iSwap SEF Application

Exhibit M-6 –Product Appendix
Interest Rate Swaps Products Descriptions

Trading Hours

o Order Book: EUR

 08:30 a.m. – 6:00 p.m. Central European Time, Monday to Friday.

o Order Book: GBP

 09:30 a.m. – 5: p.m. Central European Time, Monday to Friday.

Products:

(1) Fixed for Floating IRS

(2) Basis Swaps

(3) Forward Rate Agreements (FRA)

(4) Overnight Index Swaps (OIS)
Product Specifications

Fixed for Floating IRS

A Fixed for Floating IRS is an Interest Rate Swap for which settlement is in the form of periodic fixed 

interest payments and a stream of periodic floating interest payments based on an interest rate over a 

term to maturity. The interest rate payments are exchanged for a specified period based on a notional 

amount.

Currencies

EUR

GBP

Specifications

Trading Conventions:

o Buyer (Payer) pays fixed interest rate and receives floating interest rate.

o Seller (Receiver) receives fixed interest rate and pays floating interest rate.

Swap Leg Conventions:

o The terms of Fixed for Floating IRS are based on a number of combinations of the criteria 

below.

 Fixed Leg

• Payment Frequency

o Monthly, Quarterly, Semi-Annually, or Annually.

• Day Count Convention

o 30/360, Actual/360, Actual/365.FIXED, Actual/Actual.ISDA, 

30E/360, 30E/360.ISDA, Actual/Actual.ICMA.

• Holiday Calendar

o Applied in accordance for the country currency denoted for the 

instrument.

• Business Day Convention

o Modified Following with adjustment to period end dates. 

Business days in this convention must be valid business days 

for the countries denoted by the currency (EUTA, GBLO). If 

not, it will be the next day that is a business day on both 

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade Date.

 Floating Leg

• Reset Frequency

o Monthly, Quarterly, or Semi-Annual.

• Day Count Convention

o 30/360, Actual/360, Actual/365.FIXED, Actual/Actual.ISDA, 

30E/360, 30E/360.ISDA, Actual/Actual.ICMA.

• Holiday Calendar

o Applied in accordance for the country currency denoted for the 

instrument.

• Business Day Convention

o Modified Following with adjustment to period end dates. 

Business days in this convention must be valid business days 

for the countries denoted by the currency (EUTA, GBLO). If 

not, it will be the next day that is a business day on both 

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade Date.

• Interest Rate Benchmark

o EUR-EURIBOR, EUR-ESTR, GBP-LIBOR.
Trade Date:

o The date on which the parties enter into the Swap transaction.

Effective Date:

o The first date from which Fixed and Floating interest amounts accrue. It is also referred to 

as the Start Date or the Value Date. The Effective Date of the Swap must be a business 

day subject to the appropriate Business Day Convention.

Trade Start Type:

o Spot Starting

 A Swap whose Effective Date is 2 business days from the Trade Date (T+2).

o Forward Starting

 A Swap whose Effective Date is anything after the Effective Date for a Spot 

Starting Swap.

o Same Day Starting

 A Swap whose Effective Date is the same as the Trade Date (T+0).

Maturity Date:

o The final date until which Fixed and Floating amounts accrue. The Maturity Date may also 

be referred to as the Termination Date or End Date.

Tenor:

o The duration of time from the Effective Date to the Maturity Date. Tenors of any duration 

greater than 0 years to 50 years.

Roll Day Convention:

o The date used for determining all floating Reset Dates. Roll Days define the beginning and 

end of Fixed and Floating interest accrual periods.

Floating Reset Dates:

o Dates utilized to determine the Floating Rate amounts for each interest accrual period 

during the Tenor of the contract. Except in the case of a Stub Period, the Reset Date is 

aligned with the floating rate frequency as determined.

Trade Types:

o The Platform may support the following trade types:

 Outrights

• An Outright Swap is where one party is the payer of the Fixed Rate and 

the other party is the payer of the Floating Rate

 Spreads

• A spread is the simultaneous purchase and sale of two different Tenors of 

the yield curve (e.g. 2 year by 10 year).

