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

New York, NY 10022 bloombergsef.com

June 14, 2021

Submitted via Portal

Melissa Jurgens 

Office of the Secretariat 

U.S. Commodity Futures Trading Commission 

Three Lafayette Centre 

1155 21st Street, N.W. 

Washington, D.C. 20581 

Re: Bloomberg SEF LLC – 40.6(a) Rule Amendment – Amended Rulebook (BSEF-2021-R-05) 

Dear Sir or Madam: 

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

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

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

amended its Rulebook. The amended Rulebook is effective on June 29, 2021, pursuant to Rule 

40.6(a).

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

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

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

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

version effective as of March 25, 2021 is attached hereto as Exhibit C. 

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

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

concurrently posted on BSEF’s website. 
Please contact the undersigned at (212) 617-3918 with any questions regarding this matter.

Very truly yours,

Devi Shanmugham

Chief Compliance Officer

Bloomberg SEF LLC

731 Lexington Avenue

New York, NY 10022

Enclosures
B-1

Exhibit A

Explanation and Analysis

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

Amendment and Explanation Supporting Rule 

or Core Principle

Definitions

 Revised the definition of a “Block Trade” to reflect current

functionality and to clarify a Rule reference

 Updated definition of a “Futures Commission Merchant” or

“FCM” to include foreign persons

 Updated definition of “Introducing Broker” to include a foreign

person

 Added definition of “U.S. Person” as set forth in CFTC

Regulation 23.23

CFTC Rule 37.9;

CFTC Regulation 

23.23; clarifying 

changes

Chapter 5

 Revised Rule 508.C (Post-Trade Anonymity) to clarify

application of Rule to Cleared Swaps and updated compliance

date as provided under section 2(h)(8) of the CEA

 Updated Rule 522.A (Required Transactions) to include Cleared

Swaps and to clarify that CLOB is anonymous

 Updated Rule 522.B (Permitted Transactions) to include

precious metals

 Updated Rule 522.E (Block Trades) to clarify the Rule’s

application to Cleared Swaps

 Updated 523(d) (Trade Confirmations) to remove CFTC No

Action Letter 16-25 in place of current relief granted in No

Action Letter 17-17

 Updated Rule 524.A(p) (General) to remove reference to CFTC

No Action Letter 16-76

 Updated Rule 528 (Bunched Orders and Orders Eligible for

Post-Execution Allocation) to remove reference to expired

CFTC No-Action Letter 20-36

 Updated Rule 531.A (Block Trades) to include trades executed

outside the SEF Platform and to provide right to reject

transactions that do not satisfy the conditions of the Rule

 Revised Rule 531.C (Covered Package Transactions) to reflect

CFTC guidance to BSEF on Permitted Transactions

 Updated Rule 532 (Reporting to SDR) to reflect current relief

granted in No-Action Letter 17-17

CFTC No-Action 

Letter 17- 17; 

CFTC Rule 37.9(d) 
C

Chapter 13

 Added Rule 1358. USD U.S. CPI Urban Consumers Not

Seasonably Adjusted Fixed-to-Floating (Inflation Zero Coupon)

Swap Contract

 Added Rule 1359. EUR Eurostat Eurozone Harmonized Index

of Consumer Prices Excluding Tobacco Fixed-to-Floating

(Inflation Zero Coupon) Swap Contract

 Added Rule 1360. GBP UK Retail Prices Index Fixed-to-Floating

(Inflation Zero Coupon) Swap Contract

 Added Rule 1361. EUR France Inflation Consumer Price Index

Excluding Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap

Contract

Core Principle 3

Chapter 14

 Added Rule 1409. Foreign Exchange Contract – UYU NonDeliverable Forward

Core Principle 3
D

Exhibit B

Rulebook (clean)

[see attached]
600628668

BLOOMBERG SEF LLC 

RULEBOOK

JUNE 29, 2021
ii

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

CHAPTER 2. SEF GOVERNANCE.............................................................................................13

RULE 201. Board......................................................................................................................13

RULE 202. [Reserved]..............................................................................................................14

RULE 203. [Reserved]..............................................................................................................14

RULE 204. Regulatory Oversight Committee ..........................................................................14

RULE 205. Additional Committees and Panels........................................................................15

RULE 206. Power of the Board to Review Decisions..............................................................15

RULE 207. Eligibility ...............................................................................................................15

RULE 208. Officers ..................................................................................................................17

RULE 209. Chief Compliance Officer......................................................................................17

RULE 210. Conflicts of Interest................................................................................................19

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

Information: Improper Use or Disclosure of Material Non-Public Information ...20

RULE 212. Emergency Rules...................................................................................................21

RULE 213. Information-Sharing Agreements ..........................................................................22

RULE 214. Regulatory Services Agreement with the Regulatory Services Provider ..............23

CHAPTER 3. PARTICIPANTS ....................................................................................................24

RULE 301. Eligibility Criteria for Becoming a Participant......................................................24

RULE 302. Authorized Traders ................................................................................................25

RULE 303. Participant Application Process; Termination of Participant.................................26

RULE 304. Trading Privileges of a Participant ........................................................................27

RULE 305. Termination or Limitation of Trading Privileges and Trading Access..................27

RULE 306. Assessments and Fees............................................................................................28

RULE 307. Authorized Representatives...................................................................................28

RULE 308. Recording of Communications..............................................................................28

RULE 309. Notices to Participants ...........................................................................................28

RULE 310. Communications between BSEF and Participants.................................................29

RULE 311. Application of BSEF Rules and Jurisdiction .........................................................29

RULE 312. Description of Participant’s Status.........................................................................30

RULE 313. Dissolution of Participants.....................................................................................30

RULE 314. Withdrawal of Participant......................................................................................30

RULE 315. Compliance with the Commodity Exchange Act...................................................30

RULE 316. Access....................................................................................................................30

RULE 316.A. ECP Access............................................................................................................30

RULE 316.B. ISV Access.............................................................................................................31

RULE 317. Direct Market Access.............................................................................................31

RULE 318. Legal Certainty for SEF Trades.............................................................................31

RULE 319. Rights and Responsibilities after Suspension or Termination ...............................32

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, DMA 

CUSTOMERS, AUTHORIZED TRADERS AND SUPERVISED 

PERSONS..............................................................................................................32
iii

RULE 401. Duties and Responsibilities....................................................................................32

RULE 402. Required Disclosures to BSEF...............................................................................33

RULE 403. Inspections by BSEF..............................................................................................34

RULE 404. Minimum Financial and Related Reporting Requirements ...................................35

RULE 405. Position Liquidation upon Default.........................................................................35

RULE 406. Authority to Impose Restrictions...........................................................................35

RULE 407. Customers and Accounts........................................................................................35

RULE 408. Disclosure Requirements; Know Your Counterparty Requirements.....................35

RULE 409. Books and Records ................................................................................................36

RULE 409.A. Participant and Clearing Member Books and Records..........................................36

RULE 409.B. BSEF Books and Records......................................................................................37

RULE 410. Responsibility for Mandatory Trading...................................................................37

RULE 411. Eligibility for Clearing Exempt Transactions........................................................37

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND BUSINESS 

CONDUCT ............................................................................................................37

RULE 501. Scope......................................................................................................................37

RULE 502. Procedures..............................................................................................................37

RULE 503. Business Days and Trading Hours.........................................................................38

RULE 504. Rule Violations ......................................................................................................38

RULE 505. Fraudulent Acts......................................................................................................38

RULE 506. Prohibited Transactions .........................................................................................39

RULE 506.A Fictitious or Wash Transactions............................................................................39

RULE 506.B Pre-Arranged Transactions ...................................................................................39

RULE 507. Pre-Execution Communications ............................................................................39

RULE 508.A Price Manipulation................................................................................................39

RULE 508.B Disruptive Practices..............................................................................................39

RULE 508.C Post-Trade Anonymity..........................................................................................40

RULE 509. Prohibition of Misstatements.................................................................................40

RULE 510. Acts Detrimental to Welfare of SEF......................................................................40

RULE 511. Adherence to Law..................................................................................................40

RULE 512. Use of Trading Privileges ......................................................................................41

RULE 513. Supervision ............................................................................................................41

RULE 514. Misuse of the SEF Platform...................................................................................41

RULE 515. Mishandling of Customer Orders...........................................................................41

RULE 516. Trade Cancellation, Correction, Offset and Adjustment – General.......................41

RULE 516.A Trade Review and Notification of Action Taken – Cleared Swaps.......................42

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

Swaps.....................................................................................................................43

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

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

RULE 516.D Prime Broker Trades..............................................................................................46

RULE 516.E Trade Cancellation and Adjustment by BSEF.......................................................46

RULE 516.F Trade Reporting by BSEF......................................................................................46

RULE 517. Withholding Orders Prohibited..............................................................................46

RULE 518. Priority of Customers’ Orders................................................................................47
iv

RULE 519. Trading Against Customers’ Orders Prohibited ....................................................47

RULE 519.A. General Prohibition................................................................................................47

RULE 519.B. Exceptions..............................................................................................................47

RULE 520. Disclosing Orders Prohibited.................................................................................47

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial Owners..................47

RULE 522. Execution of Orders on the SEF Platform .............................................................48

RULE 522.A. Required Transactions and Cleared Swaps ...........................................................48

RULE 522.B. Permitted Transactions ..........................................................................................48

RULE 522.C. Package Transactions.............................................................................................49

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption.......................................49

RULE 522.E. Block Trades in Cleared Swaps.............................................................................49

RULE 523. Trade Confirmations..............................................................................................50

RULE 524. Order Entry Requirements.....................................................................................52

RULE 524.A. General...................................................................................................................52

RULE 524.B. Customer Type Indicator (CTI) Codes..................................................................53

RULE 524.C. Pre-Arranged Transactions....................................................................................53

RULE 525. Position Limits.......................................................................................................53

RULE 526. Exemptions from Position Limits..........................................................................54

RULE 527. Position Accountability..........................................................................................54

RULE 528. Bunched Orders and Orders Eligible for Post-Execution Allocation ....................54

RULE 529. Orders Entered Prior to SEF Opening ...................................................................55

RULE 530. Identification of Authorized Traders .....................................................................55

RULE 531. Pre-Arranged Transactions ....................................................................................55

RULE 531.A. Block Trades..........................................................................................................55

RULE 531.B. Trade Correction ....................................................................................................56

RULE 532. Reporting to SDR...................................................................................................57

RULE 533. Cleared Swaps........................................................................................................58

RULE 534. Non-Cleared Swaps ...............................................................................................58

RULE 535. Risk Controls .........................................................................................................59

CHAPTER 6. DISCIPLINARY RULES.......................................................................................59

RULE 601. General...................................................................................................................59

RULE 602. Inquiries and Investigation.....................................................................................60

RULE 603. Investigative Reports .............................................................................................61

RULE 604. Warning Letters .....................................................................................................62

RULE 605. Review of Investigation Reports............................................................................62

RULE 606. [Reserved]..............................................................................................................63

RULE 607. Notice of Charges ..................................................................................................63

RULE 608. Service of Notice of Charges.................................................................................64

RULE 609. Answer to Notice of Charges.................................................................................64

RULE 610. Admission or Failure to Deny................................................................................65

RULE 611. Denial of Charges and Right to a Hearing .............................................................65

RULE 612. Settlements.............................................................................................................65

RULE 613. Disciplinary Panel..................................................................................................66

RULE 614. Convening Disciplinary Proceeding Hearings.......................................................67

RULE 615. Respondent Review of Evidence ...........................................................................67
v

RULE 616. Conducting Disciplinary Proceeding Hearings......................................................68

RULE 617. Decision of Disciplinary Panel ..............................................................................70

RULE 618. Sanctions................................................................................................................70

RULE 619. Costs.......................................................................................................................71

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

and Other Summary Actions..................................................................................72

RULE 621. Summary Imposition of Fines................................................................................74

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities..........................................75

RULE 623. [Reserved]..............................................................................................................75

RULE 624. Notice to the Respondent, the Regulatory Services Provider and the Public ........75

CHAPTER 7. ARBITRATION .....................................................................................................75

RULE 701. General...................................................................................................................75

RULE 702. Forum and Arbitration Rules.................................................................................76

RULE 703. Initiating an Arbitration Claim...............................................................................76

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments...............................76

RULE 705. Penalties.................................................................................................................76

CHAPTER 8. MISCELLANEOUS...............................................................................................77

RULE 801. Anti-Money Laundering and Anti-Terrorism ........................................................77

RULE 802. Gifts and Gratuities................................................................................................77

RULE 803. Market Data ...........................................................................................................77

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes...................................78

RULE 805. Confidentiality .......................................................................................................78

RULE 806. Extension or Waiver of BSEF Rules .....................................................................79

RULE 807. Effect of Amendment, Repeal or New Rule ..........................................................79

RULE 808. Swap Contract Specifications................................................................................79

RULE 809. Timely Publication of Trading Information...........................................................80

RULE 810. Governing Law, Jurisdiction and Dispute Resolution ...........................................80

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES...........................................81

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES ..........................................81

RULE 902. Indemnification by BSEF ......................................................................................83

CHAPTER 10. [RESERVED].......................................................................................................84

CHAPTER 11. [RESERVED].......................................................................................................84

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS......................................85

RULE 1201. CDS Index Contract – North America High Yield................................................85

RULE 1202. CDS Index Contract – North America Investment Grade .....................................86

RULE 1203. CDS Index Contract – CDX Emerging Markets....................................................87

RULE 1204. CDS Index Contract – Europe ...............................................................................88

RULE 1205. CDS Index Contract – Europe Crossover..............................................................89
vi

RULE 1206. CDS Index Contract – Europe HiVol ....................................................................90

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial ........................................91

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe ...........................................92

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial .............................93

RULE 1210. CDS Index Contract – iTraxx Japan ......................................................................94

RULE 1211. CDS Index Contract – iTraxx Australia.................................................................95

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y....................96

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y ................................97

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y.....................................................98

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y....................................99

RULE 1216. Option – CDS Index Contract CDX North America High Yield ........................100

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade..............101

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets ..................................102

RULE 1219. Option – CDS Index Contract – iTraxx Europe...................................................103

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover .................................104

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol........................................105

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA....................................................106

RULE 1223. CDS Index Contract – LCDX..............................................................................107

RULE 1224. CDS Index Contract – MCDX.............................................................................108

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe ..........................109

RULE 1226. Option – CDS Index Contract – LCDX...............................................................110

RULE 1227. Option – CDS Index Contract – MCDX..............................................................111

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan......................................................112

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial..........................................113

RULE 1230. CDS Index Contract - iTraxx MSCI ESG Screened Europe Index .....................114

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

Index ....................................................................................................................115

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

Contract................................................................................................................116

RULE 1233. CDS Index Contract – iTraxx Asia Ex-Japan IG (Restricted) Index Contract....117

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS .....................................118

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract .........................................118

RULE 1302. [Reserved]............................................................................................................119

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* ................................................120

RULE 1304. [Reserved]............................................................................................................121

RULE 1305. [Reserved]............................................................................................................121

RULE 1306. [Reserved]............................................................................................................121

RULE 1307. EUR OIS Eonia Fixed-to-Floating Swap Contract..............................................122

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract ......................................123

RULE 1309. CHF LIBOR Fixed-to-Floating Swap Contract...................................................124

RULE 1310. GBP LIBOR Fixed-to-Floating Swap Contract*.................................................125

RULE 1311. GBP Basis Swap Contract ...................................................................................126

RULE 1312. JPY LIBOR (6M) Fixed-to-Floating Swap Contract...........................................127

RULE 1313. [Reserved]............................................................................................................128

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract*.................................................129
vii

RULE 1315. USD Basis Swap Contract ...................................................................................130

RULE 1316. [Reserved]............................................................................................................131

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract........................................132

RULE 1318. USD SOFR OIS Fixed-to-Floating Swap Contract .............................................133

RULE 1319. [Reserved]............................................................................................................134

RULE 1320. [Reserved]............................................................................................................134

RULE 1321. [Reserved]............................................................................................................134

RULE 1322. [Reserved]............................................................................................................134

RULE 1323. [Reserved]............................................................................................................134

RULE 1324. [Reserved]............................................................................................................134

RULE 1325. [Reserved]............................................................................................................134

RULE 1326. [Reserved]............................................................................................................134

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

RULE 1349. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract.....149

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract...............150

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract...................................................151

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract .................................................152

RULE 1353. EUR €STR Fixed-to-Floating Swap Contract .....................................................153

RULE 1354. JPY OIS TONAR Fixed-to-Floating Swap Contract...........................................154

RULE 1355. SGD SOR Fixed-to-Floating Swap Contract.......................................................155

RULE 1356. OIS SORA Fixed-to-Floating Swap Contract .....................................................156

RULE 1357. CAD OIS CORRA Fixed-to-Floating Swap Contract.........................................157
viii

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

(Inflation Zero Coupon) Swap Contract ..............................................................158

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

Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap Contract ..................159

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

Swap Contract......................................................................................................160

RULE 1361. EUR France Inflation Consumer Price Index Excluding Tobacco Fixed-toFloating (Inflation Zero Coupon) Swap Contract................................................161

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS..........162

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward ....................................162

RULE 1402. Foreign Exchange Contract – Vanilla FX Option................................................168

RULE 1403. Foreign Exchange Contract – Exotic FX Option.................................................170

RULE 1404. Foreign Exchange Contract – Precious Metals Swaps ........................................172

RULE 1405. Foreign Exchange Contract – Average Rate Forward .........................................174

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward ...........................176

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward............................178

RULE 1408. Foreign Exchange Contract – Precious Metals Options Contract .......................180

RULE 1409. Foreign Exchange Contract – UYU Non-Deliverable Forward ..........................182

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

CHAPTER 1. DEFINITIONS

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

follows:

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

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

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

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

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

include any investor, shareholder or any other Person with beneficial 

ownership in the Account. 

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

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

Participant. 

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

time to time.

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

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

terminated as set forth in Rule 303(e).

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

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

such other Person.

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

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

Officer pursuant to Rule 620.

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

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

Organization applicable to such Person, including the CEA and CFTC 

Regulations.

“Appropriate Minimum Block Size” means the minimum notional or 

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

pursuant to CFTC Regulation 43.6.

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

Participant to represent the Participant in SEF matters pursuant to Rule 

307.

“Authorized Trader” means any natural person associated with a 

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

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

assigned a valid Trader ID.

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

Part 43 of the CFTC Regulations that:

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

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

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

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

Minimum Block Size applicable to such Swap; and

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

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

time in accordance with the Operating Agreement.

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

company.

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

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

Rule 528.

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

for trading.

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

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

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

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

Commission or any successor regulatory body.

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

CFTC, as amended.

“Chief Compliance Officer” means the individual appointed by the 

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

Operating Agreement, with the duties and responsibilities as may be 

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

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

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

responsibilities related to supervision of technology of the SEF operated 

by BSEF. 
3

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

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

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

contemporaneously with execution.

“Clearing Exception” means an exception from the clearing requirement 

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

transaction is entitled to the exception from the clearing requirement set 

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

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

“Clearing Exempt Transaction” means a Trade exempt from the 

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

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

Exception.

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

non-U.S. central clearing counterparty(ies) recognized or approved by the 

CFTC that provide clearing services with respect to any or all of Swaps 

traded on the SEF operated by BSEF.

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

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

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

Swaps.

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

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

Accounts or Customers. Each Clearing Member must sign documentation 

required by BSEF.

“Client” means an Account.

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

CLOB supports the following order types:

(a) Market Order (Fill_Or_Kill; Immediate_or_Cancel)

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

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

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

the implementation, surveillance and enforcement of the BSEF Rules and 

other Obligations.
4

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

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

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

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

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

foregoing.

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

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

a counterparty to a Trade.

“Covered Package Transaction” means a Package Transaction that has 

at least one or more of the following components: 

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

b. a commodity for future delivery (until November 15, 2022);

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

to the clearing requirement;

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

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

Treasury securities or agency mortgage-based securities; or

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

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

of the CEA).

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

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

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

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

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

of a Customer.

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

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

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

appropriate measure commonly used in swap markets.

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

in CFTC Regulation 1.3(h).

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

attributed to such term by Section 1a(9) of the CEA.
5

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

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

representatives of that Customer to have Trading Access using the 

Participant ID of the Sponsoring Broker.

“Director” means a member of the Board.

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

to conduct hearings in connection with disciplinary proceedings (other 

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

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

the Rules. The Disciplinary Panel must meet the composition 

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

composition requirements set forth in Rule 613(b). 

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

Participants have the ability to enter multiple indicative, disclosed bids 

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

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

bids and offers.

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

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

representatives of the Customer that are natural persons are designated by 

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

the Participant ID of the Sponsoring Broker and where such Customer 

signs the DMA Customer Documentation. 

“DMA Customer Documentation” means the agreements (together with 

any applicable schedules, exhibits or appendices thereto required by 

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

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

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

of any conflict between these Rules and the DMA Customer 

Documentation, these Rules shall govern. 

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

the Participant ID of the Sponsoring Broker.

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

of the CEA. 

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

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

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

opinion on behalf of the Board under circumstances and pursuant to 

procedures that are specified, requires immediate action and threatens or 
6

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

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

transactions or the timely collection and payment of funds in connection 

with clearing and settlement by a derivatives clearing organization, 

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

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

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

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

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

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

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

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

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

effect upon the functioning of BSEF.

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

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

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

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

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

Prices, will occur. 

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

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

completely or canceled.

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

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

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

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

such to foreign regulation.

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

date.

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

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

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

(iii) a self-regulatory body.

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

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

remaining portion will be canceled.

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

210(a).
7

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

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

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

regulation.

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

“ISV” means an independent software vendor.

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

CFTC Regulations.

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

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

of the CEA.

“Manual Order Ticket” means a function provided by BSEF that allows 

a Participant to send a firm offer to enter into a Permitted Transaction to 

another Participant. 

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

522.A(b).

“NFA” means the National Futures Association.

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

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

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

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

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

other master agreements, terms supplements and master confirmation 

agreements incorporating industry definitions.

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

pursuant to Rule 607.

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

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

Participants, which are posted on BSEF’s website. 

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

including Notice to Participants, and other requirement implemented by 

BSEF under the BSEF Rules.

“Officer” has the meaning attributed to such term in Rule 208.
8

“Offsetting Terms” means the terms that match all terms of the 

corresponding Error Trade or Alleged Error Trade other than the direction 

of the Error Trade or Alleged Error Trade.

“Operating Agreement” means the operating agreement of BSEF.

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

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

offer to enter into a Swap.

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

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

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

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

on an Order Book is firm or indicative. 

“Package Transaction” means a transaction involving two or more 

instruments:

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

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

simultaneous or near simultaneous execution of all components;

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

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

execution of all other components.

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

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

Participant Documentation or DMA Customer Documentation. Subject to 

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

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

Participant. 

“Participant Documentation” means the agreements (together with any 

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

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

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

BSEF as a Participant. Participant Documentation shall not include DMA 

Customer Documentation. 

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

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

BSEF.

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

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

component of a Covered Package Transaction. 
9

“Person” means a natural person or an entity.

“Pre-Execution Communication” means a communication between two 

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

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

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

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

communication between two Persons that involves an agreement between 

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

be considered a Pre-Execution Communication.

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

executive officer in accordance with the Operating Agreement, with the 

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

time as set forth in Rule 208.

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

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

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

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

Trades in the name and on behalf of such Person. 

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

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

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

can be a Prime Broker Trade.

“Proprietary Account” has the meaning set forth in 

CFTC Regulation 1.3(y).

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

in Rule 207(e). 

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

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

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

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

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

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

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

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

foreign regulation.

“Regulatory Oversight Committee” means the committee of the Board 

constituted in accordance with Rule 204.

“Regulatory Services Agreement” means the agreement between BSEF 

and the Regulatory Services Provider whereby the Regulatory Services 
10

Provider provides market surveillance and trade practice surveillance 

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

by BSEF. 

“Regulatory Services Provider” means the organization which provides 

regulatory services to BSEF pursuant to a Regulatory Services Agreement. 

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

Regulations.

“Reserve Price” means an Order that will be automatically sent to the 

recipient Participant that responds with a price that is at or better than the 

price designated in advance by the Requesting Participant. This order type 

is available for rate Swaps for Request for Quote Functionality for nonstreaming quotes to buy or sell a rate Swap. Please see Notice to 

Participants 2016-3, which is posted on BSEF’s website. 

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

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

offers for a specific Swap.

“Request for Quote Functionality” means a functionality of the SEF 

Platform that allows a Requesting Participant to send an RFQ to buy or 

and/or sell a Swap to any Participant, to which all such Participants may 

respond with a firm or indicative quote. An RFQ can be sent as a request 

for quote or as a request for streaming quote. All RFQs and responses to 

RFQs will disclose the name of the Person with which the Authorized 

Trader who placed an Order or sent an RFQ is associated in BSEF records. 

The Requesting Participant may accept a firm response to a request for 

quote from a recipient Participant. For requests for non-streaming quotes 

in credit Swaps, the Requesting Participant’s Order may be filled at the 

price the Requesting Participant accepted or at the subsequent price from 

the same recipient Participant if the subsequent price is more favorable to 

the Requesting Participant compared to responses to such request for 

quote from other recipient Participants received by the Requesting 

Participant during the same request for quote session. 

“Requesting Participant” means a Participant initiating an RFQ.

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

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

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

an Order Book. 

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

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

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

specified, means the Rules of the SEF operated by BSEF and the 
11

interpretations, resolutions, orders and directives and procedures of the 

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

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

CEA.

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

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

CEA.

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

terms in Rule 210(a).

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

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

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

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

Permitted Transactions and Block Trades.

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

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

rendering similar services to BSEF under an administrative or similar 

agreement.

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

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

available by BSEF to Participants for trading in Swaps.

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

210(a).

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

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

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

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

organization.

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

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

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

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

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

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

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

DMA Customer is located.

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

of any Participant.
12

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

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

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

Regulation 37.4.

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

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

trading protocols containing specifications for such Swap, as adopted, 

amended, supplemented or otherwise modified from time to time by 

BSEF.

