed by counterparties

Maturity Date

Currency

The final date on which the obligations no longer accrue and the final payment occurs.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Periodic

Settlement:

Payment and

Resets

Minimum Size

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

MXN

As agreed by counterparties

First Libor Fixing

Date

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract

The first Mexican Interbank Fixing Date is one Mexican business day prior to the Effective Date.

Trade Start

Types

Trading

Conventions

Spot:

 A new swap where the Effective Date is T+1 from the trade date.

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Settlement

Procedure

Floating Rate

Index

As determined by the Clearing House

Trading Hours

Swap

Conventions

00:01 -24:00 Sunday-Friday Eastern Time

28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio)

Ticker

Clearing House Chicago Mercantile Exchange, Inc

Fixed Rate

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

MXN SWAP vs. 28D [tenor]

Speculative

Limits

Par; Custom Coupon

As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Contract

Overview

Fixed Leg

 Payment: 28 Days

 Day Count Conventions: ACT/360

 Holiday Calendar: Mexico

 Business Day Conventions: Modified Following



Floating Leg

 Payment/Resets: 28 Days

 Day Count Conventions: ACT/360

 Holiday Calendar: Mexico

 Business Day Conventions: Modified Following
RULE 1329. [Reserved]

RULE 1330. [Reserved]

130
131

Effective Date

Contract Size

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also

known as the start date of the swap.

As agreed by counterparties

Maturity Date

Currency

The final date on which the obligations no longer accrue and the final payment occurs.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Periodic

Settlement:

Payment and

Resets

Minimum Size

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

AUD

As agreed by counterparties

First Fixing Date

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract

The first Libor Fixing Date is T+1.

Trade Start Types

Trading

Conventions

Spot:

 A new swap where the Effective Date is T+1 from the trade date.

Non Spot

 Any date other than the effective date.

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Settlement

Procedure

Floating Rate

Index

As determined by the Clearing Venue

Trading Hours

Swap Conventions

00:01 -24:00 Sunday-Friday Eastern Time

RBACOR (Interbank Overnight Cash Rate)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Fixed Rate

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

AUD OIS SWAP [Trade Start Type] [Tenor]

Speculative Limits

Par; Custom Coupon

As set in Part 150 of the CFTC Regulations

Swap Tenor

Contract Overview

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 24

months.

As set in CFTC Regulation 15.03

Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: Australia

 Business Day Conventions: Modified Following with adjustment to period end dates



Floating Leg

 Payment/Resets : Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: Australia

 Fixing Calendar: Australia

 Business Day Conventions: Modified Following with adjustment to period end

dates
RULE 1332. [Reserved]

132
133

Effective Date

Contract Size

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also

known as the start date of the swap.

As agreed by counterparties

Maturity Date

Currency

The final date on which the obligations no longer accrue and the final payment occurs.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Periodic

Settlement:

Payment and

Resets

Minimum Size

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

GBP

As agreed by counterparties

First Fixing Date

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract

The first Libor Fixing Date is equal to the trade date.

Trade Start Types

Trading

Conventions

Spot:

 A new swap where the Effective Date is T+0 from the trade date.

Non Spot

 Any date other than the effective date.

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Settlement

Procedure

Floating Rate

Index

As determined by the Clearing Venue

Trading Hours

Swap Conventions

00:01 -24:00 Sunday-Friday Eastern Time

SONIA

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Fixed Rate

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

GBP SWAP vs SON [tenor]

Speculative Limits

Par; Custom coupon; the then-current rates for Market Agreed Coupon (“MAC”)

As set in Part 150 of the CFTC Regulations

Swap Tenor

Contract Overview

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 5 days to up to 50

years.

As set in CFTC Regulation 15.03

Fixed Leg

 Payment: Quarterly, Annual, Semi-Annual

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendar: London

 Business Day Conventions: Modified Following with adjustment to period end dates



Floating Leg

 Payment/Resets : Quarterly, Annual, Semi-Annual

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendar: London

 Fixing Calendar: London

 Business Day Conventions: Modified Following with adjustment to period end dates
134

A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and receive

the floating leg.

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the fixed leg

and pay the floating leg.

LIBOR (3M)

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract

Option Strike Price Fixed coupon of the underlying swap

Ticker

Tenor of Underlying

Swap

Option Expiry Date As agreed by the parties

Any

IRS USD [Underlying Tenor] [Strike] [Expiry Date]

Option Settlement

Type

Cash or a delivery of a cleared swap

Currency

Exercise method The owner of the option must notify the writer of the option of the owner’s intent to exercise the option during

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery).

Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the exercise by

physical delivery, the counterparties must submit the Swap for clearing to the Clearing House.

USD

Contract Overview

Trading Hours and

Venue

00:01 - 24:00 Sunday-Friday; Eastern Time

Underlying Swap

Quoting Convention

and

Minimum Increment

Clearing House for the

underlying Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet Ltd. or

Bilateral

As agreed by counterparties

USD LIBOR Fixed-to-Floating Swap Contract

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Minimum Size

Speculative Limits Same as for the underlying Swap

As agreed by counterparties

Reportable Levels Same as for the underlying Swap

Index of Underlying

Swap

Trading Conventions
135600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

NOK

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract

First Fixing Date The first NIBOR Fixing Date is two Norwegian business days prior to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

NIBOR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

NOK SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

6 months

Reportable Levels

Fixed Leg

o Payment: Annual

o Day Count Conventions: 30/360

o Holiday Calendar: Norway

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/ Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Norway

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
136600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

DKK

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract

First Fixing Date The first CIBOR Fixing Date is two Danish business days prior to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

CIBOR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

DKK SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

6 months

Reportable Levels

Fixed Leg

o Payment: Annual

o Day Count Conventions: 30/360

o Holiday Calendar: Denmark

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Denmark

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
137600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

HKD

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract

First Fixing Date The first HIBOR Fixing Date is equal to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

HIBOR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

HKD SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

3 months

Reportable Levels

Fixed Leg

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Hong Kong

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/ Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Hong Kong

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
138600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

PLN

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract

First Fixing Date The first WIBOR Fixing Date is two Polish business days prior to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

WIBOR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

PLN SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

6 months

Reportable Levels

Fixed Leg

o Payment: Annual

o Day Count Conventions: ACT/ACT

o Holiday Calendar: Poland

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Poland

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
139600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

ZAR

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract

First Fixing Date The first JIBAR Fixing Date is equal to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

JIBAR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

ZAR SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

3 months

Reportable Levels

Fixed Leg

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: South Africa

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: South Africa

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
RULE 1340. [Reserved]

140600746302
141600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

HUF

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract

First Fixing Date The first BUBOR Fixing Date is two Hungarian business days prior to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

BUBOR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

HUF SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

6 months

Reportable Levels

Fixed Leg

o Payment: Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Hungary

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Hungary

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
142600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

KRW

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating

Swap Contract

First Fixing Date The first South Korean Won 3 Month Certificate of Deposit Fixing Date is one South Korean business day

prior to the Effective Date.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

South Korean Won 3 Month Certificate of Deposit

Trading Hours

As agreed by the counterparties

00:01 -24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

KRW SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

3 months

Reportable Levels

Fixed Leg

 Payment: Quarterly

 Day Count Conventions: ACT/365

 Holiday Calendar: South Korea

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Quarterly/Quarterly

 Day Count Conventions: ACT/365

 Holiday Calendar: South Korea

 Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
143600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

CZK

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract

First Fixing Date The first PRIBOR Fixing Date is two Czech business days prior to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

PRIBOR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

CZK SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

6 months

Reportable Levels

Fixed Leg

o Payment: Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Czech Republic

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/ Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Czech Republic

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
144600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

CLP

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract

First Fixing Date The first Indice Cámara Promedio Rate Fixing Date is equal to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

Indice Cámara Promedio Rate

Trading Hours

As agreed by the counterparties

00:01 -24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

CLP SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

1 day

Reportable Levels

Fixed Leg

o Payment: Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Chile

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Chile

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
145600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

MYR

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract

First Fixing Date The first KLIBOR Fixing Date is equal to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

KLIBOR

Trading Hours

As agreed by the counterparties

00:01 -24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

MYR SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

3 months

Reportable Levels

Fixed Leg

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Malaysia

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Malaysia

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
146600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

TWD

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract

First Fixing Date The first TAIBOR Fixing Date is two Taiwan business days prior to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

TAIBOR

Trading Hours

As agreed by the counterparties

00:01 -24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

TWD SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

3 months

Reportable Levels

Fixed Leg

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Taiwan

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Taiwan

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
147600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

INR

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract

First Fixing Date The first FBIL Overnight MIBOR Fixing Date is equal to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

FBIL Overnight MIBOR

Trading Hours

As agreed by the counterparties

00:01 -24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

INR SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

1 day

Reportable Levels

Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: India

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Annual/Daily

 Day Count Conventions: ACT/365

 Holiday Calendar: India

 Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
148600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

BRL

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon Fixed-to-Floating

Swap Contract

First Fixing Date The first Brazilian Interfinancial Offered Rate Fixing Date is equal to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

Brazilian Interfinancial Offered Rate (DI Rate)

Trading Hours

As agreed by the counterparties

00:01 -24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

BRL SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

1 day

Reportable Levels

Fixed Leg

 Payment: At Maturity

 Day Count Conventions: DU/252

 Holiday Calendar: Brazil

 Business Day Conventions: Following

Floating Leg

 Payment/Resets: At maturity/daily

 Day Count Conventions: DU/252

 Holiday Calendar: Brazil

 Business Day Conventions: Following

As set forth in CFTC Regulation 15.03

Contract Overview
149600746302

Contract Multiplier The contract multiplier for each Contract is $1000 of Normal Vega. Normal Vega is Vega when assuming returns in

interest rates follow a normal distribution.

Vega is the price sensitivity of an instrument to changes to volatility of the underlying asset.

Contract Overview

Index

Contract Value Price * Contract Multiplier

YLDVUS

The Contract is a cash-settled, uncleared swap contract allowing the counterparties to buy or sell YLDVUS Index at a

specified price on a future date. Under the Contract, one counterparty agrees to buy or sell the Contract at a

pre-determined price for a particular tenor and the other counterparty agrees to take the opposite position.

Contract Maturities 12 active monthly contracts

[Reserved]USD YLDVOL Forward Swap Contract

Settlement Currency

Contract Expiration The third Wednesday of the Contract named calendar month of delivery, unless that day falls on a U.S. public holiday,

in which case the Expiration Date will be the preceding trading day, or as otherwise specified by BSEF.

USD

Termination of Trading 8:00 pm New York time on the New York business day immediately preceding the third Wednesday of the Contract’s

named month of delivery.

Ticker

Quoting Convention and

Minimum Increment

Settlement Price The Settlement Price will be determined based on firm bids and offers from the Auction held by BSEF on the

Expiration Date for a spot month Contract, as described in Chapter 5A of the BSEF Rulebook. The Settlement Price

will be determined based upon the Auction Price calculated using the following hierarchy:

Auction Price Calculation

A. If there is no overlap between bids and offers participating in the Auction, then the Auction Price will be an

arithmetic average of the highest four bids and lowest four offers. If there are less than four bids and offers, the

Auction price will be an arithmetic average of all bids and offers;

B. If there is an overlap between bids and offers participating in the Auction, then: 

1. Consider all eligible prices (i.e., integer increments) from the range of traded prices as matched on the

Auction, including intermediate price levels where no trade took place. This ensures that the Auction Price

falls within the range of traded prices at the conclusion of the Auction.

