tpSEF Inc. Rulebook 

Appendix B 

tpSEF Inc. 

Swap Specifications 

Effective August 21, 2019

ACTIVE 246164622 
2 

TABLE OF CONTENTS

Page 

Agricultural Options.................................................................................................................... 5

Basis Swaps ................................................................................................................................ 8

Basis Swaps – CME Cleared ..................................................................................................... 29

Basis Swaps – LCH Cleared ...................................................................................................... 31

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

Swaptions ...................................................................................................................... 33

Bullion Options ......................................................................................................................... 38

CDS – ABX Indices (Broad Based) Contracts ........................................................................... 42

CDS Index Contract – Emerging Markets Swaps and Swaptions ............................................... 44

CDS Index Contract – European Crossover 5Y Swaps and Swaptions ....................................... 46

CDS Index Contract – European HiVol 5Y Swaps and Swaptions ............................................. 48

CDS Index Contract – European IG 5Y Swaps and Swaptions .................................................. 50

CDS Index Contract – European IG 10Y Swaps and Swaptions ................................................ 52

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions 54

CDS Index Contracts – iTraxx Australia ................................................................................... 57

CDS Index Contracts – iTraxx Japan ......................................................................................... 59

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade) .................... 61

CDS Index Contracts – MCDX Index ....................................................................................... 62

Commodity Index Swaps .......................................................................................................... 64

Deliverable Foreign Exchange Barrier Options ......................................................................... 70

Deliverable Vanilla American or European Style Foreign Exchange Options ............................ 74

Digital Foreign Exchange Options ............................................................................................. 78

Equity Index Swaps .................................................................................................................. 82

Equity Index Variance Swaps .................................................................................................... 95
3

Equity Index Volatility Swaps ................................................................................................... 99

Fixed for Floating Agricultural Swaptions ............................................................................... 102

Fixed for Floating Agricultural Swap Contracts....................................................................... 106

Fixed for Floating Interest Rate Swaps .................................................................................... 109

Fixed for Floating Interest Rate Swaptions .............................................................................. 132

Forward Rate Agreements (Uncleared).................................................................................... 148

Forward Rate Agreements – CME Cleared .............................................................................. 152

Forward Rate Agreements – LCH Cleared .............................................................................. 154

iBoxx Index Swaps ................................................................................................................. 156

Inflation Swaps ....................................................................................................................... 164

Interest Rate Caps/Floors ........................................................................................................ 169

Interest Rate Swaps – ASX Cleared ........................................................................................ 181

Interest Rate Swaps – Eurex Cleared ....................................................................................... 183

Interest Rate Swaps – JSCC Cleared ....................................................................................... 186

IOS Index Contracts ................................................................................................................ 188

MBX Index Contracts ............................................................................................................. 190

Municipal Market Data Rate Lock Transactions ...................................................................... 192

Natural Gas Date/Instrument Spread Contracts ........................................................................ 195

Natural Gas – Financial Basis Swap Contracts ........................................................................ 197

Natural Gas – Fixed/Floating Swap Contracts ......................................................................... 199

Natural Gas – Swing Swap Contracts ...................................................................................... 200

Non-Deliverable Swaps ........................................................................................................... 202

Non-Deliverable Forward Foreign Exchange Contracts ........................................................... 211

Non-Deliverable Vanilla American or European Style Foreign Exchange Options .................. 213

PO Index Contracts ................................................................................................................. 218
4

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared ................................. 220

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared ................................. 222

U.S. Electricity – Fixed/Floating Swap Contracts .................................................................... 224

USD Equity Basket Swap (Broad Based) ................................................................................ 238
Agricultural Options 

5 

Agricultural Options 

Terms and Conditions 

Summary: This covers uncleared agricultural options (“Agricultural 

Options”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which Agricultural Options may be 

traded are shown below and in the attached tables. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”) 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity 

ISDA OTC Base Product: Agricultural 

ISDA OTC Settlement type: Cash 

Further Limitations: None 

Terms:

Trade Date: As agreed by the parties. 

Commodity: As specified by the parties from among the Available 

Commodities. 

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period. 

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

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

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

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

among the Available Business Day Conventions. 

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

Option Styles. 

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

Option Types. 

Buyer: As specified by the parties. 

Seller: As specified by the parties. 

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

Commodity Reference Prices. 

Business Day: As specified by the parties. 

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

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

otherwise per the Commodity Definitions. 

Strike Price per Unit: As specified by the parties.

Total Premium: As specified by the parties.

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

accordance with the Business Day Convention. 

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

Business Days as the parties specify. 

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

Business Day Conventions or otherwise per the 

Commodity Definitions. 
Agricultural Options 

6

Procedure for Exercise: 

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

times on such days specified by the parties. 

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties. 

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

Expiration Date: As specified by the parties. 

Expiration Time: As specified by the parties. 

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

Written Confirmation: As specified by the parties. 

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

Market Disruption: 

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

Commodity Definitions. 

Additional Market Disruption Events: As specified by the parties. 

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

Commodity Definitions. 

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

Commodity Definitions. 

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

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

Commodity Definitions. 

Cash Settlement Terms: 

Cash Settlement: Applicable 

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

accordance with the Business Day Convention. 

Calculation Agent: As agreed by the parties. 

Agricultural Option Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

EUR Euro EUTA 

GBP Sterling GBLO 

Agricultural Options Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding 

Agricultural Option Available Option Style 

ISDA Name 

American 

European 

Bermuda 

Asian 
Agricultural Options 

7

Agricultural Options Available Commodity Reference Prices 

ISDA Definitions 

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

Exchange Definitions 

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

ISDA Definition 

Commodity 

Reference 

Price 

Relevant 

Commodity 

Relevant Unit Exchange Currency Specified Price 

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price 

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price 

CRUDE PALM 

OIL-CME 

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price 

DRY WHEYCME Dry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX 

Wheat Bushel Minneapolis 

Grain Exchange 

USD 0.01 Settlement Price 

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE 

EUR 0.01 Settlement Price 

NONFAT DRY 

MILK-CME 

Non-Fat Dry 

Milk 

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXT Rapeseed Tonne EURONEXT 

LIFFE 

EUR 0.01 Settlement Price 

ISDA Definition 

COCOA-GBP-EURONEXT 

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT 

CORN-CBOT 

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME 

MILK-CLASS III-CME 

MILK-CLASS IV-CME 

SOYBEAN-CBOT 

SOYBEAN MEAL-CBOT 

SOYBEAN OIL-CBOT 

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT 

WHEAT HRM-KCBOT 

WHITE SUGAR-EURONEXT 

 

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

8 

Basis Swaps 

Terms and Conditions 

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

Limitations on Available Selections and Default 

Settings: 

The terms under which a Basis Swap may be traded are 

as specified in these terms and conditions and in the 

attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

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

location in which payment may be made. For these 

purposes “TARGET” is considered a location. 

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

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

and will apply unless the parties vary them. 

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

variety of currencies. Since each national market has its 

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

Terms” may vary by currency. 

In some cases, the same contract might have different 

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

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

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies) 

(c) ISDA OTC Taxonomies 

(d) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product: Basis 

Further Limitations: None 
Basis Swaps 

9

Terms:

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

below) agreed by the parties. 

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

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”). 

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

Business Days. 

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

Business Day Conventions. 

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

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

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

Effective Date (“relativeTerminationDate”). 

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

Business Day Conventions. 

Floating Amount 1 (“FA1”):

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

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

FA1 Period End Dates (“unadjustedCalculation Period

Date”): 

As specified by the parties. 

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

Calculation Period. 

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

FA1 initial Floating Rate: As specified by the parties. 

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

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

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

FA1 Shorter Designated Maturity for Linear 

Interpolation: 

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

FA1 Longer Designated Maturity for Linear 

Interpolation: 

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

FA1 Spread: As specified by the parties. 

FA1 Day Count Fraction: As specified by the parties. 

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

FA1 Method of Averaging: As specified by the parties. 

FA1 Compounding: As specified by the parties. 

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

parties. 

FA1 Compounding Method (Compounding OR Flat 

Compounding): 

In the event Compounding is selected, as selected by the 

parties. 

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

Business Days. 

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

Business Day Conventions. 

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

Business Days, subject to any Required Business Days 

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

Business Day Conventions. 

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

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

10

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

Business Day Conventions. 

Floating Amount 2 (“FA2”):

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

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

FA2 Period End Dates (“unadjustedCalculation Period

Date”): 

As specified by the parties. 

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

Calculation Period. 

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

FA2 initial Floating Rate: As specified by the parties. 

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

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

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

FA2 Shorter Designated Maturity for Linear 

Interpolation: 

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

FA2 Longer Designated Maturity for Linear 

Interpolation: 

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

FA2 Spread: As specified by the parties. 

FA2 Day Count Fraction: As specified by the parties. 

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

FA2 Method of Averaging: As specified by the parties.

FA2 Compounding: As specified by the parties.

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

parties. 

FA2 Compounding Method (Compounding OR Flat 

Compounding): 

In the event Compounding is selected, as selected by the 

parties. 

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

Business Days. 

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

Business Day Conventions. 

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

Business Days, subject to any Required Business Days. 

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

Business Day Conventions. 

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

Business Days, subject to any Required Business Days. 

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

Business Day Conventions. 

Mark-to-Market Currency Swap: 

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

in different Currencies. 

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

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

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

applicable. 

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

Initial Exchange:

Initial Exchange Date: As specified by the parties.

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

11

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

Interim Exchanges:

Interim Exchange Dates: As specified by the parties. 

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

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

Final Exchanges:

Final Exchange Date: As specified by the parties. 

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

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

Optional Early Termination:

Optional Early Termination: As specified by the parties. 

Option Style: As specified by the parties. 

Optional Early Termination Date: As specified by the parties. 

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

terminate. 

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

terminate. 

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

terminate. 

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

Business Days, subject to any Required Business Days. 

Exercise Business Days: As specified by the parties. 

Optional Early Termination Procedure for Exercise:

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

American. 

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

Bermuda. 

Expiration Date: As specified by the parties. 

Expiration Time: As specified by the parties. 

Earliest Exercise Time: As specified by the parties. 

Latest Exercise Time: As specified by the parties. 

Exercise Business Day: As specified by the parties.

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

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

or Bermuda. 

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

Exercise is specified. 

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

specified. 

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

Exercise is specified. 

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties. 

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

applicable to a single currency Transaction. 

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

applicable to a cross currency Transaction whose 

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

Currency Settlement Matrix. 

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

parties, directly or via the ISDA Settlement Matrix. 

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

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

12

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

parties, directly or via the ISDA Settlement Matrix. 

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

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Payment Date Business Days 

Convention: 

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

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

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix. 

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

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

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix. 

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

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

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix. 

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

applicable. 

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

parties. 

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

parties from among the Available Quotation Rates. 

Calculation Agent: As agreed by the parties.

Basis Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO 

CHF Swiss Franc CHZU 

CLP Chilean Peso CLSA 

CZK Czech Koruna CZPR 

DKK Danish Krone DKCO 

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU 

JPY Japanese Yen JPTO

MXN New Mexican Peso MXMC 

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE 

PLN Polish Zloty PLWA 

SEK Swedish Krona SEST 

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS 

USD United States Dollars USNY

ZAR South African Rand ZAJO 
Basis Swaps 

13

Basis Available Business Day Conventions 

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Basis Available Day Count Fractions 

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

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

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

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

Basis Default Effective Dates 

Currency Default Effective Date

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

MXN Plus One Banking Day 

CAD, GBP, ZAR Plus Zero

Basis Earliest and Latest Effective and Termination Dates 

Currency Earliest Effective 

Date 

Latest Effective 

Date 

Earliest Termination 

Date 

Latest Termination 

Date

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

Basis Notional Amounts 

Currency Minimum Increment Maximum Default

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

14

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

Basis Floating Rate Options and Defaults 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

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

AUD-AONIA-OISCOMPOUNDSwapMarker 

All quoted tenors N/A Per ISDA 2006 N

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

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

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

AUD-BBR-BBSY 

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

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

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

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

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

AUD-Quarterly Swap 

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

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

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

AUD-Semi-Annual 

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

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

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

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

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

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

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

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

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

CAD-ISDA-Swap 

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

15

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

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

Legs) 

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

Legs) 

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

Legs) 

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

Legs) 

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

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

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

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

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

CHF USD-Basis 

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

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

CHF-Annual Swap 

Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

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

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

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

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

CHF-OIS-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N 

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

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

CLP-Unidad de 

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

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

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

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

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

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

16

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

DKNA13 

DKK-CITADKNA14-

COMPOUND 

All quoted tenors N/A Per ISDA 2006 N 

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

EUR USD-Basis 

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

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-10:00-

Bloomberg 

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-10:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-11:00-

Bloomberg 

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-11:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

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

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

17

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

EUR-EONIA-OISCOMPOUNDBloomberg 

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

EUR-ISDAEURIBOR Swap 

Rate-11:00 

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-12:00 

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

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

EUR-ISDA-LIBOR 

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

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

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

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

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

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

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

EUR-TEC10-

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

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

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

EUR-TEC5-

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

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

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

18

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

Swaps-11:00-ICAP 

GBP-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

GBP-Semi-Annual 

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

GBP-Semi-Annual 

Swap Rate-11:00-

ICAP 

All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N

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

GBP-WMBARONIACOMPOUND 

All quoted tenors N/A Per ISDA 2006 N

GBP-WMBASONIACOMPOUND 

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

HKD-ISDA-Swap 

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

HKD-ISDA-Swap 

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

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N

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

19

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

4:00-BGCANTOR 

HKD-QuarterlyAnnual Swap RateReference Banks 

All quoted tenors N/A Per ISDA 2006 N

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

JPY USD-Basis 

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

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

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

JPY-ISDA-Swap 

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

JPY-ISDA-Swap 

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

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

Legs)

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

Legs)

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

Legs)

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

Legs)

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

Legs)

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

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

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

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

JPY-TIBOR-TIBM 

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

JPY-TIBOR-TIBM 

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

JPY-TIBOR-TIBM 

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

JPY-TIBOR-TIBM 

(All Banks)-

Bloomberg 

All quoted tenors N/A Per ISDA 2006 N

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

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

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

20

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

MXN-Unidades de 

Inversión (UDI) N/A N/A See below N 

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

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

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

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

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

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

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

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

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

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

NZD-Swap RateICAP-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

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

SEK-Annual Swap 

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

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

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

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

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

21

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

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

SGD-Semi-Annual 

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

SGD-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

SGD-SONAR-OISVWAPCOMPOUND 

All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

USD-Annual Swap 

Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N

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

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA 

Municipal Swap 

Index 

All quoted tenors N/A Per ISDA 2006 N

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

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

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

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

22

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

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

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

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

USD-COF11-

FHLBSF All quoted tenors N/A Per ISDA 2006 N

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

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

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

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

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

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

USD-Federal FundsH.15-OISCOMPOUND 

All quoted tenors N/A Per ISDA 2006 N

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

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

USD-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

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

USD-ISDAFIX3-

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

USD-ISDAFIX3-

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

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

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

Legs)

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

Legs)

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

Legs)

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

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-

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

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

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

23

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations

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

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

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

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

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

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

USD-SIFMA 

Municipal Swap 

Index 

All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A 

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006 

No 

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

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

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

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

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

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

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

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

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

de Chile for such Reset Date. 
Basis Swaps 

24

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

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

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

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

the Calculation Agent shall determine the CLP-Unidad de Fomento 

(UF/CLF) for such day. 

Definition of MXN-Unidades de Inversión (UDI) 

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

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

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

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

such Reset Date. 

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

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

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

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

Basis Requirements and Defaults 

(Excluding Optional Early Termination and Mandatory Early Termination) 

Variable Requirement Default

Effective Date Business Day 

Convention: 

 No Adjustment

Termination Date Business Day 

Convention: 

 No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention: 

 Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation: 

 Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention: 

Same as Business Day Convention 

for Period End Dates 

Method of Averaging: Weighted Average or Unweighted

Average 

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix Applicable (to Mark-to-Market 

Cross Currency Swaps) 

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention: 

 Following

Interim Exchange Date Business 

Day Convention: 

 Modified Following

Final Exchange Date: Termination Date
Basis Swaps 

25

Final Exchange Date Business Day 

Convention: 

 Modified Following

Definition of USD-SOFR-COMPOUND 

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

Prior to such date: 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

were references to the FOMC Target Rate. 

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

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

1+

SOFRi × ni

360 

do

i=1

-1×

360

d

where: 

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

relevant Calculation Period; 

 

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

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

relevant Calculation Period; 

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

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

 

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

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

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

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

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

26

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

on the Federal Reserve’s Website; 

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

 

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

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

events: 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Basis Requirements and Defaults 

(Optional Early Termination and Mandatory Early Termination) 

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European 

Cash Settlement: Required for Mandatory Early 

Termination 

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention: 

Following

Mandatory Early Termination Date 

Business Day Convention: 

 Modified Following
Basis Swaps 

27

Basis Requirements and Defaults 

(Optional Early Termination—Exercise) 

Setting Requirement Default

Commencement Date: American only 

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time 

Other than Expiration Date, the 

Expiration Time

Basis Requirements and Defaults 

(Cash Settlement) 

Setting Requirement/Choices Default

Cash Settlement Amount: 

ISDA Cross Currency Settlement 

Matrix: 

 Applicable, if cross currency swap 

with currency pair included in 

Matrix 

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time: 

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but one Valuation 

Business Day before 

Mandatory/Optional Early 

Termination Date for MXN and 

same day for CAD, GBP or DKK 

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

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention: 

 Following

Cash Settlement Method: Cash Price 

Cash Price—Alternate Method 

Collateralized Cash Price 

Par Yield Curve—Adjusted 

Par Yield Curve—Unadjusted 

Zero Coupon Yield—Adjusted 

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks 
Basis Swaps 

28

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid 

ask 

mid 

Exercising Party Pays (Optional 

Early Termination Only) 
Basis Swaps – CME Cleared 

29 

Basis Swaps – CME Cleared 

Terms and Conditions 

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

(“basis”) swaps cleared by Chicago Mercantile 

Exchange Inc. (“CME”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Basis Swap/CME Cleared may 

be traded are as specified in these terms and conditions 

and which incorporate the CME Rulebook, in particular 

Chapters 900 and 901 (and any successor provisions)

and the CME Cleared IRS Product Scope (or any 

successor). 

By electing to trade a Basis Swap/CME Cleared, 

participants are representing that they are familiar 

with the CME Rulebook and the limitations on 

transaction terms contained in it. 

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time. 

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective. 

Product Type/ISDA OTC Taxonomy: 

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product(s): Basis 

Further Limitations: Must comply with CME Clearing Requirements. 

Terms: 

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

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook. 

Effective Date: As per the CME Rulebook. 

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook. 

This may vary from period to period to the extent 

permitted by the CME Rulebook. 

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted. 

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook. 

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

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected. 

Business Day Convention: As per the CME Rulebook. 

Trade Date: As per the CME Rulebook. 

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

maximum tenor in the CME Rulebook. 

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

30

limitations based on other terms of the transaction. 

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook. 

Floating Rate Payer 1 Floating Rate Payer Payment 

Dates: 

As per the CME Rulebook. 

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

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

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set. 

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

limited set of Designated Maturities than does the 

related rate source page. 

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

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

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

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

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

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

Floating Rate Payer 2 Floating Rate Payer Payment 

Dates: 

As per the CME Rulebook. 

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

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

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set. 

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

limited set of Designated Maturities than does the 

related rate source page. 

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

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

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

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

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

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

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

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

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

CME Rulebook. 

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

CME Rulebook. 

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

CME Rulebook. 
Basis Swaps – LCH Cleared 

31 

Basis Swaps – LCH Cleared 

Terms and Conditions 

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

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

Limitations on Available Selections and Default 

Settings: 

The terms under which a Basis Swap/LCH Cleared may 

be traded are as specified in these terms and conditions 

and which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions). 

By electing to trade a Basis Swap/LCH Cleared, 

participants are representing that they are familiar 

with the LCH Rulebook and the limitations on 

transaction terms contained in it. 

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time. 

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. Be aware that the timing 

of effectiveness of amendments or supplements to the 

ISDA standards may vary between bilateral and 

LCH contracts, since the LCH may reserve the right 

to select when and how such changes become 

effective. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product: Basis 

Further Limitations: Must comply with LCH Clearing Requirements. 

Terms: 

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

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook. 

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook. 

This may vary from period to period to the extent 

permitted by the LCH Rulebook. 

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted. 

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook. 

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

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

maximum tenor in the LCH Rulebook. 

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

the LCH Rulebook. 

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

the LCH Rulebook. 

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

the LCH Rulebook, which may limit the earliest or latest 

day on which such fees may be paid based on Currency 

or other factors. 

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

32

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected. 

Business Day Convention: As per the LCH Rulebook. 

Stub Periods: Permitted to the extent allowed under the LCH 

Rulebook. 

Floating Rate Payer 1: As determined by the parties. 

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

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

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

which may provide a more limited list of available 

options for a Currency than does the Definition Set. 

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

limited set of Designated Maturities than does the 

related rate source page. 

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

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

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

Floating Rate Payer 2: As determined by the parties. 

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

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

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

which may provide a more limited list of available 

options than are available for a Currency than does the 

Definition Set. 

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

limited set of Designated Maturities than does the 

related rate source page. 

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

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

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

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

single method. 

Withholding and Tax: As per the LCH Rulebook. 

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

applicable to the Transaction. 
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions 

33 

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

Swaptions 

Terms and Conditions 

Summary: This covers BRL CDI Deliverable and Non-Deliverable

Interest Rate Swap Contracts and Physically-Settled

Swaptions Thereon (the “Contracts”). 

Non-Deliverable Contracts are paid in USD, and 

Deliverable Contracts are paid in BRL. 

Limitations on Available Selections and Default 

Settings: 

The terms under which the Contracts may be traded are 

as specified in these terms and conditions and in the 

attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

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

location in which payment may be made. For these 

purposes “TARGET” is considered a location. 

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

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

and will apply unless the parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) ISDA OTC Taxonomies 

(c) FpML Location Codes 

(d) the Recommended EMTA-ISDA Market Practice for 

BRL CDI Non-Deliverable Interest Rate Swap 

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

Best Practices”) 

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

2006 (the “NDF Template”) 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product: Exotic 

Further Limitations: None 

Terms:

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

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”). 

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

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

Swaptions 

34

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

Business Day Conventions. 

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

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

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

Effective Date (“relativeTerminationDate”). 

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

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only. 

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties. 

Termination Date Business Day Convention: Following

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

determined in accordance with the NDF Template, 

treating the Business Day preceding the day of 

calculation of the relevant Fixed Amount or Floating 

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

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

(BRL09) rate in the first instance.) 

In the case of a Deliverable Contract, 1.0. 

Fixed Amount:

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

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

specified by the parties. 

If the parties do not specify a Notional Amount or a 

Trade Date Present Value Notional Amount but specify 

a Termination Date Future Value Notional Amount, then 

the Notional Amount will be the Trade Date present 

value of the Termination Date Future Value Notional

Amount discounted at the Fixed Rate. 

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

determined based on the Trade Date Present Value 

Notional Amount specified by them), subject to the 

Minimum Notional Amount and Increment specified 

below. 

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

amount shall be subject to the Minimum Notional 

Amount and Increment implied by the Future Value 

Notional Amount. 

Fixed Rate: As specified by the parties. 

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal: 

	 

 × 


 
 × 1 +  


 !"#! $%&' ( )*

+,+ -

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

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

Day Count Fraction: 1/1 

Floating Amount:

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

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

Floating Amount: Notwithstanding anything to the contrary contained in 
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions 

35

the 2006 ISDA Definitions, the Floating Amount shall 

equal: 




 
 × 

. 


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

Floating Rate: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal: 

	 

 ×/1 + 0
 
1

2

3

+,+ -

4

153

Where:

N=number of Reset Dates in the Calculation Period 

j=a particular Reset Date 

Relevant Rate=the Relevant Rate for instance j of Reset 

Date

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

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

tenors. 

Spread: Zero 

Day Count Fraction: 1/1 

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

Best Practices). 

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

BR Business Days. 

Floating Rate Payment Dates: The Termination Date. 

Calculation Agent: As agreed by the parties. 

Swaption Terms: 

Option Style: European 

Seller: As specified by the parties. 

Buyer: As specified by the parties. 

Seller’s Agent: As specified by the parties. 

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

USD specified by the parties. 

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

specified by the parties. 

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Dates: Following

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

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only. 

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties. 

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

Days. 

Swaption Procedure for Exercise: 

General: The parties may enter into swaptions with respect to 

which a BRL CDI Swap is the Underlying Swap 

Transaction. 

Expiration Date: As specified by the parties. 

Expiration Time: As specified by the parties. 

Partial Exercise: As specified by the parties. 

Minimum Notional Amount: As specified by the parties and expressed as Termination 
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions 

36

Date Future Value Notional Amount.

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

Date Future Value Notional Amount. 

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

Date Future Value Notional Amount. 

Automatic Exercise: As specified by the parties. 

Threshold: As specified by the parties if Automatic Exercise is 

applicable. 

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

Swaption Settlement Terms: 

Physical Settlement: Applicable 

BRL CDI Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

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

otherwise declared a financial 

market holiday by the BM&F 

BRL CDI Available Business Day Conventions 

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

BRL CDI Floating Rate Options 

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

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

DIOVER- EXTRA Group as published by CETIP (Câmara de 

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

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

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

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

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

not be taken into account. 

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

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

Reset Date will be the overnight deposit rate published for such 

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

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

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

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

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

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

Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. If CDI for a Reset Date is not so determined 
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions 

37

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

shall apply. 

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

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

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

highest and lowest quotations will be disregarded and CDI for 

the relevant Reset Date will equal the arithmetic mean of the 

remaining quotations. If fewer than four such quotations are 

obtained from a poll, the Calculation Agent shall conduct 

additional such polls until four such quotations are obtained in 

any poll; provided that the Calculation Agent shall not conduct 

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

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

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

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

determined by a CDI Reference Dealer Poll. 

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

the CDI market selected by the Calculation Agent. 

BRL CDI Notionals 

Currency Minimum 

(expressed as 

Termination Date 

Future Value 

Notional Amount) 

Increment 

(expressed as 

Termination Date 

Future Value 

Notional Amount) 

Maximum Default 

BRL (Termination 

Date Future Value 

Notional Amount) 

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

BRL (Trade Date 

Present Value 

Notional Amount) 

As implied by Termination Date Future Value Notional Amount 

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

38 

Bullion Options 

Terms and Conditions 

Summary: This covers uncleared bullion options (“Bullion 

Options”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which Bullion Options may be traded

are shown below and in the attached tables. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

2000 ISDA Definitions 

2005 ISDA Commodity Derivatives Definitions 

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

thereto. 

Product Type/ISDA OTC Taxonomy: 

ISDA OTC Asset Class: Commodity 

ISDA OTC Base Product: Metals 

ISDA OTC Sub-Product: Precious 

ISDA OTC Transaction type: Option 

ISDA OTC Settlement type: Cash or Physical 

Further Limitations: None 

Terms:

Trade Date: As agreed by the parties. 

Bullion: As specified by the parties from among the Available 

Bullion. 

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

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

in the list of Available Bullion unless otherwise agreed 

by the parties. 

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

Bullion Option Styles. 

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

Bullion Option Types. 

Bullion Option Seller: As specified by the parties.

Bullion Option Buyer: As specified by the parties. 

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

one of the Available Currencies. 

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

one of the Available Currencies. 

Bullion Premium Payment Date: As specified by the parties. 

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

Business Days as the parties specify. 

Bullion Premium Payment Date Business Day 

Convention: 

As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions. 

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

Definitions, save that the reference to “New York” 

therein shall be deemed to be a reference to the relevant 

financial center for the Applicable Currency in which the 

Bullion Strike Price is denominated. 

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

otherwise per the Commodity Definitions. 

Procedure for Exercise: 
Bullion Options 

39

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

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

For any other Bullion Option Style, the times on the 

Expiration Date or Potential Exercise Date specified by 

the parties. 

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

by the parties. 

Bullion Expiration Date: As specified by the parties. 

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

parties. 

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

Commodity Definitions, unless specified by the parties. 

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

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

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

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

Settlement by Delivery is applicable, one percent of the 

Bullion Strike Price (as specified in Section 

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

other amount as specified by the parties. 

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

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

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

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

Commodity Definitions) unless otherwise specified by 

the parties. 

Written Confirmation: As specified by the parties.

Settlement: As specified by the parties from among the Available 

Settlement Types; provided, however, that Cash 

Settlement will only be available for Available 

Currencies for which it is specified as such. 

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

Section 10.11 of the Commodity Definitions. 

Market Disruption: 

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

Commodity Definitions. 

Additional Market Disruption Events: As specified by the parties. 

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

Commodity Definitions. 

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

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

Commodity Definitions. 

Provisions Relating to Cash Settlement: 

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

Commodity Reference Price. 

Bullion Transaction Settlement Date: As specified by the parties. 

Provisions Relating to Settlement by Delivery: 

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

below. 

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

Negotiation is applicable. 

Miscellaneous: 

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

apply if specified by the parties, unless the Bullion 

Option Transaction is an Allocated Transaction. 
Bullion Options 

40

Novation Netting: For Bullion Options subject to Settlement by Delivery 

and is not an Allocated Transaction, as agreed by the 

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

basis. 

Calculation Agent: As agreed by the parties. 

Bullion Option Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day 

Locations For Currency 

(FpML Codes) 

Available Settlement 

Type 

AUD Australian Dollar AUSY Physical Only 

CHF Swiss Franc CHZU Physical Only 

EUR Euro EUTA Cash or Physical 

GBP Sterling GBLO Cash or Physical 

JPY Japanese Yen JATO Physical Only 

USD United States Dollars USNY Cash or Physical 

Bullion Options Available Bullion Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding 

Bullion Option Available Bullion Option Style 

ISDA Name 

American 

European 

Bermuda 

Bullion Option Available Bullion Option Type 

ISDA Name 

Bullion Put Option 

Bullion Call Option 

Bermuda 

Bullion Options Available Bullion 

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

Metal Ounce Delivery Loco/Rules 

Gold Fine troy ounce London/LBMA 

Palladium Troy ounce Zurich/LPPM or London/LPPM 

Platinum Troy ounce Zurich/LPPM or London/LPPM 

Silver Troy ounce London/LBMA 

ISDA Definition 

GOLD-A.M. FIX 

GOLD-P.M. FIX 

PALLADIUM-A.M. FIX 
Bullion Options 

41

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

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

reference to the relevant Available Currency. 

PALLADIUM-P.M. FIX 

PLATINUM-A.M. FIX 

PLATINUM-P.M. FIX 

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

42 

CDS – ABX Indices (Broad Based) Contracts 

Terms and Conditions 

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

indices (“CDS – ABX Indices (Broad Based) 

Contracts”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which CDS – ABX Indices (Broad 

Based) Contracts may be traded are shown below or in 

the attached table(s) or the Relevant Annexes 

promulgated by the index sponsor and referenced below 

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

may be amended from time to time by the Index 

Sponsor. 

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2003 ISDA Credit Derivatives Definitions, as 

published by the International Swaps and Derivatives 

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

NOT including supplements thereto; and 

(b) the ABX Transactions Standard Terms Supplement,

as published by CDS IndexCo LLC on July 19, 2006 

(the “ABX Standard Terms”). 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit 

ISDA OTC Base Product: Index 

ISDA OTC Sub-Product: ABX 

ISDA OTC Transaction type: ABX.HE 

Further Limitations: None 

Terms:

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

Available ABX Indices. 

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS. 

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

Available ABX Indices. 

Trade Date: As agreed by the parties. 

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

parties). 

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

in the Relevant Annex. 

Floating Rate Payer: As specified by the parties. 

Fixed Rate Payer: As specified by the parties. 

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

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

Coupon” as specified for the applicable Index on the 

Relevant Annex. 

Initial Payment Payer: As selected by the parties. 

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

43

the contrary contained in the ABX Standard Terms, the 

Initial Payment Amount shall be paid by the Initial

Payment Payer on the date that is three Business Days 

following the Trade Date, unless otherwise specified by 

the parties. 

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

Index Relevant Annex 

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

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

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

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

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

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

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

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

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

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

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

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

44 

CDS Index Contract – Emerging Markets Swaps and Swaptions 

Terms and Conditions 

Summary: This covers “CDS Index Contract – Emerging Markets 

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

buy or sell protection on a broad-based basket of 

emerging markets sovereign entities. 

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

Index is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread. 

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

bps and exchanged on a quarterly basis. 

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

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap. 

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

and the final payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Little Bang Protocols). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the

notional, which is present valued and paid immediately 

to the seller. 

Swaptions on the Above:

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

the Index on the terms described herein. 

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

expiration. 

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor. 

Settlement: The Swaption will be Physically Settled and, if 

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

45

on the Index on the terms described herein. 

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions): 

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations). 

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

information on treatment of both legacy and future 

indices. 

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted

by the differences between the two. 

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties. 

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index 

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

46 

CDS Index Contract – European Crossover 5Y Swaps and Swaptions 

Terms and Conditions 

Summary: This covers “CDS Index Contract – European Crossover 

5Y Swaps and Swaptions”. The European Crossover 

index comprises 50 equally weighted credit default 

swaps on the most liquid sub-investment grade European 

corporate entities. 

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

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

Swap Conventions: European crossover indices are traded on spread. 

Fixed coupon payments are calculated at a spread of 500 

bps and exchanged on a quarterly basis. 

Swap Tenor: 5Y 

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap. 

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

and the final payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller. 

Swaptions on the Above: 

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

the Index on the terms described herein. 

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

expiration. 

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor. 

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

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

47

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions): 

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations). 

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

information on treatment of both legacy and future 

indices. 

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted

by the differences between the two. 

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties. 

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index 

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

48 

CDS Index Contract – European HiVol 5Y Swaps and Swaptions 

Terms and Conditions 

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

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

protection on a basket comprised of 30 equally weighted 

credit default swaps on the widest spread non-financial 

European corporate entities. 

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

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

Swap Conventions: European crossover indices are traded on spread. 

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis. 

Swap Tenor: 5Y 

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap. 

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

and the final payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller. 

Swaptions on the Above:

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

the Index on the terms described herein. 

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

expiration. 

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor. 

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

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

49

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions): 

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations). 

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

information on treatment of both legacy and future 

indices. 

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted

by the differences between the two. 

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties. 

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index 

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

50 

CDS Index Contract – European IG 5Y Swaps and Swaptions 

Terms and Conditions 

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

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

protection on a basket of liquid European based entities 

with an investment grade credit rating. 

Index: ITRAXX.EUROPE: Series 10 to current. 

Currency: EUR 

Quoting Convention and Minimum Increment: As agreed by counterparties. 

Minimum Size: As agreed by counterparties. 

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

Swap Conventions: European IG indices are traded on spread. 

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis. 

Swap Tenor: 5Y 

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap. 

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

and the final payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller. 

Swaptions on the Above:

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

the Index on the terms described herein. 

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

expiration. 

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor. 

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein. 

ISDA Definitions (2003 v. 2014 Credit Derivatives 
CDS Index Contract – European IG 5Y Swaps and Swaptions 

51

Definitions): 

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations). 

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

information on treatment of both legacy and future 

indices. 

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted

by the differences between the two. 

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties. 

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index 

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

52 

CDS Index Contract – European IG 10Y Swaps and Swaptions 

Terms and Conditions 

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

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

protection on a basket of liquid European based entities 

with an investment grade credit rating. 

Index: ITRAXX.EUROPE: Series 7 to current. 

Currency: EUR 

Quoting Convention and Minimum Increment: As agreed by counterparties. 

Minimum Size: As agreed by counterparties. 

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

Swap Conventions: European IG indices are traded on spread. 

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis. 

Swap Tenor: 10Y 

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap. 

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

and the final payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller. 

Swaptions on the Above:

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

the Index on the terms described herein. 

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

expiration. 

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor. 

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 
CDS Index Contract – European IG 10Y Swaps and Swaptions 

53

on the Index on the terms described herein. 

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions): 

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations). 

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

information on treatment of both legacy and future 

indices. 

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades 

will convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted

by the differences between the two. 

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties. 

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is 

the SEFs understanding that the DCOs will be 

converting all trades to the 2014 definitions, with

individual component excluded as describe above. 

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

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index 

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

54 

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

Terms and Conditions 

Summary: This covers “CDS Index Contract – North America 

Investment Grade and High Yield Swaps and 

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

on a basket of liquid North America based entities with a 

high yield credit rating (CDX.NA.HY) or an investment 

grade credit rating (CDX.NA.IG). 

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

CDX.NA.IG: Series 8 to current. 

Currency: USD 

Quoting Convention and Minimum Increment: As agreed by counterparties. 

Minimum Size: As agreed by counterparties. 

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

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

Credit events include Bankruptcy, Failure to Pay and 

Restructuring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

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

on price. 

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

traded on spread. 

Swap Conventions: For CDX.NA.HY, fixed coupon payments are calculated

at a spread of 500 bps and exchanged on a quarterly

basis. 

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

at a spread of 100 bps and exchanged on a quarterly

basis. 

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

parties. 

Tranching: Transactions may have only one tranche, where all 

losses are allocated to the protection seller, starting with 

the first dollar of loss and ending only when the entire 

notional of the transaction has been exhausted or the 

Transaction itself expires. 

Transactions may also be tranched in a way in which

losses are allocated to the protection seller only after a 

certain amount of losses have occurred on the Index (the 

“attachment point”) and cease being allocated to the 

protection seller after a certain additional amount of 

losses have occurred on the Index (the “detachment 

point”). 

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

the tranches include: 

Attachment Point Detachment Point 

0 10% 

0 15% 

10% 15% 

15% 25% 

25% 35% 

35% 100% 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions 

55

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

the tranches include: 

Attachment Point Detachment Point

0 3% 

3% 7% 

7% 10% 

7% 15% 

10% 15% 

15% 30% 

15% 100% 

In addition to the customary tranches enumerated above, 

the parties may agree to custom attachment and 

detachment points. 

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap. 

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

and the final payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the relevant 

ISDA Definitions (see below). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller. 

Swaptions on the Above: 

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

each of the CDX.NA.HY and CDX.NA.IG on the terms 

described herein. 

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

expiration. 

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor. 

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein. 

Tranching: Swaptions may be written on tranched or untranched 

transactions. 

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions): 

2014/2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations). 

Index Sponsor: Markit, which sponsors the Index, has published 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions 

56

information on treatment of both legacy and future 

indices. 

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted

by the differences between the two. 

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties. 

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index 

transaction. 
CDS Index Contracts – iTraxx Australia 

57 

CDS Index Contracts – iTraxx Australia 

Terms and Conditions 

Summary: This covers uncleared credit default swaps on IHS 

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

Contracts – iTraxx Australia”). The terms under which 

CDS Index Contracts – iTraxx Australia may be traded 

are shown below. 

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

composed of twenty five (25) liquid Australian entities 

with investment grade credit ratings that trade in the 

CDS market or have significant domestic bond issuance 

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

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

Currency: USD 

Quoting Convention and Minimum Increment: As agreed by counterparties. 

Minimum Size: As agreed by counterparties. 

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

The indices are traded on spread. 

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

bps and exchanged on a quarterly basis. 

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

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

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the

swap. 

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

which the obligations no longer accrue and the final 

payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc. 
CDS Index Contracts – iTraxx Australia 

58

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 at the inception of the 

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

59 

CDS Index Contracts – iTraxx Japan 

Terms and Conditions 

Summary: This covers uncleared credit default swaps on IHS 

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

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

Index Contracts – iTraxx Japan may be traded are shown 

below. 

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

composed of forty (40) Japanese entities with investment 

grade credit ratings that trade in the CDS market as 

published by IHS Markit Ltd. from time to time. 

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

Currency: JPY 

Quoting Convention and Minimum Increment: As agreed by counterparties. 

Minimum Size: As agreed by counterparties. 

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

The indices are traded on spread. 

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

bps and exchanged on a quarterly basis. 

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

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

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the

swap. 

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

which the obligations no longer accrue and the final 

payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc. 

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront Fee Payment: The upfront fee is a portion of the 
CDS Index Contracts – iTraxx Japan 

60

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller. 
CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade) 

61 

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

Terms and Conditions 

Summary: This covers “CDS Index Contracts – ITRXAEJ.IG 

(iTraxx® Asia ex-Japan Investment Grade)” – i.e., an 

agreement to buy or sell protection on a broad-based 

basket of investment grade Asian corporate and 

sovereign/agency issuers (excluding Japanese issuers). 

Index: ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment 

Grade): Series 14 through current, so long as such Index 

is not a narrow-based Index. 

Currency: USD 

Quoting Convention and Minimum Increment: As agreed by counterparties. 

Minimum Size: As agreed by counterparties. 

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

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

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread. 

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

bps and exchanged on a quarterly basis. 

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

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap. 

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

and the final payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2003 

ISDA Credit Derivatives Definitions, as modified by the 

2009 ISDA Credit Derivatives Determination 

Committees and Auction Settlement Supplement (i.e., 

the Big Bang and Little Bang Protocols) and the ISDA 

2014 Credit Derivatives Protocol (for Series 21 and

prior) and the ISDA 2014 Definitions (for Series 22 and 

later). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the

notional, which is present valued and paid immediately 

to the seller. 
CDS Index Contracts – MCDX Index 

62 

CDS Index Contracts – MCDX Index 

Terms and Conditions 

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s MCDX Index (“CDS Index Contracts – 

MCDX Index”). The terms under which CDS Index 

Contracts – MCDX Index may be traded are shown 

below. 

Contract Overview: Until October 2018, an agreement to buy or sell 

protection on a broad-based index composed of fifty (50) 

municipal credits. 

Beginning with MCDX.NA Series 31 in October 2018, 

an agreement to buy or sell protection on a broad-based 

index composed of twenty (20) municipal credits. 

Index: MCDX: all series 

Currency: USD 

Quoting Convention and Minimum Increment: As agreed by counterparties. 

Minimum Size: As agreed by counterparties. 

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

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

Credit events include “Bankruptcy” and “Failure to 

Pay.” 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument. 

MCDX indices are traded on spread. 

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

bps coupon and exchanged on a quarterly basis at 75% 

recovery. 

Swap Tenor: 3 years, 5 years, 10 years 

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

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the

swap. 

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

which the obligations no longer accrue and the final 

payment occurs. 

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades 
CDS Index Contracts – MCDX Index 

63

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2003 ISDA 

Credit Derivatives Definitions, as modified by the 2009 

ISDA Credit Derivatives Determinations Committees 

and Auction Settlement Supplement thereto. 

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

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

payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the

seller. 
Commodity Index Swaps 

64 

Commodity Index Swaps 

Terms and Conditions 

Summary: This covers commodity index swaps (each, a 

“Commodity Index Swap”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Commodity Index Swap may 

be traded are shown below and in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

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

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

and will apply unless the parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”) 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity 

ISDA OTC Base Product: Index 

ISDA OTC Transaction type: Swap 

ISDA OTC Settlement type: Cash 

Further Limitations: None 

Terms:

Trade Date: As agreed by the parties. 

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

Effective Date Business Days: None, unless specified by the parties. 

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions. 

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions. 

Commodity: As specified by the parties from among the Available 

Commodity Indices. 

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period. 

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis. 

Calculation Periods: As specified by the parties. 

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

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 
Commodity Index Swaps 

65

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention. 

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days. 

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

Business Day Conventions. 

Fixed Amount:

Fixed Price Payer: As specified by the parties. 

Fixed Price or Fixed Amount: As specified by the parties, expressed as a rate or overall. 

Floating Amount:

Floating Price Payer: As specified by the parties. 

Floating Price: In relation to each Calculation Period, the level of the 

specified Available Commodity Index at the end of the 

such Calculation Period less the level of the specified 

Available Commodity Index at the start of the such 

Calculation Period, the result of which is divided by the 

level of the specified Available Commodity Index at the 

start of the such Calculation Period. 

Market Disruption:

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

Commodity Definitions. 

Additional Market Disruption Events: As specified by the parties. 

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

Commodity Definitions. 

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

Commodity Definitions. 

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

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

Commodity Definitions. 

Calculation Agent: As agreed by the parties.

Commodity Index Swap Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

EUR Euro EUTA 

GBP Sterling GBLO 

Commodity Index Swap Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding 
Commodity Index Swaps 

66

Commodity Index Swap Available Commodity Indices 

Abbr Name 

BCOM BCOM ER 

BCOMF1 BCOM F1 ER 

BCOMF2 BCOM F2 ER 

BCOMF3 BCOM F3 ER 

BCOMF4 BCOM F4 ER 

BCOMF5 BCOM F5 ER 

BCOMF6 BCOM F6 ER 

BCOMAG BCOM Agriculture ER 

BCOMEN BCOM Energy ER 

BCOMGR BCOM Grains ER 

BCOMIN BCOM Industrial Metals ER 

BCOMLI BCOM Livestock ER 

BCOMPE BCOM Petroleum ER 

BCOMPR BCOM Precious Metals ER 

BCOMSO BCOM Softs ER 

BCOMXAG BCOM ex-Agriculture ER 

BCOMXAL BCOM ex-Agriculture and Livestock ER 

BCOMXE BCOM ex-Energy ER 

BCOMXGR BCOM ex-Grains ER 

BCOMXIM BCOM ex-Industrial Metals ER 

BCOMXLI BCOM ex-Livestock ER 

BCOMXPE BCOM ex-Petroleum ER 

BCOMXPM BCOM ex-Precious Metals ER 

BCOMXSO BCOM ex-Softs ER 

BCOMAL BCOM Aluminum ER 

BCOMCO BCOM Brent Crude ER 

BCOMCC BCOM Cocoa ER 

BCOMKC BCOM Coffee ER 

BCOMHG BCOM Copper ER 

BCOMCN BCOM Corn ER 

BCOMCT BCOM Cotton ER 

BCOMFC BCOM Feeder Cattle ER 

BCOMGO BCOM Gas Oil ER

BCOMGC BCOM Gold ER 

BCOMHO BCOM Heating Oil ER 

BCOMPB BCOM Lead ER

BCOMLH BCOM Lean Hogs ER 

BCOMLC BCOM Live Cattle ER 

BCOMNG BCOM Natural Gas ER

BCOMNI BCOM Nickel ER 

BCOMOJ BCOM Orange Juice ER 
Commodity Index Swaps 

67

Abbr Name 

BCOMPA BCOM Palladium ER

BCOMPL BCOM Platinum ER 

BCOMSI BCOM Silver ER 

BCOMSM BCOM Soybean Meal ER

BCOMBO BCOM Soybean Oil ER 

BCOMSY BCOM Soybeans ER 

BCOMSB BCOM Sugar ER

BCOMSN BCOM Tin ER 

BCOMRB BCOM Unleaded Gas ER 

BCOMWH BCOM Wheat ER

BCOMKW BCOM Kansas Wheat ER 

BCOMCL BCOM WTI Crude Oil ER 

BCOMZS BCOM Zinc ER

BCOMAU BCOM AUD ER 

BCOMEU BCOM EUR ER 

BCOMGB BCOM GBP ER

BCOMCH BCOM CHF ER 

BCOMJY BCOM JPY ER 

BCOMALC BCOM Aluminum Capped ER 

BCOMKCC BCOM Coffee Capped ER 

BCOMHGC BCOM Copper Capped ER 

BCOMCLC BCOM WTI Crude Oil Capped ER 

BCOMCNC BCOM Corn Capped ER 

BCOMLCC BCOM Cattle Capped ER 

BCOMCTC BCOM Cotton Capped ER 

BCOMGCC BCOM Gold Capped ER 

BCOMLHC BCOM Lean Hogs Capped ER 

BCOMHOC BCOM Heating Oil Capped ER 

BCOMKWC BCOM Kansas Wheat Capped ER 

BCOMCOC BCOM Brent Crude Capped ER 

BCOMNGC BCOM Natural Gas Capped ER 

BCOMNIC BCOM Nickel Capped ER 

BCOMSYC BCOM Soybeans Capped ER 

BCOMBOC BCOM Soybean Oil Capped ER 

BCOMSIC BCOM Silver Capped ER 

BCOMSBC BCOM Sugar Capped ER 

BCOMSMC BCOM Soybean Meal Capped ER 

BCOMRBC BCOM Unleaded Gas Capped ER 

BCOMWHC BCOM Wheat Capped ER 

BCOMZSC BCOM Zinc Capped ER 

BCOMTR BCOM TR 

BCOMF1T BCOM F1 TR 
Commodity Index Swaps 

68

Abbr Name 

BCOMF2T BCOM F2 TR

BCOMF3T BCOM F3 TR 

BCOMF4T BCOM F4 TR 

BCOMF5T BCOM F5 TR

BCOMF6T BCOM F6 TR 

BCOMRS BCOM Roll Select 

SPGCCI S&P GSCI

SPGCBO S&P GSCI Soybean Oil 

SPGCBR S&P GSCI Brent Crude 

SPGCCC S&P GSCI Cocoa

SPGCCL S&P GSCI Crude Oil 

SPGCCN S&P GSCI Corn 

SPGCCT S&P GSCI Cotton

SPGCFC S&P GSCI Feeder Cattle 

SPGCGC S&P GSCI Gold 

SPGCGO S&P GSCI Gasoline

SPGCHG S&P GSCI North American Copper 

SPGCHO S&P GSCI Heating Oil 

SPGCHU S&P GSCI Unleaded Gasoline 

SPGCIA S&P GSCI Aluminum 

SPGCIC S&P GSCI Copper 

SPGCIK S&P GSCI Nickel 

SPGCIL S&P GSCI Lead 

SPGCIN S&P GSCI Industrial Metals 

SPGCIZ S&P GSCI Zinc 

SPGCKC S&P GSCI Coffee 

SPGCKW S&P GSCI Kansas Wheat 

SPGCLC S&P GSCI Live Cattle 

SPGCLH S&P GSCI Lean Hogs 

SPGCNG S&P GSCI Natural Gas 

SPGCPA S&P GSCI Palladium 

SPGCPL S&P GSCI Platinum 

SPGCSB S&P GSCI Sugar 

SPGCSI S&P GSCI Silver 

SPGCSO S&P GSCI Soybeans 

SPGCWH S&P GSCI Wheat 

SPGSES S&P GSCI Enhanced Commodity 

SPGSSM S&P GSCI Soybean Meal 

SPGCBRP S&P GSCI Brent Crude ER 

SPGCCLP S&P GSCI Crude Oil ER 

SPGCENP S&P GSCI Energy ER 

SPGCGCP S&P GSCI Gold ER 
Commodity Index Swaps 

69

Abbr Name 

SPGCHOP S&P GSCI Heating Oil ER

SPGCHUP S&P GSCI Unleaded Gasoline ER 

SG3MCI S&P GSCI 3 Month Forward 

Commodity Index Swap Earliest and Latest Effective and Termination Dates 

Currency Earliest Effective 

Date 

Latest Effective Date Earliest Termination 

Date 

Latest Termination 

Date 

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

Commodity Index Swap Notional Quantities per Calculation Period 

Currency Minimum Increment Maximum Default 

USD 10,000,000 1,000,000 N/A N/A 
Deliverable Foreign Exchange Barrier Options 

70 

Deliverable Foreign Exchange Barrier Options 

Terms and Conditions 

Summary: This covers deliverable foreign exchange options with a 

barrier. 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Deliverable Foreign Exchange 

Barrier Option may be traded are as specified in these 

terms and conditions and in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

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

location in which payment may be made. 

For these purposes “TARGET”/EUTA is considered a 

location. 

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

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

and will apply unless the parties vary them. 

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

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or 

“Default Terms” may vary by currency. 

In some cases, the same contract might have different 

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

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

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) the 1998 FX and Currency Option Definitions and

2005 Amendment 

(b) the 2005 Barrier Option Supplement to the 1998 FX 

and Currency Option Definitions 

(c) the 2000 Annex A to the 1998 FX and Currency 

Option Definitions and the March 2013 Compendium of

Amendments 

(d) ISDA OTC Taxonomies 

(e) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML equivalent. 

For purposes of this description, the term COP means 

the lawful currency of the Republic of Columbia 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange 

ISDA OTC Base Product: Simple Exotic 

ISDA OTC Sub-Product: Barrier Option 
Deliverable Foreign Exchange Barrier Options 

71

Further Limitations: None 

FpML Schema: “confirmation.fxOption” 

Terms: 

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties. 

Commencement Date 

(“americanExercise.commencementDate”): 

As specified by the parties. This applies only where the 

Option Style is American. 

Buyer (“buyerPartyReference”): As specified by the parties. 

Seller (“sellerPartyReference”): As specified by the parties. 

Currency Option Style: As specified by the parties.

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency. 

Call Currency (“callCurrencyAmount”): The currency and amount as specified by the parties, or, 

if not so specified, derived from the Put Currency 

Amount and Strike Price. 

The Put Currency and Call Currency must represent a

traded pair as shown on the attached list of currencies. 

Put Currency (“putCurrencyAmount”): The currency and amount as specified by the parties, or, 

if not so specified, derived from the Call Currency

Amount and Strike Price. 

Strike Price (“strikePrice”): As specified by the parties (if only one of the Put 

Currency or Call Currency is specified). 

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the Option is to be automatically exercised. 

Expiration Date (“expiryDate”): As specified by the parties. 

Latest Exercise Time: As specified by the parties. This applies only where the 

Option Style is American. 

Expiration Time (“americanExercise.expiryTime” or 

“europeanExercise.expiryTime”): 

The time in the location specified by the parities.

Automatic Exercise: As specified by the parties. 

Settlement Date: As specified by the parties. 

Premium (“premium”): As specified by the parties. 

Premium Payment Date: As specified by the parties. 

Barrier (“features.barrier”): Applicable. 

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

Barrier Types. 

Spot Exchange Rate Direction (“direction”): As specified by the parties from among the Available 

Spot Exchange Directions. 

Barrier Event Rate Source (“informationSource”): As specified by the parties. 

Barrier Level (“triggerRate”): As specified by the parties as a number of one Currency 

per the other Currency (“quotedCurrencyPair”, 

“currency1”, “currency2” and “quoteBasis”) 

Event Period Start Date and Time 

(“observationStartDate”, “observationStartTime”): As specified by the parties. 

Event Period End Date and Time 

(“observationEndDate” “observationEndTime”): As specified by the parties. 

Calculation Agent: As specified by the parties. 

Business Days for Premium Payment Date: As specified by the parties. 

Business Days for Settlement Date: As specified by the parties. 

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

Business Days for Expiration Date: As specified by the parties. 

Business Days (General): As specified by the parties. 
Deliverable Foreign Exchange Barrier Options 

72

Business Day Convention for Premium Payment Date: As specified by the parties. 

Business Day Convention for Expiration Date: As specified by the parties. 

Business Day Convention for Settlement Date: As specified by the parties. 

Event Currency: As specified by the parties if any Disruption Events are 

applicable. 

Disruption Events: As specified by the parties. 

Disruption Fallbacks: As specified by the parties for each Disruption Event 

applicable. 

FX Barrier Option Available Currencies and Principal Financial Centers 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Principal Financial Centers for 

Currency (FpML Codes) 

AUD Australian Dollar AUME and AUSY 

EUR Euro EUTA 

USD United States Dollar USNY 

FX Barrier Option Available Currency Pairs, Minimum and Increment 

 CALL 

PUT AUD EUR USD 

AUD Y Y 

EUR Y Y 

USD Y Y 

The Minimum Amount for any currency pair is 5,000,000 of the Call Currency with an Increment of 5,000,000 of 

the Call Currency. 