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

523(c).

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

Platform or subject to BSEF Rules.

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

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

which enables BSEF to identify the individual entering RFQs or Orders 

into the SEF operated by BSEF. 

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

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

SEF Platform or execute Swaps subject to the BSEF Rules.

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

Customer, each account through which the Participant will trade Swaps 

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

positions and closed Swap positions of such Participants, Accounts or 

Customers and each account through which the Participant will present a 

Swap for clearing to a Clearing House. 

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

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

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

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

Person may exercise Trading Privileges on behalf of a Participant during 

any suspension of such Participant’s Trading Privileges. 

“Unique Swap Identifier” or “USI” means a unique identifier assigned 

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

“U.S. Person” shall have the meaning set forth in CFTC Regulation 23.23.
13

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

accordance with the Operating Agreement, with the duties and 

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

forth in Rule 208. 

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

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

form, including electronic transmissions.

* * * * * *

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

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

construction of the BSEF Rules;

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

York, except where expressly provided otherwise;

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

where the context permits and vice versa;

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

corresponding masculine, feminine and neuter forms;

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

listed; 

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

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

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

and

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

amended, and any rules or regulations promulgated thereunder.

CHAPTER 2. SEF GOVERNANCE

RULE 201. Board

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

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

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

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

committees of the Board or any panel of the Officers.

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

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

members of the Board, either by vote at a meeting or by Written consent without a meeting.
14

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

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

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

cause. 

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

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

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

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

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

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

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

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

set forth herein in their entirety.

RULE 202. [Reserved]

RULE 203. [Reserved]

RULE 204. Regulatory Oversight Committee

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

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

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

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

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

Regulatory Oversight Committee shall report to the Board. 

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

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

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

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

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

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

Committee shall have authority to:

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

sufficiency and effectiveness;

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

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

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

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

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

the conduct of investigations by the Regulatory Services Provider;
15

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

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

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

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

compliance; and

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

such changes may impact compliance.

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

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

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

to fulfill its mandate. 

RULE 205. Additional Committees and Panels

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

from time to time deem necessary or advisable.

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

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

composition, responsibilities and powers.

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

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

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

qualified to serve on such committee. 

RULE 206. Power of the Board to Review Decisions

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

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

the Board.

RULE 207. Eligibility

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

Operating Agreement.

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

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

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

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

Regulation § 1.63);
16

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

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

included a disciplinary offense; 

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

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

penalty related to either;

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

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

any Self-Regulatory Organization; or

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

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

offense. 

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

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

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

revocation or suspension of registration by the CFTC; 

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

the CEA; or

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

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

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

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

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

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

207(b). 

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

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

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

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

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

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

Director” if any of the following circumstances exist: 

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

employee of an Affiliate of BSEF; 

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

Participant; or
17

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

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

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

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

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

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

way contingent, conditioned or revocable.

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

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

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

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

RULE 208. Officers

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

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

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

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

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

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

Operating Agreement with respect to matters relating to BSEF.

RULE 209. Chief Compliance Officer

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

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

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

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

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

CFTC Regulation 40.1, of such appointment. 

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

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

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

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

department and may not serve as its general counsel.

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

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

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

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

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

requested by the Board or the Regulatory Oversight Committee.

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

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

for chief compliance officers in the Act and the CFTC Regulations. The Chief Compliance 
18

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

Compliance Officer’s obligations. 

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

following:

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

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

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

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

considerations and compliance requirements; (2) conflicts between business 

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

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

BSEF’s management and members of the Board;

(iii) Establishing and administering Written policies and procedures reasonably 

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

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

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

Regulations under Section 5h of the CEA;

(v) Establishing procedures for the remediation of noncompliance issues 

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

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

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

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

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

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

conduct;

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

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

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

examinations conducted by the Regulatory Services Provider, and other regulatory 

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

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

sales practice, recordkeeping, and other requirements); 

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

provided to BSEF by the Regulatory Services Provider; and 

(x) Preparing and filing the annual compliance report of BSEF.
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RULE 210. Conflicts of Interest

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

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

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

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

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

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

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

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

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

Rule 210(d).

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

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

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

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

respondent or potential respondent in a SEF Proceeding;

having any significant, ongoing business relationship with a respondent or 

potential respondent in a SEF Proceeding;

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

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

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

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

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

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

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

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

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

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

affected by the deliberations or vote.

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

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

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

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

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

to a vote on the matter, if:

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

matter are disclosed or known to the Board;

the Board determines that the participation by the Interested Person would 

be consistent with the public interest; and
20

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

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

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

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

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

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

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

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

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

Interested Persons with respect to such matter.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

mean “material information” that is “nonpublic information,” as such terms are defined in CFTC 

Regulation 1.59(a).

RULE 211. Restrictions on Certain Persons who Possess Material, NonPublic Information: Improper Use or Disclosure of Material 

Non-Public Information

No member of the Board or of any Board committee, no member of any other committee 

of BSEF, no Officer of BSEF, no employee of BSEF, no agent of BSEF, no subcontractor of 

BSEF and no consultant to BSEF shall:

(a) trade for such Person’s own account, or for or on behalf of any other account, in 

any commodity interest on the basis of any material, non-public information obtained through 

the performance of such Person’s official duties; 

(b) use or disclose, for any purpose other than the performance of such Person’s 

official duties, any material, non-public information obtained by such Person as a result of such 

Person’s official duties, provided, however, that this Section shall not prohibit disclosures made 

by such Person in the course of his or her official duties or disclosures made to the CFTC, any 
21

Self-Regulatory Organization, a court of competent jurisdiction or any agency or department of 

the federal or state government; or

(c) trade, directly or indirectly, in any Swap traded on the SEF operated by BSEF; in 

any related commodity interest; or in any commodity interest traded on any DCM or SEF or 

cleared by any Clearing House if such Person has access to material non-public information 

concerning such Swap or commodity interest.

RULE 212. Emergency Rules

(a) In the event of an Emergency, BSEF may implement temporary emergency 

procedures and rules (“Emergency Rules”), subject to the applicable provisions of the CEA and 

CFTC Regulations. Implementation of Emergency Rules shall be done in consultation with the 

CFTC. Emergency Rules may require or authorize BSEF, the Board, any committee of the 

Board, the President, or any other Officer to take actions necessary or appropriate to respond to 

the Emergency, including the following actions:

suspending or curtailing trading or limiting trading to liquidation only (in 

whole or in part);

extending or shortening the last trading date for Swaps;

ordering the fixing of a settlement price;

ordering the liquidation or transfer of an open position in any Swap, or the 

reduction of positions;

extending, limiting or changing the Trading Hours;

imposing or modifying intraday market restrictions;

transferring customer contracts and the margin in an emergency;

imposing special margin requirements;

extending or shortening the expiration date of a Swap;

altering any Swap’s settlement terms and conditions;

imposing or modifying price limits; 

imposing, modifying or reducing position limits; and/or

temporarily modifying or suspending any provision of the BSEF Rules or 

Obligations.

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the 

Board must approve the implementation of such Emergency Rule at a duly convened meeting

requested by the President or any other Officer. Directors may attend such a meeting by 

teleconference. Each Director participating in such meeting shall be subject to Rule 210. If the 
22

President, Vice President or the Chief Technology Officer determines that Emergency Rules 

must be implemented with respect to an Emergency before a meeting of the Board can 

reasonably be convened, then the President, Vice President or the Chief Technology Officer shall 

have the authority, without Board action, to implement any Emergency Rules with respect to 

such Emergency that he or she deems necessary or appropriate to respond to such Emergency.

(c) Whenever BSEF, the Board, any committee of the Board, or the President, Vice 

President or the Chief Technology Officer takes actions necessary or appropriate to respond to an 

Emergency (including the actions set forth in paragraph (a) above), an Authorized 

Representative of BSEF will post a Notice to Participants regarding such Emergency, as soon as 

practicable. When the Board, any committee of the Board or the President, Vice President or the 

Chief Technology Officer determines that the Emergency is no longer in effect, permitting the 

SEF operated by BSEF to resume normal functioning; any such actions responding to an 

Emergency will be terminated.

(d) BSEF will use reasonable efforts to notify the CFTC prior to implementing, 

modifying or terminating an Emergency Rule. If such prior notification is not possible or 

practicable, BSEF will notify the CFTC as soon as possible or reasonably practicable, but in all 

circumstances within twenty-four (24) hours of the implementation, modification or termination 

of such Emergency Rule.

(e) Upon taking any action in response to an Emergency, BSEF will document the 

decision-making process related to such action. Such documentation will be kept for at least five 

years following the date on which the Emergency ceases to exist or to affect the SEF operated by 

BSEF, and all such documentation will be provided to the CFTC upon request.

RULE 213. Information-Sharing Agreements

(a) BSEF shall enter into information-sharing agreements or other arrangements or 

procedures necessary to allow BSEF to obtain any necessary information to perform any 

monitoring of trading and Trade processing, provide information to other markets, the CFTC or 

any other Governmental Body with jurisdiction over BSEF upon request and which allow BSEF 

to carry out such international information-sharing agreements as the CFTC may require. As 

part of any information-sharing agreements or other arrangements or procedures adopted 

pursuant to this Rule, BSEF may:

provide market surveillance reports to the CFTC, any Governmental Body 

with jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO 

obligations, to other markets;

share information and documents concerning current and former 

Participants to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets;

share information and documents concerning ongoing and completed

investigations to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as 

necessary for BSEF to comply with its SRO obligations, to other markets; and/or
23

require its current or former Participants to provide information and 

documents to BSEF at the request of the CFTC, any Governmental Body with 

jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO obligations, to 

other markets.

(b) BSEF may enter into any information-sharing arrangement with any Person or 

body (including the CFTC, the NFA, any Self-Regulatory Organization, any SEF, DCM, market, 

or clearing organization, or any Governmental Body) if BSEF (i) believes that such entity 

exercises a legal or regulatory function under any law or regulation, or a function comprising or 

associated with the enforcement of a legal or regulatory function, or (ii) considers such 

arrangement to be in furtherance of the purpose or duties of BSEF and the SEF operated by 

BSEF under Applicable Law. 

(c) BSEF may disclose any information provided by or relating to Participant, 

Account Managers, Authorized Traders, Supervised Persons, Clearing Members, Customers or 

Accounts or their agents, or Trades of Participant or of its Customers or Accounts, including the 

content of this Agreement, to any Governmental Body, to the Regulatory Services Provider, to 

an SDR where BSEF reports Trades, to any other person or entity as required by Applicable Law 

or as necessary to conclude Participant’s Trades, submit Participant’s Trades for clearance or 

perform services requested by a Participant, and to any Person providing services to BSEF with 

respect to the SEF operated by BSEF. BSEF will not disclose any proprietary data or personal 

information of any Participant, Account Manager, Authorized Trader, Supervised Person, 

Clearing Member, Customer or Account without a corresponding confidentiality agreement 

between such Person and BSEF, unless the Person requesting such information is a 

Governmental Body.

RULE 214. Regulatory Services Agreement with the Regulatory Services 

Provider

BSEF has contracted with the Regulatory Services Provider to provide certain regulatory 

services to BSEF pursuant to a Regulatory Services Agreement. In accordance with the 

Regulatory Services Agreement, the Regulatory Services Provider may perform certain 

surveillance, investigative, and regulatory functions under the BSEF Rules and BSEF may 

provide information to the Regulatory Services Provider in connection with the performance by 

the Regulatory Services Provider of those functions. BSEF shall retain ultimate decision-making 

authority with respect to any functions that are contracted to the Regulatory Services Provider.

RULE 215. Delivery and Service of CFTC Communications for Non-U.S. 

Participants

In accordance with CFTC Rule 15.05, BSEF will serve as an agent of a non-U.S. 

Participant or a Customer of non-U.S. Participant for whom Swaps were executed or a non-U.S. 

Authorized Trader for purposes of accepting delivery and service of any communication issued 

by or on behalf of the CFTC to the non-U.S. Participant or the Customer of the non-U.S. 

Participant or the non-U.S. Authorized Trader, in each case with respect to any swap traded on 

the SEF operated by BSEF. 
24

CHAPTER 3. PARTICIPANTS

RULE 301. Eligibility Criteria for Becoming a Participant

(a) To be eligible for admission as a Participant, an applicant warrants to BSEF that it

meets the following criteria:

is an ECP, and each Account or Customer on whose behalf it wishes to 

trade on the SEF operated by BSEF is an ECP, in each case eligible to enter into the asset 

classes of Swaps it wishes to trade on the SEF operated by BSEF;

is of good reputation and business integrity;

is validly organized, in good standing, and authorized by its governing 

body and, if relevant, documents of organization, to trade Swaps;

has not filed for bankruptcy;

is not a SEF Official, agent or affiliate of BSEF;

is not prohibited from using the services of BSEF for any reason 

whatsoever;

holds all registrations required under Applicable Law, if any;

is not subject to statutory disqualification under Section 8a(2) of the CEA; 

satisfies any other criteria that BSEF may require from a Participant to 

perform its SRO responsibilities, comply with Applicable Law or provide SEF services;

and

is not an ISV or an automated trading system.

(b) Once admitted, the Participant shall continue to comply with all applicable 

Eligibility Criteria in this Rule 301.

(c) With respect to Cleared Swaps, each Participant that is an Account Manager, 

FCM or Introducing Broker must ensure that each of its, as applicable, Accounts or Customers 

has a clearing account with a Clearing Member that is a member of the Clearing House accepting 

for clearance Cleared Swaps traded on the SEF operated by BSEF and provide BSEF with 

evidence of such relationship. With respect to Non-Cleared Swaps, each Participant that is an 

Account Manager or Introducing Broker must ensure that each of its, as applicable, Accounts or 

Customers complies with Rule 534, if applicable. A DMA Customer that is an Account 

Manager must ensure that each of its Accounts complies with Rule 534, if applicable. Each 

Participant or DMA Customer that is an Account Manager must provide BSEF upon BSEF’s 

prior Written request with Written representation or proof of authority to place RFQs or Orders 

and execute Trades on the SEF operated by BSEF on behalf or in the name of each Account. 

(d) With respect to Cleared Swaps, each Participant that is not an Account Manager 

must either be a Clearing Member of a Clearing House where the Cleared Swaps are cleared or 
25

have a clearing account with a Clearing Member with respect to such Cleared Swap and provide 

SEF with evidence of such relationship. With respect to Non-Cleared Swaps, each Participant 

that is not an Account Manager must comply with Rule 534, if applicable. 

(e) Each Participant must establish a Trading Account. In addition to all information 

required by BSEF, information in each Trading Account shall at minimum be sufficient to allow 

BSEF to present a Trade for clearing to a Clearing House. A Participant must keep such 

information current and up-to-date. Please see Notices to Participants 2016-5A and 2017-1, 

which are posted on BSEF’s website. 

(f) Participants that do not have a relationship with a Clearing Member as set forth in 

subsection (c) or (d) of this Rule 301 are prohibited from entering RFQs or Orders in Cleared 

Swaps on the SEF operated by BSEF.

(g) Upon request of BSEF, a Participant shall promptly provide to BSEF or its 

Regulatory Services Provider information about the Participant, its Customers, Accounts, 

Clearing Members and Authorized Traders as BSEF requests related to or in connection with 

SEF Activity. 

RULE 302. Authorized Traders

(a) Each Participant shall nominate or designate one or more Authorized Traders, 

who will conduct SEF Activity on behalf of the Participant. 

(b) Each Authorized Trader:

(i) must be a natural person;

(ii) must satisfy any other requirements as may be prescribed by BSEF from 

time to time; and

(iii) must have a Trader ID.

A Participant that authorizes a third party to trade for its Trading Account on a 

discretionary basis pursuant to a power of attorney or other instrument must identify or approve a 

specific natural person as its Authorized Trader with respect to such Trading Account.

(c) Without limiting the foregoing, each Authorized Trader will abide by applicable

BSEF Rules and Applicable Law, and each Participant or DMA Customer, as applicable, will 

ensure on an ongoing basis that:

(i) none of its Authorized Traders is subject to a disqualification pursuant to 

any Applicable Law (unless an appropriate exemption has been obtained with respect 

thereto);

(ii) each of its Authorized Traders will be technically proficient; 

(iii) each of its Authorized Traders will conduct its business in a fair and 

equitable manner; and 
26

(iv) each of its Authorized Traders will conduct its business in accordance 

with the BSEF Rules.

(d) By agreeing to become an Authorized Trader, an individual agrees to be bound by 

the duties and responsibilities of an Authorized Trader under these Rules and to be subject to, 

and comply with, the BSEF Rules and Obligations. Among other duties and responsibilities that 

BSEF may impose, an Authorized Trader must:

have the authority, at BSEF’s request, to adjust or withdraw any Order 

submitted under any Trader ID assigned to him or her; and

ensure that any SEF Activity conducted under any Trader ID assigned to 

him or her complies with all BSEF Rules and Obligations.

(e) To nominate or designate an Authorized Trader, a Participant must follow the 

procedures established by BSEF. BSEF may establish criteria that individuals must fulfill to 

become an Authorized Trader. Any such criteria will be set out in the BSEF Rules. BSEF will 

not accept the registration as an Authorized Trader of any individual who is a SEF Official.

(f) BSEF will maintain a list of all appointed Authorized Traders for each 

Participant.

(g) BSEF may, in its sole discretion terminate, revoke or suspend an Authorized 

Trader and shall promptly notify the Participant in Writing of such action. Upon such 

termination, revocation or suspension, BSEF will disable access of such Authorized Trader to the 

SEF operated by BSEF. 

(h) To request the termination of the designation of an Authorized Trader, the 

Participant or the Authorized Trader must notify BSEF following the procedures established by 

BSEF. BSEF will terminate access of such Authorized Trader to the SEF operated by BSEF 

immediately upon receipt of such notice from Participant. 

RULE 303. Participant Application Process; Termination of Participant

(a) Any Person who desires to become a Participant shall (i) submit signed 

Participant Documentation; (ii) agree in Writing to abide by the BSEF Rules and Applicable 

Law; (iii) provide such information and documentation as may be requested by BSEF; and (iv) 

follow the application procedures established by BSEF. 

(b) In considering an application from a potential Participant, BSEF may require 

additional information from the applicant, or conduct an investigation to verify information 

submitted by the applicant, or both.

(c) If BSEF decides to admit an applicant as a Participant, it shall promptly notify the 

applicant and state in such notice the date on which the applicant shall become a Participant.

(d) If BSEF decides to decline or condition an application for admission as a 

Participant, or terminate a Person’s status as a Participant, BSEF shall promptly notify such 

Affected Person thereof in a Writing sent to the address provided by the applicant or maintained 

in BSEF registry of Participants. Such Affected Person may, within seven (7) calendar days, 
27

request in Writing that BSEF provide the reasons for the denial, conditioning or termination of 

Participant status. Within fourteen (14) calendar days after receiving such Written request, 

BSEF shall send in Writing to the Affected Person the reasons for the denial, conditioning or 

termination. Within fourteen (14) calendar days of receiving the BSEF’s Written response, the 

Affected Person may request in Writing that BSEF reconsider its determination, and may provide 

any relevant representations or other information that such Affected Person believes to be 

relevant to the reconsideration.

(e) BSEF may deny, condition or terminate Participant status of any Person if: 

(i) such Person is unable to satisfactorily demonstrate its ability to satisfy the Eligibility Criteria 

as set forth in Rule 301(a) to become or remain a Participant; (ii) such Person is unable to 

satisfactorily demonstrate its capacity to adhere to all applicable BSEF Rules; (iii) such Person 

would bring BSEF into disrepute as determined by BSEF in its sole discretion; or (iv) for such 

other cause as BSEF may reasonably determine.

RULE 304. Trading Privileges of a Participant

(a) Upon admission as a Participant or DMA Customer, the Participant or DMA 

Customer must execute such Participant Documentation or DMA Customer Documentation, as 

applicable, as required from time to time by BSEF, and such Participant Documentation or DMA 

Customer Documentation, as applicable, must remain in effect for the Participant or DMA 

Customer to access the SEF operated by BSEF. 

(b) Admission as a Participant entitles the Participant only to Trading Privileges and 

does not confer any right of ownership in, or right to attend or vote at meetings of, BSEF, or 

right to share in the profits, of BSEF. A Participant may not transfer or assign its status as a 

Participant.

RULE 305. Termination or Limitation of Trading Privileges and Trading 

Access

(a) Notwithstanding anything in the BSEF Rules to the contrary, the Chief 

Compliance Officer may, after consultation with the Regulatory Oversight Committee, if 

practicable, summarily suspend, revoke, limit, condition, restrict or qualify the Trading 

Privileges of a Participant or the Trading Access of an Authorized Trader, and may take other 

summary action against any Participant or any of its Supervised Persons or any Authorized 

Trader in accordance with the BSEF Rules; provided, however, that the Chief Compliance 

Officer must reasonably believe that the business, conduct or activities of the Participant, 

Authorized Trader or Supervised Person in question is not in the best interests of BSEF or the 

marketplace, including based on any of the following: (i) statutory disqualification from 

registration as provided in CEA Section 8a(2) or (3); (ii) non-payment of fees, costs, charges, 

fines or arbitration awards; or (iii) the reasonable belief that immediate action is necessary to 

protect the public or the best interests of BSEF and the SEF operated by BSEF. BSEF may deny 

or limit Trading Privileges of a Participant or Trading Access of any Authorized Trader upon 

default of the Participant, Customer or Account, as applicable, on any Swap with respect to such 

Participant, Customer or Account.

(b) Whenever practicable, the Compliance Department, acting on behalf of the Chief 

Compliance Officer, shall provide prior Written notice to the party against whom any action in 
28

accordance with paragraph (a) shall be taken. If prior notice is not practicable, BSEF will give 

notice at the earliest possible opportunity to the respondent against whom the action is brought. 

The Compliance Department, acting on behalf of the Chief Compliance Officer, will prepare a 

notice of summary action (which will state the action, the reasons for the action, and the effective 

time, date and duration of the action) and serve the notice on such party.

(c) The summary action will become final upon the expiration of 20 days after the 

notice of action is served on the respondent.

(d) At the request of BSEF, a respondent against whom a summary action is brought 

pursuant to this Rule 305 must provide books and records over which the respondent has access 

or control and must furnish information to, or appear or testify before, BSEF or the in connection 

with the enforcement of any BSEF Rule.

(e) Participant may appeal any decision taken by BSEF under this Rule 305 as 

provided in Rule 620; provided, however, that any such decision by BSEF to deny or otherwise 

limit applicant’s Trading Privileges or Trading Access shall continue in effect during such 

review. 

RULE 306. Assessments and Fees

BSEF shall set the times and amounts of any assessments or fees to be paid by 

Participants, which assessments or fees shall be paid to BSEF when due. If a Participant fails to 

pay when due any such assessments or fees levied on such Participant, and such payment 

obligation remains unsatisfied for thirty days after its due date, BSEF may suspend, revoke, 

limit, condition, restrict or qualify the Trading Privileges of such Participant as it deems 

necessary or appropriate.

RULE 307. Authorized Representatives

Each Participant shall designate one or more Authorized Representatives who will 

represent the Participant before BSEF and its committees and receive notices on behalf of the 

Participant. The Authorized Representative shall be empowered by the Participant to act on its 

behalf and BSEF shall be entitled to rely on the actions of the Authorized Representative as 

binding on the Participant. Each Participant must provide BSEF with current contact and other 

requested information for each of its Authorized Representatives so that BSEF is able to 

immediately contact the Authorized Representatives.

RULE 308. Recording of Communications

BSEF may record conversations and retain copies of electronic communications between 

SEF Officials, on one hand, and Participants, their Account Managers, Authorized Traders, 

Supervised Persons or other agents, on the other hand, to the extent required by Applicable Law. 

Any such recordings may be retained by BSEF or the Regulatory Services Provider in such 

manner and for such periods of time as BSEF may deem necessary or appropriate. 

RULE 309. Notices to Participants

BSEF shall publish a Notice to Participants with respect to each addition to, modification 

of, or clarification of, the BSEF Rules or of any action to implement any BSEF Rules, in a form 
29

and manner that is reasonably designed to enable each Participant to become aware of and 

familiar with, and to implement any necessary preparatory measures to be taken by it with 

respect to, such addition or modification, prior to the effective date thereof. For purposes of 

publication in accordance with the first sentence of this Rule, it shall be sufficient (without 

limiting the discretion of BSEF as to any other reasonable means of communication) if a Notice 

to Participants is published on BSEF’s website and posted on BSEF’s internal notification 

system. Any Notice to Participants shall also be deemed to have been made to all Account 

Managers, Authorized Traders and Supervised Persons.

RULE 310. Communications between BSEF and Participants

Each Participant must provide BSEF with its current electronic mail address and 

telephone number and the electronic mail address and telephone number of any of its Authorized 

Traders and immediately (and in any event within 24 hours) update this information whenever it 

changes. All communications between BSEF and the Participant will be transmitted by 

electronic mail and/or posted on BSEF’s website, except as otherwise specified by BSEF. The 

Participant shall be responsible for conveying such communications to its Authorized Traders

and/or to its Account Managers. Each Participant will be responsible for promptly reviewing 

and, if necessary, responding to all electronic communications from BSEF to the Participant or 

any of its Account Managers, Authorized Traders, Supervised Persons or any Person to whom it 

has given Trader ID(s). All communications made to a Participant shall also be deemed to have 

been made to all Account Managers, Authorized Traders and Supervised Persons of such 

Participant. 