 Butterflies

• Butterflies are the simultaneous purchase(s) and sale(s) of three different 

Tenors of the yield curve (e.g. 2 year by 5 year by 10 year).

Contract Size:

o Minimum notional size is dependent on currency and Tenor.
Basis Swaps

A Basis Swap is an Interest Rate Swap for which settlement is in the form of periodic floating interest 

payments and periodic floating interest payments based on interest rate benchmarks over a term to 

maturity. The interest rate payments are exchanged for a specified period based on a notional amount.

Currencies

EUR

GBP

Specifications

Trading Conventions:

o Buyer (Payer) pays floating interest rate plus/minus a spread and receives floating interest 

rate.

o Seller (Receiver) receives floating interest rate plus/minus a spread and pays floating 

interest rate.

Supported Basis Combinations:

o 1M EURIBOR vs 3M EURIBOR

o 1M EURIBOR vs 6M EURIBOR

o 3M EURIBOR vs 6M EURIBOR

o 1M GBP-LIBOR vs 3M GBP-LIBOR

o 1M GBP-LIBOR vs 6M GBP-LIBOR

o 3M GBP-LIBOR vs 6M GBP-LIBOR

Swap Leg Conventions:

o The terms of Basis Swaps are based on a number of combinations of the criteria below.

 Floating Leg 1

• Payment Frequency

o Monthly, Quarterly, Semi-Annually, or Annually.

• Day Count Convention

o 30/360, Actual/360, Actual/365.FIXED, Actual/Actual.ISDA, 

30E/360, 30E/360.ISDA, Actual/Actual.ICMA.

• Holiday Calendar

o Applied in accordance for the country currency denoted for the 

instrument.

• Business Day Convention

o Modified Following with adjustment to period end dates. 

Business days in this convention must be valid business days 

on both the calendars (EUTA, GBLO). If not, it will be the next 

day that is a business day on both calendars.

• Floating Rate

o The floating interest rate yield or basis points on Trade Date.

 Floating Leg 2

• Reset Frequency

o Monthly, Quarterly, Semi-Annual, or Annually.

• Day Count Convention

o 30/360, Actual/360, Actual/365.FIXED, Actual/Actual.ISDA, 

30E/360, 30E/360.ISDA, Actual/Actual.ICMA.

• Holiday Calendar

o Applied in accordance for the country currency denoted for the 

instrument.

• Business Day Convention

o Modified Following with adjustment to period end dates. 

Business days in this convention must be valid business days 

on both calendars (EUTA, GBLO). If not, it will be the next day 

that is a business day on calendars.
• Interest Rate Benchmark

o EUR-EURIBOR, EUR-ESTR, GBP-LIBOR

Trade Date:

o The date on which the parties enter into the Swap transaction.

Effective Date:

o The first date from which floating interest amounts accrue. It is also referred to as the Start 

Date or the Value Date. The Effective Date of the Swap must be a business day subject 

to the appropriate Business Day Convention.

Trade Start Type:

o Spot Starting

 A Swap whose Effective Date is 2 business days from the Trade Date (T+2).

o Forward Starting

 A Swap whose Effective Date is anything after the Effective Date for a Spot 

Starting Swap.

o Same Day Starting

 A Swap whose Effective Date is the same as the Trade Date (T+0).

Maturity Date:

o The final date until which Floating amounts accrue. The Maturity Date may also be referred 

to as the Termination Date or End Date.

Tenor:

o The duration of time from the Effective Date to the Maturity Date. The Facility will support 

Tenors of any duration greater than 0 years to 50 years.

Roll Day Convention:

o The date used for determining all floating Reset Dates. Roll Days define the beginning and 

end of Floating interest accrual periods.

Floating Reset Dates:

o Dates utilized to determine the Floating Rate amounts for each interest accrual period 

during the Tenor of the contract. Except in the case of a Stub Period, the Reset Date is 2 

business days (EUR) or zero business days (GBP) prior to the Roll Date for that interest 

accrual period.