FX Barrier Option Requirements and Defaults 

Variable Requirement Default 

Commencement Date: American Style ONLY Trade Date 

Latest Exercise Time: American Style ONLY Same as Expiration Time 

Automatic Exercise: Applicable 

Event Period Start Date and Time: Trade Date and time 

Event Period End Date and Time: Expiration Date at Expiration Time 

Barrier Event Determination Agent: Calculation Agent 

Business Days for Premium 

Payment Date: 

At least one of the specified 

locations must be able to settle 

relevant Currency 

Principal Financial Center for 

Currency of Premium 

Business Days for Settlement Dates: The specified locations must at least 

be able to settle each Currency in the 

Currency Pair 

Principal Financial Center for each 

Currency of the Currency Pair 

Business Days for Exercise Date: Location of Seller Location of Seller

Business Days for Expiration Dates: If Automatic Exercise does not 

apply, location of Seller 

If Automatic Exercise does apply, 

trading day for each Currency of 

Currency Pair 

Location of Seller and trading day 

for each Currency of Currency Pair 

Business Day Convention for 

Premium Payment Date: 

Cannot result in payment due prior 

to Trade Date 

Following 

Business Day Convention for 

Expiration Date: 

 Following 

Business Day Convention for Cannot result in payment due prior Following 
Deliverable Foreign Exchange Barrier Options 

73

Settlement Date: to Exercise Date 

Disruption Events: None 

Disruption Fallbacks: Required only if there are Disruption 

Events 

None 

FX Barrier Available Option Styles 

Style Description Default 

American Can be exercised on any Exercise 

Business Day from and including the 

Commencement Date to and 

including the Expiration Date 

Yes 

European Can be exercised only on the 

Expiration Date 

No

FXO Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding 

FX Barrier Option Available Event Types 

Event Type 

Knock-Out (ISDA) 

Knock-In (ISDA) 

FX Barrier Option Available Spot Exchange Rate Direction 

Spot Exchange Rate Direction 

Greater than or equal to 

Less than or equal to 

FX Barrier Option Available Barrier Event Rate Source 

Exchange Source 

AUD/EUR 

AUD/USD 

EUR/USD 
Deliverable Vanilla American or European Style Foreign Exchange Options 

74 

Deliverable Vanilla American or European Style Foreign Exchange Options 

Terms and Conditions 

Summary: This covers deliverable vanilla American or European 

style foreign exchange options. 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Deliverable Vanilla American 

or European Style Foreign Exchange Option may be 

traded are as specified in these terms and conditions and 

in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made. 

For these purposes “TARGET”/EUTA is considered a 

location. 

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

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

and will apply unless the parties vary them. 

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

variety of currencies. Since each national market has its 

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

Terms” may vary by currency. 

In some cases, the same contract might have different 

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

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

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards: 

(a) the 1998 FX and Currency Option Definitions and

2005 Amendment 

(b) ISDA OTC Taxonomies 

(c) FpML Location Codes 

For convenience, certain terms are mapped to their FpML 

5.2.4 equivalent. 

For purposes of this description, the term COP means the 

lawful currency of the Republic of Columbia. 

Product Type/ISDA OTC Taxonomy: 

ISDA OTC Asset Class: Foreign Exchange 

ISDA OTC Base Product: Foreign Exchange 

ISDA OTC Sub-Product: Vanilla Option 

ISDA OTC Sub-Product Number: 8 

Further Limitations: None 

FpML Schema: “confirmation.fxOption” 

Terms: 

Trade Date: The date the transaction is agreed between and becomes 
Deliverable Vanilla American or European Style Foreign Exchange Options 

75

legally binding on the parties. 

Commencement Date 

(“americanExercise.commencementDate”): 

As specified by the parties. This applies only where the 

Option Style is American. 

Buyer (“buyerPartyReference”): As specified by the parties. 

Seller (“sellerPartyReference”): As specified by the parties. 

Currency Option Style: As specified by the parties.

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency 

Call Currency (“callCurrencyAmount”): The currency and amount as specified by the parties, or, if 

not so specified, derived from the Put Currency Amount 

and Strike Price. 

The Put Currency and Call Currency must represent a

traded pair as shown on the attached list of currencies. 

Put Currency (“putCurrencyAmount”): The currency and amount as specified by the parties, or, if 

not so specified, derived from the Call Currency Amount 

and Strike Price. 

Strike Price (“strikePrice”): As specified by the parties (if only one of the Put 

Currency or Call Currency is specified). 

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the Option is to be automatically exercised. 

Expiration Date (“expiryDate”): As specified by the parties. 

Latest Exercise Time: As specified by the parties. This applies only where the 

Option Style is American. 

Expiration Time (“americanExercise.expiryTime” or 

“europeanExercise.expiryTime”): 

The time in the location specified by the parities.

Automatic Exercise: As specified by the parties. 

Settlement Date: As specified by the parties 

Premium (“premium”) As specified by the parties. 

Premium Payment Date: As specified by the parties. 

Calculation Agent: As specified by the parties. 

Business Days for Premium Payment Date: As specified by the parties. 

Business Days for Settlement Date: As specified by the parties. 

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

Business Days for Expiration Date: As specified by the parties. 

Business Days (General): As specified by the parties. 

Business Day Convention for Premium Payment Date: As specified by the parties. 

Business Day Convention for Expiration Date: As specified by the parties. 

Business Day Convention for Settlement Date: As specified by the parties. 

Event Currency: As specified by the parties if any Disruption Events are 

applicable. 

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each Disruption Event 

applicable. 

FX Vanilla Option Available Currencies and Principal Financial Centers 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Principal Financial Centers for 

Currency (FpML Codes) 

AUD Australian Dollar AUME and AUSY 

BRL Brazilian Real BRBR, BRRJ or BRSP 

CAD Canadian Dollar CATO 

CHF Swiss Franc CHZU 
Deliverable Vanilla American or European Style Foreign Exchange Options 

76

CLP Chilean Peso CLSA 

COP Colombian Peso COBO 

EUR Euro EUTA 

GBP Sterling GBLO 

JPY Japanese Yen JPTO 

MXN Mexican Peso (New) MXMC 

NOK Norewegian Krone NOOS 

NZD New Zealand Dollar NZAU and NZWE 

SEK Swedish Krona SEST 

USD United States Dollar USNY 

NOT ALL PAIRS OF CURRENCIES MAY BE AVAILABLE. PLEASE REVIEW AVAILABLE PAIRS TABLE 

FX Vanilla Option Available Currency Pairs, Minimum and Increment 

 CALL 

PUT AUD BRL CAD CHF CLP COP EUR GBP JPY MXN NOK NZD SEK USD 

AUD Y Y Y Y Y 

BRL Y Y 

CAD Y Y Y Y Y Y Y 

CHF Y Y Y 

CLP Y 

COP Y 

EUR Y Y Y Y Y Y Y Y Y Y Y 

GBP Y Y Y Y Y Y Y Y Y 

JPY Y Y Y Y Y Y Y 

MXN Y Y 

NOK Y Y 

NZD Y Y Y 

SEK Y 

USD 

The Minimum Amount for any currency pair is 5,000,000 of the Call Currency with an Increment of 5,000,000 of 

the Call Currency 

FX Vanilla Option Requirements and Defaults 

Variable Requirement Default 

Commencement Date American Style ONLY Trade Date 

Latest Exercise Time American Style ONLY Same as Expiration Time 

Automatic Exercise Applicable 

Business Days for Premium 

Payment Date 

At least one of the specified 

locations must be able to settle 

relevant Currency 

Principal Financial Center for 

Currency of Premium 

Business Days for Settlement Dates: The specified locations must at least 

be able to settle each Currency in the 

Currency Pair 

Principal Financial Center for each 

Currency of the Currency Pair 

Business Days for Exercise Date Location of Seller Location of Seller 

Business Days for Expiration Dates: If Automatic Exercise does not 

apply, location of Seller 

If Automatic Exercise does apply, 

trading day for each Currency of 

Currency Pair 

Location of Seller and trading day 

for each Currency of Currency Pair 

Business Day Convention for Cannot result in payment due prior Following 
Deliverable Vanilla American or European Style Foreign Exchange Options 

77

Premium Payment Date: to Trade Date 

Business Day Convention for 

Expiration Date: 

 Following 

Business Day Convention for 

Settlement Date 

Cannot result in payment due prior 

to Exercise Date 

Following 

Disruption Events: None 

Disruption Fallbacks: Required only if there are Disruption 

Events 

None 

FX Vanilla Available Option Styles 

Style Description Default 

American Can be exercised on any Exercise 

Business Day from and including the 

Commencement Date to and 

including the Expiration Date 

Yes 

European Can be exercised only on the 

Expiration Date 

No 

FXO Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding 
Digital Foreign Exchange Options 

78 

Digital Foreign Exchange Options 

Terms and Conditions 

Summary: This covers digital foreign exchange options. 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Digital Foreign Exchange 

Option may be traded are as specified in these terms and 

conditions and in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

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

location in which payment may be made. 

For these purposes “TARGET”/EUTA is considered a 

location. 

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

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

and will apply unless the parties vary them. 

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

variety of currencies. Since each national market has its 

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

Terms” may vary by currency. 

In some cases, the same contract might have different 

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

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

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) the 1998 FX and Currency Option Definitions and

2005 Amendment 

(b) the 2005 Barrier Option Supplement to the 1998 FX 

and Currency Option Definitions 

(c) the 2000 Annex A to the 1998 FX and Currency 

Option Definitions and the March 2013 Compendium of

Amendments 

(d) ISDA OTC Taxonomies 

(e) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

For purposes of this description, the term COP means 

the lawful currency of the Republic of Columbia 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange 

ISDA OTC Base Product: Simple Exotic 

ISDA OTC Sub-Product: Digital Option 

Further Limitations: None 
Digital Foreign Exchange Options 

79

FpML Schema: “confirmation.fxOption” 

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties. 

Commencement Date 

(“americanExercise.commencementDate”): 

As specified by the parties. This applies only where the 

Option Style is American. 

Buyer (“buyerPartyReference”): As specified by the parties. 

Seller (“sellerPartyReference”): As specified by the parties. 

Currency Option Style: As specified by the parties.

Currency Option Type: Binary 

Expiration Date (“expiryDate”): As specified by the parties. 

Expiration Time (“europeanExercise.expiryTime”): The time in the location specified by the parities. 

Settlement: Non-Deliverable 

Settlement Date: As specified by the parties. 

Premium (“premium”) As specified by the parties. 

Premium Payment Date: As specified by the parties. 

Barrier (“features.barrier”): Applicable 

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

Binary Types, 

Spot Exchange Rate Direction (“direction”): As specified by the parties from among the Available 

Spot Exchange Directions. 

Barrier Event Rate Source (“informationSource”): As specified by the parties. 

Barrier Level (“triggerRate”): As specified by the parties as a number of one Currency 

per the other Currency (“quotedCurrencyPair”, 

“currency1”, “currency2” and “quoteBasis”), for 

transactions which are not of Option Type Double OneTouch or Double No-Touch. 

Lower Barrier Level (“triggerRate”): As specified by the parties as a number of one Currency 

per the other Currency (“quotedCurrencyPair”, 

“currency1”, “currency2” and “quoteBasis”), for 

transactions which are of Option Type Double OneTouch or Double No-Touch. 

Upper Barrier Level (“triggerRate”): As specified by the parties as a number of one Currency 

per the other Currency (“quotedCurrencyPair”, 

“currency1”, “currency2” and “quoteBasis”), for 

transactions which are e of Option Type Double OneTouch or Double No-Touch. 

Event Period Start Date and Time 

(“observationStartDate”, “observationStartTime”): As specified by the parties. 

Event Period End Date and Time 

(“observationEndDate” “observationEndTime”): As specified by the parties. 

Calculation Agent: As specified by the parties. 

Business Days for Premium Payment Date: As specified by the parties. 

Business Days for Settlement Date: As specified by the parties. 

Business Days for Expiration Date: As specified by the parties. 

Business Days (General): As specified by the parties. 

Business Day Convention for Premium Payment Date: As specified by the parties. 

Business Day Convention for Expiration Date: As specified by the parties. 

Business Day Convention for Settlement Date: As specified by the parties. 

Event Currency: As specified by the parties if any Disruption Events are 

applicable. 

Disruption Events: As specified by the parties. 

Disruption Fallbacks: As specified by the parties for each Disruption Event 

applicable. 
Digital Foreign Exchange Options 

80

FX Digital Option Available Currencies and Principal Financial Centers 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Principal Financial Centers for 

Currency (FpML Codes) 

AUD Australian Dollar AUME and AUSY 

EUR Euro EUTA 

USD United States Dollar USNY 

FX Digital Option Available Currency Pairs, Minimum and Increment 

CALL

PUT AUD EUR USD

AUD Y Y

EUR Y Y

USD Y Y

The Minimum Amount for any currency pair is 5,000,000 of Settlement Amount in the Settlement Currency with an 

Increment of 5,000,000. 

FX Digital Option Requirements and Defaults 

Variable Requirement Default 

Event Period Start Date and Time: Trade Date and time 

Event Period End Date and Time: Expiration Date at Expiration Time 

Barrier Event Determination Agent: Calculation Agent 

Business Days for Premium 

Payment Date: 

At least one of the specified 

locations must be able to settle 

relevant Currency 

Principal Financial Center for 

Currency of Premium 

Business Days for Settlement Dates: The specified locations must at least 

be able to settle each Currency in the 

Currency Pair 

Principal Financial Center for each 

Currency of the Currency Pair 

Business Days for Expiration Dates: If Automatic Exercise does not 

apply, location of Seller 

If Automatic Exercise does apply, 

trading day for each Currency of 

Currency Pair 

Location of Seller and trading day 

for each Currency of Currency Pair 

Business Day Convention for 

Premium Payment Date: 

Cannot result in payment due prior 

to Trade Date 

Following 

Business Day Convention for 

Expiration Date: 

 Following 

Business Day Convention for 

Settlement Date 

Cannot result in payment due prior 

to Exercise Date 

Following 

Disruption Events: None 

Disruption Fallbacks: Required only if there are Disruption 

Events 

None 

FXO Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding 
Digital Foreign Exchange Options 

81

FX Digital Option Available Event Types 

Event Type

One-Touch Binary 

No-Touch Binary 

Double One-Touch Binary 

Double No-Touch Binary 

FX Digital Option Available Spot Exchange Rate Direction 

Spot Exchange Rate Direction

Greater than or equal to 

Less than or equal to 

FX Digital Option Available Barrier Event Rate Source 

Exchange Source 

AUD/EUR As agreed by the parties. 

AUD/USD As agreed by the parties. 

EUR/USD As agreed by the parties. 
Equity Index Swaps 

82 

Equity Index Swaps 

Terms and Conditions 

Summary: This covers equity index swaps (each, an “Equity Index 

Swap”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which an Equity Index Swap may be 

traded are shown below or in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made. 

For these purposes “TARGET” is considered a location. 

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

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

and will apply unless the parties vary them. 

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

variety of currencies. Since each national market has its 

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

Terms” may vary by currency. 

In some cases, the same contract might have different 

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

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

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) 2002 ISDA Equity Derivatives Definitions (“Equity 

Definitions”) 

(c) Annex IS to 2009 Americas Master Equity 

Derivatives Confirmation, to 2007 European Master 

Equity Derivatives Confirmation Agreement (for EMEA

indices, as indicated on the Equity Index Available

Indices attached) or to Second Revised 2005 AEJ 

Interdealer Master Equity Derivatives Confirmation 

Agreement (for AEJ indices, as indicated on the Equity 

Index Available Indices attached) 

(d) the Revised ISDA AEJ Reference Price Source 
Equity Index Swaps 

83

Matrix (June 25, 2009, or as updated effective prior to 

the Trade Date) (“AEJ Source”) 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity 

ISDA OTC Base Product: Swap 

ISDA OTC Sub-Product: Price Return Basic Performance 

ISDA OTC Transaction type: Single Index 

Further Limitations: None 

Terms:

Trade Date: As agreed by the parties. 

Strike Date: For a Forward Starting Transaction, as agreed by the 

parties (only for EMEA Indices). 

Forward Starting: As per Annex IS (only for EMEA Indices). 

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

below) agreed by the parties. 

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

accordance with any applicable Business Day 

Convention, or (ii) in the case of AEJ Indices, per Annex 

IS. 

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

Business Days (except for AEJ Indices). 

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

Business Day Conventions (except for AEJ Indices). 

Termination Date (“terminationDate”): Per Annex IS, unless otherwise specified by the parties. 

Index: As specified by the parties from among the Available 

Indices. 

Number of Index Units: As specified by the parties or, if not so specified, 

determined by Annex IS (except for AEJ Indices). 

Index Unit: Per Annex IS (except for AEJ Indices and EMEA 

Indices). 

Exchange(s): (i) Per Annex IS, unless otherwise specified by the

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties. 

Multiple Exchange Index Annex/Component Security 

Index Annex: 

Per Annex IS (EMEA Indices only). 

Related Exchanges: (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties. 

Hedging Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS. 

Determining Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS. 

Equity Amounts:

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

Equity Notional Amount: As specified by the parties. 

Equity Notional Reset: As per Annex IS. 

Type of Return: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless specified by the parties. 

Initial Price Election: As specified by the parties (in the case of an EMEA 

Index only). 

Initial Price: As specified by the parties and (other than in the case of 

AEJ Indices) adjusted in accordance with Annex IS. 
Equity Index Swaps 

84

Final Price Election: As specified by the parties (in the case of an EMEA 

Index only). 

Final Price: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions. 

Valuation Time: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions. 

Valuation Dates: As specified by the parties. 

Averaging Dates: In the case of AEJ Indices, as and if specified by the 

parties. 

Floating Amount:

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

Notional Amount (“notionalAmount”): (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions. 

Payment Dates: As per Annex IS, unless otherwise specified by the 

parties. 

Initial Floating Rate: As specified by the parties.

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

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

Linear Interpolation: For the Calculation Periods specified by the parties to the 

extent permitted by Annex IS. 

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

Spread: As specified by the parties. 

Day Count Fraction: As specified by the parties. 

Reset Dates (“resetDate”): As per Annex IS. 

Payment Dates Business Days: As per Annex IS. 

Business Days (Other Than Payment Dates): As specified by the parties. 

Business Day Convention (Other Than Payment Dates): As per Annex IS, unless otherwise specified by the

parties. 

Compounding: As specified by the parties (EMEA Indices only). 

Compounding Dates: As specified by the parties if Compounding is applicable 

(EMEA Indices only). 

Futures Price Valuation:

Futures Price Valuation: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties or, if not so specified, per the Equity

Definitions. 

Exchange-traded Contract: As specified in the Transaction Supplement. 

Adjustment to Section 6.8 of the Equity Definitions: As per Annex IS (other than in the case of AEJ Indices). 

Settlement Terms:

Cash Settlement: As per Annex IS. 

Settlement Currency: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties. 

FX Rate: As agreed by the parties or as specified by the parties 

from among the Available FX Rates. 
Equity Index Swaps 

85

Dividends:

Dividend Payment Date(s): If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as agreed by the parties or, absent such 

agreement, per the Equity Definitions. 

Dividend Period: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions. 

Dividend Amount: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions. 

Relevant Dividend: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions. 

Reinvestment of Dividends: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties. 

Dividend Recovery: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions. 

Declared Cash Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, (ii) in the case of 

AEJ Indices, as and if agreed by the parties, or (iii) in the 

case of EMEA Indices, as agreed by the parties. 

Declared Cash Equivalent Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as and if agreed by the parties. 

Index Adjustment Events:

Index Cancellation: As per Annex IS.

Index Modification: As per Annex IS.

Index Disruption: As per Annex IS.

Additional Disruption Events:

Change in Law: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS unless otherwise agreed by the parties. 

Insolvency Filing: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties or, absent such agreement, per the 

Equity Definitions. 

Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS (as applicable to the relevant country of 

underlier) unless otherwise agreed by the parties. 

Increased Cost of Hedging: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition. 

Consequences of Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition. 

Loss of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition. 
Equity Index Swaps 

86

Increased Cost of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition. 

Cancellation Amount: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition. 

Non-Reliance: As per Annex IS.

Agreements and Acknowledgements Regarding Hedging 

Activities: 

As per Annex IS.

Additional Acknowledgements: As per Annex IS. 

Index Disclaimer: As per Annex IS. 

Optional Early Termination: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, inapplicable. 

Break Funding Recovery: If Optional Early Termination is applicable, as specified 

by the parties. 

Break Fee: As specified by the parties in the case of EMEA Indices. 

Calculation Agent: (i) As agreed by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless otherwise agreed by the 

parties. 

Equity Index Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

AUD Australian Dollar AUSY 

CAD Canadian Dollar CATO 

EUR Euro EUTA 

GBP Sterling GBLO 

HKD Hong Kong Dollar HKHK 

JPY Japanese Yen JPTO 

KRW Korean Won KRSE 

SEK Swedish Krona SEST 

USD United States Dollars USNY 

Equity Index Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices 

Abbr Name 

AEX AEX Index (EMEA) 

AMZX Alerian MLP Index Total Return 

AMZIXVWAP Alerian MLP Infrastructure Index Total Return VWAP 

AS51 S&P/ASX 200 (AEJ) 

BEL20 BEL20 Index (EMEA) 

CAC Cotation Assistée en Continu 40 (EMEA) 
Equity Index Swaps 

87

DAX Deutscher Aktien Index (EMEA) 

DJITR Dow Jones Industrial Average Total Return 

DJUSRE Dow Jones U.S. Real Estate Index 

EWTRGSPC REUTERS – REU - S&P EW 500 INDEX 

FTSEMIB FTSE MIB Index (EMEA) 

GCUDCA MSCI Daily TR Gross Small Cap Canada USD 

GCUDUS MSCI Daily Total Return Gross Small Cap USA USD 

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends) 

GDDUCA MSCI Canada Index USD Daily Total Return (Gross Dividends) 

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends) 

GDDUNA MSCI North American Index USD Total Return (Gross Dividends) 

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ) 

HSI Hang Seng Index (AEJ) 

IBEX IBEX 35 Index(EMEA) 

IBOV BOVESPA Index 

IXBTR S&P 500 Material Select Sector Total Return 

IXCPR Communication Services Select Sector Index 

IXCTR Communication Services Select Sector Index TR

IXETR S&P 500 Energy Select Sector Total Return 

IXITR S&P 500 Industrials Select Sector Total Return 

IXMTR S&P 500 Financials Select Sector Total Return

IXRTR S&P 500 Consumer Staples Select Sector Total Return 

IXTTR S&P 500 Technology Select Sector Total Return

IXUTR S&P 500 Utilities Select Sector Total Return 

IXVTR S&P 500 Health Care Select Sector Total Return 

IXYTR S&P 500 Consumer Discretionary Select Sector Total Return 

KOSPI Korea Composite Stock Price Index (AEJ) 

M1CNA MSCI China A Inclusion USD Index (Net) 

MEXBOL Mexican IPC Index (Indice de Precios y Cotizaciones) 

MSLUELAN MSCI Emerging Markets Latin America Small Cap Index (USD) (Net Dividends) 

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends) 

NDDUEAFE MSCI EAFE Net Total Return USD Index 

NDDUNA MSCI North American Index USD Total Return (Net Dividends) 

NDDUUS MSCI US Index Total Return (Net Dividends) 

NDDUJN MSCI Japan Index Total Return (Net Dividends) 

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends) 

NDEUSCH MSCI Chile Index Total Return (Net Dividends) 

NDEUSCO MSCI Colombia Index Total Return (Net Dividends) 

NDEUSPR MSCI Peru Index Total Return (Net Dividends) 

NDUEBRAF MSCI Brazil Index USD Total Return (Net Dividends) 

NDUEEGFL MSCI Emerging Markets Latin America USD 

NDX NASDAQ-100 

NKY Nikkei 225 Index (AEJ) 

OEXT S&P 100 Total Return 

OMX OMX Stockholm 30 (EMEA) 

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return 

RU10INTR Russell 1000 Total Return 

RU10VATR Russell 1000 Value Total Return 

RU20GRTR Russell 2000 Growth Total Return 

RU20INTR Russell 2000 Total Return 

RU20VATR Russell 2000 Value Total Return 
Equity Index Swaps 

88

SP5LVIT S&P 500 Low Volatility Total Return Index 

SPSIBITR S&P Biotechnology Select Industry Total Return Index 

SPSIOP S&P Oil & Gas Exploration & Production Select Industry Index 

SPTRMDCP S&P MidCap 400 Total Return 

SPTRSMCP S&P SmallCap 600 Total Return 

SPXT S&P 500 Total Return 

SX5E Eurostoxx 50 Index (EMEA) 

TSX69 S&P/TSX 60 Index 

UKX FTSE 100 Index (EMEA) 

XNDX NASDAQ-100 Total Return 

XSOX PHLX Semiconductor Sector Index Total Return 

Equity Index Available FX Rates 

Currency Pair Available FX Rates 

KRW/USD BB: The rate implied by sourcing the Index on 

Bloomberg via “KOSPI>USD>GO” 

ISDA: The rate determined in accordance with the AEJ 

Source 

Equity Index Available Day Count Fractions 

ISDA Name 

1/1 

30/360, 360/360, Bond Basis 

Actual/360 

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

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

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

Equity Index Earliest and Latest Effective and Termination Dates 

Currency Earliest Effective 

Date 

Latest Effective Date Earliest Termination 

Date 

Latest Termination 

Date 

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

Equity Index Notional Amounts 

Currency Minimum Increment Maximum Default 

USD 10,000,000 1,000,000 N/A N/A 

Equity Index Floating Rate Options and Defaults 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional 

Business Day 

Locations 

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

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

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

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

AUD-BBR-BBSW-Bloomberg All quoted tenors N/A Per ISDA 2006 N 
Equity Index Swaps 

89

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional 

Business Day 

Locations 

AUD-BBR-BBSY (BID) All quoted tenors N/A Per ISDA 2006 N 

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

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

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

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

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

AUD-Quarterly Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N 

AUD-Semi-annual Swap RateICAP All quoted tenors N/A Per ISDA 2006 N 

AUD-Semi-Annual Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

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

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

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

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

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

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

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

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

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

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

Both Legs) 

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

Both Legs) 

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

Both Legs) 

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

Both Legs) 

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

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

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

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

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

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

EUR-Annual Swap Rate-10:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap Rate-10:00-

ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap Rate-10:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N 

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

EUR-Annual Swap Rate-11:00- All quoted tenors N/A Per ISDA 2006 N 
Equity Index Swaps 

90

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional 

Business Day 

Locations 

Bloomberg 

EUR-Annual Swap Rate-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap Rate-11:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N 

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

EUR-Annual Swap Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N 

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

EUR-EONIA-OIS-10:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

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

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

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

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

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

EUR-EURIBOR-Act/365-

Bloomberg All quoted tenors N/A Per ISDA 2006 N 

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

EUR-EURIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N 

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-EURIBOR Swap 

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

EUR-ISDA-EURIBOR Swap 

Rate-12:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR Swap Rate11:00 All quoted tenors N/A Per ISDA 2006 N 

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

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

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

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

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

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

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

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

91

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional 

Business Day 

Locations 

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

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

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

GBP USD-Basis Swaps-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N 

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

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

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

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

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

GBP-Semi-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual Swap Rate11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N 

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

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIBOR-ATHIBOR All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIMID-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIMID-Reuters All quoted tenors N/A Per ISDA 2006 N 

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

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

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBOR-HKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

HKD-HONIX-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N 

HKD-ISDA-Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

HKD-ISDA-Swap Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

HKD-Quarterly-Annual Swap 

Rate-4:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

HKD-Quarterly-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

JPY-BBSF-Bloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-BBSF-Bloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N 
Equity Index Swaps 

92

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional 

Business Day 

Locations 

JPY-ISDA-Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-ISDA-Swap Rate-15:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

JPY-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

JPY-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

JPY-MUTANCALL-TONAR All quoted tenors N/A Per ISDA 2006 N 

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (10 Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (5 Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (All Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (All Banks)-

Bloomberg All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N 

JPY-TONA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reuters-10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reuters-15:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Telerate-10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Telerate-15:00 All quoted tenors N/A Per ISDA 2006 N 

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N 

KRW-CD-KSDA-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

KRW-Quarterly Annual Swap 

Rate-3:30-ICAP 3M N/A Per ISDA 2006 N 

KRW-Bond-3222 3M N/A Per ISDA 2006 N 

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N 

SEK-Annual Swap Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N 

SEK-SIOR-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N 

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N 
Equity Index Swaps 

93

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional 

Business Day 

Locations 

USD-Annual Swap Rate-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-BA-Reference Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-BMA Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CD-Reference Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference BanksICAP SwapPX All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N 

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N 

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N 

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CP-Reference Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-Federal Funds-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N 

USD-Federal Funds-H.15-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

USD-Federal Funds-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

USD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

USD-OIS-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-LON-ICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps 

94

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional 

Business Day 

Locations 

USD-OIS-3:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

USD-S&P Index-High Grade All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N 

USD-SOFR-Compound N/A N/A N/A N 

USD-SIFMA Municipal Swap 

Index All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-H.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-Secondary Market All quoted tenors N/A Per ISDA 2006 N 

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N 

USD-TIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury Rate-ICAP 

BrokerTec All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury Rate-T19901 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury Rate-T500 All quoted tenors N/A Per ISDA 2006 N 

Equity Index Requirements and Defaults 

Date Requirement Default 

Effective Date Business Day 

Convention 

 No Adjustment 

Designated Maturities for Linear 

Interpolation 

 Tenors quoted next shorter and 

longer than the actual Calculation 

Period length 
Equity Index Variance Swaps 

95 

Equity Index Variance Swaps 

Terms and Conditions 

Summary: This covers equity index variance swaps (each, an 

“Equity Index Variance Swap”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which an Equity Index Variance Swap

may be traded are shown below or in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made. 

For these purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) 2002 ISDA Equity Derivatives Definitions 

(c) Annex IVS to 2007 Americas Master Variance Swap

Confirmation Agreement, to the Revised 2007 AEJ 

Master Variance Swap Confirmation Agreement for AEJ

indices or to the 2007 European Variance Swap Master 

Confirmation Agreement (as indicated on the Equity 

Index Available Indices attached) 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity 

ISDA OTC Base Product: Swap 

ISDA OTC Sub-Product: Parameter Return Variance 

ISDA OTC Transaction type: Single Index 

Further Limitations: None 

Terms:
Equity Index Variance Swaps 

96

Trade Date: As agreed by the parties. 

Effective Date (“effectiveDate”): As per Annex IVS 

Termination Date (“terminationDate”): As per Annex IVS 

Exchanges: As specified by the parties. 

Related Exchanges: As per Annex IVS 

Variance Buyer: As specified by the parties (other than for an AEJ or 

EMEA Index). 

Variance Seller: As specified by the parties (other than for an AEJ or 

EMEA Index). 

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As per Annex IVS 

Equity Notional Amount: As specified by the parties (other than for an EMEA 

Index). 

Variance Amount: As specified by the parties (for an EMEA Index) 

Equity Notional Reset: As per Annex IVS 

Type of Return: As per Annex IVS 

Initial Price: As per Annex IVS 

Final Price: As per Annex IVS 

Valuation Time: As per Annex IVS 

Observation Start Date: As specified by the parties or otherwise as per Annex 

IVS. 

Observation End Date: As per Annex IVS 

Observation Day: As per Annex IVS 

Non-Disrupted Observation Day: As per Annex IVS 

Observation Period: As per Annex IVS 

Futures Price Valuation: As specified by the parties or determined in accordance 

with Annex IVS. 

Default Exchange-traded Contract: As per Annex IVS

Equity Amount: As per Annex IVS

Variance Strike Price: As specified by the parties and calculated in accordance 

with Annex IVS. 

Variance Cap: As specified by the parties, or otherwise as per Annex 

IVS. 

Final Realized Volatility: As per Annex IVS 

Initial Index Level: As specified by the parties. 

Closing Index Level: If specified by the parties, and determined per Annex 

IVS. 

Expiring Contract Level: If specified by the parties or as determined per Annex 

IVS. 

Variance Amount: As specified by the parties. 

Volatility Strike Price: As specified by the parties if Variance Strike Price is not 

specified. 

Variance Strike Price: As specified by the parties if Volatility Strike Price is not 

specified, or calculated in accordance with Annex IVS. 

Variance Cap Amount: As specified by the parties or otherwise per Annex IVS. 

Final Realized Volatility (“FRV”): Per Annex IVS 

N: As specified by the parties or otherwise per Annex IVS 

(other than for an AEJ Index). 

ExpectedN: As specified by the parties or otherwise per Annex IVS 

(only for an AEJ Index). 

Market Disruption Event: As per Annex IVS 

Floating Amount:

Floating Amount: As per Annex IVS 

Settlement Terms:
Equity Index Variance Swaps 

97

Cash Settlement: As per Annex IVS 

Settlement Currency: As per Annex IVS 

Cash Settlement Payment Date: As per Annex IVS 

Index Adjustment Events:

Index Cancellation: As per Annex IVS 

Index Modification: As per Annex IVS 

Index Disruption: As per Annex IVS 

IVS Cancellation and Payment: As per Annex IVS 

Additional Disruption Events:

Change in Law: As per Annex IVS 

Non-Reliance: As per Annex IS 

Agreements and Acknowledgements Regarding Hedging 

Activities: 

As per Annex IS 

Additional Acknowledgements: As per Annex IS 

Index Disclaimer: As per Annex IS 

Calculation Agent: As agreed by the parties. 

Equity Index Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

CAD Canadian Dollars CATO 

EUR Euro EUTA 

GBP Pound Sterling GBLO 

Equity Index Available Indices 

Abbr Name 

DAX Deutscher Aktien Index (EMEA) 

DJITR Dow Jones Industrial Average Total Return 

DJUSRE Dow Jones U.S. Real Estate Index 

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends) 

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends) 

GDDUNA MSCI North American Index USD Total Return (Gross Dividends) 

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ) 

HSI Hang Seng Index (AEJ) 

IBOV BOVESPA Index 

KOSPI Korea Composite Stock Price Index (AEJ) 

MDCPSPTR S&P MidCap 400 Total Return 

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones) 

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends) 

NDDUNA MSCI North American Index USD Total Return (Net Dividends) 

NDDUUS MSCI US Index Total Return (Net Dividends) 

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends) 

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends) 

NDEUSCH MSCI Chile Index Total Return (Net Dividends) 

NDEUSCO MSIC Colombia Index Total Return (Net Dividends) 

NDUEEGFL MSCI Emerging Markets Latin America USD 

NDX NASDAQ-100 

OEXT S&P 100 Total Return 

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return 
Equity Index Variance Swaps 

98

RU10INTR Russell 1000 Total Return 

RU10VATR Russell 1000 Value Total Return 

RU20GRTR Russell 2000 Growth Total Return 

RU20INTR Russell 2000 Total Return 

RU20VATR Russell 2000 Value Total Return 

SMCPSPTR S&P SmallCap 600 Total Return 

SPXT S&P 500 Total Return 

SX5E Eurostoxx 50 Index (EMEA) 

UKX FTSE 100 Index (EMEA) 
Equity Index Volatility Swaps 

99 

Equity Index Volatility Swaps 

Terms and Conditions 

Summary: This covers equity index volatility swaps (each, an

“Equity Index Volatility Swap”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which an Equity Index Volatility Swap 

may be traded are shown below or in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made. 

For these purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) 2002 ISDA Equity Derivatives Definitions 

(c) Annex IVS to: (i) the 2006 Japan Master Variance 

Swap Confirmation Agreement for Japan Indices, (ii) the 

2007 Americas Master Variance Swap Confirmation 

Agreement, (iii) the Revised 2007 AEJ Master Variance 

Swap Confirmation Agreement for AEJ indices, or (iv) 

the 2007 European Variance Swap Master Confirmation

Agreement for EMEA Indices (as indicated on the 

Equity Index Volatility Swap –Available Indices below) 

(d) the Market Practice Statement for Variance Swap

Transactions Involving Japanese Shares or Indices 

Regarding When Exchange-Imposed Daily Price 

Limitations Would Constitute a Market Disruption Event 

Due To a Trading Disruption published by ISDA on 

October 22, 2009 (the “Japan Index Market Practice 

Statement”) 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 
Equity Index Volatility Swaps 

100

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity 

ISDA OTC Base Product: Swap 

ISDA OTC Sub-Product: Parameter Return Volatility 

ISDA OTC Transaction Type: Single Index 

Further Limitations: None. 

Terms:

Trade Date: As agreed by the parties. 

Effective Date (“effectiveDate”): As per Annex IVS (other than for a Japan Index). 

Termination Date (“terminationDate”): As per Annex IVS. 

Exchanges: As specified by the parties. 

Related Exchanges: As per Annex IVS. 

Volatility Buyer: Not applicable. 

Volatility Seller: Not applicable. 

Volatility Cap: If applicable, as specified by the parties. 

Index: As specified by the parties from among the Equity Index 

Volatility Swap – Available Indices (see below). 

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): The Volatility Seller. 

Equity Notional Amount: As specified by the parties (other than for an EMEA 

Index). 

Equity Notional Reset: As per Annex IVS. 

Type of Return: As per Annex IVS. 

Initial Price: As per Annex IVS. 

Final Price: As per Annex IVS. 

Valuation Time: As per Annex IVS. 

Observation Start Date: As specified by the parties or otherwise as per Annex 

IVS. 

Observation End Date: As per Annex IVS. 

Observation Day: As per Annex IVS (with Disrupted Date being 

determined, in the case of a Japan Index, in accordance 

with the Japan Index Market Practice Statement). 

Non-Disrupted Observation Day: As per Annex IVS.

Observation Period: As per Annex IVS.

Futures Price Valuation: As specified by the parties or determined in accordance 

with Annex IVS. 

Default Exchange-traded Contract: As per Annex IVS.

Equity Amount: The product of the Equity Notional Amount and the 

Final Realized Volatility (or, if there is a Volatility Cap, 

the lesser of the Realized Volatility or the Volatility 

Cap). 

Variance Strike Price: Not applicable. 

Variance Cap: Not applicable. 

Final Realized Volatility: As per Annex IVS. 

Initial Index Level: As specified by the parties. 

Closing Index Level: If specified by the parties, and determined per Annex 

IVS. 

Expiring Contract Level: If specified by the parties or as determined per Annex 

IVS. 

Variance Amount: Not applicable. 

Volatility Strike Price: Not applicable. 

Variance Strike Price: Not applicable. 

Variance Cap Amount: Not applicable. 

Final Realized Volatility (“FRV”): Per Annex IVS. 
Equity Index Volatility Swaps 

101

N: As specified by the parties or otherwise per Annex IVS 

(other than for an AEJ Index). 

Expected N: As specified by the parties or otherwise per Annex IVS 

(only for an AEJ Index). 

Market Disruption Event: As per Annex IVS. 

Fixed Amount:

Fixed Amount Payer: The Volatility Buyer. 

Fixed Amount: The product of the Equity Notional Amount and the 

Volatility Strike. 

Volatility Strike: As specified by the parties. 

Settlement Terms:

Cash Settlement: As per Annex IVS. 

Settlement Currency: As per Annex IVS. 

Cash Settlement Payment Date: As per Annex IVS. 

Index Adjustment Events:

Index Cancellation: As per Annex IVS. 

Index Modification: As per Annex IVS. 

Index Disruption: As per Annex IVS. 

IVS Cancellation and Payment: As per Annex IVS. 

Additional Disruption Events:

Change in Law: As per Annex IVS. 

Non-Reliance: As per Annex IVS. 

Agreements and Acknowledgements Regarding Hedging 

Activities: 

As per Annex IVS. 

Additional Acknowledgements: As per Annex IVS. 

Index Disclaimer: As per Annex IVS. 

Calculation Agent: As agreed by the parties. 

Equity Index Volatility Swap – Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

Equity Index Volatility Swap – Available Indices 

Abbr Name 

SPX S&P 500 Index 

SPXT S&P 500 Total Return 
Fixed for Floating Agricultural Swaptions 

102

Fixed for Floating Agricultural Swaptions 

Terms and Conditions 

Summary: This covers uncleared fixed for floating agricultural 

swaptions (“Fixed for Floating Agricultural Swaptions”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which Fixed for Floating Agricultural 

Swaptions may be traded are shown below and in the 

attached tables. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”) 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity 

ISDA OTC Base Product: Agricultural 

ISDA OTC Settlement type: Cash 

Further Limitations: None 

Trade Date: As agreed by the parties. 

Option Style: As specified by the parties from among the Available 

Option Styles. 

Option Type: Swaption 

Buyer: As specified by the parties. 

Seller: As specified by the parties. 

Total Premium: As specified by the parties. 

Premium Payment Date(s): As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention. 

Premium Payment Date Business Days: Per the Available Currencies, plus such additional 

Business Days as the parties specify. 

Premium Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions. 

Physical/Contract Settlement: Applicable 

Procedure for Exercise: 

Exercise Period: For an American Option, the period of days and the 

times on such days specified by the parties. 

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties. 

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties. 

Automatic Exercise: Applicable, unless otherwise specified by the parties. 

Written Confirmation: As specified by the parties. 

Seller’s Notice Information: As specified by the Seller. 

Terms of the Underlying Transaction to which the Swaption Relates:

Trade Date: As agreed by the parties. 

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

Effective Date Business Days: None, unless specified by the parties. 

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions. 

Termination Date: As specified by the parties. 

Termination Date Business Days: None, unless specified by the parties. 
Fixed for Floating Agricultural Swaptions 

103

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions. 

Commodity: As specified by the parties from among the Available 

Commodities. 

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period. 

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis. 

Calculation Periods: As specified by the parties. 

Calculation Period Business Days: None, unless specified by the parties. 

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention. 

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days. 

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Amount:

Fixed Price Payer: As specified by the parties. 

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall. 

Floating Amount:

Floating Price Payer: As specified by the parties. 

Applicable Spread: As specified by the parties. 

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices. 

Market Disruption: 

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Additional Market Disruption Events: As specified by the parties. 

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Fallback Reference Price: None, unless specified by the parties. 

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Calculation Agent: As agreed by the parties. 
Fixed for Floating Agricultural Swaptions 

104

Fixed for Floating Agricultural Swaptions Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

EUR Euro EUTA 

GBP Sterling GBLO 

Fixed-for-Floating Agricultural Swaptions Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding 

Fixed-for-Floating Agricultural Swaptions Available Commodity Reference Prices 

ISDA Definitions 

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

 

1

 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007. 

ISDA Definition 

COCOA-GBP-EURONEXT 

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT 

CORN-CBOT 

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME 

MILK-CLASS III-CME 

MILK-CLASS IV-CME 

SOYBEAN-CBOT 

SOYBEAN MEAL-CBOT 

SOYBEAN OIL-CBOT 

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT 

WHEAT HRM-KCBOT 

WHITE SUGAR-EURONEXT 
Fixed for Floating Agricultural Swaptions 

105

Exchange Definitions 

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions. 

ISDA Definition 

Commodity 

Reference 

Price 

Relevant 

Commodity 

Relevant Unit Exchange Currency Specified Price 

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price 

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME 

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCME Dry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX 

Wheat Bushel Minneapolis 

Grain Exchange 

USD 0.01 Settlement Price 

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE 

EUR 0.01 Settlement Price 

NONFAT DRY 

MILK-CME 

Non-Fat Dry 

Milk 

Pound CME Globex USD 0.01 Settlement Price 

RAPESEEDEURONEXT Rapeseed Tonne EURONEXT 

LIFFE 

EUR 0.01 Settlement Price 
Fixed for Floating Agricultural Swap Contracts 

106 

Fixed for Floating Agricultural Swap Contracts 

Terms and Conditions 

Summary: This covers uncleared fixed-for-floating agricultural 

swaps (“Fixed for Floating Agricultural Swap 

Contracts”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which Fixed for Floating Agricultural 

Swap Contracts may be traded are shown below and in

the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”) 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity 

ISDA OTC Base Product: Agricultural 

ISDA OTC Settlement type: Cash 

Further Limitations: None 

Terms:

Trade Date: As agreed by the parties. 

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

Effective Date Business Days: None, unless specified by the parties. 

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions. 

Termination Date: As specified by the parties. 

Termination Date Business Days: None, unless specified by the parties. 

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions. 

Commodity: As specified by the parties from among the Available 

Commodities. 

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period. 

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis. 

Calculation Periods: As specified by the parties. 

Calculation Period Business Days: None, unless specified by the parties. 

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention. 
Fixed for Floating Agricultural Swap Contracts 

107

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days. 

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Amount:

Fixed Price Payer: As specified by the parties. 

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall. 

Floating Amount:

Floating Price Payer: As specified by the parties. 

Applicable Spread: As specified by the parties. 

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices. 

Market Disruption: 

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Fallback Reference Price: None, unless specified by the parties. 

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Calculation Agent: As agreed by the parties. 

Fixed-for-Floating Agricultural Swap Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

EUR Euro EUTA 

GBP Sterling GBLO 

Fixed-for-Floating Agricultural Swap Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest

Preceding

Fixed-for-Floating Agricultural Swap Available Commodity Reference Prices 

ISDA Definitions 

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

ISDA Definition 

COCOA-GBP-EURONEXT 
Fixed for Floating Agricultural Swap Contracts 

108

Exchange Definitions 

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions. 

 ISDA Definition 

Commodity 

Reference 

Price 

Relevant 

Commodity 

Relevant Unit Exchange Currency Specified Price 

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price 

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price 

CRUDE PALM 

OIL-CME 

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price 

DRY WHEYCME Dry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX 

Wheat Bushel Minneapolis 

Grain Exchange 

USD 0.01 Settlement Price 

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE 

EUR 0.01 Settlement Price 

NONFAT DRY 

MILK-CME 

Non-Fat Dry 

Milk 

Pound CME Globex USD 0.01 Settlement Price 

RAPESEEDEURONEXT Rapeseed Tonne EURONEXT 

LIFFE 

EUR 0.01 Settlement Price 

 

1

 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007. 

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT 

CORN-CBOT 

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME 

MILK-CLASS III-CME 

MILK-CLASS IV-CME 

SOYBEAN-CBOT 

SOYBEAN MEAL-CBOT 

SOYBEAN OIL-CBOT 

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT 

WHEAT HRM-KCBOT 

WHITE SUGAR-EURONEXT 
Fixed for Floating Interest Rate Swaps 

109 

Fixed for Floating Interest Rate Swaps 

Terms and Conditions 

Summary: This covers uncleared fixed for floating interest rate 

swaps (“Fixed for Floating Interest Rate Swap 

(Uncleared)”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Fixed for Floating Interest Rate 

Swap (Uncleared) contract may be traded are as 

specified in these terms and conditions or in the attached 

tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies) 

(c) ISDA OTC Taxonomies 

(d) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 
Fixed for Floating Interest Rate Swaps 

110 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product: Fixed Floating 

Further Limitations: None 

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties. 

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”). 

Effective Date Business Days: As specified by the parties from among the Available 

Business Days. 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”). 

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Fixed Rate Period End Dates (“unadjustedCalculation

Period Date”): 

As specified by the parties. 

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties. 

Day Count Fraction: As specified by the parties. 

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days. 

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Period End Dates (“unadjustedCalculation Period 

Date”): 

As specified by the parties. 

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Payment Dates (“unadjustedPaymentDate”): As specified by the parties. 

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties. 

Designated Maturity (‘indexTenor”): As specified by the parties. 

Linear Interpolation: For the Calculation Periods specified by the parties. 

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 
Fixed for Floating Interest Rate Swaps 

111 

applies, as specified by the parties. 

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

Spread: As specified by the parties. 

Day Count Fraction: As specified by the parties. 

Reset Dates (“resetDate”): As specified by the parties. 

Method of Averaging: As specified by the parties. 

Compounding: As specified by the parties. 

Compounding Dates: In the event Compounding is selected, as selected by the 

parties. 

Compounding Method (Compounding OR Flat 

Compounding): 

In the event Compounding is selected, as selected by the 

parties. 

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days. 

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Mark-to-Market Currency Swap: 

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are 

in different Currencies. 

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap. 

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap. 

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is not 

applicable. 

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap. 

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties. 

Floating Payer Initial Exchange Amount: As specified by the parties. 

Currency: As specified from the parties from the Available 

Currencies. 

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies. 

Final Exchange:

Final Exchange Date: As specified by the parties. 

Fixed Rate Payer Final Exchange Amount: As specified by the parties. 

Fixed Payer Final Exchange Amount: As specified by the parties. 

Currency: As specified from the parties from the Available 

Currencies. 
Fixed for Floating Interest Rate Swaps 

112 

Optional Early Termination:

Optional Early Termination: As specified by the parties. 

Option Style: As specified by the parties. 

Optional Early Termination Date: As specified by the parties. 

Seller: As specified by the parties if only one party can 

terminate. 

Buyer: As specified by the parties, if only one party can 

terminate. 

Seller’s Agent: As specified by the parties, if only one party can 

terminate. 

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Exercise Business Days: As specified by the parties. 

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American. 

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda. 

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties. 

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European. 

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda. 

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified. 

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified. 

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified. 

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties. 

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Transaction. 

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a cross currency Transaction whose 

currencies are listed as a “currency pair” in the Cross 

Currency Settlement Matrix. 

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Payment Date Business Days 

Convention: 

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix. 

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 
Fixed for Floating Interest Rate Swaps 

113 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix. 

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix. 

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable. 

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties. 

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates. 

Calculation Agent: As agreed by the parties. 

Fixed Floating Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

AUD Australian Dollar AUSY 

BRL Brazilian Reai Any of BR{SP,RJ,BR} and not 

otherwise declared a market 

holiday by the BM&F 

CAD Canadian Dollar CATO 

CHF Swiss Franc CHZU 

CLP Chilean Peso CLSA 

CNH Chinese Renminbi (HK) HKHK and CNBE 

CNY Chinese Renminbi CNBE 

COP Colombian Peso COBO 

CZK Czech Koruna CZPR 

DKK Danish Krone DKCO 

EUR Euro EUTA 

GBP Sterling GBLO 

HKD Hong Kong Dollar HKHK 

HUF Hungarian Forint HUBU 

ILS Israeli Shekel ILTA 

INR Indian Rupee INMU 

JPY Japanese Yen JPTO

KRW Korean Won KRSE

MXN Mexican Peso (New) MXMC

MYR Malaysian Ringgit MYKL

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PHP Phillipine Peso PHMA

PLN Polish Zloty PLWA

RON Romanian Leu ROBU

RUB Russian Ruble RUMO

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

THB Thai Baht THBA
Fixed for Floating Interest Rate Swaps 

114 

TRY Turkish Lira TRIS 

TWD Taiwan Dollar TWTA 

USD United States Dollars USNY 

ZAR South African Rand ZAJO 

Fixed Floating Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

No Adjustment 

Preceding 

FRN Convention/Eurodollar Convention 

Fixed Floating Available Day Count Fractions 

ISDA Name 

1/1 

30/360, 360/360, Bond Basis 

Actual/360 

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Default Effective Dates 

Currency Default Effective Date 

All Currencies Other than CAD, GBP Plus Two Banking Days 

CAD, GBP Plus Zero 

Fixed Floating Earliest and Latest Effective and Termination Dates 

Currency Earliest Effective 

Date 

Latest Effective 

Date 

Earliest Termination 

Date 

Latest Termination 

Date 

N/A N/A N/A N/A N/A 

Fixed Floating Notional Amounts 

Currency Minimum Increment Maximum Default 

AUD 25,000,000 100,000 N/A N/A 

BRL 5,000,000 100,000 N/A N/A 

CAD 25,000,000 1,000,000 N/A N/A 

CHF 5,000,000 100,000 N/A N/A 

CLP 5,000,000 100,000 N/A N/A 

CNH 5,000,000 100,000 N/A N/A 

CNY 5,000,000 100,000 N/A N/A 

COP 5,000,000 100,000 N/A N/A 

CZK 5,000,000 100,000 N/A N/A 

DKK 5,000,000 100,000 N/A N/A 

EUR 25,000,000 100,000 N/A N/A 

GBP 25,000,000 100,000 N/A N/A 

HKD 25,000,000 100,000 N/A N/A 

HUF 5,000,000 100,000 N/A N/A 

ILS 5,000,000 100,000 N/A N/A 
Fixed for Floating Interest Rate Swaps 

115 

INR 5,000,000 100,000 N/A N/A 

JPY 2,500,000,000 100,000,000 N/A N/A 

KRW 5,000,000 100,000 N/A N/A 

MXN 10,000,000 1,000,000 N/A N/A 

MYR 5,000,000 100,000 N/A N/A 

NOK 5,000,000 100,000 N/A N/A 

NZD 5,000,000 100,000 N/A N/A 

PHP 5,000,000 100,000 N/A N/A 

PLN 5,000,000 100,000 N/A N/A 

RON 5,000,000 100,000 N/A N/A 

RUB 5,000,000 100,000 N/A N/A 

SAR 5,000,000 100,000 N/A N/A 

SEK 5,000,000 100,000 N/A N/A 

SGD 5,000,000 100,000 N/A N/A 

THB 5,000,000 100,000 N/A N/A 

TRY 5,000,000 100,000 N/A N/A 

TWD 5,000,000 100,000 N/A N/A 

USD 25,000,000 1,000,000 N/A N/A 

ZAR 5,000,000 100,000 N/A N/A 

Fixed Floating Rate Options and Defaults 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

AUD-AONIA-OISCOMPOUNDSwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N 

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N 

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N 

AUD-Semi-Annual 

Swap Rate-ICAP- All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

116 

Reference Banks 

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N 

BRL-CDI-CETIP See below N/A See below See below 

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N 

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N 

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N 

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N 

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N 

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N 

CAD-TBILL-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N 

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N 

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N 

CHF-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

117 

CLP-CLICPBloomberg All quoted tenors N/A Per ISDA 2006 N 

CNH-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

CNH-HIBOR-TMA All quoted tenors N/A Per ISDA 2006 N

CNYCNREPOFIX=CFXSReuters 

All quoted tenors N/A Per ISDA 2006 N 

CNY-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

CNY-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

CNY-SHIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N 

COP-IBR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

CZK-Annual Swap 

Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

CZK-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

CZK-PRIBOR-PRBO All quoted tenors N/A Per ISDA 2006 N 

CZK-PRIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N 

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

DKK-CIBOR2-

DKNA13 All quoted tenors N/A Per ISDA 2006 N 

DKK-CITA-DKNA14-

COMPOUND All quoted tenors N/A Per ISDA 2006 N 

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

118 

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OISCOMPOUNDBloomberg 

All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N 

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

119 

Swap Rate-10:00 

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIBORATHIBOR All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

120 

GRD-ATHIBORTelerate All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIMIDReference Banks All quoted tenors N/A Per ISDA 2006 N 

GRD-ATHIMIDReuters All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBOR-HIBORBloomberg All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBOR-HKABBloomberg All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N 

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

HKD-ISDA-Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

HKD-ISDA-Swap 

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N 

HKD-Quarterly-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

HKD-Quarterly-Annual 

Swap Rate-4:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

HKD-Quarterly-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

HUF-BUBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

HUF-BUBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N 

INR-FBIL-MIBOROIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N 

JPY USD-Basis Swaps11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

JPY-BBSF-Bloomberg10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-BBSF-Bloomberg15:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

121 

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs) 

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N 

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (All 

Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (All 

Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N 

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N 

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N 

KRW-CD-KSDABloomberg All quoted tenors N/A Per ISDA 2006 N 

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N 

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

122 

MXN-TIIE-BanxicoReference Banks All quoted tenors N/A Per ISDA 2006 N 

MYR-KLIBOR-BNM All quoted tenors N/A Per ISDA 2006 N 

MYR-KLIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N 

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N 

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N 

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N 

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N 

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N 

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

NZD-Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N 

NZD-Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N 

PHP-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

PHP-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

PLN-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

PLN-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N 

PLZ-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

PLZ-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N 

RON-RBOR-Reuters All quoted tenors N/A Per ISDA 2006 N 

RUB-Annual Swap 

Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

RUB-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

RUB-MOSPRIMENFEA All quoted tenors N/A Per ISDA 2006 N 

RUB-MOSPRIMEReference Banks All quoted tenors N/A Per ISDA 2006 N 

SAR-SRIOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

123 

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N 

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N 

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N 

SGD-Semi-Annual 

Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N 

SGD-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

SGD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N 

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N 

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N 

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N 

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N 

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N 

THB-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

THB-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

THB-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

THB-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N 

THB-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

124 

THB-THBFIX-Reuters All quoted tenors N/A Per ISDA 2006 N 

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N 

TWD-QuarterlyAnnual Swap Rate11:00-BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

TWD-QuarterlyAnnual Swap RateReference Banks 

All quoted tenors N/A Per ISDA 2006 N 

TWD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

TWD-Reuters-6165 All quoted tenors N/A Per ISDA 2006 N 

TWD-Telerate-6165 All quoted tenors N/A Per ISDA 2006 N 

TWD-TWCPBA All quoted tenors N/A Per ISDA 2006 N 

USD-Annual Swap 

Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N 

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N 

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15-OISCOMPOUND 

All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

125 

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-SOFRCOMPOUND All quoted tenors N/A 

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006 

No 

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaps 

126 

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N 

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N 

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N 

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N 

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

VND-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N 

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N 

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N 

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N 

ZAR-PRIMEAVERAGE-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

Definition of BRL Floating Rate Option 

Floating Amount: Notwithstanding anything to the contrary 

	 
 × 67 
 × 81 +

0
 
1

252 ; − 1

4

153



+,+

4

-

Where: 

N=number of Reset Dates in the Calculation Period 

j=a particular Reset Date 

Relevant Rate=the Relevant Rate for instance j of Reset Date 

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de 
Fixed for Floating Interest Rate Swaps 

127 

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account. 

