1. BGC Derivative Markets, L.P. Contract Specifications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

1.1 Product Descriptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

1.1.1 Mandatorily Cleared CEA 2(h)(1) Products as of 2nd October 2013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

1.1.2 Made Available to Trade CEA 2(h)(8) Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

1.1.3 Interest Rate Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

1.1.4 Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

1.1.5 Credit Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

1.1.6 Equity Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

1.1.6.1 Equity Index Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

1.1.6.2 Option on Variance Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

1.1.6.3 Variance & Volatility Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40

1.1.7 Non Deliverable Forwards . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

1.1.8 Currency Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

1.2 Appendices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

1.2.1 Appendix A - Business Day (Date) Conventions) Conventions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

1.2.2 Appendix B - Currencies and Holiday Centers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

1.2.3 Appendix C - Conventions Used . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

1.2.4 Appendix D - General Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

1.2.5 Appendix E - Market Fixing Indices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

1.2.6 Appendix F - Interest Rate Swap & Option Tenors (Super-Major Currencies) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
BGC Derivative Markets, L.P. Contract Specifications

Product Descriptions

Mandatorily Cleared CEA 2(h)(1) Products as of 2nd October 2013

BGC Derivative Markets, L.P. Contract Specifications

Product Descriptions

Mandatorily Cleared Products

The following list of Products required to be cleared under Commodity Futures Trading Commission rules is included

here for the convenience of the reader.

Mandatorily Cleared Spot starting, Forward Starting and IMM dated Interest Rate Swaps by Clearing Organization, including LCH.Clearnet Ltd.,

LCH.Clearnet LLC, and CME, Inc., having the following characteristics:

Specification Fixed-to-Floating Swap

Class

1. Currency U.S. Dollar (USD) Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate Indexes LIBOR EURIBOR LIBOR LIBOR

3. Stated Termination Date

Range

28 days to 50 years 28 days to 50

years

28 days to 50

years

28 days to 30

years

4. Optionality No No No No

5. Dual Currencies No No No No

6. Conditional Notional

Amounts

No No No No

Specification Basis Swap

Class

1. Currency U.S. Dollar (USD) Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate Indexes LIBOR EURIBOR LIBOR LIBOR

3. Stated Termination Date

Range

28 days to 50

years

28 days to 50

years

28 days to 50

years

28 days to 30

years

4. Optionality No No No No
5. Dual Currencies No No No No

6. Conditional Notional

Amounts

No No No No

Specification Forward Rate Agreement

Class

1. Currency U.S. Dollar (USD) Euro (EUR) Sterling (GBP) Yen (JPY)

2. Floating Rate Indexes LIBOR EURIBOR LIBOR LIBOR

3. Stated Termination Date

Range

3 days to 3 years 3 days to 3

years

3 days to 3

years

3 days to 3

years

4. Optionality No No No No

5. Dual Currencies No No No No

6. Conditional Notional

Amounts

No No No No

Specification Overnight Index Swap Class

1. Currency U.S. Dollar (USD) Euro (EUR) Sterling (GBP)

2. Floating Rate Indexes FedFunds EONIA SONIA

3. Stated Termination Date Range 7 days to 2 years 7 days to 2 years 7 days to 2 years

4. Optionality No No No

5. Dual Currencies No No No

6. Conditional Notional Amounts No No No

Credit Default Swaps on a broad-based Index on the Facility are Credit Default Swap Indices by Clearing Organization, including ICE Clear

Credit LLC, ICE Clear Europe Ltd, CME, Inc., and LCH.Clearnet SA, having the following characteristics:

Specification North American Untranched CDS Indices Class
1. Reference

Entities

Corporate

2. Region North America

3. Indices MARKIT CDX.NA.IG 

MARKIT CDX.NA.HY

4. Tenor MARKIT CDX.NA.IG: 3Y, 5Y, 7Y, 10Y 

MARKIT CDX.NA.HY: 5Y

5. Applicable

Series

MARKIT CDX.NA.IG 3Y: Series 15 and all subsequent Series, up to and including the

current Series 

MARKIT CDX.NA.IG 5Y: Series 11 and all subsequent Series, up to and including the

current Series 

MARKIT CDX.NA.IG 7Y: Series 8 and all subsequent Series, up to and including the current

Series 

MARKIT CDX.NA.IG 10Y: Series 8 and all subsequent Series, up to and including the

current Series 

MARKIT CDX.NA.HY 5Y: Series 11 and all subsequent Series, up to and including the

current Series

6. Tranched No

Specification European Untranched CDS Indices Class

1. Reference

Entities

Corporate

2. Region Europe

3. Indices MARKIT ITRAXX EUROPE 

MARKIT ITRAXX EUROPE CROSSOVER 

MARKIT ITRAXX EUROPE HIVOL

4. Tenor MARKIT ITRAXX EUROPE : 5Y, 10Y 

MARKIT ITRAXX EUROPE CROSSOVER : 5Y 

MARKIT ITRAXX EUROPE HIVOL: 5Y

5. Applicable

Series

MARKIT ITRAXX EUROPE 5Y: Series 10 and all subsequent Series, up to and including the

current Series 

MARKIT ITRAXX EUROPE 10Y: Series 7 and all subsequent Series, up to and including the

current Series 

MARKIT ITRAXX EUROPE CROSSOVER 5Y: Series 10 and all subsequent Series, up to and

including the current Series 

MARKIT ITRAXX EUROPE HIVOL 5Y: Series 10 and all subsequent Series, up to and

including the current Series
6. Tranched No

Made Available to Trade CEA 2(h)(8) Products

Under a Commodity Futures Trading Commission notice, and pursuant to these Swap contract specifications, the

following products in less than block trade size are Made Available to Trade on the Facility.

Specification Fixed-to-Floating

Interest Rate Swap

(USD)

Currency U.S. Dollar (USD) U.S. Dollar (USD) U.S. Dollar (USD)

Floating

Rate

Indexes

USD LIBOR USD LIBOR USD LIBOR

Trade Start

Type

Spot Starting (T+2) IMM Start Date

(next two IMM

dates)

 IMM Start Date (next two IMM dates)

Optionality No No No

Fixed Leg

Payment

Frequency

Semi-Annual, Annual Semi-Annual,

Annual

 Semi-Annual

Day Count

Convention

30/360, Actual/360 30/360, Actual/360 30/360

Floating Leg

Reset

Frequency

Quarterly,

Semi-Annual

Quarterly,

Semi-Annual

 Quarterly

Day Count

Convention

Actual/360 Actual/360 Actual/360

Dual

Currencies

No No No

Notional Fixed Notional Fixed Notional Fixed Notional

Fixed Rate Par Par Standard Coupon (then-current fixed coupon rates

for Market Agreed Coupon (“MAC”) contracts)
Tenors 2, 3, 4, 5, 6, 7, 10, 12,

15, 20, 30 years

2, 3, 4, 5, 6, 7, 10,

12, 15, 20, 30

years

1, 2, 3, 4, 5, 6, 7, 10, 15, 20, 30 years

Specification Fixed-to-Floating Interest Rate Swaps (EUR and

GBP)

Currency Euro (EUR) Sterling (GBP)

Floating Rate

Indexes

EURIBOR GBP LIBOR

Trade Start Type Spot Starting (T+2) Spot Starting (T+0)

Optionality No No

Fixed Leg

Payment Frequency Semi-Annual, Annual Quarterly, Semi-Annual

Day Count

Convention

30/360, Actual/360 Actual/365F

Floating Leg

Reset Frequency Quarterly, Semi-Annual Quarterly, Semi-Annual

Day Count

Convention

Actual/360 Actual/365F

Dual Currencies No No

Notional Fixed Notional Fixed Notional

Fixed Rate Par Par

Tenors3 2, 3, 4, 5, 6, 7, 10, 15, 20, 30 years 2, 3, 4, 5, 6, 7, 10, 15, 20, 30

years

Specification Untranched Credit Default Swap Indices

Reference

Entities

Corporate Corporate

Region North America Europe
Indices MARKIT CDX.NA.IG

MARKIT CDX.NA.HY

MARKIT ITRAXX EUROPE

MARKIT ITRAXX EUROPE

CROSSOVER

Tenor MARKIT CDX.NA.IG 5Y

MARKIT CDX.NA.HY 5Y

MARKIT ITRAXX EUROPE

5Y

MARKIT ITRAXX EUROPE

CROSSOVER 5Y

Applicable Series At any time, the then-current on-the-run series

and the preceding series that was replaced by the current

one

Notes

Interest Rate Swaps of the above Tenors will be Made Available to Trade as of trade date 17th February 2014,

except Interest Rate Swaps with a tenor of 4 or 6 years that are Made Available to Trade as of trade date February

26th 2014.

The 4 and 6 year par swap tenors Made Available to Trade are also limited to Swaps of ...

a) 3M USD LIBOR floating rate index; Quarterly Reset Frequency; and fixed leg conventions of (1) Semi-Annual and

30/360 ("Semi-Bond basis") ; or (2) Annual and Actual/360 ("Annual Money basis").

b) 3M and 6M EURIBOR floating rate index; fixed leg conventions of Annual and 30/360 ("Annual Bond basis")

Applicable series Credit Default Swap Indices will be Made Available to Trade as of trade date February 26th 2014.

Interest Rate Swaps

1 Interest Rate Swaps

1.1.1.1 Overview

1.1.2 General Definitions

1.2 Rate Index Swaps

1.2.1 Interest Rate Swap (IRS), Fixed/Float

1.2.2 Overnight Index Swap (OIS), Fixed/Float

1.2.3 Currency Basis Swap, Float/Float

1.2.4 Cross-Currency Basis Swap, Float/Float

1.2.5 Cross-Currency Swap, Fixed/Fixed

1.2.6 Cross-Currency Swap, Fixed/Float

1.2.7 Non-Deliverable IRS, Fixed/Float

1.3 Inflation Swaps

1.3.1 Inflation Swap, Fixed/Float

1.4 Constant Maturity Swaps
1.4.1 Constant Maturity Swap (CMS), Float/Float

1.4.2 Constant Maturity Swap, Fixed/Float

1.5 Forward Rate Agreements

1.5.1 Forward Rate Agreement (FRA)

1.5.2 DTCC GCF Repo Swaps, Fixed/Float

2 Interest Rate Options

2.1.1 Overview

2.2 Swap Options

2.2.1 Interest Rate Swaption

2.2.2 Cancellable Swap

2.3 Other Options

2.3.1 Interest Rate Option

2.3.2 Interest Rate Option - IR/Inflation Cap/Floor

Interest Rate Swaps

Overview

An instrument in which two parties agree to exchange cash flows in the same or two different currencies, based on a

notional amount, from fixed to floating or from one floating rate to another. The fixed rate is typically reset monthly,

quarterly, semi-annually or annually though in some cases such as zero coupon Inflation Swaps, there is only one

exchange of cash flows at maturity. The fixed rate may also be an off-market level whereupon payer and receiver

agree an upfront payment to accommodate such, such as in ISDA Market Agreed Coupon swaps. In general, the

floating rate can be almost any kind of index fixed asset price, but in the OTC markets we focus on interest rate

instruments only, including but not limited to:

Deposit indices such as Libor, Euribor etc

Constant Maturity indices, e.g. 5Y IRS 

Inflation indices, e.g. UK RPI, French HICP, US CPI 

General Definitions

Swap

Transaction

Any transaction which is a rate swap, basis swap, forward rate agreement, currency swap,

cross-currency swap or similar transaction (and any combination thereof)

Currency As agreed between Participants (Super-Major, Major & Non-Major Currencies)

Fixed Rate Payer In respect of a Swap Transaction, a party obligated to make payments calculated by

reference to a fixed rate

Floating Rate

Payer

In respect of a Swap Transaction, a party obligated to make payments calculated by

reference to a floating rate index

Floating Rate

Index

Dependent on Currency and as agreed between Participants. A comprehensive list of indices

can be found here and with calculations in Articles 6 & 7 of the 2006 ISDA Definitions and

the 2008 ISDA Inflation Derivatives Definitions.

Up Front

Payment

Amount

In respect of a Market Agreed Coupon Swap Transaction, the Upfront Amount Payment the

Upfront Amount Payer will pay to the other Party 
Quoting

Convention and

Minimum

Increment

Dependent on Currency, Index, Tenor and Par or Market Agreed Coupon type for electronic

Central Limit Order Books or as agreed by Participants for Voice Trading Facility trades.

Minimum Size Dependent on Currency, Index, Tenor and Par or Market Agreed Coupon type for electronic

Central Limit Order Books or as agreed by Participants for Voice Trading Facility trades.

Confirmation Documents or other confirming evidence exchanged between the counterparties which

confirm all of the terms of the Swap Transaction

Business Day A day on which banks settle payments

Date Convention The convention used for adjusting any relevant date that would otherwise fall on a

non-Business Day (see conventions list)

Term (Tenor) The total period of the Swap Transaction, starting on the Effective Date and ending on the

Termination Date

Effective (Start)

Date

The first date of the Term of the Swap Transaction, Spot or Forward starting, subject to the

agreed Date Convention.

Termination

Date

The last day of the Term of the Swap Transaction

Maturity Date Start Date + Term (Tenor)

First Fixing Date The first Index Fixing Date is zero, one or two business days (dependent on that Currency's

market standard and according to agreed Holiday calendars) prior to the Start Date of the

Swap.

Trade Types The following swap types may be executed:

Outright (Spot and Forward starting), Curve (tenor) Spreads, Butterflies, Spreads between

different floating Indices, Spreads to Futures, Spreads to Treasuries and combinations

thereof.

Trade Start

Types

Spot: A swap where the Effective Date is T+0 (e.g. GBP), T+1 (e.g. AUD), T+2 (e.g. USD,

EUR, CHF, JPL) from the trade date, depending on Currency and floating Index market

standard. 

Forward: A swap where the Effective Date is after the Effective Date for a Spot Starting

swap of that Currency and floating Index.

Settlement

Procedure

 As determined by the Clearing Venue, provided above or as agreed between Participants

for non-cleared trades

Trading Hours 7:00 pm to 5:30 pm EST, Sunday to Friday

Block Size By Currency and Tenor as set forth in Appendix F to Part 43 of the CFTC Regulations

Rate Index Swaps

Interest Rate Swap (IRS), Fixed/Float

Contract

Definition

An agreement to exchange a stream of cash flows by applying a fixed and floating interest

rate to a specified notional over a term to maturity.
IRS Types Fixed Rate v Floating Rate (X)ibor Index (e.g. 3m Libor, 6m Euribor)

Trading

Conventions

Buy/Pay = Pay Fixed, Receive Floating (X)ibor Index

Sell/Receive = Receive Fixed, Pay Floating (X)ibor Index

Swap Price quoted as an outright percentage rate in increments of fractions or decimals of a

basis point (see Appendix D).