RULE 311. Application of BSEF Rules and Jurisdiction

(a) ANY MARKET PARTICIPANT THAT DIRECTLY OR INDIRECTLY 

EFFECTS A TRANSACTION ON THE SEF OPERATED BY BSEF, OR ANY 

PARTICIPANT, AUTHORIZED TRADER, CLEARING MEMBER OR OTHER 

PERSON ACCESSING OR ENTERING ANY RFQ OR ORDER OR SUBMITTING 

ANY SWAP INTO THE SEF OPERATED BY BSEF OR EXECUTING ANY TRADE 

PURSUANT TO THE RULES (i) IS BOUND BY, AND SHALL COMPLY WITH, THE 

BSEF RULES AND OBLIGATIONS, THE CLEARING HOUSE RULES, SWAP 

SPECIFICATIONS AND APPLICABLE LAW, IN EACH CASE TO THE EXTENT 

APPLICABLE TO IT, (ii) SUBMITS TO THE JURISDICTION OF BSEF WITH 

RESPECT TO ANY AND ALL MATTERS ARISING FROM, RELATED TO, OR IN 

CONNECTION WITH, THE STATUS, ACTIONS OR OMISSIONS OF SUCH

PARTICIPANT, AUTHORIZED TRADER OR OTHER PERSON, AND (iii) AGREES 

TO ASSIST BSEF IN COMPLYING WITH ITS LEGAL AND REGULATORY 

OBLIGATIONS, COOPERATE WITH BSEF, THE CFTC AND ANY 

GOVERNMENTAL BODY WITH JURISDICTION OVER BSEF OR THE SEF 

OPERATED BY BSEF IN ANY INQUIRY, INVESTIGATION, AUDIT, 

EXAMINATION OR PROCEEDING.

(b) Any Person whose access to the SEF operated by BSEF is suspended for any 

period remains subject to the BSEF Rules, the Obligations and BSEF’s jurisdiction throughout 

the period of suspension. Any Person whose access to the SEF operated by BSEF is revoked or 

terminated shall remain bound by the BSEF Rules and Applicable Law, in each case to the 

extent applicable to it, and subject to the jurisdiction of BSEF with respect to any and all 
30

matters arising from, related to, or in connection with, the status, actions or omissions of such 

Participant prior to such revocation or termination.

RULE 312. Description of Participant’s Status 

A Participant shall ensure that the form, content and context of any description of the 

Participant’s status on the SEF operated by BSEF is not inconsistent with, and does not 

misrepresent, the Participant’s capacity on the SEF operated by BSEF under the BSEF Rules or 

the Participant’s registration, if any, under the CEA, or under any other Applicable Law.

RULE 313. Dissolution of Participants 

All rights and privileges of a Participant terminate upon, and all obligations of a 

Participant shall survive the dissolution of the Participant.

RULE 314. Withdrawal of Participant

(a) To withdraw from the SEF operated by BSEF, a Participant must notify BSEF of 

its withdrawal. Such withdrawal shall be accepted and effective immediately upon receipt of 

such notice by BSEF. 

(b) When BSEF accepts the withdrawal of a Participant, all rights and privileges of 

such Participant terminate (including the Trading Privileges). The accepted withdrawal of a 

Participant shall not affect the rights of BSEF under the BSEF Rules or relieve the former 

Participant of such Participant’s obligations under the BSEF Rules before such withdrawal. 

Notwithstanding the accepted withdrawal of a Participant, the withdrawn Participant remains 

subject to the BSEF Rules, the Obligations and the jurisdiction of BSEF for acts done and 

omissions made while a Participant, and must cooperate in any SEF Proceeding under Chapter 6 

as if the withdrawn Participant were still a Participant.

RULE 315. Compliance with the Commodity Exchange Act

All SEF Participants shall comply with all relevant provisions of the CEA and the Rules 

and regulations duly issued pursuant thereto by the CFTC, including the filing of reports, 

maintenance of books and records, and permitting inspection and visitation by Authorized 

Representatives of the CFTC or Department of Justice.

RULE 316. Access

RULE 316.A. ECP Access

BSEF will provide its services to any ECP with access to its markets and BSEF services 

that is impartial, transparent and applied in a fair and non-discriminatory manner; provided, 

however, that each ECP complies with BSEF’s documentation and the eligibility requirements 

set forth in this Rulebook.
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RULE 316.B. ISV Access

BSEF will provide ISVs with access to its trading platform and its data in a fair and nondiscriminatory manner; provided, however, that each ISV shall comply with BSEF’s criteria 

governing such access. Such access criteria shall be impartial and transparent.

RULE 317. Direct Market Access

(a) DMA may be sponsored only by a Sponsoring Broker.

(b) All trades in Cleared Swaps executed via DMA connection must be guaranteed by 

a Sponsoring Broker that assumes financial responsibility for all trades in Cleared Swaps 

executed through the DMA connection. 

(c) Each DMA Customer must execute the DMA Customer Documentation as a 

condition of being granted access to the SEF operated by BSEF.

(d) A Sponsoring Broker shall assist BSEF in any investigation into potential 

violations of the BSEF Rules, CFTC Regulations or the Act which occur through or with respect 

to a DMA connection guaranteed by such Sponsoring Broker. Such assistance must be timely 

and may include requiring any DMA Customer to produce documents, to answer questions from 

BSEF, and/or to appear in connection with an investigation.

(e) A Sponsoring Broker shall suspend or terminate the Trading Access of a DMA 

Customer or any Authorized Trader associated with such DMA Customer if BSEF determines 

that the actions of the DMA Customer or any of its Authorized Traders threaten the integrity of 

the SEF operated by BSEF or liquidity of any Swap or violate any BSEF Rule or if the DMA 

Customer or any of its Authorized Traders fails to cooperate in an investigation.

(f) If a Sponsoring Broker has actual or constructive notice of a violation of the 

BSEF Rules in connection with Direct Market Access by its DMA Customer and the Sponsoring 

Broker fails to take appropriate action, BSEF may consider that the Sponsoring Broker has 

committed an act detrimental to the interest or welfare of BSEF.

RULE 318. Legal Certainty for SEF Trades

A transaction entered into on or pursuant to the BSEF Rules shall not be void, voidable, 

subject to rescission, otherwise invalidated, or rendered unenforceable as a result of:

(a) a violation by BSEF of the provisions of section 5h of the Act or CFTC 

Regulations;

(b) any CFTC proceeding to alter or supplement a Rule, term, or condition under 

section 8a(7) of the Act or to declare an emergency under section 8a(9) of the Act; or

(c) any other proceeding the effect of which is to:

(i) alter or supplement a specific term or condition or trading rule or 

procedure; or
32

(ii) require BSEF to adopt a specific term or condition, trading rule or 

procedure, or to take or refrain from taking a specific action.

RULE 319. Rights and Responsibilities after Suspension or Termination

(a) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are suspended, none of its rights and Trading Privileges (including the right to 

hold oneself out to the public as a Participant, enter RFQs or Orders into the SEF operated by 

BSEF and receive Participant rates for fees, costs, and charges at Participant levels) will apply 

during the period of the suspension, except for the right of the Participant in question to assert 

claims against others as provided in the BSEF Rules or the right to Trading Access. Any such 

suspension will not affect the rights of creditors under the BSEF Rules or relieve the Participant 

in question of its, his or her obligations under the BSEF Rules to perform any Swaps entered into 

before the suspension, or for any SEF fees, costs, or charges incurred during the suspension. 

(b) When the Trading Privileges of a Participant or the Trading Access of any 

Authorized Trader are terminated, all of a Participant’s rights and Trading Privileges or an 

Authorized Trader’s right to Trading Access will terminate, except for the right of the Participant 

in question to assert claims against others, as provided in the BSEF Rules. Any such termination 

will not affect the rights of creditors under the BSEF Rules. A terminated Participant may only 

seek to reinstate its Trading Privileges by applying for Trading Privileges pursuant to Rule 304. 

BSEF will not consider the application of a terminated Participant if such Participant continues 

to fail to appear at disciplinary or appeals proceedings without good cause or continues to 

impede the progress of disciplinary or appeals proceedings.

(c) A suspended or terminated Participant, Authorized Trader or Supervised Person

remains subject to the BSEF Rules and the jurisdiction of BSEF for acts and omissions prior to 

the suspension or termination, and must cooperate in any inquiry, investigation, disciplinary or 

appeals proceeding, summary suspension or other summary action as if the suspended or 

terminated Participant still had Trading Privileges or the terminated Authorized Trader still had 

Trading Access. BSEF may discipline a suspended Participant or Authorized Trader under this 

Chapter 6 for any violation of a BSEF Rule or provision of Applicable Law committed by the 

Participant or Authorized Trader before, during or after the suspension.

(d) Upon the request of a Customer, in the event of the suspension or revocation of 

the Trading Privileges of a Participant, BSEF shall seek to facilitate the transfer of any Customer 

accounts held by such Participant to other Participants with Trading Privileges. 

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, 

DMA CUSTOMERS, AUTHORIZED TRADERS AND 

SUPERVISED PERSONS

RULE 401. Duties and Responsibilities

(a) Each Participant, Account Manager, DMA Customer, Authorized Trader and 

Supervised Person shall:

(i) ensure that BSEF’s facilities are used in a responsible manner and are not 

used for any improper purpose;
33

(ii) ensure that BSEF’s facilities are used only to conduct SEF Activity;

(iii) ensure that all SEF Activity conducted by the Participant, Account 

Managers, Authorized Traders and Supervised Persons is performed in a manner 

consistent with applicable BSEF Rules and their respective Obligations;

(iv) comply with all BSEF Rules and Obligations and act in a manner 

consistent with each BSEF Rule and Obligation;

(v) observe high standards of integrity, market conduct, commercial honor, 

fair dealing, and just and equitable principles of trade while conducting or attempting to 

conduct any SEF Activity, or any aspect of any business connected with or concerning 

the SEF operated by BSEF;

(vi) not mislead or conceal any material fact or matter in any dealings or 

filings with BSEF or in response to any SEF Proceeding; and

(vii) keep the Authorized Trader’s Trader IDs, account numbers and passwords 

confidential.

(b) Each Participant shall be responsible for promptly informing BSEF of any 

material changes to Eligibility Criteria information provided to BSEF by the Participant.

RULE 402. Required Disclosures to BSEF

Each Participant shall immediately notify the Compliance Department upon becoming 

aware of any of the following events:

(a) any material change to the contact or other information provided to BSEF by the 

Participant;

(b) any damage to, or failure or inadequacy of, the systems, facilities or equipment of 

the Participant to effect transactions pursuant to the BSEF Rules or to timely perform the 

Participant’s financial obligations under or in connection with Swaps of such Participant or 

Swaps of any Customer or Account of such Participant;

(c) any refusal of admission of the Participant for membership in, any SelfRegulatory Organization, SEF, DCM, or Derivatives Clearing Organization;

(d) any expulsion, suspension or fine in excess of $25,000 (whether through an 

adverse determination, voluntary settlement or otherwise) imposed on the Participant by any 

Self-Regulatory Organization, SEF, DCM, Derivatives Clearing Organization or, with respect to 

SEF Activity, any relevant Governmental Body;

(e) any revocation, suspension or conditioning of any registration or license of a 

Participant necessary to conduct SEF Activity granted by any relevant Governmental Body;

(f) (A) the commencement of any judicial or administrative proceeding against the 

Participant or any Authorized Trader or Supervised Person or (B) the imposition of any fine in 

excess of $25,000, cease and desist order, denial of trading privileges, censure or other sanction 
34

or remedy (whether through an adverse determination, voluntary settlement or otherwise) 

imposed, in each case of (A) and (B), by any Self-Regulatory Organization, SEF, DCM, 

Derivatives Clearing Organization or, with respect to SEF Activity, any relevant Governmental 

Body;

(g) any indictment or conviction of, or any confession of guilt or plea of guilty or 

nolo contendere by, any principals or senior officers of the Participant or any Authorized Trader 

for any felony or misdemeanor involving, arising from, or related to, the purchase or sale of any 

commodity, futures contract, swap, option, security, securities futures product or other financial 

instrument, or involving or arising from fraud or moral turpitude; and

(h) the Participant’s or a 10% or greater owner of the Participant becoming the 

subject of a petition for bankruptcy;

(i) the appointment of a receiver, trustee or administrator for the Participant or a 10% 

or greater owner of the Participant;

(j) the presentment of a petition, or the passing of a resolution, for the Participant’s

or a 10% or greater owner of the Participant winding-up;

(k) the commencement of proceedings for the Participant’s or the 10% or greater 

owner’s of the Participant dissolution; or

(l) the occurrence of an event of insolvency with respect to the Participant or the

10% owner or greater owner of the Participant.

RULE 403. Inspections by BSEF

(a) BSEF or the Regulatory Services Provider (or their respective authorized 

representatives), shall have the right with such prior reasonable advance notice as is practicable 

under the circumstances, in connection with determining whether all BSEF Rules are being, will 

be, or have been complied with by the Participant, to:

inspect the books and records of the Participants relating to SEF Activity;

inspect systems, equipment and software of any kind operated by the 

Participant in connection with SEF Activity and any data stored in any of the systems or 

equipment related to SEF Activity; and/or

copy or reproduce any data to which BSEF has access under this Rule.

(b) Such books and records, systems, equipment, software and data shall be made 

available to BSEF and the Regulatory Services Provider and their respective authorized 

representatives during regular business hours and BSEF and the Regulatory Services Provider 

and their respective authorized representatives agree to adhere to Participant’s reasonable logical 

and physical access and security procedures. 

(c) Each Participant, DMA Customer and Authorized Trader shall provide the 

Regulatory Services Provider with the same access to their books and records as they are 

required to provide to BSEF under the BSEF Rules and Applicable Law.
35

(d) The Compliance Department may require a Participant to furnish (periodically or

on a particular occasion) information concerning the Participant’s SEF Activity.

RULE 404. Minimum Financial and Related Reporting Requirements

Each Participant that is registered with any Self-Regulatory Organization shall comply 

with the provisions of Applicable Law relating to minimum financial and related reporting and 

recordkeeping requirements.

RULE 405. Position Liquidation upon Default

Upon default of any Swap by a Participant, Customer or Client, BSEF shall have the right 

to arrange the liquidation of all or some Swap positions of such Participant, Customer or Client, 

as applicable, opened via the SEF operated by BSEF.

RULE 406. Authority to Impose Restrictions

Whenever a Participant is subject to the early warning requirements set forth in the CFTC 

Regulations, including CFTC Regulation 1.12, the President, or his or her designee, may impose 

such conditions or restrictions on the business and operations of such Participant as the 

President, or his or her designee, may deem necessary or appropriate for the protection of 

Customers, other Participants or the SEF operated by BSEF.

RULE 407. Customers and Accounts

(a) No Participant shall carry an account for a Customer or enter an RFQ or Order in 

the name of a Account unless the Participant has entered into a Written agreement with the 

Customer or Account that is in compliance with Applicable Law and the BSEF Rules.

(b) Each Participant must: (1) ensure that the Customer or Account is an ECP at the 

time of execution of any Swap; (2) subject every Swap executed for the Customer or Account to

the terms of the BSEF Rules insofar as they are applicable to that Swap; (3) in relation to any 

Swap executed for the Customer or Account, be able to comply with all requirements of the 

BSEF Rules and any other arrangements, provisions and directions given by BSEF; and (4) 

provide BSEF and its agents, including its Regulatory Services Provider, access to all 

information in connection with or related to its SEF Activity necessary for monitoring and 

enforcement of BSEF Rules. 

RULE 408. Disclosure Requirements; Know Your Counterparty 

Requirements

(a) With respect to Non-Cleared Swaps, Participants that are Swap Dealers or Major 

Swap Participants shall verify the status of each Counterparty as an ECP with respect to each 

Trade as provided in Part 23 of the CFTC Regulations applicable to business conduct standards 

for Swap Dealers and Major Swap Participants in their dealing with counterparties.

(b) Each Participant must comply with the disclosure requirements imposed by the 

BSEF Rules. 
36

RULE 409. Books and Records

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

(a) Each Participant, Clearing Member and market participant shall prepare and keep 

current all books, ledgers and other similar records relating to SEF Activity required to be kept 

by it pursuant to the Act, CFTC Regulations and these Rules and shall prepare and keep current 

such other books and records relating to SEF Activity and adopt such forms as BSEF may from 

time to time prescribe. Such books and records shall be made available, upon request, to BSEF, 

the CFTC, the Department of Justice or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives. 

(b) In addition to information required by subsection (a) of this Rule 409, each 

Participant, Clearing Member and market participant must comply with all applicable 

requirements of CFTC Regulation 1.35. 

(c) If a Participant cannot enter an Order or Request for Quote received from its 

Customer into the SEF Platform, the Participant must immediately create an electronic record 

that includes the account identifier that relates to the Customer Account, time of receipt, and 

terms of the Order or Request for Quote.

(d) As required by CFTC Regulation 37.404, each Participant, Clearing Member and 

market participant, as applicable, must keep records of their trading on the SEF operated by 

BSEF (including records of its or its activity in the index or instrument used as a reference price, 

the underlying commodity and related derivatives markets) and make such records available, 

upon request, to BSEF, the CFTC or any Governmental Body, regulator or Self-Regulatory 

Organization with jurisdiction over BSEF, and their respective Authorized Representatives.

(e) Each Participant, Clearing Member and market participant shall keep all books 

and records required to be kept by it pursuant to these Rules for a period of five years from the 

date on which they are first prepared unless otherwise provided in these Rules or required by 

Applicable Law. Such books and records shall be readily accessible during the first two years of 

such five-year period. During such five-year period, all such books and records shall be made 

available for inspection by, and copies thereof shall be delivered to, BSEF and its Authorized 

Representatives upon request. 

(f) Each Participant and Authorized Trader shall provide the NFA with the same 

access to its books and records and offices as it is required to provide BSEF under these Rules 

and Applicable Law. 

(g) BSEF may require a Participant, Clearing Member and market participant to 

furnish such information concerning the Participant or Clearing Member’s business that is 

subject to these Rules as BSEF deems necessary to enable it to perform its obligations under 

Applicable Law, including information relating to (i) Swaps executed on the SEF operated by 

BSEF and in related derivatives markets, including in the products underlying those Swaps, and 

(ii) information requested by a government agency relating to the SEF and/or BSEF’s

compliance with Applicable Law that BSEF believes is maintained by, or otherwise in the 

possession of, a Participant or Clearing Member.
37

(h) All data and information provided to or obtained by BSEF pursuant to this Rule 

409 shall be subject to the provisions of Rule 805.

(i) A DMA Customer can delegate the maintenance of the DMA Customer’s records 

required by CFTC Regulation 1.35 for transactions executed on BSEF to its Sponsoring Broker; 

provided, however, that the DMA Customer has an agreement with its Sponsoring Broker 

regarding the maintenance of such records. The DMA Customer shall remain ultimately 

responsible for all CFTC Regulation 1.35 recordkeeping obligations, including any records not 

covered by the agreement with its Sponsoring Broker. Notwithstanding anything to the contrary 

in this Rule 409.A, the DMA Customer shall remain directly responsible for the maintenance of 

all records set forth in Rule 409.A(d).

RULE 409.B. BSEF Books and Records

BSEF shall keep, or cause to be kept, complete and accurate books and records, including 

all books and records required to be maintained pursuant to the CEA, the CFTC Regulations or 

the BSEF Rules as required by CFTC Regulation 1.31.

RULE 410. Responsibility for Mandatory Trading

Each Participant that is a Swap Dealer or Major Swap Participant shall be responsible for 

compliance with the mandatory trading requirement under Section 2(h)(8) of the CEA and shall 

not enter into any Required Transaction outside a SEF that lists a Swap related to such Required 

Transaction.

RULE 411. Eligibility for Clearing Exempt Transactions

(a) Each Participant wishing to execute any Clearing Exempt Transaction on the SEF 

operated by BSEF must submit to BSEF documentation demonstrating its eligibility (or the 

eligibility of its relevant Client or Customer, if applicable) for a Clearing Exception (a 

“Clearing Exception Form”) required by CFTC Regulations or CFTC Staff No-Action 

Letters prior to sending an RFQ or placing an Order subject to the Clearing Exception.

(b) Each Participant must comply with the conditions of the applicable Clearing 

Exception. 

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND 

BUSINESS CONDUCT

RULE 501. Scope

This Chapter 5 prescribes Rules concerning trading practices and business conduct on the 

SEF operated by BSEF and applies to all RFQs, Orders and Trades in Swaps as defined in 

Chapter 1.

RULE 502. Procedures

(a) With respect to trading on or though the SEF Platform or subject to BSEF Rules, 

BSEF may adopt, without limitation, procedures relating to transactions in Swaps and trading on 

the SEF Platform or subject to BSEF Rules, including procedures to:
38

disseminate the prices of bids and offers on, and trades in, Swaps;

record, and account for, Swaps and SEF Activity and regulate 

administrative matters affecting Swaps and SEF Activity;

establish limits on the number and/or size of RFQs or Orders that may be 

submitted by a Participant through the SEF Platform or subject to BSEF Rules;

establish limits on the aggregate notional amount of Swaps that may be 

held by a Participant;

establish a limit on the maximum daily price fluctuations for any Swap 

and provide for any related restriction or suspension of trading in the Swap; and

establish minimum price quoting increments for each Swap.

(b) BSEF may, in its discretion and at any time, amend any procedures adopted 

pursuant to Rule 502(a), and will publish the amendments in a Notice to Participant or in any 

other manner determined appropriate by BSEF.

RULE 503. Business Days and Trading Hours

Except as provided in Rule 212 with respect to Emergencies, BSEF shall determine and 

publish a Notice to Participants listing the Business Days of the SEF operated by BSEF and the 

Trading Hours for each Swap.

RULE 504. Rule Violations

(a) It shall be an offense for a Participant, Account Manager, DMA Customer,

Authorized Trader or Supervised Person to violate any BSEF Rule regulating the conduct or 

business of a Participant or its Account Managers, Authorized Traders or Supervised Persons, 

or any agreement made with BSEF, or to engage in fraud, dishonorable or dishonest conduct, or 

in conduct which is inconsistent with just and equitable principles of trade.

(b) Participants shall assist BSEF in any investigation into potential violations of the 

BSEF Rules or, with respect to the SEF Activity, the CEA. Such assistance must be timely and 

may include, but not be limited to, producing documents, answering questions from BSEF or its 

designee, and/or appearing in connection with an investigation. 

(c) If a Participant has actual or constructive notice of a violation of BSEF Rules in 

connection with the use of the SEF operated by BSEF by a Participant, Customer, Account, 

Clearing Member or Authorized Trader and the Participant fails to take appropriate action, the 

Participant may be found to have committed an act detrimental to the interest or welfare of the 

SEF operated by BSEF.

RULE 505. Fraudulent Acts

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant shall (a) intentionally or recklessly, directly or indirectly, 

engage, or attempt to engage, in any fraudulent act or intentionally or recklessly, directly or 
39

indirectly, use or employ, or attempt to use or employ, any manipulative device, scheme or 

artifice to defraud, deceive, trick or mislead or intentionally or recklessly, directly or indirectly, 

engage, or attempt to engage in any other activity prohibited by CFTC Regulation 180.1(a), or 

(b) engage, or attempt to engage, in any other activity prohibited by CEA section 9(a)(2), in each 

case of (a) and (b) in connection with or related to any SEF Activity. Specifically, no 

Participant, Account Manager, DMA Customer, Authorized Trader or Supervised Person shall 

directly or indirectly, engage in front running, fraudulent trading, money passes, trading ahead of 

customers, trading against customers, accommodation trading or improper cross trading. 

RULE 506. Prohibited Transactions

RULE 506.A Fictitious or Wash Transactions 

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant that directly or indirectly effects a transaction on the SEF 

operated by BSEF shall create fictitious transactions or wash transactions or execute any Order 

with knowledge of its nature. No Person shall place or accept Orders in the same Swap where 

the Person knows or reasonably should know that the purpose of the Orders is to avoid taking a 

bona fide market position exposed to market risk (transactions commonly known or referred to 

as wash sales). Orders for different accounts with common beneficial ownership that are entered 

with the intent to negate market risk or price competition shall also be deemed to violate the 

prohibition on wash trades. Additionally, no Person shall knowingly execute or accommodate 

the execution of such Orders by direct or indirect means.

RULE 506.B Pre-Arranged Transactions 

No Participant, Account Manager, DMA Customer or Authorized Trader shall engage in

a pre-arranged transaction except as permitted by Rule 516, Rule 521 or Rule 531.

RULE 507. Pre-Execution Communications

(a) Pre-Execution Communications with respect to Swaps executed through the 

Order Book shall be prohibited except in the case of Trades executed in accordance with Rule 

521.

(b) Pre-Execution Communications are permitted with respect to Swaps executed 

through the Request for Quote Functionality or Manual Order Ticket in accordance with Rule 

522.

RULE 508.A Price Manipulation

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised 

Person or any market participant shall directly or indirectly engage in any conduct that 

manipulates or attempts to manipulate the price of any Swap, including without limitation, 

engaging in activity in violation of CFTC Regulation 180.2. 

RULE 508.B Disruptive Practices 

(a) No Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person shall engage in any trading, practice or conduct that constitutes a 
40

“disruptive practice,” as such term is described in CEA section 4c(a)(5) or in any interpretive 

guidance issued by the CFTC, in relation to the trading of any Swap. 

(b) A Participant may post on the CLOB and submit an RFQ to the SEF Platform in 

the same Swap at the same time using the same Participant ID only as permitted by Rule 

508.B(a) and Rule 508.A. 

RULE 508.C Post-Trade Anonymity

(a) It is prohibited to disclose, directly or indirectly, including through a third-party 

service provider, the identity of a counterparty for Cleared Swaps executed, pre-arranged or prenegotiated anonymously on or pursuant to the rules of the SEF operated by BSEF.

(b) Prohibition on post-trade name give-up shall not apply to components of a 

Package Transaction that are not Cleared Swaps.

(c) The compliance date for swaps subject to the trade execution requirement under 

section 2(h)(8) of the CEA is July 5, 2021.

RULE 509. Prohibition of Misstatements

It shall be an offense to make any knowing misstatement of a material fact to BSEF, any 

SEF Official, any Board committee or SEF panel, the Compliance Department and/or agents of 

BSEF (including the Regulatory Services Provider) or any Participant or any of its Account 

Managers, Authorized Traders or Supervised Persons.

RULE 510. Acts Detrimental to Welfare of SEF

It shall be an offense to engage in any act that is detrimental to the interest or welfare of 

the SEF operated by BSEF.