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties. 

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days). 

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll. 

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent. 

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices). 

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days. 

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F. 
Fixed for Floating Interest Rate Swaps 

128 

Definition of USD-SOFR-COMPOUND 

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006 

Prior to such date: 

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the 

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it 

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as 

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the 

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which 

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is 

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of OBFR 

has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be permanently 

or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or other official 

sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to, Swap 

Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period occurring on 

or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR 

were references to the FOMC Target Rate. 

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if 

necessary, in accordance with the method set forth in Section 8.1(a): 

1+

SOFRi × ni

360 

do

i=1

-1×

360

d

where: 

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the 

relevant Calculation Period; 

 

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities 

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in the 

relevant Calculation Period; 

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New 

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website; 

 

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities 

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a 

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as 

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was published 

on the Federal Reserve’s Website; 

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi; 
Fixed for Floating Interest Rate Swaps 

129 

 

“d” is the number of calendar days in the relevant Calculation Period; 

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following 

events: 

(d) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR) 

announcing that it has ceased or will cease to provide SOFR permanently or indefinitely, provided that, at that

time, there is no successor administrator that will continue to provide SOFR; 

(e) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a 

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely,

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or 

(f) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to, but 

need not be limited to, Swap Transactions, including existing Swap Transactions; 

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor

administrator of SOFR) ceases to publish SOFR or the date as of which SOFRmay no longer be used; and 

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York, 

as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website. 

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and published 

on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single rate, the midpoint of the short-term interest rate target range set by the Federal Open Markets Committee and published on the 

Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target range and the lower 

bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c)) 

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at 

http://www.federalreserve.gov, or any Successor Source. 

Fixed Floating Requirements and Defaults 

(Excluding Optional Early Termination and Mandatory Early Termination) 

Variable Requirement Default 

Effective Date Business Day 

Convention: 

 No Adjustment 

Termination Date Business Day 

Convention: 

 No Adjustment 

Period End Dates: Payment Dates 

Payment Date Business Day 

Convention: 

 Modified Following 

Linear Interpolation: Applicable only to long or short stub 

periods 

Designated Maturities for Linear 

Interpolation: 

 Tenors quoted next shorter and 

longer than the actual Calculation 

Period length 

Compounding: Inapplicable

Compounding Business Day 

Convention: 

Same as Business Day Convention 

for Period End Dates 
Fixed for Floating Interest Rate Swaps 

130 

Method of Averaging: Weighted Average or Unweighted

Average 

Unweighted Average 

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix: Applicable (to Mark-to-Market 

Cross Currency Swaps) 

 Initial Exchange Date: Effective Date 

Initial Exchange Date Business Day 

Convention: 

 Following 

Interim Exchange Date Business 

Day Convention: 

 Modified Following 

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention: 

Modified Following

Fixed Floating Requirements and Defaults 

(Optional Early Termination and Mandatory Early Termination) 

Setting Requirement Default 

Optional Early Termination: Inapplicable 

Mandatory Early Termination: Inapplicable 

Option Style: American, Bermuda, European 

Cash Settlement: Required for Mandatory Early 

Termination 

Applicable (i.e., Transaction is not

“torn up for no value”) 

Optional Early Termination Date: Cash Settlement Payment Date 

Optional Early Termination Date 

Business Day Convention: 

 Following 

Mandatory Early Termination Date 

Business Day Convention 

 Modified Following 

Fixed Floating Requirements and Defaults 

(Optional Early Termination—Exercise) 

Setting Requirement Default 

Commencement Date: American only 

Partial Exercise: Inapplicable 

Multiple Exercise: Inapplicable 

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR) 

Latest Exercise Time: On Expiration Date, the Expiration 

Time 

Other than Expiration Date, the 

Expiration Time 

Fixed Floating Requirements and Defaults 

(Cash Settlement) 

Setting Requirement/Choices Default 

Cash Settlement Amount: 

ISDA Cross Currency Settlement 

Matrix: 

 Applicable, if cross currency swap 

with currency pair included in 

Matrix 

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix 

Cash Settlement Valuation Time: 
Fixed for Floating Interest Rate Swaps 

131 

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg” 

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s) 

Cash Settlement Payment Date 

Business Day Convention: 

 Following 

Cash Settlement Method: Cash Price 

Cash Price—Alternate Method 

Collateralized Cash Price 

Par Yield Curve—Adjusted 

Par Yield Curve—Unadjusted 

Zero Coupon Yield—Adjusted 

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount 

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks 

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions 

Quotation Rate: bid 

ask 

mid 

Exercising Party Pays (Optional 

Early Termination Only) 
Fixed for Floating Interest Rate Swaptions 

132 

Fixed for Floating Interest Rate Swaptions 

Terms and Conditions 

Summary: This covers fixed for floating interest rate swaptions 

(“Fixed for Floating Interest Rate Swaptions”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Fixed for Floating Interest Rate 

Swaption may be traded are as specified in these terms 

and conditions and in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies) 

(c) ISDA OTC Taxonomies 

(d) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product: Fixed Floating 

Further Limitations: None 

Terms:

Terms of “Underlying Swap Transaction”:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties. 

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 
Fixed for Floating Interest Rate Swaptions 

133 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”). 

Effective Date Business Days: As specified by the parties from among the Available 

Business Days. 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”). 

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Fixed Rate Period End Dates (“unadjustedCalculation

Period Date”): 

As specified by the parties. 

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties. 

Day Count Fraction: As specified by the parties. 

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days. 

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Period End Dates (“unadjustedCalculation Period 

Date”): 

As specified by the parties. 

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Payment Dates (“unadjustedPaymentDate”): As specified by the parties. 

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties. 

Designated Maturity (‘indexTenor”) As specified by the parties. 

Linear Interpolation: For the Calculation Periods specified by the parties. 

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

Spread: As specified by the parties. 

Day Count Fraction: As specified by the parties. 

Reset Dates (“resetDate”): As specified by the parties. 

Method of Averaging: As specified by the parties. 

Compounding: As specified by the parties. 

Compounding Dates In the event Compounding is selected, as selected by the 
Fixed for Floating Interest Rate Swaptions 

134 

parties. 

Compounding Method (Compounding OR Flat 

Compounding): 

In the event Compounding is selected, as selected by the 

parties. 

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days. 

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Swaption Terms:

Option Style: As specified by the parties. 

Seller: As specified by the parties. 

Buyer: As specified by the parties. 

Seller's Agent: As specified by the parties. 

Premium: As specified by the parties. 

Premium Payment Date: As specified by the parties. 

Business Day Convention for Premium Payment Date: As specified by the parties. 

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Exercise Business Days: As specified by the parties. 

Swaption Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American. 

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda. 

Expiration Date: As specified by the parties. 

Expiration Time: As specified by the parties. 

Earliest Exercise Time: As specified by the parties. 

Latest Exercise Time: As specified by the parties. 

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European. 

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda. 

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified. 

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified. 

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified. 

Automatic Exercise: As specified by the parties. 

Threshold: As specified by the parties if Automatic Exercise is 

specified. 

Fallback Exercise: As specified by the parties (if required) . 

Swaption Settlement Terms:

Cash Settlement As specified by the parties. 

Physical Settlement As specified by the parties. 

Cleared Physical Settlement As specified by the parties. 

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 
Fixed for Floating Interest Rate Swaptions 

135 

applicable to a single currency Underlying Swap 

Transaction. 

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable and the Underlying Swap Transaction is a

cross-currency Transaction where the currency pair is 

included in the Matrix. 

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Payment Date Business Days 

Convention: 

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix. 

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix. 

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix. 

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable. 

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties. 

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates. 

Calculation Agent: As agreed by the parties. 
Fixed for Floating Interest Rate Swaptions 

136 

Fixed Floating Swaptions Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

AUD Australian Dollar AUSY 

CAD Canadian Dollar CATO 

CHF Swiss Franc CHZU 

EUR Euro EUTA 

GBP Sterling GBLO 

ILS Israeli Shekel ILTA 

JPY Japanese Yen JPTO 

MXN Mexican Peso (New) MXMC 

SAR Saudi Arabian Riyal SARI 

SEK Swedish Krona SEST 

SGD Singapore Dollar SGSI 

TRY Turkish Lira TRIS 

USD United States Dollars USNY 

ZAR South African Rand ZAJO 

Fixed Floating Swaptions Available Business Day Conventions 

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Swaptions Underlying Swap Transaction Available Day Count Fractions 

ISDA Name 

1/1 

30/360, 360/360, Bond Basis 

Actual/360 

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F 

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA) 

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA) 

Fixed Floating Swaptions Default Effective Dates 

Currency Default Effective Date 

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days 

MXN Plus One Banking Day 

CAD, GBP Plus Zero 

Fixed Floating Earliest and Latest Effective and Termination Dates 

Currency Earliest Effective 

Date 

Latest Effective 

Date 

Earliest Termination 

Date 

Latest Termination 

Date 

N/A N/A N/A N/A N/A 
Fixed for Floating Interest Rate Swaptions 

137 

Fixed Floating Swaptions Underlying Swap Transaction Notional Amounts 

Currency Minimum Increment Maximum Default 

AUD 25,000,000 100,000 N/A N/A 

CAD 5,000,000 100,000 N/A N/A 

CHF 10,000,000 1,000,000 N/A N/A 

EUR 25,000,000 100,000 N/A N/A 

GBP 25,000,000 100,000 N/A N/A 

ILS 5,000,000 100,000 N/A N/A 

JPY 2,500,000,000 100,000,000 N/A N/A 

MXN 10,000,000 1,000,000 N/A N/A 

SAR 5,000,000 100,000 N/A N/A 

SEK 5,000,000 100,000 N/A N/A 

SGD 5,000,000 100,000 N/A N/A 

TRY 5,000,000 100,000 N/A N/A 

USD 25,000,000 1,000,000 N/A N/A 

ZAR 5,000,000 100,000 N/A N/A 

Fixed Floating Swaptions Underlying Swap Transaction Rate Options and Defaults 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

AUD-AONIA-OISCOMPOUNDSwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N 

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N 

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N 

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N 

AUD-Semi-Annual 

Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N 

AUD-Swap Rate- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions 

138 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

Reuters 

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N 

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N 

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N 

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N 

CAD-TBILL-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 N 

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N 

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaptions 

139 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OISCOMPOUNDBloomberg 

All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaptions 

140 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

GBP-SONIA-OIS- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions 

141 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

11:00-ICAP 

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N 

JPY USD-Basis Swaps11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

JPY-BBSF-Bloomberg10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-BBSF-Bloomberg15:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs) 

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N 

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (All 

Banks) All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBM (All 

Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaptions 

142 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N 

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N 

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N 

SAR-SRIOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N 

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N 

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N 

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N 

SGD-Semi-Annual 

Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N 

SGD-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

SGD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N 

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaptions 

143 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N 

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N 

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N 

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N 

TRY-Annual Swap 

Rate-11:15-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

TRY-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

TRY-TRYIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N 

USD-Annual Swap 

Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N 

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N 

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N 

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Federal Funds- All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaptions 

144 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

H.15-Bloomberg 

USD-Federal FundsH.15-OISCOMPOUND 

All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N 

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-H.15- All quoted tenors N/A Per ISDA 2006 N 
Fixed for Floating Interest Rate Swaptions 

145 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

Bloomberg 

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N 

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N 

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N 

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

VND-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N 

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N 

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N 

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N 

ZAR-PRIMEAVERAGE-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

Fixed Floating Swaption Underlying Swap Transaction Requirements and Defaults 

Variable Requirement Default 

Effective Date Business Day 

Convention 

 No Adjustment 

Termination Date Business Day 

Convention 

 No Adjustment 

Period End Dates Payment Dates 

Payment Date Business Day 

Convention 

 Modified Following 

Linear Interpolation Applicable only to long or short stub 

periods 
Fixed for Floating Interest Rate Swaptions 

146 

Designated Maturities for Linear 

Interpolation 

 Tenors quoted next shorter and 

longer than the actual Calculation 

Period length 

Compounding Inapplicable 

Compounding Business Day 

Convention 

Same as Business Day Convention 

for Period End Dates 

Method of Averaging Weighted Average or Unweighted 

Average 

Unweighted Average 

Compounding Method Compounding or Flat Compounding Compounding 

Fixed Floating Swaption Requirements and Defaults 

Setting Requirement Default

Option Style: American, Bermuda, European

Premium Payment Date Business 

Day Convention 

Following

Fixed Floating Swaption Requirements and Defaults 

(Swaption—Exercise) 

Setting Requirement Default 

Commencement Date: American only 

Partial Exercise: Inapplicable 

Multiple Exercise: Inapplicable 

Exercise Business Day Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR) 

Latest Exercise Time On Expiration Date, the Expiration 

Time 

Other than Expiration Date, the 

Expiration Time 

Automatic Exercise 

Threshold 

Fixed Floating Swaption Requirements and Defaults 

(Swaption Cash Settlement) 

Setting Requirement/Choices Default 

Cash Settlement Amount 

ISDA Settlement Matrix Applicable, if single currency swap 

with Currency included in Matrix 

ISDA Cross Currency Settlement 

Matrix 

Applicable, if cross currency swap 

with currency pair included in 

Matrix 

Cash Settlement Valuation Time 

Cash Settlement Valuation Date Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg” 

Valuation Business Day Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s) 
Fixed for Floating Interest Rate Swaptions 

147 

Cash Settlement Payment Date 

Business Day Convention 

 Following 

Cash Settlement Method Cash Price 

Cash Price—Alternate Method 

Collateralized Cash Price 

Par Yield Curve—Adjusted 

Par Yield Curve—Unadjusted 

Zero Coupon Yield—Adjusted 

Cash Settlement Currency For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount 

Settlement Rate ISDA Source/Other Price 

Source/Reference Banks 

Cash Settlement Reference Banks Fallbacks per ISDA 2006 

Definitions 

Quotation Rate bid 

ask 

mid 
Forward Rate Agreements (Uncleared) 

148 

Forward Rate Agreements (Uncleared) 

Terms and Conditions 

Summary: This covers uncleared forward rate agreements 

(“Forward Rate Agreements” or “FRAs”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which an FRA may be traded are as 

specified in these terms and conditions and in the 

attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET”/EUTA is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or 

“Default Terms” may vary by currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market. 

Incorporated Standards: These terms and conditions incorporate by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) ISDA OTC Taxonomies 

(c) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML 5.2.4 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: FRA 

ISDA OTC Sub-Product: N/A 

Further Limitations: None 
Forward Rate Agreements (Uncleared) 

149 

Terms: 

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties. 

Effective Date (“adjustedEffectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date (“adjustedTerminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Rate Payer (“buyerPartyReference”): As specified by the parties. 

Fixed Rate (“fixedRate”): As specified by the parties. 

Floating Rate Payer (“sellerPartyReference”): As specified by the parties. 

Payment Date (“paymentDate”): As specified by the parties. 

Floating Rate Option (“floatingIndex”): As specified by the parties. 

Designated Maturity (“indexTenor”): As specified by the parties. 

Spread: As specified by the parties. 

Floating Rate Day Count Fraction 

(“dayCountFraction”): 

As specified by the parties. 

Reset Date: The Effective Date.

Discounting (“fraDiscounting”): As specified by the parties. 

Business Days: As specified by the parties. 

Calculation Agent: As specified by the parties. 

FRA Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

AUD Australian Dollar AUSY 

CAD Canadian Dollar CATO 

CHF Swiss Franc CHZU 

CZK Czech Koruna CZPR 

DKK Danish Krone DKCO 

EUR Euro EUTA 

GBP Sterling GBLO 

HUF Hungarian Forint HUBU 

ILS Israeli Shekel ILTA 

JPY Japanese Yen JPTO 

NOK Norwegian Krone NOOS 

NZD New Zealand Dollar NZAU and NZWE 

PLN Polish Zloty PLWA 

SEK Swedish Krona SEST 

USD United States Dollars USNY 

ZAR South African Rand ZAJO 

FRA Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

No Adjustment 

Preceding 
Forward Rate Agreements (Uncleared) 

150 

FRA Available Day Count Fractions 

ISDA Name 

30/360, 360/360, Bond Basis 

Actual/360 

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F 

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA) 

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA) 

1/1 

FRA Notional Amounts 

Currency Minimum Increment Maximum Default 

AUD 5,000,000 100,000 N/A N/A 

CAD 5,000,000 100,000 N/A N/A 

CHF 5,000,000 100,000 N/A N/A 

CZK 5,000,000 100,000 N/A N/A 

DKK 5,000,000 100,000 N/A N/A 

EUR 5,000,000 100,000 N/A N/A 

GBP 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 500,000,000 10,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

FRA Floating Rate Options and Defaults 

Currency Floating Rate 

Option (any 

from ISDA 

2006 if not 

specified) 

Available 

Tenors 

Default 

Tenor 

Default Day 

Count Fraction 

Additional 

Business 

Day 

Locations 

Default for 

Currency 

(Y/N) 

AUD Actual/360 N 

CAD 

CHF 

CZK Actual/360 N 

DKK 

EUR 

GBP 

HUF 

ILS ILSTELBOR01-

Reuters 

All quoted N Per ISDA 2006 N Y 

JPY 

NOK 

NZD NZD-BBRFRA All quoted N Per ISDA 2006 N Y 

PLN 
Forward Rate Agreements (Uncleared) 

151 

SEK 

USD USD-LIBORBBA  3M Actual/360 GBLO Y 

ZAR 

FRA Discounting Types 

ISDA Name FpML Default for (Currency) 

FRA Discounting ISDA All but AUD 

FRA Yield Discounting AFMA AUD 

None NONE None 
Forward Rate Agreements – CME Cleared 

152 

Forward Rate Agreements – CME Cleared 

Terms and Conditions 

Summary: This covers forward rate agreements (“FRAs”) cleared 

by the Chicago Mercantile Exchange Inc. (“CME”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Forward Rate Agreement/CME 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the CME Rulebook,

in particular Chapters 900 and 901 (and any successor 

provisions) and the CME Cleared IRS Product Scope (or 

any successor). 

By electing to trade a Forward Rate 

Agreement/CME Cleared, participants are 

representing that they are familiar with the CME 

Rulebook and the limitations on transaction terms 

contained in it. 

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time. 

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: FRA 

ISDA OTC Sub-Product(s): N/A 

Further Limitations: Must comply with CME Clearing Requirements. 

Terms: 

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook. 

Effective Date: As per the CME Rulebook. 

Notional Amount: An amount in Currency determined by the parties 

subject to the limitations in the CME Rulebook. 

This may vary from period to period to the extent 

permitted by the CME Rulebook. 

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted. 

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook. 

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected. 

Business Day Convention: As per the CME Rulebook. 

Trade Date: As per the CME Rulebook. 

Settlement: As per the CME Rulebook, in advance or arrears. 

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook. 

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 
Forward Rate Agreements – CME Cleared 

153 

limitations based on other terms of the transaction. 

Fixed Rate Payer Payment Dates: As per the CME Rulebook. 

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule. 

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in the 

CME Rulebook. 

Floating Rate Payer Payment Dates: As per the CME Rulebook. 

Floating Amount: As per the CME Rulebook. 

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set 

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page. 

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook. 

Reset Dates: As the per CME Rulebook. 

Floating Rate Daycount Fraction: As per the CME Rulebook. 

FRA Discounting: As per CME Rulebook, which may require different 

discounting conventions depending on payment 

convention. 

Fixed Rate Payer: As determined by the parties. 

Floating Rate Payer: As determined by the parties. 

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook. 

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook. 

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook. 
Forward Rate Agreements – LCH Cleared 

154 

Forward Rate Agreements – LCH Cleared 

Terms and Conditions 

Summary: This covers forward rate agreements (“FRAs”) cleared 

by LCH.Clearnet (“LCH”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Forward Rate Agreement/LCH 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the LCH Rulebook, in 

particular Schedule 4A (or any successor provisions). 

By electing to trade a Forward Rate Agreement/LCH 

Cleared, participants are representing that they are 

familiar with the LCH Rulebook and the limitations 

on transaction terms contained in it. 

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time. 

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, since

the LCH may reserve the right to select when and 

how such changes become effective. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: FRA 

ISDA OTC Sub-Product: N/A 

Further Limitations: Must comply with LCH Clearing Requirements. 

Terms: 

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook. 

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook. 

This may vary from period to period to the extent 

permitted by the LCH Rulebook. 

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted. 

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook. 

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or

maximum tenor in the LCH Rulebook. 

Payer for Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook. 

Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook. 

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the LCH Rulebook, which may limit the earliest or latest 

day on which such fees may be paid based on Currency 

or other factors. 

Business Days: As per the LCH Rulebook, which may require certain 
Forward Rate Agreements – LCH Cleared 

155 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected. 

Business Day Convention: As per the LCH Rulebook. 

Fixed Rate Payer: As determined by the parties. 

Fixed Rate Payer Payment Dates: As per the LCH Rulebook. 

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule. 

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in the 

LCH Rulebook. 

Floating Rate Payer: As determined by the parties. 

Floating Rate Payer Payment Dates: As per the LCH Rulebook. 

Floating Amount: As per the LCH Rulebook. 

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set. 

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page. 

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook. 

Reset Dates: As the per LCH Rulebook. 

Floating Rate Daycount Fraction: As per the LCH Rulebook. 

FRA Discounting: As per the LCH Rulebook. 

Discount Rate As per the LCH Rulebook. 

FRA Yield Discounting: As per the LCH Rulebook. 

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method. 

Withholding and Tax: As per the LCH Rulebook. 

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
iBoxx Index Swaps 

156 

iBoxx Index Swaps 

Terms and Conditions 

Summary: This covers iBoxx index swaps (each, an “iBoxx Index 

Swap”) on a bilateral basis. 

Limitations on Available Selections and Default 

Settings: 

The terms under which an iBoxx Index Swap may be 

traded are shown below and in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency and any additional 

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made. 

For these purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) the iBoxx Index Transaction Standard Terms 

Supplement (current version or as specified by the 

parties) (“iBoxx STS”) 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit 

ISDA OTC Base Product: Total Return Swap Index 

ISDA OTC Sub-Product: iBoxx 

ISDA OTC Transaction type: N/A 
iBoxx Index Swaps 

157 

Further Limitations: None 

Terms:

Trade Date: As agreed by the parties. 

Effective Date (“effectiveDate”): The Business Day following the Trade Date, unless 

otherwise agreed by the parties. 

Effective Date Business Days: The Business Days specified below, unless otherwise 

specified by the parties. 

Effective Date Business Day Convention: The Business Day Convention specified below, unless 

otherwise specified by the parties. 

Termination Date (“terminationDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

Notional Amount (“notional”): An amount specified by the parties, which will be in the 

relevant Settlement Currency (unless otherwise agreed 

by the parties). 

Index As specified by the parties from among the Available 

Indices. 

Index Buyer: As agreed by the parties. 

Index Seller: As agreed by the parties. 

Calculation Agent: As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

Settlement Currency: The currency in which the Index is denominated. 

Business Days: As specified in the iBoxx STS for the relevant 

Settlement Currency, unless otherwise agreed by the

parties. 

Floating Amount:

Floating Rate Payer (“payerPartyReference”): Index Buyer 

Floating Rate Payer Period End Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties 

Floating Rate Payer Payment Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties 

Linear Interpolation: As specified in the iBoxx STS, unless otherwise agreed 

by the parties 

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, per the Definitions unless otherwise agreed by 

the parties. 

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies per the Definitions unless otherwise agreed by 

the parties. 

Floating Rate Option: As specified by the parties.

Floating Rate for the initial Calculation Period As specified by the parties.

Spread: As specified by the parties.

Designated Maturity (“indexTenor”) As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

Floating Rate Day Count Fraction: As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

Reset Dates (“resetDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

Payment Dates Business Days: The Business Days specified above, unless otherwise 

agreed by the parties. 

Business Days (Other Than Payment Dates): The Business Days specified above, unless otherwise 

agreed by the parties. 

Business Day Convention (Other Than Payment Dates): The Business Day Convention specified above, unless 

otherwise specified by the parties. 
iBoxx Index Swaps 

158 

Index Return Amount:

Index Return Amount Payment Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

Initial Fixing Amount: As agreed by the parties and rounded as specified in the 

iBoxx STS (unless the parties otherwise agree). 

Final Fixing Amount: As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

Scheduled Final Fixing Date: As specified by the parties, subject to the Business Day 

Convention (unless the parties otherwise agree). 

Final Fixing Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

Index Adjustment and Index Discontinuance Events: As specified in the iBoxx STS, unless otherwise agreed 

by the parties. 

iBoxx Index Available Currencies and Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

EUR Euro EUTA and GBLO 

GBP Sterling EUTA and GBLO 

USD United States Dollars USNY 

iBoxx Index Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

No Adjustment 

Preceding 

FRN Convention/Eurodollar Convention 

iBoxx Index Available Indices 

Name Currency 

iBoxx EUR Corporates EUR 

iBoxx EUR Liquid High Yield Index EUR 

iBoxx GBP Corporates GBP 

iBoxx USD Domestic Corporates USD 

iBoxx USD Liquid High Yield Index USD 

iBoxx USD Liquid Investment Grade Index USD 

iBoxx USD Liquid Leveraged Loans Index USD 

iBoxx Index Available Day Count Fractions 

ISDA Name 

1/1 

30/360, 360/360, Bond Basis 

Actual/360 

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F 

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA) 

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA) 
iBoxx Index Swaps 

159 

iBoxx Index Floating Rate Options and Defaults 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional Business 

Day Locations 

USD-Annual Swap 

Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N 

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N 

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15-OISCOMPOUND 

All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps 

160 

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs) 

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N 

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N 

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N 

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N 

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N 
iBoxx Index Swaps 

161 

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OISCOMPOUNDBloomberg 

All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 
iBoxx Index Swaps 

162 

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N 

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N 

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 
iBoxx Index Swaps 

163 

GBP-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 
Inflation Swaps 

164 

Inflation Swaps 

Terms and Conditions 

Summary: This covers inflation swaps (“Inflation Swaps”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which an Inflation Swap may be traded 

are as specified in these terms and conditions or in the 

attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) 2008 ISDA Inflation Derivatives Definitions, 

including Supplements 1 and 2 thereto and any other

Supplements through Trade Date 

(c) ISDA OTC Taxonomies 

(d) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product: Inflation 

Further Limitations: None 

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties. 

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 
Inflation Swaps 

165 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”). 

Effective Date Business Days: As specified by the parties from among the Available 

Business Days. 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”). 

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties. 

Fixed Amount: As specified by the parties (in lieu of all items other than 

Payment Date(s)). 

Fixed Rate Payment Date (“unadjustedPaymentDate”): As specified by the parties. 

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Period End Dates (“unadjustedCalculation Period 

Date”): 

As specified by the parties. 

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Payment Dates (“unadjustedPaymentDate”): As specified by the parties. 

initial Floating Rate: As specified by the parties.

Floating Rate (“floatingRate”): Notwithstanding the 2006 Definitions, “Floating Rate” 

will equal: 

=_


=_=
 − 1

rounded in accordance with the 2008 ISDA Inflation 

Derivatives Definitions and subject to the Negative

Interest Rate Treatment. 

Index: As specified by the parties from among the Available 

Inflation Indices. 

Index_Initial (“initialIndexLevel”): As specified by the parties.

Index_Final: The Index level for the Reference Month(s) specified by 

the parties in the Reference Year(s) specified by the 

parties. 

Reference Month(s): As specified by the parties. 

Reference Year(s) As specified by the parties. 

Day Count Fraction: 1/1 

Reset Dates (“resetDate”): As specified by the parties. 

Method of Averaging: As specified by the parties. 

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 
Inflation Swaps 

166 

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Negative Interest Rates (“negativeInterestRateMethod”): As selected by the parties from among the Available 

Treatments. 

Related Bond: The bond, if any, specified by the parties as such.

Fallback Bond (“fallbackBondApplicable”): As selected by the parties if no Related Bond is selected. 

Calculation Agent: As agreed by the parties. 

Fixed Floating Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

AUD Australian Dollar AUSY 

EUR Euro EUTA 

GBP Sterling GBLO 

ILS Israeli Shekel ILTA 

USD United States Dollars USNY 

Fixed Floating Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

No Adjustment 

Preceding 

FRN Convention/Eurodollar Convention 

Fixed Floating Available Day Count Fractions 

ISDA Name 

1/1 

Fixed Floating Default Effective Dates 

Currency Default Effective Date 

All Currencies Other than CAD, GBP Plus Two Banking Days 

CAD, GBP Plus Zero 

Fixed Floating Earliest and Latest Effective and Termination Dates 

Currency Earliest Effective 

Date 

Latest Effective 

Date 

Earliest Termination 

Date 

Latest Termination 

Date 

N/A N/A N/A N/A N/A 

Fixed Floating Notional Amounts 

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

Inflation Swap Indices 
Inflation Swaps 

167 

Index Name Description 

AUD-CPI Australia: AUD – Non-revised Consumer Price Index (CPI) 

AUS-CPI Austria: AUS – Non-revised Consumer Price Index (CPI)

AUS-HICP Austria: AUS – Non-revised Harmonised Indices of Consumer Prices (HICP) 

BLG-CPI-GI Belgium: BLG – Non-revised Consumer Price Index - General Index (CPI) 

BLG-CPI-HI Belgium: BLG – Non-revised Consumer Price Index - Health Index (CPI) 

BLG-HICP Belgium: BLG – Non-revised Harmonised Consumer Price Index (HICP) 

DEM-CPI Germany: DEM – Non-revised Consumer Price Index (CPI) 

DEM-CPI-NRW Germany: DEM – Non-revised Consumer Price Index for North Rhine-Westphalia

DEM-HICP Germany: DEM – Non-revised Harmonised Consumer Price Index (HICP) 

ESP-CPI Spain: ESP – National-Non-revised Consumer Price Index (CPI) 

ESP-HICP Spain: ESP – Harmonised-Non-revised Consumer Price Index (HICP) 

ESP-R-CPI Spain: ESP – National-Revised Consumer Price Index (CPI). 

ESP-R-HICP Spain: ESP – Harmonised-Revised Consumer Price Index (HICP) 

EUR-AI-CPI European Union: EUR – All Items-Non-revised Consumer Price Index

EUR-AI-R-CPI European Union: EUR – All Items–Revised Consumer Price Index 

EUR-EXT-CPI European Union: EUR – Excluding Tobacco-Non-revised Consumer Price Index 

EUR-EXT-RCPI European Union: EUR – Excluding Tobacco–Revised Consumer Price Index 

FRC-EXT-CPI France: FRC – Excluding Tobacco-Non-Revised Consumer Price Index 

FRC-HICP France: FRC – Harmonised-Non-revised Consumer Price Index (HICP) 

GRD-CPI Greece: GRD – Non-revised Consumer Price Index (CPI) 

GRD-HICP Greece: GRD – Harmonised-Non-revised Consumer Price Index (HICP)

ILS-CPI Israel: ILS – Non-revised Consumer Price Index (CPI) 

IRL-CPI Ireland: IRL – Non-revised Consumer Price Index (CPI) 

IRL-HICP Ireland: IRL – Harmonised-Non-revised Consumer Price Index (HICP) 
Inflation Swaps 

168 

ITL-BC-EXTCPI Italy: ITL – Inflation for Blue Collar Workers and Employees–Excluding Tobacco Consumer 

Price Index 

ITL-BC-INTCPI Italy: ITL – Inflation for Blue Collar Workers and Employees-Including Tobacco Consumer 

Price Index 

ITL-HICP Italy: ITL – Non-revised Harmonised Consumer Price Index (HICP) 

ITL-WC-EXTCPI Italy: ITL – Whole Community –Excluding Tobacco Consumer Price Index 

ITL-WC-INTCPI Italy: ITL – Whole Community –Including Tobacco Consumer Price Index 

LUX-CPI Luxembourg: LUX – Non-revised Consumer Price Index (CPI) 

LUX-HICP Luxembourg: LUX – Harmonised-Non-revised Consumer Price Index (HICP) 

NLG-CPI Netherlands: NLG – Non-revised Consumer Price Index (CPI) 

NLG-HICP Netherlands: NLG – Harmonised-Non-revised Consumer Price Index (HICP) 

POR-CPI Portugal: POR – Non-revised Consumer Price Index (CPI) 

POR-HICP Portugal: POR – Harmonised-Non-revised Consumer Price Index (HICP)

UK-HICP United Kingdom: GBP – Harmonised-Non-revised Consumer Price Index (HICP) 

UK-RPI United Kingdom: GBP – Non-revised Retail Price Index (UKRPI) 

UK-RPIX United Kingdom: GBP – Non-revised Retail Price Index Excluding Mortgage Interest Payments 

(UKRPIX) 

USA-CPI-U United States: USA – Non-revised Consumer Price Index – Urban (CPI-U) 

Fixed Floating Requirements and Defaults 

(Excluding Optional Early Termination and Mandatory Early Termination) 

Variable Requirement Default 

Fallback Bond: Applicable 
Interest Rate Caps/Floors 

169 

Interest Rate Caps/Floors 

Terms and Conditions 

Summary: This covers interest rate caps and floors (“Interest Rate 

Caps/Floors”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which an Interest Rate Cap/Floor may 

be traded are as specified in these terms and conditions 

and in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate 

Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies) 

(c) ISDA OTC Taxonomies 

(d) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product: Cap/Floor 

Further Limitations: None 

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties. 

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 
Interest Rate Caps/Floors 

170 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”). 

Effective Date Business Days: As specified by the parties from among the Available 

Business Days. 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”). 

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Amount 1:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Fixed Rate Period End Dates (“unadjustedCalculation

Period Date”): 

As specified by the parties. 

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties. 

Day Count Fraction: As specified by the parties. 

Reset Dates (“resetDate”): As specified by the parties. 

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days. 

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Period End Dates (“unadjustedCalculation Period 

Date”): 

As specified by the parties. 

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Payment Dates (“unadjustedPaymentDate”): As specified by the parties. 

Cap Rate: As specified by the parties. 

Floor Rate: As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties. 

Spread: As specified by the parties. 

Day Count Fraction: As specified by the parties. 

Reset Dates (“resetDate”): As specified by the parties. 

Method of Averaging: As specified by the parties. 

Compounding: As specified by the parties. 
Interest Rate Caps/Floors 

171 

Compounding Dates: In the event Compounding is selected, as selected by the 

parties. 

Compounding Method (Compounding OR Flat 

Compounding): 

In the event Compounding is selected, as selected by the 

parties. 

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days. 

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties. 

Floating Payer Initial Exchange Amount: As specified by the parties. 

Interim Exchanges:

Interim Exchange Dates: As specified by the parties. 

Fixed Rate Payer Interim Exchange Amount: As specified by the parties. 

Fixed Rate Payer Interim Exchange Amount: As specified by the parties. 

Final Exchanges:

Final Exchange Date: As specified by the parties. 

Fixed Rate Payer Final Exchange Amount: As specified by the parties. 

Fixed Payer Final Exchange Amount: As specified by the parties. 

Optional Early Termination:

Optional Early Termination: As specified by the parties. 

Option Style: As specified by the parties. 

Optional Early Termination Date: As specified by the parties. 

Seller: As specified by the parties if only one party can 

terminate. 

Buyer: As specified by the parties, if only one party can 

terminate. 

Seller’s Agent: As specified by the parties, if only one party can 

terminate. 

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Exercise Business Days: As specified by the parties. 

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American. 

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda. 

Expiration Date: As specified by the parties. 

Expiration Time: As specified by the parties. 

Earliest Exercise Time: As specified by the parties. 

Latest Exercise Time: As specified by the parties. 

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European. 

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda. 
Interest Rate Caps/Floors 

172 

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified. 

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified. 

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified. 

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties. 

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable. 

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Payment Date Business Days 

Convention: 

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix. 

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix. 

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix. 

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix. 

Cash Settlement Reference Banks: As specified by the parties. 

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates. 

Calculation Agent: As agreed by the parties. 

Cap/Floor Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

EUR Euro EUTA 

GBP Pound Sterling GBLO 

JPY Japanese Yen JPTO 

MXN Mexican Peso (New) MXMC 

SEK Swedish Krona SEST 

USD United States Dollars USNY 

ZAR South African Rand ZAJO 
Interest Rate Caps/Floors 

173 

Cap/Floor Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

No Adjustment 

Preceding 

FRN Convention/Eurodollar Convention 

Cap/Floor Available Day Count Fractions 

ISDA Name 

1/1 

30/360, 360/360, Bond Basis 

Actual/360 

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F 

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA) 

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA) 

Cap/Floor Default Effective Dates 

Currency Default Effective Date 

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days 

MXN Plus One Banking Day 

CAD, GBP Plus Zero 

Cap/Floor Earliest and Latest Effective and Termination Dates 

Currency Earliest Effective 

Date 

Latest Effective 

Date 

Earliest Termination 

Date 

Latest Termination 

Date 

N/A N/A N/A N/A N/A 

Cap/Floor Notional Amounts 

Currency Minimum Increment Maximum Default 

EUR 5,000,000 100,000 N/A N/A 

GBP 25,000,000 100,000 N/A N/A 

JPY 2,500,000,000 100,000,000 N/A N/A 

MXN 10,000,000 1,000,000 N/A N/A 

SEK 5,000,000 100,000 N/A N/A 

USD 25,000,000 1,000,000 N/A N/A 

ZAR 5,000,000 100,000 N/A N/A 

Cap/Floor Floating Rate Options and Defaults 

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction 

Additional 

Business Day 

Locations 

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap All quoted tenors N/A Per ISDA 2006 N 
Interest Rate Caps/Floors 

174 

Rate-10:00-Bloomberg 

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-10:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-11:00-

SwapMarker 

All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-OISCOMPOUNDBloomberg 

All quoted tenors N/A Per ISDA 2006 N 

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N 

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N 

EUR-EURONIA-OIS- All quoted tenors N/A Per ISDA 2006 N 
Interest Rate Caps/Floors 

175 

COMPOUND 

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N 

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N 

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N 

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N 

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N 

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N 

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N 

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N 

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N 

USD-Annual Swap All quoted tenors N/A Per ISDA 2006 N 
Interest Rate Caps/Floors 

176 

Rate-11:00-

BGCANTOR 

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N 

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N 

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N 

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N 

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N 

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsH.15-OISCOMPOUND 

All quoted tenors N/A Per ISDA 2006 N 

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N 

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N 

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N 

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 
Interest Rate Caps/Floors 

177 

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs) 

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N 

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N 

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N 

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N 

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N 

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N 

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N 

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N 

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR 

All quoted tenors N/A Per ISDA 2006 N 

VND-Semi-Annual 

Swap Rate-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 
Interest Rate Caps/Floors 

178 

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N 

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N 

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N 

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N 

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N 

ZAR-PRIMEAVERAGE-Reference 

Banks 

All quoted tenors N/A Per ISDA 2006 N 

Cap/Floor Requirements and Defaults 

(Excluding Optional Early Termination and Mandatory Early Termination) 

Variable Requirement Default 

Effective Date Business Day 

Convention: 

 No Adjustment 

Termination Date Business Day 

Convention: 

 No Adjustment 

Period End Dates: Payment Dates 

Payment Date Business Day 

Convention: 

 Modified Following 

Linear Interpolation: Applicable only to long or short stub 

periods 

Designated Maturities for Linear 

Interpolation: 

 Tenors quoted next shorter and 

longer than the actual Calculation 

Period length 

Compounding: Inapplicable 

Compounding Business Day 

Convention: 

Same as Business Day Convention 

for Period End Dates 

Method of Averaging: Weighted Average or Unweighted

Average 

Unweighted Average 

Compounding Method: Compounding or Flat Compounding Compounding 

 Initial Exchange Date: Effective Date 

Initial Exchange Date Business Day 

Convention: 

 Following 

Interim Exchange Date Business 

Day Convention: 

 Modified Following 

Final Exchange Date: Termination Date 

Final Exchange Date Business Day 

Convention: 

 Modified Following 

Cap/Floor Requirements and Defaults 

(Optional Early Termination and Mandatory Early Termination) 

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination 

Applicable (i.e., Transaction is not

“torn up for no value”) 
Interest Rate Caps/Floors 

179 

Optional Early Termination Date: Cash Settlement Payment Date 

Optional Early Termination Date 

Business Day Convention: 

 Following 

Mandatory Early Termination Date 

Business Day Convention: 

 Modified Following 

Cap/Floor Requirements and Defaults 

(Optional Early Termination—Exercise) 

Setting Requirement Default 

Commencement Date: American only 

Partial Exercise: Inapplicable 

Multiple Exercise: Inapplicable 

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR) 

Latest Exercise Time: On Expiration Date, the Expiration 

Time 

Other than Expiration Date, the 

Expiration Time 

Cap/Floor Requirements and Defaults 

(Cash Settlement) 

Setting Requirement/Choices Default 

Cash Settlement Amount: 

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix 

Cash Settlement Valuation Time: 

Cash Settlement Valuation Date: Two Valuation Business Days before 

Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg” 

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s) 

Cash Settlement Payment Date 

Business Day Convention: 

 Following 

Cash Settlement Method: Cash Price 

Cash Price—Alternate Method 

Par Yield Curve—Adjusted 

Par Yield Curve—Unadjusted 

Zero Coupon Yield—Adjusted 

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount 

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks 
Interest Rate Caps/Floors 

180 

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 Definitions 

Quotation Rate: bid 

ask 

mid 

Exercising Party Pays (Optional 

Early Termination Only) 
Interest Rate Swaps – ASX Cleared 

181 

Interest Rate Swaps – ASX Cleared 

Terms and Conditions 

Summary: This covers interest rate swaps cleared by ASX Clear 

(Futures) Pty Limited (“ASX”) (such swaps, “Interest 

Rate Swaps – ASX Cleared”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which an Interest Rate Swap – ASX 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the ASX OTC 

Rulebook and the ASX OTC Handbook (collectively, 

the “ASX Rules”), in particular Schedule 1 to the ASX 

OTC Handbook (and any successor provisions). 

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap – ASX Cleared, 

participants are representing that they are familiar 

with the ASX Rules and the limitations on 

transaction terms contained therein. 

In particular, participants represent that they are

familiar with the limitations on transactions for US 

Persons set forth in Section 4.3 of the ASX OTC 

Handbook (or any successor provisions). 

Incorporated Standards: This contract description incorporates by reference the 

ASX Rules as in effect from time to time. 

The ASX Rules themselves may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and ASX-cleared 

contracts, since ASX may reserve the right to select 

when and how such changes become effective. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the ASX Rules. 

Terms: 

Definition Set: The definition set (e.g., ISDA 2006, as amended) 

binding on the parties in accordance with the ASX 

Rules. 

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the ASX Rules. 

This may vary from period to period to the extent 

permitted by the ASX Rules. 

The ASX Rules may limit the Currencies and Floating

Rate Options for which variable notionals are permitted. 

Currency: One of the currencies permitted for the relevant 

transaction type per the ASX Rules. 

Business Days: As per the ASX Rules, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected. 

Business Day Convention: As per the ASX Rules. 

Trade Date: As per the ASX Rules. 

Effective Date: As per the ASX Rules. 
Interest Rate Swaps – ASX Cleared 

182 

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the ASX Rules. 

Termination Date Business Day Convention: As per the ASX Rules, and thus subject to limitations 

based on other terms of the transaction. 

Stub Periods: Permitted to the extent allowed under the ASX Rules. 

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the ASX 

Rules. 

Fixed Amount: For fixed-for-floating interest rate swaps, as per the ASX 

Rules. 

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in the 

ASX Rules and any other restrictions in the ASX Rules. 

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules. 

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules. 

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the ASX Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set. 

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page. 

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the ASX Rules and any other restrictions in the ASX

Rules. 

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules. 

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules. 

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules. 

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties. 

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties. 

Compounding: As per the ASX Rules. 

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the ASX Rules. 

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the ASX Rules. 

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations 

in the ASX Rules. 
Interest Rate Swaps – Eurex Cleared 

183 

Interest Rate Swaps – Eurex Cleared 

Terms and Conditions 

Summary: This covers interest rate swaps cleared by Eurex 

Clearing AG (“Eurex”) (such swaps, “Interest Rate 

Swaps – Eurex Cleared”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which an Interest Rate Swap – Eurex

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the Eurex Clearing 

Conditions (Clearing-Bedingungen) (collectively, the 

“Eurex Rules”). 

By electing to trade an Interest Rate Swap – Eurex 

Cleared, participants are representing that they are 

familiar with the Eurex Rules and the limitations on 

transaction terms contained therein. 

Incorporated Standards: This contract description incorporates by reference the 

Eurex Rules as in effect from time to time. 

The Eurex Rules themselves may incorporate certain 

additional standards, such as the 2000 ISDA Definitions, 

the 2006 ISDA Definitions or the Rahmenvertrag für 

Finanztermingeschäfte (“DRV”). Be aware that the 

timing of effectiveness of amendments or 

supplements to the ISDA standards may vary 

between bilateral and Eurex-cleared contracts, since 

Eurex may reserve the right to select when and how 

such changes become effective. Also be aware that 

Eurex has elected to make the 2006 ISDA Definitions

applicable to certain classes of transactions, 

regardless of the parties’ election to use the 2000

ISDA Definitions. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product(s): Fixed Float, Inflation, OIS and Basis 

Further Limitations: Must comply with the Eurex Rules. 

Terms: 

Definition Set: The definition set (e.g., ISDA 2000 Definitions, ISDA 

2006 Definitions, each as amended, the DRV) binding

on the parties in accordance with the Eurex Rules. 

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the Eurex Rules. 

This may vary from period to period to the extent 

permitted by the Eurex Rules. 

The Eurex Rules may limit the Floating Rate Options

and other terms for which variable notionals are 

permitted. 
Interest Rate Swaps – Eurex Cleared 

184 

Currency: One of the currencies permitted for the relevant 

transaction type per the Eurex Rules. 

Business Days: As per the Eurex Rules, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected. 

Business Day Convention: As per the Eurex Rules. 

Trade Date: As per the Eurex Rules. 

Effective Date: As per the Eurex Rules. 

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the Eurex Rules for the related type 

of transaction and Currency. 

Termination Date Business Day Convention: As per the Eurex Rules, and thus subject to limitations 

based on other terms of the transaction. 

Stub Periods: Permitted to the extent allowed under the Eurex Rules. 

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules. 

Fixed Amount: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules. 

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in the 

Eurex Rules and any other restrictions in the Eurex

Rules. 

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules. 

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules. 

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the Eurex Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set. 

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page. 

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the Eurex Rules and any other restrictions in the Eurex 

Rules. 
Interest Rate Swaps – Eurex Cleared 

185 

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules. 

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules. 

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules. 

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties. 

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties. 

Compounding: As per the Eurex Rules. 

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules. 

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules. 

Payment Date for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules. 
Interest Rate Swaps – JSCC Cleared 

186 

Interest Rate Swaps – JSCC Cleared 

Terms and Conditions 

Summary: This covers interest rate swaps cleared by Japan Securities 

Clearing Corporation (“JSCC”) (such swaps, “Interest Rate 

Swaps – JSCC Cleared”). 

Limitations on Available Selections and 

Default Settings: 

The terms under which an Interest Rate Swap – JSCC Cleared 

may be traded are as specified in these terms and conditions, 

which incorporate the JSCC Interest Rate Swap Clearing 

Business Rules 

(金利スワップ取引清算業務に関する業務方法書)and the JSCC 

Handling Procedures of Interest Rate Swap Business Rules 

(金利スワップ取引清算業務に関する業務方法書の取扱い) 

(collectively, the “JSCC Rules”). 

By electing to trade an Interest Rate Swap – JSCC Cleared, 

participants are representing that they are familiar with the 

JSCC Rules and the limitations on transaction terms

contained therein. 

In particular, participants represent that they are familiar 

with the limitations on transactions for US Persons set forth 

in Article 47-2 of the JSCC Handling Procedures of Interest 

Rate Swap Business Rules (or any successor provisions). 

Incorporated Standards: This contract description incorporates by reference the JSCC 

Rules as in effect from time to time. 

The JSCC Rules themselves may incorporate certain additional 

standards, such as the 2000 ISDA Definitions or 2006 ISDA 

Definitions. 

Be aware that the timing of effectiveness of amendments or 

supplements to the ISDA standards may vary between 

bilateral and JSCC-cleared contracts, since JSCC may 

reserve the right to select when and how such changes 

become effective. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the JSCC Rules. 

Terms: 

Definition Set: The definition set (e.g., ISDA 2000 or ISDA 2006, each as 

amended) binding on the parties in accordance with the JSCC 

Rules. 

Notional Amount: An amount in Currency determined by the parties subject to 

limitations in the JSCC Rules. 

This may vary from period to period to the extent permitted by 

the JSCC Rules. 

The JSCC Rules may limit the Currencies and Floating Rate 

Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant transaction type 

per the JSCC Rules. 

Business Days: As per the JSCC Rules, which may require certain Business 

Days be applicable on a per Currency or Floating Rate Option 

Basis and may otherwise limit the available Business Day 

locations which can be elected. 
Interest Rate Swaps – JSCC Cleared 

187 

Business Day Convention: As per the JSCC Rules. 

Trade Date: As per the JSCC Rules. 

Effective Date: As per the JSCC Rules. 

Termination Date: As agreed by the parties, subject to any minimum or maximum 

tenor in the JSCC Rules. 

Termination Date Business Day Convention: As per the JSCC Rules, and thus subject to limitations based on 

other terms of the transaction. 

Stub Periods: Permitted to the extent allowed under the JSCC Rules. 

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules. 

Fixed Amount: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules. 

Fixed Rate: As agreed by the parties, subject to any minimum or maximum 

rate and per-period variability permitted in the JSCC Rules and 

any other restrictions in the JSCC Rules. 

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules. 

Floating Amount: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules. 

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to the JSCC Rules, which may provide a more 

limited list of available options for a Currency than does the 

Definition Set. 

Designated Maturity: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules, 

which may provide a more limited set of Designated Maturities 

than does the related rate source page. 

Spread: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to any minimum or maximum rate and perperiod variability permitted by the JSCC Rules and any other 

restrictions in the JSCC Rules. 

Reset Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules. 

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules. 

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules. 

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined by the 

parties. 

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties. 

Compounding: As per the JSCC Rules. 

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules. 

Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules. 

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations in the 

JSCC Rules. 
IOS Index Contracts 

188 

IOS Index Contracts 

Terms and Conditions 

Summary: This covers Markit IOS Fixed for Floating Swap 

Transactions (the “Contracts”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which the Contracts may be traded are 

as specified in these terms and conditions. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) ISDA OTC Taxonomies 

(c) the Markit IOS Standard Terms Supplement (March

12, 2010 version) or any subsequent Standard Terms 

Supplement (the “Standard Terms”) 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit 

ISDA OTC Base Product: Index 

ISDA OTC Sub-Product: IOS 

ISDA OTC Transaction Type: IOS 

Further Limitations: None 

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms. 

Scheduled Termination Date: As agreed by the parties. 

Termination Date: Per the Standard Terms. 

Notional Amount: An amount is USD agreed by the parties. 

Index: One of the Markit IOS Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations). 

Annex Date: As agreed by the parties. 

Index Provider: Per the Standard Terms. 

Fixed Rate Payer: As agreed by the parties. 

Floating Rate Payer: As agreed by the parties. 

Period End Dates: Per the Standard Terms. 

Payment Dates: Per the Standard Terms. 

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms. 

Day Count Fraction: Per the Standard Terms. 

Business Days: For any purpose, per the Standard Terms. 

Business Day Convention: Per the Standard Terms. 

Initial Payment:

Initial Payment: Per the Standard Terms. 
IOS Index Contracts 

189 

Initial Payment Amount: An amount in USD as specified by the parties. 

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms. 

Settlement Payments: 

Mark to Market Amount Payment: Per the Standard Terms. 

Mark to Market Amount Payer: Per the Standard Terms. 

Mark to Market Amount: Per the Standard Terms. 

Financing Payment: Per the Standard Terms. 

Financing Payment Amount: Per the Standard Terms. 

Interest Payment: Per the Standard Terms. 

Interest Payment Amount: Per the Standard Terms. 

Net Payment: Per the Standard Terms. 

Net Payment Amount Payer: Per the Standard Terms. 

Net Payment Amount: Per the Standard Terms. 

Agency Coupon: Per the Standard Terms. 

Index LIBOR: Per the Standard Terms. 

Index Factor: Per the Standard Terms. 

Commencing Index Factor: Per the Standard Terms. 

Period End Index Factor: Per the Standard Terms. 

Index Price: Per the Standard Terms. 

Commencing Index Price: Per the Standard Terms. 

Period End Index Price: Per the Standard Terms. 