Trade Types:

o The Platform may support the following trade types:

 Outrights

• An Outright Swap is where one party is the payer of the Floating Rate 1 

plus/minus a spread and receiver of the Floating Rate 2 and the other party 

is the receiver of the Floating Rate 1 plus/minus a spread and payer of the 

Floating Rate 2.

 Spreads

• A spread is the simultaneous purchase and sale of two different Tenors of 

the yield curve (e.g. 2 year by 10 year).

 Butterflies

• Butterflies are the simultaneous purchase(s) and sale(s) of three different 

Tenors of the yield curve (e.g. 2 year by 5 year by 10 year).

Instrument Minimum Size:

o Minimum notional size is dependent on currency and Tenor.
Forward Rate Agreement (FRA)

A Forward Rate Agreement is an Interest Rate Swap for which settlement is in the form of one fixed 

interest payment and one floating interest payment based on an interest rate benchmark to be paid or 

received on an obligation beginning at a future start date. The interest rate payments are exchanged 

based on a notional amount.

Currencies

EUR

GBP

Specifications

Trading Conventions

o Buyer (Payer) pays fixed interest rate and receives floating interest rate.

o Seller (Receiver) receives fixed interest rate and pays floating interest rate.

Swap Leg Conventions

o The terms of FRAs are based on a number of combinations of the criteria below.

 Fixed Leg

• Payment Frequency

o Once

• Day Count Convention

o 30/360, Actual/360, Actual/365.FIXED, Actual/Actual.ISDA, 

30E/360, 30E/360.ISDA, Actual/Actual.ICMA

• Holiday Calendar

o Applied in accordance with the country relating to the currency 

of the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates. 

Business days in this convention must be valid business days 

on both the holiday calendars of that country (EUTA, GBLO). 

If not, it will be the next day that is a business day on both 

calendars.

• Fixed Rate

o The traded interest rate yield or basis points on Trade Date

 Floating Leg

• Reset Frequency

o Once

• Day Count Convention

o 30/360, Actual/360, Actual/365.FIXED, Actual/Actual.ISDA, 

30E/360, 30E/360.ISDA, Actual/Actual.ICMA

• Holiday Calendar

o Applied in accordance with the country relating to the currency 

of the instrument

• Business Day Convention

o Modified Following with adjustment to period end dates. 

Business days in this convention must be valid business days 

on both the calendars for each country (EUTA, GBLO). If not, 

it will be the next day that is a business day on both respective 

country holiday calendars.

• Interest Rate Benchmark

o EUR-EURIBOR, EUR-ESTR, GBP-LIBOR

Trade Date

o The date on which the parties enter into the Swap transaction.

Effective Date
o The first date from which fixed and floating interest amounts accrue. It is also referred to 

as the Start Date or the Value Date. The Effective Date of the Swap must be a business 

day subject to the appropriate Business Day Convention.

Maturity Date

o The final date until which Fixed and Floating amounts accrue. The Maturity Date may also 

be referred to as the Termination Date or End Date. The maturity range is 3 days to 3 years, 

subject to the maximum Tenor listed below.

Tenor

o The duration of time from the Effective Date to the Maturity Date Tenors will be support for 

any duration greater than 0 month to 12 months.

Floating Reset Dates

o Dates utilized to determine the Floating Rate amount for the interest accrual period during 

the Tenor of the Instrument. Except in the case of a Stub Period, the Reset Date is adjusted 

business days dependent on the currency prior to the Roll Date for that interest accrual 

period.

First Period Fixing Date

o The Fixed Rate for the first interest period is fixed on the Trade Date, and the Floating Rate 

for the first interest period is fixed 2 business days prior to the Effective Date.

Trade Types

o The Platform may support the following trade types:

 Outrights

• An Outright swap is where one party is the payer of the fixed rate and 

receiver of the floating rate and the other party is the receiver of the fixed 

rate and payer of the floating rate.

 Spreads

• A spread is the simultaneous purchase and sale of two different Tenors 

of the yield curve (e.g. 3x6 by 9x12).