2. The Auction Price is set where the maximum volume of eligible orders will trade. If there is more than one

such price, principle 3 is applied to this select range of prices.

3. The Auction Price is set where order imbalances (i.e., surplus volumes) are minimized. These are buying

or selling volumes that will not be matched (i.e., leftovers) at a particular price. If there is more than one

such price (where match volume is maximized AND order imbalance is minimized), consider principle 4.

4. Look at the direction (buy or sell) of the order imbalances. 

a. If there are both buy and sell surplus volumes, the Settlement Price is set to be the average of

the two prices where buy and sell surplus volumes switch. 

b. If all are excess buy (sell) volumes, use the highest (lowest) of these select price levels as the

Settlement Price. 

c. If there are prices where both buy and sell imbalances are zero, the Settlement Price is set to be

the average (or mid-point) of these prices.

YLDVOL Settlement Price Calculation

Once the Auction is concluded, the Settlement Price will be calculated using the following formula:

Where: 

 is the year fraction from calculation date to the YLDVOL Swaption Straddle expiration date according to

ISDA ACT/360 day count convention.

 F is the Auction Price. 

 is the discount factor from the Spot Date to the Effective Date, where:

Prices to be expressed in points to two decimal places.

1 point = $1000

The minimum price change (tick) is .01 or $10.

USD Forward v YLDVUS MM/DDDD where MM/DDDD is the maturity date of the forward
600746302

“Made Available to

Trade” Determination

Settlement Procedure

None

Cash-settled

At Maturity:

Number of Contracts * Settlement Price * Multiplier = Cash Settlement Value

Intra-Period:

Index Points * Number of Contracts * Multiplier

(Index Points is the difference in value of where the YLDVUS Contract was bought / sold in the market)

Mandatory Clearing

Determination

None

Clearing House

Termination of Trading

None

Settlement Date

6:59 p.m. EST on the Business Day prior to the Expiration Date.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

3rd Friday of the Contract month

Speculative Limits

Trading Hours

As set forth in Part 150 of the CFTC Regulations

00:01-24:00 EST, from Sunday-Friday

Reportable Levels As set forth in CFTC Regulation 15.03

o Spot Date is the day that is two business days after calculation date.

o Effective Date is the effective date of the underlying swap and is set two business days after the

Expiration Date. 

 is the year fraction from the i

th period accrual start date of the underlying swap to the ith period accrual end

date of the underlying swap according to ISDA ACT/360 day count convention. 

 is the discount factor from calculation date to the i

th period payment date of the underlying

swap.

Fallback Settlement Price Determination:

If no Settlement Price can be calculated due to a Failed Auction, then Settlement Price shall be calculated in accordance

with the following fallback rules:

i. using an average of three (3) randomly selected snapshots taken of the levels of YLDVUS Index in the

thirty-minute period prior to the Auction; 

ii. if the process described in the preceding subsection (i) does not produce a Settlement Price, then the

YLDVUS Index’s prior business day’s end-of-day level (using the calculation calendar for the option

described in a contract listed in Rule 1318.B to determine the prior business day) shall be used; and 

iii. if the end-of-day level of YLDVUS Index for the prior business day is not available, the previous month’s

Settlement Price shall be used to the extent a prior month’s Settlement Price is available.

Settlement Price Publication

The Settlement Price will be published by BSEF on

https://www.bloomberg.com/professional/product/swap-execution-facility/. The Settlement Price based on the

Auction Price will be published at 10 a.m. EST, and the Settlement Price based on the fallback Settlement Price

Determinations will be published at 10:15 a.m. EST
600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

CNY

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1349. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract

First Fixing Date The first China Fixing Repo (7D) Rate Fixing Date is one business day prior to the Effective Date of the

swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

China Fixing Repo (7D) Rate

Trading Hours

As agreed by the counterparties

00:01 -24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

CNY SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

7 days

Reportable Levels

Fixed Leg

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: China Interbank

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: China Interbank

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up

to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

NZD

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1350. NZD BKBM Fixed-to-Floating Swap Contract

First Fixing Date The first BKBM Fixing Date is equal to the trade date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

Bank Bill Benchmark Rate (BKBM)

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

NZD [Tenor] Swap

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

3 months

Reportable Levels

Fixed Leg

 Payment: Monthly, Quarterly, Semi-Annual, Annual, At Maturity

 Day Count Conventions: ACT/365.FIXED or as agreed by the counterparties.

 Holiday Calendars: Auckland, Wellington

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets : Quarterly

 Day Count Conventions: ACT/365.FIXED, or as agreed by the counterparties

 Holiday Calendars: Auckland, Wellington

 Business Day Conventions: Modified Following with adjustment to period end dates

As set forth in CFTC Regulation 15.03

Contract Overview
600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up

to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

CHF

Periodic Settlement

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1351. CHF SARON Fixed-to-Floating Swap Contract

First Fixing Date The first SARON Fixing Date is equal to the effective date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

Swiss Average Rate Overnight

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

CHF SWAP OIS [Tenor]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

1 day

Reportable Levels

Fixed Leg

 Payment: Annual, at Maturity

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendar: Switzerland

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets: Annual, at Maturity

 Day Count Conventions: ACT/360 or as agreed by the counterparties

 Holiday Calendar: Switzerland

 Business Day Conventions: Modified Following with adjustment to period end dates

As set forth in CFTC Regulation 15.03

Contract Overview
600746302

EUR Swap (ESTR) [Tenor]

Effective Date

Par; Custom coupon; the then-current rates for Market Agreed Coupon (“MAC”)

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Contract Overview

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Contract Size

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Currency

First Fixing Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The first €STR Fixing Date is equal to the effective date of the swap.

Minimum Size

EUR

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

RULE 1352. EUR €STR Fixed-to-Floating Swap Contract

Settlement Procedure As determined by the Clearing House

Trading Conventions

Trading Hours

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

00:01 -24:00 Sunday-Friday (Eastern Time)

Floating Rate Index

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Swap Conventions

€STR

Block Size

Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets: Daily, Annual

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Holiday Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Ticker

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up to

70 years.

As set forth in CFTC Regulation 15.03

Fixed Rate
155600746302

JPY OIS SWAP [Tenor]

Effective Date

Par, Custom Coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Contract Overview

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Contract Size

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Currency

First Fixing Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The first TONAR Fixing Date is equal to the effective date of the swap.

Minimum Size

JPY

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

RULE 1353. JPY OIS TONAR Fixed-to-Floating Swap Contract

Settlement Procedure As determined by the Clearing House

Trading Conventions

Trading Hours

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

00:01 -24:00 Sunday-Friday (Eastern Time)

Floating Rate Index

Clearing Venue Japan Securities Clearing Corporation, LCH.Clearnet Ltd.; Chicago Mercantile Exchange, Inc.; Eurex Clearing

Aktiengesellschaft or Bilateral

Swap Conventions

TONAR

Block Size

Fixed Leg

 Payment: Annual, Semi-Annual, Quarterly

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendars: Tokyo

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets: Annual, Semi-Annual, Quarterly

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 Holiday Calendars: Tokyo

 Business Day Conventions: Modified Following with adjustment to period end dates

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Ticker

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up to

50 years.

As set forth in CFTC Regulation 15.03

Fixed Rate
156600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

SGD

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1354. SGD SOR Fixed-to-Floating Swap Contract

First Fixing Date The first SOR Fixing Date is two Singapore business days prior to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

SOR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

SGD SWAP vs [Floating Index Maturity]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

6 months

Reportable Levels

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
157600746302

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 50 years.

Contract Overview

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Quoting Convention and

Minimum Increment

Maturity Date

As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Currency

Periodic Settlement:

Payment and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Contract Size

SGD

First Fixing Date

As agreed by the counterparties

The first SORA Fixing Date is equal to the Effective Date of the swap

RULE 1355. OIS SORA Fixed-to-Floating Swap Contract

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

As determined by the Clearing House or an agreement between the counterparties

Floating Rate Index

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Trading Conventions

SORA

Clearing House

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

LCH.Clearnet Ltd. or Bilateral

Ticker

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Swap Conventions

Speculative Limits

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

As set forth in Part 150 of the CFTC Regulations

Fixed Rate

Reportable Levels

SGD SWAP vs SORA [Floating Index Maturity]

As set forth in CFTC Regulation 15.03

Swap Tenor

Par; custom coupon
158600746302

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 50 years.

Contract Overview

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Quoting Convention and

Minimum Increment

Maturity Date

As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Currency

Periodic Settlement:

Payment and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Contract Size

CAD

First Fixing Date

As agreed by the counterparties

The first CORRA Fixing Date is equal to the Effective Date of the swap

RULE 1356. CAD OIS CORRA Fixed-to-Floating Swap Contract

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

As determined by the Clearing House or an agreement between the counterparties

Floating Rate Index

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Trading Conventions

CORRA

Clearing House

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Chicago Mercantile Exchange, Inc.,LCH.Clearnet Ltd. or Bilateral

Ticker

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Swap Conventions

Speculative Limits

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Canada

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Canada

o Business Day Conventions: Modified Following

As set forth in Part 150 of the CFTC Regulations

Fixed Rate

Reportable Levels

CAD SWAP vs CORRA [Floating Index Maturity]

As set forth in CFTC Regulation 15.03

Swap Tenor

Par; custom coupon
159600746302

USD [ZC Inflation] Swap vs CPURNSA [Tenor]

USD [ZC Inflation] Swap vs CPURNSA [Maturity Date]

Effective Date

Par Coupon, Custom Coupon

The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the

start date of the swap).

Contract Overview

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Contract Size

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency,

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency,

Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Currency

First Fixing Date

An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional

principal amount and the other party pays a floating rate linked to an inflation index.

The first CPURNSA Fixing Date is observed 3 months prior to the effective date of the swap.

Minimum Size

USD

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is 2 business days after trade date.

Non-Spot: Any swap with an Effective Date different to the Effective Date of a Spot Swap.

RULE 1357. USD U.S. CPI Urban Consumers Not Seasonably Adjusted Fixed-to-Floating

(Inflation Zero Coupon) Swap Contract

Settlement Procedure As determined by the Clearing House

Trading Conventions

Trading Hours

Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating

00:01-24:00 Sunday-Friday (Eastern Time)

Floating Rate Index

Clearing Venue LCH.Clearnet Ltd or Bilateral

Swap Conventions

U.S. CPI Urban Consumers Not Seasonably Adjusted (CPURNSA)

Block Size

Fixed Leg

 Payment: At maturity

 Compounding: Annual

 Day Count Conventions: 1/1

 Holiday Calendars: Federal Reserve, England

 Business Day Conventions: Modified Following with adjustment to period end dates

Inflation Leg

 Payment/Resets: At maturity/At maturity

 Day Count Conventions: 1/1

 Holiday Calendars: Federal Reserve, England

 Business Day Conventions: Modified Following with adjustment to period end dates

As set forth in Appendix F to Part 43 of CFTC Regulations.