Event Affecting the Index: 

Events and Adjustments: All are per the Standard Terms. 
MBX Index Contracts 

190 

MBX Index Contracts 

Terms and Conditions 

Summary: This covers Markit MBX Fixed for Floating Swap 

Transactions (the “Contracts”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which the Contracts may be traded are 

as specified in these terms and conditions. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions; 

(b) ISDA OTC Taxonomies; and 

(c) the Markit MBX Standard Terms Supplement 

(September 12, 2010 version) or any subsequent 

Standard Terms Supplement (the “Standard 

Terms”). 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit 

ISDA OTC Base Product: Index 

ISDA OTC Sub-Product: MBX 

ISDA OTC Transaction Type: MBX 

Further Limitations: None 

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms. 

Scheduled Termination Date: As agreed by the parties. 

Termination Date: Per the Standard Terms. 

Notional Amount: An amount is USD agreed by the parties. 

Index: One of the Markit MBX Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations). 

Annex Date: As agreed by the parties. 

Index Provider: Per the Standard Terms. 

Fixed Rate Payer: As agreed by the parties. 

Floating Rate Payer: As agreed by the parties. 

Period End Dates: Per the Standard Terms. 

Reset Dates: Per the Standard Terms 

Payment Dates: Per the Standard Terms. 

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms. 

Day Count Fraction: Per the Standard Terms. 

Business Days: For any purpose, per the Standard Terms. 

Business Day Convention: Per the Standard Terms. 
MBX Index Contracts 

191 

Initial Payment:

Initial Payment: Per the Standard Terms. 

Initial Payment Amount: An amount in USD as specified by the parties. 

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms. 

Settlement Payments: 

Mark to Market Amount Payment: Per the Standard Terms. 

Mark to Market Amount Payer: Per the Standard Terms. 

Mark to Market Amount: Per the Standard Terms. 

Financing Payment: Per the Standard Terms. 

Financing Payment Amount: Per the Standard Terms. 

Interest Payment: Per the Standard Terms. 

Interest Payment Amount: Per the Standard Terms. 

Principal Payment: Per the Standard Terms. 

Principal Payment Amount: Per the Standard Terms. 

Net Payment: Per the Standard Terms. 

Net Payment Amount Payer: Per the Standard Terms. 

Net Payment Amount: Per the Standard Terms. 

Agency Coupon: Per the Standard Terms. 

Index LIBOR: Per the Standard Terms. 

Index Factor: Per the Standard Terms. 

Commencing Index Factor: Per the Standard Terms. 

Period End Index Factor: Per the Standard Terms. 

Index Price: Per the Standard Terms. 

Commencing Index Price: Per the Standard Terms. 

Period End Index Price: Per the Standard Terms. 

Event Affecting the Index: 

Events and Adjustments: All are per the Standard Terms. 
Municipal Market Data Rate Lock Transactions 

192 

Municipal Market Data Rate Lock Transactions 

Terms and Conditions 

Summary: This covers rate lock transactions indexed to the 

Thomson Reuters Municipal Market Data (“MMD”) 

AAA Curve (“MMD Rate Lock Transactions”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a MMD Rate Lock Transaction 

may be traded are as specified in these terms and 

conditions and in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions 

(b) ISDA OTC Taxonomies 

(c) FpML Location Codes 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”). 

Effective Date Business Days: As specified by the parties from among the Available 

Business Days. 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”). 
Municipal Market Data Rate Lock Transactions 

193 

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

DV01: As specified by the parties. 

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal: 

?@01 ×  
 × 67 
 × ?
7 6
 



Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date 

Day Count Fraction: 1/1 

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notionalAmount”): As specified by the parties. 

Floating Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal: 

?@01 × 6


 
 × 

. 
 + BC
 × 

. 
 ?
7 6
 



Payment Dates (“unadjustedPaymentDate”): The Termination Date 

Relevant Rate: The Relevant Rate for a Reset Date will be the level of 

the Thomson Reuters Municipal index for a tenor of the 

Designated Maturity which represents the offer-side of 

5.00% coupon “AAA” rated state general obligation 

bonds based on institutional block size ($2 million+) 

market activity in both the primary and secondary 

municipal bond market, as of at 3:00 p.m. eastern 

standard time as published on the Thomson Reuters 

TM3 page. 

Designated Maturity (‘indexTenor”) As specified by the parties from among the available 

tenors. 

Spread: Zero 

Day Count Fraction: 1/1 

Reset Dates (“resetDate”): The second Business Day preceding the Floating Rate 

Payment Date. 

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Calculation Agent: As agreed by the parties. 

Fixed Floating Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 
Municipal Market Data Rate Lock Transactions 

194 

Fixed Floating Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

No Adjustment 

Preceding 

FRN Convention/Eurodollar Convention 

Notional Amounts 

Currency Minimum Increment Maximum Default 

USD 25,000,000 1,000,000 N/A N/A 
Natural Gas Date/Instrument Spread Contracts 

195 

Natural Gas Date/Instrument Spread Contracts 

Terms and Conditions 

Summary: This covers “Natural Gas Date/Instrument Spread Contracts”. 

A natural-gas date/instrument spread contract is a cash-settled agreement

between two counterparties whereby one counterparty agrees to pay a 

floating amount to the other counterparty on a given date, and then 

receive a different floating amount from the other counterparty on a 

different, later date. 

The difference between the two floating amounts is the spread, which is 

the quoted price for the contract. 

The floating amounts are based on the notional quantity traded and the 

price of natural gas a stated hub published by one of a series of industry.

Publication Sources: • CGPR—Canadian Gas Price Reporter 

• Gas Daily—Platt’s Gas Daily’s Daily Report 

• IFERC—Platt’s Inside FERC Gas Market Reporter 

• NGI—Natural Gas Intelligence’s Bidweek Survey 

The floating amount can be based on the price for a given period in a 

given issue of the publication source (e.g., monthly based on the first 

issue of the month) or an average of prices (e.g., average of weekly 

bid prices for each weekly issue), as agreed by the parties. 

Reference Commodities: • AECO—Alberta Energy Co. (CGPR) 

• ALG—Algonquin Energy Co. (IFERC) 

• Chicago—Chicago City Gate (IFERC) 

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC) 

• HSC—Houston Ship Channel (IFERC) 

• Malin—Pacific Gas Transmission Co., Malin (IFERC) 

• Michigan—Michigan Consolidated Gas Company Citygate

(IFERC) 

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC) 

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC) 

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC) 

• PG&E Citygate—PG&E Citygate (IFERC) 

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC) 

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC) 

• Socal—Socal Citygate (IFERC) 

• Sumas—Northwest Pipeline, Sumas (IFERC) 

• TCO—Columbia Gas Transmission Company (IFERC) 

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC) 

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) 

(IFERC) 

• Ventura—Northern Border Pipeline, Ventura (IFERC) 

• Waha—Waha Hub, West Texas (IFERC) 

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only) 

Quoting Convention and Minimum 

Increment: 

Notional amount, as agreed by counterparties. 

Minimum Size: Notional amount, as agreed by counterparties. 
Natural Gas Date/Instrument Spread Contracts 

196 

Notional Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell on the near leg and Buy or Sell on the far leg. 

These would be reversed so that if the first leg is buying the second leg 

must be selling, for instance. 

Calculation Periods: Two calculation periods – one for each leg of the spread. 

A single date or date range over which the reference price of the 

commodity will be calculated. 

If a date range the reference price will be averaged across the days, 

contracts or publication source issues as agreed by the counterparties. 

Settlement Date(s): Specified settlement or payment date when the floating amounts are 

exchanged. 

Settlement Procedure: Bilateral cash settlement performed in settlement currency. 
Natural Gas – Financial Basis Swap Contracts 

197 

Natural Gas – Financial Basis Swap Contracts 

Terms and Conditions 

Summary: This covers “Natural Gas – Financial Basis Swap Contracts”. 

A natural gas financial basis swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated based on 

the reported price for natural gas at a given hub, and in exchange, the second 

counterparty will pay a floating amount to the first counterparty on the same given 

date(s) based on the maturity price of a natural gas futures contract tied to a 

different hub. 

The floating amounts paid are determined based on the notional quantity and, in the 

case of the first floating amount, the price of natural gas a stated hub published by 

one of a series of industry publications and, in the case of the second floating 

amount, an applicable futures contract based on the reference commodity. 

Publication Sources: • CGPR—Canadian Gas Price Reporter 

• Gas Daily—Platt’s Gas Daily’s Daily Report 

• IFERC—Platt’s Inside FERC Gas Market Reporter 

• NGI—Natural Gas Intelligence’s Bidweek Survey 

The floating amount can be based on the price for a given period in a given issue of 

the Publication Source (e.g., monthly based on the first issue of the month) or an 

average of prices (e.g., average of weekly bid prices for each weekly issue), as 

agreed by the parties. 

Reference Commodities: • AECO—Alberta Energy Co. (CGPR) 

• ALG—Algonquin Energy Co. (IFERC) 

• Chicago—Chicago City Gate (IFERC) 

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC) 

• HSC—Houston Ship Channel (IFERC) 

• Malin—Pacific Gas Transmission Co., Malin (IFERC) 

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC) 

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC) 

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC) 

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC) 

• PG&E Citygate—PG&E Citygate (IFERC) 

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC) 

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC) 

• Socal—Socal Citygate (IFERC) 

• Sumas—Northwest Pipeline, Sumas (IFERC) 

• TCO—Columbia Gas Transmission Company (IFERC) 

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC) 

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC) 

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC) 

• Ventura—Northern Border Pipeline, Ventura (IFERC) 

• Waha—Waha Hub, West Texas (IFERC) 

Contracts on Reference 

Commodities: 

• NYMEX Henry Hub Natural Gas (Index Swap Future) Last Day Settlement

For transactions where the settlement currency is CAD, this price will be converted 

to CAD at then-current spot. 

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only) 

Quoting Convention Notional amount, as agreed by counterparties. 
Natural Gas – Financial Basis Swap Contracts 

198 

and Minimum 

Increment: 

Minimum Size: Notional amount, as agreed by counterparties. 

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD 

• CAD (AECO only) 

Trading Conventions: Buy or Sell which refers to whether or not the non-futures based floating amount is 

paid (buy) or received (sell). 

Calculation Period: A single date or date range over which the reference price of the commodity will be 

calculated. 

If a date range the reference price will be averaged across the days, contracts or 

Publication Source issues as agreed by the counterparties. 

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and the 

floating payment amount are exchanged (can be netted). 

Settlement Procedure: Bilateral cash settlement performed in settlement currency. 
Natural Gas – Fixed/Floating Swap Contracts 

199 

Natural Gas – Fixed/Floating Swap Contracts 

Terms and Conditions 

Summary: This covers “Natural Gas – Fixed/Floating Swap Contracts”. 

A fixed/floating natural gas swap contract is a cash settled agreement between 

two counterparties whereby one counterparty agrees to pay a fixed amount to 

the other counterparty on a given date, and in exchange the second counterparty 

will pay a floating amount to the first counterparty on the same given date. 

The fixed amount paid is determined based on the notional quantity traded and 

the price of the reference commodity. 

The floating amount paid is determined based on the notional quantity and the 

price of an applicable futures contract based on the reference commodity over 

an agreed future calculation period.

Reference Commodities: • Henry Hub Natural Gas 

• Waha Natural Gas 

• Permian Natural Gas Basis Swap 

• TTF Natural Gas 

Contracts on Reference 

Commodities: 

• NYMEX Henry Hub Natural Gas (Index Swap Future) 

• NYMEX Waha Natural Gas Basis Swap 

• NYMEX Permian Natural Gas Basis Swap 

• ICE TTF Natural Gas (Monthly) 

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD (Other than TTF) 

• EUR (TTF) 

Quoting Convention and 

Minimum Increment: 

Notional amount, as agreed by counterparties 

Minimum Size: Notional amount, as agreed by counterparties 

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD (Other than TTF) 

• EUR (TTF) 

Trading Conventions: Buy or Sell which refers to whether or not the fixed amount is paid (buy) or 

received (sell). 

Calculation Periods: A single date or date range over which the reference price of the commodity will 

be calculated. 

If a date range the reference price will be averaged across all days. 

Trade Date: The date on which counterparties enter into the contract. 

Settlement Date(s): Specified settlement or payment date when the fixed payment amount and the 

floating payment amount are exchanged (can be netted). 

Settlement Procedure: Bilateral cash settlement performed in settlement currency. 

The contracts settle on both the NYMEX Last Day and NYMEX Penultimate 

publications.
Natural Gas – Swing Swap Contracts 

200 

Natural Gas – Swing Swap Contracts 

Terms and Conditions 

Summary: This covers “Natural Gas – Swing Swap Contracts”. 

A natural gas swing swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated 

based on the daily reported price for natural gas at a given hub, and in 

exchange the second counterparty will pay a floating amount to the first 

counterparty on the same given date(s) based on the price at the same hub 

reported for a different period (e.g., weekly or monthly). 

The floating amounts paid are determined based on the notional quantity and, 

in the case of the first floating amount, the daily price of natural gas a stated 

hub published by one of a series of industry publications and, in the case of the 

second floating amount, a price of natural gas the same hub published with 

respect to a different periodicity. 

Publication Sources (Non-Daily): • CGPR—Canadian Gas Price Reporter 

• IFERC—Platt’s Inside FERC Gas Market Reporter 

• NGI—Natural Gas Intelligence’s Bidweek Survey 

The floating amount can be based on the price for a given period in a given 

issue of the Publication Source (e.g., monthly based on the first issue of the 

month) or an average of prices (e.g., average of weekly bid prices for each 

weekly issue), as agreed by the parties. 

Publication Sources (Daily): • Gas Daily –Platt’s Gas Daily’s Daily Report 

Reference Commodities and NonDaily Publication Source: 

• AECO—Alberta Energy Co. (CGPR) 

• ALG—Algonquin Energy Co. (IFERC) 

• Chicago—Chicago City Gate (IFERC) 

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC) 

• HSC—Houston Ship Channel (IFERC) 

• Malin—Pacific Gas Transmission Co., Malin (IFERC) 

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC) 

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC) 

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC) 

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC) 

• PG&E Citygate—PG&E Citygate (IFERC) 

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC) 

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC) 

• Socal—Socal Citygate (IFERC) 

• Sumas—Northwest Pipeline, Sumas (IFERC) 

• TCO—Columbia Gas Transmission Company (IFERC) 

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC) 

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC) 

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC) 

• Ventura—Northern Border Pipeline, Ventura (IFERC) 

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only) 

Quoting Convention and 

Minimum Increment: 

Notional amount, as agreed by counterparties. 

Minimum Size: Notional amount, as agreed by counterparties. 
Natural Gas – Swing Swap Contracts 

201 

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD 

• CAD (AECO only) 

Trading Conventions: Buy or Sell which refers to whether or not the non-daily price based floating 

amount is paid(buy) or received (sell). 

Calculation Period: The reference price may be averaged across the days, contracts or publication 

source issues as agreed by the counterparties. 

Trade Date: The date on which counterparties enter into the contract. 

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and 

the floating payment amount are exchanged (can be netted). 

Settlement Procedure: Bilateral cash settlement performed in settlement currency. 
Non-Deliverable Swaps 

202 

Non-Deliverable Swaps 

Terms and Conditions 

Summary: This covers non-deliverable single-currency swaps 

(“Non-Deliverable Single-Currency Swaps”) and nondeliverable cross-currency swaps (“Non-Deliverable 

Cross-Currency Swaps” and, together with NonDeliverable Single-Currency Swaps, “Non-Deliverable

Swaps”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which Non-Deliverable SingleCurrency Swaps and Non-Deliverable Cross-Currency 

Swaps may be traded are as specified in these terms and 

conditions or in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions (including Supplement 31 

thereto); 

(b) ISDA OTC Taxonomies; 

(c) FpML Location Codes; 

(d) the ISDA/EMTA 1998 FX and Currency Option 

Definitions (“1998 Definitions”); 

(e) the EMTA Non-Deliverable Forward Templates; 

(f) the EMTA-ISDA Market Practice for NonDeliverable CLP “Cámara” (CLP TNA) Interest 

Rate Swap Transactions (“CLP TNA Best 

Practices”); 

(g) the Recommended EMTA-ISDA Market Practice 

for BRL CDI Non-Deliverable Interest Rate Swap 

Transactions (Amended March 13, 2009) (“BRL 

CDI Best Practices”); 

(h) The current ISDA Revised Non-Deliverable Swap 

Transaction Standard Terms Supplement (“Asian 

STS”); and 

(i) The current ISDA Non-Deliverable Swap 

Transaction Fallback Matrix (the “Asian Matrix,” 

and, together with the Asian STS, the “Asian 

Terms”). 
Non-Deliverable Swaps 

203 

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product: Exotic 

Further Limitations: None 

Terms:

Settlement Currency: With respect to Non-Deliverable Single-Currency 

Swaps, USD. 

With respect to any Non-Deliverable Cross-Currency 

Swap, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Index Currency: With respect to any Non-Deliverable Single-Currency 

Swaps, the currency elected by the parties from among 

those specified in the list of Available Single Currencies. 

With respect to any Non-Deliverable Cross-Currency 

Swaps, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”). 

Effective Date Business Days: As specified by the parties from among the Available 

Business Days. 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”). 

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

FX Rate: The amount of Index Currency corresponding to one unit 

of the Settlement Currency. 

The FX Rate will be determined on the date determined 

as specified for the relevant Available Single Currency 

or Available Currency Pair and in accordance: 

(a) in the case of Index Currencies not identified as 

subject to Asian Terms, with the specified NDF 

Template and Rate Sources and Fallback Rates, treating 

the scheduled date of determination of the FX Rate as 

the “Valuation Date” under the NDF Template; and 

(b) in the case of Index Currencies identified as subject 

to Asian Terms, in accordance with the Asian Terms.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction or for any Non-Deliverable Cross-Currency 

Swap Transaction involving ARS or PEN, an amount in

the Index Currency agreed by the parties. 
Non-Deliverable Swaps 

204 

For any other Non-Deliverable Cross-Currency Swap 

Transaction, an amount in the Index Currency or 

Settlement Currency agreed by the parties. 

Fixed Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions. 

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is not 

identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal an amount in the Settlement Currency equal to: 

	 
 ×  
 × 67 
 × ?
7 6
 



If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Fixed Amount shall be calculated in accordance with the 

Asian Terms. 

Fixed Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Fixed Rate Payer Period End Date 

Business Day Convention. 

Fixed Rate Payer Period End Date Business Days: If a Fixed Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days. 

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Fixed Rate 

Payer Period End Dates will not be adjusted. 

Fixed Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Fixed Rate Payer Payment Date 

Business Day Convention. 

Fixed Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days. 

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions. 

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties. 

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction, an amount in the Index Currency agreed by 

the parties. 

For any Non-Deliverable Cross-Currency Swap, an 

amount in the Settlement Currency agreed by the parties. 

For any other Non-Deliverable Cross-Currency Swap, an 

amount agreed by the parties in whichever of the Index 

Currency or Settlement Currency is not the currency in 

which the Fixed Rate Payer Currency Amount is 

denominated. 

Floating Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions. 

If the Currency Amount is denominated in BRL, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 
Non-Deliverable Swaps 

205 

be calculated as set forth under Definition of BRL 

Floating Rate Option. 

If the Currency Amount is not denominated in the 

Settlement Currency or BRL and the Index Currency is 

not identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal an amount in the Settlement Currency equal to: 

	 
 × 67 
 × 

. 
 + BC
 × 

. 
 ?
7 6
 



If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Floating Amount shall be calculated in accordance with 

the Asian Terms. 

Floating Rate Option: For the relevant Currency, as selected by the parties 

from among the Available Floating Rate Options for 

such Currency. 

Designated Maturity (‘indexTenor”): As specified by the parties from among the available 

tenors. 

Spread: As specified by the parties. 

Reset Dates (“resetDate”): As specified by the parties. 

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days. 

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Floating Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Floating Rate Payer Period End 

Date Business Day Convention. 

Floating Rate Payer Period End Date Business Days: If a Floating Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days. 

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Floating Rate 

Payer Period End Dates will not be adjusted. 

Floating Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Floating Rate Payer Payment Date 

Business Day Convention. 

Floating Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days. 

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions. 

Compounding: As specified by the parties.

Method of Averaging: As specified by the parties.

Final Exchange: 

Final Exchange Date: As specified by the parties. 

Final Exchange Business Days: As specified by the parties from among the Available 

Business Days. 

Final Exchange Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Rate Payer Final Exchange Amount: If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Fixed Rate 

Payer Final Exchange Amount. 
Non-Deliverable Swaps 

206 

If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms, an amount in the Settlement Currency equal to: 

	 
 × 67 


If the Fixed Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Fixed Rate Payer Final Exchange Amount shall 

be calculated in accordance with the Asian Terms. 

Floating Rate Payer Final Exchange Amount: If the Floating Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Floating 

Rate Payer Final Exchange Amount. 

If the Floating Rate Payer Final Exchange Amount is

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms an amount in the Settlement Currency equal to: 

	 
 × 67 


If the Floating Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Floating Rate Payer Final Exchange Amount 

shall be calculated in accordance with the Asian Terms. 

Non-Deliverable Swap Settlement Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

Non-Deliverable Swap Available Currencies 

Index Currency NDF Template Rate Source Fallback Rate 

Source(s) (in 

order) 

Determination 

Date 

Business Days 

INR N/A N/A N/A N/A INMU 

MYR N/A N/A N/A N/A MYKL 

THB N/A N/A N/A N/A THBA 

Non-Deliverable Cross-Currency Swap Available Currency Pairs 

Index 

Currency 

Settlement 

Currency 

NDF 

Template 

Rate Source Fallback Rate 

Source(s) (in 

order) 

Determination 

Date 

Business 

Days 

ARS USD 17 May 06 ARS03 ARS04 Payment – 2 

BD 

ARBA 

USNY 

BRL USD 17 May 06 BRL09 BRL12, 

BRL13 

Payment – 2 

BD 

USNY and 

any of 

BR{SP,RJ, 

BR} 

CLP USD 01 Aug 06 CLP10 CLP11 Payment – 2 

BD 

CLSA 

USNY 

COP USD 01 Aug 06 COP02 COP03 Payment – 2 

BD 

USNY 

COBO 

PEN USD 03 Dec 07 PEN05 PEN04 Payment – 2 USNY 
Non-Deliverable Swaps 

207 

BD PELI 

Applicability of Asian Terms 

Index Currency Asian Terms 

ARS Not Applicable 

BRL Not Applicable 

CLP Not Applicable 

COP Not Applicable 

INR Applicable 

MYR Applicable 

PEN Not Applicable 

THB Applicable 

Non-Deliverable Swap Floating Rate Options 

Index Currency Floating Rate Option Defined In Business Days 

ARS Not Applicable—Fixed Leg ONLY ARBA 

USNY 

BRL BRL-CDI-CETIP See below USNY and any of 

BR{SP,RJ, BR} 

CLP CLP-Indice Cámara 

Promedio (ICP) 

CLP TNA Best Practices USNY 

CLSA 

CLP CLP-Unidad de Fomentos

(UF/CLF)

See below USNY 

CLSA 

COP COP-IBR-OISCOMPOUND ISDA 2006 USNY 

COBO 

COP COP-Unidad de Valor Real 

(UVR)

See below USNY 

COBO 

INR INR-FBIL-MIBOR-OISCOMPOUND ISDA 2006 INMU 

INR INR-MITOR-OISCOMPOUND ISDA 2006 INMU 

MYR MYR-KLIBOR-BNM ISDA 2006 MYKL 

PEN Not Applicable—Fixed Leg ONLY USNY 

PELI 

THB THB-THBFIX-Reuters ISDA 2006 THBA 

USD Any USD Floating Rate 

Option available under 

tpSEF’s Fixed/Floating 

Swap Listing 

See tpSEF’s Fixed/Floating 

Swap Listing 

See tpSEF’s 

Fixed/Floating Swap 

Listing 

Definition of BRL Floating Rate Option 

Floating Amount: Notwithstanding anything to the contrary 

	 
 × 67 
 × D1 +

0
 
E

252  − 1



E=1

G

252-

Where: 

N=number of Reset Dates in the Calculation Period 

j=a particular Reset Date 

Relevant Rate=the Relevant Rate for instance j of Reset Date 

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 
Non-Deliverable Swaps 

208 

DIOVER- EXTRA Group as published by CETIP (Câmara de 

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account. 

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties. 

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days). 

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll. 

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent. 

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices). 

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days. 

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F. 

Definition of CLP-Unidad de Fomento (UF/CLF) 

CLP-Unidad de Fomento (UF/CLF): For any Reset Date, the difference between the value of the 

unidad de fomento (UF/CLF) as certified by the Chilean Banco 

Central de Chile for the calendar day preceding such Reset Date 
Non-Deliverable Swaps 

209 

and the value of the unidad de fomento (UF/CLF) as certified by 

the Chilean Banco Central de Chile for such Reset Date. 

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the CLP-Unidad de 

Fomento (UF/CLF). 

If for any Reset Date there is no published value of the unidad 

de fomento (UF/CLF) as certified by the Chilean Banco Central 

de Chile, the Calculation Agent shall determine the CLP-Unidad 

de Fomento (UF/CLF) for such day. 

Definition of COP-Unidad de Valor Real (UVR) 

COP-Unidad de Valor Real (UVR): For any Reset Date, the difference between the value of the 

unidad de valor real (UVR) as certified by the Colombian 

Banco de Republica for the calendar day preceding such Reset 

Date and the value of unidad de valor real (UVR) as certified by 

the Colombian Banco de Republica for such Reset Date. 

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the COP-Unidad de 

Valor Real (UVR). 

If for any Reset Date there is no published the difference 

between the value of the unidad de valor real (UVR) as certified 

by the Colombian Banco de Republica, the Calculation Agent 

shall determine the COP-Unidad de Valor Real (UVR) for such 

day. 

Non-Deliverable Swap Available Day Count Fractions 

ISDA Name 

1/1 

30/360, 360/360, Bond Basis 

Actual/360 

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F 

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA) 

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA) 

Non-Deliverable Swap Available Business Day Conventions 

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Non-Deliverable Single-Currency Swap Notional Amounts 

Currency Minimum Increment 

INR 5,000,000 100,000 

MYR 5,000,000 100,000 

RHB 5,000,000 100,000 
Non-Deliverable Swaps 

210 

Non-Deliverable Cross-Currency Swap Notional Amounts 

Currency Minimum Increment 

ARS As implied by the USD minimum As implied by the USD increment 

BRL As implied by the USD minimum As implied by the USD increment 

CLP As implied by the USD minimum As implied by the USD increment 

COP As implied by the USD minimum As implied by the USD increment 

PEN As implied by the USD minimum As implied by the USD increment 

USD 1,000,000 100,000 
Non-Deliverable Forward Foreign Exchange Contracts 

211 

Non-Deliverable Forward Foreign Exchange Contracts 

Terms and Conditions 

Summary: A non-deliverable forward (“NDF”) is an outright 

forward in which the counterparties settle the difference 

between the contracted NDF price or rate and the 

prevailing spot price or rate on an agreed notional

amount in an agreed settlement currency. 

Reference Currency

(i.e., Non-Delivery Currency): 

• ARS Argentine Peso 

• BRL Brazilian Real 

• CLP Chilean Peso 

• COP Colombian Peso 

• CNY Chinese Renminbi 

• EGP Egyptian pound 

• GHS Ghanaian Cedi 

• GTQ Guatemalan quetzal 

• IDR Indonesian Rupiah 

• INR Indian Rupee 

• KES Kenyan Shilling 

• KRW South Korean Won 

• KZT Kazakh tenge 

• MYR Malaysian Ringgit 

• NGN Nigerian Naira 

• PEN Peruvian nuevo sol 

• PHP Philippine Peso 

• RUB Russian ruble 

• TWD Taiwan Dollar 

• UAH Ukrainian Hryvnia 

• UGX Ugandan Shilling 

• UYU Uruguayan peso 

• VEB Venezuelan bolívar 

• VND Vietnamese đồng 

• ZMW Zambian Kwacha 

Settlement Currency: • AUD Australian Dollar 

• CAD Canadian Dollar 

• EUR Euro 

• GBP British Pound 

• JPY Japanese Yen 

• USD US Dollar 

• CHF Swiss Franc 

Quoting Convention and Minimum Increment: Notional amount, as agreed by counterparties. 

Minimum Size: Notional amount, as agreed by counterparties. 

Notional Currency: Currency in which contract size is expressed, as agreed 

by counterparties. 

Trading Conventions: Buy or Sell which refers to the contract size expressed in 

notional currency. 

Forward Rates: Currency exchange rate expressed as the amount of 

reference currency per unit of settlement currency.

Trade Date: The date on which parties enter into the contract. 

Settlement Date: Specified settlement or payment date, as agreed by 

counterparties. 
Non-Deliverable Forward Foreign Exchange Contracts 

212 

Fixing Date: The date at which the difference between the prevailing 

market exchange rate and the agreed upon exchange rate 

is calculated. 

Settlement Procedure: Bilateral settlement performed in settlement currency. 

Disruption Events: Unless otherwise specified by the parties, as set forth in 

the EMTA Template Terms for Non-Deliverable FX 

Forward Transactions applicable to the Reference 

Currency and Settlement Currency: 

http://www.emta.org/ndftt.aspx 
Non-Deliverable Vanilla American or European Style Foreign Exchange Options 

213 

Non-Deliverable Vanilla American or European Style Foreign Exchange Options 

Terms and Conditions 

Summary: This covers non-deliverable vanilla American or 

European style foreign exchange options. 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Non-Deliverable Vanilla 

American or European Style Foreign Exchange Option 

may be traded are as specified in these terms and 

conditions and in the attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate Options. 

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made. 

For these purposes “TARGET”/EUTA is considered a 

location. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards: 

(a) the 1998 FX and Currency Option Definitions and

2005 Amendment and Annex A and supplements 

(b) ISDA OTC Taxonomies 

(c) FpML Location Codes 

For convenience, certain terms are mapped to their FpML 

5.5 equivalent. 

For purposes of this description, the term COP means the 

lawful currency of the Republic of Columbia 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange 

ISDA OTC Base Product: Foreign Exchange 

ISDA OTC Sub-Product: Vanilla Option 

Further Limitations: None 

FpML Schema: “confirmation.fxOption” 

Terms: 

Trade Date: The date the transaction is agreed between and becomes 
Non-Deliverable Vanilla American or European Style Foreign Exchange Options 

214 

legally binding on the parties. 

Commencement Date 

(“americanExercise.commencementDate”): 

As specified by the parties. 

This applies only where the Option Style is American. 

Buyer (“buyerPartyReference”): As specified by the parties. 

Seller (“sellerPartyReference”): As specified by the parties. 

Currency Option Style: As specified by the parties.

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency. 

Call Currency (“callCurrencyAmount”): The currency and amount as specified by the parties, or, if 

not so specified, derived from the Put Currency Amount 

and Strike Price. 

The Put Currency and Call Currency must represent a

traded pair as shown on the attached list of currencies. 

Put Currency (“putCurrencyAmount”): The currency and amount as specified by the parties, or, if 

not so specified, derived from the Call Currency Amount 

and Strike Price. 

Strike Price (“strikePrice”): As specified by the parties (if only one of the Put 

Currency or Call Currency is specified). 

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the Option is to be automatically exercised. 

Reference Currency: As specified by the parties. 

Settlement Currency: As specified by the parties. 

Settlement Rate: As specified by the parties, if no Settlement Rate Option 

is specified. 

Settlement Rate Option: As specified by the parties from among the Available 

Settlement Rate Options if the Settlement Currency is 

USD. 

Expiration Date (“expiryDate”): As specified by the parties. 

Latest Exercise Time: As specified by the parties. 

This applies only where the Option Style is American. 

Expiration Time (“americanExercise.expiryTime” or 

“europeanExercise.expiryTime”): 

The time in the location specified by the parities.

Automatic Exercise: As specified by the parties. 

Settlement Date: As specified by the parties 

Valuation Date: As specified by the parties. 

Averaging Dates: As specified by the parties 

Premium (“premium”) As specified by the parties. 

Premium Payment Date: As specified by the parties. 

Calculation Agent: As specified by the parties. 

Business Days for Premium Payment Date: As specified by the parties. 

Business Days for Settlement Date: As specified by the parties. 

Business Days for Exercise Date For American Options, as specified by the parties. 

Business Days for Expiration Date: As specified by the parties. 

Business Days (General): As specified by the parties. 

Business Day Convention for Premium Payment Date: As specified by the parties. 

Business Day Convention for Expiration Date: As specified by the parties. 

Business Day Convention for Settlement Date: As specified by the parties. 

Event Currency: As specified by the parties if any Disruption Events are 

applicable. 

Disruption Events: As specified by the parties. 

Disruption Fallbacks: As specified by the parties for each Disruption Event 

applicable. 
Non-Deliverable Vanilla American or European Style Foreign Exchange Options 

215 

FX Non-Deliverable Vanilla Option Available Currencies and Principal Financial Centers 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Principal Financial Centers for 

Currency (FpML Codes) 

ARS Argentine Peso ARBA 

BRL Brazilian Real BRBR, BRRJ or BRSP 

CLP Chilean Peso CLSA 

CNY Chinese Renminbi CNBE 

COP Colombian Peso COBO 

EGP Egyptian Pound EGCA 

EUR Euro EUTA 

IDR Indonesian Rupiah IDJA 

INR Indian Rupee INMU 

KRW Korean Won KRSE 

KZT Kazakhstan Tenge KZAL 

MYR Malaysian Ringgit MYKL 

PEN Peruvian Nuevo Sol PELI 

PHP Philippine Peso PHMA 

RUB Russian Ruble RUMO 

TWD Taiwanese Dollar TWTA 

USD United States Dollar USNY 

VEB Venezuelan Bolivar VECA 

VND Vietnamese Dong VNHA 

The Minimum Amount for any currency pair is 5,000,000 of the Call Currency with an Increment of 5,000,000 of 

the Call Currency 

FX Non-Deliverable Vanilla Option Available Settlement Rate Options 

ARS ARS01 ARS BNAR 

ARS ARS02 ARS OFFICIAL RATE 

ARS ARS03 CME/EMTA ARS INDUSTRY SURVEY RATE 

ARS ARS03 EMTA ARS INDUSTRY SURVEY RATE 

ARS ARS04 EMTA ARS INDICATIVE INDUSTRY SURVEY RATE 

BRL BRL01 BRL BRBY 

BRL BRL02 BRL OFFICIAL RATE 

BRL BRL03 BRL PCOT 

BRL BRL09 BRL PTAX 

BRL BRL10 BRL PTAX BRFR 

BRL BRL11 BRL INDUSTRY SURVEY RATE 

BRL BRL12 EMTA BRL INDUSTRY SURVEY RATE 

BRL BRL13 EMTA BRL INDICATIVE SURVEY RATE 

CLP CLP01 BCCCHILG 

CLP CLP02 CLP INFORMAL 

CLP CLP03 CLP INTERBANK 

CLP CLP04 CLP OBSERVADO 

CLP CLP08 CLP OFFICIAL RATE 

CLP CLP09 CLP TELERATE 38942 

CLP CLP10 CLP DOLAR OBS 

CLP CLP11 EMTA CLP INDICATIVE SURVEY RATE 

CNY CNY01 CNY SAED 

CNY CNY02 SFEMC CNY INDICATIVE SURVEY RATE 

COP COP01 COP CO/COL03 

COP COP02 COP TRM 
Non-Deliverable Vanilla American or European Style Foreign Exchange Options 

216 

COP COP03 COP INDICATIVE SURVEY RATE 

EGP EGP01 EGP FEMF 

EGP EGP02 EMTA EGP INDICATIVE SURVEY RATE 

IDR IDR01 IDR ABS 

IDR IDR02 SFEMC INDICATIVE SURVEY RATE 

IDR IDR03 IDR VWAP 

INR INR01 INR RBIB 

INR INR02 SFEMC INR INDICATIVE SURVEY RATE 

KRW KRW02 KRW KFTC18 

KRW KRW03 KRW TELERATE 45644 

KRW KRW04 SFEMC KRW INDICATIVE SURVEY RATE 

KZT KZT01 KZT KASE 

KZT KZT 02 EMTA KZT INDICATIVE SURVEY RATE 

MYR MYR01 MYR ABS 

MYR MYR02 SFEMC MYR INDICATIVE SURVEY RATE 

MYR MYR03 MYR PPKM 

PEN PEN01 PEN PDSB 

PEN PEN02 PEN PDSC 

PEN PEN03 PEN WT AVE 

PEN PEN04 EMTA PEN INDICATIVE SURVEY RATE 

PEN PEN05 PEN INTERBANK AVE 

PHP PHP01 PHPESO 

PHP PHP02 PHP TELERATE 2920 

PHP PHP03 PHP TELERATE 15439 

PHP PHP04 PHPES01 

PHP PHP05 SFEMC PHP INDICATIVE SURVEY RATE 

PHP PHP06 PHP PDSPESO 

RUB RUB01 RUB MICEXFRX 

RUB RUB02 RUB MMVB 

RUB RUB03 RUB CME-EMTA 

RUB RUB04 EMTA RUB INDICATIVE SURVEY RATE 

TWD TWD01 TWD TELERATE 6161 

TWD TWD02 TWD TFEMA 

TWD TWD03 TWD TAIFIX1 

TWD TWD04 SFEMC 

VEB VEF01 VEF FIX 

VND VND01 VND ABS 

VND VND02 VND FX 

VND VND03 SFEMC VND INDICATIVE SURVEY RATE 

FX Non-Deliverable Vanilla Option Requirements and Defaults 

Variable Requirement Default 

Commencement Date American Style ONLY Trade Date 

Latest Exercise Time American Style ONLY Same as Expiration Time 

Automatic Exercise Applicable 

Business Days for Premium 

Payment Date 

At least one of the specified 

locations must be able to settle 

relevant Currency 

Principal Financial Center for 

Currency of Premium 

Business Days for Settlement Dates: The specified locations must at least 

be able to settle each Currency in the 

Currency Pair 

Principal Financial Center for each 

Currency of the Currency Pair 

Business Days for Exercise Date Location of Seller Location of Seller 

Business Days for Expiration Dates: If Automatic Exercise does not Location of Seller and trading day 
Non-Deliverable Vanilla American or European Style Foreign Exchange Options 

217 

apply, location of Seller 

If Automatic Exercise does apply, 

trading day for each Currency of 

Currency Pair 

for each Currency of Currency Pair 

Business Day Convention for 

Premium Payment Date: 

Cannot result in payment due prior 

to Trade Date 

Following 

Business Day Convention for 

Expiration Date: 

 Following 

Business Day Convention for 

Settlement Date 

Cannot result in payment due prior 

to Exercise Date 

Following 

Disruption Events: Price Source Disruption ONLY

Disruption Fallbacks: Required only if there are Disruption 

Events 

For Price Source Disruption per the 

1998 Definitions 

FX Non-Deliverable Vanilla Available Option Styles 

Style Description Default 

American Can be exercised on any Exercise 

Business Day from and including the 

Commencement Date to and 

including the Expiration Date 

Yes 

European Can be exercised only on the 

Expiration Date 

No 

Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

Nearest 

Preceding 
PO Index Contracts 

218 

PO Index Contracts 

Terms and Conditions 

Summary: This covers Markit PO Fixed for Floating Swap 

Transactions (the “Contracts”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which the Contracts may be traded are 

as specified in these terms and conditions. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

(a) 2006 ISDA Definitions; 

(b) ISDA OTC Taxonomies; and 

(c) the Markit PO Standard Terms Supplement (June 

12, 2010 version) or any subsequent Standard 

Terms Supplement (the “Standard Terms”). 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit 

ISDA OTC Base Product: Index 

ISDA OTC Sub-Product: PO 

ISDA OTC Transaction Type: PO 

Further Limitations: None 

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms. 

Scheduled Termination Date: As agreed by the parties. 

Termination Date: Per the Standard Terms. 

Notional Amount: An amount is USD agreed by the parties. 

Index: One of the Markit PO Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations). 

Annex Date: As agreed by the parties. 

Index Provider: Per the Standard Terms. 

Fixed Rate Payer: As agreed by the parties. 

Floating Rate Payer: As agreed by the parties. 

Period End Dates: Per the Standard Terms. 

Reset Dates: Per the Standard Terms 

Payment Dates: Per the Standard Terms. 

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms. 

Day Count Fraction: Per the Standard Terms. 

Business Days: For any purpose, per the Standard Terms. 

Business Day Convention: Per the Standard Terms. 

Initial Payment:
PO Index Contracts 

219 

Initial Payment: Per the Standard Terms. 

Initial Payment Amount: An amount in USD as specified by the parties. 

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms. 

Settlement Payments 

Mark to Market Amount Payment: Per the Standard Terms. 

Mark to Market Amount Payer: Per the Standard Terms. 

Mark to Market Amount: Per the Standard Terms. 

Financing Payment: Per the Standard Terms. 

Financing Payment Amount: Per the Standard Terms. 

Principal Payment: Per the Standard Terms. 

Principal Payment Amount: Per the Standard Terms. 

Net Payment: Per the Standard Terms. 

Net Payment Amount Payer: Per the Standard Terms. 

Net Payment Amount: Per the Standard Terms. 

Agency Coupon: Per the Standard Terms. 

Index LIBOR: Per the Standard Terms. 

Index Factor: Per the Standard Terms. 

Commencing Index Factor: Per the Standard Terms. 

Period End Index Factor: Per the Standard Terms. 

Index Price: Per the Standard Terms. 

Commencing Index Price: Per the Standard Terms. 

Period End Index Price: Per the Standard Terms. 

Event Affecting the Index: 

Events and Adjustments: All are per the Standard Terms. 
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared 

220 

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared 

Terms and Conditions 

Summary: This covers single currency fixed for floating interest 

rate swaps cleared by the Chicago Mercantile Exchange 

Inc. (“CME”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared may be traded 

are as specified in these terms and conditions, which 

incorporate the CME Rulebook, in particular Chapters 

900 and 901 (and any successor provisions) and the 

CME Cleared IRS Product Scope (or any successor). 

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared, 

participants are representing that they are familiar 

with the CME Rulebook and the limitations on 

transaction terms contained in it. 

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time. 

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product(s): Fixed Float and OIS 

Further Limitations: Must comply with CME Clearing Requirements. 

Terms: 

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook. 

Effective Date: As per the CME Rulebook. 

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook. 

This may vary from period to period to the extent 

permitted by the CME Rulebook. 

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted. 

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook. 

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected. 

Business Day Convention: As per the CME Rulebook. 

Trade Date: As per the CME Rulebook. 

Termination Date: As agreed by the parties, subject to any minimum or 
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared 

221 

maximum tenor in the CME Rulebook. 

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction. 

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook. 

Fixed Rate Payer Payment Dates: As per the CME Rulebook. 

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule. 

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in the 

CME Rulebook. 

Floating Rate Payer Payment Dates: As per the CME Rulebook. 

Floating Amount: As per the CME Rulebook. 

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set. 

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page. 

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook. 

Reset Dates: As the per CME Rulebook. 

Floating Rate Daycount Fraction: As per the CME Rulebook. 

Floating Rate for Initial Calculation Period: As per the CME Rulebook. 

Fixed Rate Payer: As determined by the parties. 

Floating Rate Payer: As determined by the parties. 

Compounding: As per the CME Rulebook. 

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook. 

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook. 

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the CME Rulebook. 
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared 

222 

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared 

Terms and Conditions 

Summary: This covers single currency fixed for floating swaps 

cleared by LCH.Clearnet (“LCH”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swaps/LCH Cleared contract may 

be traded are as specified in these terms and conditions, 

which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions). 

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/LCH Cleared, participants 

are representing that they are familiar with the LCH 

Rulebook and the limitations on transaction terms 

contained in it. 

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time. 

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, since

the LCH may reserve the right to select when and how 

such changes become effective. 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate 

ISDA OTC Base Product: IR Swap 

ISDA OTC Sub-Product(s): Fixed Float and OIS 

Further Limitations: Must comply with LCH Clearing Requirements 

Terms: 

Definition Set: The definition set (e.g., ISDA 2000/ISDA 2006) elected 

by, or otherwise binding on, the parties in accordance with 

the LCH Rulebook. 

Notional Amount: An amount in Currency determined by the parties subject 

to limitations in the LCH Rulebook. 

This may vary from period to period to the extent 

permitted by the LCH Rulebook. 

The LCH Rulebook may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted. 

Currency: One of the currencies permitted for the relevant transaction 

type per the LCH Rulebook. 

Trade Date: As per the LCH Rulebook. 

Effective Date: As per the LCH Rulebook. 

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook. 

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook. 

Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook 

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in the 

LCH Rulebook, which may limit the earliest or latest day 

on which such fees may be paid based on Currency or

other factors. 
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared 

223 

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or Floating 

Rate Option Basis and may otherwise limit the available 

Business Day locations which can be elected. 

Business Day Convention: As per the LCH Rulebook. 

Stub Periods: Permitted to the extent allowed under the LCH Rulebook. 

Fixed Rate Payer: As determined by the parties. 

Fixed Rate Payer Payment Dates: As per the LCH Rulebook. 

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule. 

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in the 

LCH Rulebook. 

Floating Rate Payer As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Rate Payer Compounding Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set. 

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the related 

rate source page. 

Spread: Subject to any minimum or maximum rate and per-period 

variability permitted by the LCH Rulebook. 

Reset Dates: As the per LCH Rulebook. 

Floating Rate Daycount Fraction: As per the LCH Rulebook. 

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method. 

Withholding and Tax: As per the LCH Rulebook. 

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
U.S. Electricity – Fixed/Floating Swap Contracts 

224 

U.S. Electricity – Fixed/Floating Swap Contracts 

Terms and Conditions 

Summary: This covers fixed-for-floating U.S. electricity swaps 

(“U.S. Electricity – Fixed/Floating Swap Contracts”). 

Limitations on Available Selections and Default 

Settings: 

The terms under which U.S. Electricity – Fixed/Floating 

Swap Contracts may be traded are shown below or in the 

attached tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards: 

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”) 

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity 

ISDA OTC Base Product: Energy 

ISDA OTC Sub-Product: Elec 

ISDA OTC Transaction type: Swap 

Further Limitations: None 

Terms:

Trade Date: As agreed by the parties. 

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

Effective Date Business Days: USNY 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date: As specified by the parties. 

Termination Date Business Days: USNY 

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Commodity As specified by the parties from among the Available 

Commodities. 

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period. 

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis. 

Settlement Periods: If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein. 

Parties may specify one of the Available Set Tenors as a 

Settlement Period or may specify another period. 
U.S. Electricity – Fixed/Floating Swap Contracts 

225 

Applicable Days: If applicable to the relevant Commodity Reference Price 

and specified therein or if applicable to the relevant 

Available Set Tenor and specified therein (i.e., Month). 

Applicable Days does not apply to Commodity 

Reference Prices under the headings “ISDA Definition” 

or “Exchange Definition”. 

Duration: Hourly 

Start Time(s)/End Time(s): If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein. 

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention. 

Payment Date Business Days: USNY 

Payment Date Business Day Convention: As specified by the parties. 

Fixed Amount:

Fixed Price Payer: As specified by the parties. 

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity. 

Floating Amount:

Floating Price Payer: As specified by the parties. 

Applicable Spread: As specified by the parties. 

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices. 

Market Disruption: 

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Additional Market Disruption Events: As specified by the parties. 

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Fallback Reference Price: None, unless specified by the parties. 

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions. 

Calculation Agent: As agreed by the parties. 

U.S. Electricity – Fixed/Floating Swap Contracts Available Currencies and Required Business Days 

Three Letter Currency Code 

(ISDA/ISO) 

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes) 

USD United States Dollars USNY 

U.S. Electricity – Fixed/Floating Swap Contracts Available Business Day Conventions 

ISDA Name

Following 

Modified/Modified Following 

Nearest 

Preceding 
U.S. Electricity – Fixed/Floating Swap Contracts 

226 

U.S. Electricity – Fixed/Floating Swap Contracts Available Set Tenors 

Set Tenor Settlement Period 

Month The specified calendar month; if OFF PEAK/PEAK is 

not specified, PEAK is assumed 

Season Season Days in Specified Year 

Winter 1 January through the last 

day of February in the 

specified year 

Spring 1 March through 30 April 

in the specified year 

Summer 1 July through 31 August 

in the specified year 

Quarter Quarter Number Days in Specified Year 

Q1 1 January through 31 

March 

Q2 1 April through 30 June 

Q3 1 July through 30 

September 

Q4 1 October through 31 

December 

Calendar Year 1 January through 31 December in the specified year

Planning Year 1 June in the specified beginning calendar year through 

31 May in the specified ending calendar year 

U.S. Electricity – Fixed/Floating Swap Contracts Available Commodity Reference Prices

ISDA Definitions 

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

Note that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the 

Clock”); for the equivalent Peak and Off-Peak prices, see below. 

ISDA Definition 

ELECTRICITY-NYISO-ZONE A (WEST)-DAY AHEAD 

ELECTRICITY-NYISO-ZONE G (HUD VL)-DAY AHEAD 

ELECTRICITY-NYISO-ZONE J (N.Y.C.)-DAY AHEAD 

ELECTRICITY-ISO NEW ENGLAND-MASS HUB-DAY AHEAD 

ELECTRICITY-ISO NEW ENGLAND-NE MASS BOSTON-DAY AHEAD 

ELECTRICITY-PJM-EASTERN HUB-DAY AHEAD 

ELECTRICITY-PJM-PSEG-DAY AHEAD 

ELECTRICITY-PJM-WESTERN HUB-DAY AHEAD 

Exchange Definitions 

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. Note 

that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the Clock”); 

for the equivalent Peak and Off-Peak prices, see below. 

ISDA Definition 

Commodity 

Reference 

Price 

Relevant 

Commodity 

Relevant Unit Exchange Currency Specified Price 
U.S. Electricity – Fixed/Floating Swap Contracts 

227 

ELECTRICITY

-NP15 DAY 

AHEAD PEAKICE 

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISONP15-DAY 

AHEAD" 

ELECTRICITY

-NP15 DAY 

AHEAD PEAKICE 

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISONP15-DAY 

AHEAD" 

ELECTRICITY

-SP15 DAY 

AHEAD OFF 

PEAK-ICE 

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY 

AHEAD" 

ELECTRICITY

-SP15 DAY 

AHEAD PEAKICE 

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY 

AHEAD" 

ELECTRICITY

-PALO VERDE 

OFF PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE 

OFF-PEAK-ICE

ELECTRICITY

-PALO VERDE 

PEAK-ICE 

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE 

PEAK-ICE

ELECTRICITY

-MID C OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C OFFPEAK-ICE

ELECTRICITY

-MID C PEAKICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C PEAKICE

Non-ISDA, Non-Exchange Definitions 

For any of the Commodity Reference Prices below, the price for the Settlement Period specified for that Pricing Date 

will be that hour’s Specified Price per MWh of electricity for delivery on an Applicable Day specified for that 

Commodity Reference Price, published by the specified Source on the specified Page under the specified Heading 

(or any successor Source, Page or Heading), that reports prices effective on such Applicable Day. 