Swap Price of a Market Agreed Coupon swap quoted as either CCY price for the swap or

percent of par of face value

Specific

Trade Types

The following swap types may be executed: Outright (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies, Spreads between different floating Indices, Spreads to Futures, Spreads to

Treasuries and combinations thereof.

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 7 days to 60 years.

Swap

Conventions

Fixed Leg: 

Payment: Annual, Semi-Annual, Quarterly or as agreed by Participants.

Day Count Conventions: as agreed by Participants and suitable to the Currency's market

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards

Floating Leg

Index: As agreed by participants and suitable to the Currency's market standards, e.g. Libor,

Euribor etc.

Payment/Resets: Semi-Annual, Quarterly, Monthly, Daily or as agreed by Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360,

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards.

Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap. 

Overnight Index Swap (OIS), Fixed/Float

Contract

Definition

An agreement to exchange a stream of cash flows by applying a fixed and floating interest

rate to a specified notional over a term to maturity.

IRS Types Fixed Rate v Floating Rate OIS Index (e.g. Sonia, Ronia, Eonia, FedFunds)
Trading

Conventions

Buy/Pay = Pay Fixed, Receive Floating OIS Index

Sell/Receive = Receive Fixed, Pay Floating OIS Index

Swap Price quoted as an outright percentage rate in increments of fractions or decimals of a

basis point (see Appendix D).

Specific

Trade Types

The following swap types may be executed: Outright (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies, Spreads between different floating Indices, Spreads to Futures, Spreads to

Treasuries and combinations thereof.

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 1 day to 60 years.

Swap

Conventions

Fixed Leg: 

Payment: Annual or as agreed by Participants.

Day Count Conventions: as agreed by Participants and suitable to the Currency's market

standards, e.g. Act/360, Act/365 etc (see )

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards

Floating Leg

Index: As agreed by participants and suitable to the Currency's market standards (e.g. Sonia,

Ronia, Eonia, FedFunds - see Appendix E)

Payment/Resets: Daily resets, compounded daily and paid on an annualised basis, or as

agreed by Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360,

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards.

Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap. 

Currency Basis Swap, Float/Float

Contract

Definition

An agreement to exchange two streams of floating cash flows on a specified notional over

a term to maturity. 

Basis

Spread

A spread between two Floating Rate Indices (e.g. 3m Libor, 6m Libor, OIS Index - See Appendix

E) of the same currency (Super-Major, Major & Non-Major Currencies - see Appendix B).
Basis Swap

Types

"Fra/Ois" (3m vs daily compounded OIS), 3v1, 3v6 or 6v3, 3v12, 6v12 or other combinations of

floating indices as agreed by Participants.

Specific

Trade Types

The following swap types may be executed: Outrights (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies

Trading

Conventions

Buy/Pay = Pay Floating (X)ibor Index Index 1 Flat, Receive Floating (X)ibor Index Index 2 +

Basis Spread

Sell/Receive = Receive Floating (X)ibor Index Index 1 Flat, Pay Floating (X)ibor Index Index 2 +

Basis Spread

Basis Spread Price quoted in increments of fractions or decimals of a basis point (see

Appendix D).

Leg 1 is usually the longer underlying index tenor, e.g. 3v1 rather than 1v3. Thus the 3m index

is paid flat and the spread is added to the 1m index. The shorter index can be compounded, i.e.

Q/Q = 3m index vs 1 quarterly payment consisting of 3 compounded 1m index settings OR the

shorter index can be 3 separate monthly payments.

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 3 months to 60 years.

Swap

Conventions

Floating Legs 1 & 2: 

Index: As agreed by participants and suitable to the Currency's market standards (e.g. 3m

Libor, 6m Libor, OIS Index - See Appendix E)

Payment/Resets: Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by

Participants.

Day Count Conventions: As dictated by Market Standard for each Index, e.g. Act/360,

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to each Currency's market standards.

Periodic

Settlement

Payment and Resets:

Floating Legs 1 & 2: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. Pay

ments are settled in accordance with the payment frequency of the swap. 

Cross-Currency Basis Swap, Float/Float

Contract

Definition

An agreement to exchange a stream of cash flows by applying a floating interest rate on

leg 1 and a floating interest rate on leg 2 to a specified notional over a term to maturity.

Basis

Spread

A spread between the Floating Rate Indices (e.g. 3m Libor, 6m Libor, OIS Index - See Appendix

E) of two different currencies (Super-Major, Major & Non-Major Currencies - see Appendix B)

Basis Swap

Types

Floating Rate (X)ibor Index (e.g. 3m Libor) v Floating Rate (X)ibor Index (e.g. 3m Euribor), usually

with the same Payment frequency, e.g. Q/Q

Floating Rate OIS Index (e.g. Eonia) v Floating Rate OIS Index (e.g. FedFunds), usually with the

same Payment frequency, e.g. Q/Q
Specific

Trade Types

The following swap types may be executed: Outrights (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies

Trading

Conventions

Buy/Pay = Pay Floating Index Currency 1 Flat, Receive Floating Index Currency 2 + Basis

Spread

Sell/Receive = Receive Floating Index Currency 1 Flat, Pay Floating Index Currency 2 + Basis

Spread

Basis Spread Price quoted in increments of fractions or decimals of a basis point (see Appendi

x D).

Notional amount set in Currency 1, e.g. 100m USD, payments Leg 1 in USD, payments Leg 2

in Currency 2

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 3 months to 60 years.

Swap

Conventions

Floating Legs 1 & 2

Indices: As agreed by participants and suitable to each Currency's market standards (e.g. 3m

Libor, 6m Libor, OIS Index - See Appendix E)

Payment/Resets: Semi-Annual, Quarterly, Monthly or as agreed by Participants.

Day Count Conventions: As dictated by Market Standard for each Index, e.g. Act/360,

Act/365 (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to each Currency's market standards.

Periodic

Settlement

Payment and Resets:

Floating Legs 1 & 2: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. Pay

ments are settled in accordance with the payment frequency of either leg 1 or leg 2 as agreed

between Participants. Cross Currency Basis Swaps are traded with an exchange of principle

FX'd at both start date and maturity and may also be traded with intra-swap FX exchanges as

required. 

Cross-Currency Swap, Fixed/Fixed

Contract

Definition

An agreement to exchange a stream of cash flows by applying a fixed interest rate on leg 1

and fixed interest rate on leg 2 to a specified notional over a term to maturity.

Spread A spread between the fixed rates of two different currencies (Super-Major, Major & Non-Major

Currencies - see Appendix B)

Swap Types Fixed Rate v Fixed Rate, usually with the same Payment frequency, e.g. A/A, S/S, Q/Q

Specific

Trade Types

The following swap types may be executed: Outrights (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies
Trading

Conventions

Buy/Pay = Pay Fixed Leg Currency 1 Flat, Receive Fixed Leg Currency 2 + Spread

Sell/Receive = Receive Fixed Leg Currency 1 Flat, Pay Fixed Leg Currency 2 + Spread

Spread Price quoted in increments of fractions or decimals of a basis point (see Appendix D).

Notional amount set in Currency 1, e.g. 100m USD, payments Leg 1 in USD, payments Leg 2

in Currency 2

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 7 days to 60 years.

Swap

Conventions

Fixed Legs 1 & 2: 

Payment: Annual, Semi-Annual, Quarterly or as agreed by Participants

Day Count Conventions: as agreed by Participants and suitable to each Currency's market

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to each Currency's market

standards

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to each Currency's market standards

Periodic

Settlement

Payment and Resets:

Fixed Legs 1 & 2: The payment amount of the Fixed Legs are based on: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate. Payments are settled in

accordance with the payment frequency of either leg 1 or leg 2 as agreed between Participants.

Cross Currency Swaps may be traded with an exchange of principle FX'd at both start date and

maturity and may also be traded with intra-swap FX exchanges as required and as agreed

between Participants. 

Cross-Currency Swap, Fixed/Float

Contract

Definition

An agreement to exchange a stream of cash flows by applying a fixed interest rate on leg 1

and a floating interest rate on leg 2 to a specified notional over a term to maturity.

Spread A spread between the fixed rate of one currency and the Floating Rate Index (e.g. 3m Libor, 6m

Libor, OIS Index - See Appendix E) of a second currency (Super-Major, Major & Non-Major

Currencies - see Appendix B)

Swap Types Fixed Rate v Floating Index Rate

Specific

Trade Types

The following swap types may be executed: Outrights (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies

Trading

Conventions

Buy/Pay = Pay Fixed Currency 1 Flat, Receive Floating Index Currency 2 + Spread

Sell/Receive = Receive Fixed Currency 1 Flat, Pay Floating Index Currency 2 + Spread

Spread Price quoted as an outright percentage rate in increments of fractions or decimals of a

basis point (see Appendix D).

Notional amount set in Currency 1, e.g. 100m USD, payments Leg 1 in USD, payments Leg 2

in Currency 2

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 3 months to 60 years.
Swap

Conventions

Fixed Leg, Currency 1 

Payment: Annual, Semi-Annual, Quarterly or as agreed by Participants

Day Count Conventions: as agreed by Participants and suitable to the Currency's market

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards

Floating Leg, Currency 2

Index: As agreed by participants and suitable to the Currency's market standards (e.g. 3m

Libor, 6m Libor, OIS Index - See Appendix E)

Payment/Resets: Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by

Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360,

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards.

Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of either leg 1 or leg 2 as agreed

between Participants. Cross Currency Swaps may be traded with an exchange of principle FX'd

at both start date and maturity and may also be traded with intra-swap FX exchanges as required

as agreed between Participants. 

Non-Deliverable IRS, Fixed/Float

Contract

Definition

As above for Fixed/Float IRS, an agreement to exchange a stream of cash flows by

applying a fixed and floating interest rate to a specified notional over a term to maturity

but where settlement value of each cash flow is paid in a second Currency (typically USD),

converted at the spot FX Fixing rate for the Notional Currency traded.

This type of swap is common among Asian and Latin American currencies.

Spread A spread between a Fixed Rate and a Floating Rate Index (see list) of an offshore

non-deliverable currency.

Swap Types Fixed Rate v Floating Index Rate

Specific

Trade Types

The following swap types may be executed: Outrights (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies
Trading

Conventions

Buy/Pay = Pay Fixed Currency 1, Receive Floating Index Currency 1, netted and payable in

Currency 2

Sell/Receive = Receive Fixed Currency 1, Pay Floating Index Currency 1, netted and payable

in Currency 2

Swap Price quoted as an outright percentage rate in increments of fractions or decimals of a

basis point (see Appendix D).

Notional amount set in Currency 2, e.g. 100m USD, payments Leg 1 in Currency 2, payments

Leg 2 in Currency 2

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 3 months to 60 years.

Swap

Conventions

Fixed Leg, Currency 1 

Payment: Annual, Semi-Annual, Quarterly or as agreed by Participants

Day Count Conventions: as agreed by Participants and suitable to the Currency's market

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards

Floating Leg, Currency 2

Index: As agreed by participants and suitable to the Currency's market standards (e.g. 3m

Libor, 6m Libor, OIS Index - See Appendix E)

Payment/Resets: Annual, Semi-Annual, Quarterly, Monthly, Daily or as agreed by

Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360,

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards.

Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of either leg 1 or leg 2 as agreed

between Participants. Non-Deliverable IRS are traded with an exchange of principle FX'd at both

start date and maturity and may also be traded with intra- swap FX exchanges as required. 

Inflation Swaps

Inflation Swap, Fixed/Float

Contract

Definition

An agreement to exchange a stream of cash flows by applying a fixed rate and a floating

Inflation Index rate to a specified notional over a term to maturity.
IRS Types Fixed Rate vs. Floating Inflation Index Rate, e.g. CPI, HICP, RPI etc or based on an Inflation

based instrument, e.g. Mexico UDI

Floating Inflation Rate vs. Floating Index Rate plus or minus a spread, e.g. Mexico UDI

vs. Mexico TIIE or Mexico UDI vs. USD Libor (cross currency)

Trading

Conventions

Buy/Pay = Pay Fixed, Receive Floating Inflation Index

Sell/Receive = Receive Fixed, Pay Floating Inflation Index

Swap Price quoted in increments of fractions of a basis point (percentage rate * 100) (see

Appendix D).

Specific

Trade Types

The following swap types may be executed: Outrights (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies, Spreads between different Inflation Indices.

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 7 days to 60 years.

Swap

Conventions

Fixed Leg: 

Payment: Zero Coupon (ZC) with payments at Maturity or Annual Year-on-Year (YoY)

payments.

Day Count Conventions: as agreed by Participants and suitable to the Currency's market

standards, e.g. 30/360, Act/Act etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards

Floating Leg

Index: As agreed by participants and suitable to the Currency's market standards, e.g. CPI,

HICP, RPI etc

Payment/Resets: Zero Coupon (ZC) with payments at Maturity or Annual Year-on-Year (YoY)

payments.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. 30/360,

Act/Act etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards.
Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate:

Zero Coupon (ZC) =Notional * ((1 + X%) ^ T - 1)

Year-on-Year (YoY) = Notional * X%

where T is the tenor in Years, X is the Fixed Price.

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Inflation Index and Floating Reset Dates:

ZC = Notional * ((Inflation Index at Maturity / Inflation Index at Start) - 1)

YoY = Notional * DayFrac * ((Inflation Index(n) / Inflation Index (n-1)) - 1),

where DayFrac is the DayFraction for the interval (n-1) to n.

Payments are settled in accordance with the payment frequency of the swap. 

Constant Maturity Swaps

Constant Maturity Swap (CMS), Float/Float

Contract

Definition

An agreement to exchange two streams of floating cash flows on a specified notional over

a term to maturity. The first floating rate is referred to as a Constant Maturity because the

underlying asset is the daily fixing of a medium-term Interest Rate Swap, typically 2Y, 5Y

or 10Y. The second floating rate is a deposit index such as Libor.

CMS Spread The spread between two floating rate indices of the same currency (Super-Major, Major &

Non-Major Currencies - see Appendix B)

CMS Types Floating ISDA Fix Constant Maturity (e.g. 5y IRS) vs Floating Rate (X)ibor Index (e.g. 3m Libor,

6m Euribor - See Appendix E) + spread

Specific

Trade Types

The following swap types may be executed: Outrights (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies

Trading

Conventions

Buy/Pay = Pays Floating (X)ibor Index + Spread, receives Floating CMS Index Flat

Sell/Receive = Receive Floating (X)ibor Index + Spread, pays Floating CMS Index Flat

Basis Spread Price quoted in increments of fractions or decimals of a basis point (see

Appendix D).