Ticker

Speculative Limits As set forth in Part 150 of CFTC Regulations

Swap Tenor

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to

30 years.

As set forth in CFTC Regulation 15.03

Fixed Rate
160600746302

EUR ZC Inflation Swap vs CPTFEMU [tenor]

EUR ZC Inflation Swap vs CPTFEMU [maturity date]

Effective Date

Par Coupon, Custom Coupon

The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the

start date of the swap).

Contract Overview

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Contract Size

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency,

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency,

Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Currency

First Fixing Date

An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional

principal amount and the other party pays a floating rate linked to an inflation index.

The first HICP-EXCL Fixing Date is observed 3 months prior to the effective date of the swap.

Minimum Size

EUR

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

RULE 1358. EUR Eurostat Eurozone Harmonized Index of Consumer Prices Excluding

Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap Contract

Settlement Procedure As determined by the Clearing House

Trading Conventions

Trading Hours

Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating

00:01-24:00 Sunday-Friday (Eastern Time)

Floating Rate Index

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Swap Conventions

Harmonized Index of Consumer Prices Excluding Tobacco (HICP-EXCL)

Block Size

Fixed Leg

Payment: At maturity

Compounding: Annual

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

Payment: At maturity

Resets: 3 Months before Effective Date and 3 Months before Maturity Date

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates.

As set forth in Appendix F to Part 43 of CFTC Regulations.

Ticker

Speculative Limits As set forth in Part 150 of CFTC Regulations

Swap Tenor

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to

50 years.

As set forth in CFTC Regulation 15.03

Fixed Rate
161600746302

GBP ZC Inflation Swap vs UKRPI [tenor]

GBP ZC Inflation Swap vs UKRPI [maturity date]

Effective Date

Par Coupon, Custom Coupon

The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the

start date of the swap).

Contract Overview

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Contract Size

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency,

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency,

Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Currency

First Fixing Date

An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional

principal amount and the other party pays a floating rate linked to an inflation index.

The first UK RPI Fixing Date is observed 2 months prior to the effective date of the swap.

Minimum Size

GBP

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

RULE 1359. GBP UK Retail Prices Index Fixed-to-Floating (Inflation Zero Coupon) Swap

Contract

Settlement Procedure As determined by the Clearing House

Trading Conventions

Trading Hours

Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating

00:01 -24:00 Sunday-Friday (Eastern Time)

Floating Rate Index

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Swap Conventions

United Kingdom Retail Prices Index (UK RPI)

Block Size

Fixed Leg

Payment: At maturity

Compounding: Annual

Day Count Conventions: 1/1

Holiday Calendar: England

Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

Payment: At Maturity

Resets: 2 Months before Effective Date and 2 Months before Maturity Date

Day Count Conventions: 1/1

Holiday Calendar: England

Business Day Conventions: Modified Following with adjustment to period end dates.

As set forth in Appendix F to Part 43 of CFTC Regulations.

Ticker

Speculative Limits As set forth in Part 150 of CFTC Regulations

Swap Tenor

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to

50 years.

As set forth in CFTC Regulation 15.03

Fixed Rate
162600746302

EUR ZC Inflation Swap vs FRCPXTOB [tenor]

EUR ZC Inflation Swap vs FRCPXTOB [maturity date]

Effective Date

Par Coupon, Custom Coupon

The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the

start date of the swap).

Contract Overview

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Contract Size

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency,

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency,

Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Currency

First Fixing Date

An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional

principal amount and the other party pays a floating rate linked to an inflation index.

The first CPI-Excl Fixing Date is observed 3 months prior to the effective date of the swap.

Minimum Size

EUR

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

RULE 1360. EUR France Inflation Consumer Price Index Excluding Tobacco

Fixed-to-Floating (Inflation Zero Coupon) Swap Contract

Settlement Procedure As determined by the Clearing House

Trading Conventions

Trading Hours

Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating

00:01 -24:00 Sunday-Friday (Eastern Time)

Floating Rate Index

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Swap Conventions

France Consumer Price Index Excluding Tobacco (CPI-Excl)

Block Size

Fixed Leg

Payment: At maturity

Compounding: Annual

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

Payment: At Maturity

Resets: 3 Months before Effective Date and 3 Months before Maturity Date

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates.

As set forth in Appendix F to Part 43 of CFTC Regulations.

Ticker

Speculative Limits As set forth in Part 150 of CFTC Regulations

Swap Tenor

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to

30 years.

As set forth in CFTC Regulation 15.03

Fixed Rate
163600746302

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 50 years.

Contract Overview

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Quoting Convention and

Minimum Increment

Maturity Date

As agreed by the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Currency

Periodic Settlement:

Payment and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Contract Size

COP

First Fixing Date

As agreed by the counterparties

The first IBR Fixing Date is equal to the Effective Date of the swap

RULE 1361. Colombian Peso Indicador Bancario Referencia Overnight Fixed-to-Floating

Swap Contract

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Minimum Size

Settlement Procedure

As agreed by the counterparties

As determined by the Clearing House or an agreement between the counterparties

Floating Rate Index

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Trading Conventions

IBR Overnight (Indicador Bancario de Referencia)

Clearing House

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Chicago Mercantile Exchange, Inc, LCH.Clearnet Ltd. or Bilateral

Ticker

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Swap Conventions

Speculative Limits

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/360 or as agreed by the counterparties

o Holiday Calendar: Bogota, New York

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/360 or as agreed by the counterparties

o Holiday Calendar: Bogota, New York

o Business Day Conventions: Modified Following

As set forth in Part 150 of the CFTC Regulations

Fixed Rate

Reportable Levels

COP Swap NDOIS [Tenor]

As set forth in CFTC Regulation 15.03

Swap Tenor

Par; custom coupon
164600746302

ILS Swap VS [Floating Leg Index Tenor] [Swap Tenor]

Effective Date

Par, Custom Coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Contract Overview

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Contract Size

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Currency

First Fixing Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

The first TELBOR Fixing Date is equal to 2 business days prior to the effective date of the swap.

Minimum Size

ILS

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

RULE 1362. ILS TELBOR Fixed-to-Floating Swap Contract

Settlement Procedure As determined by the Clearing House

Trading Conventions

Trading Hours

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

00:01 -24:00 Sunday-Friday (Eastern Time)

Floating Rate Index

Clearing Venue LCH.Clearnet Ltd or Bilateral

Swap Conventions

ILS-TELBOR01-Reuters

Block Size

Fixed Leg

Payment: Annual

Day Count Conventions: ACT/365 or as agreed by the counterparties.

Holiday Calendars: Tel Aviv

Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

Payment/Resets: Quarterly, Annual

Day Count Conventions: ACT/365, or as agreed by the counterparties

Holiday Calendars: Tel Aviv

Business Day Conventions: Modified Following with adjustment to period end dates

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Ticker

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Reportable Levels

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up

to 11 years.

As set forth in CFTC Regulation 15.03

Fixed Rate
165600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days

to up to 11 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

The final date on which the obligations no longer accrued, and the final payment occurs.

Quoting Convention and

Minimum Increment

NZD

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1363. NZD OIS Reserve Bank of New Zealand Official Daily Cash Rate

Fixed-to-Floating Swap Contract

First Fixing Date The first OCR Fixing Date is on the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

OCR (Reserve Bank of New Zealand Official Daily Cash Rate)

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

NZD SWAP vs OCR

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

1 day

Reportable Levels

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual or At Maturity

o Day Count Conventions: ACT/365

o Holiday Calendar: Auckland, Wellington

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual or At Maturity

o Day Count Conventions: ACT/365

o Holiday Calendar: Auckland, Wellington

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
166600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 50 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

The final date on which the obligations no longer accrue and the final payment occurs.

Quoting Convention and

Minimum Increment

USD

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1364. USD BSBY Fixed-to-Floating Swap Contract

First Fixing Date The first BSBY Fixing Date is two U.S. Government Securities business days prior to the Effective Date

of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

BSBY

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

USD SWAP vs [BSBY 1M]; USD SWAP vs [BSBY 3M]

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

1M, 3M

Reportable Levels

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: 30/360, ACT/360, ACT/365

o Holiday Calendar: New York

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly

o Day Count Conventions: ACT/360

o Holiday Calendar: New York

o Fixing Calendar: U.S. Government Securities

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
167600746302

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 11 years.

Fixed Rate

Effective Date

Par; custom coupon

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Currency

Maturity Date

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

The final date on which the obligations no longer accrued and the final payment occurs.

Quoting Convention and

Minimum Increment

THB

Periodic Settlement:

Payment and Resets

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

RULE 1365. THB THOR Fixed-to-Floating Swap Contract

First Fixing Date The first THOR Fixing Date is two Singapore business days prior to the Effective Date of the swap.

Contract Size

Trade Start Types

As agreed by the counterparties

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Floating Rate Index

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Minimum Size

THOR

Trading Hours

As agreed by the counterparties

00:01-24:00 Sunday-Friday (Eastern Time)

Ticker

Clearing House LCH.Clearnet Ltd. or Bilateral

Trading Conventions

Block Size

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As set forth in Appendix F to Part 43 of the CFTC Regulations

Floating Rate Index Maturity

Speculative Limits

THB NDOIS vs THOR

As set forth in Part 150 of the CFTC Regulations

Swap Conventions

1 day

Reportable Levels

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Bangkok, Thailand

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Bangkok, Thailand

o Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

Contract Overview
168600746302

Trade Date

Notional amount, as agreed by counterparties

The date on which parties enter into the contract

Reference

Currency

Settlement Date Specified settlement or payment date

Minimum Size

Non-deliverable currency

 BRL Brazilian Real

 ARS Argentine Peso

 CNY Chinese Renminbi

 IDR Indonesian Rupiah

 INR Indian Rupee

 KRW South Korean Won

 MYR Malaysian Ringgit (Please see Notice to Participants 2017-3, which is posted on BSEF’s website)

 PHP Philippine Peso

 TWD Taiwan Dollar

 VND Vietnamese đồng

 EGP Egyptian pound

 RUB Russian ruble

 KZT Kazakh tenge

 CLP Chilean Peso

 COP Colombian Peso

 PEN Peruvian nuevo sol

 UAH Ukrainian hryvnia

 NGN Nigerian naira

 GHS Ghanaian cedi

 PKR Pakistani rupee

 UGX Ugandan Shilling

 PYG Paraguay Guarani

Fixing Date

Notional amount, as agreed by counterparties

The date at which the difference between the prevailing market exchange rate and the agreed upon exchange rate is

calculated.

Contract

Overview

Settlement

Procedure

Bilateral settlement performed in settlement currency based on the exchange rate published by sources set forth in

Attachment B hereto.

Notional

Currency

Trading Hours

Currency in which contract size is expressed in

14:00 Sunday to 17:00 Friday Eastern Time

Settlement

Currency

Clearing House

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference between the

contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount.

Bilateral

Trading

Conventions

See currency list below

Block Size

Buy or Sell which refers to the contract size expressed in notional currency

As set forth in Appendix F to Part 43 of the CFTC Regulations.