Commodity 

Reference Price 

Settlement 

Period 

Source Page Heading 

ELECTRICITYPJM-AEP 

DAYTON HUBATC DAY 

AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP 

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

DAY AHEAD 

Eastern Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP 

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP 

ELECTRICITY- N/A PJM http://www.pjm.com/markets-and- AEP DAYTON 
U.S. Electricity – Fixed/Floating Swap Contracts 

228 

PJM-AEP 

DAYTON HUBATC 

REALTIME 

operations/energy/real-time/lmp.aspx HUB, TotalLMP 

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

REAL TIME 

Eastern Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP 

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

REAL TIME 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP 

ELECTRICITYPJM-COMED 

HUB-ATC DAY 

AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP 

ELECTRICITYPJM-COMED 

HUB-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP 

ELECTRICITYPJM-COMED 

HUB-OFF 

PEAK DAY 

AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP 

ELECTRICITYMISOINDIANA HUBATC DAY 

AHEAD 

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf)) 

Indiana Hub, LMP 

Prices ($ per MW) 

ELECTRICITYMISOINDIANA HUBOFF PEAK 

DAY AHEAD 

Eastern Off 

Peak 

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf)) 

Indiana Hub, LMP 

Prices ($ per MW) 

ELECTRICITYMISOINDIANA HUBPEAK DAY 

AHEAD 

Eastern 

Peak 

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf)) 

Indiana Hub, LMP 

Prices ($ per MW) 

ELECTRICITYMISOINDIANA HUBATC REAL 

TIME 

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf)) 

Indiana Hub, LMP 

Prices ($ per MW) 

ELECTRICITYMISOINDIANA HUBOFF PEAK 

REAL TIME 

Eastern Off 

Peak 

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf)) 

Indiana Hub, LMP 

Prices ($ per MW) 

ELECTRICITYMISOEastern 

Peak 

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

Indiana Hub, LMP 

Prices ($ per MW) 
U.S. Electricity – Fixed/Floating Swap Contracts 

229 

INDIANA HUBPEAK REAL 

TIME 

(Report Type: Real -Time, Report: RealTime Pricing (pdf)) 

ELECTRICITYMISOMICHIGAN 

HUB-ATC DAY 

AHEAD 

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf)) 

Michigan Hub, 

LMP Prices ($ per 

MW) 

ELECTRICITYMISOMICHIGAN 

HUB-OFF 

PEAK DAY 

AHEAD 

Central Off 

Peak 

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf)) 

Michigan Hub, 

LMP Prices ($ per 

MW) 

ELECTRICITYMISOMICHIGAN 

HUB-PEAK 

DAY AHEAD 

Central 

Peak 

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf)) 

Michigan Hub, 

LMP Prices ($ per 

MW) 

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC DAY 

AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP 

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK 

DAY AHEAD 

Central Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP 

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK DAY 

AHEAD 

Central 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP 

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC REAL 

TIME 

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP 

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK 

REAL TIME 

Central Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP 

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK REAL 

TIME 

Central 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP 
U.S. Electricity – Fixed/Floating Swap Contracts 

230 

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-ATC 

DAY AHEAD 

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh 

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh 

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh 

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD 

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK 

DAY AHEAD 

Eastern Off 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD 

Eastern 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD 

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK 

DAY AHEAD 

Eastern Off 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD 

Eastern 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh 
U.S. Electricity – Fixed/Floating Swap Contracts 

231 

ELECTRICITYISO NEW 

ENGLANDMASS HUBATC DAY 

AHEAD 

See ISDA Definition 

ELECTRICITYISO NEW 

ENGLANDMASS HUBOFF PEAK 

DAY AHEAD 

Eastern Off 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.H.INTERNAL_HU

B, Locational 

Marginal Pricing 

$/MWh 

ELECTRICITYISO NEW 

ENGLANDMASS HUBPEAK DAY 

AHEAD 

Eastern 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.H.INTERNAL_HU

B, Locational 

Marginal Pricing 

$/MWh 

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-DAY 

AHEAD 

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-DAY 

AHEAD 

See ISDA Definition 

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-PEAK 

Eastern 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh 
U.S. Electricity – Fixed/Floating Swap Contracts 

232 

DAY AHEAD 

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-DAY 

AHEAD 

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present) 

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh 

ELECTRICITYPJMATLANTIC 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP 

ELECTRICITYPJMATLANTIC 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP 

ELECTRICITYPJMATLANTIC 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP 

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP 

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspx

BGE ZONE, 

TotalLMP 

ELECTRICITYPJMBALTIMORE 

GAS AND 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP 
U.S. Electricity – Fixed/Floating Swap Contracts 

233 

ELECTRIC 

ZONE-PEAK 

DAY AHEAD 

ELECTRICITYPJM-DPL 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP 

ELECTRICITYPJM-DPL 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP 

ELECTRICITYPJM-DPL 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP 

ELECTRICITYPJM-EASTERN 

HUB-ATC DAY 

AHEAD 

See ISDA Definition 

ELECTRICITYPJM-EASTERN 

HUB-OFF 

PEAK DAY 

AHEAD 

Eastern 

Off-Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP 

ELECTRICITYPJM-EASTERN 

HUB- PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP 

ELECTRICITYPJM-JCPL 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP 

ELECTRICITYPJM-JCPL 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP 

ELECTRICITYPJM-JCPL 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP 

ELECTRICITYPJM-METED 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP 

ELECTRICITYPJM-METED 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern 

Off-Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP 

ELECTRICITYPJM-METED 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP 
U.S. Electricity – Fixed/Floating Swap Contracts 

234 

ELECTRICITYPJM-PECO 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP 

ELECTRICITYPJM-PECO 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern 

Off-Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP 

ELECTRICITYPJM-PECO 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP 

ELECTRICITYPJM-PEPCO 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP 

ELECTRICITYPJM-PEPCO 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern 

Off-Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP 

ELECTRICITYPJM-PEPCO 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP 

ELECTRICITYPJM-PPL 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP 

ELECTRICITYPJM-PPL 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern 

Off-Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP 

ELECTRICITYPJM-PPL 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP 

ELECTRICITYPJM-PPL 

ZONE-ATC 

DAY AHEAD 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP 

ELECTRICITYPJM-PPL 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern 

Off-Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP 

ELECTRICITYPJM-PPL 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP 

ELECTRICITYPJM-PSEG 

ZONE-ATC 

See ISDA Definition
U.S. Electricity – Fixed/Floating Swap Contracts 

235 

DAY AHEAD 

ELECTRICITYPJM-PSEG 

ZONE-OFF 

PEAK DAY 

AHEAD 

Eastern 

Off-Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPSEG ZONE, 

TotalLMP 

ELECTRICITYPJM-PSEG 

ZONE-PEAK 

DAY AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPSEG ZONE, 

TotalLMP 

ELECTRICITYPJM-WESTATC DAY 

AHEAD 

See ISDA Definition 

ELECTRICITYPJM-WESTOFF PEAK 

DAY AHEAD 

Eastern 

Off-Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP 

ELECTRICITYPJM-WESTPEAK DAY 

AHEAD 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP 

ELECTRICITYPJM-WEST 

HUB-ATC 

REALTIME 

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP 

ELECTRICITYPJM-WEST 

HUB-OFF 

PEAK REAL 

TIME 

Eastern Off 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP 

ELECTRICITYPJM-WEST 

HUB-OFF 

PEAK REAL 

TIME 

Eastern 

Peak 

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP 

ELECTRICITYNYISO-NY 

ZONE A-ATC 

DAY AHEAD 

See ISDA Definition 

ELECTRICITYNYISO-NY 

ZONE A-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

WEST, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE A- PEAK 

DAY AHEAD 

Eastern 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

WEST, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE A-ATC 

DAY AHEAD 

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

WEST, LBMP 

($/MWHr) 
U.S. Electricity – Fixed/Floating Swap Contracts 

236 

ELECTRICITYNYISO-NY 

ZONE A-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

WEST, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE A- PEAK 

DAY AHEAD 

Eastern 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

CENTRL, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE C-ATC 

DAY AHEAD 

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

CENTRL, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE C-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

CENTRL, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE C- PEAK 

DAY AHEAD 

Eastern 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

CENTRL, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE G-ATC 

DAY AHEAD 

See ISDA Definition 

ELECTRICITYNYISO-NY 

ZONE G-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

HUD VL, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE G- PEAK 

DAY AHEAD 

Eastern 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

HUD VL, LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE H-ATC 

DAY AHEAD 

See ISDA 

Definition 

ELECTRICITYNYISO-NY 

ZONE H-OFF 

PEAK DAY 

AHEAD 

Eastern Off 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

N.Y.C., LBMP 

($/MWHr) 

ELECTRICITYNYISO-NY 

ZONE H- PEAK 

DAY AHEAD 

Eastern 

Peak 

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal) 

N.Y.C., LBMP 

($/MWHr) 

ELECTRICITYCAISO-NP 15 Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-NP15- PEAK-ICE and ELECTRICITY-NP15- OFF-PEAK-ICE 
U.S. Electricity – Fixed/Floating Swap Contracts 

237 

ATC Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange). 

ELECTRICITYCAISO-SP 15 

ATC 

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-SP15- PEAK-ICE and ELECTRICITY-SP15- OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange). 

ELECTRICITYPALO VERDE 

ATC-ICE

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-PALO VERDE PEAK-ICE and ELECTRICITY-PALO VERDE OFFPEAK-ICE Commodity Reference Prices for the relevant period, weighted on the basis of the 

number of hourly periods in the relevant period which are peak and off-peak respectively 

(with peak and off peak having the meaning specified in the definition of the Commodity 

Reference Price by the Exchange) 

ELECTRICITYMID C ATCICENotwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-MID C PEAK-ICE and ELECTRICITY-MID C OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange) 

U.S. Electricity – Fixed/Floating Swap Contracts Specified Time Periods 

 Non-FERC Holidays (all times are 

Hours Ending and use 24-hour 

clock) 

FERC Holidays 

California Off Peak Excludes 0700 through 2200 Pacific 

Prevailing Time 

Includes all hours on FERC 

Holidays 

California Peak Includes 0700 through 2200 Pacific 

Prevailing Time 

Excludes all hours on FERC 

Holidays 

Eastern Off Peak1 Excludes 0800 through 2300 Eastern 

Prevailing Time 

Includes all hours on FERC 

Holidays 

Eastern Peak Includes 0800 through 2300 Eastern 

Prevailing Time 

Excludes all hours on FERC 

Holidays 

 

1

 Times for Commodity Reference Prices reported for Central Timezone (e.g., Illinois, Michigan) will be converted 

to their Eastern time equivalents 
USD Equity Basket Swap (Broad Based) 

238 

USD Equity Basket Swap (Broad Based) 

Terms and Conditions 

Summary: This covers equity total-return swaps on broad-based 

baskets of equities traded in USD. 

For purposes of relevant CFTC and SEC regulations, such 

basket shall be on a broad-based index. 

Limitations on Available Selections and Default 

Settings: 

The terms under which USD Equity Basket Swap (Broad

Based) may be traded are shown below or in the attached 

tables. 

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest. 

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate Options. 

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them. 

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market. 

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards: 

(a) 2006 ISDA Definitions; 

(b) 2002 ISDA Equity Derivatives Definitions; and 

(c) Annex SS to 2004 Americas Interdealer Master Equity 

Derivatives Confirmation (except that references therein 

to the 2000 ISDA Definitions shall be deemed references 

to the 2006 ISDA Definitions). 

For convenience, certain terms are mapped to their FpML 

5.5 equivalent. 

Product Type/ISDA OTC Taxonomy: 

ISDA OTC Asset Class: Equity 

ISDA OTC Base Product: Swap 

ISDA OTC Sub-Product: Price Return Basic Performance 

ISDA OTC Transaction type: Basket 

Further Limitations: None 

Terms: 

Type of Transaction: Share Basket Swap Transaction 

Trade Date: As agreed by the parties. 

Notional Amount (“notional”): An amount in USD agreed by the parties. 

Effective Date (“effectiveDate”): Per Annex SS, unless otherwise agreed by the parties. 

Effective Date Business Days: As specified by the parties from among the Available 

Business Days. 

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Termination Date (“terminationDate”): Per Annex SS, unless otherwise specified by the parties. 

Basket: As specified by the parties in compliance with the rules 
USD Equity Basket Swap (Broad Based) 

239 

and regulations of the CFTC and SEC applicable to 

broad-based indices. 

Exchange(s): As specified by the parties with respect to each Share 

comprised in the Basket. 

Related Exchanges: Per Annex SS, unless otherwise agreed by the parties. 

Hedging Party: As specified by the parties. 

Determining Party: As specified by the parties. 

Equity Amounts: 

Equity Amount Payer (“payerPartyReference”): As specified by the parties. 

Equity Notional Amount: As specified by the parties. 

Equity Notional Reset: Per Annex SS. 

Type of Return: Total Return 

Initial Price: As specified by the parties and adjusted in accordance 

with Annex SS. 

Final Price: As per Annex SS unless otherwise agreed by the parties. 

Valuation Time: As per Annex SS unless otherwise agreed by the parties. 

Valuation Date: As specified by the parties. 

Floating Amount: 

Floating Rate Payer (“payerPartyReference”): As specified by the parties. 

Notional Amount (“notionalAmount”): As per Annex SS. 

Payment Dates: As per Annex SS, unless otherwise agreed by the parties. 

Floating Rate Option (“floatingRateIndex”): As per Annex SS, unless otherwise agreed by the parties. 

Designated Maturity (‘indexTenor”) As specified by the parties. 

Spread: As specified by the parties. 

Day Count Fraction: Actual/360 

Reset Date (“resetDate”): As specified by the parties. 

Payment Dates Business Days: As specified by the parties. 

Business Days (Other Than Payment Dates): As specified by the parties. 

Business Day Convention (Other Than Payment 

Dates): 

As per Annex SS, unless otherwise specified by the 

parties. 

Settlement Terms: 

Cash Settlement: Applicable 

Settlement Currency: USD 

Dividends: 

Dividend Payment Date(s): As per Annex SS unless otherwise agreed by the parties. 

Dividend Period: As per Annex SS unless otherwise agreed by the parties. 

Dividend Amount: As per Annex SS unless otherwise agreed by the parties. 

Relevant Dividend: If type of return is “Total Return” as per Annex SS unless 

otherwise agreed by the parties. 

Reinvestment of Dividends: Inapplicable

Dividend Recovery: As per Annex SS unless otherwise agreed by the parties.

Adjustment Events: 

Method of Adjustment: As per Annex SS unless otherwise agreed by the parties. 

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable. 

Consequences of Merger Events: 

Share-for-Share: As per Annex SS unless otherwise agreed by the parties. 

Share-for-Other: As per Annex SS unless otherwise agreed by the parties. 

Share-for-Combined: As per Annex SS unless otherwise agreed by the parties. 

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable. 

Consequences of Tender Offers: 

Tender Offer: As per Annex SS, unless otherwise agreed by the parties. 

Share-for-Share As agreed by the parties if Tender Offer is applicable. 
USD Equity Basket Swap (Broad Based) 

240 

Share-for-Other: As agreed by the parties if Tender Offer is applicable. 

Share-for-Combined: As agreed by the parties if Tender Offer is applicable. 

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable. 

Composition of Combined Consideration: Per Annex SS unless otherwise agreed by the parties. 

Nationalization, Insolvency or Delisting: Per Annex SS unless otherwise agreed by the parties. 

Additional Disruption Events: 

Change in Law: As per Annex SS, unless otherwise agreed by the parties. 

Insolvency Filing: As per Annex SS, unless otherwise agreed by the parties. 

Hedging Disruption: As per Annex SS. 

Increased Cost of Hedging: As per Annex SS unless otherwise agreed by the parties. 

Loss of Stock Borrow: Inapplicable 

Increased Cost of Stock Borrow: Inapplicable 

Non-Reliance: As per Annex SS unless otherwise agreed by the parties. 

Agreements and Acknowledgements Regarding 

Hedging Activities: 

As per Annex SS. 

Additional Acknowledgements: As per Annex SS unless otherwise agreed by the parties. 

Index Disclaimer: As per Annex SS unless otherwise agreed by the parties. 

Mutual Early Termination Right: As agreed by the parties. 

Interest Breakage Cost: If Mutual Early Termination Right is applicable, as 

specified by the parties. 

Calculation Agent: As agreed by the parties. 

Equity Index Available Business Day Conventions 

ISDA Name 

Following 

Modified/Modified Following 

No Adjustment 

Preceding 

FRN Convention/Eurodollar Convention 

Equity Index Earliest and Latest Effective and Termination Dates 

Currency Earliest Effective 

Date 

Latest Effective Date Earliest Termination 

Date 

Latest Termination 

Date 

N/A N/A N/A N/A One Year from 

Effective Date 

Equity Index Notional Amounts 

Currency Minimum Increment Maximum Default 

USD 10,000,000 1,000,000 N/A N/A 

Equity Index Requirements and Defaults 

Date Requirement Default 

Designated Maturities for Linear 

Interpolation 

 Tenors quoted next shorter and 

longer than the actual Calculation 

Period length 

tpSEF Inc. Rulebook

Appendix B

tpSEF Inc.

Swap Specifications

Effective February 28August 21, 2019

ACTIVE 246164622
TABLE OF CONTENTS

Page

Agricultural Options 5

Basis Swaps 8

Basis Swaps – CME Cleared 29

Basis Swaps – LCH Cleared 31

BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled

Swaptions 33

Bullion Options 38

CDS – ABX Indices (Broad Based) Contracts 42

CDS Index Contract – Emerging Markets Swaps and Swaptions 44

CDS Index Contract – European Crossover 5Y Swaps and Swaptions 46

CDS Index Contract – European HiVol 5Y Swaps and Swaptions 48

CDS Index Contract – European IG 5Y Swaps and Swaptions 50

CDS Index Contract – European IG 10Y Swaps and Swaptions 52

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions 54

CDS Index Contracts – iTraxx Australia 57

CDS Index Contracts – iTraxx Japan 59

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade) 61

CDS Index Contracts – MCDX Index 62

Commodity Index Swaps 64

Deliverable Foreign Exchange Barrier Options 6470

Deliverable Vanilla American or European Style Foreign Exchange Options 6874

Digital Foreign Exchange Options 7278

Equity Index Swaps 7682

Equity Index Variance Swaps 8995

2
Equity Index Volatility Swaps 9399

Fixed for Floating Agricultural Swaptions 96102

Fixed for Floating Agricultural Swap Contracts 100106

Fixed for Floating Interest Rate Swaps 103109

Fixed for Floating Interest Rate Swaptions 126132

Forward Rate Agreements (Uncleared) 141148

Forward Rate Agreements – CME Cleared 145152

Forward Rate Agreements – LCH Cleared 147154

iBoxx Index Swaps 149156

Inflation Swaps 157164

Interest Rate Caps/Floors 162169

Interest Rate Swaps – ASX Cleared 173181

Interest Rate Swaps – Eurex Cleared 175183

Interest Rate Swaps – JSCC Cleared 178186

IOS Index Contracts 180188

MBX Index Contracts 182190

Municipal Market Data Rate Lock Transactions 184192

Natural Gas Date/Instrument Spread Contracts 187195

Natural Gas – Financial Basis Swap Contracts 189197

Natural Gas – Fixed/Floating Swap Contracts 191199

Natural Gas – Swing Swap Contracts 192200

Non-Deliverable Swaps 194202

Non-Deliverable Forward Foreign Exchange Contracts 203211

Non-Deliverable Vanilla American or European Style Foreign Exchange Options 205213

PO Index Contracts 210218

3-
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared 212220

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared 214222

U.S. Electricity – Fixed/Floating Swap Contracts 216224

USD Equity Basket Swap (Broad Based) 230238

4-
Agricultural Options

Agricultural Options

Terms and Conditions

Summary: This covers uncleared agricultural options

(“Agricultural Options”).

Limitations on Available Selections and Default

Settings:

The terms under which Agricultural Options may be

traded are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

2005 ISDA Commodity Derivatives Definitions

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Commodity: As specified by the parties from among the Available

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation

Period.

Notional Quantity per Calculation Period: For an Asian Option, as specified by the parties on a

per-Calculation-Period Basis.

Calculation Period(s): For an Asian Option, as specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: For an Asian Option, as specified by the parties from

among the Available Business Day Conventions.

Option Style: As specified by the parties from among the Available

Option Styles.

Option Type: As specified by the parties from among the Available

Option Types.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available

Commodity Reference Prices.

Business Day: As specified by the parties.

Pricing Date(s): As specified by the parties.

Method of Averaging: For Asian Options, as specified by the parties or

otherwise per the Commodity Definitions.

Strike Price per Unit: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions or otherwise per the

Commodity Definitions.

5-
Agricultural Options

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the

times on such days specified by the parties.

For any other Option Style, the times on the Expiration

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the

Commodity Definitions.

Cash Settlement Terms:

Cash Settlement: Applicable

Settlement Dates: As specified by the parties, subject to adjustment in

accordance with the Business Day Convention.

Calculation Agent: As agreed by the parties.

Agricultural Option Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Agricultural Options Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Agricultural Option Available Option Style

ISDA Name

American

European

Bermuda

Asian

Agricultural Options Available Commodity Reference Prices

ISDA Definitions

6-
Agricultural Options

7-

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

1The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT

ISDA Definition

Commodity

Reference

Price

Relevant

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED

SPRING

WHEATMGEX

Wheat Bushel Minneapolis

Grain Exchange

USD 0.01 Settlement Price

MILLING

WHEATEURONEXT

Wheat Tonne EURONEXT

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY

MILK-CME

Non-Fat Dry

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT

LIFFE

EUR 0.01 Settlement Price

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1
Basis Swaps

Basis Swaps

Terms and Conditions

Summary: This covers basis swaps (“Basis Swaps”).

Limitations on Available Selections and Default

Settings:

The terms under which a Basis Swap may be traded are

as specified in these terms and conditions and in the

attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made. For these

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: None

8-
Basis Swaps

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date

as a number of Business Days or Banking Days from the

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Termination

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Floating Amount 1 (“FA1”):

FA1 Payer (“payerPartyReference”): As specified by the parties.

FA1 Currency Amount (“notionalAmount”): As specified by the parties.

FA1 Period End Dates (“unadjustedCalculation Period

Date”):

As specified by the parties.

FA1 first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

FA1 Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

FA1 initial Floating Rate: As specified by the parties.

FA1 Floating Rate Option (“floatingRateIndex”): As specified by the parties.

FA1 Designated Maturity (‘indexTenor”): As specified by the parties.

FA1 Linear Interpolation: For the Calculation Periods specified by the parties.

FA1 Shorter Designated Maturity for Linear

Interpolation:

For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

FA1 Longer Designated Maturity for Linear

Interpolation:

For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

FA1 Spread: As specified by the parties.

FA1 Day Count Fraction: As specified by the parties.

FA1 Reset Dates (“resetDate”): As specified by the parties.

FA1 Method of Averaging: As specified by the parties.

FA1 Compounding: As specified by the parties.

FA1 Compounding Dates: In the event Compounding is selected, as selected by the

parties.

FA1 Compounding Method (Compounding OR Flat

Compounding):

In the event Compounding is selected, as selected by the

parties.

FA1 Period End Dates Business Days: As specified by the parties from among the Available

Business Days.

FA1 Period End Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

FA1 Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days

FA1 Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

FA1 Reset Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

9-
Basis Swaps

FA1 Reset Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Floating Amount 2 (“FA2”):

FA2 Payer (“payerPartyReference”): As specified by the parties.

FA2 Currency Amount (“notionalAmount”): As specified by the parties.

FA2 Period End Dates (“unadjustedCalculation Period

Date”):

As specified by the parties.

FA2 first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

FA2 Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

FA2 initial Floating Rate: As specified by the parties.

FA2 Floating Rate Option (“floatingRateIndex”): As specified by the parties.

FA2 Designated Maturity (“indexTenor”): As specified by the parties.

FA2 Linear Interpolation: For the Calculation Periods specified by the parties.

FA2 Shorter Designated Maturity for Linear

Interpolation:

For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

FA2 Longer Designated Maturity for Linear

Interpolation:

For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

FA2 Spread: As specified by the parties.

FA2 Day Count Fraction: As specified by the parties.

FA2 Reset Dates (“resetDate”): As specified by the parties.

FA2 Method of Averaging: As specified by the parties.

FA2 Compounding: As specified by the parties.

FA2 Compounding Dates: In the event Compounding is selected, as selected by the

parties.

FA2 Compounding Method (Compounding OR Flat

Compounding):

In the event Compounding is selected, as selected by the

parties.

FA2 Period End Dates Business Days: As specified by the parties from among the Available

Business Days.

FA2 Period End Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

FA2 Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

FA2 Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

FA2 Reset Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

FA2 Reset Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is

not applicable.

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

FA1 Payer Initial Exchange Amount: As specified by the parties.

10-
Basis Swaps

FA2 Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

FA1 Payer Interim Exchange Amount: As specified by the parties.

FA2 Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

FA1 Payer Final Exchange Amount: As specified by the parties.

FA2 Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can

terminate.

Buyer: As specified by the parties, if only one party can

terminate.

Seller's Agent: As specified by the parties, if only one party can

terminate.

Business Days for Payments: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or

Multiple Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is

specified.

Integral Multiple: As specified by the parties if Partial Exercise or

Multiple Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is

applicable to a cross currency Transaction whose

currencies are listed as a “currency pair” in the Cross

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

11-
Basis Swaps

Valuation Business Days: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days

Convention:

If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the

parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or

“Cash Price—Alternate” apply, as specified by the

parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield

Curve—Adjusted,” “Par Yield Curve—Unadjusted” or

“Zero Coupon Curve—Adjusted” apply, as specified by

the parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix parties from

Available Cash Settlement Methods, directly or via the

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Basis Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

JPY Japanese Yen JPTO

MXN New Mexican Peso MXMC

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO

12-
Basis Swaps

Basis Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Basis Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Basis Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN, ZAR Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP, ZAR Plus Zero

Basis Earliest and Latest Effective and Termination Dates

Currency Earliest Effective

Date

Latest Effective Date Earliest Termination

Date

Latest Termination

Date

N/A N/A N/A N/A N/A

Basis Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HKD 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

JPY 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 5,000,000 100,000 N/A N/A

13-
Basis Swaps

ZAR 5,000,000 100,000 N/A N/A

Basis Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBRAUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap

Rate-ICAP-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

14-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap

Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CLP-CLICPBloomberg All quoted tenors N/A A/360 N

CLP-Unidad de

Fomento (UF/CLF) All quoted tenors N/A A/360 N

CZK-PRIBOR-PRBO All quoted tenors N/A A/360 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2- All quoted tenors N/A Per ISDA 2006 N

15-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

DKNA13

DKK-CITADKNA14-

COMPOUND

All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS- All quoted tenors N/A Per ISDA 2006 N

16-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

COMPOUND

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIAOIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap

Rate-11:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap

Rate-12:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

17-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate-11:00-

ICAP

All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBARONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

GBP-WMBASONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

18-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

HKD-QuarterlyAnnual Swap Rate4:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap

Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM

(10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM

(All Banks)-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OIS- All quoted tenors N/A Per ISDA 2006 N

19-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

COMPOUND

JPY-TSR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIEReference Banks All quoted tenors N/A Per ISDA 2006 N

MXN-Unidades de

Inversión (UDI) N/A N/A See below N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

PLN-WIBOR_WIBO All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR- All quoted tenors N/A Per ISDA 2006 N

20-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

Reference Banks

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAPCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA

Municipal Swap

Index

All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference All quoted tenors N/A Per ISDA 2006 N

21-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

Banks

USD-CMS-Reference

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-

FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-

Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-

Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

22-
Basis Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

USD-OIS-11:00-

LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-PrimeReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P IndexHigh Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA

Municipal Swap

Index

All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a

supplement to ISDA

2006 including USDSOFR-COMPOUND,

not applicable and

thereafter, per ISDA

2006

No

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

23-
Basis Swaps

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF) For any Reset Date, the difference between the value of the unidad de

fomento (UF/CLF) as certified by the Chilean Banco Central de Chile

for the calendar day preceding such Reset Date and the value of the

unidad de fomento (UF/CLF) as certified by the Chilean Banco

Central de Chile for such Reset Date.

The Calculation Agent shall convert such difference to the appropriate

annualized percentage based on the terms of the Floating Amount

payable by reference to the CLP-Unidad de Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad de

fomento (UF/CLF) as certified by the Chilean Banco Central de Chile,

the Calculation Agent shall determine the CLP-Unidad de Fomento

(UF/CLF) for such day.

Definition of MXN-Unidades de Inversión (UDI)

MXN-Unidades de Inversión (UDI) For any Reset Date, the difference between the value of the unidad de

inversión (UDI) as published by the Mexican Banco de México for the

calendar day preceding such Reset Date and the value of the unidad

de inversión (UDI) as published by the Mexican Banco de México for

such Reset Date.

The Calculation Agent shall convert such difference to the

appropriate annualized percentage based on the terms of the Floating

Amount payable by reference to the CLP MXN-Unidades de

Inversión (UDI).

If for any Reset Date there is no published value of the MXNUnidades de Inversión (UDI) as certified by the Mexican Banco de

México, the Calculation Agent shall determine the CLP MXNUnidades de Inversión (UDI) for such day.

Basis Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day

Convention:

No Adjustment

Termination Date Business Day

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub

periods

Designated Maturities for Linear

Interpolation:

Tenors quoted next shorter and

longer than the actual Calculation

Period length

Compounding: Inapplicable

Compounding Business Day

Convention:

Same as Business Day Convention

for Period End Dates

Method of Averaging: Weighted Average or Unweighted

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat

Compounding, Spread Exclusive

Compounding

24-
Basis Swaps

ISDA MTM Matrix Applicable (to Mark-to-Market

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day

Convention:

Following

Interim Exchange Date Business

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day

Convention:

Modified Following

Definition of USD-SOFR-COMPOUND

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006.

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the

USD-SOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or

after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR

were references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of

OBFR has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be

permanently or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or

other official sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to,

Swap Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period

occurring on or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if

references to SOFR were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if

necessary, in accordance with the method set forth in Section 8.1(a):

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in

the relevant Calculation Period;

25-
Basis Swaps

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was

published on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi;

“d” is the number of calendar days in the relevant Calculation Period;

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following

events:

(a) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR)

announcing that it has ceased or will cease to provide SOFRpermanently or indefinitely, provided that, at that

time, there is no successor administrator that will continue to provide SOFR;

(b) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely,

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(c) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to,

but need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor

administrator of SOFR) ceases to publish SOFR or the date as of which SOFRmay no longer be used; and

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York,

as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and

published on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single

rate, the mid-point of the short-term interest rate target range set by the Federal Open Markets Committee and

published on the Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target

range and the lower bound of the target range, rounded, if necessary, in accordance with the method set forth in

Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at

http://www.federalreserve.gov, or any Successor Source.

Basis Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

26-
Basis Swaps

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date

Business Day Convention:

Following

Mandatory Early Termination Date

Business Day Convention:

Modified Following

Basis Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement

Currency (TARGET Settlement Day

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration

Time

Other than Expiration Date, the

Expiration Time

Basis Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement

Matrix:

Applicable, if cross currency swap

with currency pair included in

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days before

Mandatory/Optional Early

Termination Date but one Valuation

Business Day before

Mandatory/Optional Early

Termination Date for MXN and

same day for CAD, GBP or DKK

with Floating Rate Option of “DKKCIBOR-DKNA13” or “DKKCIBOR-DKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the

Business Day Location Table, plus

additional days required by for

fixings under the Floating Rate

Option(s)

Cash Settlement Payment Date

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

27-
Basis Swaps

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as

Notional Amount, otherwise as

specified in ISDA Master

Agreement, or otherwise same as

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional

Early Termination Only)

28-
Basis Swaps – CME Cleared

Basis Swaps – CME Cleared

Terms and Conditions

Summary: This covers single-currency floating-for-floating

(“basis”) swaps cleared by Chicago Mercantile

Exchange Inc. (“CME”).

Limitations on Available Selections and Default

Settings:

The terms under which a Basis Swap/CME Cleared

may be traded are as specified in these terms and

conditions and which incorporate the CME Rulebook,

in particular Chapters 900 and 901 (and any successor

provisions) and the CME Cleared IRS Product Scope

(or any successor).

By electing to trade a Basis Swap/CME Cleared,

participants are representing that they are familiar

with the CME Rulebook and the limitations on

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain

additional standards, such as the 2006 ISDA

Definitions. Be aware that the timing of effectiveness

of amendments or supplements to the ISDA

standards may vary between bilateral and CME

contracts, since the CME may reserve the right to

select when and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Basis

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected

by, or otherwise binding on, the parties in accordance

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and

Floating Rate Options for which variable notionals are

permitted.

Currency: One of the currencies permitted for the relevant

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to

29-
Basis Swaps – CME Cleared

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME

Rulebook.

Floating Rate Payer 1 Floating Rate Payer Payment

Dates:

As per the CME Rulebook.

Floating Rate Payer 1 Floating Amount: As per the CME Rulebook.

Floating Rate Payer 1 Floating Rate Option: As determined by the parties, subject to the CME

Rulebook, which may provide a more limited list of

available options for a Currency than does the

Definition Set.

Floating Rate Payer 1 Designated Maturity: As per the CME Rulebook, which may provide a more

limited set of Designated Maturities than does the

related rate source page.

Floating Rate Payer 1 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Floating Rate Payer 1 Reset Dates: As the per CME Rulebook.

Floating Rate Payer 1 Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate Payer 1 Compounding: As per the CME Rulebook.

Floating Rate Payer 1 Averaging Method: As per the CME Rulebook.

Floating Rate Payer 1 Initial Floating Rate: As per the CME Rulebook.

Floating Rate Payer 2 Floating Rate Payer Payment

Dates:

As per the CME Rulebook.

Floating Rate Payer 2 Floating Amount: As per the CME Rulebook.

Floating Rate Payer 2 Floating Rate Option: As determined by the parties, subject to the CME

Rulebook, which may provide a more limited list of

available options for a Currency than does the

Definition Set.

Floating Rate Payer 2 Designated Maturity: As per the CME Rulebook, which may provide a more

limited set of Designated Maturities than does the

related rate source page.

Floating Rate Payer 2 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Floating Rate Payer 2 Reset Dates: As the per CME Rulebook.

Floating Rate Payer 2 Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate Payer 2 Compounding: As per the CME Rulebook.

Floating Rate Payer 2 Averaging Method As per the CME Rulebook.

Floating Rate Payer 2 Initial Floating Rate As per the CME Rulebook.

Floating Rate 1 Floating Rate Payer: As determined by the parties.

Floating Rate 2 Floating Rate Payer As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitation in the

CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitation in the

CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitation in the

CME Rulebook.

30-
Basis Swaps – LCH Cleared

Basis Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single-currency floating-for-floating

(“basis”) cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default

Settings:

The terms under which a Basis Swap/LCH Cleared may

be traded are as specified in these terms and conditions

and which incorporate the LCH Rulebook, in particular

Schedule 4A (or any successor provisions).

By electing to trade a Basis Swap/LCH Cleared,

participants are representing that they are familiar

with the LCH Rulebook and the limitations on

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain

additional standards, such as the 2000 ISDA Definitions

and 2006 ISDA Definitions. Be aware that the timing

of effectiveness of amendments or supplements to the

ISDA standards may vary between bilateral and

LCH contracts, since the LCH may reserve the right

to select when and how such changes become

effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected

by, or otherwise binding on, the parties in accordance

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and

Floating Rate Options for which variable notionals are

permitted.

Currency: One of the currencies permitted for the relevant

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by parties, subject to any minimum or

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in

the LCH Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in

the LCH Rulebook, which may limit the earliest or

latest day on which such fees may be paid based on

Currency or other factors.

Business Days: As per the LCH Rulebook, which may require certain

31-
Basis Swaps – LCH Cleared

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH

Rulebook.

Floating Rate Payer 1: As determined by the parties.

Floating Rate Payer 1 Payment Dates: As per the LCH Rulebook.

Floating Rate Payer 1 Compounding Dates: As per the LCH Rulebook.

Floating Rate Payer 1 Floating Rate Option: As determined by the parties, subject to LCH Rulebook,

which may provide a more limited list of available

options for a Currency than does the Definition Set.

Floating Rate Payer 1 Designated Maturity: As per the LCH Rulebook, which may provide a more

limited set of Designated Maturities than does the

related rate source page.

Floating Rate Payer 1 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Floating Rate Payer 1 Reset Dates: As the per LCH Rulebook.

Floating Rate Payer 1 Floating Rate Daycount Fraction: As per the LCH Rulebook.

Floating Rate Payer 2: As determined by the parties.

Floating Rate Payer 2 Payment Dates: As per the LCH Rulebook.

Floating Rate Payer 2 Compounding Dates: As per the LCH Rulebook.

Floating Rate Payer 2 Floating Rate Option: As determined by the parties, subject to LCH Rulebook,

which may provide a more limited list of available

options than are available for a Currency than does the

Definition Set.

Floating Rate Payer 2 Designated Maturity: As per the LCH Rulebook, which may provide a more

limited set of Designated Maturities than does the

related rate source page.

Floating Rate Payer 2 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Floating Rate Payer 2 Reset Dates: As the per LCH Rulebook.

Floating Rate Payer 2 Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law

applicable to the Transaction.

32-
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled

Swaptions

BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled

Swaptions

Terms and Conditions

Summary: This covers BRL CDI Deliverable and Non-Deliverable

Interest Rate Swap Contracts and Physically-Settled

Swaptions Thereon (the “Contracts”).

Non-Deliverable Contracts are paid in USD, and

Deliverable Contracts are paid in BRL.

Limitations on Available Selections and Default

Settings:

The terms under which the Contracts may be traded are

as specified in these terms and conditions and in the

attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made. For these

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default ” and will apply unless the parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

(d) the Recommended EMTA-ISDA Market Practice for

BRL CDI Non-Deliverable Interest Rate Swap

Transactions (Amended March 13, 2009) (“BRL CDI

Best Practices”)

(e) the EMTA BRL/USD NDF Template dated May 17,

2006 (the “NDF Template”)

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date

as a number of Business Days or Banking Days from the

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

33-
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled

Swaptions

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Termination

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).

Termination Date Business Days: In the case of a Non-Deliverable Contract, USNY and

the BR Business Day selected by the parties, unless

there is an Unscheduled Holiday (as defined in the NDF

Template) following the Trade Date, in which case

USNY only.

In the case of a Deliverable Contract, the BR Business

Day selected by the parties.

Termination Date Business Day Convention: Following

Fx Factor: In the case of a Non-Deliverable Contract, rate

determined in accordance with the NDF Template,

treating the Business Day preceding the day of

calculation of the relevant Fixed Amount or Floating

Amount as the “Valuation Date” thereunder. (Under the

NDF Template, this will result in use of the BRL PTAX

(BRL09) rate in the first instance.)

In the case of a Deliverable Contract, 1.0.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): The Trade Date Present Value Notional Amount

specified by the parties.

If the parties do not specify a Notional Amount or a

Trade Date Present Value Notional Amount but specify

a Termination Date Future Value Notional Amount,

then the Notional Amount will be the Trade Date

present value of the Termination Date Future Value

Notional Amount discounted at the Fixed Rate.

Future Value Notional Amount: An amount in BRL as specified by the parties (or

determined based on the Trade Date Present Value

Notional Amount specified by them), subject to the

Minimum Notional Amount and Increment specified

below.

Trade Date Present Value Notional Amount: An amount in BRL as specified by the parties; such

amount shall be subject to the Minimum Notional

Amount and Increment implied by the Future Value

Notional Amount.

Fixed Rate: As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in

the 2006 ISDA Definitions, the Fixed Amount shall

equal:

Calculation Days: As defined in the BRL CDI Best Practices.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date.

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): Same as the Fixed Rate Payer Payment Amount.

Floating Amount: Notwithstanding anything to the contrary contained in

34-
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled

Swaptions

the 2006 ISDA Definitions, the Floating Amount shall

equal:

Payment Dates (“unadjustedPaymentDate”): The Termination Date.

Floating Rate: Notwithstanding anything to the contrary contained in

the 2006 ISDA Definitions, the Floating Amount shall

equal:

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset

Date

Relevant Rate: CDI-Rate (as defined in the attachment).

Designated Maturity (‘indexTenor”): As specified by the parties from among the available

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI

Best Practices).

Reset Dates Business Days: As specified by the parties from among the Available

BR Business Days.

Floating Rate Payment Dates: The Termination Date.

Calculation Agent: As agreed by the parties.

Swaption Terms:

Option Style: European

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller’s Agent: As specified by the parties.

Premium: In the case of a Non-Deliverable Contract, an amount in

USD specified by the parties.

In the case of a Deliverable Contract, an amount in

USD specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Dates: Following

Business Days for Payments: In the case of a Non-Deliverable Contract, USNY and

the BR Business Day selected by the parties, unless

there is an Unscheduled Holiday (as defined in the NDF

Template) following the Trade Date, in which case

USNY only.

In the case of a Deliverable Contract, the BR Business

Day selected by the parties.

Exercise Business Days: As specified by the parties from among the BR Business

Days.

Swaption Procedure for Exercise:

General: The parties may enter into swaptions with respect to

which a BRL CDI Swap is the Underlying Swap

Transaction.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Partial Exercise: As specified by the parties.

Minimum Notional Amount: As specified by the parties and expressed as

35-
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled

Swaptions

Termination Date Future Value Notional Amount.

Maximum Notional Amount: As specified by the parties and expressed as

Termination Date Future Value Notional Amount.

Integral Multiple: As specified by the parties and expressed as

Termination Date Future Value Notional Amount.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is

applicable.

Fallback Exercise: As specified by the parties (if required).

Swaption Settlement Terms:

Physical Settlement: Applicable

BRL CDI Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

BRL Brazilian Reai Any of BR{SP, RJ, BR} and not

otherwise declared a financial

market holiday by the BM&F

BRL CDI Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

BRL CDI Floating Rate Options

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit

Rate Annualized, known as the average (“Media”) of the

DIOVER- EXTRA Group as published by CETIP (Câmara de

Custódia e Liquidação) (the “Overnight CDI Rate”) for such

date; provided that (i) such rate is published not later than

12:00 p.m. on the Brazil Business Day next following such

Reset Date and (ii) any adjustments made by CETIP to such

rate at any time later than the end of the business day on such

Reset Date shall not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate

(including as a result of the proviso above), CDI for the

relevant Reset Date will be the overnight deposit rate published

for such date by the BM&F in accordance with its rules (see

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indic

a doreFinanceiros1.asp, or any successor page). If the BM&F

does not publish such a rate for such date, CDI for the relevant

Reset Date shall be determined jointly by the parties. If the

parties do not agree on a determination of such rate within one

Brazil Business Day following the relevant Reset Date, CDI

shall be determined through a CDI Reference Dealer Poll as

described herein. If CDI for a Reset Date is not so determined

36-
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled

Swaptions

by a CDI Reference Dealer Poll, BRL-CDI-Reference Dealers

shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation

Agent shall conduct up to four dealer polls commencing on the

Brazil Business Day following the relevant Reset Date, in each

case by requesting each of the CDI Reference Dealers to

provide a quotation of the CDI. If at least four such quotations

are obtained from CDI Reference Dealers in any such poll, the

highest and lowest quotations will be disregarded and CDI for

the relevant Reset Date will equal the arithmetic mean of the

remaining quotations. If fewer than four such quotations are

obtained from a poll, the Calculation Agent shall conduct

additional such polls until four such quotations are obtained in

any poll; provided that the Calculation Agent shall not conduct

more than four polls in the aggregate (with not more than two

polls on any day and with such polls conducted over not more

than two Brazil Business Days). If four quotations are not

obtained from any of such four polls, CDI shall CDI shall not

be determined by a CDI Reference Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in

the CDI market selected by the Calculation Agent.

BRL CDI Notionals

Currency Minimum

(expressed as

Termination Date

Future Value

Notional Amount)

Increment

(expressed as

Termination Date

Future Value

Notional Amount)

Maximum Default

BRL (Termination

Date Future Value

Notional Amount)

BRL 5,000,000 BRL 5,000,000 N/A N/A

BRL (Trade Date

Present Value

Notional Amount)

As implied by Termination Date Future Value Notional Amount

USD As implied by BRL Termination Date Future Value Notional Amount

37-
Bullion Options

Bullion Options

Terms and Conditions

Summary: This covers uncleared bullion options (“Bullion

Options”).

Limitations on Available Selections and Default

Settings:

The terms under which Bullion Options may be traded

are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

2000 ISDA Definitions

2005 ISDA Commodity Derivatives Definitions

(“Commodity Definitions”), including Sub-Annex B

thereto.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Metals

ISDA OTC Sub-Product: Precious

ISDA OTC Transaction type: Option

ISDA OTC Settlement type: Cash or Physical

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Bullion: As specified by the parties from among the Available

Bullion.

Number of Ounces: As specified by the parties. For any type of Bullion, the

meaning of “Ounce” will be as specified for that Bullion

in the list of Available Bullion unless otherwise agreed

by the parties.

Bullion Option Style: As specified by the parties from among the Available

Bullion Option Styles.

Bullion Option Type: As specified by the parties from among the Available

Bullion Option Types.

Bullion Option Seller: As specified by the parties.

Bullion Option Buyer: As specified by the parties.

Bullion Strike Price: As specified by the parties as a number of units of the

one of the Available Currencies.

Bullion Premium: As specified by the parties as a number of units of the

one of the Available Currencies.

Bullion Premium Payment Date: As specified by the parties.

Bullion Premium Payment Date Business Days Per the Available Currencies, plus such additional

Business Days as the parties specify.

Bullion Premium Payment Date Business Day

Convention:

As specified by the parties from among the Available

Business Day Conventions or otherwise per the

Commodity Definitions.

Bullion Business Day: Shall have the meaning specified in the Commodity

Definitions, save that the reference to “New York”

therein shall be deemed to be a reference to the relevant

financial center for the Applicable Currency in which

the Bullion Strike Price is denominated.

Method of Averaging: For Asian Options, as specified by the parties or

otherwise per the Commodity Definitions.

Procedure for Exercise:

38-
Bullion Options

Bullion Exercise Period: For an American Style Bullion Option, the period of

days and the times on such days specified by the parties.

For any other Bullion Option Style, the times on the

Expiration Date or Potential Exercise Date specified by

the parties.

Bullion Potential Exercise Dates: For a Bermuda Style Bullion Option, the days specified

by the parties.

Bullion Expiration Date: As specified by the parties.

Bullion Expiration Time: For a European Style Bullion Option, as specified by the

parties.

Bullion Settlement Date: In accordance with Section 10.4(b)(xvii) of the

Commodity Definitions, unless specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

In-the-Moniness for Automatic Exercise: In the case of a Bullion Option for which Automatic

Exercise is, or is deemed to be, applicable, and to which

Settlement by Delivery is applicable, one percent of the

Bullion Strike Price (as specified in Section

10.4(c)(ii)(B)(x) of the Commodity Definitions) or such

other amount as specified by the parties.

Price Source for Automatic Exercise: In the case of a Bullion Option for which Automatic

Exercise is, or is deemed to be, applicable, and to which

Settlement by Delivery is applicable, the Seller’s bid or

offer price (as specified in Section 10.4(c)(ii)(B) of the

Commodity Definitions) unless otherwise specified by

the parties.

Written Confirmation: As specified by the parties.

Settlement: As specified by the parties from among the Available

Settlement Types; provided, however, that Cash

Settlement will only be available for Available

Currencies for which it is specified as such.

Additional Provisions for Tax: None, unless specified by the parties in accordance with

Section 10.11 of the Commodity Definitions.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Disruption Fallbacks: Unless otherwise specified by the parties, per the

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the

Commodity Definitions.

Provisions Relating to Cash Settlement:

Commodity Reference Price: As specified by the parties from among the Available

Commodity Reference Price.

Bullion Transaction Settlement Date: As specified by the parties.

Provisions Relating to Settlement by Delivery:

Delivery Location: Per the Delivery Loco specified in the Available Bullion

below.

Consequences of Bullion Settlement Disruption Events: Cancellation and Payment unless the parties agree that

Negotiation is applicable.

Miscellaneous:

Discharge and Termination: Section 10.4(c)(iv) of the Commodity Definitions will

apply if specified by the parties, unless the Bullion

Option Transaction is an Allocated Transaction.

39-
Bullion Options

40-

Novation Netting: For Bullion Options subject to Settlement by Delivery

and is not an Allocated Transaction, as agreed by the

parties on a “Type of Obligation” or “Matched Pair”

basis.

Calculation Agent: As agreed by the parties.

Bullion Option Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day

Locations For Currency

(FpML Codes)

Available Settlement

Type

AUD Australian Dollar AUSY Physical Only

CHF Swiss Franc CHZU Physical Only

EUR Euro EUTA Cash or Physical

GBP Sterling GBLO Cash or Physical

JPY Japanese Yen JATO Physical Only

USD United States Dollars USNY Cash or Physical

Bullion Options Available Bullion Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Bullion Option Available Bullion Option Style

ISDA Name

American

European

Bermuda

Bullion Option Available Bullion Option Type

ISDA Name

Bullion Put Option

Bullion Call Option

Bermuda

Bullion Options Available Bullion

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

London/LBMA

Palladium Troy ounce Zurich/LPPM or London/LPPM

Platinum Troy ounce Zurich/LPPM or London/LPPM

Silver Troy ounce London/LBMA

ISDA Definition

GOLD-A.M. FIX

GOLD-P.M. FIX

PALLADIUM-A.M. FIX

Metal Ounce Delivery Loco/Rules

Gold Fine troy ounce
Bullion Options

41-

For any Available Currency other than USD and any Bullion Option to which Cash Settlement is applicable, the

Commodity Reference Price shall be per Sub-Annex A, save that the reference to U.S. Dollars shall be replaced by

a reference to the relevant Available Currency.

SILVER-FIX

PALLADIUM-P.M. FIX

PLATINUM-A.M. FIX

PLATINUM-P.M. FIX
CDS – ABX Indices (Broad Based) Contracts

CDS – ABX Indices (Broad Based) Contracts

Terms and Conditions

Summary: This covers credit default swaps on broad-based ABX

indices (“CDS – ABX Indices (Broad Based)

Contracts”).

Limitations on Available Selections and Default

Settings:

The terms under which CDS – ABX Indices (Broad

Based) Contracts may be traded are shown below or in

the attached table(s) or the Relevant Annexes

promulgated by the index sponsor and referenced below

or in the attached table(s), as such Relevant Annexes

may be amended from time to time by the Index

Sponsor.

NO ABX INDEX WILL BE TRADED ON THE SEF

ONCE IT HAS CEASED TO BE A BROAD BASED

INDEX UNDER CFTC REGULATIONS.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2003 ISDA Credit Derivatives Definitions, as

published by the International Swaps and Derivatives

Association, Inc. (the “Credit Derivatives Definitions”),

NOT including supplements thereto; and

(b) the ABX Transactions Standard Terms Supplement,

as published by CDS IndexCo LLC on July 19, 2006

(the “ABX Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: ABX

ISDA OTC Transaction type: ABX.HE

Further Limitations: None

Terms:

Index: The ABX Index selected by the parties from among the

Available ABX Indices.

NO ABX INDEX WILL BE TRADED ON THE SEF

ONCE IT HAS CEASED TO BE A BROAD BASED

INDEX UNDER CFTC REGULATIONS.

Annex Date: As specified for the applicable Index on the list of

Available ABX Indices.

Trade Date: As agreed by the parties.

Effective Date: The Trade Date (unless otherwise specified by the

parties).

Scheduled Termination Date: The “Legal Final Maturity Date of the Index” specified

in the Relevant Annex.

Floating Rate Payer: As specified by the parties.

Fixed Rate Payer: As specified by the parties.

Aggregate Floating Rate Payer Calculation Amount: An amount is USD specified by the parties.

Fixed Rate: A number of basis points equal to the “Applicable

Coupon” as specified for the applicable Index on the

Relevant Annex.

Initial Payment Payer: As selected by the parties.

Initial Payment Amount: As specified by the parties. Notwithstanding anything to

42-
CDS – ABX Indices (Broad Based) Contracts

the contrary contained in the ABX Standard Terms, the

Initial Payment Amount shall be paid by the Initial

Payment Payer on the date that is three Business Days

following the Trade Date, unless otherwise specified by

the parties.

Available ABX Indices for CDS - ABX Indices (Broad Based) Contracts

Index Relevant Annex

ABX.HE.A.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.A.06-1.pdf

ABX.HE.AA.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AA.06-1.pdf

ABX.HE.AAA.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.06-1.pdf

ABX.HE.AA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AA.06-2.pdf

ABX.HE.AAA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.06-2.pdf

ABX.HE.AAA.07-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.07-1.pdf

ABX.HE.AAA.07-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.07-2.pdf

ABX.HE.PENAAA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.06-2.pdf

ABX.HE.PENAAA.07-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.07-1.pdf

ABX.HE.PENAAA.07-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.07-2.pdf

NO ABX INDEX WILL BE TRADED ON THE SEF ONCE IT HAS CEASED TO BE A BROAD BASED

INDEX UNDER CFTC REGULATIONS.

43-
CDS Index Contract – Emerging Markets Swaps and Swaptions

CDS Index Contract – Emerging Markets Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – Emerging Markets

Swaps and Swaptions” contracts – i.e., an agreement to

buy or sell protection on a broad-based basket of

emerging markets sovereign entities.

Index: CDX.EM: Series 12 through current, so long as such

Index is not a narrow-based Index.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event

occurring. Credit events include Bankruptcy and Failure

to Pay.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of

500 bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by the parties, subject to Applicable Law.

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date: The final date on which the obligations no longer

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent payment - Payments related to credit event

settlement will be determined pursuant to the 2009

ISDA Credit Derivatives Determination Committees

and Auction Settlement Supplement (i.e., the Big Bang

and Little Bang Protocols).

Fixed Quarterly cash payments - reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront payment - The upfront payment is a portion of

the payments, expressed in percentage points of the

notional, which is present valued and paid immediately

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the

parties and will be no shorter than three months and no

longer than three months less than the Swap Tenor.

44-
CDS Index Contract – Emerging Markets Swaps and Swaptions

Settlement: The Swaption will be Physically Settled and, if

exercised, will result in the parties entering into a swap

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives

Definitions, which alter the treatment accorded certain

events, particularly as relates to sovereigns and

financials and certain “orphan” CDS (Reference

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published

information on treatment of both legacy and future

indices.

The parties should consult Markit’s documentation to

determine the exact treatment. It is the SEF’s

understanding that, in general, all CDS index trades

will convert to the 2014 Definitions, with individual

components being excluded if they would be impacted

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the

Definitions required by the relevant DCO selected by

the parties.

The parties should consult the relevant DCO’s

documentation to determine the exact treatment. It is

the SEFs understanding that the DCOs will be

converting all trades to the 2014 definitions, with

individual component excluded as describe above.

Choice of Definitions: The parties can elect which Definitions to use as part of

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index

transaction.

45-
CDS Index Contract – European Crossover 5Y Swaps and Swaptions

CDS Index Contract – European Crossover 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European Crossover

5Y Swaps and Swaptions”. The European Crossover

index comprises 50 equally weighted credit default

swaps on the most liquid sub-investment grade

European corporate entities.

Index: ITRAXX.EUROPE CROSSOVER: Series 10 to current.

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of

500 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date: The final date on which the obligations no longer

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent payment - Payments related to credit event

settlement will be determined pursuant to the 2009

ISDA Credit Derivatives Determination Committees

and Auction Settlement Supplement, (i.e., the Big Bang

Protocol).

Fixed Quarterly cash payments - reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront fee payment - The upfront fee is a portion of the

payments, expressed in percentage points of the

notional, which is present valued and paid immediately

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the

parties and will be no shorter than three months and no

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if

exercised, will result in the parties entering into a swap

46-
CDS Index Contract – European Crossover 5Y Swaps and Swaptions

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives

Definitions, which alter the treatment accorded certain

events, particularly as relates to sovereigns and

financials and certain “orphan” CDS (Reference

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published

information on treatment of both legacy and future

indices.

The parties should consult Markit’s documentation to

determine the exact treatment. It is the SEF’s

understanding that, in general, all CDS index trades

will convert to the 2014 Definitions, with individual

components being excluded if they would be impacted

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the

Definitions required by the relevant DCO selected by

the parties.

The parties should consult the relevant DCO’s

documentation to determine the exact treatment. It is

the SEFs understanding that the DCOs will be

converting all trades to the 2014 definitions, with

individual component excluded as describe above.

Choice of Definitions: The parties can elect which Definitions to use as part of

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index

transaction.

47-
CDS Index Contract – European HiVol 5Y Swaps and Swaptions

CDS Index Contract – European HiVol 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European HiVol 5Y

Swaps and Swaptions” – i.e., an agreement to buy or

sell protection on a basket comprised of 30 equally

weighted credit default swaps on the widest spread nonfinancial European corporate entities.

Index: ITRAXX.EUROPE HIVOL: Series 10 to current.

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of

100 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date: The final date on which the obligations no longer

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent payment - Payments related to credit event

settlement will be determined pursuant to the 2009

ISDA Credit Derivatives Determination Committees

and Auction Settlement Supplement, (i.e., the Big Bang

Protocol).

Fixed Quarterly cash payments - reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront fee payment - The upfront fee is a portion of the

payments, expressed in percentage points of the

notional, which is present valued and paid immediately

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the

parties and will be no shorter than three months and no

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if

exercised, will result in the parties entering into a swap

48-
CDS Index Contract – European HiVol 5Y Swaps and Swaptions

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives

Definitions, which alter the treatment accorded certain

events, particularly as relates to sovereigns and

financials and certain “orphan” CDS (Reference

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published

information on treatment of both legacy and future

indices.

The parties should consult Markit’s documentation to

determine the exact treatment. It is the SEF’s

understanding that, in general, all CDS index trades

will convert to the 2014 Definitions, with individual

components being excluded if they would be impacted

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the

Definitions required by the relevant DCO selected by

the parties.

The parties should consult the relevant DCO’s

documentation to determine the exact treatment. It is

the SEFs understanding that the DCOs will be

converting all trades to the 2014 definitions, with

individual component excluded as describe above.

Choice of Definitions: The parties can elect which Definitions to use as part of

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index

transaction.

49-
CDS Index Contract – European IG 5Y Swaps and Swaptions

CDS Index Contract – European IG 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European IG 5Y

Swaps and Swaptions” – i.e., an agreement to buy or

sell protection on a basket of liquid European based

entities with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 10 to current.

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of

100 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date: The final date on which the obligations no longer

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent payment - Payments related to credit event

settlement will be determined pursuant to the 2009

ISDA Credit Derivatives Determination Committees

and Auction Settlement Supplement, (i.e., the Big Bang

Protocol).

Fixed Quarterly cash payments - reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront fee payment - The upfront fee is a portion of the

payments, expressed in percentage points of the

notional, which is present valued and paid immediately

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the

parties and will be no shorter than three months and no

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if

exercised, will result in the parties entering into a swap

on the Index on the terms described herein.

50-
CDS Index Contract – European IG 5Y Swaps and Swaptions

ISDA Definitions (2003 v. 2014 Credit Derivatives

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives

Definitions, which alter the treatment accorded certain

events, particularly as relates to sovereigns and

financials and certain “orphan” CDS (Reference

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published

information on treatment of both legacy and future

indices.

The parties should consult Markit’s documentation to

determine the exact treatment. It is the SEF’s

understanding that, in general, all CDS index trades

will convert to the 2014 Definitions, with individual

components being excluded if they would be impacted

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the

Definitions required by the relevant DCO selected by

the parties.

The parties should consult the relevant DCO’s

documentation to determine the exact treatment. It is

the SEFs understanding that the DCOs will be

converting all trades to the 2014 definitions, with

individual component excluded as describe above.

Choice of Definitions: The parties can elect which Definitions to use as part of

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index

transaction.