RULE 511. Adherence to Law

(a) No Participant, Account Manager, Customer, Authorized Trader or Supervised 

Person shall engage in conduct in violation of the BSEF Rules, the Act, CFTC Regulations, the 

Rules of any SEF, or the rules of any DCM, DCO or SRO that has jurisdiction over such 

Participant, Account Manager, Customer, Authorized Trader or Supervised Person or, with 

respect to SEF Activity, the laws, rules or regulations of any relevant Governmental Body. 

(b) Without limiting subsection (a) of this Rule, 

each Participant that is an FCM or a Clearing Member must comply with 

all requirements of Applicable Law regarding the treatment of Customer 

funds and Customer Orders; and

each Participant, Customer or Account must comply with all margin 

requirements established by each relevant Clearing House and by each relevant Clearing 

Member, if applicable, as well as any margin requirements set forth by the CFTC or 

Applicable Law. 
41

RULE 512. Use of Trading Privileges

No Participant, Account Manager, DMA Customer, Authorized Trader or Supervised 

Person may use such Participant’s Trading Privileges in any way that could be expected to bring 

disrepute upon such Participant, Account Manager, DMA Customer, Authorized Trader or 

Supervised Person.

RULE 513. Supervision

Each Participant, DMA Customer and Account Manager shall be responsible for 

establishing, maintaining and administering reasonable supervisory procedures to ensure that its 

Authorized Traders and Supervised Persons, as applicable, comply with the BSEF Rules, the 

Act, CFTC Regulations, the Rules of any SEF, or the rules of any DCM, DCO or SRO that has 

jurisdiction over such Participant, Account Manager, DMA Customer, Authorized Traders or 

Supervised Persons or, with respect to SEF Activity, the laws, rules or regulations of any 

relevant Governmental Body, and such Participant may be held accountable for the actions of 

such Account Managers, Authorized Traders or Supervised Persons.

RULE 514. Misuse of the SEF Platform

Misuse of the SEF Platform is strictly prohibited. Only Swaps can be traded on the SEF 

operated by BSEF. It shall be deemed an act detrimental to the interest and welfare of the SEF 

operated by BSEF to willfully or negligently engage in unauthorized use of the SEF Platform, to 

assist any Person in obtaining unauthorized access to the SEF Platform, to trade on the SEF 

Platform without an agreement and an established account with a Derivatives Clearing 

Organization or a Clearing Member, to alter the equipment associated with the SEF Platform, to 

interfere with the operation of the SEF Platform, to intercept or interfere with information 

provided thereby, or in any way to use the SEF Platform in a manner contrary to the BSEF 

Rules.

Please see Notice to Participants 2017-2, which is posted on BSEF’s website.

RULE 515. Mishandling of Customer Orders 

Any Participant that mishandles any Customer Order is responsible for all remedial 

actions with respect to such Order.

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

General

Please see Notices to Participants 2015-1, 2016-5A, 2016-8 and 2020-1 (which addresses 

Alleged Error Trades intended to be corrected as set forth in Rule 516.A(c)), which are posted on 

BSEF’s website.

(a) Any Trade executed on the SEF operated by BSEF or in accordance with BSEF Rules

can be canceled, corrected, adjusted or offset only in accordance with this Rule 516. 

(b) For purposes of this Rule 516, a Participant involved in an Alleged Error Trade and 

acting as an Account Manager, Introducing Broker or FCM shall have the authority to request or 
42

consent to the cancellation, adjustment or offset, as applicable, of such Trade on behalf of the 

relevant Counterparty involved in the Trade.

(c) Timing of an Offset or Correction – Cleared Swaps

(i) For Error Trades (as defined below) rejected by a Clearing House for noncredit reasons, the new Trade must be executed on the SEF operated by BSEF and 

submitted for clearing as quickly as technologically practicable after receipt of notice of 

the rejection by the Clearing House to the Clearing Members, but, in any event, no later 

than one hour from the issuance of the notice.

(ii) For Error Trades, the Trade to offset the Error Trade or the new Trade that 

corrects the error in the Error Trade executed pursuant to this Rule 516 must be executed 

and submitted for clearing no later than three Business Days after the Error Trade was 

executed. 

(iii) For Alleged Error Trades (as defined below) intended to be corrected as 

set forth in Rule 516.A(c), the Trade to offset the Alleged Error Trade or the new Trade 

that corrects the error in the Alleged Error Trade must be executed and submitted for 

clearing as quickly as technologically practicable, but no later than 24 hours after the

Alleged Error Trade was executed, except as otherwise set forth in Rule 516.A(c). 

(d) Timing of a Correction, Cancellation or Adjustment – Non-Cleared Swaps. Any 

correction, cancellation or adjustment of a Trade in Non-Cleared Swaps made pursuant to this 

Rule 516 shall be made no later than three Business Days after the erroneous Trade was 

discovered. 

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

Swaps

(a) Except as set forth in subsection (c) of this Rule, to request cancellation, 

correction, adjustment or offset of a Trade in Cleared Swaps alleged to be erroneous (“Alleged 

Error Trade”), a Participant must notify the BSEF Support Desk at 1-212-617-1530 or 

bsefdesk@bloomberg.net or by any form of written communication approved by BSEF by 

providing the Trade ID (FIT Key) of the Alleged Error Trade and stating the grounds for the 

request as soon as possible, but no later than the end of the Business Day following the date of 

execution of the Alleged Error Trade. For notifications received after such date, BSEF shall 

have discretion as to whether to review the request to cancel, correct, adjust or offset the Alleged 

Error Trade. 

(b) Except as set forth in subsections (c) and (d) of this Rule, for an Alleged Error 

Trade, the Compliance Department will review promptly the electronic audit trail of the Alleged 

Error Trade as well as any facts and circumstances associated with the Alleged Error Trade. If 

BSEF makes an affirmative finding that the Alleged Error Trade was the result of a clerical or 

operational error and that the cancellation, correction, adjustment or offset of the Alleged Error 

Trade is appropriate and would not adversely impact market integrity, facilitate market 

manipulation or other illegitimate activity, or otherwise violate the CEA, CFTC Regulations or 

BSEF Rules, BSEF will designate such Alleged Error Trade as an “Error Trade.” 
43

(c) If Participants involved in an Alleged Error Trade agree that the Alleged Error 

Trade was the result of an operational or clerical error or omission and that the cancellation, 

correction, adjustment or offset of the Alleged Error Trade is appropriate and will not adversely 

impact market integrity, facilitate market manipulation, or other illegitimate activity, or 

otherwise violate the CEA, CFTC Regulations or BSEF Rules, Participants may enter into a 

Trade with Offsetting Terms to correct an Alleged Error Trade or into a correcting Trade using 

functionality approved by BSEF, as specified in Notice to Participants 2020-1, without 

Compliance Department review, as set forth in Rule 516(c)(iii). Use of such functionality 

required by BSEF will constitute notice to the Compliance Department. 

(d) For an Alleged Error Trade, corrected pursuant to subsection (c) of this Rule 

516.A, the Compliance Department will conduct an ex post facto review of the Alleged Error 

Trade, the Trade with Offsetting Terms and the correcting Trade within one Business Day of the 

date of execution of the Trade with Offsetting Terms and the correcting Trade. Such ex post 

facto review will include a review of the electronic audit trail of the Alleged Error Trade, as well 

as other facts and circumstances associated with the Alleged Error Trade. If BSEF makes an 

affirmative finding that the Alleged Error Trade was offset and corrected in compliance with 

subsection (c) of this Rule 516.A, BSEF will make an affirmative finding that such Alleged Error 

Trade was an Error Trade. If BSEF makes an affirmative finding that such Alleged Error Trade 

was not an Error Trade, BSEF Compliance will consider any action appropriate under BSEF 

Rules. 

(e) Except as set forth in subsection (c) of this Rule 516.A, BSEF will inform 

affected Participants of the Error Trade and of the next steps that the Participants must or could 

make. BSEF will also inform the affected Participants of the final disposition of the Error Trade. 

(f) Except for a Trade executed via the CLOB, BSEF may, but is not obliged to, 

inform Participants affected by the Alleged Error Trade of the identity and contact information of 

any other Participant affected by the Alleged Error Trade. 

(g) For Trades executed via the CLOB that are determined to be Error Trades, BSEF 

will not inform Participants affected by the Error Trade of the identity and contact information of 

any other Participant affected by the Error Trade and will facilitate a pre-arranged Trade with 

Offsetting Terms or a new Trade that corrects the error in the Error trade if all such Participants 

agree to or are required to enter into Trades described in Rule 516.B.

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

– Cleared Swaps 

(a) Participant Errors

(i) For each Error Trade cleared by a Clearing House, BSEF may, if both 

Participants agree:

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or
44

(B) allow the affected Participants to enter into a pre-arranged Trade 

with Offsetting Terms to offset the position on the books of the Clearing 

House that resulted from the Error Trade; and/or 

(C) if desired by the affected Participants, allow the affected 

Participants to execute a new Trade that corrects the error in the Error 

Trade, provided, however, that the terms of such new Trade shall not 

include costs or fees associated with the Error Trade. 

(ii) For each Error Trade rejected by a Clearing House and determined to be 

void ab initio under Rule 533 because of an operational or clerical error or omission 

made by a Participant, Counterparty or Account Manager, BSEF may, if both Participants 

agree, allow the affected Participants to enter into a new pre-arranged Trade correcting 

the terms of the rejected Error Trade.

(iii) All BSEF Rules other than Rule 522.A shall apply to new Trades executed 

by Participants pursuant to this Rule 516.B(a). 

(iv) Participants must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(a)(i)(A). 

(v) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the new Trade that corrects the Error Trade is also rejected by the Clearing 

House and void ab initio, the affected Participants will not be provided a second 

opportunity to correct the Error Trade.

(b) System Errors

(i) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade cleared by a Clearing House

was the result of an error made by the SEF Platform and the Trade has been designated as 

an Error Trade, then BSEF may: 

(A) request, or allow the Participants to request, the appropriate 

Clearing House to cancel, correct or adjust the Error Trade; or

(B) direct the affected Participants to enter into a pre-arranged Trade 

with Offsetting Terms to offset the position on the books of the Clearing 

House that resulted from the Error Trade; and/or

(C) direct the affected Participants to execute a new Trade that corrects 

the error in the Error Trade, provided, however, that the terms of such new 

Trade shall not include costs or fees associated with the Error Trade.

(ii) If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade rejected by a Clearing 

House and determined to be void ab initio under Rule 533 because of an operational or 

clerical error or omission made by the SEF Platform was the result of an error made by 

the SEF Platform and the Trade has been designated as an Error Trade, then BSEF may 
45

direct the affected Participants to enter into a new pre-arranged Trade correcting the 

terms of the rejected Error Trade, provided, however, that the terms of such new Trade 

shall not include costs or fees associated with the Error Trade.

(iii) If BSEF directs affected Participants to enter into a pre-arranged Trade in 

accordance with sub-section (i)(B) above, the affected Participants shall enter into such 

pre-arranged Trade.

(iv) All BSEF Rules other than Rule 522.A shall apply to new Trades executed 

by Participants pursuant to this Rule 516.B(b).

(v) Notwithstanding anything to the contrary in this Rule 516(B)(b), BSEF 

reserves the right to correct an Error Trade resulting from an error made by the SEF 

Platform by any means BSEF deems appropriate. 

(vi) If BSEF is unable to determine how to correct the Error Trade, BSEF may 

either not fix the error, or it may seek guidance on how to address the error from the 

affected Participants. Any such guidance may not be implemented without consent from 

both Participants.

(vii) Participant must report to BSEF as soon as possible all changes made to 

the Error Trade pursuant to Rule 516.B(b)(i)(A). 

(viii) With respect to an Error Trade rejected by a Clearing House for non-credit 

reasons, if the new Trade that corrects the Error Trade is also rejected by the Clearing 

House and void ab initio, the affected Participants will not be directed to enter into 

another Trade to correct the Error Trade.

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

Non-Cleared Swaps

(a) Participant Error

The Participants involved in an erroneous Trade, other than a Prime 

Broker Trade, may mutually agree to cancel the erroneous Trade or to correct or adjust 

the erroneous Trade. BSEF will cancel, correct or adjust the erroneous Trade as 

instructed by the affected Participants. A Prime Broker Trade shall be canceled in 

accordance with Rule 516.D.

(b) System Error

If, after its own investigation or a notice from a Participant, BSEF 

determines in its sole discretion that the execution of a Trade, other than a Prime Broker 

Trade, was the result of an error made by the SEF Platform, then BSEF may:

(A) cancel such Trade; or
46

(B) if both Participants, or with respect to a Prime Broker Trade, both 

Participants and the Prime Broker, affected by the erroneous Trade agree, 

correct or adjust the price. 

RULE 516.D Prime Broker Trades

(a) A Participant that is a Counterparty to a Prime Broker Trade may request the 

cancellation of a Prime Broker Trade. The Participant must request cancellation by sending a 

cancellation message to BSEF. The cancellation message must state the USI of the Prime Broker 

Trade, name and contact information of the Prime Broker for the Prime Broker Trade and the 

reason for cancellation. If the Prime Broker confirms the cancellation, BSEF will cancel the 

Prime Broker Trade.

(b) Subject to subsection (c) of this Rule, a Prime Broker shall have the right to 

cancel any Prime Broker Trade (i) that is executed in excess of the limit, terms or parameters

established by the Prime Broker with respect to the Prime Broker Trade, (ii) because the Prime 

Broker Trade was executed by or with a Person that was not authorized by the Prime Broker, or 

(iii) because the Prime Broker Trade was executed for an unauthorized product. The Prime 

Broker must request cancellation by sending a cancellation message to BSEF. The cancellation 

message must state the USI of the Prime Broker Trade and the reason for cancellation. If BSEF 

determines that the cancellation satisfies the conditions of Rule 516.D(b), BSEF will cancel the 

Prime Broker Trade. 

(c) Each Prime Broker that wishes to have the ability to instruct BSEF to cancel 

Trades executed on BSEF under Rule 516.D.(b) must enter into an agreement with BSEF.

RULE 516.E Trade Cancellation and Adjustment by BSEF

(d) BSEF may adjust or cancel a Trade (i) that resulted from a market disrupting 

event, (ii) that is executed at a price that was outside the No-Bust Range, (iii) to comply with 

Applicable Law or (iv) that was intended to be cleared and was submitted to a Clearing House 

via a service provider but was not presented to the Clearing House for clearing due to a postexecution processing issue. Please see Notice to Participants 2016-5A, which is posted on 

BSEF’s website. 

(e) If BSEF takes action pursuant to this Rule 516.E, it will give prompt notice to 

affected Participant(s). 

RULE 516.F Trade Reporting by BSEF

BSEF will report the adjustment or cancellation of the Trade and any new Trade entered 

into pursuant to this Rule in accordance with Rule 532. 

RULE 517. Withholding Orders Prohibited

(a) Any Participant entering RFQs or Orders on the SEF operated by BSEF for its 

Customers shall not withhold or withdraw from the market any RFQ or Order, or any part of an 

RFQ or Order, for the benefit of any Person other than the Customers.
47

(b) A Participant must enter immediately into the SEF operated by BSEF all Orders 

or Requests for Quotes received from its Customers that are executable immediately. If a 

Participant cannot immediately enter into the SEF Platform an Order or Request for Quote 

received from its Customer, the Participant must enter the Order or Request for Quote into the 

SEF operated by BSEF as soon as practicable, and must immediately create an electronic record 

as provided in Rule 409.

RULE 518. Priority of Customers’ Orders

No Participant that is an FCM or Introducing Broker shall enter an Order into the SEF 

operated by BSEF for his own account, an account in which he has a direct or indirect financial 

interest or an account over which he has discretionary trading authority, including an Order 

allowing discretion as to time and price, when such Person is in possession of any Order in the 

same Swap for its Customer that the SEF operated by BSEF is capable of accepting.

RULE 519. Trading Against Customers’ Orders Prohibited

RULE 519.A. General Prohibition

No Person in possession of a Customer’s Order shall knowingly take, directly or 

indirectly, the opposite side of such Order for its own account, an account in which it has a direct 

or indirect financial interest, or an account over which it has discretionary trading authority.

RULE 519.B. Exceptions

The foregoing restriction shall not apply to transactions executed pursuant to Rule 531.A 

or Rule 531.B.

RULE 520. Disclosing Orders Prohibited

No Person shall disclose another Person’s RFQ or Order to buy or sell except to a 

designated SEF Official or the CFTC, and no Person shall solicit or induce another Person to 

disclose RFQ or Order information. No Person shall take action or direct another to take action 

based on non-public RFQ or Order information, however acquired. 

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial 

Owners

(a) A Participant that is a broker or a dealer which seeks either to execute against a 

Customer’s Order or to execute two Customers against each other through an Order Book 

following some form of pre-arrangement or pre-negotiating of such Orders must expose one side 

of the transaction for a minimum of 15 seconds to the other Participants before the second side of 

the transaction (whether for the Participant’s own account or for a second Customer) can be 

submitted for execution.

(b) Notwithstanding the foregoing clause (a), this Rule shall not apply to any DMA 

Order.
48

RULE 522. Execution of Orders on the SEF Platform

RULE 522.A. Required Transactions and Cleared Swaps

(a) No Participant shall execute a Required Transaction in a Swap listed on the SEF 

operated by BSEF other than as described in this Rule 522.A unless it is a Block Trade. 

(b) Request for Quote Functionality 

(i) An RFQ for a specific Swap must be sent to at least three MAT Recipient 

Participants. A Participant is prohibited from sending an RFQ to less than three MAT 

Recipient Participants. 

(ii) Together with the first response from any MAT Recipient Participant, the 

SEF Platform will display to a Requesting Participant any firm Resting Quotes for the 

Swap indicated in the RFQ that are posted on an Order Book together with any responses 

to the RFQ from the MAT Recipient Participants, and such Resting Quotes will remain 

displayed until all responses to the RFQ are received or the time for response has lapsed. 

The SEF Platform will permit the Requesting Participant to execute against such firm 

Resting Quotes along with any responsive Order from a MAT Recipient Participant.

“MAT Recipient Participant” means, with respect to any Requesting Participant 

sending any RFQ via the Request for Quote functionality of the SEF Platform, a 

Participant other than the Requesting Participant that (x) is not an Affiliate of or 

Controlled by the Requesting Participant and (y) is not an Affiliate of or Controlled by 

any other MAT Recipient Participant receiving the same RFQ of the Requesting 

Participant. 

(iii) The Request for Quote Functionality will provide each Participant with 

equal priority in receiving RFQs, transmitting and displaying responses and accepting 

resulting Orders. 

(c) Anonymous CLOB for Cleared Swaps

Only firm bids and offers can be posted on the CLOB. Firm bids or offers may be 

posted on the CLOB for Cleared Swaps only by a Participant that is a member of the applicable 

Clearing House, by a Participant that has a clearing account with a Clearing Member as set forth 

in Rule 533(b), or by a Participant in the name of an Account or Customer that has a clearing 

account with a Clearing Member as set forth in Rule 533(b). Bids and offers posted on the 

CLOB for Cleared Swaps are anonymous and will be matched on a price/time priority basis.

BSEF shall not disclose the names of Participants or Counterparties for a Trade executed on the 

CLOB and it shall be a violation of the Rules for a Participant or Counterparty to ascertain or 

attempt to ascertain the name of the Participant or Counterparty that is on the opposite side of a 

Trade executed on the CLOB.

RULE 522.B. Permitted Transactions

The following execution methods are available for Permitted Transactions:
49

(a) Disclosed Order Book for Permitted Transactions in precious metal and foreign 

exchange Swaps;

(b) Anonymous CLOB for Permitted Transactions in rate and credit Swaps that are 

Cleared Swaps;

(c) Disclosed CLOB for Permitted Transactions in rate and credit Swaps that are 

Non-Cleared Swaps;

(d) Request For Quote Functionality-request for streaming quote for rate, credit, nondeliverable forwards and precious metals Swaps; 

(e) Request For Quote Functionality-request for non-streaming quote for all Swaps; 

and 

(f) Manual Order Ticket for Permitted Transaction rate and credit Swaps that are 

Cleared Swaps.

RULE 522.C. Package Transactions 

(a) Other than as set forth in Rule 522.C(b), a Package Transaction or a component of 

a Package Transaction that is a Required Transaction must be executed as provided in Rule 

522.A. 

(b) A Covered Package Transaction or a component of a Covered Package 

Transaction that is a Required Transaction may be executed using the following means of 

execution for Permitted Transactions in accordance with CFTC Rule 37.9(d) or No-Action Letter 

20-31, which expires November 15, 2022:

(i) Request For Quote Functionality-request for non-streaming quote; and 

(ii) Manual Order Ticket.

(c) Please also see Notice to Participants 2016-1, which is posted on BSEF’s website. 

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

No Participant shall enter into a Clearing Exempt Transaction unless it (or its Account or 

Customer) or its Counterparty can claim a Clearing Exception with respect to such Clearing 

Exempt Transaction. An Order for a Clearing Exempt Transaction will be rejected if an 

applicable Clearing Exception Form is not on file with BSEF. 

RULE 522.E. Block Trades in Cleared Swaps 

(a) In accordance with CFTC No-Action Letter 20-35, which expires December 30, 

2022 at 11:59 p.m. EST, Block Trades in Cleared Swaps may be executed using the Request for 

Quote Functionality or a Manual Order Ticket and reported to an SDR as set forth in BSEF Rule 

532(d).

(b) Each Counterparty to a Block Trade must be an ECP.
50

(c) The aggregation of Orders for different accounts in order to satisfy the Minimum 

Block Trade size is permissible only by a Person who is a Qualified Account Manager.

(d) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account.

RULE 523. Trade Confirmations

(a) BSEF will confirm each Trade at the same time as execution of the Trade. BSEF 

will provide each Counterparty to a Trade that is entered into on or pursuant to the BSEF Rules 

with a Written record of all of the terms of the Trade which shall legally supersede any previous 

agreement and serve as a confirmation of the transaction (a “Confirmation”) as soon as 

technologically practicable after the execution of a Trade. Such terms shall legally supersede 

any previous agreement and serve as a confirmation of the Trade. BSEF will not include specific 

customer identifiers for accounts included in Bunched Orders if the applicable requirements of 

CFTC Regulation 1.35(b)(5) are met.

(b) On the Confirmation BSEF will:

(i) provide the USI for the Trade and the name of the SDR where the Trade is 

reported; 

(ii) identify the Counterparty that is a Reporting Counterparty pursuant to 

CFTC Regulation 45.8, and notify each Counterparty or its agent if the Counterparty is a 

Reporting Counterparty, using the information provided by a Participant pursuant to Rule 

524.A or 524.C; and

(iii) if both Counterparties have equal reporting status under CFTC Regulation 

45.8, BSEF will designate the Reporting Counterparty using the following rules:

(A) For the rates asset class, the Reporting Counterparty will be 

determined as set forth in the table below: 

A Trade that is 

not a leg of a 

Package 

Transaction

A Package 

Transaction 

defined on the 

SEF Platform as 

“curves”

A Package 

Transaction 

defined on the 

SEF Platform as 

“butterflies”

A Package 

Transaction 

defined on the

SEF Platform as 

“rolls”

Package 

Transactions 

executed via the 

BOLT 

functionality of 

the SEF Platform

in accordance 

with the ISDA 

Dodd-Frank Act 

– Swap 

Transaction 

Reporting Party 

Requirements, 

the relevant 

portion of which 

the fixed rate 

payer on the leg 

with longer 

maturity is the 

Reporting 

Counterparty on 

all legs

the fixed rate 

payer on the leg 

with the middle 

tenor (“body”) is 

the Reporting 

Counterparty on 

all legs

the fixed rate 

payer of the far 

month leg is the 

Reporting 

Counterparty on 

all legs

on an individual 

leg basis in 

accordance with 

the ISDA DoddFrank Act –

Swap 

Transaction 

Reporting Party 

Requirements, 
51

is attached to this 

Rulebook as 

Annex A

the relevant 

portion of which 

is attached to this 

Rulebook as 

Annex A

(B) For the credit asset class, the Reporting Counterparty will be 

determined as set forth in the table below:

A Trade that is not a 

Package Transaction

A Package 

Transaction defined 

on the SEF Platform 

as a “curve”

A Package Transaction 

defined on the SEF 

Platform as a “roll”

A Package 

Transactions defined 

on the SEF Platform 

as a “switch”

the seller of protection

is the Reporting 

Counterparty

the seller of protection 

on the leg with longer 

maturity is the 

Reporting 

Counterparty on all 

legs

the seller of protection 

on the leg with longer 

maturity is the 

Reporting 

Counterparty on all 

legs

the seller of 

protection on the 

second leg of the 

switch (as displayed 

on the SEF Platform) 

is the reporting 

counterparty for all 

legs

(C) For the foreign exchange and commodity asset classes: the 

Reporting Counterparty is the liquidity provider. For a Package 

Transaction, Reporting Counterparty will be determined on an individual 

leg basis and is the liquidity provider. A “liquidity provider” is a Person 

that: (i) for RFQ, provided the responses to an RFQ that led to the reported 

Trade; or (ii) for an Order Book, provided the first quote that led to the 

reported Trade. 

(c) With respect to any Non-Cleared Swap, a Confirmation shall for purposes of 

Commission Regulation 37.6(b) consist of the Trade Communication and the Terms 

Incorporated by Reference. In the event of any conflict between (x) the Trade Communication 

and (y) the Terms Incorporated by Reference, the Trade Communication shall prevail to the 

extent of any inconsistency and the Trade Communication will state the same.

“Trade Communication” shall mean a Written communication provided by 

BSEF to each Participant involved in a Trade containing the economic terms of 

the Trade agreed by the Participants on the SEF operated by BSEF. 

“Terms Incorporated by Reference” shall mean the Non-Cleared Swap 

Agreement(s) governing the Trade memorialized in the Trade Communication.

(d) In accordance withCFTC No-Action Letter 17-17, until the effective date of 

revised CFTC regulations that establish a permanent, practicable SEF confirmation solution, 

Participants entering into Non-Cleared Swaps on or subject to the rules of the SEF operated by 

BSEF are not required to provide to BSEF the Non-Cleared Swap Agreement(s) governing such 
52

Non-Cleared Swaps prior to entering into a Trade in a Non-Cleared Swap, but must provide 

copies of the Non-Cleared Swap Agreement(s) to BSEF upon request. Upon request from the 

Commission, BSEF will request a Participant to provide copies of the applicable Non-Cleared 

Swap Agreement(s) and will provide such copies to the Commission.