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward

Speculative

Limits

As set in Part 150 of the CFTC Regulations

Forward Rate

Reportable

Levels

Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency

As set in CFTC Regulation 15.03

Quoting

Convention and

Minimum

Increment
169600746302

WAR Qatari Riyal

UAH Ukraine Hryvnia (NDF)

VUV Vanuatu Vatu

GTQ Guatemala Quetzal

BWP Botswana Pula KMF Comoros Franc

BAM Bosnia-Herze Convrt Mrka

ROL Romanian Leu

NGN Nigeria Naira (NDF)

WST Samoa (West) Tala

HUF Hungarian Forint

THO Thai Baht Onshore

BYR Belarus Ruble

NZD New Zealand Dollar

KRW South Korean Won

(NDF)

TOP Tonga Pa’Anga

RON New Romanian Leu

UDI Mexican UDI

XAF CFA Franc Beac

GBP British Pound

BZD Belize Dollar KWD Kuwaiti Dinar

BBD Barbados Dollar

RSD Serbian Dinar XCD East Caribbean Dollar

IDR Indonesian Rupiah (NDF)

AOA Angolan Kwanza

CAD Canadian Dollar

OMR Omani Rial

KYD Cayman Islands Dollar RUB Russian Ruble (NDF)

UGX Ugandan Shilling

XDR Special Drawing Rights

GYD Guyana Dollar

CDF Congolese Franc

AFN Afghanistan Afghani

KZT Kazakhstan Tenge

BDT Banglaldesh Taka

RWF Rwanda Franc

NID New Iraqi Dinar

XOF CFA Franc Bceao

ILS Israeli Shekel

MXN Mexican Peso

CHF Swiss Franc

PAD Panamanian Balboa

LAK Laos Kip

TRY Turkish Lira

SAR Saudi Riyal

USD US Dollar

XPF Pacific Island Franc

GMD Gambian Dalasi

CLF Chilean UF LBP Lebanese Pound

BGD Bulgarian Lev

SBD Solomon Is. Dollar

Currency List

XSU Sucre

INR Indian Rupee (NDF)

ARS Argentine Peso (NDF)

CLP Chilean Peso

PEN Peruvian New Sol

LKR Sri Lankan Rupee

MZM Mozambique Metical

SCR Seychelles Rupee

USDCLF Chilean Unidad SP

YER Yemeni Rial

HKD Hong Kong Dollar

CNY China Renminbi (NDF)

THB Thai Baht

LTL Lithuanian Litas

BHD Bahraini Dinar

SDD Sudanese Dinar

NIO Nicaragua Cordoba

ZAR S. African Rand

ISK Iceland Krona

TJS Tajikistan Somoni

COP Colombian Peso

PGK Papua N.G. Kina

LVL Latvian Lats

TTD Trinidad/Tobago Dol

SDG New Sudanese Pound

x10000

ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham

BIF Burundi Franc

SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

JMD Jamaica Dollar

ARS Argentine Peso

CVE Cape Verde Escudo

PHP Philippines Peso (NDF)

MDL Moldova Leu SEK Swedish Korna

UYU Uruguay Peso

ZWR Zimbabwe Dollar

HNL Honduras Lempira

CZK Czech Koruna

AMD Armenia Dram

MGA Malagascy Ariary

BMD Bermudian Dollar

SGD Singapore Dollar

NLG Dutch Guilder

JOD Jordanian Dinar

DJF Djibouti Franc

PKR Pakistani Rupee

MKD Macedonia Denar

TWD Taiwan Dollar (NDF)

SIT Slovenia Tolar

UZS Uzbekistan Sum

GNF Guinea Franc

DKK Danish Krone MMK Myanmar Kyat

BND Brunei Dollar

SKK Slovakia Koruna

AED UAE Dirham

JPY Japanese Yen

AUD Australian Dollar

DOP Dominican Repb.

PLN Polish Zloty

MNT Mongolian Togrog

MZN New Mozambique

Metical

SLL Sierra Leone Leone

VEE Venezuela Essential Rate

HRK Croatia Kuna

DZD Algerian Dinar MOP Macau Pataca

BOB Bolivian Boliviano

SOS Somali Shilling

NOK Norwegian Krone

KES Kenyan Shilling

TND Tunisian Dinar

EGP Egyptian Pound (NDF)

PTE Portuguese Escudo

MRO Mauritania Ouguiya

TZS Tanzanian Shilling

SRD Suriname Dollar

VEF Venezuelan Bolivar

GEL Georgia Lari

ERN Eritrean Nakfa MUR Mauritius Rupee

BRL Brazilian Real (NDF)

SSP South Sudanese Pound

KGS Kyrgyzstan Som

AWG Aruban Guilder

EUR Euro

PYG Paraguay Guarani

MVR Maldives Rufiyaa STD Sao Tome Dobra

VND Vietnamese Dong (NDF)

HTG Haiti Gourde

FJD Fiji Dollar

ANG Neth. Ant. Guilder

MWK Malawi Kwacha

BSD Bahamas Dollar

SVC El Salvador Colon

NPR Nepalese Rupee

KHR Cambia Riel

MYR Malaysian Ringgit (NDF)
170600746302

The EMTA ARS

Industry Survey Rate

resulting from the

EMTA ARS Industry

Survey Rate

Methodology dated as of

January 2, 2003, is

available only on a

Business Day in both

Buenos Aires and New

York City.

This rate quotation

appears on EMTA's

website,

http://www.emta.org.

EMTA ARS Indicative

Survey Rate

The EMTA ARS

Industry Survey Rate

resulting from the

EMTA ARS Industry

Survey Rate

Methodology dated as

of January 2, 2003, is

available only on a

Business Day in both

Buenos Aires and New

York City.

Brazilian Real (BRL)

Primary Fixing Source

Chinese Renminbi

(CNY)

BRL PTAX

CNY SAEC

Attachment B

Exchange Rate Sources

The CNY SAEC

(CNY01) Rate is

published at

approximately 9:15 a.m.,

Beijing time on the

Valuation Date.

This is the daily CNY

fixing price released by

China Foreign Exchange

Trading System. In the

interbank market, the

fluctuation should not

exceed +/-1% of the

average price. The price

of this index starts from

Jan 4,2006, when China

introduced OTC trading

system in interbank

currency market. For

more historical prices,

please refer to HP of

CYCFUSDP Index.

The BRL PTAX Rate is

published at

approximately 6:00 PM

São Paulo time on the

Valuation Date.

The BZFXPTAX Index

refers to the average rate

displayed by Brazil's

Central Bank under the

transaction PTAX800, in

the SISBACEN (Central

Bank System), regarding

the notation 220-USD

(moeda 220 - Dolar dos

Estados Unidos).

SFEMC CNY

Indicative Survey Rate

Description

The SFEMC CNY

Indicative Survey Rate

is determined pursuant

to the SFEMC CNY

Indicative Survey Rate

Methodology dated

December 1, 2004.

EMTA BRL Industry

Survey Rate (BRL 12)

Indonesian Rupiah

(IDR)

The EMTA BRL

Industry Survey Rate is

determined pursuant to

the EMTA BRL

Industry Survey Rate

Methodology dated

March 1, 2004.

Secondary Fixing

Source

The IDR VWAP

(IDR03) Rate is

published at

approximately 11:30

a.m., Singapore time, on

the Valuation Date.

As of 6th Aug 2013, the

Association of Banks

Singapore's (ABS) IDR

Spot FX benchmark

Argentine Peso (ARS)

SFEMC IDR Indicative

Survey Rate

Description

The SFEMC IDR

Indicative Survey Rate

is determined pursuant

to the SFEMC IDR

Indicative Survey Rate

Methodology dated

December 1, 2004.

EMTA ARS Industry

Survey Rate

Currency

IDR VWAP
171600746302

The SFEMC KRW

Indicative Survey Rate

is determined pursuant

to the SFEMC KRW

Indicative Survey Rate

Methodology dated

December 1, 2004.

Malaysian Ringgit

(MYR)

(Please see Notice to

Participants 2017-3,

which is posted on

BSEF’s website)

MYR ABS The MYR ABS

(MYR01) Rate is

published at

approximately 11:30

a.m. Singapore time on

the Valuation Date.

Published by the Central

Bank of Malaysia (Bank

Nagara)

The INR RBIB (INR01)

Rate is published at

approximately 12:30

p.m. Mumbai time on

the Valuation Date.

The Rupee Reference

Rate is the rate based on

12.00 noon dollar-rupee

rates offered by various

banks in Mumbai.

SFEMC MYR

Indicative Survey Rate

transitions from a

surveyed benchmark to a

traded benchmark. It

will be changed from a

trimmed arithmetic mean

of submissions

contributed by a panel of

banks (Contributor

Banks) to a rate based

on the Volume

Weighted Average Price

(VWAP) of actual

interbank transactions.

The SFEMC MYR

Indicative Survey Rate

is determined pursuant

to the SFEMC MYR

Indicative Survey Rate

Methodology dated July

15, 2005.

SFEMC INR Indicative

Survey Rate

Philippine Peso (PHP)

The SFEMC INR

Indicative Survey Rate

is determined pursuant

to the SFEMC INR

Indicative Survey Rate

Methodology dated

December 1, 2004.

PHP PDSPESO The PHP PDSPESO

(PHP06) Rate is

published at

approximately 11:30

a.m., Manila time, on the

Valuation Date.

Produced by the Bankers

Association of

Philippines.

The SFEMC PHP

Indicative Survey Rate

is determined pursuant

to the SFEMC PHP

Indicative Survey Rate

Methodology dated

December 1, 2004.

SFEMC PHP Indicative

Survey Rate

South Korean Won

(KRW)

Taiwan Dollar (TWD)

KRW KFTC18

TWD TAIFX1 The TWD TAIFX1 Rate

is published at

approximately 11:00

The KRW KFTC18

(KRW02) Rate is

published at

approximately 3:30 p.m.

Seoul time on the

Valuation Date.

The basic exchange rate

of the Korean won

against the US dollar is

determined as the

transaction

volume-weighted

average of the rates

applied in daily

transactions between

foreign exchange banks

brokered through Seoul

Money Brokerage

Services, Ltd.(SMBS)

and another brokerage

house, and is announced

at 3:00 pm every

business day.

SFEMC TWD

Indicative Survey Rate

Indian Rupee (INR)

The SFEMC TWD

Indicative Survey Rate

is determined pursuant

SFEMC KRW

Indicative Survey Rate

 INR RBIB
172600746302

Kazakh tenge (KZT) KZT KASE The KZT KASE Rate is

published by the

Kazakhstan Stock

Exchange Inc. at

approximately 11:00 am,

Almaty, time.

to the SFEMC TWD

Indicative Survey Rate

Methodology dated

December 1, 2004.

EMTA KZT Indicative

Survey Rate

Egyptian pound (EGP)

The EMTA KZT

Indicative Survey Rate

is determined pursuant

to the EMTA KZT

Indicative Survey

Methodology effective

March 16, 2009.

EGP FEMF

Chilean Peso (CLP) CLP DÓLAR OBS

Published by Central

Bank of Egypt Treasury.

Rates are updated only

when there are FX Spot

transactions among the

39 participating banks.

Chilean Observed Dollar

Exchange Rate (Dolar

Observado) - Chilean

Central Bank Rates are

published daily for

operations settled in the

prior business day.