51-
CDS Index Contract – European IG 10Y Swaps and Swaptions

CDS Index Contract – European IG 10Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European IG 10Y

Swaps and Swaptions” – i.e., an agreement to buy or

sell protection on a basket of liquid European based

entities with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 7 to current.

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of

100 bps and exchanged on a quarterly basis.

Swap Tenor: 10Y

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date: The final date on which the obligations no longer

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent payment - Payments related to credit event

settlement will be determined pursuant to the 2009

ISDA Credit Derivatives Determination Committees

and Auction Settlement Supplement, (i.e., the Big Bang

Protocol).

Fixed Quarterly cash payments - reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront fee payment - The upfront fee is a portion of the

payments, expressed in percentage points of the

notional, which is present valued and paid immediately

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions

on the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the

parties and will be no shorter than three months and

no longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if

52-
CDS Index Contract – European IG 10Y Swaps and Swaptions

exercised, will result in the parties entering into a

swap on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives

Definitions, which alter the treatment accorded certain

events, particularly as relates to sovereigns and

financials and certain “orphan” CDS (Reference

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published

information on treatment of both legacy and future

indices.

The parties should consult Markit’s documentation to

determine the exact treatment. It is the SEF’s

understanding that, in general, all CDS index trades

will convert to the 2014 Definitions, with individual

components being excluded if they would be impacted

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the

Definitions required by the relevant DCO selected by

the parties.

The parties should consult the relevant DCO’s

documentation to determine the exact treatment. It is

the SEFs understanding that the DCOs will be

converting all trades to the 2014 definitions, with

individual component excluded as describe above.

Choice of Definitions: The parties can elect which Definitions to use as part

of their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index

transaction.

53-
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – North America

Investment Grade and High Yield Swaps and

Swaptions” – i.e., an agreement to buy or sell protection

on a basket of liquid North America based entities with

a high yield credit rating (CDX.NA.HY) or an

investment grade credit rating (CDX.NA.IG).

Index: CDX.NA.HY: Series 8 to current.

CDX.NA.IG: Series 8 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event

occurring. Credit events include Bankruptcy, Failure to

Pay and Restructuring.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

High Yield indices such as the CDX.NA.HY are traded

on price.

Investment Grade indices such as the CDX.NA.IG are

traded on spread.

Swap Conventions: For CDX.NA.HY, fixed coupon payments are calculated

at a spread of 500 bps and exchanged on a quarterly

basis.

For CDX.NA.IG, fixed coupon payments are calculated

at a spread of 100 bps and exchanged on a quarterly

basis.

Swap Tenor: 3Y, 5Y, 7Y and 10Y or as otherwise agreed by the

parties.

Tranching: Transactions may have only one tranche, where all

losses are allocated to the protection seller, starting with

the first dollar of loss and ending only when the entire

notional of the transaction has been exhausted or the

Transaction itself expires.

Transactions may also be tranched in a way in which

losses are allocated to the protection seller only after a

certain amount of losses have occurred on the Index

(the “attachment point”) and cease being allocated to

the protection seller after a certain additional amount of

losses have occurred on the Index (the “detachment

point”).

In the case of tranched transactions in the

CDX.NA.HY, the tranches include:

Attachment Point Detachment Point

0 10%

0 15%

10% 15%

15% 25%

25% 35%

35% 100%

54-
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

In the case of tranched transactions in the CDX.NA.IG,

the tranches include:

Attachment Point Detachment Point

0 3%

3% 7%

7% 10%

7% 15%

10% 15%

15% 30%

15% 100%

In addition to the customary tranches enumerated

above, the parties may agree to custom attachment and

detachment points.

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date: The final date on which the obligations no longer

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on the tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent payment - Payments related to credit event

settlement will be determined pursuant to the relevant

ISDA Definitions (see below).

Fixed Quarterly cash payments - reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront fee payment - The upfront fee is a portion of the

payments, expressed in percentage points of the

notional, which is present valued and paid immediately

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on

each of the CDX.NA.HY and CDX.NA.IG on the terms

described herein.

Swaption Option Style: European; the Swaptions may be exercised only on

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the

parties and will be no shorter than three months and no

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if

exercised, will result in the parties entering into a swap

on the Index on the terms described herein.

Tranching: Swaptions may be written on tranched or untranched

transactions.

ISDA Definitions (2003 v. 2014 Credit Derivatives

Definitions):

2014/2003 Definitions: ISDA has published 2014 Credit Derivatives

Definitions, which alter the treatment accorded certain

events, particularly as relates to sovereigns and

financials and certain “orphan” CDS (Reference

Entities with no deliverable obligations).

55-
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

Index Sponsor: Markit, which sponsors the Index, has published

information on treatment of both legacy and future

indices.

The parties should consult Markit’s documentation to

determine the exact treatment. It is the SEF’s

understanding that, in general, all CDS index trades

will convert to the 2014 Definitions, with individual

components being excluded if they would be impacted

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the

Definitions required by the relevant DCO selected by

the parties.

The parties should consult the relevant DCO’s

documentation to determine the exact treatment. It is

the SEFs understanding that the DCOs will be

converting all trades to the 2014 definitions, with

individual component excluded as describe above.

Choice of Definitions: The parties can elect which Definitions to use as part of

their Confirmation process. However, this may limit

clearability and result in creation of a bespoke Index

transaction.

56-
CDS Index Contracts – iTraxx Australia

CDS Index Contracts – iTraxx Australia

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS

Markit Ltd’s “iTraxx® Australia Index” (“CDS Index

Contracts – iTraxx Australia”). The terms under which

CDS Index Contracts – iTraxx Australia may be traded

are shown below.

Contract Overview: An agreement to buy or sell protection on an index

composed of twenty five (25) liquid Australian entities

with investment grade credit ratings that trade in the

CDS market or have significant domestic bond issuance

as published by IHS Markit Ltd. from time to time.

Index: iTraxx® Australia Index: Series 30 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by counterparties, subject to Applicable Law.

Effective Date: The date (to be agreed by the counterparties) on which

parties begin calculating accrued obligations such as

fixed payments. Also known as the start date of the

swap.

Maturity Date: The final date (to be agreed by the counterparties) on

which the obligations no longer accrue and the final

payment occurs.

Trade Types: The following swap types may be executed on tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event

settlement will be determined pursuant to the 2014

ISDA Credit Derivatives Definitions as published by the

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis

points and paid by the protection buyer to the protection

57

-
CDS Index Contracts – iTraxx Australia

seller.

Upfront Fee Payment: The upfront fee is a portion of

the payments, expressed in percentage points of the

notional, which is present valued and paid at the

inception of the Contract by the protection buyer to the

protection seller.

58-
CDS Index Contracts – iTraxx Japan

CDS Index Contracts – iTraxx Japan

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS

Markit Ltd’s “Markit iTraxx® Japan Index” (“CDS

Index Contracts – iTraxx Japan”). The terms under

which CDS Index Contracts – iTraxx Japan may be

traded are shown below.

Contract Overview: An agreement to buy or sell protection on an index

composed of forty (40) Japanese entities with investment

grade credit ratings that trade in the CDS market as

published by IHS Markit Ltd. from time to time.

Index: Markit iTraxx® Japan Index: Series 30 to current.

Currency: JPY

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by counterparties, subject to Applicable Law.

Effective Date: The date (to be agreed by the counterparties) on which

parties begin calculating accrued obligations such as

fixed payments. Also known as the start date of the

swap.

Maturity Date: The final date (to be agreed by the counterparties) on

which the obligations no longer accrue and the final

payment occurs.

Trade Types: The following swap types may be executed on tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event

settlement will be determined pursuant to the 2014

ISDA Credit Derivatives Definitions as published by the

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront Fee Payment: The upfront fee is a portion of

the payments, expressed in percentage points of the

notional, which is present valued and paid at the

59

-
CDS Index Contracts – iTraxx Japan

inception of the Contract by the protection buyer to the

protection seller.

60-
CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade)

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade)

Terms and Conditions

Summary: This covers “CDS Index Contracts – ITRXAEJ.IG

(iTraxx® Asia ex-Japan Investment Grade)” – i.e., an

agreement to buy or sell protection on a broad-based

basket of investment grade Asian corporate and

sovereign/agency issuers (excluding Japanese issuers).

Index: ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment

Grade): Series 14 through current, so long as such

Index is not a narrow-based Index.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event

occurring. Credit events include Bankruptcy and Failure

to Pay.

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of

100 bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by the parties, subject to Applicable Law.

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date: The final date on which the obligations no longer

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent payment - Payments related to credit event

settlement will be determined pursuant to the 2003

ISDA Credit Derivatives Definitions, as modified by the

2009 ISDA Credit Derivatives Determination

Committees and Auction Settlement Supplement (i.e.,

the Big Bang and Little Bang Protocols) and the ISDA

2014 Credit Derivatives Protocol (for Series 21 and

prior) and the ISDA 2014 Definitions (for Series 22 and

later).

Fixed Quarterly cash payments - reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront payment - The upfront payment is a portion of

the payments, expressed in percentage points of the

notional, which is present valued and paid immediately

to the seller.

61-
CDS Index Contracts – MCDX Index

CDS Index Contracts – MCDX Index

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS

Markit Ltd’s MCDX Index (“CDS Index Contracts –

MCDX Index”). The terms under which CDS Index

Contracts – MCDX Index may be traded are shown

below.

Contract Overview: Until October 2018, an agreement to buy or sell

protection on a broad-based index composed of fifty (50)

municipal credits.

Beginning with MCDX.NA Series 31 in October 2018,

an agreement to buy or sell protection on a broad-based

index composed of twenty (20) municipal credits.

Index: MCDX: all series

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a

premium to the seller in case of a credit event occurring.

Credit events include “Bankruptcy” and “Failure to

Pay.”

Sell = Sell Protection, the seller of protection receives

the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

MCDX indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100

bps coupon and exchanged on a quarterly basis at 75%

recovery.

Swap Tenor: 3 years, 5 years, 10 years

Effective Date: The date (to be agreed by the counterparties) on which

parties begin calculating accrued obligations such as

fixed payments. Also known as the start date of the

swap.

Maturity Date: The final date (to be agreed by the counterparties) on

which the obligations no longer accrue and the final

payment occurs.

Trade Types: The following swap types may be executed on tpSEF

Inc.:

• Outrights

• Roll Trades

• Curve Trades

62-
CDS Index Contracts – MCDX Index

Settlement: Contingent Payment: Payments related to credit event

settlement will be determined pursuant to the 2003

ISDA Credit Derivatives Definitions, as modified by the

2009 ISDA Credit Derivatives Determinations

Committees and Auction Settlement Supplement

thereto.

Fixed Quarterly Cash Payments: Reflected in basis

points and paid by the protection buyer to the protection

seller.

Upfront Fee Payment: The upfront fee is a portion of

the payments, expressed in percentage points of the

notional, which is present valued and paid immediately

to the seller.

63-
Commodity Index Swaps

Commodity Index Swaps

Terms and Conditions

Summary: This covers commodity index swaps (each, a

“Commodity Index Swap”).

Limitations on Available Selections and Default

Settings:

The terms under which a Commodity Index Swap may

be traded are shown below and in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default” and will apply unless the parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

2005 ISDA Commodity Derivatives Definitions

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Index

ISDA OTC Transaction type: Swap

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.

Termination Date Business Day Convention: None, unless specified by the parties from among the

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available

Commodity Indices.

Total Notional Quantity: The sum of the Notional Quantities per Calculation

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

64-
Commodity Index Swaps

Payment Dates: In relation to each Calculation Period, as specified by

the parties, each such day being subject to adjustment in

accordance with the Payment Date Business Day

Convention.

Payment Date Business Days: The Business Days specified for the relevant

Commodity, plus any additional Business Days specified

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties, expressed as a rate or

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Floating Price: In relation to each Calculation Period, the level of the

specified Available Commodity Index at the end of the

such Calculation Period less the level of the specified

Available Commodity Index at the start of the such

Calculation Period, the result of which is divided by the

level of the specified Available Commodity Index at the

start of the such Calculation Period.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the

Commodity Definitions.

Calculation Agent: As agreed by the parties.

Commodity Index Swap Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Commodity Index Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

65-
Commodity Index Swaps

Commodity Index Swap Available Commodity Indices

Abbr Name

BCOM BCOM ER

BCOMF1 BCOM F1 ER

BCOMF2 BCOM F2 ER

BCOMF3 BCOM F3 ER

BCOMF4 BCOM F4 ER

BCOMF5 BCOM F5 ER

BCOMF6 BCOM F6 ER

BCOMAG BCOM Agriculture ER

BCOMEN BCOM Energy ER

BCOMGR BCOM Grains ER

BCOMIN BCOM Industrial Metals ER

BCOMLI BCOM Livestock ER

BCOMPE BCOM Petroleum ER

BCOMPR BCOM Precious Metals ER

BCOMSO BCOM Softs ER

BCOMXAG BCOM ex-Agriculture ER

BCOMXAL BCOM ex-Agriculture and Livestock ER

BCOMXE BCOM ex-Energy ER

BCOMXGR BCOM ex-Grains ER

BCOMXIM BCOM ex-Industrial Metals ER

BCOMXLI BCOM ex-Livestock ER

BCOMXPE BCOM ex-Petroleum ER

BCOMXPM BCOM ex-Precious Metals ER

BCOMXSO BCOM ex-Softs ER

BCOMAL BCOM Aluminum ER

BCOMCO BCOM Brent Crude ER

BCOMCC BCOM Cocoa ER

BCOMKC BCOM Coffee ER

BCOMHG BCOM Copper ER

BCOMCN BCOM Corn ER

BCOMCT BCOM Cotton ER

BCOMFC BCOM Feeder Cattle ER

BCOMGO BCOM Gas Oil ER

BCOMGC BCOM Gold ER

BCOMHO BCOM Heating Oil ER

BCOMPB BCOM Lead ER

BCOMLH BCOM Lean Hogs ER

BCOMLC BCOM Live Cattle ER

BCOMNG BCOM Natural Gas ER

BCOMNI BCOM Nickel ER

66-
Commodity Index Swaps

Abbr Name

BCOMOJ BCOM Orange Juice ER

BCOMPA BCOM Palladium ER

BCOMPL BCOM Platinum ER

BCOMSI BCOM Silver ER

BCOMSM BCOM Soybean Meal ER

BCOMBO BCOM Soybean Oil ER

BCOMSY BCOM Soybeans ER

BCOMSB BCOM Sugar ER

BCOMSN BCOM Tin ER

BCOMRB BCOM Unleaded Gas ER

BCOMWH BCOM Wheat ER

BCOMKW BCOM Kansas Wheat ER

BCOMCL BCOM WTI Crude Oil ER

BCOMZS BCOM Zinc ER

BCOMAU BCOM AUD ER

BCOMEU BCOM EUR ER

BCOMGB BCOM GBP ER

BCOMCH BCOM CHF ER

BCOMJY BCOM JPY ER

BCOMALC BCOM Aluminum Capped ER

BCOMKCC BCOM Coffee Capped ER

BCOMHGC BCOM Copper Capped ER

BCOMCLC BCOM WTI Crude Oil Capped ER

BCOMCNC BCOM Corn Capped ER

BCOMLCC BCOM Cattle Capped ER

BCOMCTC BCOM Cotton Capped ER

BCOMGCC BCOM Gold Capped ER

BCOMLHC BCOM Lean Hogs Capped ER

BCOMHOC BCOM Heating Oil Capped ER

BCOMKWC BCOM Kansas Wheat Capped ER

BCOMCOC BCOM Brent Crude Capped ER

BCOMNGC BCOM Natural Gas Capped ER

BCOMNIC BCOM Nickel Capped ER

BCOMSYC BCOM Soybeans Capped ER

BCOMBOC BCOM Soybean Oil Capped ER

BCOMSIC BCOM Silver Capped ER

BCOMSBC BCOM Sugar Capped ER

BCOMSMC BCOM Soybean Meal Capped ER

BCOMRBC BCOM Unleaded Gas Capped ER

BCOMWHC BCOM Wheat Capped ER

BCOMZSC BCOM Zinc Capped ER

BCOMTR BCOM TR

67-
Commodity Index Swaps

Abbr Name

BCOMF1T BCOM F1 TR

BCOMF2T BCOM F2 TR

BCOMF3T BCOM F3 TR

BCOMF4T BCOM F4 TR

BCOMF5T BCOM F5 TR

BCOMF6T BCOM F6 TR

BCOMRS BCOM Roll Select

SPGCCI S&P GSCI

SPGCBO S&P GSCI Soybean Oil

SPGCBR S&P GSCI Brent Crude

SPGCCC S&P GSCI Cocoa

SPGCCL S&P GSCI Crude Oil

SPGCCN S&P GSCI Corn

SPGCCT S&P GSCI Cotton

SPGCFC S&P GSCI Feeder Cattle

SPGCGC S&P GSCI Gold

SPGCGO S&P GSCI Gasoline

SPGCHG S&P GSCI North American Copper

SPGCHO S&P GSCI Heating Oil

SPGCHU S&P GSCI Unleaded Gasoline

SPGCIA S&P GSCI Aluminum

SPGCIC S&P GSCI Copper

SPGCIK S&P GSCI Nickel

SPGCIL S&P GSCI Lead

SPGCIN S&P GSCI Industrial Metals

SPGCIZ S&P GSCI Zinc

SPGCKC S&P GSCI Coffee

SPGCKW S&P GSCI Kansas Wheat

SPGCLC S&P GSCI Live Cattle

SPGCLH S&P GSCI Lean Hogs

SPGCNG S&P GSCI Natural Gas

SPGCPA S&P GSCI Palladium

SPGCPL S&P GSCI Platinum

SPGCSB S&P GSCI Sugar

SPGCSI S&P GSCI Silver

SPGCSO S&P GSCI Soybeans

SPGCWH S&P GSCI Wheat

SPGSES S&P GSCI Enhanced Commodity

SPGSSM S&P GSCI Soybean Meal

SPGCBRP S&P GSCI Brent Crude ER

SPGCCLP S&P GSCI Crude Oil ER

SPGCENP S&P GSCI Energy ER

68-
Commodity Index Swaps

Abbr Name

SPGCGCP S&P GSCI Gold ER

SPGCHOP S&P GSCI Heating Oil ER

SPGCHUP S&P GSCI Unleaded Gasoline ER

SG3MCI S&P GSCI 3 Month Forward

Commodity Index Swap Earliest and Latest Effective and Termination Dates

Currency Earliest Effective

Date

Latest Effective Date Earliest Termination

Date

Latest Termination

Date

N/A N/A N/A N/A N/A

Commodity Index Swap Notional Quantities per Calculation Period

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

69-
Deliverable Foreign Exchange Barrier Options

Deliverable Foreign Exchange Barrier Options

Terms and Conditions

Summary: This covers deliverable foreign exchange options with a

barrier.

Limitations on Available Selections and Default

Settings:

The terms under which a Deliverable Foreign Exchange

Barrier Option may be traded are as specified in these

terms and conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET”/EUTA is considered a

location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) the 1998 FX and Currency Option Definitions and

2005 Amendment

(b) the 2005 Barrier Option Supplement to the 1998 FX

and Currency Option Definitions

(c) the 2000 Annex A to the 1998 FX and Currency

Option Definitions and the March 2013 Compendium

of Amendments

(d) ISDA OTC Taxonomies

(e) FpML Location Codes

For convenience, certain terms are mapped to their

FpML equivalent.

For purposes of this description, the term COP means

the lawful currency of the Republic of Columbia

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Simple Exotic

ISDA OTC Sub-Product: Barrier Option

70-
Deliverable Foreign Exchange Barrier Options

Further Limitations: None

FpML Schema: “confirmation.fxOption”

Terms:

Trade Date: The date the transaction is agreed between and becomes

legally binding on the parties.

Commencement Date

(“americanExercise.commencementDate”):

As specified by the parties. This applies only where the

Option Style is American.

Buyer (“buyerPartyReference”): As specified by the parties.

Seller (“sellerPartyReference”): As specified by the parties.

Currency Option Style: As specified by the parties.

Currency Option Type: A Call with respect to the Call Currency and a Put with

respect to the Put Currency.

Call Currency (“callCurrencyAmount”): The currency and amount as specified by the parties, or,

if not so specified, derived from the Put Currency

Amount and Strike Price.

The Put Currency and Call Currency must represent a

traded pair as shown on the attached list of currencies.

Put Currency (“putCurrencyAmount”): The currency and amount as specified by the parties, or,

if not so specified, derived from the Call Currency

Amount and Strike Price.

Strike Price (“strikePrice”): As specified by the parties (if only one of the Put

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is

applicable, the Strike Price will be calculated using the

Put Currency and Call Currency in order to determine if

the Option is to be automatically exercised.

Expiration Date (“expiryDate”): As specified by the parties.

Latest Exercise Time: As specified by the parties. This applies only where the

Option Style is American.

Expiration Time (“americanExercise.expiryTime” or

“europeanExercise.expiryTime”):

The time in the location specified by the parities.

Automatic Exercise: As specified by the parties.

Settlement Date: As specified by the parties.

Premium (“premium”): As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier (“features.barrier”): Applicable.

Event Type: As specified by the parties from among the Available

Barrier Types.

Spot Exchange Rate Direction (“direction”): As specified by the parties from among the Available

Spot Exchange Directions.

Barrier Event Rate Source (“informationSource”): As specified by the parties.

Barrier Level (“triggerRate”): As specified by the parties as a number of one Currency

per the other Currency (“quotedCurrencyPair”,

“currency1”, “currency2” and “quoteBasis”)

Event Period Start Date and Time

(“observationStartDate”, “observationStartTime”): As specified by the parties.

Event Period End Date and Time

(“observationEndDate” “observationEndTime”): As specified by the parties.

Calculation Agent: As specified by the parties.

Business Days for Premium Payment Date: As specified by the parties.

Business Days for Settlement Date: As specified by the parties.

Business Days for Exercise Date For American Options, as specified by the parties.

Business Days for Expiration Date: As specified by the parties.

Business Days (General): As specified by the parties.

71-
Deliverable Foreign Exchange Barrier Options

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Day Convention for Expiration Date: As specified by the parties.

Business Day Convention for Settlement Date: As specified by the parties.

Event Currency: As specified by the parties if any Disruption Events are

applicable.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each Disruption Event

applicable.

FX Barrier Option Available Currencies and Principal Financial Centers

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Principal Financial Centers for

Currency (FpML Codes)

AUD Australian Dollar AUME and AUSY

EUR Euro EUTA

USD United States Dollar USNY

FX Barrier Option Available Currency Pairs, Minimum and Increment

CALL

PUT AUD EUR USD

AUD Y Y

EUR Y Y

USD Y Y

The Minimum Amount for any currency pair is 5,000,000 of the Call Currency with an Increment of 5,000,000 of

the Call Currency.

FX Barrier Option Requirements and Defaults

Variable Requirement Default

Commencement Date: American Style ONLY Trade Date

Latest Exercise Time: American Style ONLY Same as Expiration Time

Automatic Exercise: Applicable

Event Period Start Date and Time: Trade Date and time

Event Period End Date and Time: Expiration Date at Expiration Time

Barrier Event Determination Agent: Calculation Agent

Business Days for Premium

Payment Date:

At least one of the specified

locations must be able to settle

relevant Currency

Principal Financial Center for

Currency of Premium

Business Days for Settlement Dates: The specified locations must at least

be able to settle each Currency in

the Currency Pair

Principal Financial Center for each

Currency of the Currency Pair

Business Days for Exercise Date: Location of Seller Location of Seller

Business Days for Expiration Dates: If Automatic Exercise does not

apply, location of Seller

If Automatic Exercise does apply,

trading day for each Currency of

Currency Pair

Location of Seller and trading day

for each Currency of Currency Pair

Business Day Convention for

Premium Payment Date:

Cannot result in payment due prior

to Trade Date

Following

Business Day Convention for

Expiration Date:

Following

Business Day Convention for Cannot result in payment due prior Following

72-
Deliverable Foreign Exchange Barrier Options

Settlement Date: to Exercise Date

Disruption Events: None

Disruption Fallbacks: Required only if there are

Disruption Events

None

FX Barrier Available Option Styles

Style Description Default

American Can be exercised on any Exercise

Business Day from and including

the Commencement Date to and

including the Expiration Date

Yes

European Can be exercised only on the

Expiration Date

No

FXO Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

FX Barrier Option Available Event Types

Event Type

Knock-Out (ISDA)

Knock-In (ISDA)

FX Barrier Option Available Spot Exchange Rate Direction

Spot Exchange Rate Direction

Greater than or equal to

Less than or equal to

FX Barrier Option Available Barrier Event Rate Source

Exchange Source

AUD/EUR

AUD/USD

EUR/USD

73-
Deliverable Vanilla American or European Style Foreign Exchange Options

Deliverable Vanilla American or European Style Foreign Exchange Options

Terms and Conditions

Summary: This covers deliverable vanilla American or European

style foreign exchange options.

Limitations on Available Selections and Default

Settings:

The terms under which a Deliverable Vanilla American

or European Style Foreign Exchange Option may be

traded are as specified in these terms and conditions and

in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of the

other locations, so long as there is at least one location in

which payment may be made.

For these purposes “TARGET”/EUTA is considered a

location.

In many cases there are normal “vanilla” terms on which

the parties will transact. These are shown as “Default ”

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or “Default

Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) the 1998 FX and Currency Option Definitions and

2005 Amendment

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.2.4 equivalent.

For purposes of this description, the term COP means the

lawful currency of the Republic of Columbia.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Foreign Exchange

ISDA OTC Sub-Product: Vanilla Option

ISDA OTC Sub-Product Number: 8

Further Limitations: None

FpML Schema: “confirmation.fxOption”

74-
Deliverable Vanilla American or European Style Foreign Exchange Options

Terms:

Trade Date: The date the transaction is agreed between and becomes

legally binding on the parties.

Commencement Date

(“americanExercise.commencementDate”):

As specified by the parties. This applies only where the

Option Style is American.

Buyer (“buyerPartyReference”): As specified by the parties.

Seller (“sellerPartyReference”): As specified by the parties.

Currency Option Style: As specified by the parties.

Currency Option Type: A Call with respect to the Call Currency and a Put with

respect to the Put Currency

Call Currency (“callCurrencyAmount”): The currency and amount as specified by the parties, or,

if not so specified, derived from the Put Currency

Amount and Strike Price.

The Put Currency and Call Currency must represent a

traded pair as shown on the attached list of currencies.

Put Currency (“putCurrencyAmount”): The currency and amount as specified by the parties, or,

if not so specified, derived from the Call Currency

Amount and Strike Price.

Strike Price (“strikePrice”): As specified by the parties (if only one of the Put

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is

applicable, the Strike Price will be calculated using the

Put Currency and Call Currency in order to determine if

the Option is to be automatically exercised.

Expiration Date (“expiryDate”): As specified by the parties.

Latest Exercise Time: As specified by the parties. This applies only where the

Option Style is American.

Expiration Time (“americanExercise.expiryTime” or

“europeanExercise.expiryTime”):

The time in the location specified by the parities.

Automatic Exercise: As specified by the parties.

Settlement Date: As specified by the parties

Premium (“premium”) As specified by the parties.

Premium Payment Date: As specified by the parties.

Calculation Agent: As specified by the parties.

Business Days for Premium Payment Date: As specified by the parties.

Business Days for Settlement Date: As specified by the parties.

Business Days for Exercise Date For American Options, as specified by the parties.

Business Days for Expiration Date: As specified by the parties.

Business Days (General): As specified by the parties.

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Day Convention for Expiration Date: As specified by the parties.

Business Day Convention for Settlement Date: As specified by the parties.

Event Currency: As specified by the parties if any Disruption Events are

applicable.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each Disruption Event

applicable.

FX Vanilla Option Available Currencies and Principal Financial Centers

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Principal Financial Centers for

Currency (FpML Codes)

AUD Australian Dollar AUME and AUSY

BRL Brazilian Real BRBR, BRRJ or BRSP

75-
Deliverable Vanilla American or European Style Foreign Exchange Options

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

COP Colombian Peso COBO

EUR Euro EUTA

GBP Sterling GBLO

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

NOK Norewegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

SEK Swedish Krona SEST

USD United States Dollar USNY

NOT ALL PAIRS OF CURRENCIES MAY BE AVAILABLE. PLEASE REVIEW AVAILABLE PAIRS TABLE

FX Vanilla Option Available Currency Pairs, Minimum and Increment

CALL

PUT AUD BRL CAD CHF CLP COP EUR GBP JPY MXN NOK NZD SEK USD

AUD Y Y Y Y Y

BRL Y Y

CAD Y Y Y Y Y Y Y

CHF Y Y Y

CLP Y

COP Y

EUR Y Y Y Y Y Y Y Y Y Y Y

GBP Y Y Y Y Y Y Y Y Y

JPY Y Y Y Y Y Y Y

MXN Y Y

NOK Y Y

NZD Y Y Y

SEK Y

USD

The Minimum Amount for any currency pair is 5,000,000 of the Call Currency with an Increment of 5,000,000 of

the Call Currency

FX Vanilla Option Requirements and Defaults

Variable Requirement Default

Commencement Date American Style ONLY Trade Date

Latest Exercise Time American Style ONLY Same as Expiration Time

Automatic Exercise Applicable

Business Days for Premium

Payment Date

At least one of the specified

locations must be able to settle

relevant Currency

Principal Financial Center for

Currency of Premium

Business Days for Settlement Dates: The specified locations must at least

be able to settle each Currency in

the Currency Pair

Principal Financial Center for each

Currency of the Currency Pair

Business Days for Exercise Date Location of Seller Location of Seller

Business Days for Expiration Dates: If Automatic Exercise does not

apply, location of Seller

If Automatic Exercise does apply,

trading day for each Currency of

Location of Seller and trading day

for each Currency of Currency Pair

76-
Deliverable Vanilla American or European Style Foreign Exchange Options

Currency Pair

Business Day Convention for

Premium Payment Date:

Cannot result in payment due prior

to Trade Date

Following

Business Day Convention for

Expiration Date:

Following

Business Day Convention for

Settlement Date

Cannot result in payment due prior

to Exercise Date

Following

Disruption Events: None

Disruption Fallbacks: Required only if there are

Disruption Events

None

FX Vanilla Available Option Styles

Style Description Default

American Can be exercised on any Exercise

Business Day from and including

the Commencement Date to and

including the Expiration Date

Yes

European Can be exercised only on the

Expiration Date

No

FXO Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

77-
Digital Foreign Exchange Options

Digital Foreign Exchange Options

Terms and Conditions

Summary: This covers digital foreign exchange options.

Limitations on Available Selections and Default

Settings:

The terms under which a Digital Foreign Exchange

Option may be traded are as specified in these terms and

conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET”/EUTA is considered a

location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default ” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) the 1998 FX and Currency Option Definitions and

2005 Amendment

(b) the 2005 Barrier Option Supplement to the 1998 FX

and Currency Option Definitions

(c) the 2000 Annex A to the 1998 FX and Currency

Option Definitions and the March 2013 Compendium of

Amendments

(d) ISDA OTC Taxonomies

(e) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

For purposes of this description, the term COP means

the lawful currency of the Republic of Columbia

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Simple Exotic

ISDA OTC Sub-Product: Digital Option

Further Limitations: None

78-
Digital Foreign Exchange Options

FpML Schema: “confirmation.fxOption”

Terms:

Trade Date: The date the transaction is agreed between and becomes

legally binding on the parties.

Commencement Date

(“americanExercise.commencementDate”):

As specified by the parties. This applies only where the

Option Style is American.

Buyer (“buyerPartyReference”): As specified by the parties.

Seller (“sellerPartyReference”): As specified by the parties.

Currency Option Style: As specified by the parties.

Currency Option Type: Binary

Expiration Date (“expiryDate”): As specified by the parties.

Expiration Time (“europeanExercise.expiryTime”): The time in the location specified by the parities.

Settlement: Non-Deliverable

Settlement Date: As specified by the parties.

Premium (“premium”) As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier (“features.barrier”): Applicable

Event Type: As specified by the parties from among the Available

Binary Types,

Spot Exchange Rate Direction (“direction”): As specified by the parties from among the Available

Spot Exchange Directions.

Barrier Event Rate Source (“informationSource”): As specified by the parties.

Barrier Level (“triggerRate”): As specified by the parties as a number of one Currency

per the other Currency (“quotedCurrencyPair”,

“currency1”, “currency2” and “quoteBasis”), for

transactions which are not of Option Type Double OneTouch or Double No-Touch.

Lower Barrier Level (“triggerRate”): As specified by the parties as a number of one Currency

per the other Currency (“quotedCurrencyPair”,

“currency1”, “currency2” and “quoteBasis”), for

transactions which are of Option Type Double OneTouch or Double No-Touch.

Upper Barrier Level (“triggerRate”): As specified by the parties as a number of one Currency

per the other Currency (“quotedCurrencyPair”,

“currency1”, “currency2” and “quoteBasis”), for

transactions which are e of Option Type Double OneTouch or Double No-Touch.

Event Period Start Date and Time

(“observationStartDate”, “observationStartTime”): As specified by the parties.

Event Period End Date and Time

(“observationEndDate” “observationEndTime”): As specified by the parties.

Calculation Agent: As specified by the parties.

Business Days for Premium Payment Date: As specified by the parties.

Business Days for Settlement Date: As specified by the parties.

Business Days for Expiration Date: As specified by the parties.

Business Days (General): As specified by the parties.

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Day Convention for Expiration Date: As specified by the parties.

Business Day Convention for Settlement Date: As specified by the parties.

Event Currency: As specified by the parties if any Disruption Events are

applicable.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each Disruption Event

applicable.

79-
Digital Foreign Exchange Options

FX Digital Option Available Currencies and Principal Financial Centers

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Principal Financial Centers for

Currency (FpML Codes)

AUD Australian Dollar AUME and AUSY

EUR Euro EUTA

USD United States Dollar USNY

FX Digital Option Available Currency Pairs, Minimum and Increment

CALL

PUT AUD EUR USD

AUD Y Y

EUR Y Y

USD Y Y

The Minimum Amount for any currency pair is 5,000,000 of Settlement Amount in the Settlement Currency with

an Increment of 5,000,000.

FX Digital Option Requirements and Defaults

Variable Requirement Default

Event Period Start Date and Time: Trade Date and time

Event Period End Date and Time: Expiration Date at Expiration Time

Barrier Event Determination Agent: Calculation Agent

Business Days for Premium

Payment Date:

At least one of the specified

locations must be able to settle

relevant Currency

Principal Financial Center for

Currency of Premium

Business Days for Settlement Dates: The specified locations must at least

be able to settle each Currency in

the Currency Pair

Principal Financial Center for each

Currency of the Currency Pair

Business Days for Expiration Dates: If Automatic Exercise does not

apply, location of Seller

If Automatic Exercise does apply,

trading day for each Currency of

Currency Pair

Location of Seller and trading day

for each Currency of Currency Pair

Business Day Convention for

Premium Payment Date:

Cannot result in payment due prior

to Trade Date

Following

Business Day Convention for

Expiration Date:

Following

Business Day Convention for

Settlement Date

Cannot result in payment due prior

to Exercise Date

Following

Disruption Events: None

Disruption Fallbacks: Required only if there are

Disruption Events

None

FXO Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

80-
Digital Foreign Exchange Options

FX Digital Option Available Event Types

Event Type

One-Touch Binary

No-Touch Binary

Double One-Touch Binary

Double No-Touch Binary

FX Digital Option Available Spot Exchange Rate Direction

Spot Exchange Rate Direction

Greater than or equal to

Less than or equal to

FX Digital Option Available Barrier Event Rate Source

Exchange Source

AUD/EUR As agreed by the parties.

AUD/USD As agreed by the parties.

EUR/USD As agreed by the parties.

81-
Equity Index Swaps

Equity Index Swaps

Terms and Conditions

Summary: This covers equity index swaps (each, an “Equity Index

Swap”).

Limitations on Available Selections and Default

Settings:

The terms under which an Equity Index Swap may be

traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default ” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions (“Equity

Definitions”)

(c) Annex IS to 2009 Americas Master Equity

Derivatives Confirmation, to 2007 European Master

Equity Derivatives Confirmation Agreement (for EMEA

indices, as indicated on the Equity Index Available

Indices attached) or to Second Revised 2005 AEJ

Interdealer Master Equity Derivatives Confirmation

Agreement (for AEJ indices, as indicated on the Equity

Index Available Indices attached)

(d) the Revised ISDA AEJ Reference Price Source

82-
Equity Index Swaps

Matrix (June 25, 2009, or as updated effective prior to

the Trade Date) (“AEJ Source”)

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Strike Date: For a Forward Starting Transaction, as agreed by the

parties (only for EMEA Indices).

Forward Starting: As per Annex IS (only for EMEA Indices).

Notional Amount (“notional”): An amount in one of the Available Currencies (see

below) agreed by the parties.

Effective Date (“effectiveDate”): (i) The date specified by the parties, adjusted in

accordance with any applicable Business Day

Convention, or (ii) in the case of AEJ Indices, per

Annex IS.

Effective Date Business Days: As specified by the parties from among the Available

Business Days (except for AEJ Indices).

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions (except for AEJ Indices).

Termination Date (“terminationDate”): Per Annex IS, unless otherwise specified by the parties.

Index: As specified by the parties from among the Available

Indices.

Number of Index Units: As specified by the parties or, if not so specified,

determined by Annex IS (except for AEJ Indices).

Index Unit: Per Annex IS (except for AEJ Indices and EMEA

Indices).

Exchange(s): (i) Per Annex IS, unless otherwise specified by the

parties, or (ii) in the case of AEJ Indices, as specified by

the parties.

Multiple Exchange Index Annex/Component Security

Index Annex:

Per Annex IS (EMEA Indices only).

Related Exchanges: (i) Per Annex IS, unless otherwise specified by the

parties, or (ii) in the case of AEJ Indices, as specified by

the parties.

Hedging Party: (i) As specified by the parties, or (ii) in the case of AEJ

Indices, per Annex IS.

Determining Party: (i) As specified by the parties, or (ii) in the case of AEJ

Indices, per Annex IS.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: As per Annex IS.

Type of Return: (i) As specified by the parties, or (ii) in the case of AEJ

Indices, per Annex IS unless specified by the parties.

Initial Price Election: As specified by the parties (in the case of an EMEA

Index only).

Initial Price: As specified by the parties and (other than in the case of

AEJ Indices) adjusted in accordance with Annex IS.

83-
Equity Index Swaps

Final Price Election: As specified by the parties (in the case of an EMEA

Index only).

Final Price: (i) As per Annex IS, or (ii) in the case of AEJ Indices,

as specified by the parties or, if not so specified, per the

Equity Definitions.

Valuation Time: (i) As per Annex IS, or (ii) in the case of AEJ Indices,

as specified by the parties or, if not so specified, per the

Equity Definitions.

Valuation Dates: As specified by the parties.

Averaging Dates: In the case of AEJ Indices, as and if specified by the

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): (i) As per Annex IS, or (ii) in the case of AEJ Indices,

as specified by the parties or, if not so specified, per the

Equity Definitions.

Payment Dates: As per Annex IS, unless otherwise specified by the

parties.

Initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties to

the extent permitted by Annex IS.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As per Annex IS.

Payment Dates Business Days: As per Annex IS.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment Dates): As per Annex IS, unless otherwise specified by the

parties.

Compounding: As specified by the parties (EMEA Indices only).

Compounding Dates: As specified by the parties if Compounding is applicable

(EMEA Indices only).

Futures Price Valuation:

Futures Price Valuation: (i) As per Annex IS, unless otherwise specified by the

parties, or (ii) in the case of AEJ Indices, as specified by

the parties or, if not so specified, per the Equity

Definitions.

Exchange-traded Contract: As specified in the Transaction Supplement.

Adjustment to Section 6.8 of the Equity Definitions: As per Annex IS (other than in the case of AEJ Indices).

Settlement Terms:

Cash Settlement: As per Annex IS.

Settlement Currency: (i) As per Annex IS, or (ii) in the case of AEJ Indices,

as agreed by the parties.

FX Rate: As agreed by the parties or as specified by the parties

from among the Available FX Rates.

84-
Equity Index Swaps

Dividends:

Dividend Payment Date(s): If type of return is “Total Return” (i) as per Annex IS

unless otherwise agreed by the parties, or (ii) in the case

of AEJ Indices, as agreed by the parties or, absent such

agreement, per the Equity Definitions.

Dividend Period: If type of return is “Total Return” (i) as per Annex IS,

or (ii) in the case of AEJ Indices, as agreed by the

parties or, absent such agreement, per the Equity

Definitions.

Dividend Amount: If type of return is “Total Return” (i) as per Annex IS,

or (ii) in the case of AEJ Indices, as agreed by the

parties or, absent such agreement, per the Equity

Definitions.

Relevant Dividend: If type of return is “Total Return” (i) as per Annex IS,

or (ii) in the case of AEJ Indices, as agreed by the

parties or, absent such agreement, per the Equity

Definitions.

Reinvestment of Dividends: If type of return is “Total Return” (i) as per Annex IS,

or (ii) in the case of AEJ Indices, as agreed by the

parties.

Dividend Recovery: If type of return is “Total Return” (i) as per Annex IS,

or (ii) in the case of AEJ Indices, as agreed by the

parties or, absent such agreement, per the Equity

Definitions.

Declared Cash Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS

unless otherwise agreed by the parties, (ii) in the case of

AEJ Indices, as and if agreed by the parties, or (iii) in

the case of EMEA Indices, as agreed by the parties.

Declared Cash Equivalent Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS

unless otherwise agreed by the parties, or (ii) in the case

of AEJ Indices, as and if agreed by the parties.

Index Adjustment Events:

Index Cancellation: As per Annex IS.

Index Modification: As per Annex IS.

Index Disruption: As per Annex IS.

Additional Disruption Events:

Change in Law: (i) As agreed by the parties from among the provisions

in Annex IS, or (ii) in the case of AEJ Indices, as per

Annex IS unless otherwise agreed by the parties.

Insolvency Filing: (i) As per Annex IS, or (ii) in the case of AEJ Indices,

as agreed by the parties or, absent such agreement, per

the Equity Definitions.

Hedging Disruption: (i) As agreed by the parties from among the provisions

in Annex IS, or (ii) in the case of AEJ Indices, as per

Annex IS (as applicable to the relevant country of

underlier) unless otherwise agreed by the parties.

Increased Cost of Hedging: (i) As agreed by the parties from among the provisions

in Annex IS, or (ii) in the case of AEJ Indices, as agreed

by the parties or, absent such agreement, per the Equity

Definition.

Consequences of Hedging Disruption: (i) As agreed by the parties from among the provisions

in Annex IS, or (ii) in the case of AEJ Indices, as agreed

by the parties or, absent such agreement, per the Equity

Definition.

Loss of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the

85-
Equity Index Swaps

86-

parties, or (ii) in the case of AEJ Indices, as agreed by

the parties or, absent such agreement, per the Equity

Definition.

Increased Cost of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the

parties, or (ii) in the case of AEJ Indices, as agreed by

the parties or, absent such agreement, per the Equity

Definition.

Cancellation Amount: (i) As agreed by the parties from among the provisions

in Annex IS, or (ii) in the case of AEJ Indices, as agreed

by the parties or, absent such agreement, per the Equity

Definition.

Non-Reliance: As per Annex IS.

Agreements and Acknowledgements Regarding

Hedging Activities:

As per Annex IS.

Additional Acknowledgements: As per Annex IS.

Index Disclaimer: As per Annex IS.

Optional Early Termination: (i) As agreed by the parties from among the provisions

in Annex IS, or (ii) in the case of AEJ Indices,

inapplicable.

Break Funding Recovery: If Optional Early Termination is applicable, as specified

by the parties.

Break Fee: As specified by the parties in the case of EMEA Indices.

Calculation Agent: (i) As agreed by the parties, or (ii) in the case of AEJ

Indices, per Annex IS unless otherwise agreed by the

parties.

Equity Index Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

JPY Japanese Yen JPTO

KRW Korean Won KRSE

SEK Swedish Krona SEST

USD United States Dollars USNY

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices

AMZX Alerian MLP Index Total Return

Abbr Name

AEX AEX Index (EMEA)
Equity Index Swaps

87-

BEL20 BEL20 Index (EMEA)

CAC Cotation Assistée en Continu 40 (EMEA)

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

EWTRGSPC REUTERS – REU - S&P EW 500 INDEX

FTSEMIB FTSE MIB Index (EMEA)

GCUDCA MSCI Daily TR Gross Small Cap Canada USD

GCUDUS MSCI Daily Total Return Gross Small Cap USA USD

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUCA MSCI Canada Index USD Daily Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ)

HSI Hang Seng Index (AEJ)

IBEX IBEX 35 Index(EMEA)

IBOV BOVESPA Index

IXBTR S&P 500 Material Select Sector Total Return

IXCPR Communication Services Select Sector Index

IXCTR Communication Services Select Sector Index TR

IXETR S&P 500 Energy Select Sector Total Return

IXITR S&P 500 Industrials Select Sector Total Return

IXMTR S&P 500 Financials Select Sector Total Return

IXRTR S&P 500 Consumer Staples Select Sector Total Return

IXTTR S&P 500 Technology Select Sector Total Return

IXUTR S&P 500 Utilities Select Sector Total Return

IXVTR S&P 500 Health Care Select Sector Total Return

IXYTR S&P 500 Consumer Discretionary Select Sector Total Return

KOSPI Korea Composite Stock Price Index (AEJ)

M1CNA MSCI China A Inclusion USD Index (Net)

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC Index (Indice de Precios y Cotizaciones)

MSLUEALAN

MSLUELAN

MSCI Emerging Markets Latin America Small Cap Index (USD) (Net Dividends)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUEAFE MSCI EAFE Net Total Return USD Index

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDDUJN MSCI Japan Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDEUSPR MSCI Peru Index Total Return (Net Dividends)

NDUEBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

OEXT S&P 100 Total Return

OMX OMX Stockholm 30 (EMEA)

RGUSFL Russell 1000 Financial

AMZIXVWAP Alerian MLP Infrastructure Index Total Return VWAP

AS51 S&P/ASX 200 (AEJ)
Equity Index Swaps

88-

Equity Index Available FX Rates

Currency Pair Available FX Rates

KRW/USD BB: The rate implied by sourcing the Index on

Bloomberg via “KOSPI>USD>GO”

ISDA: The rate determined in accordance with the AEJ

Source

Equity Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective

Date

Latest Effective Date Earliest Termination

Date

Latest Termination

Date

N/A N/A N/A N/A N/A

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Floating Rate Options and Defaults

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

SP5LVIT S&P 500 Low Volatility Total Return Index

SPSIBITR S&P Biotechnology Select Industry Total Return Index

SPSIOP S&P Oil & Gas Exploration & Production Select Industry Index

SPTRMDCP S&P MidCap 400 Total Return

SMCPSPTRSP

TRSMCP

S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return

XSOX PHLX Semiconductor Sector Index Total Return
Equity Index Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional

Business Day

Locations

AUD-AONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OIS-COMPOUNDSwapMarker All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY (BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

CAD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

CAD-LIBOR-BBA-SwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

CAD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00- All quoted tenors N/A Per ISDA 2006 N

89-
Equity Index Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional

Business Day

Locations

Bloomberg

EUR-Annual Swap Rate-10:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3

Month-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-AVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUNDBloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-Swap-Index All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap

Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

90-
Equity Index Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional

Business Day

Locations

EUR-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDC-COMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis Swaps-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-ATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap All quoted tenors N/A Per ISDA 2006 N

91-
Equity Index Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional

Business Day

Locations

Rate-11:00-BGCANTOR

HKD-Quarterly-Annual Swap

Rate-4:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

JPY-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

JPY-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

JPY-MUTANCALL-TONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks)-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

KRW-Quarterly Annual Swap

Rate-3:30-ICAP 3M N/A Per ISDA 2006 N

KRW-Bond-3222 3M N/A Per ISDA 2006 N

92-
Equity Index Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional

Business Day

Locations

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap Rate-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal Swap

Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference BanksICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

93-
Equity Index Swaps

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional

Business Day

Locations

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

USD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

USD-OIS-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SOFR-Compound N/A N/A N/A N

USD-SIFMA Municipal Swap

Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-Secondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-ICAP

BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T500 All quoted tenors N/A Per ISDA 2006 N

Equity Index Requirements and Defaults

Date Requirement Default

Effective Date Business Day

Convention

No Adjustment

Designated Maturities for Linear

Interpolation

Tenors quoted next shorter and

longer than the actual Calculation

Period length

94-
Equity Index Variance Swaps

Equity Index Variance Swaps

Terms and Conditions

Summary: This covers equity index variance swaps (each, an

“Equity Index Variance Swap”).

Limitations on Available Selections and Default

Settings:

The terms under which an Equity Index Variance Swap

may be traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies.

Since each national market has its own peculiarities, the

“Available Terms” and/or “Default Terms” may vary by

currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY).

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions

(c) Annex IVS to 2007 Americas Master Variance Swap

Confirmation Agreement, to the Revised 2007 AEJ

Master Variance Swap Confirmation Agreement for

AEJ indices or to the 2007 European Variance Swap

Master Confirmation Agreement (as indicated on the

Equity Index Available Indices attached)

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Variance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

95-
Equity Index Variance Swaps

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): As per Annex IVS

Termination Date (“terminationDate”): As per Annex IVS

Exchanges: As specified by the parties.

Related Exchanges: As per Annex IVS

Variance Buyer: As specified by the parties (other than for an AEJ or

EMEA Index).

Variance Seller: As specified by the parties (other than for an AEJ or

EMEA Index).

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As per Annex IVS

Equity Notional Amount: As specified by the parties (other than for an EMEA

Index).

Variance Amount: As specified by the parties (for an EMEA Index)

Equity Notional Reset: As per Annex IVS

Type of Return: As per Annex IVS

Initial Price: As per Annex IVS

Final Price: As per Annex IVS

Valuation Time: As per Annex IVS

Observation Start Date: As specified by the parties or otherwise as per Annex

IVS.

Observation End Date: As per Annex IVS

Observation Day: As per Annex IVS

Non-Disrupted Observation Day: As per Annex IVS

Observation Period: As per Annex IVS

Futures Price Valuation: As specified by the parties or determined in accordance

with Annex IVS.

Default Exchange-traded Contract: As per Annex IVS

Equity Amount: As per Annex IVS

Variance Strike Price: As specified by the parties and calculated in accordance

with Annex IVS.

Variance Cap: As specified by the parties, or otherwise as per Annex

IVS.

Final Realized Volatility: As per Annex IVS

Initial Index Level: As specified by the parties.

Closing Index Level: If specified by the parties, and determined per Annex

IVS.

Expiring Contract Level: If specified by the parties or as determined per Annex

IVS.

Variance Amount: As specified by the parties.

Volatility Strike Price: As specified by the parties if Variance Strike Price is not

specified.

Variance Strike Price: As specified by the parties if Volatility Strike Price is

not specified, or calculated in accordance with Annex

IVS.

Variance Cap Amount: As specified by the parties or otherwise per Annex IVS.

Final Realized Volatility (“FRV”): Per Annex IVS

N: As specified by the parties or otherwise per Annex IVS

(other than for an AEJ Index).

ExpectedN: As specified by the parties or otherwise per Annex IVS

(only for an AEJ Index).

Market Disruption Event: As per Annex IVS

Floating Amount:

Floating Amount: As per Annex IVS

96-
Equity Index Variance Swaps

Settlement Terms:

Cash Settlement: As per Annex IVS

Settlement Currency: As per Annex IVS

Cash Settlement Payment Date: As per Annex IVS

Index Adjustment Events:

Index Cancellation: As per Annex IVS

Index Modification: As per Annex IVS

Index Disruption: As per Annex IVS

IVS Cancellation and Payment: As per Annex IVS

Additional Disruption Events:

Change in Law: As per Annex IVS

Non-Reliance: As per Annex IS

Agreements and Acknowledgements Regarding

Hedging Activities:

As per Annex IS

Additional Acknowledgements: As per Annex IS

Index Disclaimer: As per Annex IS

Calculation Agent: As agreed by the parties.

Equity Index Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

CAD Canadian Dollars CATO

EUR Euro EUTA

GBP Pound Sterling GBLO

Equity Index Available Indices

Abbr Name

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ)

HSI Hang Seng Index (AEJ)

IBOV BOVESPA Index

KOSPI Korea Composite Stock Price Index (AEJ)

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSIC Colombia Index Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

OEXT S&P 100 Total Return

RGUSFL Russell 1000 Financial

97-
Equity Index Variance Swaps

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index (EMEA)

UKX FTSE 100 Index (EMEA)

98-
Equity Index Volatility Swaps

Equity Index Volatility Swaps

Terms and Conditions

Summary: This covers equity index volatility swaps (each, an

“Equity Index Volatility Swap”).

Limitations on Available Selections and Default

Settings:

The terms under which an Equity Index Volatility Swap

may be traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies.

Since each national market has its own peculiarities, the

“Available Terms” and/or “Default Terms” may vary by

currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY).

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions

(c) Annex IVS to: (i) the 2006 Japan Master Variance

Swap Confirmation Agreement for Japan Indices, (ii)

the 2007 Americas Master Variance Swap Confirmation

Agreement, (iii) the Revised 2007 AEJ Master Variance

Swap Confirmation Agreement for AEJ indices, or (iv)

the 2007 European Variance Swap Master Confirmation

Agreement for EMEA Indices (as indicated on the

Equity Index Volatility Swap –Available Indices below)

(d) the Market Practice Statement for Variance Swap

Transactions Involving Japanese Shares or Indices

Regarding When Exchange-Imposed Daily Price

Limitations Would Constitute a Market Disruption

Event Due To a Trading Disruption published by ISDA

on October 22, 2009 (the “Japan Index Market Practice

Statement”)

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

99-
Equity Index Volatility Swaps

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Volatility

ISDA OTC Transaction Type: Single Index

Further Limitations: None.

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): As per Annex IVS (other than for a Japan Index).

Termination Date (“terminationDate”): As per Annex IVS.

Exchanges: As specified by the parties.

Related Exchanges: As per Annex IVS.

Volatility Buyer: Not applicable.

Volatility Seller: Not applicable.

Volatility Cap: If applicable, as specified by the parties.

Index: As specified by the parties from among the Equity Index

Volatility Swap – Available Indices (see below).

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): The Volatility Seller.

Equity Notional Amount: As specified by the parties (other than for an EMEA

Index).

Equity Notional Reset: As per Annex IVS.

Type of Return: As per Annex IVS.

Initial Price: As per Annex IVS.

Final Price: As per Annex IVS.

Valuation Time: As per Annex IVS.

Observation Start Date: As specified by the parties or otherwise as per Annex

IVS.

Observation End Date: As per Annex IVS.

Observation Day: As per Annex IVS (with Disrupted Date being

determined, in the case of a Japan Index, in accordance

with the Japan Index Market Practice Statement).

Non-Disrupted Observation Day: As per Annex IVS.

Observation Period: As per Annex IVS.

Futures Price Valuation: As specified by the parties or determined in accordance

with Annex IVS.

Default Exchange-traded Contract: As per Annex IVS.

Equity Amount: The product of the Equity Notional Amount and the

Final Realized Volatility (or, if there is a Volatility Cap,

the lesser of the Realized Volatility or the Volatility

Cap).

Variance Strike Price: Not applicable.

Variance Cap: Not applicable.

Final Realized Volatility: As per Annex IVS.

Initial Index Level: As specified by the parties.