RULE 524. Order Entry Requirements

Please see Notice to Participants 2017-1, which is posted on BSEF’s website.

RULE 524.A. General

Each Authorized Trader entering an RFQ or Order with respect to any Swap traded on 

the SEF operated by BSEF must include with the Order, as applicable:

(a) the Trader ID; 

(b) the Participant ID;

(c) the Legal Entity Identifier of the Participant or Account Manager placing the RFQ 

or Order, if available;

(d) the Counterparty’s Legal Entity Identifier;

(e) the Swap description or code;

(f) the price or yield, quantity, maturity or expiration date of the Swap;

(g) side of the Order;

(h) the CTI code;

(i) Trading Accounts and other relevant account(s);

(j) a yes/no indication of whether the Counterparty is a Swap Dealer with respect to 

the Swap with respect to which the Order is placed;

(k) a yes/no indication of whether the Counterparty is a Major Swap Participant with 

respect to the Swap with respect to which the Order is placed;

(l) a yes/no indication of whether the Counterparty is a Financial Entity;

(m) a yes/no indication of whether the Counterparty is a U.S. person; 

(n) a yes/no indication that a Swap is an inter-affiliate Swap that should not be 

subject to the real-time reporting requirements; 

(o) a yes/no indication of the Clearing Exception;

(p) an indication of whether the Swap is a leg of a Covered Package Transaction;
53

(q) if applicable, other terms of a Swap that is not a Cleared Swap required by BSEF 

(e.g., type of Clearing Exception, collaterization); or

(r) if the Swap will be allocated:

(i) an indication that the Swap will be allocated; and

(ii) the Legal Entity Identifier of the Account Manager.

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

Each Participant must identify each transaction submitted to the SEF operated by BSEF 

with the correct customer type indicator code (a “CTI” code). The CTI codes are as follows:

CTI 1- Transactions executed by a Participant for its own account, for an account it

controls, or for an account in which it has an ownership or financial interest. 

Applies to Trades placed by Account Managers and proprietary traders other than 

FCMs and Introducing Brokers.

CTI 2- Transactions executed for the Proprietary Account of a Participant. Applies to 

FCMs and Introducing Brokers trading for their Proprietary Accounts.

CTI 3- Orders that a Participant executes on behalf of another Participant, or for an 

account such other Participant controls or in which such other Participant has an 

ownership or financial interest. Applies to Trades placed by a DMA Customer 

using the Participant ID of the Sponsoring Broker.

CTI 4- Any transaction not meeting the definition of CTIs 1, 2 or 3. Applies to Trades 

placed by FCMs and Introducing Brokers for their Customers and anything else.

RULE 524.C. Pre-Arranged Transactions

All Trades executed in accordance with Rule 531, unless otherwise exempted by a Rule, 

must be in the form of a Written or electronic record and include in the Order ticket all 

information required by Rule 524.A.

RULE 525. Position Limits

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position limitations for speculators. Where the CFTC has established a position limit for any 

Swap, BSEF’s position limit for that Swap shall not be higher than such limit established by the 

CFTC. Such limits will apply only with respect to trading on the SEF operated by BSEF.

(b) Except as otherwise provided by the BSEF Rules, no Person, including a 

Participant, may hold or control a position in excess of such position limits and a Participant may 

not maintain a position in excess of such position limits for an Account or Customer if such 

Participant knows, or with reasonable care should know, that such position will cause such 

Account or Customer to exceed the applicable position limits.
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(c) Position limits shall apply to (i) all positions in accounts for which any Person, by 

power of attorney or otherwise, directly or indirectly holds positions or controls trading, and (ii) 

positions held by two or more Persons acting pursuant to an expressed or implied agreement or 

understanding, as if the positions were held by, or the trading of the positions were executed by, 

a single Person.

(d) For Required Transactions, BSEF will enforce position limits only for Trades 

executed on the SEF operated by BSEF. If BSEF establishes position limits or position 

accountability levels for Permitted Transactions, BSEF will demonstrate compliance with CFTC 

Regulation 37.600 by sending the CFTC a list of Permitted Transactions traded on the SEF 

operated by BSEF.

RULE 526. Exemptions from Position Limits 

Any Person seeking an exemption from the position limits referred to in Rule 525 must 

file an application with BSEF. BSEF shall notify the applicant whether the exemption has been 

approved and whether BSEF has imposed any limitations or conditions on the exemption. The 

decision of BSEF shall be final.

RULE 527. Position Accountability 

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall 

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate, 

position accountability levels for speculators. Any Person, including a Participant, who owns or 

controls Swaps in excess of the applicable position accountability level shall provide to BSEF at 

its request any information regarding the nature of the position, trading strategy or hedging 

activities, if applicable, and if ordered by BSEF, shall not increase the size of any such position. 

(b) For purposes of this Rule, all positions in accounts for which a Person, by power 

of attorney or otherwise, directly or indirectly controls trading shall be included with the 

positions held by such Person. The provisions of this Rule shall apply to positions held by two 

or more Persons acting pursuant to an expressed or implied agreement or understanding, as if the 

positions were held by a single Person.

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

Allocation

(a) Only the following categories of Persons may place a Bunched Order to be 

allocated post-execution on the SEF Platform or that is subject to BSEF Rules:

a commodity trading advisor registered with the Commission pursuant to 

the Act or excluded or exempt from registration under the Act or the CFTC Regulations, 

except for entities exempt under CFTC Regulation 4.14(a)(3);

an investment adviser registered with the SEC pursuant to the Investment 

Advisers Act of 1940 or with a state pursuant to applicable state law or excluded or 

exempt from registration under the Investment Advisers Act of 1940 or applicable state 

law or rule;
55

a bank, insurance company, trust company, or savings and loan 

association subject to federal or state regulation;

a foreign adviser that exercises discretionary trading authority solely over 

the accounts of non-U.S. persons, as defined in CFTC Regulation 4.7(a)(1)(iv);

a Futures Commission Merchant registered with the Commission pursuant 

to the Act; or

an Introducing Broker registered with the Commission pursuant to the 

Act.

(b) Bunched Orders must be allocated and recorded in accordance with CFTC 

Regulation 1.35(b)(5) and the NFA’s Interpretative Notice related to Compliance Rule 2-10. 

(c) Bunched Orders may be entered using an Account Series Designation or suspense 

account number; provided, however, that:

the Order is being placed by an Account Manager for multiple accounts 

eligible for post-execution allocation; and

an Account Manager that places a Bunched Order shall keep and must 

make available upon request of any representative of the Commission, the United States 

Department of Justice, BSEF or other appropriate regulatory agency, records sufficient to 

demonstrate that all allocations meet the standards of CFTC Regulations 1.35(b)(5)(iv) 

and to permit the reconstruction of the handling of the order from the time of placement 

by the Account Manager to the allocation to individual accounts.

RULE 529. Orders Entered Prior to SEF Opening

Participants are prohibited from sending any Request for Quote or Order or using an

Order Book or any other facility of BSEF prior to the opening of the trading session.

RULE 530. Identification of Authorized Traders

Each Authorized Trader shall be identified to BSEF and shall be subject to the BSEF 

Rules. It is the duty of the Participant to ensure that Authorized Trader (and Trader ID) 

registration is current and accurate at all times. Each individual must use a Trader ID to access 

the SEF operated by BSEF. In no event may a Person enter an RFQ or Order or permit the entry 

of an RFQ or Order by an individual using a user Trader ID other than the individual’s own 

Trader ID.

RULE 531. Pre-Arranged Transactions

RULE 531.A. Block Trades

(a) Each buy or sell Order underlying a Block Trade must (1) if the Order is entered 

by a broker, state explicitly that it is to be, or may be, executed by means of a Block Trade and 

(2) comply with any other applicable CFTC Regulations governing Block Trades.
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(b) Each Person transacting a Block Trade shall be a Participant and shall comply 

with all applicable BSEF Rules other than those which by their terms only apply to trading 

through the SEF Platform.

(c) Each Counterparty to a Block Trade must be an ECP.

(d) A Block Trade executed outside the SEF Platform by a Participant must be 

reported to the SEF operated by BSEF. A Block Trade must be reported to the SEF operated by 

BSEF by one Counterparty (or a Participant acting on behalf of such Counterparty) and 

confirmed by the other Counterparty (or a Participant acting on behalf of such Counterparty) as 

soon as practicable after its execution, but may not be submitted any later than 10 minutes after 

the execution of the Block Trade. Each Block Trade must state the time of execution to the 

nearest millisecond. BSEF shall have the right not to accept any transaction that does not satisfy 

the conditions set forth in this Rule.

(e) BSEF will review the information submitted by the Participant(s) for the Block 

Trade and will report the Block Trade as required by Part 43 and Part 45 of the CFTC 

Regulations if the details are complete and accurate in accordance with this Rule. A Participant 

that executes a Bunched Order as a Block Trade must comply with Rule 524.C. A Participant 

that executes a Bunched Order as a Block Trade must provide BSEF with the allocation 

information as soon as practicable. 

(f) Block Trades shall not trigger unexecuted Orders.

(g) Each Participant or Account Manager that is a party to a Block Trade or executes 

a Block Trade on behalf of its Accounts or Customers must comply with the recordkeeping 

requirements set forth in Rule 409.A(c). Upon request by BSEF, such Participant shall produce 

satisfactory evidence, including the order ticket referred to in the preceding sentence, that the 

Block Trade meets the requirements set forth in this Rule 531.A.

(h) Any Block Trade in violation of these requirements shall constitute conduct 

which is inconsistent with just and equitable principles of trade. 

(i) The aggregation of Orders for different accounts in order to satisfy the Minimum 

Block Trade size is permissible only by a Person who is a Qualified Account Manager.

(j) A Qualified Account Manager transacting an aggregated Block Trade on behalf of 

any other Person must receive prior Written instruction or consent from each such other Person 

to do so. Such instruction or consent may be provided in the power of attorney or similar 

document by which the other Person provides the Person with discretionary trading authority or 

the authority to direct the trading in its account.

(k) Please see Notice to Participants 2014-3, which is posted on BSEF’s website. 

RULE 531.B. Trade Correction 

If permitted by Rule 516, two Participants may pre-arrange a Trade correcting an error. 
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RULE 531.C. Covered Package Transactions and Permitted Transactions

(a) Two Participants may pre-arrange a Covered Package Transaction subject to 

BSEF Rules outside the SEF Platform; provided, however, that each component of such

Covered Package Transaction that is a Required Transaction must be executed on the SEF 

Platform via the Request for Quote Functionality or a Manual Order Ticket. 

(b) Two Participants may pre-arrange a Permitted Transaction subject to BSEF Rules 

outside the SEF Platform, provided, however, that such Permitted Transaction must be 

executed on the SEF Platform via the Request for Quote Functionality or a Manual Order 

Ticket. 

RULE 532. Reporting to SDR

(a) BSEF will report each Trade to an SDR of BSEF’s choice as soon as 

technologically practicable after the execution of such Trade. For Cleared Swaps, BSEF will 

report all real-time data required by Part 43 of the CFTC Regulations and all creation data 

required by Part 45 of the CFTC Regulations. Until the expiration date of CFTC No-Action 

Letter 17-17, for Non-Cleared Swaps, BSEF will report all real-time data required by Part 43 of 

the CFTC Regulations and all primary economic terms data required by Part 45 of the CFTC 

Regulations, as well as any confirmation data that is readily available and collected by BSEF.

(b) The Reporting Counterparty designated in accordance with subsection (b) of Rule 

523 shall comply with all reporting obligations set forth in Part 45 of the CFTC Regulations 

applicable to a Reporting Counterparty including reporting Trade allocations.

(c) BSEF will report the actual notional or principal amount of a Block Trade to the 

appropriate SDR as set forth in Part 43 and Part 45 of the CFTC Regulation.

(d) A Participant that is a Reporting Counterparty or the Account Manager or broker 

for a Reporting Counterparty may instruct BSEF to report a Trade that is a Block Trade as a 

“block trade” for purposes of Part 43 of CFTC Regulations.

(e) Each Participant that is the Reporting Counterparty, or an Account Manager or 

broker for a Reporting Counterparty shall review the Trade details as soon as technologically 

practicable upon transmission of the Trade details to the Participant. The non-reporting 

counterparty shall report any errors in such Trade details to the Reporting Counterparty as soon 

as technologically practicable. The Reporting Counterparty shall report all errors in such Trade 

details to BSEF as soon as technologically practicable after finding or being made aware of any 

error or omission in the data as reported and/or maintained by the relevant SDR. BSEF shall 

then submit the corrected data to the relevant SDR. 

(f) No Person, including BSEF, shall submit or agree to submit a cancellation or 

correction for the purpose of re-reporting Swap transaction and pricing data in order to gain or 

extend a delay in public dissemination of accurate Swap transaction or pricing data or to 

otherwise evade the reporting requirements in Part 43 of the CFTC Regulations.

(g) BSEF will report all Trades to DTCC Data Repository (U.S.) LLC.
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RULE 533. Cleared Swaps

(a) Each Cleared Swap shall be cleared through the Clearing House indicated in the 

Swap Specification in accordance with the CEA and the CFTC Regulations.

(b) For each Cleared Swap a Participant expects to enter into via the SEF Platform or 

subject to BSEF Rules, the Participant or an Account or Customer of the Participant must 

establish a clearing account with the Clearing House or with a Clearing Member of the Clearing 

House, in each case, designated in the Swap Specification for such Cleared Swap. 

(c) All Trades in Cleared Swaps by a Participant or its Account or Customer must be 

guaranteed to the Clearing House by a Clearing Member following the Clearing Member’s 

acceptance of such Trade for clearing.

(d) BSEF shall submit each Trade to the Clearing House specified in the Swap 

Specifications. If BSEF receives a notice from the Clearing House rejecting a Trade for clearing, 

such Trade is void ab initio. Please see Notice to Participants 2016-8, which is posted on BSEF’s 

website.

(e) BSEF will provide each Clearing Member with tools to screen each Order or RFQ 

in Cleared Swaps based on criteria established by such Clearing Member. If an Order or an RFQ 

fails to satisfy the criteria established by the Clearing Member, BSEF will reject the Order or 

will not allow the RFQ to be sent. 

(f) If manual affirmation of a Trade in Cleared Swaps is required prior to 

presentation of the Trade to a Clearing House, a Participant must affirm the Trade within 5 

minutes after the execution of the Trade. 

RULE 534. Non-Cleared Swaps

(a) Any Participant that is a Swap Dealer or Major Swap Participant, or if neither 

Counterparty is a Swap Dealer or Major Swap Participant, the Participant that is the Reporting

Counterparty, that places an Order or sends or responds to an RFQ with respect to a Non-Cleared 

Swap shall ensure that there is a Non-Cleared Swap Agreement between the Participant or its 

Account or Customer, as applicable, and the prospective Counterparty to such Swap prior to 

placing such Order or sending or responding to such RFQ. Both Participants involved in 

execution of a Non-Cleared Swap (whether in a principal capacity or in their capacity as agents 

on behalf of their respective Accounts or Customers) shall, upon the request of BSEF, make 

available to BSEF any terms of such Non-Cleared Swap that are not reflected in the applicable 

Swap Specification and shall comply with Order entry requirements for Non-Cleared Swaps that 

BSEF shall establish from time to time. 

(b) Each Participant involved in a Prime Broker Trade must notify the Prime Broker 

as soon as technologically possible of each Prime Broker Trade executed pursuant to the Rules 

of BSEF to which the Prime Broker is a Counterparty, and provide to the Prime Broker the 

Confirmation for the Prime Broker Trade issued by BSEF.
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RULE 535. Risk Controls

(a) BSEF may, in its sole discretion, reject any RFQ or Order or Block Trade placed 

or reported on the SEF Platform if such RFQ or Order or Block Trade is in violation of any 

BSEF Rule or Applicable Law.

(b) BSEF shall have the right to take any action to reduce the potential of market 

disruption, including market restrictions that pause or halt trading in market conditions 

prescribed by BSEF if such action is in the best interest of the swap markets. 

(c) BSEF shall have the right in its sole discretion to cancel Trades executed at prices 

outside the No-Bust Range. “No-Bust Range” shall mean the price of a Swap that is no more 

than 30% higher or lower than the prior Business Day’s Daily Settlement Price for such Swap. 

(d) If a Swap affected by any action of BSEF under this Rule 535 is fungible with, 

linked to, or a substitute for, other Swaps on the SEF operated by BSEF, BSEF may apply the 

same action to any such other Swaps.

(e) If a Swap is fungible with, linked to or a substitute for a financial instrument 

trading on another trading venue, including any trading venue regulated by the SEC (a “Linked 

Swap”), and such other trading venue placed risk controls on such financial instrument, BSEF

shall have the right to place similar risk controls on the Linked Swap. 

CHAPTER 6. DISCIPLINARY RULES

RULE 601. General

(a) Any Person is subject to this Chapter 6 if it is alleged to have violated, to have 

aided and abetted a violation, to be violating, or to be about to violate, any BSEF Rule or any 

provision of Applicable Law for which BSEF possesses jurisdiction. 

(b) BSEF, through the Compliance Department, the Disciplinary Panel and the 

Appeals Panel, will conduct inquiries, investigations, disciplinary and appeals proceedings, 

summary impositions of fines, summary suspensions or other summary actions in accordance 

with this Chapter 6.

(c) No SEF Official will interfere with or attempt to influence the process or 

resolution of any inquiry, investigation, disciplinary or appeals proceeding, summary imposition 

of fines, summary suspension or other summary action. No Director will interfere with or 

attempt to influence the process or resolution of any inquiry, investigation, disciplinary or 

appeals proceeding and summary imposition of fines, summary suspension or other summary 

action, except to the extent provided under the BSEF Rules with respect to a proceeding in which 

the Director is a member of the relevant panel. 

(d) Any Person that directly or indirectly effects a transaction on the SEF operated by 

BSEF may be represented by counsel during any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary actions 

pursuant to this Chapter 6.
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(e) Pursuant to this Chapter 6, BSEF may hold a Participant liable for, and impose 

sanctions against such Participant, for such Participant’s own acts and omissions that constitute a 

violation as well as for the acts and omissions of each (i) Authorized Trader of such Participant, 

(ii) Supervised Person of such Participant, (iii) other Person using the Trader ID or login 

credentials linked to the Participant or Participant ID, or (iv) other agent or representative of such 

Participant, in each case, that constitute a violation as if such violation were that of the 

Participant.

(f) Pursuant to this Chapter 6, BSEF may hold an Authorized Trader liable for, and 

impose sanctions against him or her, for such Authorized Trader’s own acts and omissions that 

constitute a violation as well as or for the acts and omissions of any other agent or representative 

of such Authorized Trader that constitute a violation as if such violation were that of the 

Authorized Trader.

(g) A Person subject to a disciplinary or appeals proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider) shall 

not knowingly make or cause to be made an ex parte communication relevant to the merits of a 

disciplinary or appeals proceeding to any member of the Disciplinary Panel or Appeals Panel

hearing such proceeding. Members of a Disciplinary Panel or Appeals Panel shall not 

knowingly make or cause to be made an ex parte communication relevant to the merits of a 

disciplinary or appeals proceeding to any Person subject to such proceeding (and any counsel or 

representative of such Person) and the Compliance Department (and any counsel or 

representative of the Compliance Department including any Regulatory Services Provider). 

Any Person who receives, makes or learns of any communication which is prohibited by this 

Rule shall promptly give notice of such communication and any response thereto to the 

Compliance Department and all parties to the proceeding to which the communication relates. A 

Person shall not be deemed to have violated this Rule if the Person refuses an attempted 

communication concerning the merits of a proceeding as soon as it becomes apparent the 

communication concerns the merits.

(h) In the event that the Chief Compliance Officer has a conflict of interest as defined 

in Rule 210 in respect of any matter under Chapter 6 of these Rules, the Chief Compliance 

Officer may appoint a member of the Compliance Department to carry out the Chief 

Compliances Officer’s duties in his or her stead with respect to that matter.

RULE 602. Inquiries and Investigation 

(a) The Compliance Department, with the assistance of a Regulatory Services 

Provider, if necessary, will conduct inquiries and, if applicable, investigations with respect to any 

matter within BSEF’s jurisdiction of which it becomes aware or which the Commission requests 

BSEF to investigate. The Compliance Department will determine the nature and scope of its 

inquiries and investigations within its sole discretion and will function independently of any 

commercial interests of BSEF. The Compliance Department’s investigation must be completed 

within 12 months of the date when the Compliance Department commenced its investigation 

unless there are mitigating factors that may reasonably justify an investigation taking longer than 

12 months, including the complexity of the investigation, the number of Participants or 

individuals involved as potential wrongdoers, the number of potential violations to be 
61

investigated, and the volume of documents and data to be examined and analyzed by the 

Compliance Department.

(b) The Compliance Department has the authority to: 

(i) initiate inquiries and investigations;

(ii) prepare investigation reports and provide recommendations concerning 

initiating disciplinary proceedings;

(iii) prosecute alleged violations if a disciplinary proceeding has been 

authorized; and

(iv) represent BSEF on appeals of a Disciplinary Panel decision, the summary 

imposition of fines, summary suspension or other summary action.

(c) Each Participant, Account Manager, Authorized Trader, Supervised Person and 

Clearing Member:

is obligated to appear and testify and respond in Writing to requests for 

information within the time period required by the Compliance Department in connection 

with: (A) any BSEF Rule; (B) any inquiry or investigation; or (C) any preparation by and 

presentation during a disciplinary or appeals proceeding, summary imposition of fines, 

summary suspension or other summary action by BSEF;

is obligated to produce books, records, papers, documents or other 

tangible evidence in its, his or her possession, custody or control within the time period 

required by the Compliance Department in connection with: (A) any BSEF Rule; (B) any 

inquiry or investigation; or (C) any preparation by and presentation during a disciplinary 

or appeals proceeding, summary imposition of fines, summary suspension or other 

summary action by BSEF; and

may not impede or delay any inquiry, investigation, disciplinary or appeals 

proceeding, summary imposition of fines, summary suspension or other summary action.

RULE 603. Investigative Reports

(a) The Compliance Department will maintain a Written log of all inquiries and 

investigations and their disposition. The Compliance Department will prepare a Written report 

of each inquiry and investigation, regardless of whether the evidence gathered during any inquiry 

or investigation forms a reasonable basis to believe that a violation within BSEF’s jurisdiction 

has occurred or is about to occur or whether the evidence gathered results in closing the matter 

without further action or through summary action.

(b) Any such report prepared in accordance with Rule 603(a) will include (i) the 

reasons the inquiry or investigation was initiated; (ii) a summary of the complaint, if any; (iii) the 

relevant facts and evidence gathered; (iv) the Compliance Department’s analysis, conclusions 

and recommendations; and (v) the Participant’s disciplinary history at BSEF. 
62

(c) For each potential respondent, the Compliance Department will recommend either 

(i) closing the investigation without further action; (ii) resolving the investigation through an 

informal disposition; or (iii) initiating disciplinary proceedings. 

RULE 604. Warning Letters

(a) The Chief Compliance Officer may issue a warning letter without the approval of 

a Disciplinary Panel in order to close an inquiry or investigation administratively.

(b) No more than one warning letter may be issued to the same Person or entity for 

the same Rule violation within a rolling 12-month period.

(c) Warning letters must contain an affirmative finding that a Rule violation has 

occurred. 

RULE 605. Review of Investigation Reports

(a) The Chief Compliance Officer will timely review each proposed investigation 

report received from the Compliance Department to determine whether a reasonable basis exists 

for finding that a violation of BSEF Rules within BSEF’s jurisdiction has occurred or is about to 

occur. Within 30 days of receipt of the investigation report the Chief Compliance Officer must 

take one of the following actions:

If the Chief Compliance Officer determines that additional investigation or 

evidence is needed to decide whether a reasonable basis exists to find that a violation of 

BSEF Rules within BSEF’s jurisdiction has occurred or is about to occur, the Chief 

Compliance Officer will promptly direct the Compliance Department to do at least one of 

the following:

(A) conduct further investigation; and/or

(B) gather any necessary new or additional information or evidence 

from the potential respondents.

The Compliance Department will revise the investigation report as 

necessary to reflect the additional information gathered pursuant to this paragraph (a) and 

will resubmit a revised proposed investigation report to the Chief Compliance Officer. 

(b) After receiving a completed investigation report, the Chief Compliance Officer

will determine for each potential respondent whether to authorize: 

the commencement of disciplinary proceedings because a reasonable basis 

exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has occurred 

or is about to occur and adjudication is warranted;

the informal disposition of the investigation because disciplinary 

proceedings are unwarranted, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603; or
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the closing of the investigation without any action because no reasonable 

basis exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has 

occurred or is about to occur, in which case the Chief Compliance Officer shall complete 

the investigation report in compliance with Rule 603.

(c) If the Chief Compliance Officer determines that disciplinary proceedings should 

be authorized pursuant to Rule 605(b)(i), the Chief Compliance Officer may in his or her 

discretion provide each potential respondent with a Written draft Notice of Charges (“Draft 

Notice of Charges”) which shall contain all information required pursuant to Rule 607.

(d) The Draft Notice of Charges must be accompanied by a Written notice that shall 

inform the potential respondent:

that an investigation report has been completed by BSEF’s Compliance 

Department;

that a Notice of Charges will be served, in accordance with Rule 608, 10 

business days, as defined in CFTC Regulation 40.1, after receipt of the Written notice;

that a settlement offer may be submitted pursuant to Rule 612; and

of the respondent’s right to a hearing if a Notice of Charges is served in 

accordance with Rule 608. 

RULE 606. [Reserved]

RULE 607. Notice of Charges

(a) If the Chief Compliance Officer authorizes disciplinary proceedings pursuant to 

Rule 605(b)(i), the Compliance Department will prepare, and serve in accordance with Rule 608, 

a Notice of Charges.