EMTA CLP Indicative

Survey Rate

EMTA EGP Indicative

Survey Rate

The EMTA CLP

Indicative Survey Rate

is determined pursuant

to the EMTA CLP

Indicative Survey Rate

Methodology dated as

of August 1, 2006.

Vietnamese đồng

(VND)

The EMTA EGP

Indicative Survey Rate

is determined pursuant

to the EMTA EGP

Indicative Survey Rate

Methodology dated as

of May 24, 2010.

Colombian Peso

(COP)

COP TRM The Market

Representative

Exchange Rate (Tasa

Representativa del

Mercado) states the

daily exchange rate in

the Colombian market,

settled in the previous

business day. It

corresponds to the

arithmetic average of the

average weighed bid and

offer rates of interbank

and transfer operations,

completed by authorized

market intermediaries.

The Superintendencia

Financiera of Colombia

is obligated by law

(Article 80 of the

Exchange Regulation -

Board of Directors of

the Central Bank) to

calculate and publish the

TRM.

VND

Russian ruble (RUB) RUB CME-EMTA

Peruvian Nuevo sol

(PEN)

The Association of

Banks Singapore's

(ABS)

PEN INTERBANK

AVE

The RUB CME-EMTA

Ruble Rate is

determined pursuant to

the Chicago Mercantile

Exchange / EMTA, Inc.

Daily Russian Ruble Per

U.S. Dollar Reference

Rate Methodology

Effective June 16, 2005.

The data required to

calculate this rate are

derived from the

interbank market

transacted over ICAP

Datatec and published

by Superintendecia de

Banca Peru.

a.m. Taipei time on the

Valuation Date by

Taipei Forex Inc.

EMTA PEN Indicative

Survey Rate

EMTA RUB Indicative

Survey Rate

The EMTA PEN

Indicative Survey Rate

is determined pursuant

to the EMTA

PEN Indicative Survey

Rate Methodology

dated as of August 1,

2006

The EMTA RUB

Indicative Survey Rate

is determined pursuant

to the EMTA RUB

Indicative Survey

Methodology effective

June 16, 2005.
173600746302

Ukrainian Hryvnia

(UAH)

The EMTA UAH

Indicative Survey Rate

is determined pursuant

to the EMTA UAH

Indicative Survey

Methodology effective

March 16, 2009.

Ghanaian Cedi (GHS) GHS ICAP The GHS ICAP rate

(GHS01) is determined

by ICAP Broking

Services South Africa

(Pty) Ltd. not later than

1:00 p.m., Accra time,

based on a poll of

onshore FX dealers.

EMTA UAH Industry

Survey Rate

EMTA GHS Indicative

Survey Rate

Nigerian Naira (NGN)

The EMTA GHS

Indicative Survey Rate

is determined pursuant

to the GHS Indicative

Survey Rate

Methodology dated as

of May 9, 2012.

NGN FMDA

Pakistani Rupee (PKR)

The EMTA UAH

Industry Survey Rate is

posted on Thomson

Reuters Screen

EMTAUAHFIX Page at

approximately 11:30 am,

Kiev Time.

PKR SBPK

FMDA - Financial Mkt

The PKR SBPK Rate is

published at

approximately 2:30 pm,

Karachi time, on the

Valuation Date by State

Bank of Pakistan

SFEMC PKR Indicative

Survey Rate

EMTA NGN Indicative

Survey Rate

The SFEMC PKR

Indicative Survey Rate

is determined pursuant

to the SFEMC PKR

Indicative Survey Rate

Methodology dated as

of July 14, 2008.

EMTA UAH Indicative

Survey Rate

Bloomberg Fixing Source BFIX:

The Bloomberg FX Fixing rates (“BFIX”) are fixed and published every 30 minutes on the hour and half-hour (liquidity permitting). The BFIX

prices are created by taking a short-term Time-Weighted Average Price (TWAP) of the geometric mid-rates of Bloomberg Generic (BGN) prices

leading up to and following the fixing time.

By using a short-term TWAP to create the fixing, it ensures that BFIX rates are unsusceptible to spikes and manipulations in the market at fixing

time. The length of time used in the TWAP varies from currency to currency, and may in fact vary over time, based on the average tick arrival

frequency of the specific currency pair. By using the geometric average to calculate mid-rates, it ensures that BFIX prices are perfectly invertible

(e.g., the USDEUR fix is exactly 1 / EURUSD fix). BFIX prices are published on the BLOOMBERG TERMINAL(R) service within 15 seconds

of the fixing time.

A linear time-weighted average of quotes is used leading up to the fixing time and for a short time after the fix. For major currencies, this linear

TWAP starts eleven seconds before the fix and then decays for six seconds after the fix. For less liquid currencies, the approaching side of the

TWAP envelope might be longer than eleven seconds, depending on the quoting frequency of the specific currency pair. The decay after the fix

time is always six seconds.

BFIX rates are available on BFIX <GO> and throughout the Bloomberg terminal and API.

Bloomberg BGN Reference Price

BGN is a sophisticated pricing algorithm that produces highly accurate bid and ask quotes that are derived from hundreds of quality sources,

including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers, and trading

platforms.

The Bloomberg Generic represents Bloomberg's highest-quality FX rate source and is designed to match market-consensus executable bid/ask

rates and to be resistant to manipulation by market participants.

For each currency pair the BGN values are based on FX rates from a select subset of Bloomberg's more than 1,000 price contributors. The

specific members of the subset are chosen by an automated data quality and consistency scoring algorithm and reviewed periodically. No

contributor knows whether or not their prices are included in any BGN set of input prices. These input prices are run through Bloomberg's

proprietary blending algorithm which automatically mitigates the effect of outlier quotes and creates a market consensus bid-ask pair of prices for

each currency pair.

The EMTA NGN

Indicative Survey Rate

is determined pursuant

to the NGN Indicative

Survey Rate

Methodology dated as

of December 27, 2010.
174600746302

Premium amount expressed in premium currency

Contract

Overview

Premium

currency

Currency in which option premium is expressed in

Put Currency

Premium Date

Currency for put option

Date on which premium amount is due

Option Style

Quoting

Convention

and Minimum

Increment

A foreign-exchange option (commonly shortened to just FX option or currency option) is a derivative financial

instrument that gives the owner the right but not the obligation to exchange money denominated in one currency into

another currency at a pre-agreed exchange rate on a specified date.

Notional amount, as agreed by counterparties

Strike Price

American / European

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined point in

time.

 An American option on the other hand may be exercised at any time before the expiration date.

Minimum Size

The exchange rate agreed upon inception of the contract at which the investor can exercise an option.

Notional amount, as agreed by counterparties

RULE 1402. Foreign Exchange Contract – Vanilla FX Option

Notional

Currency

Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted on BSEF’s

website.

Expiration Date

Settlement

Procedure

Date at which option contract expires

Bilateral settlement performed in settlement currency

Option Type

Trading Hours 14:00 Sunday to 17:00 Friday Eastern Time

Expiration Time

Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Clearing House

Time at which option contract expires

Bilateral

Trade Date

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Settlement Date

Speculative

Limits

Settlement date of the option contract

As set in Part 150 of the CFTC Regulations

Call Currency

Reportable

Levels

The date on which parties enter into the contract

As set in CFTC Regulation 15.03

Premium

Currency for call option
175600746302

THO Thai Baht Onshore

VUV Vanuatu Vatu

NGN Nigeria Naira (NDF)

BWP Botswana Pula

BAM Bosnia-Herze Convrt Mrka

KMF Comoros Franc

Currency List

ROL Romanian Leu

HUF Hungarian Forint

WST Samoa (West) Tala

TOP Tonga Pa’Anga

NZD New Zealand Dollar

BYR Belarus Ruble KRW South Korean Won

(NDF)

UDI Mexican UDI

RON New Romanian Leu XAF CFA Franc Beac

MXN Mexican Peso

BZD Belize Dollar

BBD Barbados Dollar

KWD Kuwaiti Dinar

AOA Angolan Kwanza

RSD Serbian Dinar

IDR Indonesian Rupiah (NDF)

XCD East Caribbean Dollar

AFN Afghanistan Afghani

OMR Omani Rial

CAD Canadian Dollar

GYD Guyana Dollar

KYD Cayman Islands Dollar

UGX Ugandan Shilling

RUB Russian Ruble (NDF) XDR Special Drawing Rights

NID New Iraqi Dinar

CDF Congolese Franc

BDT Banglaldesh Taka

KZT Kazakhstan Tenge

GMD Gambian Dalasi

RWF Rwanda Franc

ILS Israeli Shekel

XOF CFA Franc Bceao

TRY Turkish Lira

PAD Panamanian Balboa

CHF Swiss Franc

THB Thai Baht

LAK Laos Kip

USD US Dollar

SAR Saudi Riyal XPF Pacific Island Franc

MZM Mozambique Metical

CLF Chilean UF

BGD Bulgarian Lev

LBP Lebanese Pound

ARS Argentine Peso (NDF)

SBD Solomon Is. Dollar

INR Indian Rupee (NDF)

XSU Sucre

PEN Peruvian New Sol

CLP Chilean Peso

HKD Hong Kong Dollar

LKR Sri Lankan Rupee

USDCLF Chilean Unidad SP

SCR Seychelles Rupee

TJS Tajikistan Somoni

YER Yemeni Rial

NIO Nicaragua Cordoba

CNY China Renminbi (NDF)

BHD Bahraini Dinar

LTL Lithuanian Litas SDD Sudanese Dinar

ISK Iceland Krona

ZAR S. African Rand

TTD Trinidad/Tobago Dol

PGK Papua N.G. Kina

COP Colombian Peso LVL Latvian Lats

x10000

SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon

BIF Burundi Franc

MAD Moroccan Dirham

ARS Argentine Peso

SDP Old Sudanese Pound

JMD Jamaica Dollar

ZMW Zambia Kwacha (NDF)

AMD Armenia Dram

PHP Philippines Peso (NDF)

CVE Cape Verde Escudo

HNL Honduras Lempira

MDL Moldova Leu

UYU Uruguay Peso

SEK Swedish Korna

AED UAE Dirham

ZWR Zimbabwe Dollar

NLG Dutch Guilder

CZK Czech Koruna

BMD Bermudian Dollar

MGA Malagascy Ariary

GNF Guinea Franc

SGD Singapore Dollar

JOD Jordanian Dinar

TWD Taiwan Dollar (NDF)

PKR Pakistani Rupee

DJF Djibouti Franc MKD Macedonia Denar

UZS Uzbekistan Sum

SIT Slovenia Tolar

MZN New Mozambique

Metical

DKK Danish Krone

BND Brunei Dollar

MMK Myanmar Kyat

AUD Australian Dollar

SKK Slovakia Koruna

JPY Japanese Yen

GEL Georgia Lari

PLN Polish Zloty

DOP Dominican Repb.