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 1 year to 60 years.
Swap

Conventions

Floating Leg 1 

CMS Index: As agreed by participants and suitable to the Currency's market standards,

e.g. ISDA Fix CMS Index.

Payment/Resets: Annual, Semi-Annual, Quarterly or as agreed by Participants.

Day Count Conventions: As dictated by Market Standard for each Index, e.g. 30/360, Act/365

etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to each Currency's market standards.

Floating Leg 2

Index: As agreed by participants and suitable to the Currency's market standards, e.g. Libor,

Euribor etc. - See Appendix E

Payment/Resets: Semi-Annual, Quarterly, Monthly or as agreed by Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Index, e.g. Act/360,

Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards.

Periodic

Settlement

Payment and Resets:

Floating Legs 1 & 2: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. Pay

ments are settled in accordance with the payment frequency of the swap. 

Constant Maturity Swap, Fixed/Float

Contract

Definition

An agreement to exchange a stream of cash flows by applying a fixed and floating interest

rate to a specified notional over a term to maturity. The floating rate in this case is referred

to as a Constant Maturity because the underlying asset is the daily fixing of a

medium-term Interest Rate Swap, typically 2Y, 5Y or 10Y

IRS Types Fixed Rate vs Floating ISDA Fix Constant Maturity (CMS) Rate

Trading

Conventions

Buy/Pay = Pay Fixed, Receive Floating CMS

Sell/Receive = Receive Fixed, Pay Floating CMS

Swap Price quoted as an outright percentage rate in increments of fractions or decimals of a

basis point (see Appendix D).

Specific

Trade Types

The following swap types may be executed: Outright (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies.

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 1 year to 60 years.
Swap

Conventions

Fixed Leg: 

Payment: Annual, Semi-Annual, Quarterly or as agreed by Participants.

Day Count Conventions: as agreed by Participants and suitable to the Currency's market

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards

Floating Leg

CMS Index: As agreed by participants and suitable to the Currency's market standards, e.g. IS

DA Fix CMS Index.

Payment/Resets: Annual, Semi-Annual, Quarterly or as agreed by Participants.

Day Count Conventions: As dictated by Market Standard for the Floating Swap Index, e.g.

Act/360, Act/365 etc (see Appendix C)

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards.

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards.

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards.

Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, CMS Index Floating Interest Rate and Floating Reset

Dates.

Payments are settled in accordance with the payment frequency of the swap. 

Forward Rate Agreements

Forward Rate Agreement (FRA)

Contract

Definition

An agreement to exchange a cash flow by applying a fixed interest rate to a specified

notional over a term to maturity and paying/receiving the difference according to valuation

of an Index at FRA settlement date.

Trading

Conventions

Buy/Pay = Pay Fixed, Receive Floating (X)ibor Index on settlement date, cash settled, i.e. pay [

Fixed - Floating ]

Sell/Receive = Receive Fixed, Pay Floating (X)ibor Index on settlement date, cash settled, i.e.

receive [ Fixed - Floating ]

FRA Price quoted as an outright percentage rate in increments of fractions or decimals of a

basis point (see Appendix D).

Specific

Trade Types

The following FRA types may be executed: Outrights (Forward starting), Spreads, Butterflies,

Spreads between different Floating Indices, Spreads to Futures and combinations thereof.

FRA Term

(Tenor)

As agreed by the Participants. A FRA contract can have a forward starting Tenor from 1 month

to 36 months.
FRA

Conventions

Start Date (Effective Date): Forward Settlement as agreed by the Participants 

Maturity Date: Forward Start Date + FRA Index Tenor 

Settlement: Cash settled on Forward Settlement Date as Traded Rate minus Index Fixing rate

[ Fixed - Floating ]

Day Count Conventions: as agreed by Participants and suitable to the Currency's market

standards, e.g. 30/360, Act/365 etc (see Appendix C)

Holiday Calendar: as agreed by Participants and suitable to the Currency's market standards

Business Day Conventions: Modified Following with adjustment to period end dates or as

agreed by Participants and suitable to the Currency's market standards

Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are cash settled on Forward Settlement Date as Traded Rate minus Index Fixing rate

DTCC GCF Repo Swaps, Fixed/Float

Contract

Definition

An agreement to exchange a stream of cash flows by applying a fixed and floating interest

rate to a specified notional over a term to maturity.

IRS Types Fixed Rate v Depository Trust & Clearing Corp (DTCC) General Collateral Finance (GCF)

Repurchase Agreement Index

Trading

Conventions

Buy/Pay = Pay Fixed, Receive DTCC GCF Repo Index 

Sell/Receive = Receive Fixed, Pay DTCC GCF Repo Index 

Swap Price quoted as an outright percentage rate in increments of fractions or decimals of a

basis point (see Appendix D).

Specific

Trade Types

The following swap types may be executed: Outright (Spot and Forward starting), Curve (tenor)

Spreads, Butterflies

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 7 days to 5 years.

Swap

Conventions

Fixed Leg: 

Payment: Annual (or term if < 1 year)

Day Count Conventions: Act/360

Holiday Calendar: New York

Business Day Conventions: Modified Following with adjustment to period end dates, or as

agreed between participants for more bespoke swaps
Floating Leg

Index: DTCC GCF Repo Index, Daily reset

Payment: Daily

Day Count Conventions: Act/360

Holiday Calendar: New York

Fixing Calendar: New York

Business Day Conventions: Modified Following with adjustment to period end dates, or as

agreed between participants for more bespoke swaps

Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate. 

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap. 

Interest Rate Options

Overview

An interest rate option grants the buyer the right, but not the obligation, to either enter into an underlying instrument

(payers or receivers swaption - usually cash settled at expiry) or a series of pay-offs based upon future index fixings

(cap/floor). Exercise of this option is dependent upon the strike price agreed at the time of the original contract being

"in the money" at expiry, i.e. higher than the fixing rate for a receivers swaption or floor (puts), lower for a payers

swaption or cap (calls).

Swap Options

Interest Rate Swaption

Contract

Overview

An option to enter into an Interest Rate Swap contract ('Underlying Swap') at

pre-defined time(s), typically a Fixed/Float IRS with its Fixed Rate equal to the Strike.

Type Payer = Correspond to paying the fixed rate in the Underlying Swap.

Receiver = Correspond to receiving the fixed rate in the Underlying Swap.

Trade

Convention

Buy = Buy the right to exercise the option.

Sell = Sell the right to exercise the option.

Trade Currency Available currencies as defined in ‘Appendix B’.

Trade Date Date on which the trade is conducted.

Price Quote

Convention

Spot or Forward Option Premium quoted in increments of fractions or decimals of a basis

point (see Appendix D).
Premium

Amount

( Notional * Price )

Premium

Payment Date

Date on which the Premium is paid by the Buyer to the Seller.

Spot – Premium paid agreed number of business days after the Trade Date.

Forward – Premium paid agreed number of business days after the Expiry Date.

Strike Rate that will be used for the Underlying Swap on its inception.

Minimum

Notional

As agreed by the participants, depending upon Currency, Expiry Date and Tenor

Exercise Type European

American

Bermudan 

Expiry Date Exercise date(s) of the option.

1 day to 50 years from Trade Date.

European

Exercise only on the Expiry Date and Time specified.

American

Exercise is allowed at any time up to the Expiry Date specified.

Bermudan

One or more pre-defined exercise times within a range of dates agreed between participants.

Tenor Term of the underlying swap, 3 months to 50 years from Expiry Date.

Settlement

Type

Cash

Physical

Cleared Physical

Dates and conventions as defined by ‘ISDA 2006 Definitions’.

Payment

Amount

As defined by ‘ISDA 2006 Definitions’ according to Settlement Type.

Underlying

Swap Effective

Date

Number of business days after the option is exercised, as agreed by the participants.

Definition of

Underlying

Swap

Fixed/Floating Interest Rate Swap

Trade

Strategies

Payers/Receivers
ISDA OTC

Taxonomy

Asset Class Interest Rate

Base Product IR Swap

Sub-Product Swaption

Included

Definitions

2006 ISDA Definitions

Cancellable Swap

Contract Overview An option to exit an Interest Rate Swap contract ('Underlying Swap') at

pre-defined time(s), typically a Fixed/Float IRS with its Fixed Rate equal to the

Strike.

Type Payer = Correspond to paying the fixed rate in the Underlying Swap.

Receiver = Correspond to receiving the fixed rate in the Underlying Swap.

Trade Convention Buy = Buy the right to exercise the option.

Sell = Sell the right to exercise the option.

Trade Currency Available currencies as defined in ‘Appendix B’.

Trade Date Date on which the trade is conducted.

Price Quote

Convention

Spot or Forward Option Premium quoted in increments of fractions or decimals of a

basis point (see Appendix D).

Premium Amount ( Notional * Price )

Premium Payment

Date

Date on which the Premium is paid by the Buyer to the Seller.

Spot – Premium paid agreed number of business days after the Trade Date.

Forward – Premium paid agreed number of business days after the Expiry Date.

Strike Rate that will be used for the Underlying Swap on its inception.

Minimum Notional As agreed by the participants, depending upon Currency, Expiry Date and Tenor

Exercise Type European

American

Bermudan 
Expiry Date Exercise date(s) of the option.

1 day to 50 years from Trade Date.

European

Exercise only on the Expiry Date and Time specified.

American

Exercise is allowed at any time up to the Expiry Date specified.

Bermudan

One or more pre-defined exercise times within a range of dates agreed between

participants.

Tenor Term of the underlying swap, 3 months to 50 years from Expiry Date.

Settlement Type Cash

Physical

Cleared Physical

Dates and conventions as defined by ‘ISDA 2006 Definitions’.

Payment Amount As defined by ‘ISDA 2006 Definitions’ according to Settlement Type.

Underlying Swap

Effective Date

As agreed by the participants.

Underlying Swap

Termination/Maturity

Date

Number of business days after the option is exercised.

Definition of

Underlying Swap

Fixed/Floating Interest Rate Swap

Trade Strategies Payers/Receivers

ISDA OTC Taxonomy

Asset Class Interest Rate

Base Product IR Swap

Sub-Product Swaption

Included Definitions 2006 ISDA Definitions

Other Options

Interest Rate Option
Contract

Definition

An agreement to exchange a stream of cash flows of an option leg and either a fixed or

floating interest rate leg to a specified notional over a term to maturity.

Trading

Conventions

Buy = Receive option leg, pay fix/floating interest rate leg

Sell = Pay option leg, receive fix/floating interest rate leg

Trade

Currency

Available currencies as defined in ‘Appendix B’.

Trade Date Date on which the trade is conducted.

Price Quote

Convention

Quoted in BP

Spot or Forward.

Specific

Option

Types

Cap, Floor, CMS Spread Option, Exotic

Swap Term

(Tenor)

As agreed by the Participants. A contract can have a Tenor from 7 days to 60 years

Swap

Conventions

Option Leg:

Index: As agreed by participants and suitable to the Currency's market standards { Interest

Rate Indices (as per ISDA 2006 or agreed by Participants), Inflation Indices (as per ISDA

2008), and spreads of the aforementioned }

Rate: A function of the index including caps and floors

Payment/Resets: As per ISDA 2006

Day Count Conventions: As per Interest Swap for the trade Currency by default, or as per

Appendix A

Holiday Calendar: As agreed by Participants and suitable to the Currency's market standards

Fixing Calendar: As agreed by Participants and suitable to the Currency's market standards

Business Day Conventions: As agreed by Participants

Floating / Fixed Leg

Index or Fixed Rate: As agreed by Participants

Payment/Resets: As per ISDA 2006

Day Count Conventions: As per Interest Swap for the trade Currency by default, or as per

Appendix A

Holiday Calendar: As agreed by participants and suitable to the Currency's market standards

Fixing Calendar: As agreed by participants and suitable to the Currency's market standards

Business Day Conventions: As agreed by Participants

Periodic

Settlement

Payment and Resets:

Fixed Leg: The payment amount of the Fixed Leg is based on: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.
Interest Rate Option - IR/Inflation Cap/Floor

Price Quote

Convention

Quoted in BP Spot – Value of option leg to be paid upfront. Basis Points Running – Premium

divided into a spread paid each period of the option leg.

Swap

Conventions

Option Leg (only leg of structure):

Index: 

IR = Interest Rate Indices as per ISDA 2006 or as agreed by participants.

Inflation = Inflation Indices as per ISDA 2008 or as agreed by participants, expressed

as an annualised rate.

Rate:

Cap = Max(Index(Ti) - Strike, 0)

Floor = Max(Strike - Index(Ti), 0)

 Tenors 1 day to 60 years

Strategies Straddle, Strangle, Collar

Commodities

Product

Name

Metal Options

Description A metal option represents the purchase or sale of the right to buy or sell metal, rather than an

outright purchase or sale. The metal that is the subject of the option is referred to as the underlying

asset.

An option therefore is the right but not the obligation to buy from, or to sell to, the seller (or grantor)

of the option, an agreed quantity of the underlying asset at an agreed price (the strike price) up to

or on an agreed date in the future (the expiration date). The buyer of the option may exercise his

rights under the option up to that date. In the case where the seller of the option sells, or grants,

the buyer of the option the right to buy the underlying asset, the option is termed a call option. If

the seller of the option grants the buyer of the option the right to sell to him the underlying asset, it

is termed a put option.