(b) A Notice of Charges will:

state the acts, practices or conduct that the respondent is alleged to have 

engaged in;

state the BSEF Rule or provision of Applicable Law alleged to have been 

violated or about to be violated;

state the proposed sanctions;

advise the respondent of its right to a hearing;

state the period of time within which the respondent can request a hearing 

on the Notice of Charges, which will not be less than 20 days after service of the Notice 

of Charges;
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advise the respondent that any failure to request a hearing within the 

period stated, except for good cause, will be deemed to constitute a waiver of the right to 

a hearing; 

advise the respondent that any allegation in the Notice of Charges that is 

not expressly denied will be deemed to be admitted; and

advise the respondent of its right to be represented by legal counsel or any 

other representative of its choosing (other than any member of the Disciplinary Panel or 

any Person substantially related to the disciplinary proceedings such as a material witness 

or other respondent) in all succeeding stages of the disciplinary process.

RULE 608. Service of Notice of Charges

Any Notice of Charges or other documents contemplated to be served pursuant to this 

Chapter 6 may be served (and service shall be deemed complete) upon the respondent either 

personally or by leaving the same at his or her place of business, or by tracked delivery via 

reputable overnight courier, or by deposit in the United States mail, postage prepaid, via 

registered or certified mail addressed to the respondent at the address as it appears on the books 

and records of BSEF.

RULE 609. Answer to Notice of Charges

(a) If the respondent determines to answer a Notice of Charges, the respondent must 

file answers within 20 days after being served with such notice, or within such other time period 

determined appropriate by the Chief Compliance Officer.

(b) To answer a Notice of Charges, the respondent must in Writing:

specify the allegations that the respondent denies or admits;

specify the allegations that the respondent does not have sufficient 

information to either deny or admit;

specify any specific facts that contradict the Notice of Charges;

specify any affirmative defenses to the Notice of Charges; and

sign and serve the answer on the Chief Compliance Officer.

(c) Any failure by the respondent to timely serve an answer to a Notice of Charges 

will be deemed to be an admission to the allegations in such notice. Any failure by the 

respondent to answer one or more allegations in a Notice of Charges will be deemed to be an 

admission of that allegation or those allegations. Any allegation in a Notice of Charges that the 

respondent fails to expressly deny will be deemed to be admitted. A statement of a lack of 

sufficient information shall have the effect of a denial of an allegation. A general denial by the 

respondent, without more, will not satisfy the requirements of paragraph (b) above.
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RULE 610. Admission or Failure to Deny

(a) If respondent admits or fails to deny any of the charges, the Chief Compliance 

Officer may find that the violations alleged in the Notice of Charges for which the respondent 

admitted or failed to deny any of the charges have been committed. The Chief Compliance 

Officer then must take the following action:

(i) impose a sanction for each violation found to have been committed; and

(ii) notify the respondent in Writing of any sanction to be imposed and advise 

the respondent that it may request a hearing on such sanction within a specified period of 

time.

(b) If a respondent fails to request a hearing within 20 days as specified in the notice

described in 610(a)(ii), the respondent will be deemed to have accepted the sanction and will 

have waived any right to appeal such sanctions.

RULE 611. Denial of Charges and Right to a Hearing

In every instance where a respondent has denied a charge, the respondent shall have a 

right to request a hearing before the Disciplinary Panel. Except for good cause, the hearing must 

be limited to only those denied charges for which a hearing has been requested.

RULE 612. Settlements

(a) Any offer of settlement should contain proposed findings and sanctions and be 

signed by a potential respondent/respondent and submitted to the Chief Compliance Officer. A 

potential respondent/respondent may offer to settle disciplinary proceedings without admitting or 

denying the findings contained in a Draft Notice of Charges or a Notice of Charges, but must 

accept the jurisdiction of BSEF over it and over the subject matter of the proceedings and 

consent to the entry of the findings and sanctions imposed. 

(b) A potential respondent may at any time within 10 business days, as defined in 

CFTC Regulation 40.1, of receipt of the Draft Notice of Charges specified in Rule 605, propose 

in Writing an offer of settlement to anticipated disciplinary proceedings. The Chief Compliance 

Officer must review an offer of settlement received pursuant to this paragraph (b) within 30 

business days, as defined in CFTC Regulation 40.1, after receipt of the offer of settlement. The 

Chief Compliance Officer shall have discretion and be authorized to accept or reject an offer of 

settlement for $25,000 or less on behalf of BSEF. The Chief Compliance Officer shall also have 

the discretion and be authorized to convene and forward the offer of settlement to the 

Disciplinary Panel with a recommendation on whether to accept or reject the offer of settlement. 

The potential respondent may withdraw such offer of settlement at any time before acceptance

by the Chief Compliance Officer, but may not withdraw such offer of settlement at any time

after acceptance by the Chief Compliance Officer.

(c) A respondent may at any time after receipt of a Notice of Charges, but before 

disciplinary proceedings have concluded, propose in Writing an offer of settlement to instituted 

disciplinary proceedings. If a respondent submits an offer of settlement after being served a 

Notice of Charges pursuant to Rule 608, the Chief Compliance Officer will forward the offer of 
66

settlement to the Disciplinary Panel with a recommendation on whether to accept or reject the

offer of settlement. The Disciplinary Panel must review an offer of settlement received pursuant 

to this paragraph (c) or paragraph (b) above within 90 business days, as defined in CFTC 

Regulation 40.1, after the receipt of the offer of settlement by the Chief Compliance Officer

unless an extension was agreed by the respondent in Writing. The respondent may withdraw

such offer of settlement at any time before acceptance by the Disciplinary Panel, but may not

withdraw such offer of settlement at any time after acceptance by the Disciplinary Panel. The 

Disciplinary Panel may review the offer of settlement and determine whether to accept or reject 

the offer of settlement in person, by means of telephone conference or in Writing.

(d) The Chief Compliance Officer or the Disciplinary Panel may accept an offer of 

settlement received pursuant to paragraph (b) or (c) of this Rule, respectively, but may not alter 

the terms of a settlement offer unless the potential respondent/respondent agrees. 

(e) If an offer of settlement is accepted by the Chief Compliance Officer or the 

Disciplinary Panel, a Written decision shall be issued by the Chief Compliance Officer or the 

Disciplinary Panel, as applicable, specifying: 

the Rule violations the Compliance Department/it has reason to believe 

were committed, including the basis or reasons of its conclusions;

any sanction to be imposed, which must include full customer restitution 

where customer harm has been demonstrated; and 

if applicable, that the potential respondent/respondent has accepted the 

sanctions imposed without either admitting or denying the Rule violations.

(f) In the event that the Disciplinary Panel accepts an offer of settlement without the 

agreement of the Compliance Department, the Written decision must adequately support such 

acceptance. 

(g) If an offer of settlement is accepted pursuant to this Rule and the related Written 

decision becomes final, the respondent’s submission of the offer of settlement will be deemed to 

constitute a waiver of the right to notice, opportunity for a hearing and review and appeal under 

these Rules.

(h) If an offer of settlement of a potential respondent/respondent is not accepted by 

the Chief Compliance Officer or the Disciplinary Panel, pursuant to paragraph (b) or (c) of this 

Rule, respectively, fails to become final or is withdrawn by the potential respondent/respondent, 

the matter will proceed as if the offer of settlement had not been made and the offer of settlement 

and all documents relating to it will not become part of the record. Neither a potential 

respondent/respondent nor the Compliance Department may use an unaccepted offer of 

settlement as an admission or in any other manner at a hearing of disciplinary proceedings. 

RULE 613. Disciplinary Panel

(a) The Disciplinary Panel is responsible for adjudicating disciplinary cases pursuant 

to a Notice of Charges authorized by the Chief Compliance Officer.
67

(b) Each Disciplinary Panel shall be composed of three individuals selected by the 

Chief Compliance Officer. Except in cases concerning the timely submission of accurate 

records, each Disciplinary Panel shall consist of at least one individual who would not be 

disqualified from serving as a Public Director, who shall chair the Disciplinary Panel. No 

member of the BSEF Compliance Department or Person involved in adjudicating any other stage 

of a proceeding shall participate in a Disciplinary Panel for such proceeding. 

(c) A respondent may seek to disqualify any individual on the Disciplinary Panel for 

the reasons identified in the BSEF Rules or for any other reasonable grounds, by serving Written 

notice on the Chief Compliance Officer. By not filing a request for disqualification within 10

days, the respondent will be deemed to have waived any objection to the composition of a 

Disciplinary Panel. The Chief Compliance Officer of BSEF will decide the merits of any request 

for disqualification within his or her sole discretion. Any such decision will be final and not 

subject to appeal.

RULE 614. Convening Disciplinary Proceeding Hearings

(a) All disciplinary proceedings (except for summary impositions of fines pursuant to 

Rule 621) will be conducted at a hearing before the Disciplinary Panel. A hearing will be 

conducted privately and confidentially. Notwithstanding the confidentiality of hearings, the 

Disciplinary Panel may appoint an expert to attend any hearing and assist in deliberations if such 

expert agrees to be subject to an appropriate confidentiality agreement. 

(b) After reasonable notice to each respondent, the Disciplinary Panel will promptly 

convene a hearing to conduct the disciplinary proceedings with respect to such respondent. 

Parties to a disciplinary proceeding include each respondent and the Compliance Department 

including BSEF enforcement staff. 

(c) The chairperson of the Disciplinary Panel may continue, adjourn or otherwise 

conduct the hearing, as he or she may deem appropriate. The chairperson of the Disciplinary

Panel will determine all procedural and evidentiary matters, including the admissibility and 

relevance of any evidence proffered. In determining procedural and evidentiary matters, the 

chairperson of the Disciplinary Panel will not be bound by any evidentiary or procedural rules or 

law. Once admitted during the hearing, the Disciplinary Panel may consider, and attach the 

weight it believes appropriate to, evidence or other materials. The Chief Compliance Officer of 

BSEF, or its designee, will provide guidance to the chairperson of the Disciplinary Panel on the 

conduct of the hearing.

(d) Except for procedural and evidentiary matters decided by the chairperson of the 

Disciplinary Panel pursuant to paragraph (c) above and Rule 616, unless each respondent 

otherwise consents, the entire Disciplinary Panel must be present during the entire hearing and 

any related deliberations.

RULE 615. Respondent Review of Evidence

(a) Prior to the commencement of a Disciplinary Panel hearing, each respondent will 

be given the opportunity to review all books, records, documents, papers, transcripts of 

testimony and other tangible evidence in the possession or under the control of BSEF that the 

Compliance Department will use to support the allegations and proposed sanctions in the Notice 
68

of Charges or which the chairperson of the Disciplinary Panel deems relevant to the disciplinary 

proceedings. BSEF may withhold documents that:

(i) are privileged or constitute attorney work product; 

(ii) were prepared by an employee of BSEF but will not be offered as 

evidence in the disciplinary proceedings; 

(iii) may disclose a technique or guideline used in examinations, investigations 

or enforcement proceedings; or 

(iv) disclose the identity of a confidential source.

(b) If any books, records, documents, papers, transcripts of testimony, or other 

tangible evidence contain information that could adversely affect the competitive position of the 

Person providing the information or if such information might compromise other investigations 

being conducted by the Compliance Department, the Compliance Department may redact, edit or 

code such information before furnishing it to the respondent.

(c) Notwithstanding anything in paragraph (b) above to the contrary, the Compliance 

Department:

will not redact, edit or code competitive or investigative information

contained in documents in a manner that would impair the respondent’s ability to defend 

against the allegations or proposed sanctions in the notices of charges; and

will provide the respondent with access to the information and portions of 

the documents that the Compliance Department intends to rely on to support the 

allegations or proposed sanctions in the Notice of Charges.

(d) For purposes of this Rule 615, information that could adversely affect the

competitive position includes positions in Swaps currently held, trading strategies employed in 

establishing or liquidating positions, the identity of any Participant or Authorized Trader and the 

personal finances of the Person providing the information.

RULE 616. Conducting Disciplinary Proceeding Hearings

(a) At a hearing conducted in connection with any disciplinary proceeding, the 

Compliance Department will present its case supporting the allegations and proposed sanctions 

in the Notice of Charges to the Disciplinary Panel. If a respondent has timely filed an answer to 

the Notice of Charges in accordance with Rule 609, the respondent is entitled to attend and 

participate in the hearing.

(b) At a hearing conducted in connection with any disciplinary proceedings, the 

Disciplinary Panel or the Compliance Department and each respondent may:

present evidence and facts determined relevant and admissible by the 

chairperson of the Disciplinary Panel;

call and examine witnesses; and
69

cross-examine witnesses called by other parties.

(c) Any Person within BSEF’s jurisdiction who is called as a witness must participate 

in the hearing and produce evidence. BSEF will make reasonable efforts to secure the presence 

of all other Persons called as witnesses whose testimony would be relevant.

(d) If the respondent fails to file an answer, has filed a general denial, or if any or all 

of the allegations in the Notice of Charges are not expressly denied in the respondent’s answer, 

the chairperson of the Disciplinary Panel may limit evidence concerning any allegations not 

expressly denied in determining the sanctions to impose. If a respondent fails to file an answer 

but appears at the hearing, the respondent may not participate in the hearing (by calling or cross 

examining witnesses, testifying in defense, presenting evidence concerning the Notice of 

Charges, or otherwise) unless the Disciplinary Panel determines that the respondent had a 

compelling reason for failing to timely file an answer. If the Disciplinary Panel determines that 

the respondent had a compelling reason for failing to timely file an answer, the Disciplinary

Panel will adjourn the hearing and direct the respondent to promptly file a Written answer in 

accordance with Rule 609.

(e) Any Person entitled, or required or called upon, to attend a hearing before a 

Disciplinary Panel pursuant to paragraph (b)(ii) above will be given reasonable notice, confirmed 

in Writing, specifying the date, time and place of the hearing, and the caption of the disciplinary 

proceedings. BSEF will require all Participants (that are individuals), Customers, Account 

Managers, Clearing Members, Authorized Traders and Supervised Persons that are called as 

witnesses to appear at the hearing and produce evidence. BSEF will make reasonable efforts to 

secure the presence of all other Persons called as witnesses whose testimony would be relevant.

(f) If during any disciplinary proceedings the Disciplinary Panel determines that a 

reasonable basis exists to believe that the respondent violated or is about to violate a BSEF Rule

or a provision of Applicable Law other than the violations alleged in the Notice of Charges, the 

Disciplinary Panel may consider those apparent violations after providing the respondent with an 

opportunity to answer the additional allegations in accordance with Rule 609. In connection 

with considering apparent violations pursuant to this paragraph (f), the Disciplinary Panel may 

request that the Compliance Department provide the Disciplinary Panel with any additional 

information.

(g) The Disciplinary Panel may summarily impose sanctions on any Participant, 

Account Manager, Authorized Trader or Supervised Person that impedes or delays the progress 

of a hearing.

(h) BSEF will arrange for any hearing conducted in connection with disciplinary 

proceedings to be recorded hearing verbatim, or substantially verbatim, in a manner capable of 

accurate transcription. If the respondent requests a copy of all or portions of the recording of a 

hearing, the chairperson of the Disciplinary Panel may within his or her sole discretion order the 

respondent to pay the costs for transcribing the recording of the hearing.

(i) As promptly as reasonable following a hearing, the Disciplinary Panel will issue a 

Written decision rendering its decision based on the weight of the evidence contained in the 

record of the disciplinary proceedings. A decision by a majority of the Disciplinary Panel will 

constitute the decision of the Disciplinary Panel.
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(j) No interlocutory appeals of rulings of any Disciplinary Panel are permitted.

(k) If the respondent has requested a hearing, a copy of the hearing shall be made and 

shall become a part of the record of the proceeding. The record shall not be required to be

transcribed unless:

(i) the transcript is requested by Commission staff or the respondent;

(ii) the decision is appealed pursuant to the BSEF Rules; or

(iii) the decision is reviewed by the Commission pursuant to section 8c of the 

Act or Part 9 of CFTC Regulations. 

In all other instances, a summary record of a hearing is permitted.

RULE 617. Decision of Disciplinary Panel

(a) The Disciplinary Panel’s Written decision must be based upon the weight of the 

evidence contained in the record of the proceeding and shall provide a copy to the respondent. 

The decision shall include:

the Notice of Charges or a summary of the charges;

the answer, if any, or a summary of the answer;

a summary of the evidence produced at the hearing or, where appropriate, 

incorporation by reference of the investigation report;

a statement of findings and conclusions with respect to each charge, and a 

complete explanation of the evidentiary and other basis for such findings and conclusions 

with respect to each charge;

an indication of each specific Rule that the respondent was found to have 

violated; and

a declaration of all sanctions imposed against the respondent, including 

the basis for such sanctions and the effective date of such sanctions.

(b) Upon rendering a final decision by the Disciplinary Panel, BSEF shall, within 30 

days thereafter, provide a Written notice of such action to the Person against whom the action 

was taken. 

(c) The Written decision will become final 20 days after it is served on the 

respondent and a copy thereof is provided to the Compliance Department.

RULE 618. Sanctions 

(a) After notice and opportunity for hearing in accordance with the BSEF Rules, 

BSEF will impose sanctions on any Participant, Account Manager, Authorized Trader, 

Supervised Person, Account, Customer, Clearing Member or other Person using any Trader ID 
71

or login credentials linked to the Participant that is found to have violated or to have attempted to 

violate a BSEF Rule or provision of Applicable Law for which BSEF possesses jurisdiction. 

Subject to the limitations set forth in Rule 618(b), BSEF may impose one or more of the 

following sanctions or remedies: (i) censure; (ii) limitation on Trading Privileges, Trading 

Access or other activities, functions or operations; (iii) suspension of Trading Privileges or 

Trading Access; (iv) fine (subject to paragraph (b) below); (v) disgorgement; (vi) termination of 

Trading Privileges or Trading Access; (vii) in the event of a customer harm, full customer 

restitution, except where the amount of restitution or to whom it should be provided cannot 

reasonably be determined; or (viii) any other sanction or remedy deemed to be appropriate. All 

sanctions, including those imposed pursuant to an accepted settlement offer, shall take into 

account respondent’s disciplinary history. 

For purposes of Rule 618(a)(vii), “customer” shall have the meaning set forth in CFTC 

Regulation 1.3(k).

(b) BSEF may impose a fine of up to $100,000 for each violation of a BSEF Rule. If 

a fine or other amount is not paid within 30 days of the date that it becomes payable, then interest 

will accrue on the sum from the date that it became payable at the quoted prime rate plus three 

percent. BSEF has sole discretion to select the bank on whose quotations to base the prime rate. 

Each Participant will be responsible for paying any fine or other amount imposed on, but not 

paid by, any of its Authorized Traders, Account Managers, Supervised Persons, Accounts or 

Customers. The following schedule lists the recommended fines that BSEF may impose:

Type of Violation Fine Per Occurrence1

First

Violation

Second

Violation

Third

Violation

Failure to provide information to BSEF as required by 

the BSEF Rules

$1000 $1500 $2500

Impeding or delaying a BSEF examination, inquiry or 

investigation undertaken pursuant to BSEF Rule 402

$1000 $1500 $2500

RULE 619. Costs

(a) Regardless of the outcome of any disciplinary proceeding, the Disciplinary Panel 

may order a respondent to pay some or all of the costs associated with the disciplinary 

proceedings that the Disciplinary Panel believes were unnecessarily caused by the respondent. 

Costs may include costs associated with the inquiry or investigation, the prosecution by the 

Compliance Department, legal and professional assistance, as well as the hearing and 

administrative costs and other expenses incurred by the Disciplinary Panel.

(b) The Disciplinary Panel may only award costs against BSEF if the Panel concludes 

that BSEF has behaved in a manifestly unreasonable manner in the commencement or conduct of 

the disciplinary proceedings in question. The Disciplinary Panel must limit any award of costs 

against BSEF to an amount that the Panel concludes is reasonable and appropriate, but does not 

exceed the respondent’s costs for external legal or other external professional assistance.

 

1 Within a “rolling” 12-month period.
72

(c) The Disciplinary Panel may determine the amounts and allocation of costs in any 

manner it may deem appropriate. BSEF or the respondent will pay any costs ordered to be paid 

by it by the Disciplinary Panel within 30 days of Written notice of the amount imposed by the 

Disciplinary Panel. 

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary 

Impositions of Fines and Other Summary Actions

(a) Each respondent found by the Disciplinary Panel to have violated (or, in the case 

of a Participant, whose Authorized Trader, Supervised Person or other Person using its 

Participant ID was found to have violated) a Rule or who is subject to termination or limitation 

of Trading Privileges or Trading Access imposed pursuant to Rule 305, any summary fine 

imposed pursuant to Rule 621 or any summary action imposed pursuant to Rule 622 may appeal 

the decision within 20 days of receiving the Written decision of the Disciplinary Panel or the 

notice of summary action, as the case may be, by filing a notice of appeal with the Chief 

Compliance Officer. 

(b) BSEF may appeal all or any part of a decision of the Disciplinary Panel, including 

any sanctions that may or may not have been imposed by the Disciplinary Panel, within 20 days 

of receiving the Written Decision of the Disciplinary Panel, by filing a notice of appeal with the 

Chief Compliance Officer. 

(c) While an appeal is pending, the effect of the Written decision of the Disciplinary 

Panel or the summary action (including any sanctions, remedies or costs imposed thereby) shall 

be suspended. 

(d) The notice of appeal must state in writing the grounds for appeal, including the 

findings of fact, conclusions or sanctions to which the appellant objects. An appellant may 

appeal the Written decision of the Disciplinary Panel or any summary action on the grounds that:

the Written decision or summary action was arbitrary, capricious, an abuse 

of discretion, or not in accordance with these Rules; 

the Written decision or summary action exceeded the authority or 

jurisdiction of the Disciplinary Panel, the Chief Compliance Officer or BSEF; 

the Written decision or summary action failed to observe required 

procedures; 

the Written decision or summary action was unsupported by the facts or 

evidence; or 

the sanctions, remedies or costs which were imposed were inappropriate 

or unsupported by the record. 

(e) The Chief Compliance Officer will forward copies of any notice of appeal 

received by it to all parties to the disciplinary proceeding or summary action, as the case may be, 

except the appellant. On or before the 20th day after filing a notice of appeal, the appellant must 

file with the Chief Compliance Officer and serve on BSEF a brief supporting the notice of appeal 

and documents supporting the brief. On or before the 20th day after the date on which the 
73

appellant serves its supporting brief, the appellee must file and serve its brief in opposition. On 

or before the 10th day after the date on which the appellee serves its brief in opposition, the 

appellant must file and serve on BSEF a brief in reply. 

(f) In connection with any appeal, BSEF will furnish to the Chief Compliance 

Officer and to the respondent/appellant a transcript of the hearing, any exhibits introduced at the 

hearing, the notice of appeal and briefs filed to support and oppose the appeal. 

(g) No later than 30 days after the last submission filed pursuant to paragraph (e) of 

this Rule 620, the Chief Compliance Officer will appoint an Appeals Panel to consider and 

determine the appeal. An Appeals Panel shall be comprised of three individuals, none of whom 

shall be a member of the Compliance Department or have been a member of any Disciplinary 

Panel involved in the matters on appeal. The chairperson of the Appeals Panel shall be an 

individual who would not be disqualified from serving as a Public Director. 

(h) Within 10 days of being notified of the appointment of the Appeals Panel, an 

appellant or appellee may seek to disqualify any individual named to the Appeals Panel for the 

reasons identified in these Rules, by serving Written notice on the Chief Compliance Officer. By 

not timely filing a request for disqualification, the appellant or appellee will be deemed to have 

waived any objection to the composition of the Appeals Panel. The Chief Compliance Officer 

will decide the merits of any request for disqualification within his or her sole discretion. Any 

such decision will be final and not subject to appeal. 

(i) The Appeals Panel may hold a hearing to allow parties to present oral arguments. 

Any hearing will be conducted privately and confidentially. Notwithstanding the confidentiality 

of hearings, the Appeals Panel may appoint an expert to attend any hearing and assist in the 

deliberations if such individual(s) agree to be subject to appropriate confidentiality agreements. 

In determining procedural and evidentiary matters, the Appeals Panel will not be bound by 

evidentiary or procedural rules or law.

(j) The Appeals Panel will only consider on appeal the record before the Disciplinary 

Panel or, in the case of a summary action, the record considered by the Chief Compliance 

Officer, the notice of appeal, the briefs filed in support and opposition of the appeal, and any oral 

arguments of the parties. The Appeals Panel may only consider new evidence when the Appeals 

Panel is satisfied that good cause exists for why the evidence was not introduced during the 

disciplinary proceeding or when imposing the summary action. 

(k) After completing its review, the Appeals Panel may affirm, modify or reverse any 

Written decision of the Disciplinary Panel or summary action under appeal, in whole or in part, 

including increasing, decreasing or eliminating any sanction or remedy imposed, imposing any 

other sanction or remedy authorized by these Rules, or remanding the matter to the same or a 

different Disciplinary Panel for further disciplinary proceedings or for reconsideration by the 

Chief Compliance Officer in the case of summary action. The Appeals Panel may order a new 

hearing for good cause or if the Appeals Panel deems it appropriate. 

(l) As promptly as reasonably possible following its review, the Appeals Panel will 

issue a Written decision on appeal rendering its decision based on the preponderance of the 

evidence before the Appeals Panel. The decision of the Appeals Panel will include a statement 

of findings of fact and conclusions for each finding, sanction, remedy and cost reviewed on 
74

appeal, including each specific Rule and provision of Applicable Law that the respondent is 

found to have violated, if any, and the imposition of sanctions, remedies and costs, if any, and 

the effective date of each sanction, remedy or cost. 

(m) The Appeals Panel’s Written order on appeal (including findings of fact and 

conclusions and the imposition of sanctions, remedies and costs, and the effective date of any 

sanction, remedy and cost) will be the final action of BSEF and will not be subject to appeal 

within BSEF. 