Closing Index Level: If specified by the parties, and determined per Annex

IVS.

Expiring Contract Level: If specified by the parties or as determined per Annex

IVS.

Variance Amount: Not applicable.

Volatility Strike Price: Not applicable.

Variance Strike Price: Not applicable.

Variance Cap Amount: Not applicable.

Final Realized Volatility (“FRV”): Per Annex IVS.

100-
Equity Index Volatility Swaps

N: As specified by the parties or otherwise per Annex IVS

(other than for an AEJ Index).

ExpectedNExpected N: As specified by the parties or otherwise per Annex IVS

(only for an AEJ Index).

Market Disruption Event: As per Annex IVS.

Fixed Amount:

Fixed Amount Payer: The Volatility Buyer.

Fixed Amount: The product of the Equity Notional Amount and the

Volatility Strike.

Volatility Strike: As specified by the parties.

Settlement Terms:

Cash Settlement: As per Annex IVS.

Settlement Currency: As per Annex IVS.

Cash Settlement Payment Date: As per Annex IVS.

Index Adjustment Events:

Index Cancellation: As per Annex IVS.

Index Modification: As per Annex IVS.

Index Disruption: As per Annex IVS.

IVS Cancellation and Payment: As per Annex IVS.

Additional Disruption Events:

Change in Law: As per Annex IVS.

Non-Reliance: As per Annex IVS.

Agreements and Acknowledgements Regarding

Hedging Activities:

As per Annex IVS.

Additional Acknowledgements: As per Annex IVS.

Index Disclaimer: As per Annex IVS.

Calculation Agent: As agreed by the parties.

Equity Index Volatility Swap – Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

Equity Index Volatility Swap – Available Indices

Abbr Name

SPX S&P 500 Index

SPXT S&P 500 Total Return

101-
Fixed for Floating Agricultural Swaptions

Fixed for Floating Agricultural Swaptions

Terms and Conditions

Summary: This covers uncleared fixed for floating agricultural

swaptions (“Fixed for Floating Agricultural

Swaptions”).

Limitations on Available Selections and Default

Settings:

The terms under which Fixed for Floating Agricultural

Swaptions may be traded are shown below and in the

attached tables.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

2005 ISDA Commodity Derivatives Definitions

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Trade Date: As agreed by the parties.

Option Style: As specified by the parties from among the Available

Option Styles.

Option Type: Swaption

Buyer: As specified by the parties.

Seller: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions or otherwise per the

Commodity Definitions.

Physical/Contract Settlement: Applicable

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the

times on such days specified by the parties.

For any other Option Style, the times on the Expiration

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Terms of the Underlying Transaction to which the Swaption Relates:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the

Available Business Day Conventions.

Termination Date: As specified by the parties.

102-
Fixed for Floating Agricultural Swaptions

Termination Date Business Days: None, unless specified by the parties.

Termination Date Business Day Convention: None, unless specified by the parties from among the

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by

the parties, each such day being subject to adjustment in

accordance with the Payment Date Business Day

Convention.

Payment Date Business Days: The Business Days specified for the relevant

Commodity, plus any additional Business Days specified

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the

Commodity Definitions.

Calculation Agent: As agreed by the parties.

103-
Fixed for Floating Agricultural Swaptions

104-

Fixed for Floating Agricultural Swaptions Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swaptions Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT

1

 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.
Fixed for Floating Agricultural Swaptions

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity

Reference

Price

Relevant

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED

SPRING

WHEATMGEX

Wheat Bushel Minneapolis

Grain Exchange

USD 0.01 Settlement Price

MILLING

WHEATEURONEXT

Wheat Tonne EURONEXT

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY

MILK-CME

Non-Fat Dry

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT

LIFFE

EUR 0.01 Settlement Price

105-
Fixed for Floating Agricultural Swap Contracts

Fixed for Floating Agricultural Swap Contracts

Terms and Conditions

Summary: This covers uncleared fixed-for-floating agricultural

swaps (“Fixed for Floating Agricultural Swap

Contracts”).

Limitations on Available Selections and Default

Settings:

The terms under which Fixed for Floating Agricultural

Swap Contracts may be traded are shown below and in

the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

2005 ISDA Commodity Derivatives Definitions

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.

Termination Date Business Day Convention: None, unless specified by the parties from among the

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by

the parties, each such day being subject to adjustment in

accordance with the Payment Date Business Day

Convention.

106-
Fixed for Floating Agricultural Swap Contracts

Payment Date Business Days: The Business Days specified for the relevant

Commodity, plus any additional Business Days specified

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the

Commodity Definitions.

Calculation Agent: As agreed by the parties.

Fixed-for-Floating Agricultural Swap Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swap Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

107-
Fixed for Floating Agricultural Swap Contracts

108-

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

 ISDA Definition

Commodity

Reference

Price

Relevant

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED

SPRING

WHEATMGEX

Wheat Bushel Minneapolis

Grain Exchange

USD 0.01 Settlement Price

MILLING

WHEATEURONEXT

Wheat Tonne EURONEXT

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY

MILK-CME

Non-Fat Dry

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT

LIFFE

EUR 0.01 Settlement Price

1

 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.
Fixed for Floating Interest Rate Swaps

Fixed for Floating Interest Rate Swaps

Terms and Conditions

Summary: This covers uncleared fixed for floating interest rate

swaps (“Fixed for Floating Interest Rate Swap

(Uncleared)”).

Limitations on Available Selections and Default

Settings:

The terms under which a Fixed for Floating Interest

Rate Swap (Uncleared) contract may be traded are as

specified in these terms and conditions or in the

attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made. For these

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default ” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

109-
Fixed for Floating Interest Rate Swaps

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date

as a number of Business Days or Banking Days from the

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Termination

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation

110-
Fixed for Floating Interest Rate Swaps

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

Compounding Dates: In the event Compounding is selected, as selected by the

parties.

Compounding Method (Compounding OR Flat

Compounding):

In the event Compounding is selected, as selected by the

parties.

Period End Dates Business Days: As specified by the parties from among the Available

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is

not applicable.

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available

Currencies.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available

Currencies.

Final Exchange:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available

Currencies.

111-
Fixed for Floating Interest Rate Swaps

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can

terminate.

Buyer: As specified by the parties, if only one party can

terminate.

Seller’s Agent: As specified by the parties, if only one party can

terminate.

Business Days for Payments: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or

Multiple Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is

specified.

Integral Multiple: As specified by the parties if Partial Exercise or

Multiple Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is

applicable to a cross currency Transaction whose

currencies are listed as a “currency pair” in the Cross

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days

Convention:

If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the

parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or

112-
Fixed for Floating Interest Rate Swaps

“Cash Price—Alternate” apply, as specified by the

parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield

Curve—Adjusted,” “Par Yield Curve—Unadjusted” or

“Zero Coupon Curve—Adjusted” apply, as specified by

the parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix parties from

Available Cash Settlement Methods, directly or via the

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

AUD Australian Dollar AUSY

BRL Brazilian Reai Any of BR{SP,RJ,BR} and not

otherwise declared a market

holiday by the BM&F

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CNH Chinese Renminbi (HK) HKHK and CNBE

CNY Chinese Renminbi CNBE

COP Colombian Peso COBO

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

INR Indian Rupee INMU

JPY Japanese Yen JPTO

KRW Korean Won KRSE

MXN Mexican Peso (New) MXMC

MYR Malaysian Ringgit MYKL

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PHP Phillipine Peso PHMA

PLN Polish Zloty PLWA

RON Romanian Leu ROBU

RUB Russian Ruble RUMO

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

THB Thai Baht THBA

113-
Fixed for Floating Interest Rate Swaps

TRY Turkish Lira TRIS

TWD Taiwan Dollar TWTA

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective

Date

Latest Effective Date Earliest Termination

Date

Latest Termination

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

BRL 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CNH 5,000,000 100,000 N/A N/A

CNY 5,000,000 100,000 N/A N/A

COP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

HKD 25,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

114-
Fixed for Floating Interest Rate Swaps

INR 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

KRW 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

MYR 5,000,000 100,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PHP 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

RON 5,000,000 100,000 N/A N/A

RUB 5,000,000 100,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

THB 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

TWD 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap

Rate-ICAP-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual

Swap Rate-ICAPAll quoted tenors N/A Per ISDA 2006 N

115-
Fixed for Floating Interest Rate Swaps

Reference Banks

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

BRL-CDI-CETIP See below N/A See below See below

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OIS- All quoted tenors N/A Per ISDA 2006 N

116-
Fixed for Floating Interest Rate Swaps

COMPOUND

CLP-CLICPBloomberg All quoted tenors N/A Per ISDA 2006 N

CNH-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CNH-HIBOR-TMA All quoted tenors N/A Per ISDA 2006 N

CNYCNREPOFIX=CFXSReuters

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

CNY-SHIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

COP-IBR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBOR-PRBO All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2-

DKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CITA-DKNA14-

COMPOUND All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap All quoted tenors N/A Per ISDA 2006 N

117-
Fixed for Floating Interest Rate Swaps

Rate-10:00-

SwapMarker

EUR-Annual Swap

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR All quoted tenors N/A Per ISDA 2006 N

118-
Fixed for Floating Interest Rate Swaps

Swap Rate-11:00

EUR-ISDA-EURIBOR

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIA- All quoted tenors N/A Per ISDA 2006 N

119-
Fixed for Floating Interest Rate Swaps

COMPOUND

GRD-ATHIBORATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORTelerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKABBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate4:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HUF-BUBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

INR-FBIL-MIBOROIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

120-
Fixed for Floating Interest Rate Swaps

JPY-BBSF-Bloomberg10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to BothLegs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM

(All Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

121-
Fixed for Floating Interest Rate Swaps

KRW-CD-KSDABloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoReference Banks All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBOR-BNM All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

PLN-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLN-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

RON-RBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIMENFEA All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIME- All quoted tenors N/A Per ISDA 2006 N

122-
Fixed for Floating Interest Rate Swaps

Reference Banks

SAR-SRIOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual

Swap Rate-Reference

All quoted tenors N/A Per ISDA 2006 N

123-
Fixed for Floating Interest Rate Swaps

Banks

THB-SOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

THB-THBFIX-Reuters All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

TWD-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

TWD-Reuters-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-Telerate-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-TWCPBA All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds- All quoted tenors N/A Per ISDA 2006 N

124-
Fixed for Floating Interest Rate Swaps

H.15

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-SOFR- All quoted tenors N/A Prior to publication of a No

125-
Fixed for Floating Interest Rate Swaps

COMPOUND supplement to ISDA

2006 including USDSOFR-COMPOUND,

not applicable and

thereafter, per ISDA

2006

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

126-
Fixed for Floating Interest Rate Swaps

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit

Rate Annualized, known as the average (“Media”) of the

DIOVER- EXTRA Group as published by CETIP (Câmara de

Custódia e Liquidação) (the “Overnight CDI Rate”) for such

date; provided that (i) such rate is published not later than

12:00 p.m. on the Brazil Business Day next following such

Reset Date and (ii) any adjustments made by CETIP to such

rate at any time later than the end of the business day on such

Reset Date shall not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate

(including as a result of the proviso above), CDI for the

relevant Reset Date will be the overnight deposit rate published

for such date by the BM&F in accordance with its rules (see

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indic

a doreFinanceiros1.asp, or any successor page).

If the BM&F does not publish such a rate for such date, CDI for

the relevant Reset Date shall be determined jointly by the

parties.

If the parties do not agree on a determination of such rate

within one Brazil Business Day following the relevant Reset

Date, CDI shall be determined through a CDI Reference Dealer

Poll as described herein.

If CDI for a Reset Date is not so determined by a CDI

Reference Dealer Poll, BRL-CDI-Reference Dealers shall

apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation

Agent shall conduct up to four dealer polls commencing on the

Brazil Business Day following the relevant Reset Date, in each

case by requesting each of the CDI Reference Dealers to

provide a quotation of the CDI.

If at least four such quotations are obtained from CDI

Reference Dealers in any such poll, the highest and lowest

quotations will be disregarded and CDI for the relevant Reset

Date will equal the arithmetic mean of the remaining

quotations.

If fewer than four such quotations are obtained from a poll, the

Calculation Agent shall conduct additional such polls until four

such quotations are obtained in any poll; provided that the

Calculation Agent shall not conduct more than four polls in the

aggregate (with not more than two polls on any day and with

such polls conducted over not more than two Brazil Business

Days).

If four quotations are not obtained from any of such four polls,

CDI shall CDI shall not be determined by a CDI Reference

Dealer Poll.

127-
Fixed for Floating Interest Rate Swaps

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial

market holiday by the BM&F.

Definition of USD-SOFR-COMPOUND

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the

USD-SOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or

after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR

were references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of

OBFR has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be

permanently or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or

other official sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to,

Swap Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period

occurring on or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if

references to SOFR were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if

necessary, in accordance with the method set forth in Section 8.1(a):

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in

the relevant Calculation Period;

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

128-
Fixed for Floating Interest Rate Swaps

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was

published on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi;

“d” is the number of calendar days in the relevant Calculation Period;

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following

events:

(d) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR)

announcing that it has ceased or will cease to provide SOFRpermanently or indefinitely, provided that, at that

time, there is no successor administrator that will continue to provide SOFR;

(e) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely,

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(f) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to,

but need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor

administrator of SOFR) ceases to publish SOFR or the date as of which SOFRmay no longer be used; and

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York,

as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and

published on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single

rate, the mid-point of the short-term interest rate target range set by the Federal Open Markets Committee and

published on the Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target

range and the lower bound of the target range, rounded, if necessary, in accordance with the method set forth in

Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at

http://www.federalreserve.gov, or any Successor Source.

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day

Convention:

No Adjustment

Termination Date Business Day

Convention:

No Adjustment

Period End Dates: Payment Dates

129-
Fixed for Floating Interest Rate Swaps

Payment Date Business Day

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub

periods

Designated Maturities for Linear

Interpolation:

Tenors quoted next shorter and

longer than the actual Calculation

Period length

Compounding: Inapplicable

Compounding Business Day

Convention:

Same as Business Day Convention

for Period End Dates

Method of Averaging: Weighted Average or Unweighted

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat

Compounding, Spread Exclusive

Compounding

ISDA MTM Matrix: Applicable (to Mark-to-Market

Cross Currency Swaps)

 Initial Exchange Date: Effective Date

Initial Exchange Date Business Day

Convention:

Following

Interim Exchange Date Business

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day

Convention:

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date

Business Day Convention:

Following

Mandatory Early Termination Date

Business Day Convention

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement

Currency (TARGET Settlement Day

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration

Time

Other than Expiration Date, the

Expiration Time

Fixed Floating Requirements and Defaults

130-
Fixed for Floating Interest Rate Swaps

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement

Matrix:

Applicable, if cross currency swap

with currency pair included in

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days before

Mandatory/Optional Early

Termination Date but same day for

CAD, GBP or DKK with Floating

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the

Business Day Location Table, plus

additional days required by for

fixings under the Floating Rate

Option(s)

Cash Settlement Payment Date

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as

Notional Amount, otherwise as

specified in ISDA Master

Agreement, or otherwise same as

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional

Early Termination Only)

131-
Fixed for Floating Interest Rate Swaptions

Fixed for Floating Interest Rate Swaptions

Terms and Conditions

Summary: This covers fixed for floating interest rate swaptions

(“Fixed for Floating Interest Rate Swaptions”).

Limitations on Available Selections and Default

Settings:

The terms under which a Fixed for Floating Interest

Rate Swaption may be traded are as specified below in

these terms and conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies.

Since each national market has its own peculiarities, the

“Available Terms” and/or “Default Terms” may vary by

currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY).

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Terms of “Underlying Swap Transaction”:

Notional Amount (“notional”): An amount in one of the Available Currencies (see

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance

132-
Fixed for Floating Interest Rate Swaptions

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date

as a number of Business Days or Banking Days from the

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Termination

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

Compounding Dates In the event Compounding is selected, as selected by the

133-
Fixed for Floating Interest Rate Swaptions

parties.

Compounding Method (Compounding OR Flat

Compounding):

In the event Compounding is selected, as selected by the

parties.

Period End Dates Business Days: As specified by the parties from among the Available

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Swaption Terms:

Option Style: As specified by the parties.

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller's Agent: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Days for Payments: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Swaption Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or

Multiple Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is

specified.

Integral Multiple: As specified by the parties if Partial Exercise or

Multiple Exercise is specified.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is

specified.

Fallback Exercise: As specified by the parties (if required) .

Swaption Settlement Terms:

Cash Settlement As specified by the parties.

Physical Settlement As specified by the parties.

Cleared Physical Settlement As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is

134-
Fixed for Floating Interest Rate Swaptions

applicable to a single currency Underlying Swap

Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is

applicable and the Underlying Swap Transaction is a

cross-currency Transaction where the currency pair is

included in the Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days

Convention:

If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the

parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or

“Cash Price—Alternate” apply, as specified by the

parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield

Curve—Adjusted,” “Par Yield Curve—Unadjusted” or

“Zero Coupon Curve—Adjusted” apply, as specified by

the parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix parties from

Available Cash Settlement Methods, directly or via the

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

135-
Fixed for Floating Interest Rate Swaptions

Fixed Floating Swaptions Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Swaptions Underlying Swap Transaction Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Swaptions Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective

Date

Latest Effective Date Earliest Termination

Date

Latest Termination

Date

N/A N/A N/A N/A N/A

136-
Fixed for Floating Interest Rate Swaptions

Fixed Floating Swaptions Underlying Swap Transaction Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 10,000,000 1,000,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Swaptions Underlying Swap Transaction Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap

Rate-ICAP-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate- All quoted tenors N/A Per ISDA 2006 N

137-
Fixed for Floating Interest Rate Swaptions

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

Reuters

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReutuersCAD-TBILLReuters

All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBASwapMarketCADLIBOR-BBASwapMarker

All quoted tenors N/A Per ISDA 2006 N

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

138-
Fixed for Floating Interest Rate Swaptions

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

EUR-Annual Swap

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

139-
Fixed for Floating Interest Rate Swaptions

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

140-
Fixed for Floating Interest Rate Swaptions

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

GBP-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM All quoted tenors N/A Per ISDA 2006 N

141-
Fixed for Floating Interest Rate Swaptions

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

(All Banks)-Bloomberg

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

142-
Fixed for Floating Interest Rate Swaptions

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap

Rate-11:15-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

143-
Fixed for Floating Interest Rate Swaptions

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference All quoted tenors N/A Per ISDA 2006 N

144-
Fixed for Floating Interest Rate Swaptions

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

Banks

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

Fixed Floating Swaption Underlying Swap Transaction Requirements and Defaults

Variable Requirement Default

Effective Date Business Day No Adjustment

145-
Fixed for Floating Interest Rate Swaptions

Convention

Termination Date Business Day

Convention

No Adjustment

Period End Dates Payment Dates

Payment Date Business Day

Convention

Modified Following

Linear Interpolation Applicable only to long or short stub

periods

Designated Maturities for Linear

Interpolation

Tenors quoted next shorter and

longer than the actual Calculation

Period length

Compounding Inapplicable

Compounding Business Day

Convention

Same as Business Day Convention

for Period End Dates

Method of Averaging Weighted Average or Unweighted

Average

Unweighted Average

Compounding Method Compounding or Flat Compounding Compounding

Fixed Floating Swaption Requirements and Defaults

Setting Requirement Default

Option Style: American, Bermuda, European

Premium Payment Date Business

Day Convention

Following

Fixed Floating Swaption Requirements and Defaults

(Swaption—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day Banking Day for cash Settlement

Currency (TARGET Settlement Day

for EUR)

Latest Exercise Time On Expiration Date, the Expiration

Time

Other than Expiration Date, the

Expiration Time

Automatic Exercise

Threshold

Fixed Floating Swaption Requirements and Defaults

(Swaption Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount

ISDA Settlement Matrix Applicable, if single currency swap

with Currency included in Matrix

ISDA Cross Currency Settlement

Matrix

Applicable, if cross currency swap

with currency pair included in

Matrix

Cash Settlement Valuation Time

Cash Settlement Valuation Date Two Valuation Business Days before

Mandatory/Optional Early

146-
Fixed for Floating Interest Rate Swaptions

Termination Date but same day for

CAD, GBP or DKK with Floating

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day Banking Days in locations per the

Business Day Location Table, plus

additional days required by for

fixings under the Floating Rate

Option(s)

Cash Settlement Payment Date

Business Day Convention

Following

Cash Settlement Method Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency For single currency, same as

Notional Amount, otherwise as

specified in ISDA Master

Agreement, or otherwise same as

Notional Amount for Fixed Amount

Settlement Rate ISDA Source/Other Price

Source/Reference Banks

Cash Settlement Reference Banks Fallbacks per ISDA 2006

Definitions

Quotation Rate bid

ask

mid

147-
Forward Rate Agreements (Uncleared)

Forward Rate Agreements (Uncleared)

Terms and Conditions

Summary: This covers uncleared forward rate agreements

(“Forward Rate Agreements” or “FRAs”).

Limitations on Available Selections and Default

Settings:

The terms under which an FRA may be traded are as

specified in these terms and conditions and in the

attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made. For these

purposes “TARGET”/EUTA is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: These terms and conditions incorporate by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.2.4 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: None

148-
Forward Rate Agreements (Uncleared)

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see

below) agreed by the parties.

Effective Date (“adjustedEffectiveDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“adjustedTerminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Fixed Rate Payer (“buyerPartyReference”): As specified by the parties.

Fixed Rate (“fixedRate”): As specified by the parties.

Floating Rate Payer (“sellerPartyReference”): As specified by the parties.

Payment Date (“paymentDate”): As specified by the parties.

Floating Rate Option (“floatingIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Spread: As specified by the parties.

Floating Rate Day Count Fraction

(“dayCountFraction”):

As specified by the parties.

Reset Date: The Effective Date.

Discounting (“fraDiscounting”): As specified by the parties.

Business Days: As specified by the parties.

Calculation Agent: As specified by the parties.

FRA Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO

FRA Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

149-
Forward Rate Agreements (Uncleared)

FRA Available Day Count Fractions

ISDA Name

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

1/1

FRA Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 500,000,000 10,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

FRA Floating Rate Options and Defaults

Currency Floating Rate

Option (any

from ISDA

2006 if not

specified)

Available

Tenors

Default

Tenor

Default Day

Count Fraction

Additional

Business

Day

Locations

Default for

Currency

(Y/N)

AUD Actual/360 N

CAD

CHF

CZK Actual/360 N

DKK

EUR

GBP

HUF

ILS ILSTELBOR01-

Reuters

All quoted N Per ISDA 2006 N Y

JPY

NOK

NZD NZD-BBRFRA

All quoted N Per ISDA 2006 N Y

PLN

150-
Forward Rate Agreements (Uncleared)

SEK

USD USD-LIBORBBA3M Actual/360 GBLO Y

ZAR

FRA Discounting Types

ISDA Name FpML Default for (Currency)

FRA Discounting ISDA All but AUD

FRA Yield Discounting AFMA AUD

None NONE None

151-
Forward Rate Agreements – CME Cleared

Forward Rate Agreements – CME Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared

by the Chicago Mercantile Exchange Inc. (“CME”).

Limitations on Available Selections and Default

Settings:

The terms under which a Forward Rate

Agreement/CME Cleared may be traded are as specified

in these terms and conditions, which incorporate the

CME Rulebook, in particular Chapters 900 and 901

(and any successor provisions) and the CME Cleared

IRS Product Scope (or any successor).

By electing to trade a Forward Rate

Agreement/CME Cleared, participants are

representing that they are familiar with the CME

Rulebook and the limitations on transaction terms

contained in it.

Incorporated Standards: This contract description incorporates by reference the

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain

additional standards, such as the 2006 ISDA

Definitions.

Be aware that the timing of effectiveness of

amendments or supplements to the ISDA standards

may vary between bilateral and CME contracts,

since the CME may reserve the right to select when

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product(s): N/A

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected

by, or otherwise binding on, the parties in accordance

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties

subject to the limitations in the CME Rulebook.

This may vary from period to period to the extent

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and

Floating Rate Options for which variable notionals are

permitted.

Currency: One of the currencies permitted for the relevant

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Settlement: As per the CME Rulebook, in advance or arrears.

Termination Date: As agreed by the parties, subject to any minimum or

maximum tenor in the CME Rulebook.

152-
Forward Rate Agreements – CME Cleared

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to

limitations based on other terms of the transaction.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in

the CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME

Rulebook, which may provide a more limited list of

available options for a Currency than does the

Definition Set

Designated Maturity: As per the CME Rulebook, which may provide a more

limited set of Designated Maturities than does the

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

FRA Discounting: As per CME Rulebook, which may require different

discounting conventions depending on payment

convention.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

153-
Forward Rate Agreements – LCH Cleared

Forward Rate Agreements – LCH Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared

by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default

Settings:

The terms under which a Forward Rate

Agreement/LCH Cleared may be traded are as specified

in these terms and conditions, which incorporate the

LCH Rulebook, in particular Schedule 4A (or any

successor provisions).

By electing to trade a Forward Rate

Agreement/LCH Cleared, participants are

representing that they are familiar with the LCH

Rulebook and the limitations on transaction terms

contained in it.

Incorporated Standards: This contract description incorporates by reference the

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain

additional standards, such as the 2000 ISDA Definitions

and 2006 ISDA Definitions.

Be aware that the timing of effectiveness of

amendments or supplements to the ISDA standards

may vary between bilateral and LCH contracts,

since the LCH may reserve the right to select when

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected

by, or otherwise binding on, the parties in accordance

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and

Floating Rate Options for which variable notionals are

permitted.

Currency: One of the currencies permitted for the relevant

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to the limitation in

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to the limitation in

the LCH Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in

the LCH Rulebook, which may limit the earliest or

latest day on which such fees may be paid based on

154-
Forward Rate Agreements – LCH Cleared

Currency or other factors.

Business Days: As per the LCH Rulebook, which may require certain

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in

the LCH Rulebook.

Floating Rate Payer: As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH

Rulebook, which may provide a more limited list of

available options for a Currency than does the

Definition Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more

limited set of Designated Maturities than does the

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

FRA Discounting: As per the LCH Rulebook.

Discount Rate As per the LCH Rulebook.

FRA Yield Discounting: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law

applicable to the Transaction.

155-
iBoxx Index Swaps

iBoxx Index Swaps

Terms and Conditions

Summary: This covers iBoxx index swaps (each, an “iBoxx Index

Swap”) on a bilateral basis.

Limitations on Available Selections and Default

Settings:

The terms under which an iBoxx Index Swap may be

traded are shown below and in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency and any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default ” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) the iBoxx Index Transaction Standard Terms

Supplement (current version or as specified by the

parties) (“iBoxx STS”)

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Total Return Swap Index

ISDA OTC Sub-Product: iBoxx

ISDA OTC Transaction type: N/A

156-
iBoxx Index Swaps

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): The Business Day following the Trade Date, unless

otherwise agreed by the parties.

Effective Date Business Days: The Business Days specified below, unless otherwise

specified by the parties.

Effective Date Business Day Convention: The Business Day Convention specified below, unless

otherwise specified by the parties.

Termination Date (“terminationDate”): As specified in the iBoxx STS, unless otherwise agreed

by the parties.

Notional Amount (“notional”): An amount specified by the parties, which will be in the

relevant Settlement Currency (unless otherwise agreed

by the parties).

Index As specified by the parties from among the Available

Indices.

Index Buyer: As agreed by the parties.

Index Seller: As agreed by the parties.

Calculation Agent: As specified in the iBoxx STS, unless otherwise agreed

by the parties.

Settlement Currency: The currency in which the Index is denominated.

Business Days: As specified in the iBoxx STS for the relevant

Settlement Currency, unless otherwise agreed by the

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): Index Buyer

Floating Rate Payer Period End Dates: As specified in the iBoxx STS, unless otherwise agreed

by the parties

Floating Rate Payer Payment Dates: As specified in the iBoxx STS, unless otherwise agreed

by the parties

Linear Interpolation: As specified in the iBoxx STS, unless otherwise agreed

by the parties

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation

applies, per the Definitions unless otherwise agreed by

the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation

applies per the Definitions unless otherwise agreed by

the parties.

Floating Rate Option: As specified by the parties.

Floating Rate for the initial Calculation Period As specified by the parties.

Spread: As specified by the parties.

Designated Maturity (“indexTenor”) As specified in the iBoxx STS, unless otherwise agreed

by the parties.

Floating Rate Day Count Fraction: As specified in the iBoxx STS, unless otherwise agreed

by the parties.

Reset Dates (“resetDate”): As specified in the iBoxx STS, unless otherwise agreed

by the parties.

Payment Dates Business Days: The Business Days specified above, unless otherwise

agreed by the parties.

Business Days (Other Than Payment Dates): The Business Days specified above, unless otherwise

agreed by the parties.

Business Day Convention (Other Than Payment Dates): The Business Day Convention specified above, unless

otherwise specified by the parties.

157-
iBoxx Index Swaps

Index Return Amount:

Index Return Amount Payment Date: As specified in the iBoxx STS, unless otherwise agreed

by the parties.

Initial Fixing Amount: As agreed by the parties and rounded as specified in the

iBoxx STS (unless the parties otherwise agree).

Final Fixing Amount: As specified in the iBoxx STS, unless otherwise agreed

by the parties.

Scheduled Final Fixing Date: As specified by the parties, subject to the Business Day

Convention (unless the parties otherwise agree).

Final Fixing Date: As specified in the iBoxx STS, unless otherwise agreed

by the parties.

Index Adjustment and Index Discontinuance Events: As specified in the iBoxx STS, unless otherwise agreed

by the parties.

iBoxx Index Available Currencies and Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

EUR Euro EUTA and GBLO

GBP Sterling EUTA and GBLO

USD United States Dollars USNY

iBoxx Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

iBoxx Index Available Indices

Name Currency

iBoxx EUR Corporates EUR

iBoxx EUR Liquid High Yield Index EUR

iBoxx GBP Corporates GBP

iBoxx USD Domestic Corporates USD

iBoxx USD Liquid High Yield Index USD

iBoxx USD Liquid Investment Grade Index USD

iBoxx USD Liquid Leveraged Loans Index USD

iBoxx Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

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iBoxx Index Swaps

iBoxx Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional Business

Day Locations

USD-Annual Swap

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

159-
iBoxx Index Swaps

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

160-
iBoxx Index Swaps

EUR USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

161-
iBoxx Index Swaps

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

162-
iBoxx Index Swaps

GBP-Semi-Annual

Swap Rate-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

163-
Inflation Swaps

Inflation Swaps

Terms and Conditions

Summary: This covers inflation swaps (“Inflation Swaps”).

Limitations on Available Selections and Default

Settings:

The terms under which an Inflation Swap may be traded

are as specified in these terms and conditions or in the

attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made. For these

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default ” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) 2008 ISDA Inflation Derivatives Definitions,

including Supplements 1 and 2 thereto and any other

Supplements through Trade Date

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Inflation

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance

164-
Inflation Swaps

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date

as a number of Business Days or Banking Days from the

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Termination

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Fixed Amount: As specified by the parties (in lieu of all items other

than Payment Date(s)).

Fixed Rate Payment Date (“unadjustedPaymentDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate (“floatingRate”): Notwithstanding the 2006 Definitions, “Floating Rate”

will equal:

rounded in accordance with the 2008 ISDA Inflation

Derivatives Definitions and subject to the Negative

Interest Rate Treatment.

Index: As specified by the parties from among the Available

Inflation Indices.

Index_Initial (“initialIndexLevel”): As specified by the parties.

Index_Final: The Index level for the Reference Month(s) specified by

the parties in the Reference Year(s) specified by the

parties.

Reference Month(s): As specified by the parties.

Reference Year(s) As specified by the parties.

Day Count Fraction: 1/1

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

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Inflation Swaps

Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Negative Interest Rates

(“negativeInterestRateMethod”):

As selected by the parties from among the Available

Treatments.

Related Bond: The bond, if any, specified by the parties as such.

Fallback Bond (“fallbackBondApplicable”): As selected by the parties if no Related Bond is selected.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

AUD Australian Dollar AUSY

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

USD United States Dollars USNY

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective

Date

Latest Effective Date Earliest Termination

Date

Latest Termination

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

Inflation Swap Indices

166-
Inflation Swaps

Index Name Description

AUD-CPI Australia: AUD – Non-revised Consumer Price Index (CPI)

AUS-CPI Austria: AUS – Non-revised Consumer Price Index (CPI)

AUS-HICP Austria: AUS – Non-revised Harmonised Indices of Consumer Prices (HICP)

BLG-CPI-GI Belgium: BLG – Non-revised Consumer Price Index - General Index (CPI)

BLG-CPI-HI Belgium: BLG – Non-revised Consumer Price Index - Health Index (CPI)

BLG-HICP Belgium: BLG – Non-revised Harmonised Consumer Price Index (HICP)

DEM-CPI Germany: DEM – Non-revised Consumer Price Index (CPI)

DEM-CPI-NRW Germany: DEM – Non-revised Consumer Price Index for North Rhine-Westphalia

DEM-HICP Germany: DEM – Non-revised Harmonised Consumer Price Index (HICP)

ESP-CPI Spain: ESP – National-Non-revised Consumer Price Index (CPI)

ESP-HICP Spain: ESP – Harmonised-Non-revised Consumer Price Index (HICP)

ESP-R-CPI Spain: ESP – National-Revised Consumer Price Index (CPI).

ESP-R-HICP Spain: ESP – Harmonised-Revised Consumer Price Index (HICP)

EUR-AI-CPI European Union: EUR – All Items-Non-revised Consumer Price Index

EUR-AI-R-CPI European Union: EUR – All Items–Revised Consumer Price Index

EUR-EXT-CPI European Union: EUR – Excluding Tobacco-Non-revised Consumer Price Index

EUR-EXT-RCPI European Union: EUR – Excluding Tobacco–Revised Consumer Price Index

FRC-EXT-CPI France: FRC – Excluding Tobacco-Non-Revised Consumer Price Index

FRC-HICP France: FRC – Harmonised-Non-revised Consumer Price Index (HICP)

GRD-CPI Greece: GRD – Non-revised Consumer Price Index (CPI)

GRD-HICP Greece: GRD – Harmonised-Non-revised Consumer Price Index (HICP)

ILS-CPI Israel: ILS – Non-revised Consumer Price Index (CPI)

IRL-CPI Ireland: IRL – Non-revised Consumer Price Index (CPI)

IRL-HICP Ireland: IRL – Harmonised-Non-revised Consumer Price Index (HICP)

ITL-BC-EXT- Italy: ITL – Inflation for Blue Collar Workers and Employees–Excluding Tobacco Consumer

167-
Inflation Swaps

CPI Price Index

ITL-BC-INTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees-Including Tobacco Consumer

Price Index

ITL-HICP Italy: ITL – Non-revised Harmonised Consumer Price Index (HICP)

ITL-WC-EXTCPI Italy: ITL – Whole Community –Excluding Tobacco Consumer Price Index

ITL-WC-INTCPI Italy: ITL – Whole Community –Including Tobacco Consumer Price Index

LUX-CPI Luxembourg: LUX – Non-revised Consumer Price Index (CPI)

LUX-HICP Luxembourg: LUX – Harmonised-Non-revised Consumer Price Index (HICP)

NLG-CPI Netherlands: NLG – Non-revised Consumer Price Index (CPI)

NLG-HICP Netherlands: NLG – Harmonised-Non-revised Consumer Price Index (HICP)

POR-CPI Portugal: POR – Non-revised Consumer Price Index (CPI)

POR-HICP Portugal: POR – Harmonised-Non-revised Consumer Price Index (HICP)

UK-HICP United Kingdom: GBP – Harmonised-Non-revised Consumer Price Index (HICP)

UK-RPI United Kingdom: GBP – Non-revised Retail Price Index (UKRPI)

UK-RPIX United Kingdom: GBP – Non-revised Retail Price Index Excluding Mortgage Interest

Payments (UKRPIX)

USA-CPI-U United States: USA – Non-revised Consumer Price Index – Urban (CPI-U)

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Fallback Bond: Applicable

168-
Interest Rate Caps/Floors

Interest Rate Caps/Floors

Terms and Conditions

Summary: This covers interest rate caps and floors (“Interest Rate

Caps/Floors”).

Limitations on Available Selections and Default

Settings:

The terms under which an Interest Rate Cap/Floor may

be traded are shown below oras specified in these terms

and conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made. For these

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact. These are shown as

“Default” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies. Since each national market has its

own peculiarities, the “Available Terms” and/or

“Default Terms” may vary by currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY). In that case the default

settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Cap/Floor

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date

169-
Interest Rate Caps/Floors

as a number of Business Days or Banking Days from the

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Termination

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Fixed Amount 1:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Cap Rate: As specified by the parties.

Floor Rate: As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

170-
Interest Rate Caps/Floors

Compounding Dates: In the event Compounding is selected, as selected by the

parties.

Compounding Method (Compounding OR Flat

Compounding):

In the event Compounding is selected, as selected by the

parties.

Period End Dates Business Days: As specified by the parties from among the Available

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can

terminate.

Buyer: As specified by the parties, if only one party can

terminate.

Seller’s Agent: As specified by the parties, if only one party can

terminate.

Business Days for Payments: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American

or Bermuda.

171-
Interest Rate Caps/Floors

Minimum Notional Amount: As specified by the parties if Partial Exercise or

Multiple Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is

specified.

Integral Multiple: As specified by the parties if Partial Exercise or

Multiple Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is

applicable.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days

Convention:

If Cash Settlement is applicable, as specified by the

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the

parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or

“Cash Price—Alternate” apply, as specified by the

parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield

Curve—Adjusted,” “Par Yield Curve—Unadjusted” or

“Zero Coupon Curve—Adjusted” apply, as specified by

the parties from Available Cash Settlement Methods,

directly or via the ISDA Settlement Matrix parties from

Available Cash Settlement Methods, directly or via the

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Cap/Floor Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

EUR Euro EUTA

GBP Pound Sterling GBLO

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO

172-
Interest Rate Caps/Floors

Cap/Floor Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Cap/Floor Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Cap/Floor Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Cap/Floor Earliest and Latest Effective and Termination Dates

Currency Earliest Effective

Date

Latest Effective Date Earliest Termination

Date

Latest Termination

Date

N/A N/A N/A N/A N/A

Cap/Floor Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Cap/Floor Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count

Fraction

Additional

Business Day

Locations

EUR USD-Basis

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap All quoted tenors N/A Per ISDA 2006 N

173-
Interest Rate Caps/Floors

Rate-10:00-Bloomberg

EUR-Annual Swap

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

174-
Interest Rate Caps/Floors

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

175-
Interest Rate Caps/Floors

USD-Annual Swap

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

176-
Interest Rate Caps/Floors

Both Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to

Both Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual All quoted tenors N/A Per ISDA 2006 N

177-
Interest Rate Caps/Floors

Swap Rate-Reference

Banks

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference

Banks

All quoted tenors N/A Per ISDA 2006 N

Cap/Floor Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day

Convention:

No Adjustment

Termination Date Business Day

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub

periods

Designated Maturities for Linear

Interpolation:

Tenors quoted next shorter and

longer than the actual Calculation

Period length

Compounding: Inapplicable

Compounding Business Day

Convention:

Same as Business Day Convention

for Period End Dates

Method of Averaging: Weighted Average or Unweighted

Average

Unweighted Average

Compounding Method: Compounding or Flat Compounding Compounding

 Initial Exchange Date: Effective Date

Initial Exchange Date Business Day

Convention:

Following

Interim Exchange Date Business

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day

Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

178-
Interest Rate Caps/Floors

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date

Business Day Convention:

Following

Mandatory Early Termination Date

Business Day Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement

Currency (TARGET Settlement Day

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration

Time

Other than Expiration Date, the

Expiration Time

Cap/Floor Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Settlement Matrix: Applicable, if single currency swap

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days before

Mandatory/Optional Early

Termination Date but same day for

CAD, GBP or DKK with Floating

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the

Business Day Location Table, plus

additional days required by for

fixings under the Floating Rate

Option(s)

Cash Settlement Payment Date

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as

Notional Amount, otherwise as

179-
Interest Rate Caps/Floors

specified in ISDA Master

Agreement, or otherwise same as

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional

Early Termination Only)

180-
Interest Rate Swaps – ASX Cleared

Interest Rate Swaps – ASX Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by ASX Clear

(Futures) Pty Limited (“ASX”) (such swaps, “Interest

Rate Swaps – ASX Cleared”).

Limitations on Available Selections and Default

Settings:

The terms under which an Interest Rate Swap – ASX

Cleared may be traded are as specified in these terms

and conditions, which incorporate the ASX OTC

Rulebook and the ASX OTC Handbook (collectively,

the “ASX Rules”), in particular Schedule 1 to the ASX

OTC Handbook (and any successor provisions).

By electing to trade a Single Currency Fixed for

Floating Interest Rate Swap – ASX Cleared,

participants are representing that they are familiar

with the ASX Rules and the limitations on

transaction terms contained therein.

In particular, participants represent that they are

familiar with the limitations on transactions for US

Persons set forth in Section 4.3 of the ASX OTC

Handbook (or any successor provisions).

Incorporated Standards: This contract description incorporates by reference the

ASX Rules as in effect from time to time.

The ASX Rules themselves may incorporate certain

additional standards, such as the 2006 ISDA

Definitions.

Be aware that the timing of effectiveness of

amendments or supplements to the ISDA standards

may vary between bilateral and ASX-cleared

contracts, since ASX may reserve the right to select

when and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the ASX Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2006, as amended)

binding on the parties in accordance with the ASX

Rules.

Notional Amount: An amount in Currency determined by the parties

subject to limitations in the ASX Rules.

This may vary from period to period to the extent

permitted by the ASX Rules.

The ASX Rules may limit the Currencies and Floating

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant

transaction type per the ASX Rules.

Business Days: As per the ASX Rules, which may require certain

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the

available Business Day locations which can be elected.

Business Day Convention: As per the ASX Rules.

Trade Date: As per the ASX Rules.

181-
Interest Rate Swaps – ASX Cleared

Effective Date: As per the ASX Rules.

Termination Date: As agreed by the parties, subject to any minimum or

maximum tenor in the ASX Rules.

Termination Date Business Day Convention: As per the ASX Rules, and thus subject to limitations

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the ASX Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the

ASX Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the

ASX Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in

the ASX Rules and any other restrictions in the ASX

Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

ASX Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

ASX Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as

determined by the parties, subject to the ASX Rules,

which may provide a more limited list of available

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

ASX Rules, which may provide a more limited set of

Designated Maturities than does the related rate source

page.

Spread: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as

determined by the parties, subject to any minimum or

maximum rate and per-period variability permitted by

the ASX Rules and any other restrictions in the ASX

Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

ASX Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

ASX Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

ASX Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as

determined by the parties.

Compounding: As per the ASX Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations

in the ASX Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations

in the ASX Rules.

182-
Interest Rate Swaps – ASX Cleared

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations

in the ASX Rules.

183-
Interest Rate Swaps – Eurex Cleared

Interest Rate Swaps – Eurex Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Eurex

Clearing AG (“Eurex”) (such swaps, “Interest Rate

Swaps – Eurex Cleared”).

Limitations on Available Selections and Default

Settings:

The terms under which an Interest Rate Swap – Eurex

Cleared may be traded are as specified in these terms

and conditions, which incorporate the Eurex Clearing

Conditions (Clearing-Bedingungen) (collectively, the

“Eurex Rules”).

By electing to trade an Interest Rate Swap – Eurex

Cleared, participants are representing that they are

familiar with the Eurex Rules and the limitations on

transaction terms contained therein.

Incorporated Standards: This contract description incorporates by reference the

Eurex Rules as in effect from time to time.

The Eurex Rules themselves may incorporate certain

additional standards, such as the 2000 ISDA

Definitions, the 2006 ISDA Definitions or the

Rahmenvertrag für Finanztermingeschäfte (“DRV”). Be

aware that the timing of effectiveness of amendments

or supplements to the ISDA standards may vary

between bilateral and Eurex-cleared contracts, since

Eurex may reserve the right to select when and how

such changes become effective. Also be aware that

Eurex has elected to make the 2006 ISDA Definitions

applicable to certain classes of transactions,

regardless of the parties’ election to use the 2000

ISDA Definitions.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, Inflation, OIS and Basis

Further Limitations: Must comply with the Eurex Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 Definitions, ISDA

2006 Definitions, each as amended, the DRV) binding

on the parties in accordance with the Eurex Rules.

Notional Amount: An amount in Currency determined by the parties

subject to limitations in the Eurex Rules.

This may vary from period to period to the extent

permitted by the Eurex Rules.

The Eurex Rules may limit the Floating Rate Options

and other terms for which variable notionals are

permitted.

184-
Interest Rate Swaps – Eurex Cleared

Currency: One of the currencies permitted for the relevant

transaction type per the Eurex Rules.

Business Days: As per the Eurex Rules, which may require certain

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the

available Business Day locations which can be elected.

Business Day Convention: As per the Eurex Rules.

Trade Date: As per the Eurex Rules.

Effective Date: As per the Eurex Rules.

Termination Date: As agreed by the parties, subject to any minimum or

maximum tenor in the Eurex Rules for the related type

of transaction and Currency.

Termination Date Business Day Convention: As per the Eurex Rules, and thus subject to limitations

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the Eurex Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the

Eurex Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the

Eurex Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in

the Eurex Rules and any other restrictions in the Eurex

Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

Eurex Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

Eurex Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as

determined by the parties, subject to the Eurex Rules,

which may provide a more limited list of available

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

Eurex Rules, which may provide a more limited set of

Designated Maturities than does the related rate source

page.

Spread: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as

determined by the parties, subject to any minimum or

maximum rate and per-period variability permitted by

the Eurex Rules and any other restrictions in the Eurex

Rules.

185-
Interest Rate Swaps – Eurex Cleared

Reset Dates: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

Eurex Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

Eurex Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as per the

Eurex Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate

swap or for each floating leg of a basis swap, as

determined by the parties.

Compounding: As per the Eurex Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations

in the Eurex Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations

in the Eurex Rules.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to any limitations

in the Eurex Rules.

186-
Interest Rate Swaps – JSCC Cleared

Interest Rate Swaps – JSCC Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Japan Securities

Clearing Corporation (“JSCC”) (such swaps, “Interest Rate

Swaps – JSCC Cleared”).

Limitations on Available Selections and

Default Settings:

The terms under which an Interest Rate Swap – JSCC Cleared

may be traded are as specified in these terms and conditions,

which incorporate the JSCC Interest Rate Swap Clearing

Business Rules (金金スススス取取取取取取に関すす取取業

法法)and the JSCC Handling Procedures of Interest Rate Swap

Business Rules (金金スススス取取取取取取に関すす取取業

法法の取取い) (collectively, the “JSCC Rules”).

By electing to trade an Interest Rate Swap – JSCC Cleared,

participants are representing that they are familiar with

the JSCC Rules and the limitations on transaction terms

contained therein.

In particular, participants represent that they are familiar

with the limitations on transactions for US Persons set forth

in Article 47-2 of the JSCC Handling Procedures of Interest

Rate Swap Business Rules (or any successor provisions).

Incorporated Standards: This contract description incorporates by reference the JSCC

Rules as in effect from time to time.

The JSCC Rules themselves may incorporate certain additional

standards, such as the 2000 ISDA Definitions or 2006 ISDA

Definitions.

Be aware that the timing of effectiveness of amendments or

supplements to the ISDA standards may vary between

bilateral and JSCC-cleared contracts, since JSCC may

reserve the right to select when and how such changes

become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the JSCC Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 or ISDA 2006, each as

amended) binding on the parties in accordance with the JSCC

Rules.

Notional Amount: An amount in Currency determined by the parties subject to

limitations in the JSCC Rules.

This may vary from period to period to the extent permitted by

the JSCC Rules.

The JSCC Rules may limit the Currencies and Floating Rate

Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant transaction

type per the JSCC Rules.

Business Days: As per the JSCC Rules, which may require certain Business

Days be applicable on a per Currency or Floating Rate Option

Basis and may otherwise limit the available Business Day

locations which can be elected.

Business Day Convention: As per the JSCC Rules.

187-
Interest Rate Swaps – JSCC Cleared

Trade Date: As per the JSCC Rules.

Effective Date: As per the JSCC Rules.

Termination Date: As agreed by the parties, subject to any minimum or maximum

tenor in the JSCC Rules.

Termination Date Business Day Convention: As per the JSCC Rules, and thus subject to limitations based on

other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the JSCC Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the JSCC

Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the JSCC

Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or maximum

rate and per-period variability permitted in the JSCC Rules and

any other restrictions in the JSCC Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as determined by the

parties, subject to the JSCC Rules, which may provide a more

limited list of available options for a Currency than does the

Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as per the JSCC Rules,

which may provide a more limited set of Designated Maturities

than does the related rate source page.

Spread: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as determined by the

parties, subject to any minimum or maximum rate and perperiod variability permitted by the JSCC Rules and any other

restrictions in the JSCC Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as per the JSCC Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined by the

parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate swap or

for each floating leg of a basis swap, as determined by the

parties.

Compounding: As per the JSCC Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations in the

JSCC Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations in the

JSCC Rules.

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations in the

JSCC Rules.

188-
IOS Index Contracts

IOS Index Contracts

Terms and Conditions

Summary: This covers Markit IOS Fixed for Floating Swap

Transactions (the “Contracts”).

Limitations on Available Selections and Default

Settings:

The terms under which the Contracts may be traded are

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) the Markit IOS Standard Terms Supplement (March

12, 2010 version) or any subsequent Standard Terms

Supplement (the “Standard Terms”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: IOS

ISDA OTC Transaction Type: IOS

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit IOS Index series, as specified by the

parties from all then-available series (to the extent such

series is not then a narrow-based index within the

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:

Initial Payment: Per the Standard Terms.

189-
IOS Index Contracts

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.

190-
MBX Index Contracts

MBX Index Contracts

Terms and Conditions

Summary: This covers Markit MBX Fixed for Floating Swap

Transactions (the “Contracts”).

Limitations on Available Selections and Default

Settings:

The terms under which the Contracts may be traded are

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit MBX Standard Terms Supplement

(September 12, 2010 version) or any subsequent

Standard Terms Supplement (the “Standard

Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: MBX

ISDA OTC Transaction Type: MBX

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit MBX Index series, as specified by the

parties from all then-available series (to the extent such

series is not then a narrow-based index within the

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

191-
MBX Index Contracts

Initial Payment:

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.

192-
Municipal Market Data Rate Lock Transactions

Municipal Market Data Rate Lock Transactions

Terms and Conditions

Summary: This covers rate lock transactions indexed to the

Thomson Reuters Municipal Market Data (“MMD”)

AAA Curve (“MMD Rate Lock Transactions”).

Limitations on Available Selections and Default

Settings:

The terms under which a MMD Rate Lock Transaction

may be traded are as specified in these terms and

conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date

as a number of Business Days or Banking Days from the

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Termination

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).

193-
Municipal Market Data Rate Lock Transactions

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

DV01: As specified by the parties.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in

the 2006 ISDA Definitions, the Fixed Amount shall

equal:

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Floating Amount: Notwithstanding anything to the contrary contained in

the 2006 ISDA Definitions, the Floating Amount shall

equal:

Payment Dates (“unadjustedPaymentDate”): The Termination Date

Relevant Rate: The Relevant Rate for a Reset Date will be the level of

the Thomson Reuters Municipal index for a tenor of the

Designated Maturity which represents the offer-side of

5.00% coupon “AAA” rated state general obligation

bonds based on institutional block size ($2 million+)

market activity in both the primary and secondary

municipal bond market, as of at 3:00 p.m. eastern

standard time as published on the Thomson Reuters

TM3 page.

Designated Maturity (‘indexTenor”) As specified by the parties from among the available

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): The second Business Day preceding the Floating Rate

Payment Date.

Reset Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

194-
Municipal Market Data Rate Lock Transactions

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Notional Amounts

Currency Minimum Increment Maximum Default

USD 25,000,000 1,000,000 N/A N/A

195-
Municipal Market Data Rate Lock Transactions

196-
Natural Gas Date/Instrument Spread Contracts

Natural Gas Date/Instrument Spread Contracts

Terms and Conditions

Summary: This covers “Natural Gas Date/Instrument Spread Contracts”.

A natural-gas date/instrument spread contract is a cash-settled

agreement between two counterparties whereby one counterparty agrees

to pay a floating amount to the other counterparty on a given date, and

then receive a different floating amount from the other counterparty on

a different, later date.

The difference between the two floating amounts is the spread, which is

the quoted price for the contract.

The floating amounts are based on the notional quantity traded and the

price of natural gas a stated hub published by one of a series of

industry.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a

given issue of the publication source (e.g., monthly based on the first

issue of the month) or an average of prices (e.g., average of weekly

bid prices for each weekly issue), as agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate

(IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone

(IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY)

(IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD

• CAD (AECO only)

Quoting Convention and Minimum

Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

197-
Natural Gas Date/Instrument Spread Contracts

Notional Currency: Currency in which payments are made between the two counterparties:

• USD

• CAD (AECO only)

Trading Conventions: Buy or Sell on the near leg and Buy or Sell on the far leg.

These would be reversed so that if the first leg is buying the second leg

must be selling, for instance.

Calculation Periods: Two calculation periods – one for each leg of the spread.

A single date or date range over which the reference price of the

commodity will be calculated.

If a date range the reference price will be averaged across the days,

contracts or publication source issues as agreed by the counterparties.

Settlement Date(s): Specified settlement or payment date when the floating amounts are

exchanged.

Settlement Procedure: Bilateral cash settlement performed in settlement currency.

198-
Natural Gas – Financial Basis Swap Contracts

Natural Gas – Financial Basis Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Financial Basis Swap Contracts”.

A natural gas financial basis swap contract is a cash settled agreement between

two counterparties whereby one counterparty agrees to pay a floating amount to the

other counterparty on a given date(s), which floating amount is calculated based

on the reported price for natural gas at a given hub, and in exchange, the second

counterparty will pay a floating amount to the first counterparty on the same given

date(s) based on the maturity price of a natural gas futures contract tied to a

different hub.

The floating amounts paid are determined based on the notional quantity and, in

the case of the first floating amount, the price of natural gas a stated hub published

by one of a series of industry publications and, in the case of the second floating

amount, an applicable futures contract based on the reference commodity.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given issue

of the Publication Source (e.g., monthly based on the first issue of the month) or

an average of prices (e.g., average of weekly bid prices for each weekly issue), as

agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Contracts on Reference

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future) Last Day Settlement

For transactions where the settlement currency is CAD, this price will be

converted to CAD at then-current spot.

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD

• CAD (AECO only)

Quoting Convention

and Minimum

Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

199-
Natural Gas – Financial Basis Swap Contracts

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-futures based floating amount is

paid (buy) or received (sell).

Calculation Period: A single date or date range over which the reference price of the commodity will

be calculated.

If a date range the reference price will be averaged across the days, contracts or

Publication Source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and the

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.

200-
Natural Gas – Fixed/Floating Swap Contracts

Natural Gas – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Fixed/Floating Swap Contracts”.

A fixed/floating natural gas swap contract is a cash settled agreement between

two counterparties whereby one counterparty agrees to pay a fixed amount to

the other counterparty on a given date, and in exchange the second

counterparty will pay a floating amount to the first counterparty on the same

given date.

The fixed amount paid is determined based on the notional quantity traded and

the price of the reference commodity.

The floating amount paid is determined based on the notional quantity and the

price of an applicable futures contract based on the reference commodity over

an agreed future calculation period.