HRK Croatia Kuna

MNT Mongolian Togrog

VEE Venezuela Essential Rate

SLL Sierra Leone Leone

TND Tunisian Dinar

NOK Norwegian Krone

DZD Algerian Dinar

BOB Bolivian Boliviano

MOP Macau Pataca SOS Somali Shilling

KES Kenyan Shilling

TZS Tanzanian Shilling

PTE Portuguese Escudo

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya

VEF Venezuelan Bolivar

SRD Suriname Dollar

MYR Malaysian Ringgit (NDF)

ERN Eritrean Nakfa

BRL Brazilian Real (NDF)

MUR Mauritius Rupee

AWG Aruban Guilder

SSP South Sudanese Pound

KGS Kyrgyzstan Som

ANG Neth. Ant. Guilder

PYG Paraguay Guarani

EUR Euro

HTG Haiti Gourde

MVR Maldives Rufiyaa

VND Vietnamese Dong (NDF)

STD Sao Tome Dobra

GBP British Pound

NPR Nepalese Rupee

FJD Fiji Dollar

BSD Bahamas Dollar

MWK Malawi Kwacha

GTQ Guatemala Quetzal

SVC El Salvador Colon

KHR Cambia Riel

UAH Ukraine Hryvnia (NDF)

WAR Qatari Riyal
176600746302

Expiration Time

Currency for put option

Time at which option contract expires (cut off time)

Option Style

Settlement Date

An exotic foreign-exchange option is an option which has more than one trigger relating to the determination of

the payoff.

Settlement date of the option contract

Strike Price

American / European

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined

point in time.

 An American option on the other hand may be exercised at any time before the expiration date.

Premium

The currency exchange rate at which the investor can exercise an option.

Premium amount expressed in premium currency

RULE 1403. Foreign Exchange Contract – Exotic FX Option

Premium currency Currency in which option premium is expressed in

Expiration Date

Premium Date

Date at which option contract expires

Date on which premium amount is due

Option Type

Quoting Convention

and Minimum

Increment

Notional amount, as agreed by counterparties

Barrier Low

Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Notional Currency

Pre-set low barrier level either springs the option into existence or extinguishes an already existing option.

Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted on

BSEF’s website.

Trade Date

Settlement Procedure Bilateral settlement performed in settlement currency

Barrier High

Trading Hours

Pre-set high barrier level either springs the option into existence or extinguishes an already existing option.

14:00 Sunday to 17:00 Friday Eastern Time

Call Currency

Clearing House

The date on which parties enter into the contract

Bilateral

Barrier Style

Currency for call option

Block Size

American / European

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Contract Overview

Speculative Limits As set in Part 150 of the CFTC Regulations

Barrier Direction

Reportable Levels

The four types of barrier options are:

 Up-and-out: spot price starts below the barrier level and has to move up for the option to be knocked out.

 Down-and-out: spot price starts above the barrier level and has to move down for the option to become

null and void.

 Up-and-in: spot price starts below the barrier level and has to move up for the option to become activated.

 Down-and-in: spot price starts above the barrier level and has to move down for the option to become

activated.

As set in CFTC Regulation 15.03

Put Currency
177600746302

WAR Qatari Riyal

UAH Ukraine Hryvnia (NDF)

VUV Vanuatu Vatu

GTQ Guatemala Quetzal

BWP Botswana Pula KMF Comoros Franc

BAM Bosnia-Herze Convrt Mrka

ROL Romanian Leu

NGN Nigeria Naira (NDF)

WST Samoa (West) Tala

HUF Hungarian Forint

THO Thai Baht Onshore

BYR Belarus Ruble

NZD New Zealand Dollar

KRW South Korean Won

(NDF)

TOP Tonga Pa’Anga

RON New Romanian Leu

UDI Mexican UDI

XAF CFA Franc Beac

GBP British Pound

BZD Belize Dollar KWD Kuwaiti Dinar

BBD Barbados Dollar

RSD Serbian Dinar XCD East Caribbean Dollar

IDR Indonesian Rupiah (NDF)

AOA Angolan Kwanza

CAD Canadian Dollar

OMR Omani Rial

KYD Cayman Islands Dollar RUB Russian Ruble (NDF)

UGX Ugandan Shilling

XDR Special Drawing Rights

GYD Guyana Dollar

CDF Congolese Franc

AFN Afghanistan Afghani

KZT Kazakhstan Tenge

BDT Banglaldesh Taka

RWF Rwanda Franc

NID New Iraqi Dinar

XOF CFA Franc Bceao

ILS Israeli Shekel

MXN Mexican Peso

CHF Swiss Franc

PAD Panamanian Balboa

LAK Laos Kip

TRY Turkish Lira

SAR Saudi Riyal

USD US Dollar

XPF Pacific Island Franc

GMD Gambian Dalasi

CLF Chilean UF LBP Lebanese Pound

BGD Bulgarian Lev

SBD Solomon Is. Dollar

Currency List

XSU Sucre

INR Indian Rupee (NDF)

ARS Argentine Peso (NDF)

CLP Chilean Peso

PEN Peruvian New Sol

LKR Sri Lankan Rupee

MZM Mozambique Metical

SCR Seychelles Rupee

USDCLF Chilean Unidad SP

YER Yemeni Rial

HKD Hong Kong Dollar

CNY China Renminbi (NDF)

THB Thai Baht

LTL Lithuanian Litas

BHD Bahraini Dinar

SDD Sudanese Dinar

NIO Nicaragua Cordoba

ZAR S. African Rand

ISK Iceland Krona

TJS Tajikistan Somoni

COP Colombian Peso

PGK Papua N.G. Kina

LVL Latvian Lats

TTD Trinidad/Tobago Dol

SDG New Sudanese Pound

x10000

ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham

BIF Burundi Franc

SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

JMD Jamaica Dollar

ARS Argentine Peso

CVE Cape Verde Escudo

PHP Philippines Peso (NDF)

MDL Moldova Leu SEK Swedish Korna

UYU Uruguay Peso

ZWR Zimbabwe Dollar

HNL Honduras Lempira

CZK Czech Koruna

AMD Armenia Dram

MGA Malagascy Ariary

BMD Bermudian Dollar

SGD Singapore Dollar

NLG Dutch Guilder

JOD Jordanian Dinar

DJF Djibouti Franc

PKR Pakistani Rupee

MKD Macedonia Denar

TWD Taiwan Dollar (NDF)

SIT Slovenia Tolar

UZS Uzbekistan Sum

GNF Guinea Franc

DKK Danish Krone MMK Myanmar Kyat

BND Brunei Dollar

SKK Slovakia Koruna

AED UAE Dirham

JPY Japanese Yen

AUD Australian Dollar

DOP Dominican Repb.

PLN Polish Zloty

MNT Mongolian Togrog

MZN New Mozambique

Metical

SLL Sierra Leone Leone

VEE Venezuela Essential Rate

HRK Croatia Kuna

DZD Algerian Dinar MOP Macau Pataca

BOB Bolivian Boliviano

SOS Somali Shilling

NOK Norwegian Krone

KES Kenyan Shilling

TND Tunisian Dinar

EGP Egyptian Pound (NDF)

PTE Portuguese Escudo

MRO Mauritania Ouguiya

TZS Tanzanian Shilling

SRD Suriname Dollar

VEF Venezuelan Bolivar

GEL Georgia Lari

ERN Eritrean Nakfa MUR Mauritius Rupee

BRL Brazilian Real (NDF)

SSP South Sudanese Pound

KGS Kyrgyzstan Som

AWG Aruban Guilder

EUR Euro

PYG Paraguay Guarani

MVR Maldives Rufiyaa STD Sao Tome Dobra

VND Vietnamese Dong (NDF)

HTG Haiti Gourde

FJD Fiji Dollar

ANG Neth. Ant. Guilder

MWK Malawi Kwacha

BSD Bahamas Dollar

SVC El Salvador Colon

NPR Nepalese Rupee

KHR Cambia Riel

MYR Malaysian Ringgit (NDF)
RULE 1404. [RESERVED]

178600746302
179600746302
180600746302

The date on which parties enter into the contract

Currency Pair

Settlement Date Settlement or payment date

Minimum Size

Underlying currency instrument composed of ISO currency codes (ISO 4217) of the base currency and the counter

currency, separating them with a slash character; see currency list below

Fixing Date

$1

End of observation period specified by counterparties

Contract Overview

Frequency Observation frequency specified by counterparties

Notional Currency

Settlement

Procedure

Currency in which contract size is expressed; please see Notice to Participants 2017-3, which is posted on BSEF’s

website.

Bilateral settlement performed in settlement currency based on the exchanges rate published by either Bloomberg

(BFIX) or Reuters (WM/Reuters)

Settlement Currency

Trading Hours

An average rate forward allows the buyer the ability to create a hedge rate for a future exposure by locking in

forward points and a spot rate. At some point in the future, there is an averaging period of daily spot observations to

determine an average rate which, when compared to the hedge rate, will set the payout. Unlike options, this hedge

tool is a forward contract and has no premium cost associated with it.

14:00 Sunday to 17:00 Friday Eastern Time

Trading

Conventions

See currency list below

Clearing House

Buy or Sell which refers to the contract size expressed in notional currency

Bilateral

RULE 1405. Foreign Exchange Contract – Average Rate Forward

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Forward Rate

Speculative Limits

Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency

As set forth in Part 150 of the CFTC Regulations

Quoting Convention

and Minimum

Increment

Reportable Levels As set forth in CFTC Regulation 15.03

Trade Date

Notional amount, as agreed by counterparties
181600746302

WAR Qatari Riyal

UAH Ukraine Hryvnia (NDF)

VUV Vanuatu Vatu

GTQ Guatemala Quetzal

BWP Botswana Pula KMF Comoros Franc

BAM Bosnia-Herze Convrt Mrka

ROL Romanian Leu

NGN Nigeria Naira (NDF)

WST Samoa (West) Tala

HUF Hungarian Forint

THO Thai Baht Onshore

BYR Belarus Ruble

NZD New Zealand Dollar

KRW South Korean Won

(NDF)

TOP Tonga Pa’Anga

RON New Romanian Leu

UDI Mexican UDI

XAF CFA Franc Beac

GBP British Pound

BZD Belize Dollar KWD Kuwaiti Dinar

BBD Barbados Dollar

RSD Serbian Dinar XCD East Caribbean Dollar

IDR Indonesian Rupiah (NDF)

AOA Angolan Kwanza

CAD Canadian Dollar

OMR Omani Rial

KYD Cayman Islands Dollar RUB Russian Ruble (NDF)

UGX Ugandan Shilling

XDR Special Drawing Rights

GYD Guyana Dollar

CDF Congolese Franc

AFN Afghanistan Afghani

KZT Kazakhstan Tenge

BDT Banglaldesh Taka

RWF Rwanda Franc

NID New Iraqi Dinar

XOF CFA Franc Bceao

ILS Israeli Shekel

MXN Mexican Peso

CHF Swiss Franc

PAD Panamanian Balboa

LAK Laos Kip

TRY Turkish Lira

SAR Saudi Riyal

USD US Dollar

XPF Pacific Island Franc

GMD Gambian Dalasi

CLF Chilean UF LBP Lebanese Pound

BGD Bulgarian Lev

SBD Solomon Is. Dollar

Currency List

XSU Sucre

INR Indian Rupee (NDF)

ARS Argentine Peso (NDF)

CLP Chilean Peso

PEN Peruvian New Sol

LKR Sri Lankan Rupee

MZM Mozambique Metical

SCR Seychelles Rupee

USDCLF Chilean Unidad SP

YER Yemeni Rial

HKD Hong Kong Dollar

CNY China Renminbi (NDF)

THB Thai Baht

LTL Lithuanian Litas

BHD Bahraini Dinar

SDD Sudanese Dinar

NIO Nicaragua Cordoba

ZAR S. African Rand

ISK Iceland Krona

TJS Tajikistan Somoni

COP Colombian Peso

PGK Papua N.G. Kina

LVL Latvian Lats

TTD Trinidad/Tobago Dol

SDG New Sudanese Pound

x10000

ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham

BIF Burundi Franc

SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

JMD Jamaica Dollar

ARS Argentine Peso

CVE Cape Verde Escudo

PHP Philippines Peso (NDF)

MDL Moldova Leu SEK Swedish Korna

UYU Uruguay Peso

ZWR Zimbabwe Dollar

HNL Honduras Lempira

CZK Czech Koruna

AMD Armenia Dram

MGA Malagascy Ariary

BMD Bermudian Dollar

SGD Singapore Dollar

NLG Dutch Guilder

JOD Jordanian Dinar

DJF Djibouti Franc

PKR Pakistani Rupee

MKD Macedonia Denar

TWD Taiwan Dollar (NDF)

SIT Slovenia Tolar

UZS Uzbekistan Sum

GNF Guinea Franc

DKK Danish Krone MMK Myanmar Kyat

BND Brunei Dollar

SKK Slovakia Koruna

AED UAE Dirham

JPY Japanese Yen

AUD Australian Dollar

DOP Dominican Repb.