Depending on Participants, a Metal Option may be a Commodity Trade Option and treated as per

CFTC Rule 32.3.
Underlying

metal

Precious metals

Gold: the minimum acceptable fineness is 995.0 parts per thousand fine gold

Silver: 999.0 parts per thousand silver

Platinum: At least 99.95% Platinum

Palladium: At least 99.95% Palladium

Base metals

Aluminium: Primary aluminium with impurities no greater than the chemical composition of one

of the registered designations:

P1020A in the North American and International Registration Record entitled

“International Designations and Chemical Composition Limits for Unalloyed Aluminum”

(revised March 2007)

Al99.70 in the GB/T 1196-2008 Standard entitled “Unalloyed aluminium ingots for

remelting”

Aluminium Alloy: A380.1, 226 or AD12.1 aluminium alloy

NASAAC: Aluminium alloy conforming to the LME NA380.1 specification

Copper: Grade A copper must conform to the chemical composition of one of the following

standards:

BS EN 1978:1998 - Cu-CATH-1

GB/T 467-2010 - Cu-CATH-1

ASTM B115-10 - cathode Grade 1

Lead: Lead of 99.97% purity (minimum) must conform to the chemical composition one of the

following standards:

BS EN 12659:1999 - Permitted grades: material numbers PB970R, PB985R and PB990R

GB/T 469/2005 - Permitted grades: 99.970%, 99.985%, 99.990% and 99.994%

ASTM B29-03 (2009) - Permitted grades: 99.97% and 99.995%

Nickel: Ni 99.8% purity conforming to B39-79 (2008)

Tin: Tin of 99.85% purity (minimum) conforming to BS EN 610:1996

Zinc: Special high-grade zinc of 99.995% purity (minimum) must conform to the chemical

composition of one of the following standards:

BS EN 1179:2003 - 99.995% grade

ISO 752:2004 - ZN-1 grade

ASTM B6-12 - LME grade

GB/T 470-2008 - Zn99.995 grade

Lot size Precious metals

Gold: 1 Troy Ounce

Silver: 1 Troy Ounce

Platinum: 1 Troy Ounce

Palladium: 1 Troy Ounce

Base metals

Aluminium: 25 tonnes

Aluminium Alloy: 20 tonnes

NASAAC: 20 tonnes

Copper: 25 tonnes

Lead: 25 tonnes

Nickel: 6 tonnes

Tin: 5 tonnes

Zinc: 25 tonnes
Tenors Precious metals

Gold: up to 10 years

Silver: up to 10 years

Platinum: up to 10 years

Palladium: up to 10 years

Base metals

Aluminium: Monthly out to 63 months

Aluminium Alloy: Monthly out to 27 months

NASAAC: Monthly out to 27 months

Copper: Monthly out to 63 months

Lead: Monthly out to 15 months

Nickel: Monthly out to 27 months

Tin: Monthly out to 15 months

Zinc: Monthly out to 27 months

Price

Quote

Convention

Precious metals

Gold: tenths of US Dollar cents per Troy Ounce

Silver: thousandths of US Dollar cents per Troy Ounce

Platinum: tenths of US Dollar cents per Troy Ounce

Palladium: tenths of US Dollar cents per Troy Ounce

Base metals

Aluminium: US dollars per tonne

Aluminium Alloy: US dollars per tonne

NASAAC: US dollars per tonne

Copper: US dollars per tonne

Lead: US dollars per tonne

Nickel: US dollars per tonne

Tin: US dollars per tonne

Zinc: US dollars per tonne

Minimum

price

fluctuation

(tick size)

Precious metals

Gold: $0.001/oz t

Silver: $0.00001/oz t

Platinum: $0.001/oz t

Palladium: $0.001/oz t

Base metals

Aluminium: $0.01 per tonne

Aluminium Alloy: $0.01 per tonne

NASAAC: $0.01 per tonne

Copper: $0.01 per tonne

Lead: $0.01 per tonne

Nickel: $0.01 per tonne

Tin: $0.01 per tonne

Zinc: $0.01 per tonne
Trade

Types

Call

Put

Option

Premium

As agreed by Participants - Currency style option premiums must be exchanged within 2 business

days of the transaction being executed.

Option Premium to be quoted and exchanged in US Dollars

Option

style

As agreed by Participants

European

American

Option

expiry

As agreed by Participants: the option expiry date is agreed as part of the contract at point of

execution.

Value date is T+2, based on the modified following business day convention.

Settlement

Type

Physical

Holiday

Calendar

As per LBMA (London Bullion Market Association) or as agreed between Participants 

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

References:

Good gold and silver delivery:

http://www.lbma.org.uk/good-delivery-explained

Good platinum and palladium delivery:

http://www.lppm.com/display.aspx?type=gooddelivery

http://www.lppm.com/LPPMRulesCLEANVersionSeptember2012.pdf

http://www.lppm.com/otcguide.pdf

Good base metal delivery:

http://www.lme.com/metals/non-ferrous/

Credit Derivatives

Credit Derivative Product Details and Contract Specifications

Products

Credit Default Swap Indices

Credit Index Swaptions

Overview:

Credit derivatives provide an opportunity to hedge or acquire credit exposure on an underlying reference credit

entity. In the event of a credit “event” such as default of the entity, a “buyer” of credit protection will be compensated
for losses whilst a “seller” of credit protection will be liable for the compensation amount. The underlying entity can

be:

a) a portfolio of single credits assembled as a standardized credit “reference index”

b) a single credit (e.g. BMW)

c) a “tranche” of credit risk based on an index portfolio. e.g. exposure to a defined proportion of the loss

distribution associated with an index For example exposure to up to the first 3% of losses on an index.

For this certification, we confine ourselves to standard reference indices as the underlying entity.

Basic Credit Derivative contracts

Credit exposure to the underlying reference entity can be achieved in two principal ways:

a) via a "Credit Default Swap"

A credit default swap is a contract between two participants - “Protection Buyer” and a “Protection Seller”. Under the

contract, the buyer pays a regular “premium” to the seller who in exchange agrees to compensate the buyer for

losses if a “Credit Event” occurs (the definition of a credit event is specified under ISDA 2003 or ISDA 2014

definitions), at which point the contract terminates and a cash “settlement” is made to the buyer in accordance with

ISDA CDS credit event auction guidelines. Versions of these are Credit Default Swap Indices based upon a

standard reference index of underlying CDS (see below)

b) via "Credit Default Swap Option (Swaption)"

A credit default swaption gives the gives the buyer of the option, the right but not the obligation to enter into a credit

default swap (as in a) above) i.e. “exercise” the option at the specified option “expiry date”. Option exercise is

generally restricted to the expiry date – “European style” or less commonly may be executed at any time up to expiry

– “American Style”. The most liquid contract is a Credit Default Index Swaption

Credit Default Swap Indices

Product Description:

In 2004, standardized credit indices were introduced which are credit default swaps based upon rule-based

portfolios of equally-weighted underlying credits from specific market sectors. There are two main index families

based on geographical location: a) MARKIT CDX indices : comprising single credits from North America and

Emerging Markets, and b) MARKIT ITRAXX indices comprising single credits from Europe, Asia and the Rest of the

World. The generic MARKIT CDX and MARKIT ITRAXX indices are subdivided according to the number and credit

characteristics of their underlying constituents: both indices are serially issued every 6 months, rolling in Mar and

September (generally on the 20th of the Month except for High Yield on 27th) with changes to portfolio constituents

determined by polling of a group of investment banks. There is a standard set of tenors depending upon the portfolio

(3, 5, 7 & 10yrs). A new series will have an associated standard coupon rate (premium) based upon the credit

spreads of the underlying constituents – this is generally fixed (and displayed on SEF systems) at either 100bps or

500bps (though can be 25 or 1000bps in exceptional situations) depending upon the credit quality of the underlying

entities, with an upfront payment offsetting the difference between this rate and the average spread of the portfolio.

On issue date, the new series of an index comprising new portfolio and coupon is published. New series issuance

and portfolio characteristics is administered by Markit Partners - see www.Markit.com.and indices adhere to ISDA

standard protocols - see www.isda.org. Credit event(s) on single names within a portfolio will result in a proportional

erosion of its par value. CDX, MCDX and iTraxx Marks used in these Contract Specifications are marks of Markit

North America, Inc. and Markit Indices Limited and have been licensed for use by BGC Derivative Markets, L.P.

TABLE A: ON THE RUN INDICES
Family Indices Description* Tenors

(Y)

Cleared

Series

(as of

2nd Oct

2013)

Swap Convention Recovery(%)

MARKIT

CDX.

NA.IG 125 investment grade 3,5,7,10 3Yr 15 to

Current 

5Yr 11 to

Current

7Yr and

10Yr 8 to

Current

Traded on

Spread/ Coupon

100bps

40

MARKIT

CDX.

NA.HY 100 High Yield 5 12 to

Current

Traded on

Price/ Coupon

500bps

30 

MARKIT

CDX.

NA.HVOL 30 investment grade 3,5,7,10 12 to

Current 

Traded on

Spread/ Coupon

100bps

40 

MARKIT

CDX.

NA.EM 14 (can vary) Emerging

Market Sovereign

Issuers

5 14 to

Current

Traded on

Price/ Coupon

500bps

25

MARKIT

ITRAXX

EUROPE 125 liquid European

investment grade names

3,5,7,10 5yr 10 to

Current

10yr 7 to

Current

Traded on

Spread/ Coupon

100bps

40

MARKIT

ITRAXX

EUROPE

CROSSOVER

50 most liquid sub

investment grade names

3,5,7,10 5y 10 to

Current

Traded on

Spread/ Coupon

500bps

40

MARKIT

ITRAXX

EUROPE

HIVOL

30 widest spread

non-financial credits

3,5,7,10 5y 10 to

Current

Traded on

Spread/ Coupon

100bps

40

MARKIT

ITRAXX

EUROPE

SENIOR

FINANCIALS

25 European Senior

Financial Entities

5, 10yr Traded on

Spread/ Coupon

100bps

40

MARKIT

ITRAXX

EUROPE SUB

FINANCIALS

25 European

Subordinated Financial

Entities

5, 10yr Traded on

Spread/ Coupon

100bps

20

MARKIT

ITRAXX

JAPAN 50 Japanese entities 5yr Traded on

Spread/ Coupon

100bps

35
MARKIT

ITRAXX

ASIA-EX JAPAN 40 Asian - ex Japan

entities

5yr Traded on

Spread/ Coupon

100bps

40

MARKIT

ITRAXX

AUSTRALIA 25 Australian entities 5yr Traded on

Spread/ Coupon

100bps

40

MARKIT

CDX

LatAm Corp 20 Latin American

Corporates

5yr Traded on

Price/ Coupon

500bps

25

MARKIT

MCDX

MCDX 50 US Municipal Issuers 3,5,10yr Traded on

Spread/ Coupon

500bps

80

MARKIT

ITRAXX

SOVX Top 15 Western Europe

Sovereign entities

5,10yrs Traded on

Spread/ Coupon

100bps

40

MARKIT

ITRAXX

SOVX EXEU 10 CEEMEA names ex.

Europe

5yr Current

Series 10

Traded on Price/

Coupon 100bps

25

MARKIT

ITRAXX

CEEMEA

CORPX

25 Corporate EM names 5yr Current

Series 20

Traded on Price/

Coupon 100bps

25

SUB-INDICES

MARKIT

CDX

NA.HY.BB Sub-basket MARKIT

CDX.NA.HY that are BB

rated

5yr Traded on Price/

Coupon 500bps

30

MARKIT

CDX

NA.HY.B Sub-basket MARKIT

CDX.NA.HY that are B

rated

5yr Traded on

Price/ Coupon

500bps

30

MARKIT

CDX

NA.IG.CONS Sub-basket MARKIT

CDX.NA.IG that are

Consumer

5yr Traded on

Spread/ Coupon

100bps

40

MARKIT

CDX

NA.IG.ENRG Sub-basket MARKIT

CDX.NA.IG that are

Energy

5yr Traded on

Spread/ Coupon

100bps

40

MARKIT

CDX

NA.IG.FIN Sub-basket MARKIT

CDX.NA.IG that are

Financials

5yr Traded on

Spread/ Coupon

100bps

40

MARKIT

CDX

NA.IG.INDU Sub-basket MARKIT

CDX.NA.IG that are

Industrials

5yr Traded on

Spread/ Coupon

100bps

40
MARKIT

CDX

NA.IG.TMT Sub-basket MARKIT

CDX.NA.IG that are

Telecoms, Media &

Technology

5yr Traded on

Spread/ Coupon

100bps

40

 * number of constituents can vary according to series.

Terms and Conditions : Credit Default Swap Index

CREDIT DEFAULT SWAP INDEX

Contract Overview An agreement to buy or sell protection on a basket of (from Table A: Description)

.

Index (Name & Series)

Currency EUR or USD dependent on Index

Quoting Convention

& Minimum

Increment

As agreed by counterparties.

Minimum Size As agreed by counterparties.

Trading Conventions

Buyer - the buyer of protection pays a premium to the seller in case of a credit event

occurring

Seller - the seller of protection receives the premium payments from the protection

buyer but is liable to make good losses to buyer in credit event

Swap Conventions Traded on spread or price ( see Table A Swap Convention)

Fixed coupon payments calculated at a spread of (X bp - see Table A, Swap

Conventions) and exchanged on a quarterly basis

Tenor (As agreed by the parties—for illustrative tenors see See Table A : Tenors)

Maturity Date 20 March or September of tenor years th

Coupon Details Spread: Xbps spread ( see Table A: Swap Conventions)

Frequency: Quarterly 20 Mar/Jun/Sep/Dec

Daycount: Act/360

Business Day Convention: Following

Calender : MARKIT ITRAXX : LDN & Target, MARKIT CDX NYC & LDN 
Credit Event Determined pursuant to 2014 ISDA Definition : Failure to Pay, Government Intervention,

Bankruptcy (MARKIT CDX) and also (Modified) Restructuring (MARKIT ITRAXX)

Recovery Rate Index dependent - as provided in Table A

Settlement Contingent payment - Payments related to credit event settlement will be determined

pursuant to the 2014 ISDA Credit Derivatives Determination Committees and Auction

Settlement Supplement, (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

Trade Types Outright

Rolls (a buyer of the roll is a seller of the older series and a buyer of the more newly

issued series)

Spreads (a buyer of the spread is a seller of the shorter tenor and a buyer of the longer

tenor)

Trading Hours and

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing Venue Where applicable per Index, ICE Clear Credit, ICE Clear Europe, CME Clearing,

LCH.Clearnet SA

Block Size As set forth in Appendix F to Part 43. of the CFTC Regulations

Credit Swap Indices and their construction, issuance and maintenance are administered by a 3rd party, Markit Partners, to ensure full

standardization and maximum liquidity in the products. Principal features of the products as outlined by Markit Partners are Trade Efficiency,

Liquidity, Transparency and Data Integrity. These features apply to the CDX and ITRAXX families of indices and serve to mitigate issues of

price manipulation.

Credit Index Swaptions

Product Description

A CDS option is an option to buy (payer swaption) or sell (receiver swaption) CDS protection on a specified

reference entity at a fixed spread on a future date. Index swaptions are generally European with exercise at the

expiry date of the option only. They are mainly traded on the main benchmark indices above and may be traded

outright or against other swaptions or with the underlying index as a delta hedge. A delta hedged swaption

effectively provides exposure to the volatility of the underlying index.

Terms & Conditions: MARKIT CDX and MARKIT ITRAXX Swaption

CREDIT INDEX SWAPTION
Contract

Overview

An credit index swaption gives the buyer the right but not the obligation to sell or buy credit

protection on credit index at a specified strike spread. On exercise, the buyer of a payer option

will enter an index swap, paying the credit spread (long protection) and buyer of receiver

swaption will enter an index swap, receiving the credit spread (short protection)

Trading

Conventions

Buyer (payer). The buyer has the right but not the obligation to pay on an index swap at a

specified strike spread on a specified date.