RULE 621. Summary Imposition of Fines

(a) The Chief Compliance Officer may summarily impose a fine against a Participant, 

Account Manager, Authorized Trader, Supervised Person, Account, Customer, Clearing Member 

or other Person using any Trader ID or login credentials linked to the Participant for failing:

to make timely payments of fees, cost, charges or fines to BSEF;

to make timely and accurate submissions to BSEF of notices, reports or 

other information required by the BSEF Rules; or

to keep any books and records required by the BSEF Rules.

(b) The Compliance Department, acting on behalf of the Chief Compliance Officer, 

will give notice of any fine imposed pursuant to this Rule 621 to each Participant subject thereto. 

The notice will specify (i) the violations of the BSEF Rules for which the fine is being imposed, 

(ii) the date of the violation for which the fine is being imposed and (iii) the amount of the fine. 

Within 20 days of serving the notice of fine, the Participant must either pay or cause the payment 

of the fine. The fine will become final upon the expiration of 20 days after the notice of fine is 

served on the Participant.

(c) BSEF will set the amount of any fines imposed pursuant to this Rule 621, with the 

maximum aggregate fine for each violation not to exceed $5,000 on an annual basis. Summary 

imposition of fines pursuant to this Rule 621 will not preclude BSEF from bringing any other 

action against the Participant (or any of its Account Managers, Authorized Traders or Supervised 

Persons) or Authorized Trader, as the case may be. The following schedule lists the 

recommended summary fines that BSEF or the Chief Compliance Officer may impose:

Type of Violation Fine Per Occurrence2

First

Summary 

Fine

Second

Summary 

Fine

Third

Summary 

Fine

Failure to maintain complete and accurate books and 

records as required by BSEF Rule 409.B

$1000 $1500 $2500

Failure to provide any disclosure required by BSEF 

Rule 402

$1000 $1250 $1500

 

2 Within a “rolling” 12-month period.
75

Failure to identify and maintain a current list of 

Authorized Traders as required by BSEF Rule 530

$1000 $1250 $1500

Violation of Order entry requirements pursuant to Rule 

524, including failure to provide an accurate Legal 

Entity Identifier

$1250 $1500 $1750

Violation of Trade reporting requirements $1250 $1500 $1750

Violation of the requirements to timely report a block 

trade pursuant to Rule 531.A(d)

$1250 $1500 $1750

Failure to provide information required by BSEF Rule 

301(e)

$1250 $1500 $1750

Failure to notify BSEF under Rule 516.A(a) about a 

Trade executed in error prior to a request for 

cancellation, correction or adjustment of a Trade or 

failure to comply with Rule 516.A(c) 

$1250 $1750 $2000

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities

(a) No BSEF employee that is also an employee of an affiliate of BSEF that engages 

in trading activity shall perform an investigation of such affiliated trading entity.

(b) In the event that a Disciplinary Panel is convened for a hearing involving an 

affiliated trading entity, no Person associated with BSEF or such affiliated trading entity shall be 

a member of such Disciplinary Panel.

(c) The Board must approve the issuance of disciplinary charges and acceptance of 

settlement offers involving an affiliated trading entity.

RULE 623. [Reserved]

RULE 624. Notice to the Respondent, the Regulatory Services Provider 

and the Public

BSEF will provide Written notice of disciplinary proceedings to the parties consistent 

with applicable CFTC Regulations. Whenever BSEF suspends, expels, fines or otherwise 

disciplines, or denies any Person access, to BSEF, BSEF will make the disclosures required by 

CFTC Regulations. In accordance with CFTC Regulation § 9.11, upon rendering a final decision 

regarding a disciplinary or access denial action, BSEF shall provide notice to the Commission by 

filing with NFA’s BASIC.

CHAPTER 7. ARBITRATION

RULE 701. General

(a) Except as otherwise provided in these Rules, Participants, Authorized Traders and 

any market participant that directly or indirectly effects a transaction on the SEF operated by 

BSEF shall submit to the NFA for arbitration all disputes, controversies and claims between or 

among themselves arising out of a Swap or the use of the systems or services of BSEF or the 

services, equipment, or facilities used to support such systems or services, including the SEF
76

Platform and the SEF operated by BSEF (each, a “Dispute”). Any such claim against a 

Participant shall be brought within two years from the time that a cause of action has accrued. 

This Rule 701 shall in no way be construed to create a cause of action and shall not authorize an 

action that would otherwise be prohibited by these Rules or Applicable Law. In the event that 

this Rule 701 is held to be unenforceable in connection with any Dispute or a claim is deemed by 

a court of competent jurisdiction to be not arbitrable, (i) exclusive jurisdiction for any such 

Dispute will reside in any state or federal court sitting in New York County, New York, (ii) the 

Participants involved in the Dispute will be presumed to have submitted to the personal 

jurisdiction of any such court, and (iii) an action to enforce any judgment or decision of such 

court may be brought in the same court or in any other court with jurisdiction or venue. Finally, 

all Participants unconditionally and irrevocably waive any and all right to trial by jury in 

connection with any such Dispute.

(b) Notwithstanding the foregoing, this Rule 701 does not apply to Disputes between 

Participants, Authorized Traders or any market participant that directly or indirectly effects a 

transaction on the SEF operated by BSEF that: (i) such Persons are required by the Rules of a 

Self-Regulatory Organization to submit to the Dispute resolution procedures of that SelfRegulatory Organization; or (ii) such Persons have, by valid and binding agreement, committed 

to negotiate or litigate in a forum other than the forum set out in Rule 702.

RULE 702. Forum and Arbitration Rules

NFA will conduct any and all arbitrations of a type described in Rule 701 pursuant to 

NFA’s Member Arbitration Rules, as if each Participant or Authorized Trader to such arbitration 

was an “NFA Member”.

RULE 703. Initiating an Arbitration Claim

(a) A Participant or Authorized Trader may initiate an arbitration claim by submitting 

the required documents and fees to NFA. 

(b) A Participant or Authorized Trader submitting an arbitration claim shall provide 

notice of such claim to BSEF.

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments

All claims relating to Trade cancelations pursuant to Rule 516 shall be arbitrated in 

accordance with this Chapter 7.

RULE 705. Penalties 

(a) Any failure on the part of any Participant or Authorized Trader to arbitrate a case 

subject to arbitration, or the commencement by any such Participant or its Person of a suit in any 

court prior to arbitrating a case subject to arbitration, violates these Rules and subjects such 

Person to disciplinary proceedings pursuant to Chapter 6. 

(b) BSEF may summarily suspend, pursuant to Chapter 6, a Participant or Authorized 

Trader that fails to satisfy an arbitration award rendered in any arbitration conducted pursuant to 

this Chapter 7.
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CHAPTER 8. MISCELLANEOUS

RULE 801. Anti-Money Laundering and Anti-Terrorism

(a) It is SEF policy: (1) Not to engage in or knowingly assist any money laundering 

or other illicit business, and (2) Not to engage in or knowingly assist, or be a conduit for, terrorist 

financing.

(b) Participants will be required to provide sufficient information for Participants and 

their Accounts, if applicable, for SEF to complete “know your customer” checks and to conduct 

restricted list searches, including searches against the Specially Designated Nationals and 

Blocked Persons list maintained by the Office of Foreign Assets Control of the U.S. Department 

of the Treasury.

RULE 802. Gifts and Gratuities

Except as permitted in Writing by the Chief Compliance Officer, no Participant or 

Authorized Trader shall, directly or indirectly, give or permit to be given anything of value 

(including gratuities) to a SEF Official or BSEF, including any agents or independent contractors 

of BSEF. A gift of any kind is considered a gratuity. 

RULE 803. Market Data

(a) Subject to each Participant's rights in Participant’s own data (and the data of its 

Accounts and Customers) as set forth in the Participant Documentation, BSEF shall own all 

rights, title and interest, database rights and trade secret rights in and to all data and other 

information contained in, displayed on, generated by or derived from the SEF Platform or the 

SEF operated by BSEF or Trades entered into pursuant to the BSEF Rules, including Orders, 

prices and volumes (“SEF Data”).

(b) Participants and Authorized Traders shall not, and shall cause their Affiliates, 

Accounts and Customers not to, distribute, sell or retransmit SEF Data or other information 

obtained via the SEF operated by BSEF, provided that any such restrictions shall not apply to 

Participant’s own data (and the data of its Accounts and Customers).

(c) BSEF may at any time restrict or establish utilization fees in respect of SEF Data 

and/or the format and presentation thereof with respect to Participants, Customers or Accounts, 

provided that any such fees shall not apply to Participants’ use of Participant's own data (and the 

data of its Accounts and Customers). 

(d) Subject to Rule 805, BSEF may make SEF Data and other information it may 

deem appropriate available to Participants and other Persons at such times and in such manner 

(whether through the SEF Platform, a ticker, financial information services or otherwise) as it 

may consider necessary or advisable from time to time. Each Participant or other Person 

receiving any such information through the SEF operated by BSEF may redistribute such 

information only to such extent and in such manner as may be permitted by BSEF from time to 

time.
78

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes

BSEF shall not use for business or marketing purposes any proprietary data or personal 

information it collects or receives, from or on behalf of any person, for the purpose of fulfilling 

its regulatory obligations; provided, however, that BSEF may use such data or information for 

business or marketing purposes if the Person from whom it collects or receives such data or 

information clearly consents in Writing to BSEF’s use of such data or information in such 

manner. BSEF shall not condition access to its market(s) or market services on a Person’s 

consent to BSEF’s use of proprietary data or personal information for business or marketing 

purposes. BSEF, where necessary for regulatory purposes, may share such data or information 

with one or more SEFs or DCMs registered with the CFTC.

RULE 805. Confidentiality

(a) All non-public information provided by a Participant or Authorized Trader to 

BSEF shall be held in confidence and shall not be made known to any other Person except as 

follows: 

with the consent of the Participant or Authorized Trader providing such 

information; 

to a Governmental Body if BSEF is requested or legally required to do so 

by such Governmental Body; 

pursuant to a lawful discovery request; 

to a Derivatives Clearing Organization of which such Participant is a 

member or in connection with the clearing of a Swap; 

to an SDR; 

subject to appropriate confidentiality requirements, to any Person 

providing services to BSEF, including the Regulatory Services Provider;

pursuant to an information sharing agreement or other arrangement or 

procedures in accordance with Rule 213; 

subject to appropriate confidentiality requirements, to BSEF employees, 

the Board, Board committees, Disciplinary Panels, Appeals Panels, BSEF Officers, 

attorneys, auditors, and agents, independent contractors or other Persons that have been 

engaged by BSEF, in each case, who require such information in connection with the 

discharge of their duties to BSEF; and

as otherwise permitted under these Rules.

(b) All information and data obtained or received by BSEF from inspections of 

accounting and other records will be treated as confidential by BSEF; however, this Rule does 

not supplant Rule 212 (Emergency Rules) and the Rules in Chapter 6 (Disciplinary Rules), or 

any other requirement of legal process or law.
79

RULE 806. Extension or Waiver of BSEF Rules

If necessary and expedient, the Chief Compliance Officer may, in its sole discretion, 

waive, or extend the time period for performing, any act or acts designated by the BSEF Rules, 

but only to the extent such waiver or extension is not inconsistent with the CEA or the CFTC 

Regulations or other applicable regulations.

RULE 807. Effect of Amendment, Repeal or New Rule 

(a) If an amendment or repeal of a BSEF Rule or adoption of a new BSEF Rule does 

not materially change the terms or conditions of a Swap and does not affect the value of open 

Swaps, then the effective date of any amendment or repeal of a Rule or adoption of a new Rule 

relating to Swaps is binding on all Swaps entered into before and after the effective date of such 

amendment, repeal or adoption and, to the extent applicable, before the effective date of such 

amendment, repeal or adoption.

(b) If an amendment or repeal of a BSEF Rule or adoption of a new Rule materially 

changes the terms or conditions of an open Swap or affects the value of open Swaps, then the 

amendment, repeal or new BSEF Rule shall not affect any open Swaps and shall be binding only 

on new Swaps listed for trading after the effective date of such amendment, repeal or adoption, 

and Swaps listed as of the effective date of such amendment, repeal or adoption with no open 

positions then in existence, unless otherwise specifically provided by the Board.

RULE 808. Swap Contract Specifications

(a) BSEF shall permit trading only in Swaps that are not readily susceptible to 

manipulation. To demonstrate to the CFTC compliance with the requirements of this Rule 

808(a), BSEF shall, at the time it submits a new Swap in advance to the CFTC pursuant to Part 

40 of the CFTC Regulations, provide the applicable information as set forth in Appendix C to 

Part 38 of the CFTC Regulations – Demonstration of Compliance That a Contract is not Readily 

Susceptible to Manipulation.

(b) Notwithstanding any provision of the BSEF Rules to the contrary, the Swap 

Specification with respect to a particular Swap shall govern the applicability of the BSEF Rules 

to trading in such Swap and, in the event of any conflict between the BSEF Rules and the Swap 

Specification, the Swap Specification shall govern with respect to trading in the relevant Swap.

(c) The Swap Specification for each individual Swap may specify:

(i) different classes of Participants eligible to trade such Swaps. Each such 

class of Participants shall have the rights and obligations specified by the Swap 

Specification for each such Swap; 

(ii) whether such Swap may be settled via cash settlement, physical delivery 

of the underlying commodity, or by any other means, as applicable; and

(iii) the method for determining settlement prices.

(d) Each Swap contract will be published by BSEF on its website.
80

(e) Swap Specifications are incorporated into the Rulebook by reference and each 

Swap Specification shall constitute a BSEF Rule. 

RULE 809. Timely Publication of Trading Information

BSEF will publish trading information as required by Core Principle 9 of Part 37, and by 

Part 16, of the CFTC Regulations.

RULE 810. Governing Law, Jurisdiction and Dispute Resolution

(a) Unless preempted by the Act, the law of the State of New York governs the BSEF 

Rules and any Participant Documentation regardless of the laws that would otherwise apply 

under choice-of-law principles. If a Participant provides an opinion of a counsel (i) stating that 

the Participant cannot be subject to the law of the State of New York and must be subject to the 

law of the jurisdiction of the location where the Participant is organized (the “Local Law”) and 

(ii) enumerating specific provisions of these Rules or the Participant Documentation that must be 

subject to the Local Law, BSEF will specify the application of the Local Law to the enumerated 

specific provisions of these Rules and the Participant Documentation; provided, however, that in

no event shall Local Law supersede any provision of the Act. 

(b) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 

connection with the BSEF Rules or use of the SEF operated by BSEF must be brought to 

arbitration pursuant to subsection (c) of this Rule 810 within one (1) year from the occurrence of 

the event giving rise to the dispute. This Rule 810 shall in no way create a cause of action nor 

authorize an action that would otherwise be prohibited by the BSEF Rules.

(c) Any dispute between BSEF and a Participant or any market participant that 

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in 

connection with the BSEF Rules will be settled by arbitration administered in New York County, 

New York by the American Arbitration Association (the “AAA”) under its Commercial 

Arbitration Rules. The dispute will be submitted to one arbitrator who will be appointed by the 

AAA. Any arbitrator appointed for purposes of this Rule 810 will have experience with and 

knowledge of commodities, derivatives and Swaps as listed on the National Roster of Arbitrators 

kept in the AAA’s records. Judgment on the award rendered by the arbitrator will be binding on 

the parties and may be entered in any state or federal court sitting in New York County, New 

York, and BSEF and each Participant shall be deemed to have consented to the personal 

jurisdiction of any such court. Each party to the dispute will bear its own costs and expenses in 

connection with any arbitration hereunder, as well as an equal share of the administrative fees 

and the fees of the arbitrator; provided, however, that the arbitrator will be entitled to include in 

any award a full reimbursement for the prevailing party’s costs and expenses, such party’s share 

of the administrative fees and the fees of the arbitrator, or any combination of any or all of the 

above. In the event that this Rule 810 is held to be unenforceable in connection with any dispute

or a claim is deemed by a court of competent jurisdiction to be not arbitrable, (i) exclusive 

jurisdiction for any such dispute will reside in any state or federal court sitting in New York

County, New York, (ii) BSEF and the Participant involved in the dispute will be presumed to 

have submitted to the personal jurisdiction of any such court, and (iii) an action to enforce any 

judgment or decision of such court may be brought in the same court or in any other court with 
81

jurisdiction or venue. Finally, all Participants unconditionally and irrevocably waive any and all 

right to trial by jury in connection with any such dispute.

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES

(a) NONE OF BSEF, ITS AFFILIATES OR ANY CONTRACTORS AND SUBCONTRACTORS PROVIDING SERVICES RELATED TO BSEF OR THE SEF OPERATED 

BY BSEF, NOR ANY OF THEIR RESPECTIVE SUCCESSORS OR ASSIGNS, DIRECTORS, 

OFFICERS, EMPLOYEES, AGENTS, PARTNERS, CONSULTANTS, OR LICENSORS 

(EACH, A “DISCLAIMING PARTY”) SHALL BE LIABLE TO ANY PERSON 

(INCLUDING ANY PARTICIPANT, AUTHORIZED TRADER, SUPERVISED PERSON, 

ACCOUNT, CUSTOMER, CLEARING MEMBER OR ANY MARKET PARTICIPANT 

THAT DIRECTLY OR INDIRECTLY EFFECTS A TRANSACTION ON THE SEF 

OPERATED BY BSEF) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

(INCLUDING LOSS OF PROFITS, LOSS OF USE, AND DIRECT, INDIRECT, SPECIAL, 

INCIDENTAL, CONSEQUENTIAL OR PUNITIVE DAMAGES), ARISING FROM:

ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION, TERMINATION, OR 

ANY OTHER EVENT, IN CONNECTION WITH THE FURNISHING, 

PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE 

ALL OR ANY PART OF ANY OF THE SEF OPERATED BY BSEF, SEF 

PLATFORM OR SERVICES OF THE DISCLAIMING PARTY, OR SERVICES, 

EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SEF OPERATED BY 

BSEF, SEF PLATFORM OR SERVICES, INCLUDING ELECTRONIC ORDER 

ENTRY/DELIVERY, TRADING THROUGH ANY ELECTRONIC MEANS, 

ELECTRONIC COMMUNICATION OF MARKET DATA, SEF DATA OR 

INFORMATION, WORKSTATIONS USED BY PARTICIPANTS, AUTHORIZED 

TRADERS, SUPERVISED PERSONS, CLEARING MEMBERS, ACCOUNTS OR

CUSTOMERS, PRICE REPORTING SYSTEMS AND ANY AND ALL 

COMMUNICATIONS NETWORKS, SOFTWARE AND HARDWARE RELATING 

THERETO;

ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY, 

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION OR TERMINATION, 

OR ANY OTHER EVENT, OF THE SEF PLATFORM OR ANY SERVICES OF A 

DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR FACILITIES USED TO 

SUPPORT SUCH TRADING SYSTEMS OR SERVICES, CAUSED BY ANY THIRD 

PARTIES INCLUDING INDEPENDENT SOFTWARE VENDORS OR NETWORK 

PROVIDERS;

ANY ERRORS OR INACCURACIES IN INFORMATION PROVIDED 

BY THE DISCLAIMING PARTY OR IN ANY OF THE DISCLAIMING PARTY’S 

SYSTEMS, SERVICES, EQUIPMENT OR FACILITIES;
82

ANY UNAUTHORIZED ACCESS TO OR UNAUTHORIZED USE OF 

ANY OF THE DISCLAIMING PARTY’S SYSTEMS, SERVICES, EQUIPMENT OR 

FACILITIES BY ANY PERSON.

THE FOREGOING LIMITATION OF LIABILITY SHALL APPLY WHETHER A CLAIM 

ARISES IN CONTRACT, TORT, NEGLIGENCE, STRICT LIABILITY, CONTRIBUTION

OR OTHERWISE AND WHETHER THE CLAIM IS BROUGHT DIRECTLY OR AS A 

THIRD PARTY CLAIM. 

(b) NOTWITHSTANDING SUBSECTION (a), (c) or (f) OF THIS RULE 901, IN 

NO EVENT SHALL ANY AFFILIATE OF BSEF ACTING AS SEF PLATFORM 

TECHNOLOGY SERVICES PROVIDER BE LIABLE TO ANY PERSON NOR SHALL ANY 

PERSON BRING ANY LEGAL ACTION (WHETHER IN TORT, NEGLIGENCE, OR 

BREACH OF CONTRACT) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES 

INCLUDING LOSS OF PROFITS, LOSS OF USE, DIRECT, SPECIAL, PUNITIVE, 

INDIRECT, INCIDENTAL OR CONSEQUENTIAL DAMAGES, ARISING FROM THE USE 

OF THE SEF OPERATED BY BSEF OR SEF PLATFORM. 

(c) WITHOUT LIMITING BSEF’S INDEMNIFICATION OBLIGATION UNDER 

RULE 902, THERE ARE NO EXPRESS OR IMPLIED WARRANTIES OR 

REPRESENTATIONS (INCLUDING WARRANTIES OF MERCHANTABILITY AND 

FITNESS FOR A PARTICULAR PURPOSE OR USE) PROVIDED BY ANY DISCLAIMING 

PARTY RELATING TO ANY SYSTEMS OR SERVICES OF ANY DISCLAIMING PARTY 

OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR 

SERVICES. 

(d) ANY DISPUTE ARISING OUT OF THE USE OF SYSTEMS OR SERVICES 

OF ANY DISCLAIMING PARTY OR SERVICES, EQUIPMENT, OR FACILITIES USED TO 

SUPPORT SUCH SYSTEMS OR SERVICES IN WHICH THE DISCLAIMING PARTY OR 

DISCLAIMING PARTIES IS A PARTY SHALL BE SUBJECT TO ARBITRATION AS 

PROVIDED IN RULE 810(c) AS IF THE DISCLAIMING PARTY WERE BSEF AND THE 

OPPOSITE PARTY OR PARTIES WERE A PARTICIPANT. ANY ACTIONS, SUITS OR 

PROCEEDINGS BROUGHT AGAINST ANY DISCLAIMING PARTY MUST BE 

BROUGHT WITHIN ONE YEAR FROM THE TIME THAT A CAUSE OF ACTION HAS 

ACCRUED. THIS PARAGRAPH (d) SHALL IN NO WAY BE CONSTRUED TO LIMIT A 

PARTY’S OBLIGATION TO ARBITRATE ITS CLAIM OR TO CREATE A CAUSE OF 

ACTION (OR MODIFY THE LIMITATION ON ACTIONS PROVIDED IN RULE 901(a)) 

AND SHALL NOT AUTHORIZE AN ACTION THAT WOULD OTHERWISE BE 

PROHIBITED BY THE BSEF RULES. IF FOR ANY REASON, A COURT OF COMPETENT 

JURISDICTION FINDS THAT A DISPUTE IS NOT ARBITRABLE, SUCH DISPUTE 

SHALL BE SUBJECT TO THE JURISDICTION OF EACH OF THE FEDERAL AND STATE 

COURTS LOCATED IN NEW YORK COUNTY, NEW YORK IN CONNECTION WITH 

ANY MATTERS ARISING OUT OF THIS RULEBOOK AND NO PARTY TO SUCH 

DISPUTE MAY ASSERT A DEFENSE OF FORUM NON CONVENIENS, SOVEREIGN 

IMMUNITY, ACT OF STATE OR ANALOGOUS DOCTRINES IN CONNECTION WITH 

ANY ACTION. 

(e) TO THE EXTENT PERMITTED BY APPLICABLE LAW, THE TOTAL 

COMBINED AGGREGATE LIABILITY OF BSEF SHALL NOT EXCEED (i) $20,000 FOR 
83

ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED ON A SINGLE DAY, (ii) 

$100,000 FOR ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED IN A 

SINGLE CALENDAR MONTH; AND (iii) $1,200,000 FOR ALL LOSSES AND CLAIMS 

FROM ALL CAUSES SUFFERED IN A SINGLE CALENDAR YEAR. ANY DISPUTED 

CLAIM PURSUANT TO THIS PARAGRAPH (e) SHALL BE SUBJECT TO ARBITRATION 

TO THE EXTENT PROVIDED IN RULE 810(c).

IN NO EVENT SHALL TOTAL COMBINED AGGREGATE LIABILITY OF BSEF FOR ALL 

CLAIMS AND CLAIMS AGAINST DISCLAIMING PARTIES ARISING OUT OF ANY 

FAILURES, MALFUNCTIONS, FAULTS IN DELIVERY, DELAYS, OMISSIONS, 

SUSPENSIONS, INACCURACIES, INTERRUPTIONS, TERMINATIONS, OR ANY OTHER 

CAUSES, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION, 

MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE 

SEF OPERATED BY BSEF OR SEF PLATFORM, OR SERVICES, EQUIPMENT OR 

FACILITIES USED TO SUPPORT BSEF, THE SEF OPERATED BY BSEF OR SEF 

PLATFORM, OR THE NEGLIGENCE OR GROSS NEGLIGENCE OF BSEF EMPLOYEES, 

AGENTS OR SUBAGENTS EXCEED $1,200,000 IN ANY GIVEN CALENDAR YEAR. 

IF THE NUMBER OF ALLOWED CLAIMS ARISING OUT OF ANY FAILURES OR 

MALFUNCTIONS ON A SINGLE DAY, SINGLE MONTH OR SINGLE YEAR CANNOT 

BE FULLY SATISFIED BECAUSE OF THE ABOVE DOLLAR LIMITATIONS, ALL SUCH 

CLAIMS SHALL BE LIMITED TO A PRO RATA SHARE OF THE MAXIMUM AMOUNT 

FOR THE RESPECTIVE PERIOD. 

(f) THE LIMITATIONS OF LIABILITY IN THIS RULE 901 SHALL NOT APPLY 

TO BSEF’S INDEMNIFICATION OBLIGATION UNDER RULE 902 AND SHALL NOT 

PROTECT ANY PARTY FOR WHICH THERE HAS BEEN A FINAL DETERMINATION 

(INCLUDING EXHAUSTION OF ANY APPEALS) BY A COURT OR ARBITRATOR TO 

HAVE ENGAGED IN FRAUD OR WILLFUL MISCONDUCT. ADDITIONALLY, THE 

FOREGOING LIMITATIONS ON LIABILITY OF THIS RULE SHALL BE SUBJECT TO 

THE CEA AND THE REGULATIONS PROMULGATED THEREUNDER, EACH AS IN 

EFFECT FROM TIME TO TIME.