PLN Polish Zloty

MNT Mongolian Togrog

MZN New Mozambique

Metical

SLL Sierra Leone Leone

VEE Venezuela Essential Rate

HRK Croatia Kuna

DZD Algerian Dinar MOP Macau Pataca

BOB Bolivian Boliviano

SOS Somali Shilling

NOK Norwegian Krone

KES Kenyan Shilling

TND Tunisian Dinar

EGP Egyptian Pound (NDF)

PTE Portuguese Escudo

MRO Mauritania Ouguiya

TZS Tanzanian Shilling

SRD Suriname Dollar

VEF Venezuelan Bolivar

GEL Georgia Lari

ERN Eritrean Nakfa MUR Mauritius Rupee

BRL Brazilian Real (NDF)

SSP South Sudanese Pound

KGS Kyrgyzstan Som

AWG Aruban Guilder

EUR Euro

PYG Paraguay Guarani

MVR Maldives Rufiyaa STD Sao Tome Dobra

VND Vietnamese Dong (NDF)

HTG Haiti Gourde

FJD Fiji Dollar

ANG Neth. Ant. Guilder

MWK Malawi Kwacha

BSD Bahamas Dollar

SVC El Salvador Colon

NPR Nepalese Rupee

KHR Cambia Riel

MYR Malaysian Ringgit (NDF)
182600746302

Trade Date

Notional amount, as agreed by counterparties

The date on which parties enter into the contract

Reference Currency (i.e.,

Non-Deliverable Currency)

Settlement Date Specified settlement or payment date, as agreed by counterparties

Minimum Size

ARS Argentine Peso

Fixing Date

Notional amount, as agreed by counterparties

The date at which the difference between the prevailing market exchange rate and the agreed upon exchange

rate is calculated.

Contract Overview

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA ARS Industry Survey Rate /

EMTA ARS Indicative Survey Rate (secondary); BFIX or BGN.

Notional Currency

Trading Hours

Currency in which contract size is expressed in, as agreed by counterparties

14:00 Sunday to 17:00 Friday Eastern Time

Settlement Currency

Clearing House

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount.

Bilateral

Trading Conventions

See currency list below

Block Size

Buy or Sell, which refers to the contract size expressed in notional currency

As set forth in Appendix F to Part 43 of the CFTC Regulations.

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward

Speculative Limits As set in Part 150 of the CFTC Regulations

Forward Rate

Reportable Levels

Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement Currency

As set in CFTC Regulation 15.03

Quoting Convention and

Minimum Increment
183600746302

WAR Qatari Riyal

UAH Ukraine Hryvnia (NDF)

VUV Vanuatu Vatu

GTQ Guatemala Quetzal

BWP Botswana Pula KMF Comoros Franc

BAM Bosnia-Herze Convrt Mrka

ROL Romanian Leu

NGN Nigeria Naira (NDF)

WST Samoa (West) Tala

HUF Hungarian Forint

THO Thai Baht Onshore

BYR Belarus Ruble

NZD New Zealand Dollar

KRW South Korean Won

(NDF)

TOP Tonga Pa’Anga

RON New Romanian Leu

UDI Mexican UDI

XAF CFA Franc Beac

GBP British Pound

BZD Belize Dollar KWD Kuwaiti Dinar

BBD Barbados Dollar

RSD Serbian Dinar XCD East Caribbean Dollar

IDR Indonesian Rupiah (NDF)

AOA Angolan Kwanza

CAD Canadian Dollar

OMR Omani Rial

KYD Cayman Islands Dollar RUB Russian Ruble (NDF)

UGX Ugandan Shilling

XDR Special Drawing Rights

GYD Guyana Dollar

CDF Congolese Franc

AFN Afghanistan Afghani

KZT Kazakhstan Tenge

BDT Banglaldesh Taka

RWF Rwanda Franc

NID New Iraqi Dinar

XOF CFA Franc Bceao

ILS Israeli Shekel

MXN Mexican Peso

CHF Swiss Franc

PAD Panamanian Balboa

LAK Laos Kip

TRY Turkish Lira

SAR Saudi Riyal

USD US Dollar

XPF Pacific Island Franc

GMD Gambian Dalasi

CLF Chilean UF LBP Lebanese Pound

BGD Bulgarian Lev

SBD Solomon Is. Dollar

Currency List

XSU Sucre

INR Indian Rupee (NDF)

ARS Argentine Peso (NDF)

CLP Chilean Peso

PEN Peruvian New Sol

LKR Sri Lankan Rupee

MZM Mozambique Metical

SCR Seychelles Rupee

USDCLF Chilean Unidad SP

YER Yemeni Rial

HKD Hong Kong Dollar

CNY China Renminbi (NDF)

THB Thai Baht

LTL Lithuanian Litas

BHD Bahraini Dinar

SDD Sudanese Dinar

NIO Nicaragua Cordoba

ZAR S. African Rand

ISK Iceland Krona

TJS Tajikistan Somoni

COP Colombian Peso

PGK Papua N.G. Kina

LVL Latvian Lats

TTD Trinidad/Tobago Dol

SDG New Sudanese Pound

x10000

ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham

BIF Burundi Franc

SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

JMD Jamaica Dollar

ARS Argentine Peso

CVE Cape Verde Escudo

PHP Philippines Peso (NDF)

MDL Moldova Leu SEK Swedish Korna

UYU Uruguay Peso

ZWR Zimbabwe Dollar

HNL Honduras Lempira

CZK Czech Koruna

AMD Armenia Dram

MGA Malagascy Ariary

BMD Bermudian Dollar

SGD Singapore Dollar

NLG Dutch Guilder

JOD Jordanian Dinar

DJF Djibouti Franc

PKR Pakistani Rupee

MKD Macedonia Denar

TWD Taiwan Dollar (NDF)

SIT Slovenia Tolar

UZS Uzbekistan Sum

GNF Guinea Franc

DKK Danish Krone MMK Myanmar Kyat

BND Brunei Dollar

SKK Slovakia Koruna

AED UAE Dirham

JPY Japanese Yen

AUD Australian Dollar

DOP Dominican Repb.

PLN Polish Zloty

MNT Mongolian Togrog

MZN New Mozambique

Metical

SLL Sierra Leone Leone

VEE Venezuela Essential Rate

HRK Croatia Kuna

DZD Algerian Dinar MOP Macau Pataca

BOB Bolivian Boliviano

SOS Somali Shilling

NOK Norwegian Krone

KES Kenyan Shilling

TND Tunisian Dinar

EGP Egyptian Pound (NDF)

PTE Portuguese Escudo

MRO Mauritania Ouguiya

TZS Tanzanian Shilling

SRD Suriname Dollar

VEF Venezuelan Bolivar

GEL Georgia Lari

ERN Eritrean Nakfa MUR Mauritius Rupee

BRL Brazilian Real (NDF)

SSP South Sudanese Pound

KGS Kyrgyzstan Som

AWG Aruban Guilder

EUR Euro

PYG Paraguay Guarani

MVR Maldives Rufiyaa STD Sao Tome Dobra

VND Vietnamese Dong (NDF)

HTG Haiti Gourde

FJD Fiji Dollar

ANG Neth. Ant. Guilder

MWK Malawi Kwacha

BSD Bahamas Dollar

SVC El Salvador Colon

NPR Nepalese Rupee

KHR Cambia Riel

MYR Malaysian Ringgit (NDF)
184600746302

Trade Date

Notional amount, as agreed by the counterparties.

The date on which parties enter into the contract.

Reference Currency (i.e.,

Non-Deliverable Currency)

Settlement Date Specified settlement or payment date, as agreed by the counterparties.

Minimum Size

KES Kenyan Shilling

Fixing Date

Notional amount, as agreed by the counterparties.

The date at which the difference between the prevailing market exchange rate and the agreed upon

exchange rate is calculated.

Contract Overview

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA KES Industry Survey

Rate or BFIX.

Notional Currency

Trading Hours

Currency in which contract size is expressed in, as agreed by the counterparties; please see Notice to

Participants 2017-3, which is posted on BSEF’s website.

14:00 Sunday to 17:00 Friday Eastern Time

Settlement Currency

Clearing Venue

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional

amount.

Bilateral

Trading Conventions

See currency list below

Block Size

Buy or Sell, which refers to the contract size expressed in notional currency.

As set forth in Appendix F to Part 43 of the CFTC Regulations.

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward

Speculative Limits As set forth in Part 151 of the CFTC Regulations.

Forward Rate

Reportable Levels

Currency Exchange rate expressed as the amount of Reference Currency per unit of Settlement

Currency.

As set forth in CFTC Regulation 15.03.