Seller (Receiver). The seller has the obligation to receive an index swap at a specified strike

spread on a specified date.

Underlying

Index

Any index under the MARKIT CDX and MARKIT ITRAXX families listed in Table A above.

Option Style European

Strike Price Agreed as a spread

Premium Cents upfront

Premium

Payment Date

Trade Date + 3 days

Expiration

Date/Time

Standard expiries of 20 Mar/Jun/Sep & Dec 11am NY, 4pm London

Settlement Physical, into the underlying Index

Settlement

Terms

Expiry + 1 day

Credit Event Determined pursuant to 2014 ISDA Definition : Failure to Pay, Government

Intervention,Bankruptcy (MARKIT CDX) and also (Modified) Restructuring (MARKIT ITRAXX)

Knockout Single name swaptions extinguish (knockout) on a credit event whereas index swaptions do not

Settlement Physical : On exercise the buyer enters the underlying contract

Settlement

Amount

a) No Credit Event Buy or sell the index at strike at expiry

b) One or More credit events : Buy or sell the index at strike at expiry Protection buyer will

then trigger the underlying contract under credit events
Trade Types Outright: Payer or Receiver

Payer or receiver spread (quoted with or without delta) - buy a low strike payer , sell a higher

strike payer

Straddle (quoted with or without delta) - buy a payer and receiver at the same strike

Minimum Size As agreed by Participants 

Clearing The options are not cleared, the underlying may be cleared at ICE Clear Credit, ICE Clear

Europe, CME Clearing or LCH.Clearnet SA as directed by CEA 2(h)1 or as agreed between

Participants

Credit Swap Indices and their construction, issuance and maintenance are administered by a 3rd party, Markit Partners, to ensure full

standardization and maximum liquidity in the products. Principle features of the products as described by Markit Partners are Trade Efficiency,

Liquidity, Transparency and Data Integrity. These features apply to the MARKIT CDX and MARKIT ITRAXX families of indices and serve to

mitigate issues of price manipulation. As Credit Index Swaptions are based upon such indices and the contractual features of a swaption are

well defined prior to transaction, these products also, by their nature are resilient to price manipulation.

Equity Derivatives

Broad Market Index Equity Derivative Product Details and Contract Specifications

Equity Index Swaps

Product Description:

An equity swap is a product which allows the ability to gain exposure to the returns of an equity ("equity leg") in

exchange for payment or receipt of regular fixed or floating payments ("floating leg") usually interest based.plus a

spread . Equity index swaps, for example, provide the opportunity to hedge exposure to a cash portfolio of index

members without the physical sale of assets.

Example Terms and Conditions

EQUITY INDEX

SWAP

Contract

description

A contract to pay or receive regular fixed or floating interest payments on a notional amount in

exchange for a the notional based return performance of an equity index

Trading

Conventions

An equity swap buyer pays a rate of interest plus a spread on a notional amount in return for any

appreciation of the equity index on the notional amount

An equity swap seller receives a rate of interest plus a spread on a notional amount and pay any

appreciation of the equity index on the notional amount
Underlying

Equity

SPX S&P 500, SX5E Eurostoxx 50, RTY Russell 2000, NDX Nasdaq 100, FTSE FTSE 100,

DAX Dax 30, NKY Nikkei 225, VIX on S&P 500, DIA Dow Jones 30, MID S&P Mid 400

Currency USD, EUR or JPY dependent on Underlying Equity

Trade Date Date which trade terms agreed

Maturity As agreed by Participants - Any maturity up to 50yrs

Notional As agreed by Participants E.G. 5m (USD, EUR or JPY)

Floating Leg Cashflow : xM LIBOR + Spread or an agreed fixed rate

Frequency: Determined by agreed Libor (3m, 6m etc) or agreed fixed rate frequency

DayCount : Act/360

Equity Leg Notional x (% increase of equity index over floating rate period)

Settlement Cash settlement as per floating rate schedule

Business

Day

Convention

As agreed by Participants

Quote

Convention

Quoted in bps as a spread or fixed rate.

Trade Types Outright

Spread: Equity swap in one index versus an equity swap in another

 Tenors As agreed by Participants, 1 day to 50 Years

Equity index swaps are based upon highly liquid and transparent underlying indices with well-defined and accepted closing prices for the

calculation of the equity leg. The terms of the contract and the payoff profiles are very well defined prior to a transaction so making the product

resilient to price manipulation.

Option on Variance Swaps

Product Description:

An option on variance swap allows the ability obtain exposure to the volatility of an underlying equity index via

buying or selling the right, but not the obligation to enter a variance swap (see above) on the underlying index at

expiration of the option.

Example Terms and Conditions

OPTION ON

EQUITY INDEX

VARIANCE

SWAP 
Contract

description

A contract that enables the ability hedge or take a view on the future direction of volatility of an

underlying equity index by buying or selling the right, but not the obligation to enter a variance

swap (paying or receiving the difference between actual realized variance of an index over the

life of the contract and a variance "strike" agreed at contract inception.)

Trading

Conventions

Buyer – The buyer of a variance option pays premium in exchange for the right to exercise the

option and enter a variance swap at an agreed strike at expiry

Seller -The seller of a variance option receives a premium in exchange for the obligation to fulfill

the option buyer's right to exercise at expiry

Underlying

Equity

Closing Price of any valid index listed on a registered Exchange 

E.g. SPX S&P 500, SX5E Eurostoxx 50, RTY Russell 2000, NDX Nasdaq 100, FTSE FTSE

100, DAX Dax 30, NKY Nikkei 225, VIX on S&P 500, DIA Dow Jones 30, MID S&P Mid 400

Currency USD, EUR or JPY dependent on Underlying Equity

Vega

Notional

As agreed by Participants e.g. 100,000 (Note: the exposure (loss or gain in contract currency)

per 1% change in volatility)

Reference

Vol Strike

As agreed by Participants e.g 17.90

Ref Var

Strike

As agreed by Participants e.g. 320.21

Option

Premium

cents upfront of vega notional

Option Style European

Option Type Call or Put

Option

Volatility

Strike

As agreed by Participants e.g. 40

Option

Variance

Strike

As agreed by Participants e.g. 40 ^ 2 = 1600

Premium

Payment

T + 3

Option

Payoff at

Final

Valuation

Date

Call : Variance Units X Max(0, Realized vol ^ 2 - Variance Strike) at (maturity + 3 days) of

variance swap

Put : Variance Units X Max(0, Variance Strike - Realized vol ^ 2) at (maturity + 3 days) of

variance swap
Maturity or

Final

Valuation

Date of

Variance

Swap

Final Date on which observations are made ( contract tenors 0 mths to 50yrs supported)

Observation

Frequency

Daily

Number of

Observations

n, dependent on contract maturity (NOTE: n is the number of trading days between observation

start date and Maturity)

Realized

Volatility

(RV)

m equals n, unless there is a market disruption event

Ci equals the daily closing price of the Underlying Equity on the ith business day starting on

the day following Trade Date (i=2), and Cm shall be equal to the Closing

Level of the Underlying Equity on the Final Valuation Date. If the Final Valuation Date is a

listed option expiration date, then Cm is equal to the expiration print.

Business Days per Year = 252

Business

Day

Convention

As agreed by Participants

Quote

Convention

Variance % points

Trade Types Outright : Long or short call or put

Spreads : e.g. Long a lower strike call, short a higher strike call

Straddle: Long a call and a put at same strike

Market

Disruption

Refer to ISDA 2002 Equity Definitions

Tenors As agreed by Participants, 1 day to 10 Years

Options on Variance swaps are based upon highly liquid and transparent underlying indices with well-defined and accepted closing prices for

the calculation of volatility and consequently the payoff of volatility/variance swap. The terms of the contract and the calculation algorithm are

very well defined prior to a transaction so making the product resilient to price manipulation.

Variance & Volatility Swaps
Product Description:

A variance swap allows the ability take a direct exposure to the volatility of an underlying equity index over the

length of the swap. Taking a "long volatility" view entails buying volatility via a variance or volatility swap at a

predetermined strike. If the realized vol is greater than the strike, there will be a profit and vice versa. Note that

volatility and variance swaps differ simply as the name suggests in exposure to volatility and volatility^2 (variance)

respectively. In addition to speculative applications, variance/ volatility swaps serve an important purpose in

providing an opportunity to hedge or protect against times of market crisis when invariably asset volatility rises

substantially.

Example Terms and Conditions

EQUITY INDEX

VARIANCE

SWAP 

Contract

description

A contract that enables the ability hedge or take a view on the future direction of volatility of an

underlying equity index by paying or receiving the difference between actual realized variance of

an index over the life of the contract and a variance "strike" agreed at contract inception.

Trading

Conventions

Buyer – The buyer of a variance swap pays a fixed rate (the Variance Strike) in exchange for a

payout based on the daily realised variance

Seller - The seller of a variance swap receives a fixed rate (the Variance Strike) in exchange for

a payout based on the daily realised variance

Underlying

Equity

Closing Price of any valid index listed on registered Exchange E.g.

SPX S&P 500, SX5E Eurostoxx 50, RTY Russell 2000, NDX Nasdaq 100, FTSE FTSE 100,

DAX Dax 30, NKY Nikkei 225, VIX on S&P 500, DIA Dow Jones 30, MID S&P Mid 400

Currency USD, EUR or JPY dependent on Underlying Equity

Trade Start Immediate or forward starting determines when observations for calculation of realized volatility

begin

Maturity or

Final

Valuation

Date

Final Date on which observations are made ( contract tenors >0 mths to 50yrs supported)

Observation

Frequency

Daily

Number of

Observations

n, dependent on contract maturity (NOTE: n is the number of trading days between observation

start date and Maturity)

Vega

Notional

As agreed by Participants e.g.. 50,000 (Note: the exposure (loss or gain in contract currency) per

1% change in volatility)

Volatility

Strike

As agreed by Participants e.g.. 27% ( for indicative purposes as payoff is linked to variance and

not volatility)

Variance

Strike

As agreed by Participants e.g.. 729 (volatility strike)^2
Variance

(Var) Units

As agreed by Participants e.g. 925.93 Vega Notional / (2x Volatility strike)

Variance Cap

?

YES/NO if YES e.g. (2.5 x vol strike)^2 (Notes: limits the profit/loss to defined maximum)

Realized

Volatility

(RV)

m equals n, unless there is a market disruption event

Ci equals the daily closing price of the Underlying Equity on the ith business day starting on

the day following Trade Date (i=2), and Cm shall be equal to the Closing

Level of the Underlying Equity on the Final Valuation Date. If the Final Valuation Date is a

listed option expiration date, then Cm is equal to the expiration print.

Business Days per Year = 252

Settlement Cash settlement of:

For Var Buyer: Variance Units X MAX [0, Variance strike – Volatility^2]

Var Seller: Variance Units X MAX [0, Volatility^2 - Variance strike]

Occurs following the Final Valuation Date in accordance with underlying equity index convention

Business

Day

Convention

As agreed by Participants

Quote

Convention

Volatility % points, Variance % Points

Trade Types Outright : Long or short variance/volatility of an underlying index from start date to maturity

Forward Starting :Long or short variance/volatility over a defined future period

Spreads: Take a view on the variance/volatility difference between two indices by buying

variance/volatility on one index and selling variance/volatility on the other, either spot or forward

starting

Market

Disruption

Refer to ISDA 2002 Equity Definitions

Tenors As agreed by Participants, 1 day to 10 Years

Volatility and variance swaps are based upon highly liquid and transparent underlying indices with well-defined and accepted closing prices for

the calculation of volatility and consequently the payoff of volatility/variance swap. The terms of the contract and the calculation algorithm are

very well defined prior to a transaction so making the product resilient to price manipulation.
Non Deliverable Forwards

Non Deliverable Forward

An NDF is a foreign exchange forward contract on a notional amount where no physical settlement of the two

currencies takes place at maturity. Instead a net cash settlement is made by one party to another based on the

difference of the two FX rates. The settlement is done using a pre-determined currency, typically USD, and is

determined at an agreed fixing date, typically 1 or 2 days prior to settlement, using spot fixing rates. There is no

exchange of principle or upfront payments on these contracts.

NDF

Convention

Definitions

Emerging Market Trade Association (http://www.emta.org/template.aspx?id=2275), 2006

ISDA Definitions
Currencies One of the following currencies, as agreed by Participants:

CNY Chinese Renminbi 

IDR Indonesian Rupiah 

INR Indian Rupee 

KRW South Korean Won 

MYR Malaysian Ringgit 

PHP Philippine Peso 

TWD Taiwan Dollar 

VND Vietnamese ng 

EGP Egyptian pound 

RUB Russian ruble 

KZT Kazakh tenge 

ARS Argentine Peso 

BRL Brazilian Real 

CLP Chilean Peso 

COP Colombian Peso 

GTQ Guatemalan quetzal 

PEN Peruvian nuevo sol 

UYU Uruguayan peso 

VEB Venezuelan bolívar

UAH Ukranian hryvnia

AZN Azeri manta

Notional The notional amount of the contract, which is not exchanged

Notional Currency The currency in which the contract size is expressed, as agreed by Participants
Settlement

Currency

The currency used to settle the NDF, as agreed by Participants.

USD US Dollar

AUD Australian Dollar

CAD Canadian Dollar

CHF Swiss Franc

EUR Euro

GBP British Pound

JPY Japanese Yen

Quoting

Convention and

Minimum

Increment

Outright forward rate: the number of currency units as valued per unit of base currency

Spread: the difference between the Spot FX for the currency pair and the outright

forward rate (as above)

Notional amount and minimum increment as agreed by Participants

Trade Date The date on which the Participants enter into the contract

Fixing Date The time, date, and location at which the Spot FX is compared to the traded NDF rate,

using a particular fixing source as agreed between Participants

Holiday Calendar Dependent upon Currencies as defined by the Emerging Market Trade Association, or as

agreed between Participants

Settlement Date Date on which the difference between the Spot FX and the traded NDF rate is paid,

usually one or two business days after the Fixing Date depending on the currency, as

agreed between Participants

Settlement

Procedure

As agreed between Participants for non-cleared trades

As dictated by the Clearinghouse for trades subsequently novated for clearing

Contract Types: Outrights

Curve (Tenor)

Spreads, Butterflies, Condors

Tenors Listed benchmark tenors are 1d 2d 3d 1w 2w 3w 1m 2m 3m 6m 9m 12m 15m 18m 2y 2

1⁄2y 3y 4y 5y 

As agreed between Participants, off the run NDF contract tenors may be between 1 day

and 10 years.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Trading Hours 7:00 pm to 5:30 pm EST, Sunday to Friday

Disruption Events: As set forth in the EMTA TEMPLATE TERMS for Non-Deliverable Forward

FX Transactions applicable to the Reference Currency: http://www.emta.org/ndftt.aspx

Disruption

Fallbacks:

 As set forth in the EMTA TEMPLATE TERMS for Non-Deliverable Forward

FX Transactions applicable to the Reference Currency: http://www.emta.org/ndftt.aspx
Other Terms: As set forth in the EMTA TEMPLATE TERMS for Non-Deliverable Forward

FX Transactions applicable to the Reference Currency: http://www.emta.org/ndftt.aspx

Currency Options

FX Currency Options

An FX option offers the right but not the obligation to buy or sell an agreed amount of one currency in exchange for

an agreed amount of another currency at a specified future exchange rate (the strike price). An FX option may be

either "European", whereby the right to exchange may occur only on a single date (the expiry date) or "American"

whereby the right to exchange may occur on any date up to and including the expiration date as determined by the

option buyer. Settlement of an "in-the-money" option is typically 1 or 2 days following the agreed expiry date.