Instrument Minimum Size.

o Minimum notional size is dependent on currency and Tenor.
Overnight Index Swaps (OIS)

Contract 

Specification

Details

Product Description An Overnight Index Swap is an interest rate swap for which settlement is in the 

form of periodic fixed interest payments and periodic floating interest payments 

based on an overnight rate being exchanged for a fixed interest rate over a term 

to maturity. The interest rate payments are exchanged for a specified period 

based on a notional amount. 

Currencies The interest rate cash flows are net settled in the following major currencies on 

fixing date:

EUR

GBP

Trading 

Conventions

• Buyer (Payer) pays fixed interest rate and receives floating interest rate.

• Seller (Receiver) receives fixed interest rate and pays floating interest 

rate. 

Swap Leg 

Conventions

The terms of Fixed vs. Floating Interest Rate Swaps are based on a number of 

combinations of the criteria below.

• Fixed Leg

o Payment Frequency

 At Maturity Date, Annually, semi-annual, Quarterly, or 

monthly.

o Day Count Convention

 30/360, Actual/360, Actual/365.FIXED, 

Actual/Actual.ISDA, 30E/360, 30E/360.ISDA, 

Actual/Actual.ICMA

o Holiday Calendar

 Applied in accordance for the country currency denoted 

for the instrument

o Business Day Convention

 Modified Following with adjustment to period end dates. 

Business days in this convention must be valid business 

days on both the calendars (EUTA, GBLO). If not, it will be 

the next day that is a business day on both calendars.

o Fixed Rate
Contract 

Specification

Details

 The traded interest rate yield or basis points on Trade 

Date

• Floating Leg

o Reset Frequency

 Daily

o Day Count Convention

 30/360, Actual/360, Actual/365.FIXED, 

Actual/Actual.ISDA, 30E/360, 30E/360.ISDA, 

Actual/Actual.ICMA

o Holiday Calendar

 Applied in accordance for the country currency denoted 

for the instrument

o Business Day Convention

 Modified Following with adjustment to period end dates. 

Business days in this convention must be valid business 

days on both calendars (EUTA, GBLO). If not, it will be the 

next day that is a business day on both calendars.

o Overnight Rate

 EUR-EONIA, EUR-ESTR, GBP-SONIA

Trade Date The date on which the parties enter into the Swap transaction. 

Effective Date The first date from which fixed and floating interest amounts accrue. It is also 

referred to as the Start Date or the Value Date. The Effective Date of the Swap 

must be a business day subject to the appropriate Business Day Convention.

Trade Start Type • Spot Starting

o A swap whose Effective Date is 2 business days from the Trade 

Date (T+2).

• Forward Starting

o A swap whose Effective Date is anything after the Effective Date 

for a Spot Starting swap.

• Same Day Starting

o A swap whose Effective Date is the Trade Date (T+0).

• Day +1 Starting
Contract 

Specification

Details

o A swap whose Effective Date is the Trade Date (T+1).

Maturity Date The final date until which Fixed and Floating amounts accrue. The Maturity Date 

may also be referred to as the Termination Date or End Date.

Tenor The duration of time from the Effective Date to the Maturity Date. The Exchange 

will support Tenors of any duration greater than 0 years to 30 years.

Roll Day 

Convention

The date used for determining all fixed and floating Reset Dates. Roll Days define 

the beginning and end of Fixed and Floating interest accrual periods.

Floating Reset 

Dates

Dates utilized to determine the Floating Rate amounts for each interest accrual 

period during the Tenor of the Instrument. Except in the case of a Stub Period, 

the Reset Date is adjusted business days dependent on the currency prior to the 

Roll Date for that interest accrual period.

Trade Types The Platform may support the following trade types:

• Outrights

o An Outright swap is where one party is the payer of the fixed rate 

and receiver of the floating rate and the other party is the 

receiver of the fixed rate and payer of the floating rate.

• Spreads

o A spread is the simultaneous purchase and sale of two different 

Tenors of the yield curve (e.g. 2 year by 10 year).

• Butterflies

o Butterflies are the simultaneous purchase(s) and sale(s) of three 

different Tenors of the yield curve (e.g. 2 year by 5 year by 

10 year).

Instrument 

Minimum Size

• Minimum notional size is dependent on currency and Tenor