Reference Commodities: • Henry Hub Natural Gas

• Waha Natural Gas

• Permian Natural Gas Basis Swap

• TTF Natural Gas

Contracts on Reference

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future)

• NYMEX Waha Natural Gas Basis Swap

• NYMEX Permian Natural Gas Basis Swap

• ICE TTF Natural Gas (Monthly)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD (Other than TTF)

• EUR (TTF)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties

Minimum Size: Notional amount, as agreed by counterparties

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD (Other than TTF)

• EUR (TTF)

Trading Conventions: Buy or Sell which refers to whether or not the fixed amount is paid (buy) or

received (sell).

Calculation Periods: A single date or date range over which the reference price of the commodity

will be calculated.

If a date range the reference price will be averaged across all days.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date when the fixed payment amount and the

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.

The contracts settle on both the NYMEX Last Day and NYMEX Penultimate

publications.

201-
Natural Gas – Swing Swap Contracts

Natural Gas – Swing Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Swing Swap Contracts”.

A natural gas swing swap contract is a cash settled agreement between two

counterparties whereby one counterparty agrees to pay a floating amount to

the other counterparty on a given date(s), which floating amount is calculated

based on the daily reported price for natural gas at a given hub, and in

exchange the second counterparty will pay a floating amount to the first

counterparty on the same given date(s) based on the price at the same hub

reported for a different period (e.g., weekly or monthly).

The floating amounts paid are determined based on the notional quantity and,

in the case of the first floating amount, the daily price of natural gas a stated

hub published by one of a series of industry publications and, in the case of the

second floating amount, a price of natural gas the same hub published with

respect to a different periodicity.

Publication Sources (Non-Daily): • CGPR—Canadian Gas Price Reporter

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given

issue of the Publication Source (e.g., monthly based on the first issue of the

month) or an average of prices (e.g., average of weekly bid prices for each

weekly issue), as agreed by the parties.

Publication Sources (Daily): • Gas Daily –Platt’s Gas Daily’s Daily Report

Reference Commodities and NonDaily Publication Source:

• AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD

• CAD (AECO only)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD

202-
Natural Gas – Swing Swap Contracts

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-daily price based floating

amount is paid(buy) or received (sell).

Calculation Period: The reference price may be averaged across the days, contracts or publication

source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and

the floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.

203-
Non-Deliverable Swaps

Non-Deliverable Swaps

Terms and Conditions

Summary: This covers non-deliverable single-currency swaps

(“Non-Deliverable Single-Currency Swaps”) and nondeliverable cross-currency swaps (“Non-Deliverable

Cross-Currency Swaps” and, together with NonDeliverable Single-Currency Swaps, “Non-Deliverable

Swaps”).

Limitations on Available Selections and Default

Settings:

The terms under which Non-Deliverable SingleCurrency Swaps and Non-Deliverable Cross-Currency

Swaps may be traded are as specified in these terms and

conditions or in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified.

The parties may add additional locations from the

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default” and will apply unless the

parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions (including Supplement 31

thereto);

(b) ISDA OTC Taxonomies;

(c) FpML Location Codes;

(d) the ISDA/EMTA 1998 FX and Currency Option

Definitions (“1998 Definitions”);

(e) the EMTA Non-Deliverable Forward Templates;

(f) the EMTA-ISDA Market Practice for NonDeliverable CLP “Cámara” (CLP TNA) Interest

Rate Swap Transactions (“CLP TNA Best

Practices”);

(g) the Recommended EMTA-ISDA Market Practice

for BRL CDI Non-Deliverable Interest Rate Swap

Transactions (Amended March 13, 2009) (“BRL

CDI Best Practices”);

(h) The current ISDA Revised Non-Deliverable Swap

Transaction Standard Terms Supplement (“Asian

STS”); and

(i) The current ISDA Non-Deliverable Swap

Transaction Fallback Matrix (the “Asian Matrix,”

and, together with the Asian STS, the “Asian

Terms”).

204-
Non-Deliverable Swaps

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Settlement Currency: With respect to Non-Deliverable Single-Currency

Swaps, USD.

With respect to any Non-Deliverable Cross-Currency

Swap, for any currency pair selected by the parties from

among those specified in the list of Available Currency

Pairs, the currency specified as such in that list.

Index Currency: With respect to any Non-Deliverable Single-Currency

Swaps, the currency elected by the parties from among

those specified in the list of Available Single

Currencies.

With respect to any Non-Deliverable Cross-Currency

Swaps, for any currency pair selected by the parties

from among those specified in the list of Available

Currency Pairs, the currency specified as such in that

list.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date

as a number of Business Days or Banking Days from the

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

The parties may express the unadjusted Termination

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

FX Rate: The amount of Index Currency corresponding to one

unit of the Settlement Currency.

The FX Rate will be determined on the date determined

as specified for the relevant Available Single Currency

or Available Currency Pair and in accordance:

(a) in the case of Index Currencies not identified as

subject to Asian Terms, with the specified NDF

Template and Rate Sources and Fallback Rates, treating

the scheduled date of determination of the FX Rate as

the “Valuation Date” under the NDF Template; and

(b) in the case of Index Currencies identified as subject

to Asian Terms, in accordance with the Asian Terms.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap

Transaction or for any Non-Deliverable Cross-Currency

205-
Non-Deliverable Swaps

Swap Transaction involving ARS or PEN, an amount in

the Index Currency agreed by the parties.

For any other Non-Deliverable Cross-Currency Swap

Transaction, an amount in the Index Currency or

Settlement Currency agreed by the parties.

Fixed Amount: If the Currency Amount is denominated in the

Settlement Currency, an amount calculated in

accordance with the 2006 ISDA Definitions.

If the Currency Amount is not denominated in the

Settlement Currency and the Index Currency is not

identified as being subject to Asian Terms, then

notwithstanding anything to the contrary contained in

the 2006 ISDA Definitions, the Fixed Amount shall

equal an amount in the Settlement Currency equal to:

If the Currency Amount is not denominated in the

Settlement Currency and the Index Currency is

identified as being subject to Asian Terms, then the

Fixed Amount shall be calculated in accordance with

the Asian Terms.

Fixed Rate Period End Dates: As specified by the parties, subject to adjustment in

accordance with any Fixed Rate Payer Period End Date

Business Day Convention.

Fixed Rate Payer Period End Date Business Days: If a Fixed Rate Payer Period End Date Business Day

Convention is applicable, as specified by the parties

from among the Available Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available

Business Day Conventions.

If “No Adjustment” is specified, then the Fixed Rate

Payer Period End Dates will not be adjusted.

Fixed Rate Payment Dates: As specified by the parties, subject to adjustment in

accordance with the Fixed Rate Payer Payment Date

Business Day Convention.

Fixed Rate Payer Payment Date Business Days: As specified by the parties from among the Available

Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available

Day Count Fractions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap

Transaction, an amount in the Index Currency agreed

by the parties.

For any Non-Deliverable Cross-Currency Swap, an

amount in the Settlement Currency agreed by the

parties.

For any other Non-Deliverable Cross-Currency Swap,

an amount agreed by the parties in whichever of the

Index Currency or Settlement Currency is not the

currency in which the Fixed Rate Payer Currency

Amount is denominated.

Floating Amount: If the Currency Amount is denominated in the

Settlement Currency, an amount calculated in

accordance with the 2006 ISDA Definitions.

206-
Non-Deliverable Swaps

If the Currency Amount is denominated in BRL, then

notwithstanding anything to the contrary contained in

the 2006 ISDA Definitions, the Floating Amount shall

be calculated as set forth under Definition of BRL

Floating Rate Option.

If the Currency Amount is not denominated in the

Settlement Currency or BRL and the Index Currency is

not identified as being subject to Asian Terms, then

notwithstanding anything to the contrary contained in

the 2006 ISDA Definitions, the Floating Amount shall

equal an amount in the Settlement Currency equal to:

If the Currency Amount is not denominated in the

Settlement Currency and the Index Currency is

identified as being subject to Asian Terms, then the

Floating Amount shall be calculated in accordance with

the Asian Terms.

Floating Rate Option: For the relevant Currency, as selected by the parties

from among the Available Floating Rate Options for

such Currency.

Designated Maturity (‘indexTenor”): As specified by the parties from among the available

tenors.

Spread: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Reset Dates Business Days: As specified by the parties from among the Available

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Floating Rate Period End Dates: As specified by the parties, subject to adjustment in

accordance with any Floating Rate Payer Period End

Date Business Day Convention.

Floating Rate Payer Period End Date Business Days: If a Floating Rate Payer Period End Date Business Day

Convention is applicable, as specified by the parties

from among the Available Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available

Business Day Conventions.

If “No Adjustment” is specified, then the Floating Rate

Payer Period End Dates will not be adjusted.

Floating Rate Payment Dates: As specified by the parties, subject to adjustment in

accordance with the Floating Rate Payer Payment Date

Business Day Convention.

Floating Rate Payer Payment Date Business Days: As specified by the parties from among the Available

Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available

Day Count Fractions.

Compounding: As specified by the parties.

Method of Averaging: As specified by the parties.

Final Exchange:

Final Exchange Date: As specified by the parties.

Final Exchange Business Days: As specified by the parties from among the Available

Business Days.

Final Exchange Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

207-
Non-Deliverable Swaps

Fixed Rate Payer Final Exchange Amount: If the Fixed Rate Payer Final Exchange Amount is

denominated in the Settlement Currency, the Fixed Rate

Payer Final Exchange Amount.

If the Fixed Rate Payer Final Exchange Amount is

denominated in the Index Currency and the Index

Currency is not identified as being subject to Asian

Terms, an amount in the Settlement Currency equal to:

If the Fixed Rate Payer Final Exchange Amount is not

denominated in the Settlement Currency and the Index

Currency is identified as being subject to Asian Terms,

then the Fixed Rate Payer Final Exchange Amount shall

be calculated in accordance with the Asian Terms.

Floating Rate Payer Final Exchange Amount: If the Floating Rate Payer Final Exchange Amount is

denominated in the Settlement Currency, the Floating

Rate Payer Final Exchange Amount.

If the Floating Rate Payer Final Exchange Amount is

denominated in the Index Currency and the Index

Currency is not identified as being subject to Asian

Terms an amount in the Settlement Currency equal to:

If the Floating Rate Payer Final Exchange Amount is

not denominated in the Settlement Currency and the

Index Currency is identified as being subject to Asian

Terms, then the Floating Rate Payer Final Exchange

Amount shall be calculated in accordance with the

Asian Terms.

Non-Deliverable Swap Settlement Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

Non-Deliverable Swap Available Currencies

Index Currency NDF Template Rate Source Fallback Rate

Source(s) (in

order)

Determination

Date

Business Days

INR N/A N/A N/A N/A INMU

MYR N/A N/A N/A N/A MYKL

THB N/A N/A N/A N/A THBA

Non-Deliverable Cross-Currency Swap Available Currency Pairs

Index

Currency

Settlement

Currency

NDF

Template

Rate Source Fallback Rate

Source(s) (in

order)

Determinatio

n Date

Business

Days

ARS USD 17 May 06 ARS03 ARS04 Payment – 2

BD

ARBA

USNY

BRL USD 17 May 06 BRL09 BRL12,

BRL13

Payment – 2

BD

USNY and

any of

BR{SP,RJ,

BR}

CLP USD 01 Aug 06 CLP10 CLP11 Payment – 2 CLSA

208-
Non-Deliverable Swaps

BD USNY

COP USD 01 Aug 06 COP02 COP03 Payment – 2

BD

USNY

COBO

PEN USD 03 Dec 07 PEN05 PEN04 Payment – 2

BD

USNY

PELI

Applicability of Asian Terms

Index Currency Asian Terms

ARS Not Applicable

BRL Not Applicable

CLP Not Applicable

COP Not Applicable

INR Applicable

MYR Applicable

PEN Not Applicable

THB Applicable

Non-Deliverable Swap Floating Rate Options

Index Currency Floating Rate Option Defined In Business Days

ARS Not Applicable—Fixed Leg ONLY ARBA

USNY

BRL BRL-CDI-CETIP See below USNY and any of

BR{SP,RJ, BR}

CLP CLP-Indice Cámara

Promedio (ICP)

CLP TNA Best Practices USNY

CLSA

CLP CLP-Unidad de Fomentos

(UF/CLF)

See below USNY

CLSA

COP COP-IBR-OISCOMPOUNDISDA 2006 USNY

COBO

COP COP-Unidad de Valor Real

(UVR)

See below USNY

COBO

INR INR-FBIL-MIBOR-OISCOMPOUNDISDA 2006 INMU

INR INR-MITOR-OISCOMPOUNDISDA 2006 INMU

MYR MYR-KLIBOR-BNM ISDA 2006 MYKL

PEN Not Applicable—Fixed Leg ONLY USNY

PELI

THB THB-THBFIX-Reuters ISDA 2006 THBA

USD Any USD Floating Rate

Option available under

tpSEF’s Fixed/Floating

Swap Listing

See tpSEF’s Fixed/Floating

Swap Listing

See tpSEF’s

Fixed/Floating Swap

Listing

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary

Where:

209-
Non-Deliverable Swaps

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit

Rate Annualized, known as the average (“Media”) of the

DIOVER- EXTRA Group as published by CETIP (Câmara de

Custódia e Liquidação) (the “Overnight CDI Rate”) for such

date; provided that (i) such rate is published not later than

12:00 p.m. on the Brazil Business Day next following such

Reset Date and (ii) any adjustments made by CETIP to such

rate at any time later than the end of the business day on such

Reset Date shall not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate

(including as a result of the proviso above), CDI for the

relevant Reset Date will be the overnight deposit rate published

for such date by the BM&F in accordance with its rules (see

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indic

a doreFinanceiros1.asp, or any successor page).

If the BM&F does not publish such a rate for such date, CDI for

the relevant Reset Date shall be determined jointly by the

parties.

If the parties do not agree on a determination of such rate

within one Brazil Business Day following the relevant Reset

Date, CDI shall be determined through a CDI Reference Dealer

Poll as described herein.

If CDI for a Reset Date is not so determined by a CDI

Reference Dealer Poll, BRL-CDI-Reference Dealers shall

apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation

Agent shall conduct up to four dealer polls commencing on the

Brazil Business Day following the relevant Reset Date, in each

case by requesting each of the CDI Reference Dealers to

provide a quotation of the CDI.

If at least four such quotations are obtained from CDI

Reference Dealers in any such poll, the highest and lowest

quotations will be disregarded and CDI for the relevant Reset

Date will equal the arithmetic mean of the remaining

quotations.

If fewer than four such quotations are obtained from a poll, the

Calculation Agent shall conduct additional such polls until four

such quotations are obtained in any poll; provided that the

Calculation Agent shall not conduct more than four polls in the

aggregate (with not more than two polls on any day and with

such polls conducted over not more than two Brazil Business

Days).

If four quotations are not obtained from any of such four polls,

CDI shall CDI shall not be determined by a CDI Reference

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial

210-
Non-Deliverable Swaps

market holiday by the BM&F.

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF): For any Reset Date, the difference between the value of the

unidad de fomento (UF/CLF) as certified by the Chilean Banco

Central de Chile for the calendar day preceding such Reset

Date and the value of the unidad de fomento (UF/CLF) as

certified by the Chilean Banco Central de Chile for such Reset

Date.

The Calculation Agent shall convert such difference to the

appropriate annualized percentage based on the terms of the

Floating Amount payable by reference to the CLP-Unidad de

Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad

de fomento (UF/CLF) as certified by the Chilean Banco

Central de Chile, the Calculation Agent shall determine the

CLP-Unidad de Fomento (UF/CLF) for such day.

Definition of COP-Unidad de Valor Real (UVR)

COP-Unidad de Valor Real (UVR): For any Reset Date, the difference between the value of the

unidad de valor real (UVR) as certified by the Colombian

Banco de Republica for the calendar day preceding such Reset

Date and the value of unidad de valor real (UVR) as certified

by the Colombian Banco de Republica for such Reset Date.

The Calculation Agent shall convert such difference to the

appropriate annualized percentage based on the terms of the

Floating Amount payable by reference to the COP-Unidad de

Valor Real (UVR).

If for any Reset Date there is no published the difference

between the value of the unidad de valor real (UVR) as certified

by the Colombian Banco de Republica, the Calculation Agent

shall determine the COP-Unidad de Valor Real (UVR) for such

day.

Non-Deliverable Swap Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Non-Deliverable Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

211-
Non-Deliverable Swaps

Non-Deliverable Single-Currency Swap Notional Amounts

Currency Minimum Increment

INR 5,000,000 100,000

MYR 5,000,000 100,000

RHB 5,000,000 100,000

Non-Deliverable Cross-Currency Swap Notional Amounts

Currency Minimum Increment

ARS As implied by the USD minimum As implied by the USD increment

BRL As implied by the USD minimum As implied by the USD increment

CLP As implied by the USD minimum As implied by the USD increment

COP As implied by the USD minimum As implied by the USD increment

PEN As implied by the USD minimum As implied by the USD increment

USD 1,000,000 100,000

212-
Non-Deliverable Forward Foreign Exchange Contracts

Non-Deliverable Forward Foreign Exchange Contracts

Terms and Conditions

Summary: A non-deliverable forward (“NDF”) is an outright

forward in which the counterparties settle the difference

between the contracted NDF price or rate and the

prevailing spot price or rate on an agreed notional

amount in an agreed settlement currency.

Reference Currency

(i.e., Non-Delivery Currency):

• ARS Argentine Peso

• BRL Brazilian Real

• CLP Chilean Peso

• COP Colombian Peso

• CNY Chinese Renminbi

• EGP Egyptian pound

• GHS Ghanaian Cedi

• GTQ Guatemalan quetzal

• IDR Indonesian Rupiah

• INR Indian Rupee

• KES Kenyan Shilling

• KRW South Korean Won

• KZT Kazakh tenge

• MYR Malaysian Ringgit

• NGN Nigerian Naira

• PEN Peruvian nuevo sol

• PHP Philippine Peso

• RUB Russian ruble

• TWD Taiwan Dollar

• UAH Ukrainian Hryvnia

• UGX Ugandan Shilling

• UYU Uruguayan peso

• VEB Venezuelan bolívar

• VND Vietnamese đồng

• ZMW Zambian Kwacha

Settlement Currency: • AUD Australian Dollar

• CAD Canadian Dollar

• EUR Euro

• GBP British Pound

• JPY Japanese Yen

• USD US Dollar

• CHF Swiss Franc

Quoting Convention and Minimum Increment: Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which contract size is expressed, as agreed

by counterparties.

Trading Conventions: Buy or Sell which refers to the contract size expressed

in notional currency.

Forward Rates: Currency exchange rate expressed as the amount of

reference currency per unit of settlement currency.

Trade Date: The date on which parties enter into the contract.

Settlement Date: Specified settlement or payment date, as agreed by

counterparties.

213-
Non-Deliverable Forward Foreign Exchange Contracts

Fixing Date: The date at which the difference between the prevailing

market exchange rate and the agreed upon exchange

rate is calculated.

Settlement Procedure: Bilateral settlement performed in settlement currency.

Disruption Events: Unless otherwise specified by the parties, as set forth in

the EMTA Template Terms for Non-Deliverable FX

Forward Transactions applicable to the Reference

Currency and Settlement Currency:

http://www.emta.org/ndftt.aspx

214-
Non-Deliverable Vanilla American or European Style Foreign Exchange Options

Non-Deliverable Vanilla American or European Style Foreign Exchange Options

Terms and Conditions

Summary: This covers non-deliverable vanilla American or

European style foreign exchange options.

Limitations on Available Selections and Default

Settings:

The terms under which a Non-Deliverable Vanilla

American or European Style Foreign Exchange Option

may be traded are as specified in these terms and

conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

The parties may add additional locations from the

Available Locations and may eliminate some or all of the

other locations, so long as there is at least one location in

which payment may be made.

For these purposes “TARGET”/EUTA is considered a

location.

In many cases there are normal “vanilla” terms on which

the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

It should be noted that these contracts can be traded in a

variety of currencies.

Since each national market has its own peculiarities, the

“Available Terms” and/or “Default Terms” may vary by

currency.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY).

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) the 1998 FX and Currency Option Definitions and

2005 Amendment and Annex A and supplements

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

For purposes of this description, the term COP means the

lawful currency of the Republic of Columbia

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Foreign Exchange

ISDA OTC Sub-Product: Vanilla Option

Further Limitations: None

FpML Schema: “confirmation.fxOption”

215-
Non-Deliverable Vanilla American or European Style Foreign Exchange Options

Terms:

Trade Date: The date the transaction is agreed between and becomes

legally binding on the parties.

Commencement Date

(“americanExercise.commencementDate”):

As specified by the parties.

This applies only where the Option Style is American.

Buyer (“buyerPartyReference”): As specified by the parties.

Seller (“sellerPartyReference”): As specified by the parties.

Currency Option Style: As specified by the parties.

Currency Option Type: A Call with respect to the Call Currency and a Put with

respect to the Put Currency.

Call Currency (“callCurrencyAmount”): The currency and amount as specified by the parties, or,

if not so specified, derived from the Put Currency

Amount and Strike Price.

The Put Currency and Call Currency must represent a

traded pair as shown on the attached list of currencies.

Put Currency (“putCurrencyAmount”): The currency and amount as specified by the parties, or,

if not so specified, derived from the Call Currency

Amount and Strike Price.

Strike Price (“strikePrice”): As specified by the parties (if only one of the Put

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is

applicable, the Strike Price will be calculated using the

Put Currency and Call Currency in order to determine if

the Option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties, if no Settlement Rate Option

is specified.

Settlement Rate Option: As specified by the parties from among the Available

Settlement Rate Options if the Settlement Currency is

USD.

Expiration Date (“expiryDate”): As specified by the parties.

Latest Exercise Time: As specified by the parties.

This applies only where the Option Style is American.

Expiration Time (“americanExercise.expiryTime” or

“europeanExercise.expiryTime”):

The time in the location specified by the parities.

Automatic Exercise: As specified by the parties.

Settlement Date: As specified by the parties

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties

Premium (“premium”) As specified by the parties.

Premium Payment Date: As specified by the parties.

Calculation Agent: As specified by the parties.

Business Days for Premium Payment Date: As specified by the parties.

Business Days for Settlement Date: As specified by the parties.

Business Days for Exercise Date For American Options, as specified by the parties.

Business Days for Expiration Date: As specified by the parties.

Business Days (General): As specified by the parties.

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Day Convention for Expiration Date: As specified by the parties.

Business Day Convention for Settlement Date: As specified by the parties.

Event Currency: As specified by the parties if any Disruption Events are

applicable.

Disruption Events: As specified by the parties.

216-
Non-Deliverable Vanilla American or European Style Foreign Exchange Options

Disruption Fallbacks: As specified by the parties for each Disruption Event

applicable.

FX Non-Deliverable Vanilla Option Available Currencies and Principal Financial Centers

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Principal Financial Centers for

Currency (FpML Codes)

ARS Argentine Peso ARBA

BRL Brazilian Real BRBR, BRRJ or BRSP

CLP Chilean Peso CLSA

CNY Chinese Renminbi CNBE

COP Colombian Peso COBO

EGP Egyptian Pound EGCA

EUR Euro EUTA

IDR Indonesian Rupiah IDJA

INR Indian Rupee INMU

KRW Korean Won KRSE

KZT Kazakhstan Tenge KZAL

MYR Malaysian Ringgit MYKL

PEN Peruvian Nuevo Sol PELI

PHP Philippine Peso PHMA

RUB Russian Ruble RUMO

TWD Taiwanese Dollar TWTA

USD United States Dollar USNY

VEB Venezuelan Bolivar VECA

VND Vietnamese Dong VNHA

The Minimum Amount for any currency pair is 5,000,000 of the Call Currency with an Increment of 5,000,000 of

the Call Currency

FX Non-Deliverable Vanilla Option Available Settlement Rate Options

ARS ARS01 ARS BNAR

ARS ARS02 ARS OFFICIAL RATE

ARS ARS03 CME/EMTA ARS INDUSTRY SURVEY RATE

ARS ARS03 EMTA ARS INDUSTRY SURVEY RATE

ARS ARS04 EMTA ARS INDICATIVE INDUSTRY SURVEY RATE

BRL BRL01 BRL BRBY

BRL BRL02 BRL OFFICIAL RATE

BRL BRL03 BRL PCOT

BRL BRL09 BRL PTAX

BRL BRL10 BRL PTAX BRFR

BRL BRL11 BRL INDUSTRY SURVEY RATE

BRL BRL12 EMTA BRL INDUSTRY SURVEY RATE

BRL BRL13 EMTA BRL INDICATIVE SURVEY RATE

CLP CLP01 BCCCHILG

CLP CLP02 CLP INFORMAL

CLP CLP03 CLP INTERBANK

CLP CLP04 CLP OBSERVADO

CLP CLP08 CLP OFFICIAL RATE

CLP CLP09 CLP TELERATE 38942

CLP CLP10 CLP DOLAR OBS

CLP CLP11 EMTA CLP INDICATIVE SURVEY RATE

CNY CNY01 CNY SAED

217-
Non-Deliverable Vanilla American or European Style Foreign Exchange Options

CNY CNY02 SFEMC CNY INDICATIVE SURVEY RATE

COP COP01 COP CO/COL03

COP COP02 COP TRM

COP COP03 COP INDICATIVE SURVEY RATE

EGP EGP01 EGP FEMF

EGP EGP02 EMTA EGP INDICATIVE SURVEY RATE

IDR IDR01 IDR ABS

IDR IDR02 SFEMC INDICATIVE SURVEY RATE

IDR IDR03 IDR VWAP

INR INR01 INR RBIB

INR INR02 SFEMC INR INDICATIVE SURVEY RATE

KRW KRW02 KRW KFTC18

KRW KRW03 KRW TELERATE 45644

KRW KRW04 SFEMC KRW INDICATIVE SURVEY RATE

KZT KZT01 KZT KASE

KZT KZT 02 EMTA KZT INDICATIVE SURVEY RATE

MYR MYR01 MYR ABS

MYR MYR02 SFEMC MYR INDICATIVE SURVEY RATE

MYR MYR03 MYR PPKM

PEN PEN01 PEN PDSB

PEN PEN02 PEN PDSC

PEN PEN03 PEN WT AVE

PEN PEN04 EMTA PEN INDICATIVE SURVEY RATE

PEN PEN05 PEN INTERBANK AVE

PHP PHP01 PHPESO

PHP PHP02 PHP TELERATE 2920

PHP PHP03 PHP TELERATE 15439

PHP PHP04 PHPES01

PHP PHP05 SFEMC PHP INDICATIVE SURVEY RATE

PHP PHP06 PHP PDSPESO

RUB RUB01 RUB MICEXFRX

RUB RUB02 RUB MMVB

RUB RUB03 RUB CME-EMTA

RUB RUB04 EMTA RUB INDICATIVE SURVEY RATE

TWD TWD01 TWD TELERATE 6161

TWD TWD02 TWD TFEMA

TWD TWD03 TWD TAIFIX1

TWD TWD04 SFEMC

VEB VEF01 VEF FIX

VND VND01 VND ABS

VND VND02 VND FX

VND VND03 SFEMC VND INDICATIVE SURVEY RATE

FX Non-Deliverable Vanilla Option Requirements and Defaults

Variable Requirement Default

Commencement Date American Style ONLY Trade Date

Latest Exercise Time American Style ONLY Same as Expiration Time

Automatic Exercise Applicable

Business Days for Premium

Payment Date

At least one of the specified

locations must be able to settle

relevant Currency

Principal Financial Center for

Currency of Premium

Business Days for Settlement Dates: The specified locations must at least

be able to settle each Currency in

Principal Financial Center for each

Currency of the Currency Pair

218-
Non-Deliverable Vanilla American or European Style Foreign Exchange Options

the Currency Pair

Business Days for Exercise Date Location of Seller Location of Seller

Business Days for Expiration Dates: If Automatic Exercise does not

apply, location of Seller

If Automatic Exercise does apply,

trading day for each Currency of

Currency Pair

Location of Seller and trading day

for each Currency of Currency Pair

Business Day Convention for

Premium Payment Date:

Cannot result in payment due prior

to Trade Date

Following

Business Day Convention for

Expiration Date:

Following

Business Day Convention for

Settlement Date

Cannot result in payment due prior

to Exercise Date

Following

Disruption Events: Price Source Disruption ONLY

Disruption Fallbacks: Required only if there are

Disruption Events

For Price Source Disruption per the

1998 Definitions

FX Non-Deliverable Vanilla Available Option Styles

Style Description Default

American Can be exercised on any Exercise

Business Day from and including

the Commencement Date to and

including the Expiration Date

Yes

European Can be exercised only on the

Expiration Date

No

Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

219-
PO Index Contracts

PO Index Contracts

Terms and Conditions

Summary: This covers Markit PO Fixed for Floating Swap

Transactions (the “Contracts”).

Limitations on Available Selections and Default

Settings:

The terms under which the Contracts may be traded are

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit PO Standard Terms Supplement (June

12, 2010 version) or any subsequent Standard

Terms Supplement (the “Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: PO

ISDA OTC Transaction Type: PO

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit PO Index series, as specified by the

parties from all then-available series (to the extent such

series is not then a narrow-based index within the

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:

220-
PO Index Contracts

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.

221-
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating interest

rate swaps cleared by the Chicago Mercantile Exchange

Inc. (“CME”).

Limitations on Available Selections and Default

Settings:

The terms under which a Single Currency Fixed for

Floating Interest Rate Swap/CME Cleared may be

traded are as specified in these terms and conditions,

which incorporate the CME Rulebook, in particular

Chapters 900 and 901 (and any successor provisions)

and the CME Cleared IRS Product Scope (or any

successor).

By electing to trade a Single Currency Fixed for

Floating Interest Rate Swap/CME Cleared,

participants are representing that they are familiar

with the CME Rulebook and the limitations on

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain

additional standards, such as the 2000 ISDA Definitions

and 2006 ISDA Definitions.

Be aware that the timing of effectiveness of

amendments or supplements to the ISDA standards

may vary between bilateral and CME contracts,

since the CME may reserve the right to select when

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected

by, or otherwise binding on, the parties in accordance

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and

Floating Rate Options for which variable notionals are

permitted.

Currency: One of the currencies permitted for the relevant

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

222-
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

Termination Date: As agreed by the parties, subject to any minimum or

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME

Rulebook.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in

the CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME

Rulebook, which may provide a more limited list of

available options for a Currency than does the

Definition Set.

Designated Maturity: As per the CME Rulebook, which may provide a more

limited set of Designated Maturities than does the

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate for Initial Calculation Period: As per the CME Rulebook.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Compounding: As per the CME Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in

the CME Rulebook.

223-
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating swaps

cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default

Settings:

The terms under which a Single Currency Fixed for

Floating Interest Rate Swaps/LCH Cleared contract may

be traded are as specified in these terms and conditions,

which incorporate the LCH Rulebook, in particular

Schedule 4A (or any successor provisions).

By electing to trade a Single Currency Fixed for

Floating Interest Rate Swap/LCH Cleared,

participants are representing that they are familiar

with the LCH Rulebook and the limitations on

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain

additional standards, such as the 2000 ISDA Definitions

and 2006 ISDA Definitions.

Be aware that the timing of effectiveness of

amendments or supplements to the ISDA standards

may vary between bilateral and LCH contracts, since

the LCH may reserve the right to select when and how

such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with LCH Clearing Requirements

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA 2006) elected

by, or otherwise binding on, the parties in accordance

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties subject

to limitations in the LCH Rulebook.

This may vary from period to period to the extent

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and Floating

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in the

LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in the

LCH Rulebook

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in the

LCH Rulebook, which may limit the earliest or latest day

on which such fees may be paid based on Currency or

other factors.

224-
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

Business Days: As per the LCH Rulebook, which may require certain

Business Days be applicable on a per Currency or Floating

Rate Option Basis and may otherwise limit the available

Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or

maximum rate and per-period variability permitted in the

LCH Rulebook.

Floating Rate Payer As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Rate Payer Compounding Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH

Rulebook, which may provide a more limited list of

available options for a Currency than does the Definition

Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more

limited set of Designated Maturities than does the related

rate source page.

Spread: Subject to any minimum or maximum rate and per-period

variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law

applicable to the Transaction.

225-
U.S. Electricity – Fixed/Floating Swap Contracts

U.S. Electricity – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers fixed-for-floating U.S. electricity swaps

(“U.S. Electricity – Fixed/Floating Swap Contracts”).

Limitations on Available Selections and Default

Settings:

The terms under which U.S. Electricity – Fixed/Floating

Swap Contracts may be traded are shown below or in

the attached tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

In many cases there are normal “vanilla” terms on

which the parties will transact.

These are shown as “Default” and will apply unless the

parties vary them.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

2005 ISDA Commodity Derivatives Definitions

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy

ISDA OTC Sub-Product: Elec

ISDA OTC Transaction type: Swap

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance

with any applicable Business Day Convention.

Effective Date Business Days: USNY

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: USNY

Termination Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

Commodity As specified by the parties from among the Available

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period

Basis.

Settlement Periods: If specified by the parties or if applicable to the relevant

Commodity Reference Price and specified herein.

Parties may specify one of the Available Set Tenors as a

Settlement Period or may specify another period.

226-
U.S. Electricity – Fixed/Floating Swap Contracts

Applicable Days: If applicable to the relevant Commodity Reference Price

and specified therein or if applicable to the relevant

Available Set Tenor and specified therein (i.e., Month).

Applicable Days does not apply to Commodity

Reference Prices under the headings “ISDA Definition”

or “Exchange Definition”.

Duration: Hourly

Start Time(s)/End Time(s): If specified by the parties or if applicable to the relevant

Commodity Reference Price and specified herein.

Payment Dates: In relation to each Calculation Period, as specified by

the parties, each such day being subject to adjustment in

accordance with the Payment Date Business Day

Convention.

Payment Date Business Days: USNY

Payment Date Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the

Commodity Definitions.

Calculation Agent: As agreed by the parties.

U.S. Electricity – Fixed/Floating Swap Contracts Available Currencies and Required Business Days

Three Letter Currency Code

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations

For Currency (FpML Codes)

USD United States Dollars USNY

U.S. Electricity – Fixed/Floating Swap Contracts Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

227-
U.S. Electricity – Fixed/Floating Swap Contracts

228-

U.S. Electricity – Fixed/Floating Swap Contracts Available Set Tenors

Set Tenor Settlement Period

Month The specified calendar month; if OFF PEAK/PEAK is

not specified, PEAK is assumed

Season Season Days in Specified Year

Winter 1 January through the last

day of February in the

specified year

Spring 1 March through 30 April

in the specified year

Summer 1 July through 31 August

in the specified year

Quarter Quarter Number Days in Specified Year

Q1 1 January through 31

March

Q2 1 April through 30 June

Q3 1 July through 30

September

Q4 1 October through 31

December

Calendar Year 1 January through 31 December in the specified year

Planning Year 1 June in the specified beginning calendar year through

31 May in the specified ending calendar year

U.S. Electricity – Fixed/Floating Swap Contracts Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

Note that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the

Clock”); for the equivalent Peak and Off-Peak prices, see below.

Exchange Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. Note

that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the Clock”);

for the equivalent Peak and Off-Peak prices, see below.

ELECTRICITY-NYISO-ZONE J (N.Y.C.)-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-MASS HUB-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-NE MASS BOSTON-DAY AHEAD

ELECTRICITY-PJM-EASTERN HUB-DAY AHEAD

ELECTRICITY-PJM-PSEG-DAY AHEAD

ELECTRICITY-PJM-WESTERN HUB-DAY AHEAD

ISDA Definition

Commodity

Reference

Relevant

Commodity

Relevant Unit Exchange Currency Specified Price

ISDA Definition

ELECTRICITY-NYISO-ZONE A (WEST)-DAY AHEAD

ELECTRICITY-NYISO-ZONE G (HUD VL)-DAY AHEAD
U.S. Electricity – Fixed/Floating Swap Contracts

229-

Non-ISDA, Non-Exchange Definitions

For any of the Commodity Reference Prices below, the price for the Settlement Period specified for that Pricing

Date will be that hour’s Specified Price per MWh of electricity for delivery on an Applicable Day specified for that

Commodity Reference Price, published by the specified Source on the specified Page under the specified Heading

(or any successor Source, Page or Heading), that reports prices effective on such Applicable Day.

ELECTRICITY

-NP15 DAY

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISONP15-DAY

AHEAD"

ELECTRICITY

-NP15 DAY

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISONP15-DAY

AHEAD"

ELECTRICITY

-SP15 DAY

AHEAD OFF

PEAK-ICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY

AHEAD"

ELECTRICITY

-SP15 DAY

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY

AHEAD"

ELECTRICITY

-PALO VERDE

OFF PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE

OFF-PEAKICE

ELECTRICITY

-PALO VERDE

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE

PEAK-ICE

ELECTRICITY

-MID C OFF

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C OFFPEAK-ICE

ELECTRICITY

-MID C PEAKICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C PEAKICE

Commodity

Reference Price

Settlement

Period

Source Page Heading

ELECTRICITYPJM-AEP

DAYTON HUBATC DAY

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

AEP DAYTON

HUB, TotalLMP

ELECTRICITYPJM-AEP

DAYTON HUBOFF PEAK

DAY AHEAD

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxAEP DAYTON

HUB, TotalLMP

Price
U.S. Electricity – Fixed/Floating Swap Contracts

230-

ELECTRICITYPJM-AEP

DAYTON HUBATC

REALTIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON

HUB, TotalLMP

ELECTRICITYPJM-AEP

DAYTON HUBOFF PEAK

REAL TIME

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON

HUB, TotalLMP

ELECTRICITYPJM-AEP

DAYTON HUBOFF PEAK

REAL TIME

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON

HUB, TotalLMP

ELECTRICITYPJM-COMED

HUB-ATC DAY

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

COMED,

TotalLMP

ELECTRICITYPJM-COMED

HUB-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxCOMED,

TotalLMP

ELECTRICITYPJM-COMED

HUB-OFF

PEAK DAY

AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxCOMED,

TotalLMP

ELECTRICITYMISOINDIANA HUBATC DAY

AHEAD

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report:

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBOFF PEAK

DAY AHEAD

Eastern Off

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report:

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBPEAK DAY

AHEAD

Eastern

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report:

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBATC REAL

TIME

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP

Prices ($ per MW)

ELECTRICITYPJM-AEP

DAYTON HUBOFF PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxAEP DAYTON

HUB, TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

231-

ELECTRICITYMISOINDIANA HUBPEAK REAL

TIME

Eastern

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP

Prices ($ per MW)

ELECTRICITYMISOMICHIGAN

HUB-ATC DAY

AHEAD

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report:

Name: Day Ahead Pricing (pdf))

Michigan Hub,

LMP Prices ($ per

MW)

ELECTRICITYMISOMICHIGAN

HUB-OFF

PEAK DAY

AHEAD

Central Off

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report:

Name: Day Ahead Pricing (pdf))

Michigan Hub,

LMP Prices ($ per

MW)

ELECTRICITYMISOMICHIGAN

HUB-PEAK

DAY AHEAD

Central

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report:

Name: Day Ahead Pricing (pdf))

Michigan Hub,

LMP Prices ($ per

MW)

ELECTRICITYMISONORTHERN

ILLINOIS HUBATC DAY

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxN ILLINOIS HUB,

TotalLMP

ELECTRICITYMISONORTHERN

ILLINOIS HUBOFF PEAK

DAY AHEAD

Central Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxN ILLINOIS HUB,

TotalLMP

ELECTRICITYMISONORTHERN

ILLINOIS HUBPEAK DAY

AHEAD

Central

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxN ILLINOIS HUB,

TotalLMP

ELECTRICITYMISONORTHERN

ILLINOIS HUBATC REAL

TIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspx

N ILLINOIS HUB,

TotalLMP

ELECTRICITYMISOINDIANA HUBOFF PEAK

REAL TIME

Eastern Off

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP

Prices ($ per MW)
U.S. Electricity – Fixed/Floating Swap Contracts

232-

ELECTRICITYMISONORTHERN

ILLINOIS HUBPEAK REAL

TIME

Central

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB,

TotalLMP

ELECTRICITYISO NEW

ENGLANDCONNECTICU

T ZONE-ATC

DAY AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDCONNECTICU

T ZONE-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDCONNECTICU

T ZONE-PEAK

DAY AHEAD

Eastern

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDMAINE ZONEATC DAY

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDMAINE ZONEOFF PEAK

DAY AHEAD

Eastern Off

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDMAINE ZONEPEAK DAY

AHEAD

Eastern

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDMAINE ZONEATC DAY

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE,

Locational

Marginal Pricing

$/MWh

ELECTRICITYMISONORTHERN

ILLINOIS HUBOFF PEAK

REAL TIME

Central Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB,

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

233-

ELECTRICITYISO NEW

ENGLANDMAINE ZONEPEAK DAY

AHEAD

Eastern

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDMASS HUBATC DAY

AHEAD

See ISDA Definition

ELECTRICITYISO NEW

ENGLANDMASS HUBOFF PEAK

DAY AHEAD

Eastern Off

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HU

B, Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDMASS HUBPEAK DAY

AHEAD

Eastern

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HU

B, Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDSEMASS

ZONE-DAY

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDSEMASS

ZONE-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDSEMASS

ZONE-PEAK

DAY AHEAD

Eastern

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDNEMASSBOST

ZONE-DAY

AHEAD

See ISDA Definition

ELECTRICITYISO NEW

ENGLANDMAINE ZONEOFF PEAK

DAY AHEAD

Eastern Off

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE,

Locational

Marginal Pricing

$/MWh
U.S. Electricity – Fixed/Floating Swap Contracts

234-

ELECTRICITYISO NEW

ENGLANDNEMASSBOST

ZONE-PEAK

DAY AHEAD

Eastern

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDWCMASS

ZONE-DAY

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDWCMASS

ZONE-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS,

Locational

Marginal Pricing

$/MWh

ELECTRICITYISO NEW

ENGLANDWCMASS

ZONE-PEAK

DAY AHEAD

Eastern

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS,

Locational

Marginal Pricing

$/MWh

ELECTRICITYPJMATLANTIC

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

AECO ZONE,

TotalLMP

ELECTRICITYPJMATLANTIC

ZONE-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxAECO ZONE,

TotalLMP

ELECTRICITYPJMATLANTIC

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxAECO ZONE,

TotalLMP

ELECTRICITYPJMBALTIMORE

GAS AND

ELECTRIC

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxBGE ZONE,

TotalLMP

ELECTRICITYISO NEW

ENGLANDNEMASSBOST

ZONE-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cat

egory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST,

Locational

Marginal Pricing

$/MWh
U.S. Electricity – Fixed/Floating Swap Contracts

235-

ELECTRICITYPJMBALTIMORE

GAS AND

ELECTRIC

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxBGE ZONE,

TotalLMP

ELECTRICITYPJM-DPL

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxDPL ZONE,

TotalLMP

ELECTRICITYPJM-DPL

ZONE-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxDPL ZONE,

TotalLMP

ELECTRICITYPJM-DPL

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxDPL ZONE,

TotalLMP

ELECTRICITYPJM-EASTERN

HUB-ATC DAY

AHEAD

See ISDA Definition

ELECTRICITYPJM-EASTERN

HUB-OFF

PEAK DAY

AHEAD

Eastern

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

EASTERN HUB,

TotalLMP

ELECTRICITYPJM-EASTERN

HUB- PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxEASTERN HUB,

TotalLMP

ELECTRICITYPJM-JCPL

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxJCPL ZONE,

TotalLMP

ELECTRICITYPJM-JCPL

ZONE-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxJCPL ZONE,

TotalLMP

ELECTRICITYPJM-JCPL

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

JCPL ZONE,

TotalLMP

ELECTRICITYPJMBALTIMORE

GAS AND

ELECTRIC

ZONE-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxBGE ZONE,

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

236-

ELECTRICITYPJM-METED

ZONE-OFF

PEAK DAY

AHEAD

Eastern

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxMETED ZONE,

TotalLMP

ELECTRICITYPJM-METED

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxMETED ZONE,

TotalLMP

ELECTRICITYPJM-PECO

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxPECO ZONE,

TotalLMP

ELECTRICITYPJM-PECO

ZONE-OFF

PEAK DAY

AHEAD

Eastern

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

PECO ZONE,

TotalLMP

ELECTRICITYPJM-PECO

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxPECO ZONE,

TotalLMP

ELECTRICITYPJM-PEPCO

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

PEPCO ZONE,

TotalLMP

ELECTRICITYPJM-PEPCO

ZONE-OFF

PEAK DAY

AHEAD

Eastern

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

PEPCO ZONE,

TotalLMP

ELECTRICITYPJM-PEPCO

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

PEPCO ZONE,

TotalLMP

ELECTRICITYPJM-PPL

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

PPL ZONE,

TotalLMP

ELECTRICITYPJM-PPL

ZONE-OFF

PEAK DAY

AHEAD

Eastern

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

PPL ZONE,

TotalLMP

ELECTRICITYPJM-PPL

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxPPL ZONE,

TotalLMP

ELECTRICITYPJM-METED

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxMETED ZONE,

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

237-

ELECTRICITYPJM-PPL

ZONE-OFF

PEAK DAY

AHEAD

Eastern

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxPPL ZONE,

TotalLMP

ELECTRICITYPJM-PPL

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxPPL ZONE,

TotalLMP

ELECTRICITYPJM-PSEG

ZONE-ATC

DAY AHEAD

See ISDA Definition

ELECTRICITYPJM-PSEG

ZONE-OFF

PEAK DAY

AHEAD

Eastern

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

PSEG ZONE,

TotalLMP

ELECTRICITYPJM-PSEG

ZONE-PEAK

DAY AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspxPSEG ZONE,

TotalLMP

ELECTRICITYPJM-WESTATC DAY

AHEAD

See ISDA Definition

ELECTRICITYPJM-WEST-OFF

PEAK DAY

AHEAD

Eastern

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

WESTERN HUB,

TotalLMP

ELECTRICITYPJM-WESTPEAK DAY

AHEAD

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

WESTERN HUB,

TotalLMP

ELECTRICITYPJM-WEST

HUB-ATC

REALTIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB

HUB, TotalLMP

ELECTRICITYPJM-WEST

HUB-OFF

PEAK REAL

TIME

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB

HUB, TotalLMP

ELECTRICITYPJM-WEST

HUB-OFF

PEAK REAL

TIME

Eastern

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB

HUB, TotalLMP

ELECTRICITYPJM-PPL

ZONE-ATC

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/dayahead/lmpda.aspx

PPL ZONE,

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

238-

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

WEST, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE A- PEAK

DAY AHEAD

Eastern

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

WEST, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE A-ATC

DAY AHEAD

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

WEST, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE A-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

WEST, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE A- PEAK

DAY AHEAD

Eastern

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

CENTRL, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE C-ATC

DAY AHEAD

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

CENTRL, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE C-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

CENTRL, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE C- PEAK

DAY AHEAD

Eastern

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

CENTRL, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE G-ATC

DAY AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY

ZONE G-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

HUD VL, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE A-ATC

DAY AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY

ZONE A-OFF

PEAK DAY

AHEAD

Eastern Off

Peak
U.S. Electricity – Fixed/Floating Swap Contracts

239-

U.S. Electricity – Fixed/Floating Swap Contracts Specified Time Periods

Non-FERC Holidays (all times are

Hours Ending and use 24-hour

clock)

FERC Holidays

California Off Peak Excludes 0700 through 2200 Pacific

Prevailing Time

Includes all hours on FERC

Holidays

California Peak Includes 0700 through 2200 Pacific

Prevailing Time

Excludes all hours on FERC

Holidays

Eastern Off Peak1

1

 Times for Commodity Reference Prices reported for Central Timezone (e.g., Illinois, Michigan) will be converted

to their Eastern time equivalents

ELECTRICITYPALO VERDE

ATC-ICE

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of

the ELECTRICITY-PALO VERDE PEAK-ICE and ELECTRICITY-PALO VERDE OFFPEAK-ICE Commodity Reference Prices for the relevant period, weighted on the basis of

the number of hourly periods in the relevant period which are peak and off-peak respectively

(with peak and off peak having the meaning specified in the definition of the Commodity

Reference Price by the Exchange)

ELECTRICITYMID C ATCICE

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of

the ELECTRICITY-MID C PEAK-ICE and ELECTRICITY-MID C OFF-PEAK-ICE

Commodity Reference Prices for the relevant period, weighted on the basis of the number of

hourly periods in the relevant period which are peak and off-peak respectively (with peak

and off peak having the meaning specified in the definition of the Commodity Reference

Price by the Exchange)

ELECTRICITYNYISO-NY

ZONE G- PEAK

DAY AHEAD

Eastern

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

HUD VL, LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE H-ATC

DAY AHEAD

See ISDA

Definition

ELECTRICITYNYISO-NY

ZONE H-OFF

PEAK DAY

AHEAD

Eastern Off

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

N.Y.C., LBMP

($/MWHr)

ELECTRICITYNYISO-NY

ZONE H- PEAK

DAY AHEAD

Eastern

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market

LBMP/Zonal)

N.Y.C., LBMP

($/MWHr)

ELECTRICITYCAISO-NP 15

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of

the ELECTRICITY-NP15- PEAK-ICE and ELECTRICITY-NP15- OFF-PEAK-ICE

Commodity Reference Prices for the relevant period, weighted on the basis of the number of

hourly periods in the relevant period which are peak and off-peak respectively (with peak

and off peak having the meaning specified in the definition of the Commodity Reference

Price by the Exchange).

ELECTRICITYCAISO-SP 15

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of

the ELECTRICITY-SP15- PEAK-ICE and ELECTRICITY-SP15- OFF-PEAK-ICE

Commodity Reference Prices for the relevant period, weighted on the basis of the number of

hourly periods in the relevant period which are peak and off-peak respectively (with peak

and off peak having the meaning specified in the definition of the Commodity Reference

Price by the Exchange).
U.S. Electricity – Fixed/Floating Swap Contracts

Excludes 0800 through 2300

Eastern Prevailing Time

Includes all hours on FERC

Holidays

Eastern Peak Includes 0800 through 2300 Eastern

Prevailing Time

Excludes all hours on FERC

Holidays

240-
USD Equity Basket Swap (Broad Based)

USD Equity Basket Swap (Broad Based)

Terms and Conditions

Summary: This covers equity total-return swaps on broad-based

baskets of equities traded in USD.

For purposes of relevant CFTC and SEC regulations,

such basket shall be on a broad-based index.

Limitations on Available Selections and Default

Settings:

The terms under which USD Equity Basket Swap (Broad

Based) may be traded are shown below or in the attached

tables.

For amounts or rates, the relevant term cannot be less

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date,

the date cannot be earlier than Earliest nor later than

Latest.

For Business Days, the defaults shall be the locations

specified for the relevant currency, any additional

locations specified for the relevant Floating Rate

Options.

In many cases there are normal “vanilla” terms on which

the parties will transact.

These are shown as “Default ” and will apply unless the

parties vary them.

In some cases, the same contract might have different

terms depending on the market in which it is traded

(e.g., London versus NY).

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the

following industry standard documentation and

standards:

(a) 2006 ISDA Definitions;

(b) 2002 ISDA Equity Derivatives Definitions; and

(c) Annex SS to 2004 Americas Interdealer Master

Equity Derivatives Confirmation (except that references

therein to the 2000 ISDA Definitions shall be deemed

references to the 2006 ISDA Definitions).

For convenience, certain terms are mapped to their

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Basket

Further Limitations: None

Terms:

Type of Transaction: Share Basket Swap Transaction

Trade Date: As agreed by the parties.

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): Per Annex SS, unless otherwise agreed by the parties.

Effective Date Business Days: As specified by the parties from among the Available

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available

Business Day Conventions.

241-
USD Equity Basket Swap (Broad Based)

Termination Date (“terminationDate”): Per Annex SS, unless otherwise specified by the parties.

Basket: As specified by the parties in compliance with the rules

and regulations of the CFTC and SEC applicable to

broad-based indices.

Exchange(s): As specified by the parties with respect to each Share

comprised in the Basket.

Related Exchanges: Per Annex SS, unless otherwise agreed by the parties.

Hedging Party: As specified by the parties.

Determining Party: As specified by the parties.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: Per Annex SS.

Type of Return: Total Return

Initial Price: As specified by the parties and adjusted in accordance

with Annex SS.

Final Price: As per Annex SS unless otherwise agreed by the parties.

Valuation Time: As per Annex SS unless otherwise agreed by the parties.

Valuation Date: As specified by the parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): As per Annex SS.

Payment Dates: As per Annex SS, unless otherwise agreed by the parties.

Floating Rate Option (“floatingRateIndex”): As per Annex SS, unless otherwise agreed by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: Actual/360

Reset Date (“resetDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment

Dates):

As per Annex SS, unless otherwise specified by the

parties.

Settlement Terms:

Cash Settlement: Applicable

Settlement Currency: USD

Dividends:

Dividend Payment Date(s): As per Annex SS unless otherwise agreed by the parties.

Dividend Period: As per Annex SS unless otherwise agreed by the parties.

Dividend Amount: As per Annex SS unless otherwise agreed by the parties.

Relevant Dividend: If type of return is “Total Return” as per Annex SS

unless otherwise agreed by the parties.

Reinvestment of Dividends: Inapplicable

Dividend Recovery: As per Annex SS unless otherwise agreed by the parties.

Adjustment Events:

Method of Adjustment: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange

Adjustment” is applicable.

Consequences of Merger Events:

Share-for-Share: As per Annex SS unless otherwise agreed by the parties.

Share-for-Other: As per Annex SS unless otherwise agreed by the parties.

Share-for-Combined: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange

Adjustment” is applicable.

Consequences of Tender Offers:
USD Equity Basket Swap (Broad Based)

Tender Offer: As per Annex SS, unless otherwise agreed by the parties.

Share-for-Share As agreed by the parties if Tender Offer is applicable.

Share-for-Other: As agreed by the parties if Tender Offer is applicable.

Share-for-Combined: As agreed by the parties if Tender Offer is applicable.

Options Exchange: As agreed by the parties if “Options Exchange

Adjustment” is applicable.

Composition of Combined Consideration: Per Annex SS unless otherwise agreed by the parties.

Nationalization, Insolvency or Delisting: Per Annex SS unless otherwise agreed by the parties.

Additional Disruption Events:

Change in Law: As per Annex SS, unless otherwise agreed by the parties.

Insolvency Filing: As per Annex SS, unless otherwise agreed by the parties.

Hedging Disruption: As per Annex SS.

Increased Cost of Hedging: As per Annex SS unless otherwise agreed by the parties.

Loss of Stock Borrow: Inapplicable

Increased Cost of Stock Borrow: Inapplicable

Non-Reliance: As per Annex SS unless otherwise agreed by the parties.

Agreements and Acknowledgements Regarding

Hedging Activities:

As per Annex SS.

Additional Acknowledgements: As per Annex SS unless otherwise agreed by the parties.

Index Disclaimer: As per Annex SS unless otherwise agreed by the parties.

Mutual Early Termination Right: As agreed by the parties.

Interest Breakage Cost: If Mutual Early Termination Right is applicable, as

specified by the parties.

Calculation Agent: As agreed by the parties.

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective

Date

Latest Effective Date Earliest Termination

Date

Latest Termination

Date

N/A N/A N/A N/A One Year from

Effective Date

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Requirements and Defaults

Date Requirement Default

Designated Maturities for Linear

Interpolation

Tenors quoted next shorter and

longer than the actual Calculation

Period length