Settlement may be physical where a spot transaction at the strike price is executed or also cash, where participants

exchange the net cash difference between the prevailing spot rate and the strike price.

FX Option

Contract

Overview

An option to enter into a foreign exchange contract at pre-defined time(s), with its exchange

rate equal to the Strike.

Convention

Definitions

1998 ISDA FX and Currency Option Definitions as updated (http://www.emta.org/WorkArea/Dow

nloadAsset.aspx?id=7743)

Emerging Market Trade Association (http://www.emta.org/template.aspx?id=2275)

Currencies FX Rates between any two currencies as agreed between participants and listed in Appendix B but

mostly including:

USD US Dollar

EUR Euro

GBP British Pound

JPY Japanese Yen

CAD Canadian Dollar

CHF Swiss Franc

AUD Australian Dollar

Notional

Amount

The notional amount of the base currency of the FX pair underlying the option
Notional

Currency

The base currency in which the option contract size is expressed, as agreed by Participants

Option

Type

Put = Option buyer has the right to sell the exchange rate (e.g. selling USD, buying a second

currency)

Call = Option buyer has the right to buy the exchange rate (e.g. buying USD, selling a second

currency)

Quoting

Convention

and

Minimum

Increment:

Implied Volatility: the value of the volatility of the underlying instrument which returns a

theoretical value equal to the current market price of the option using a Garman Kohlhagen

adjusted Black-Scholes pricing model

Options Contracts may be traded with an underlying FX Trade delta hedge, either spot or

forward dated, or may be traded with no hedge where bids and offers are expressed as

percentage of notional (the premium payable), as agreed between Participants.

Where traded as an implied volatility, option premiums are subsequently calculated and agreed

between Participants before execution

Minimum Increments Dependent on currency pair and tenor and as agreed between participants

Strike Rate that will be used for the underlying currency exchange at expiry.

Exercise

Type

European (options can only be exercised at expiration). 

American (any time during the life of the option) and Bermudan style options (agreed dates

during the life of the option) may also be traded as agreed between participants.

Premium The payment made by the buyer of the option and calculated based on the relationship between:

Implied Volatility, Notional, the prevailing spot FX rate, Forward FX, Strike(s), delta and the

interbank deposit rates used for each of the currencies at time of trade. Premium may be paid spot

or forward upon option expiry and is valued before trade execution and agreed between

Participants

Trade Date The date on which the Participants enter into the option contract

Expiry

Date

The last day upon which the option may be exercised and as agreed between participants, the

time, date, and location at which the Spot FX is compared to the strike price of the Currency option

for the purposes of the option buyer ascertaining if the option expires with creation of an underlying

FX Spot trade at expiry (or cash settlement using a particular FX fixing source as agreed between

Participants).

Minimum

Size

Dependant on currency pair and tenor or as agreed between participants for Voice trading

Holiday

Calendar

Dependent upon Currencies as agreed between Participants

Settlement As agreed between participants

Physical FX trade settlement

Cash settlement
Settlement

Date

Date on which the spot FX trade resulting from delivery is settled, or the difference between the

spot FX and the strike price of the option is paid where cash settled, one or two business days

after the expiry date depending on the currency, as agreed between Participants

Settlement

Procedure

As agreed between Participants for non-cleared trades

Contract

Types

Each Currency Option traded is bespoke and agreed between Participants. All option strategies

result in Call options and/or Put options executed with the following strategies traded as agreed

between Participants:

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, Risk Reversal, Calendar (tenor) spread,

Cross Currency Spread, Condor, Call Spread, Put Spread, Live Trading with no delta hedge

Exotic: Also traded are different bespoke put/call structures agreed between Participants such as

Barriers, Baskets, Digitals, Knockins, Knockouts, Reverse Knockins/Kockouts, No Touch, Double

No Touch, Average Price, Volatility Swaps, Variance Swaps, Worst of Options, Compound

Options, Forward Volatility Agreements: trades may be with or without delta hedges and some

structures may also be bilaterally negotiated with additional options as part of the package to form

a vega hedge

Tenors As agreed between Participants, Currency Option contract tenors may be between 1 day and 30

years.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Trading

Hours

7:00 pm to 5:30 pm EST, Sunday to Friday

Non-Deliverable FX Options

Overview

A Non-Deliverable FX option (NDO) offers the right but not the obligation to buy or sell an agreed amount of one

currency in exchange for an agreed amount of another currency at a specified future exchange rate (the strike

price), but using a net cash settlement made by one party to another based on the difference of the two FX rates

(strike price rate and fixing expiry rate). An NDO is typically "European", whereby the right to exercise may occur

only on a single date (the expiry date) but may also be "American" as agreed between Participants whereby the right

to exercise may occur on any date up to and including the expiration date as determined by the option buyer.

Settlement of an "in-the-money" option is typically 1 or 2 days following the agreed expiry date, using the spot FX

Fixing rate of expiry date. Settlement is cash, where participants exchange the net cash difference between the

prevailing spot rate and the strike price of an exercised NDO. 

Non-Deliverable FX Option (NDO)

Contract

Overview

An option to enter into a non-deliverable forward (NDF) foreign exchange contract at

pre-defined time(s), with its exchange rate equal to the Strike.
Convention

Definitions

2006 ISDA Definitions as updated (http://www.emta.org/template.aspx?id=2275)

Underlying NDFs:- Emerging Market Trade Association (http://www.emta.org/ndftt.aspx )

Currencies One of the following currencies from Appendix B, as agreed by Participants 

CNY Chinese Renminbi 

IDR Indonesian Rupiah 

INR Indian Rupee 

KRW South Korean Won 

MYR Malaysian Ringgit 

PHP Philippine Peso 

TWD Taiwan Dollar 

VND Vietnamese ng 

EGP Egyptian pound 

RUB Russian ruble 

KZT Kazakh tenge 

ARS Argentine Peso 

BRL Brazilian Real 

CLP Chilean Peso 

COP Colombian Peso 

GTQ Guatemalan quetzal 

PEN Peruvian nuevo sol 

UYU Uruguayan peso 

VEB Venezuelan bolívar

UAH Ukranian hryvnia

AZN Azeri manta
Notional The notional amount of the NDF underlying the NDO

Notional

Currency

The currency in which the option contract size is expressed, as agreed by Participants

Settlement

Currency

The currency used to settle the NDO, as agreed by Participants.

USD US Dollar

EUR Euro

GBP British Pound

JPY Japanese Yen

CAD Canadian Dollar

CHF Swiss Franc

AUD Australian Dollar

Notional

Amount

The notional amount of the settlement currency of the NDF pair underlying the option

Notional

Currency

The base currency in which the option contract size is expressed, as agreed by Participants

Option

Type

Put = Option buyer has the right to sell the NDF exchange rate (e.g. selling USD, buying a

non-deliverable currency)

Call = Option buyer has the right to buy the NDF exchange rate (e.g. buying USD, selling a nondeliverable currency)

Quoting

Convention

and

Minimum

Increment

Implied Volatility: the value of volatility for the underlying instrument which returns a theoretical

value equal to the current market price of the option using a Garman Kohlhagen adjusted

Black-Scholes pricing model

Non-Deliverable Options Contracts may be traded with an underlying delta hedge NDF or may

be traded with no hedge where bids and offers are expressed as percentage of notional (the

premium payable), as agreed between Participants

Where traded as an implied volatility, NDO premiums are subsequently calculated and agreed

between Participants before execution

Minimum Increments Dependent on currency pair and tenor and as agreed between participants

Strike Rate that will be used for the underlying currency exchange at expiry.

Exercise

Type

European (options can only be exercised at expiration). 

American (any time during the life of the option) and Bermudan style options (agreed dates

during the life of the option) may also be traded as agreed between participants.
Premium The payment made by the buyer of the option and calculated based on the relationship between:

Implied Volatility, Notional, the prevailing spot FX rate, Non-Deliverable Forward FX rate, Strike(s),

delta and the interbank deposit rates used for each of the currencies at time of trade. Premium

may be paid spot or forward upon option expiry, as agreed between Participants

Trade Date The date on which the Participants enter into the option contract

Expiry

Date (NDO

Fixing

date)

The last day upon which the option may be exercised and as agreed between participants, the

time, date, and location at which the Spot FX is compared to the strike price of the NDO for the

purposes of ascertaining if the option expires via settlement of an underlying NDF trade at expiry,

using a particular fixing source as agreed between Participants

Minimum

Size

Dependant on currency pair and tenor or as agreed between participants

Holiday

Calendar

Dependent upon Currencies as defined by the Emerging Market Trade Association (viewed at http:

//www.emta.org/template.aspx?id=2275), or as agreed between Participants

Settlement

Procedure

As agreed between participants

Settlement

Date

Date on which the spot FX trade resulting from delivery is settled, or the difference between the

spot FX and the strike price of the option is paid where cash settled, one or two business days

after the expiry date depending on the currency, as agreed between Participants

Settlement

Procedure

As agreed between Participants for non-cleared trades

Contract

Types

Each NDO traded is bespoke and agreed between Participants. All option strategies result in Call

options and/or Put options executed with the following strategies commonly traded:

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, Risk Reversal, Calendar (tenor) spread,

Cross Currency Spread, Condor, Call Spread, Put Spread, Live Trading with no delta hedge

Exotic: Also traded are different bespoke put/call structures agreed between Participants such as

Barriers, Baskets, Digitals, Knockins, Knockouts, Reverse Knockins/Kockouts, No Touch, Double

No Touch, Average Price, Volatility Swaps, Variance Swaps, Worst of Options, Compound

Options, Forward Volatility Agreements: trades may be with or without delta hedges and some

structures may also be bilaterally negotiated with additional options as part of the package to form

a vega hedge

Tenors As agreed between Participants, NDO contract tenors may be between 1 day and 30 years.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Trading

Hours

7:00 pm to 5:30 pm EST, Sunday to Friday

Additional

Terms:

 Applicable Non-Deliverable Currency Option Transactions covered by recommended EMTA

TEMPLATE TERMS:-
Disruption

Events:

 As set forth in the EMTA TEMPLATE TERMS for Non-Deliverable Currency Option Transactions

applicable to the Reference Currency: http://www.emta.org/ndftt.aspx

Disruption

Fallbacks:

 As set forth in the EMTA TEMPLATE TERMS for Non-Deliverable Currency Option Transactions

applicable to the Reference Currency: http://www.emta.org/ndftt.aspx

Other

Terms:

 As set forth in the EMTA TEMPLATE TERMS for Non-Deliverable Currency Option Transactions

applicable to the Reference Currency: http://www.emta.org/ndftt.aspx

Appendices

Appendix A - Business Day (Date) Conventions

Appendix B - Currencies and Holiday Centers

Appendix C - Conventions Used

Appendix D - General Definitions

Appendix E - Market Fixing Indices

Appendix F - Interest Rate Swap & Option Tenors (Super-Major Currencies)

Appendix A - Business Day (Date) Conventions) Conventions

Business Day (Date) Conventions

Following The first following day that is a good Business Day

Modified

Following

The first following day that is a good Business Day unless that day falls in the next calendar month,

in which case the first preceding good Business Day

Preceding The first preceding day that is a good Business Day

End/End If the Start (Effective) Date falls on the last calendar day of the month, then each successive roll date

shall also fall on the last day of the relevant month, subject to Modified Following convention.

Appendix B - Currencies and Holiday Centers

As per the CTFC definitions, the following currencies are listed by product group:

Currency

Group

Currencies - Interest Rate Swaps

Super-Major United States dollar (USD), European Union Euro Area euro (EUR), United Kingdom pound

sterling (GBP) and Japan yen (JPY).

Major Australia dollar (AUD), Switzerland franc (CHF), Canada dollar (CAD), Republic of South Africa

rand (ZAR), Republic of Korea won (KRW), Kingdom of Sweden krona (SEK), New Zealand dollar

(NZD), Kingdom of Norway krone (NOK), and Denmark krone (DKK)
Non-Major All other currencies.

For Interest Rate Swaps, all Super-Major or Major currency Spot (Effective) Dates are T+2

except for: GBP (T+0), CAD (T+0) and AUD (T+1)

Currency

Code

 Description Financial

Centre

AED Emirati Dirham and "AED" each refer to the legal currency of the United Emirates Abu Dhabi

AFN Afghani Afghani and "AFN" each refer to the legal currency of Afganistan Kabul

AMD Armenian Dram and "AMD" each refer to the legal currency of Armenia Yerevan

AZN Azeri Manta and "AZN" each refer to the legal currency of the Azerbaijan Republic Baku

ANG Netherlands Antilies Guilder and "ANG" each refer to the legal currency of the

Netherlands Antilies

Willemstad

ARS Argentine Peso and “ARS” each refer to the legal currency of the Argentine

Republic.

Buenos Aires

AUD Australian Dollar, “A$” and “AUD” each refer to the legal currency of Australia. Sydney

AWG Aruban Guilder and "AWG" each refer to the legal currency of Aruba Oranjestad

BGN Bulgarian Lev and "BGN" each refer to the legal currency of Bulgaria Sofia

BHD Bahraini Dinar and "BHD" each refer to the legal currency of Bahrain Al Manamah

BIF Burundian Franc and "BIF" each refer to the legal currency of Burundi Bujumbura

BND Bruneian Dollar and "BND" each refer to the legal currency of Brunei Bander Seri

Begawan

BRL Brazilian Real, “Brazilian Reais” and “BRL” each refer to the legal currency of the

Federative Republic of Brazil.

São Paulo

CAD Canadian Dollar, “C$” and “CAD” each refer to the legal currency of Canada. Toronto

CHF Swiss Franc, “Sfr”, “CHF” and “SWF” each refer to the legal currency of

Switzerland.