Quoting Convention

and Minimum Increment
185600746302

WAR Qatari Riyal

UAH Ukraine Hryvnia (NDF)

VUV Vanuatu Vatu

GTQ Guatemala Quetzal

BWP Botswana Pula KMF Comoros Franc

BAM Bosnia-Herze Convrt Mrka

ROL Romanian Leu

NGN Nigeria Naira (NDF)

WST Samoa (West) Tala

HUF Hungarian Forint

THO Thai Baht Onshore

BYR Belarus Ruble

NZD New Zealand Dollar

KRW South Korean Won

(NDF)

TOP Tonga Pa’Anga

RON New Romanian Leu

UDI Mexican UDI

XAF CFA Franc Beac

GBP British Pound

BZD Belize Dollar KWD Kuwaiti Dinar

BBD Barbados Dollar

RSD Serbian Dinar XCD East Caribbean Dollar

IDR Indonesian Rupiah (NDF)

AOA Angolan Kwanza

CAD Canadian Dollar

OMR Omani Rial

KYD Cayman Islands Dollar RUB Russian Ruble (NDF)

UGX Ugandan Shilling

XDR Special Drawing Rights

GYD Guyana Dollar

CDF Congolese Franc

AFN Afghanistan Afghani

KZT Kazakhstan Tenge

BDT Banglaldesh Taka

RWF Rwanda Franc

NID New Iraqi Dinar

XOF CFA Franc Bceao

ILS Israeli Shekel

MXN Mexican Peso

CHF Swiss Franc

PAD Panamanian Balboa

LAK Laos Kip

TRY Turkish Lira

SAR Saudi Riyal

USD US Dollar

XPF Pacific Island Franc

GMD Gambian Dalasi

CLF Chilean UF LBP Lebanese Pound

BGD Bulgarian Lev

SBD Solomon Is. Dollar

Currency List

XSU Sucre

INR Indian Rupee (NDF)

ARS Argentine Peso (NDF)

CLP Chilean Peso

PEN Peruvian New Sol

LKR Sri Lankan Rupee

MZM Mozambique Metical

SCR Seychelles Rupee

USDCLF Chilean Unidad SP

YER Yemeni Rial

HKD Hong Kong Dollar

CNY China Renminbi (NDF)

THB Thai Baht

LTL Lithuanian Litas

BHD Bahraini Dinar

SDD Sudanese Dinar

NIO Nicaragua Cordoba

ZAR S. African Rand

ISK Iceland Krona

TJS Tajikistan Somoni

COP Colombian Peso

PGK Papua N.G. Kina

LVL Latvian Lats

TTD Trinidad/Tobago Dol

SDG New Sudanese Pound

x10000

ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham

BIF Burundi Franc

SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

JMD Jamaica Dollar

ARS Argentine Peso

CVE Cape Verde Escudo

PHP Philippines Peso (NDF)

MDL Moldova Leu SEK Swedish Korna

UYU Uruguay Peso

ZWR Zimbabwe Dollar

HNL Honduras Lempira

CZK Czech Koruna

AMD Armenia Dram

MGA Malagascy Ariary

BMD Bermudian Dollar

SGD Singapore Dollar

NLG Dutch Guilder

JOD Jordanian Dinar

DJF Djibouti Franc

PKR Pakistani Rupee

MKD Macedonia Denar

TWD Taiwan Dollar (NDF)

SIT Slovenia Tolar

UZS Uzbekistan Sum

GNF Guinea Franc

DKK Danish Krone MMK Myanmar Kyat

BND Brunei Dollar

SKK Slovakia Koruna

AED UAE Dirham

JPY Japanese Yen

AUD Australian Dollar

DOP Dominican Repb.

PLN Polish Zloty

MNT Mongolian Togrog

MZN New Mozambique

Metical

SLL Sierra Leone Leone

VEE Venezuela Essential Rate

HRK Croatia Kuna

DZD Algerian Dinar MOP Macau Pataca

BOB Bolivian Boliviano

SOS Somali Shilling

NOK Norwegian Krone

KES Kenyan Shilling

TND Tunisian Dinar

EGP Egyptian Pound (NDF)

PTE Portuguese Escudo

MRO Mauritania Ouguiya

TZS Tanzanian Shilling

SRD Suriname Dollar

VEF Venezuelan Bolivar

GEL Georgia Lari

ERN Eritrean Nakfa MUR Mauritius Rupee

BRL Brazilian Real (NDF)

SSP South Sudanese Pound

KGS Kyrgyzstan Som

AWG Aruban Guilder

EUR Euro

PYG Paraguay Guarani

MVR Maldives Rufiyaa STD Sao Tome Dobra

VND Vietnamese Dong (NDF)

HTG Haiti Gourde

FJD Fiji Dollar

ANG Neth. Ant. Guilder

MWK Malawi Kwacha

BSD Bahamas Dollar

SVC El Salvador Colon

NPR Nepalese Rupee

KHR Cambia Riel

MYR Malaysian Ringgit (NDF)
RULE 1408. [RESERVED]

186600746302
187600746302

Trade Date

See list below

The date on which parties enter into the contract.

Reference Currency (i.e.,

Non-Deliverable Currency)

Settlement Date Specified settlement or payment date, as agreed by the counterparties.

Quoting Convention

and Minimum Increment

UYU Uruguayan Peso

Fixing Date

Notional amount, as agreed by the counterparties.

The date at which the difference between the Spot FX Rate/Reference Rate and the Forward

Rate/Contracted NDF Rate is calculated.

Contract Overview

Settlement Procedure Bilateral settlement performed in settlement currency

Minimum Size

Trading Hours

Notional amount, as agreed by the counterparties.

14:00 Sunday to 17:00 Friday Eastern Time

Spot FX Rate or Reference Rate

Clearing Venue

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional

amount.

Bilateral

Trading Conventions

“UYU OFFICIAL” or “UYU01 as determined by the Banco Central Del Uruguay (Central Bank of

Uruguay) (www.bcu.gub.uy) or as specified in the EMTA template.

Block Size

Buy or Sell, which refers to the contract size expressed in notional currency.

As set forth in Appendix F to Part 43 of the CFTC Regulations.

RULE 1409. Foreign Exchange Contract – UYU Non-Deliverable Forward

Speculative Limits As set forth in Part 151 of the CFTC Regulations.

Contracted NDF Rate or Forward Rate

Reportable Levels

Currency Exchange rate expressed as the amount of Reference Currency per unit of Settlement

Currency.

As set forth in CFTC Regulation 15.03.

Settlement Currency
Currency list: Currency list:

AED UAE Dirham

AFN Afghanistan Afghani

ALL Albanian Lek

AMD Armenia Dram

ANG Neth. Ant. Guilder

AOA Angolan Kwanza

ARS Argentine Peso

ARS Argentine Peso

AUD Australian Dollar

AWG Aruban Guilder

BAM Bosnia-Herze Convrt

Mrka

BBD Barbados Dollar

BDT Bangladesh Taka

BGN Bulgarian Lev

BHD Bahraini Dinar

BIF Burundi Franc

BMD Bermudian Dollar

BND Brunei Dollar

BOB Bolivian Boliviano

BRL Brazilian Real

BSD Bahamas Dollar

BWP Botswana Pula

BYR Belarus Ruble

BZD Belize Dollar

CAD Canadian Dollar

CDF Congolese Franc

CHF Swiss Franc

CLP Chilean Peso

CNY China Renminbi

COP Colombian Peso

CRC Costa Rican Colon

CVE Cape Verde Escudo

CZK Czech Koruna

DJF Djibouti Franc

DKK Danish Krone

DOP Dominican Repb.

DZD Algerian Dinar

EGP Egyptian Pound

ERN Eritrean Nakfa

EUR Euro

FJD Fiji Dollar

GBP British Pound

GEL Georgia Lari

GMD Gambian Dalasi

GNF Guinea Franc

GTQ Guatemala Quetzal

GYD Guyana Dollar

HKD Hong Kong Dollar

HNL Honduras Lempira

HRK Croatia Kuna

HTG Haiti Gourde

HUF Hungarian Forint

IDR Indonesian Rupiah

ILS Israeli Shekel

INR Indian Rupee

ISK Iceland Krona

JMD Jamaica Dollar

JOD Jordanian Dinar

JPY Japanese Yen

KGS Kyrgyzstan Som

KHR Cambodia Riel

KMF Comoros Franc

KRW South Korean Won

KWD Kuwaiti Dinar

KYD Cayman Islands Dollar

KZT Kazakhstan Tenge

LAK Laos Kip

LBP Lebanese Pound

LKR Sri Lankan Rupee

LTL Lithuanian Litas

LVL Latvian Lats

MAD Moroccan Dirham

MDL Moldova Leu

MGA Malagascy Ariary

MKD Macedonia Denar

MMK Myanmar Kyat

MNT Mongolian Togrog

MOP Macau Pataca

MRO Mauritania Ouguiya

MUR Mauritius Rupee

MVR Maldives Rufiyaa

MWK Malawi Kwacha

MXN Mexican Peso

MYR Malaysian Ringgit

MZM Mozambique Metical

MZN New Mozambique

Metical

NGN Nigeria Naira

NID New Iraqi Dinar

NIO Nicaragua Cordoba

NLG Dutch Guilder

NOK Norwegian Krone

NPR Nepalese Rupee

NZD New Zealand Dollar

OMR Omani Rial

PAB Panamanian Balboa

PEN Peruvian New Sol

PGK Papua N.G. Kina

PHP Philippines Peso

PKR Pakistani Rupee

PLN Polish Zloty

PTE Portuguese Escudo

PYG Paraguay Guarani

QAR Qatari Riyal

ROL Romanian Leu

RON New Romanian Leu

RSD Serbian Dinar

RUB Russian Ruble

RWF Rwanda Franc

SAR Saudi Riyal

SBD Solomon Is. Dollar

SCR Seychelles Rupee

SDD Sudanese Dinar

SDG New Sudanese Pound

SDP Old Sudanese Pound

SEK Swedish Krona

SGD Singapore Dollar

SIT Slovenia Tolar

SKK Slovakia Koruna

SLL Sierra Leone Leone

SOS Somali Shilling

SRD Suriname Dollar

SSP South Sudanese Pound

STD Sao Tome Dobra

THB Thai Baht

THO Thai Baht Onshore

TJS Tajikistan Somoni

TND Tunisian Dinar

TOP Tonga Pa'Anga

TRY Turkish Lira

TTD Trinidad/Tobago Dol

TWD Taiwan Dollar

TZS Tanzanian Shilling

UAH Ukraine Hryvnia

UGX Ugandan Shilling

USD US Dollar

UYU Uruguay Peso

UZS Uzbekistan Sum

VEE Venezuela Essential Rate

VEF Venezuelan Bolivar

VND Vietnamese Dong

VUV Vanuatu Vatu

WST Samoa (West) Tala

XAF CFA Franc Beac

XCD East Caribbean Dollar

XDR Special Drawing Rights

XOF CFA Franc Bceao

XPF Pacific Island Franc

YER Yemeni Rial

ZAR S. African Rand

ZMK Zambian Kwacha

ZMW Zambian Kwacha

ZWR Zimbabwe Dollar

188600746302
Annex A

Excerpt from ISDA Dodd Frank Act-Swap Transaction

Reporting Party Requirements

Product Attribute Determination

All

All

Reverse  ASCII sort, first LEI/Entity ID

Explanation

Option Buyer

IRS Fix‐Float All Fixed Rate Payer

Reporting Party

Exotic

IRSwap: Inflation When a single Fixed Rate Payer exists

All

Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

Reverse  ASCII sort, first LEI/Entity ID

IRSwap: OIS

RP Tiebreaker Logic ‐ Rates

All Fixed Rate Payer

Cap/ Floor

FRA

Swaption All

All

Option Buyer

When a single Fixed Rate Payer exists

Fixed Rate Payer

XCCY Basis All Reverse  ASCII sort, first LEI/Entity ID

Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

IRS Basis

XCCY Fix‐Fix All

All

Reverse  ASCII sort, first LEI/Entity ID

Reverse  ASCII sort, first LEI/Entity ID

XCCY Fix‐Float

Trade Type

All Fixed Rate Payer

Debt Option

IRS Fix‐Fix