Zürich

CLP Chilean Peso and “CLP” each refer to the legal currency of the Republic of Chile. Santiago

CNY Chinese Renminbi (Yuan), “CNY” and “RMB” each refer to the legal currency of the

People’s Republic of China.

Beijing

CNH Hong Kong Delivered Chinese Renminbi (Yuan), CNH each refer to the legal

currency of the People’s Republic of China.

Hong Kong

COP Columbian Peso and "COP" each refer to the legal currency of Colombia Bogotá

CRC Costa Rican Colon and "CRC" each refer to the legal currency of Costa Rica San Jose
CUP Cuban Peso and "CUP" each refer to the legal currency of Cuba Havana

CZK Czech Koruna and “CZK” each refer to the legal currency of the Czech Republic. Prague

DKK Danish Krone, “DKr” and “DKK” each refer to the legal currency of the Kingdom of

Denmark.

Copenhagen

EUR Euro, “euro”, “€” and “EUR” each refer to the legal currency of the member states of

the European Union that have adopted the single currency in accordance with the

EC Treaty.

TARGET

EGP Egyptian Pound and "EGP" each refer to the legal currency of the Arab Republic of

Egypt

Cairo

GEL Georgian Lari and "GEL" each refer to the legal currency of Georgia Tbilisi

GTQ Guatemalan Quetzal and "GTQ" each refer to the legal currency of the Republic of

Guatemala

Guatemala

City

GBP Sterling, “£”, “GBP” and “STG” each refer to the legal currency of theUnited

Kingdom.

London

HKD Hong Kong Dollar, “HK$” and “HKD” each refer to the legal currency of Hong Kong. Hong Kong

HUF Hungarian Forint and “HUF” each refer to the legal currency of the Republic of

Hungary.

Budapest

INR Indian Rupee and “INR” each refer to the legal currency of India. Mumbai

IDR Indonesian Rupiah and “IDR” each refer to the legal currency of the Republic of

Indonesia.

Jakarta

ILS Israeli Shekel and “ILS” each refer to the legal currency of the State of Israel. Tel Aviv

ISK Icelandic Krona and "ISK" each refer to the legal currency of Iceland Reykjavik

JPY Japanese Yen, “Yen”, “¥” and “JPY” each refer to the legal currency of Japan. Tokyo

KRW Korean Won and “KRW” each refer to the legal currency of the Republic of Korea. Seoul

KWD Kuwaiti Dinar and "KWD" each refer to the legal currency of the State of Kuwait Kuwait City

LBP Lebanese Pound and “LBP” each refer to the legal currency of the Republic of

Lebanon.

Beirut

LKR Sri Lankan Rupee and “LKR” each refer to the legal currency of the Democratic

Socialist Republic of Sri Lanka.

Colombo

KZT Kazakhstani Tenge and "KZT" each refer to the legal currency of Kazakhstan Almaty

MXN Mexican Peso, “MXN” and “MXP” each refer to the legal currency of the United

Mexican States.

Mexico City
MYR Malaysian Ringgit and “MYR” each refer to the legal currency of the Federation of

Malaysia.

Kuala Lumpur

NOK Norwegian Krone, “NKr” and “NOK” each refer to the legal currency of the Kingdom

of Norway.

Oslo

NZD New Zealand Dollar, “NZ$” and “NZD” each refer to the legal currency of New

Zealand.

Wellington &

Auckland

PEN Peruvian Nuevo Sol and "PEN" each refer to the legal currency of Peru Lima

PHP Philippine Peso and “PHP” each refer to the legal currency of the Republic of the

Philippines.

Manila

PKR Pakistani Rupee and “PKR” each refer to the legal currency of the Islamic Republic

of Pakistan.

Karachi

PLN Polish Zloty and “PLN” each refer to the legal currency of the Republic of Poland. Warsaw

QAR Qatari Riyal and "QAR" each refer to the legal currency of the State of Qatar. Doha

RON Romanian Leu. “Romanian Leu” and “RON” each refer to the legal currency of

Romania.

Bucharest

RUB Russian Ruble. “Russian Ruble”, “Russian Rouble”, “RUR” and “RUB” each refer to

the legal currency of the Russian Federation.

Moscow

SAR Saudi Arabian Riyal. “Saudi Arabian Riyal”, “Saudi Riyal”, “Saudi Arabian Rial”,

“SAR” and “Riyal” refer to the legal currency of the Kingdom of Saudi Arabia.

Riyadh

SEK Swedish Krona. “Swedish Krona”, “SKr” and “SEK” each refer to the legal currency

of the Kingdom of Sweden.

Stockholm

SGD Singapore Dollar. “Singapore Dollar”, “S$” and “SGD” each refer to the legal

currency of the Republic of Singapore.

Singapore

SKK Slovak Koruna. “Slovak Koruna” and “SKK” each refer to the legal currency of the

Slovak Republic.

Bratislava

THB Thai Baht. “Thai Baht” and “THB” each refer to the legal currency of the Kingdom of

Thailand.

Bangkok

TND Tunisian Dinar and "TND" each refer to the legal currency of Tunisia Tunis

TRY Turkish Lira. “Turkish Lira” and “TRY” each refer to the legal currency of the

Republic of Turkey. “New Turkish Lira” means, in respect of a Swap Transaction

with a Trade Date prior to the date upon which the Republic of Turkey ceases

officially to use the prefix “New” in relation to the currency introduced on 1 January

2005, the legal currency of the Republic of Turkey.

Istanbul
TWD Taiwanese Dollar. “Taiwanese Dollar”, “New Taiwanese Dollar” and “TWD” each

refer to the legal currency of the Republic of China.

Taipei

UAH Ukrainian Hryvnia and "UAH" each refer to the legal currency of the REpublic of

Ukraine

Kiev

UYU Uruguayan Peso and "UYU" each refer to the legal currency of the Eastern

Republic of Uruguay

Montevideo

USD U.S. Dollar. “U.S. Dollar”, “Dollar”, “U.S.$”, “$” and “USD” each refer to the legal

currency of the United States of America.

New York

UZS Uzbekistani Som and "UZS" each refer to the legal currency of the legal currency of

Uzbekistan

Tashkent

VND Vietnamese Dong. “Vietnamese Dong” and “VND” each refer to the legal currency

of the Socialist Republic of Vietnam.

Hanoi

ZAR South African Rand. “South African Rand”, “Rand”, “R” and “ZAR” each refer to the

legal currency of the Republic of South Africa.

Johannesburg

Appendix C - Conventions Used

Day Count Convention

ACT360

ACT365F

ACTACT_ISMA

ACTACT_BOND

ACTACT_ISDA

ACTACT_HISTORICAL

ACTACT_ACTUAL365,

ACTACT_AFB,

ACTACT_EURO

BUSINESS252

ONE

SIMPLE

THIRTY360_USA

THIRTY360_BONDBASIS

THIRTY360_EUROPEAN

THIRTY360_EUROBONDBASIS

THIRTY360_ITALIAN

NOADJUSTMENT
Appendix D - General Definitions

General Definitions

Basis point - 1 bp = 0.01%

Appendix E - Market Fixing Indices

Interbank

Indices

Description Currencies Day

Count

Fixings

Calendar

BBA LIBOR London Interbank Offered Rate USD

JPY

CHF

GBP

EUR

Act/360

Act/360

Act/360

Act/365

Act/365

London

London

London

London

London

EURIBOR Euro Interbank Offered Rate EUR Act/360 TARGET

MUNIPSA SIFMA Municipal Swap Index Yield USD Act/Act New York

CDOR Canada Bankers Acceptances CAD Act/365 Toronto

TIBOR Euro Yen Tibor Fixing Rates JPY Act/365 Tokyo

STIBOR Stockholm Interbank Offered Rates SEK Act/360 Stockholm

EIBOR Emirates Interbank Offer Rate AED Act/360 Abu Dhabi

APDRC ARS Deposit ARS Act/360 Buenos Aries
ADBB AUD Bank Bills AUD Act/365 Sydney

SOFIBOR Bulgaria SOFIBOR BGN Act/360 Sofia

BHIBOR Bahrain Association of Banks BHIBOR Rate - ASK BHD Act/360 Al Manamah

CLICP Sinacofi Chile Interbank Rate Avg (CAMARA) CLP Act/360 Santiago

CNRR China Fixing Repo Rates CNY Act/365 Beijing

DTF RATE Colombia DTF Rate COP Act/360 Bogotá

PRIBOR Czech Interbank Offered Rates CZK Act/360 Prague

CIBO Copenhagen Interbank Offered Rates DKK Act/360 Copenhagen

HIBOR HKAB Hong Kong Interbank Offered Rates HKD Act/365 Hong Kong

BUBOR Budapest Interbank Offered Rates HUF Act/360 Budapest

BITD Bank Indonesia Term Deposit IDR Act/360 Jakarta

TELBOR Tel Aviv Interbank Offered Rate ILS Act/365 Tel Aviv

REIBOR Central Bank of Iceland ISK REIBOR Interest Rates

Fixing

ISK Act/360 Reykjavik

KWCDC KRW Certificate of Deposit KRW Act/365 Seoul

KIBOR Kuwait Interbank Rate KWD Act/365 Kuwait City

MXIBTIIE Mexico Interbank TIIE 28 Day MXN Act/360 Mexico City

KLIB Klibor Interbank Offered Rate Fixing MYR Act/365 Kuala Lumpur

NIBOR Norway Interbank Offered Rate Fixing NOK Act/360 Oslo

NDBB NZD Bank Bill NZD Act/365 Wellington

and

Auckland

PHIREF Philippines Interbank Reference Rate PHIREF at

1130am

PHP Act/360 Manila

PKDP State Bank of Pakistan KIBOR Fixing PKR Act/365 Karachi

WIBR Warsaw Interbank Offered Rates. PLN Act/365 Warsaw

QRIFR QIBOR Fixing 3 Month Rate QAR Act/360 Doha

BUBR Romania ROBOR RON Act/360 Bucharest

MOSKP MosPrime Rate RUB Act/Act Moscow

SAIB Saudi Riyal Interbank Average Offered Rate SAR Act/360 Riyadh

SORF Association of Banks in Singapore Swap Offer Rate

Fixing

SGD Act/365 Singapore

THFX Bloomberg Thailand Fixing Rate THB Act/365 Bankok

TRLIB Bank Association of Turkey TRLIBOR Rates TRY Act/360 Istanbul
TDSF TDCC Taiwan Depository & Clearing Corp Secondary

Mkt

TWD Act/365 Taipei

VIFOR Bloomberg Vietnam Onshore Forward Fixings 3 Month TWD Act/360 Hanoi

JIBA South Africa Johannesburg Interbank Agreed Rate ZAR Act/365 Johannesburg

OIS Indices Description Currencies Day

Count

Fixings

Calendar

SONIO/A Sterling Overnight Index Average GBP Act/365 London

RONIA GBP Repo Overnight Index Average GBP Act/365 London

EONIA Effective Overnight Index Average Eonia EUR Act/360 TARGET

FEDFUNDS Federal Funds Effective Rate US USD Act/360 Fed Reserve

DTCC GCF

Repo

Depository Trust & Clearing Corp (DTCC) General

Collateral Finance (GCF) Repurchase Agreement Index

USD Act/360 New York

CAONREPO Bank of Canada Overnight Repo Rate (CORRA)soni CAD Act/365 Toronto

TOIS Fixing Rate on CHF Tomnext Offered Indexed Swaps CHF Act/360 Xurich

MUTSCALM Bank of Japan Estimate Unsecured Overnight Call Rate JPY Act/365 Tokyo

STIB1D Stockholm Interbank Offered Rate T/N SEK Act/360 Stockholm

APDR1T ARS Overnight Deposit ARS Act/360 Buenos Aries

RBACOR RBA Cash Rate Overnight AUD Act/365 Sydney

SOBRON Bulgaria SOFIBOR Rates BGN Act/360 Sofia

BHIBORON Bahrain Association of Banks Overnight BHIBOR Rate BHD Act/360 Al Manamah

HICNHON ON CNH Hong Kong Interbank Offered Rate (CNH

Hibor) Fixing

CNH Act/360 Hong Kong

SHIFON Shanghai Interbank Offered Rate Fixing - O/N CNY Act/360 Shanghai

COOVIBR Colombia IBR Overnight Interbank Reference Rate COP Act/360 Bogota

PRIBOVN Czech Interbank Offered Rates O/N CZK Act/360 Prague

DETNT/N Denmark Tomorrow/Next DKK Act/360 Copenhagen

H$ONWGHT HKFEDBA Hong Kong Overnight Index Swap Reference

Rate

HKD Act/365 Hong Kong

BUBORON Budapest Interbank Offered Rates Overnight Index HUF Act/360 Budapest

JSORON Jakarta Swap Offer Rate Overnight IDR Act/360 Jakarta

NSERO India National Stock Exchange NSE Interbank Offer

Rate

INR Act/365 Mumbai

SEDAONRE Central Bank of Iceland ISK REIBOR O/N Intersest Rate

Fixing

ISK Act/360 Reykjavik
IWARWAOV Bank Negara Malaysia Interbank Weighted Avg Rates

Overnight

MYR Act/365 Kuala Lumpur

NOBRON Norway Overnight Lending Rate Effective Rate NOK Act/360 Oslo

NZOCRS New Zealand Official Cash Daily Rate NZD Act/365 Wellington

and

Auckland

PZCFPLNI Polonia Fixing PLN Act/365 Warsaw

QRIFROVN QIBOR Overnight Fixing Rate QAR Act/360 Doha

BUBRON Romania ROBOR Overnight RON Act/360 Bucharest

RUONIA Ruble OverNight Index Average RUB Act/Act Moscow

SORF1D Association of Banks in Singapore Swap Offer Rate

Fixing 1 Day

SGD Act/365 Singapore

NTON Taiwan New Taiwan Dollar Overnight Rate Weighted

Avg

TWD Act/365 Taipei

SAONBOR South Africa Benchmark Overnight Rate on deposits

(Sabor)

ZAR Act/365 Johannesburg

[ Interbank Indices ] [ OIS Indices ]

Appendix F - Interest Rate Swap & Option Tenors (Super-Major Currencies)

Vanilla Interest Rate Swaps (IRS)

Vanilla Overnight Index Swaps (OIS)

Vanilla Cross-Currency Currency Basis Swaps

Forward Rate Agreements (FRAs)

Interest Rate Swaptions

Interest Rate Caps & Floors

Inflation Swaps

Inflation Caps & Floors

Vanilla Interest Rate Swaps (IRS)

Currency Day Count

Conventions

Standard Tenors Non-Standard

Tenors
GBP 1w-21m

Short-Term 

Fixed:

Annual

Act/365

Float:

Quarterly

Act/365

Index: 3m

Libor 

(Also A/M 1m

Libor) 

3m 6m 9m 12m 15m 18m 21m, 2y, 21⁄2y, 3y, IMM Dates

N.B 1m Libor swaps are also traded usually up to no more

than 2y in 1m intervals.

1d-60y Any

start / end date.

As agreed by

participants.

GBP 6m-60y

Medium-Term 

Fixed: Semi

Act/365

Float: Semi

Act/365

Index: 6m

Libor 

(Also Q/Q 3m

Libor) 

6m 1y 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 12y 13y

14y 15y 20y 25y 30y 35y 40y 45y 50y

Spreads (e.g. 2x10), Butterflies (e.g. 2x5x10), Forwards

(e.g. 5y/5y). IMM dates.

N.B. S/Q v 3m Libor swaps also trade, though infrequently.

1d-60y Any

start / end date.

As agreed by

participants.

GBP Basis 3vSonia

(Fra/Ois), 3v1,

6v3

3m 6m 9m 12m 15m 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y

12y 15y 20y 25y 30y 35y 40y 45y 50y

IMM dates to 3Y

1d-60y Any

start / end date.

As agreed by

participants.

USD 3m-21m

Short-Term 

Fixed:

Annual

Act/360

Float:

Quarterly

Act/360

Index: 3m

Libor

3m 6m 9m 12m 15m 18m 21m, IMM Dates (including

serials)

N.B 1m Libor swaps are also traded usually up to no more

than 2y in 1m intervals.

1d-60y Any

start / end date.

As agreed by

participants.

USD 1y-60y

Medium-Term

Fixed: Semi

30I/360

Float:

Quarterly Act

/360

Index: 3m

Libor

1y 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 12y 13y 14y

15y 20y 25y 30y 35y 40y 45y 50y

Spreads (e.g. 2x10), Butterflies (e.g. 2x5x10), Forwards

(e.g. 5y/5y)

1d-60y Any

start / end date.

As agreed by

participants.

USD Basis 3vOIS

(Fra/Ois), 3v1,

6v3

3m 6m 9m 12m 15m 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y

12y 15y 20y 25y 30y 35y 40y 45y 50y

IMM dates to 3Y

1d-60y Any

start / end date.

As agreed by

participants.
EUR 1m-24m

Short-Term 

Fixed:

Annual Act/3

60

Float:

Monthly Act/3

60

Index: 1m

Euribor

1m 2m 3m 4m 5m 6m 7m 8m 9m 10m 11m 12m 15m 18m

21m 2y

IMM Dates

1d-3y Any start

/ end date.

As agreed by

participants.

EUR 3m-60y

Medium-Term

Fixed:

Annual

30U/360

Float: Semi A

ct/360

Index: 6m

Euribor 

(Also A/Q 3m

Euribor)

6m 1y 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 12y 13y

14y 15y 20y 25y 30y 35y 40y 45y 50y

Spreads (e.g. 2x10), Butterflies (e.g. 2x5x10), Forwards

(e.g. 5y/5y)

N.B. 6m EuroLibor A/365 swaps are also traded, though

less frequently.

N.B. 6m Euribor swaps are predominant over 3m the

longer the maturity beyond 3y. 

1d-60y Any

start / end date.

As agreed by

participants.

EUR Basis 3vEonia

(Fra/Ois), 3v1,

6v3

3m 6m 9m 12m 15m 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y

12y 15y 20y 25y 30y 35y 40y 45y 50y

IMM dates to 3Y

1d-60y Any

start / end date.

As agreed by

participants.

JPY 1m-2y

Short-Term 

Fixed:

Annual Act/3

60

Float:

Monthly Act/3

60

Index: 1m

Libor

1m 2m 3m 4m 5m 6m 7m 8m 9m 10m 11m 12m

IMM Dates

1d-2y Any start

/ end date.

As agreed by

participants.

JPY 3m-30y

Medium-Term

Fixed: Semi 

Act/365

Float: Semi A

ct/360

Index: 6m

Libor

3m 6m 9m 1y 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 1

5y 20y 25y 30y

Spreads (e.g. 2x10), Butterflies (e.g. 2x5x10), Forwards

(e.g. 5y/5y)

1d-30y Any

start / end date.

As agreed by

participants.

JPY Basis 3vTonar

(Fra/Ois), 3v1,

6v3

3m 6m 9m 12m 15m 18m 2y 21⁄2y 3y 4y 5y 6y 7y 8y 9y 10y

12y 15y 20y 25y 30y

IMM dates to 3Y

1d-30y Any

start / end date.

As agreed by

participants.

Vanilla Overnight Index Swaps (OIS)

Currency Day_Count_Conventions Standard Tenors Non_Standard_Tenor

s
GBP Fixed:_Annual_Act/365

Floating:_Annual_Act/36

5

Index: Sonia

1w 2w 3w 1m 2m 3m 4m 5m 6m 7m 8m 9m

10m 11m 12m 15m 18m 21m 2y 21⁄2y 3y 4y

5y 6y 7y 8y 9y 10y 11y 12y 13y 14y 15y

20y 25y 30y 35y 40y 45y 50y, Quarterly

IMM dates, MPC (BoE Monetary Policy

Committee) meeting dates.

1d-60y Any start / end

date.

As agreed by

participants.

USD Fixed:_Annual_Act/360

Floating:_Annual_Act/36

0

Index: FedFunds

1w 2w 3w 1m 2m 3m 4m 5m 6m 7m 8m 9m

10m 11m 12m 15m 18m 21m 2y 21⁄2y 3y 4y

5y 6y 7y 8y 9y 10y 11y 12y 13y 14y 15y

20y 25y 30y 35y 40y 45y 50y, Quarterly

IMM dates, FOMC (Federal Oversight

Monetary Committee) meeting dates,

FedFunds Futures expiry dates.

1d-60y Any start / end

date.

As agreed by

participants.

EUR Fixed:_Annual_Act/360

Floating:_Annual_Act/36

0

Index: Eonia

1w 2w 3w 1m 2m 3m 4m 5m 6m 7m 8m 9m

10m 11m 12m 15m 18m 21m 2y 21⁄2y 3y 4y

5y 6y 7y 8y 9y 10y 11y 12y 13y 14y 15y

20y 25y 30y 35y 40y 45y 50y, Quarterly

IMM dates, ECB (Euro Central Bank

Governing Council) meeting dates.

1d-60y Any start / end

date.

As agreed by

participants.

JPY Fixed:_Annual_Act/365

Floating:_Annual_Act/365

Index: Tonar

1w 2w 3w 1m 2m 3m 4m 5m 6m 7m 8m 9m

10m 11m 12m 15m 18m 21m 2y 21⁄2y 3y 4y

5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y, Q

uarterly IMM dates, BoJ (Bank of Japan

Monetary Policy) meeting dates.

1d-60y Any start / end

date.

As agreed by

participants.

Vanilla Cross-Currency Currency Basis Swaps

Currency Day_Count_Conventions Standard Tenors Non

Standard

Tenors

USD/EUR

Q/Q 

USD = 3m Libor Act/360

EUR = 3m Euribor Act/360

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 11y

12y 13y 14y 15y 20y 25y 30y 40y 50y

3m-60y Any

start / end

date.

As agreed by

participants.

USD/EUR

Q/Q 

USD = FedFunds Act/360

EUR = Eonia Act/360

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y

15y 20y 25y 30y

3m-60y Any

start / end

date.

As agreed by

participants.

USD/JPY

Q/Q 

USD = 3m Libor Act/360

JPY = 3m Libor Act/360

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 11y

12y 13y 14y 15y 20y 25y 30y 35y 40y 50y

3m-60y Any

start / end

date.

As agreed by

participants.
USD/JPY

Q/Q 

USD = FedFunds Act/360

JPY = Tonar Act/360

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y

15y 20y 25y 30y

3m-60y Any

start / end

date.

As agreed by

participants.

USD/GBP

Q/Q 

USD = 3m Libor Act/360

GBP = 3m Libor Act/365

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 11y

12y 13y 14y 15y 20y 25y 30y 40y 50y

3m-60y Any

start / end

date.

As agreed by

participants.

USD/GBP

Q/Q 

USD = FedFunds Act/360

GBP = Sonia Act/365

3m 6m 9m 12m 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y

15y 20y 25y 30y

3m-60y Any

start / end

date.

As agreed by

participants.

GBP/EUR

Q/Q 

GBP = 3m Libor Act/365

EUR = 3m Euribor Act/360

3m 6m 9m 12m 2y 3y 4y 5y 6y 7y 8y 9y 10y 11y 12y

13y 14y 15y 20y 25y 30y

3m-60y Any

start / end

date.

As agreed by

participants.

JPY/EUR

Q/Q 

JPY = 3m Libor Act/360

EUR = 3m Euribor Act/360

1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y 3m-60y Any

start / end

date.

As agreed by

participants.

Forward Rate Agreements (FRAs)

Currency Day Count

Conventions

Standard Tenors Non-StandardTenors

GBP

USD

EUR

JPY

Annual Act/365

Annual Act/360

Annual Act/360

Annual Act/365

Spot Start: 0x1 1x2 2x3

... 35x36

Spot Start: 0x3 1x4 2x5

... 33x36

Spot Start: 0x6 1x7 2x8

... 30x36

*JPY Max end date =

24m 

IMM Dates, End of month Turns

Any date chosen by the trade originator, e.g. "1x4

over the 9th" 

Interest Rate Swaptions

Currency IRS Day Count

Conventions

Standard Tenors Off-The-Run

Tenors
GBP Up to 18m -

Annual/3s

2y+ - Semi/6s

Option Expiries: 1d 2d 1w 2w 1m 2m 3m 6m 9m 1y 18m 2y 3y

4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y

Underlying Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y 40y 50y 60y 

1d-50y Any

expiry date.

As agreed by

participants.

USD Up to 18m -

Annual/3s

2y+ - Semi/3s

Option Expiries: 1d 2d 1w 2w 1m 2m 3m 6m 9m 1y 18m 2y 3y

4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y

Underlying Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y 40y 50y 60y

1d-50y Any

expiry date.

As agreed by

participants.

EUR Up to 18m -

Annual/3s

2y+ - Annual/6s

Option Expiries: 1d 2d 1w 2w 1m 2m 3m 6m 9m 1y 18m 2y 3y

4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y

Underlying Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y 40y 50y 60y

1d-50y Any

expiry date.

As agreed by

participants.

JPY Up to 18m -

Annual/3s

2y+ - Semi/6s

Option Expiries: 1d 2d 1w 2w 1m 2m 3m 6m 9m 1y 18m 2y 3y

4y 5y 6y 7y 8y 9y 10y 12y 15y 20y 25y 30y

Underlying Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y

1d-30y Any

expiry date.

As agreed by

participants.

Interest Rate Caps & Floors

Currency Underlying

Index

Standard Tenors Off-The-Run

Tenors

GBP Up to 18m - 3m

Libor

2y+ - 6m Libor

Option Tenors: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y, IMM Expiries

Strikes from -1% to +20%

3m-60y any

expiry.

As agreed by

participants

USD All Tenors - 3m

Libor

Option Tenors: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y, IMM Expiries

Strikes from -1% to +20%

3m-60y any

expiry.

As agreed by

participants

EUR Up to 18m - 3m

Euribor

2y+ - 6m

Euribor

Option Tenors: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y, IMM Expiries

Strikes from -1% to +20%

3m-60y any

expiry.

As agreed by

participants

JPY Up to 18m - 3m

Libor

2y+ - 6m Libor

Option Tenors: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y, IMM Expiries

Strikes from -1% to +20%

3m-30y any

expiry.

As agreed by

participants

Inflation Swaps

Currency Underlying

Index

Standard Tenors Non-Standard

Tenors
GBP UK RPI 2m Lag

Act/Act

ZC & YoY T+0

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y 35y 40y 45y 50y 55y 60y 70y

Fixing Swaps: Previous 12m YoY monthly RPI fixings. CPI

Swaps also traded 30/360 Daycount.

1d-70y Any

start / end date.

As agreed by

participants

USD US CPI 3m Lag

Act/Act

ZC & YoY T+2

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y 35y 40y 45y

1d-60y Any

start / end date.

As agreed by

participants

EUR EUR HICPxT 3m

Lag 30/360

ZC & YoY T+2

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y 40y 50y

Fixing Swaps: Previous 12m YoY monthly HICPxT fixings 

1d-60y Any

start / end date.

As agreed by

participants

France

(Euro) 

Fr CPI 3m Lag

30/360

ZC & YoY T+2

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y 40y 50y 55y

1d-60y Any

start / end date.

As agreed by

participants

JPY Yen CPI 3m Lag

30/360

ZC T+2

Vanilla Swaps: 1y 18m 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y 15y

20y 25y 30y

1d-30y Any

start / end date.

As agreed by

participants

Inflation Caps & Floors

Currency Underlying

Index

Standard Tenors & Strikes Non-Standard Tenors

& Strikes

GBP UK RPI ZC &

YoY

Option Tenors: 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y

15y 20y 25y 30y

Cap Strikes: 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0%

4.5% 5.0% 6.0%

Floor Strikes: -3.0% -2.0% -1.0% -0.5% 0.0% 0.5%

1.0% 1.5% 2.0% 3.0% 

3m-50y any expiry date,

Any strike from -5% -

+15%, 

As agreed by

participants

USD US CPI ZC &

YoY

Option Tenors: 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y

15y 20y 25y 30y

Cap Strikes: 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0%

4.5% 5.0% 6.0%

Floor Strikes: -3.0% -2.0% -1.0% -0.5% 0.0% 0.5%

1.0% 1.5% 2.0% 3.0%

3m-50y any expiry date,

Any strike from -5% -

+15%, 

As agreed by

participants

EUR EUR HICPxT ZC

& YoY

Option Tenors: 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y

15y 20y 25y 30y

Cap Strikes: 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0%

4.5% 5.0% 6.0%

Floor Strikes: -3.0% -2.0% -1.0% -0.5% 0.0% 0.5%

1.0% 1.5% 2.0% 3.0%

3m-50y any expiry date,

Any strike from -5% -

+15%, 

As agreed by

participants
France Fr CPI ZC &

YoY

Option Tenors: 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 12y

15y 20y 25y 30y

Cap Strikes: 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0%

4.5% 5.0% 6.0%

Floor Strikes: -2.0% -1.0% -0.5% 0.0% 0.5% 1.0%

1.5% 2.0% 3.0% 

3m-50y any expiry date,

Any strike from -5% -

+15%, 

As agreed by

participants

JPY Yen CPI N/A