RULE 902. Indemnification by BSEF

BSEF, at its expense, shall indemnify, hold harmless and defend Participant against any 

loss, claim, demand or expense (including reasonable attorneys’ fees) (“Claim”) that the SEF 

Platform or any portion thereof infringes, misappropriates or violates any intellectual property or 

proprietary rights of any third party; provided, however, that BSEF shall not be required to 

indemnify Participant for any Claim to the extent it arises from or in connection with any (a) 

additions, changes or modifications by Participant to the SEF Platform, which changes were not 

provided by BSEF or any of its Affiliates, (b) use of the SEF Platform in combination with other 

products or services not provided by BSEF or its Affiliates, or (c) use of the SEF Platform other 

than as expressly permitted by the Rules or the Participant Documentation. BSEF shall control 

such defense and all negotiations relative to the settlement of any such Claim. Participant shall 

promptly provide BSEF with written notice of any claim which falls within the scope of this 

paragraph (provided that failure to provide such notice shall not relieve BSEF of its indemnity 

obligations hereunder except to the extent it is prejudiced thereby). 
84

CHAPTER 10. [RESERVED]

CHAPTER 11. [RESERVED]
85

CHAPTER 12.CREDIT CONTRACTS TERMS AND CONDITIONS

RULE 1201. CDS Index Contract – North America High Yield

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating.

Ticker CDX HY CDSI [series number] [tenor]

Index CDX.NA.HY: Series 11 to current series other than series “made available to trade”

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy, Failure to Pay and Restructuring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade”

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; 

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
86

RULE 1202. CDS Index Contract – North America Investment Grade

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade credit 

rating

Ticker CDX IG CDSI [series number] [tenor]

Index CDX.NA.IG: Series 11 to current other than series “made available to trade”

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy and Failure to Pay.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions

Traded on spread 

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
87

RULE 1203. CDS Index Contract – CDX Emerging Markets

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of sovereign issuers, domiciled in Latin 

America

Ticker CDX EM CDSI [series number] [tenor]

Index CDX Emerging Markets: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on price

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
88

RULE 1204. CDS Index Contract – Europe

Contract Overview An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit 

rating.

Ticker ITRX EUR CDSI [series number] [tenor]

Index iTRAXX.EUROPE: Series 7 to current, other than series “made available to trade”

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade”

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
89

RULE 1205. CDS Index Contract – Europe Crossover

Contract Overview The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid sub-investment 

grade European corporate entities.

Ticker ITRX XOVER CDSI [series number] [tenor]

Index iTRAXX.EUROPE CROSSOVER: Series 10 to current, other than series “made available to trade”

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade” 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
90

RULE 1206. CDS Index Contract – Europe HiVol

Contract Overview An agreement to buy or sell protection on a basket comprised of 30 equally weighted credit default swaps on the 

widest spread non-financial European corporate entities. 

Ticker HIVOL CDSI [series number] [tenor]

Index iTRAXX.EUROPE HIVOL: 

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
91

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial 

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade 

European entities.

Ticker SNRFIN CDSI [series number] [tenor]

Index iTRAXX EUROPE SENIOR FINANCIAL

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
92

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe 

Contract Overview An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone region plus Denmark, 

Norway, Sweden and United Kingdom that trade on Western European documentation.

Ticker ITRX SOVX WE CDSI [series number] [tenor]

Index iTRAXX SovX Western Europe: all series

Currency USD 

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House n/a; Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
93

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial 

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment grade 

European entities.

Ticker SUBFIN CDSI [series number] [tenor]

Index iTRAXX EUROPE SUBORDINATED FINANCIAL : All Series

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
94

RULE 1210. CDS Index Contract – iTraxx Japan 

Contract Overview An agreement to buy or sell protection on a basket comprised of 50 equally-weighted investment grade Japanese 

entities.

Ticker ITRX JAPAN CDSI [series number] [tenor]

Index iTRAXX.JAPAN: All Series.

Currency JPY

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
95

RULE 1211. CDS Index Contract – iTraxx Australia 

Contract Overview An agreement to buy or sell protection on a basket comprised of 25 equally-weighted investment grade Australian 

entities.

Ticker ITRX AUS CDSI [series number] [tenor]

Index ITRAXX.AUSTRALIA : All Series

Currency USD 

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
96

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

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade 

credit rating.

Ticker CDX IG CDSI [series number] 5Y

Index CDX.NA.IG: at any time, the then-current on-the-run series and the preceding series that was replaced by the current 

one

Currency USD

Quoting 

Convention and

Minimum Price 

Increment

CLOB: 0.0025 Basis Points

Request for Quote Functionality for Streaming Quotes: 0.01 Basis Points

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy and Failure to Pay.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
97

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

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit 

rating.

Ticker CDX HY CDSI [series number] 5Y

Index CDX.NA.HY: at any time, the then-current on-the-run series and the preceding series that was replaced by the 

current one

Currency USD

Quoting 

Convention and

Minimum 

Increment

CLOB: $0.0025

Request for Quote Functionality for Streaming Quotes: $0.0025

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. Credit 

events include Bankruptcy, Failure to Pay and Restructuring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on price 

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
98

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

Contract 

Overview

An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit 

rating.

Ticker ITRX EUR CDSI [series number] 5Y

Index iTRAXX.EUROPE: at any time, the then-current on-the-run series and the preceding series that was replaced by the 

current one

Currency EUR

Quoting 

Convention and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Request for Quote Functionality for Streaming Quotes: 0.001 Basis Points

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
99

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

Contract Overview The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid sub-investment 

grade European corporate entities.

Ticker ITRX XOVER CDSI [series number] 5Y

Index iTRAXX.EUROPE CROSSOVER: at any time, the then-current on-the-run series and the preceding series that was 

replaced by the current one 

Currency EUR

Quoting 

Convention

and

Minimum 

Increment

CLOB: 0.0025 Basis Points

Request for Quote Functionality for Streaming Quotes: 0.001 Basis Points

Trading Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by 

counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor 5Y 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of 

the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit 

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, which 

is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
100

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

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – North America High Yield. 

Index of 

Underlying Swap

CDX.NA.HY: Series 11 to current

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
101

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

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – North America Investment Grade. 

Index of 

Underlying Swap

CDX.NA.IG: Series 11 to current

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
102

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

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – CDX Emerging Markets

Index of 

Underlying Swap

CDX.EM: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
103

RULE 1219. Option – CDS Index Contract – iTraxx Europe

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – European Investment Grade. An agreement to buy or sell protection on a basket of liquid 

European based entities with an investment grade credit rating. 

Index of 

Underlying Swap

ITRAXX.EUROPE: Series 10 to current

Tenor of 

Underlying Swap

Any 

Currency EUR

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
104

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

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – Europe Crossover. An index comprising 75 equally weighted credit default swaps on the 

most liquid sub-investment grade European corporate entities. 

Index of 

Underlying Swap

ITRAXX.EUROPE CROSSOVER: Series 10 to current

Tenor of 

Underlying Swap

Any 

Currency EUR

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
105

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

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – European HiVol. 

Index of 

Underlying Swap

ITRAXX.EUROPE HIVOL: Series 10 to current

Tenor of 

Underlying Swap

Any 

Currency EUR

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

n/a; Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
106

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA

Contract Overview An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most liquid corporate and 

quasi-sovereign entities from Central & Eastern European, Middle Eastern and African countries.

Ticker ITRX Corp CEEMEA CDSI [series number] [tenor]

Index iTraxx CEEMEA: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
107

RULE 1223. CDS Index Contract – LCDX

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 100 reference entities, referencing first 

lien leveraged loans CDS.

Ticker LCDX [series number] [tenor]

Index LCDX: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on price

Fixed coupon payments are calculated at a spread of 250 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
108

RULE 1224. CDS Index Contract – MCDX

Contract Overview An agreement to buy or sell protection on a basket comprised of a number of 50 CDS contracts referencing municipal 

issuers as the Reference Entity.

Ticker MCDX [series number] [tenor] 

Index MCDX: all series

Currency USD

Quoting 

Convention

and

Minimum 

Increment

CLOB: $0.0025 

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading 

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA 

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours 

and Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
109

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

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker ITRAX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – iTRAXX SovX Western Europe

Index of 

Underlying Swap

iTRAXX SovX Western Europe: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

None. 

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
110

RULE 1226. Option – CDS Index Contract – LCDX

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker LCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – LCDX

Index of 

Underlying Swap

LCDX: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
111

RULE 1227. Option – CDS Index Contract – MCDX

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit the 

underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker MCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – MCDX

Index of 

Underlying Swap

MCDX: all series

Tenor of 

Underlying Swap

Any 

Currency USD

Quoting 

Convention and

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading 

Conventions 

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of 

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and 

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller 

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option Strike 

Price

Fixed coupon of the underlying swap

Option Expiry 

Date

As agreed by the parties

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on the 

Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the 

option, the counterparties must submit the underlying Swap for clearing to the Clearing House. 

Trading Hours 

and Venue

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

Clearing House for 

the underlying 

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
112

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

Contract Overview An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian (excluding Japanese) entities 

with primarily investment grade credit ratings that trade in the CDS market.

Ticker ITRX EXJP IG CDSI [series number] [tenor]

Index iTraxx Asia ex-Japan; all series

Currency USD

Quoting Convention

and

Minimum Increment

Minimum Increment: As agreed by counterparties

Minimum Size Minimum Size: As agreed by counterparties

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The seller 

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date 

of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet S.A. or 

Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
113

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

Contract Overview An agreement to buy or sell protection on a basket of one hundred (100) equally weighted credit default 

swaps on investment grade European entities.

Ticker ITRX Europe NONFIN CDSI [series number] [tenor]

Index iTraxx Europe Non-Financial

Currency EUR

Quoting Convention

and

Minimum Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by the counterparties

Minimum Size CLOB: $1,000,000 

Trading Protocols other than CLOB: As agreed by the counterparties

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event 

occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. 

The seller owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the 

start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2014 

ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, 

Inc.

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the protection 

seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Trading Hours and Venue 00:01-24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or 

Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
114

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

Contract Overview An agreement to buy or sell protection on a basket of equally weighted European entities from the iTraxx 

MSCI ESG Screened Europe Index with an MSCI ESG Rating above BBB

Ticker ITRX EUR MSCIESG CDSI [series number] [tenor]

Index iTRAXX.EUROPE MSCI ESG Screened: All Series.

Currency EUR

Quoting Convention

and

Minimum Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event 

occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. 

The seller owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the 

start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol).

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the protection 

seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

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

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
115

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

Index 

Contract Overview An agreement to buy or sell protection on a basket of North American entities with an investment grade 

rating of BBB.

Ticker CDX IGBBB CDSI [series number] [tenor]

Index CDX.NA.IG.BBB: All series

Currency USD

Quoting Convention

and

Minimum Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event 

occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. 

The seller owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the 

start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol).

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the protection 

seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

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

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
116

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

Contract

Contract Overview An agreement to buy or sell protection on a basket of high yield North American entities with credit ratings 

higher than BB.

Ticker CDX HYEXBB CDSI [series number] [tenor]

Index CDX.NA.HY.EXBB: All series.

Currency USD

Quoting Convention

and

Minimum Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event 

occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. 

The seller owns the credit risk of the instrument.

Swap Conventions Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the 

start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol).

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the protection 

seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

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

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
117

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

Contract Overview An agreement to buy or sell protection on a basket comprised of thirty-eight (38) liquid Asian (excluding 

Japanese or U.S. sanctioned) entities with primarily investment grade credit ratings that trade in the CDS 

market.

Ticker iTraxx EXJPR IG CDSI [series number] [tenor]

Index iTraxx Asia ex-Japan IG Restricted; all series

Currency USD

Quoting Convention

and

Minimum Increment

Minimum Increment: As agreed by counterparties

Minimum Size Minimum Size: As agreed by counterparties

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The 

seller owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any 

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start 

date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the protection 

seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately to the seller.

Trading Hours and 

Venue

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

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.; ICE Clear Europe Limited; LCH.Clearnet S.A. or 

Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
118

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker AUD SWAP vs Floating Index Maturity

Currency AUD

Floating Rate 

Index

AUD BBR BBSW

Floating Rate 

Index Maturity

3, 6 months

Fixed Rate Par; Custom Coupon

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365(Fixed)

 Holiday Calendar: Australia

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365(Fixed) 

 Holiday Calendar: Australia

 Fixing Calendar: Australia

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up to 

30 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

Also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first BBSW Fixing Date is two (2) Sydney business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot:

 Any date where the Effective Date is a date other than the spot date. 

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties.

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
119

RULE 1302. [Reserved]
120

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker EUR SWAP vs [Floating Index Maturity]

Currency EUR

Floating Rate 

Index

EURIBOR

Floating Rate 

Index Maturity

1, 3, 6, 12 months

Fixed Rate  Par

 Custom coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Contract Size Fixed notional; as agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360, 30E/360

 Holiday Calendar: Target

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Monthly, Quarterly, Semi-Annual, Annual 

 Day Count Conventions: ACT/360, 30/360 

 Holiday Calendar: Target

 Fixing Calendar: Target

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A non-MAT or non-MAC EUR EURIBOR Fixedto-Floating Swap Contract can have a tenor from 28 days to up to 50 years. A MAC EUR EURIBOR Fixed-toFloating Swap Contract can have a tenor from 1 year to 30 years. 

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

This is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first Euribor Fixing Date is 2 Target business days prior to the Effective Date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date.

International Money Market (“IMM”): One of the four quarterly IMM dates.

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd, Eurex Clearing Aktiengesellschaft. or 

Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

____________________________________

* Certain EUR EURIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set 

forth in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
121

RULE 1304. [Reserved]

RULE 1305. [Reserved]

RULE 1306. [Reserved]
122

RULE 1307. EUR OIS Eonia Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker EUR SWAP OIS [Trade Start Type] [tenor]

Currency EUR

Floating Rate 

Index

EUR-EONIA-OIS-Compound

Fixed Rate Par; Custom Coupon

Quoting 

Convention 

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, 30/360, ACT/365

 Holiday Calendar: Target

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360 

 Holiday Calendar: Target

 Fixing Calendar: Target

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to as long 

as 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

Also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first EONIA Fixing Date is the trade date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
123

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SWAP OIS [Maturity]

Currency USD

Floating Rate 

Index

USD-FED-FUND H.15 OIS Compound 

Fixed Rate Par; Custom Coupon

Quoting 

Convention 

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, Act/365, 30/360

 Holiday Calendar: New York

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Annual

 Day Count Conventions: ACT/360 

 Holiday Calendar: New York

 Fixing Calendar: New York

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to up to 50 

years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

Also known as the start date of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first Fed Funds Fixing Date is 2 New York business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd.. Eurex Clearing Aktiengesellschaft or 

Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
124

RULE 1309. CHF LIBOR Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker CHF SWAP vs [Floating Index Maturity]

Currency CHF

Floating Rate 

Index

CHF-LIBOR-BBA 

Floating Rate 

Index Maturity

3, 6 months

Fixed Rate Par; Custom Coupon

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annually, Annual

 Day Count Conventions: 30/360, ACT/360

 Holiday Calendar: Zurich

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: Zurich

 Fixing Calendar: Switzerland

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long 

as 30 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

Also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first LIBOR Fixing Date is 2 London business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
125

RULE 1310. GBP LIBOR Fixed-to-Floating Swap Contract*

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker GBP SWAP vs [Floating Index Maturity]

Currency GBP

Floating Rate 

Index

LIBOR

Floating Rate 

Index Maturity

3, 6 months

Fixed Rate  Par

 Custom coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Contract Size Fixed notional; as agreed by the counterparties

Minimum Size GBP 1000

Trading 

Conventions

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: ACT/365, ACT/360, ACT/365F

 Holiday Calendar: London

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual

 Day Count Conventions: ACT/365, ACT/360, ACT/365F

 Holiday Calendar: London

 Fixing Calendar: London

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A non-MAT GBP LIBOR Fixed-to-Floating Swap 

Contract can have a tenor from 28 days to up to 50 years.

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

This is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First LIBOR 

Fixing Date

For non-MAT GBP LIBOR Fixed-to-Floating Swap Contracts, the first LIBOR Fixing Date is the Effective Date. For 

MAT GBP LIBOR Fixed-to-Floating Swap Contracts, the first LIBOR Fixing Date is two (2) London business days 

prior to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date.

International Money Market (“IMM”): One of the four quarterly IMM dates.

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 - 24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

____________________________________

* Certain GBP LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth 

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
126

RULE 1311. GBP Basis Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a 

term to maturity. 

Ticker GBP SWAP VS [floating rate 1] V [floating rate 2] [tenor]

Currency GBP

Floating Rate 

Index 

1 Month GBP-LIBOR

3 Month GBP-LIBOR

6 Month GBP-LIBOR

12 Month GBP-LIBOR

SONIA

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Spread

Sell = Receive Spread 

Swap Conventions Floating Leg 1

 Payment/Resets: Monthly, Quarterly, Semi-annual

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 Compounding Method: Flat 

 Holiday Calendar: England

 Fixing Calendar: England

 Business Day Conventions: Modified Following

 Floating Leg 2

 Payment/Resets: Monthly, Quarterly, Semi-annual

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 Holiday Calendar: England

 Fixing Calendar: England

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50

years.

Effective Date The date on which parties begin calculating accrued obligations such as floating interest rate payments (i.e., the start 

date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency, 

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

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment Frequency, 

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

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

First Fixing Date The first Fixing Date is the Effective Date.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time

Clearing House LIBOR: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

SONIA: LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
127

RULE 1312. JPY LIBOR (6M) Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker [tenor] JPY SWAP VS 6M LBR

Currency JPY

Floating Rate 

Index

6 Month JPY-LIBOR

Fixed Rate  Par

 Custom coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Quoting 

Convention and 

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, 30/360, ACT/365(Fixed)

 Holiday Calendar: London, Tokyo

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Semi-Annual 

 Day Count Conventions: ACT/360 

 Holiday Calendar: London, Tokyo

 Fixing Calendar: England; Japan

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long 

as 40 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

Also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first LIBOR Fixing Date is 2 London business days prior to the Effective Date. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft, 

Japan Securities Clearing Corporation or Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
128

RULE 1313. [Reserved]
129

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker USD SWAP VS [Floating Index Maturity]

Currency USD

Floating Rate 

Index

LIBOR

Floating Rate 

Index Maturity

1, 3, 6, 12 months

Fixed Rate  Par

 Custom Coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”) 

Contract Size Fixed notional, as agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360/ ACT/365

 Holiday Calendar: London, New York

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Monthly, Quarterly, Semi-Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: London, New York

 Fixing Calendar: London

 Business Day Conventions: Modified Following

Swap Tenor  The duration of time from the effective date to the maturity date. A non-MAT USD LIBOR Fixed-to-Floating Swap 

Contract can have a Tenor from 28 days to up to 50 years.

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

This is also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day 

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

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

First Fixing Date The first LIBOR Fixing Date is two (2) London business days prior to the Effective Date

Trade Start Types  Spot: A new swap where the Effective Date is T+2 from the trade date

 Non-Spot: Any date where the Effective Date is a date other than the spot date

 International Money Market (“IMM”): Next two (2) IMM dates

Settlement 

Procedure 

As determined by the Clearing House

Trading Hours 00:01 -24:00; Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

____________________________________

* Certain USD LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set forth 

in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at 

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm. 
130

RULE 1315. USD Basis Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a 

term to maturity. 

Ticker USD SWAP [floating rate 1] V [floating rate 2] [tenor]

Currency GBP

Floating Rate 

Index 

1 Month USD-LIBOR

3 Month USD-LIBOR

6 Month USD-LIBOR

SOFR

Fed Funds

Quoting 

Convention and 

Minimum 

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading 

Conventions

Buy = Pay Spread

Sell = Receive Spread 

Swap Conventions Floating Leg 1

 Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity 

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Compounding Method: Flat, Exclude Spread 

 Holiday Calendar: England, US 

 Fixing Calendar: USGS 

 Business Day Conventions: Modified Following

 Floating Leg 2

 Payment/Resets : Monthly, Quarterly, Semi-annual, Annual, At Maturity 

 Day Count Conventions: ACT/360, or as agreed by the counterparties 

 Holiday Calendar: England, US

 Fixing Calendar: USGS 

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50 

years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments (i.e., 

the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment Frequency, 

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

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment Frequency, 

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

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

First Fixing Date The first LIBOR Fixing Date is two London business days prior to the Effective Date. If Fed Funds or SOFR is one of 

the index leg tenors, the first Fixing Date will equal the effective date of the swap. 

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time

Clearing House 1 month, 3 month, and 6 month LIBOR rates only:

Chicago Mercantile Exchange, Inc.

All rates:

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
131

RULE 1316. [Reserved]
132

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker SEK SWAP VS 3M [Trade Start Type] [tenor]

Currency SEK

Floating Rate 

Index

3 Month SEK-STIBOR-SIDE

Fixed Rate Par; Custom Coupon

Quoting 

Convention and 

Minimum 

Increment

As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360, ACT/365

 Holiday Calendar: Stockholm

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets : Quarterly, Semi-Annual

 Day Count Conventions: ACT/360 

 Holiday Calendar: Stockholm

 Fixing Calendar: Stockholm

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long 

as 15 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. 

Also known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first STIBOR Fixing Date is 2 Stockholm business days prior to the Effective Date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+2 from the trade date. 

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
133

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker USD SOFR OIS [Tenor] 

Currency USD

Floating Rate Index

SOFR

Fixed Rate Par; Custom Coupon

Quoting Convention 

and Minimum 

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Annual 

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendars: U.S. Government Securities Business Day 

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

Floating Leg 

 Payment/Resets: Daily, Annual 

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Holiday Calendars: U.S Government Securities Business Day 

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up 

to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first SOFR Fixing Date is equal to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
134

RULE 1319. [Reserved] 

RULE 1320. [Reserved]

RULE 1321. [Reserved]

RULE 1322. [Reserved]

RULE 1323. [Reserved]

RULE 1324. [Reserved]

RULE 1325. [Reserved]

RULE 1326. [Reserved]
128

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

Contract 

Overview

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

over a term to maturity.

Ticker CAD SWAP 3M [Trade Start Type] [tenor]

Currency CAD

Floating Rate 

Index

3 Month CAD CDOR CBA

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap 

Conventions

Fixed Leg 

 Payment: Semi-Annual

 Day Count Conventions: ACT/365F

 Holiday Calendar: Canada 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: Quarterly, Semi-Annual

 Day Count Conventions: ACT/365F

 Holiday Calendar: Canada 

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long 

as 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Convention and Fixed Interest Rate.

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

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

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

First Libor Fixing 

Date

The first CDOR Fixing Date is equal to the Effective Date. 

Trade Start 

Types

Spot: 

 A new swap where the Effective Date is T+0 from the trade date. 

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Settlement 

Procedure 

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative 

Limits

As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
129

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

Contract 

Overview

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

over a term to maturity.

Ticker MXN SWAP vs. 28D [tenor]

Currency MXN

Floating Rate 

Index

28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio)

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap 

Conventions

Fixed Leg 

 Payment: 28 Days

 Day Count Conventions: ACT/360

 Holiday Calendar: Mexico 

 Business Day Conventions: Modified Following 

Floating Leg 

 Payment/Resets: 28 Days

 Day Count Conventions: ACT/360

 Holiday Calendar: Mexico 

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 3 months to as long 

as 260 months.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Convention and Fixed Interest Rate.

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

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

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

First Libor Fixing 

Date

The first Mexican Interbank Fixing Date is one Mexican business day prior to the Effective Date. 

Trade Start 

Types

Spot: 

 A new swap where the Effective Date is T+1 from the trade date. 

Settlement 

Procedure 

As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc

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

Speculative

Limits

As set forth in Part 150 of the CFTC Regulations
130

RULE 1329. [Reserved]

RULE 1330. [Reserved]
131

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker AUD OIS SWAP [Trade Start Type] [Tenor]

Currency AUD

Floating Rate 

Index

RBACOR (Interbank Overnight Cash Rate)

Fixed Rate Par; Custom Coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Annual

 Day Count Conventions: ACT/365 

 Holiday Calendar: Australia

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

Floating Leg 

 Payment/Resets : Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: Australia

 Fixing Calendar: Australia

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to 24 

months.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first Libor Fixing Date is T+1.

Trade Start Types Spot: 

 A new swap where the Effective Date is T+1 from the trade date.

Non Spot

 Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral 

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
132

RULE 1332. [Reserved]
133

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional 

over a term to maturity. 

Ticker GBP SWAP vs SON [tenor]

Currency GBP

Floating Rate 

Index

SONIA

Fixed Rate Par; Custom coupon

Contract Size As agreed by counterparties

Minimum Size As agreed by counterparties

Trading 

Conventions

Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Quarterly, Annual, Semi-Annual

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendar: London

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

Floating Leg 

 Payment/Resets : Quarterly, Annual, Semi-Annual

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendar: London

 Fixing Calendar: London

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 5 days to up to 50 

years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also 

known as the start date of the swap. 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic 

Settlement:

Payment and 

Resets

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

Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first Libor Fixing Date is equal to the trade date. 

Trade Start Types Spot: 

 A new swap where the Effective Date is T+0 from the trade date.

Non Spot

 Any date other than the effective date. 

Settlement 

Procedure 

As determined by the Clearing Venue

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or 

Bilateral 

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
134

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

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF 

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit 

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker IRS USD [Underlying Tenor] [Strike] [Expiry Date]

Underlying Swap USD LIBOR Fixed-to-Floating Swap Contract

Index of Underlying 

Swap

LIBOR (3M) 

Tenor of Underlying 

Swap

Any 

Currency USD

Quoting Convention 

and

Minimum Increment

As agreed by counterparties

Minimum Size As agreed by counterparties 

Trading Conventions A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and 

receive the floating leg.

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the fixed 

leg and pay the floating leg.

Option Strike Price Fixed coupon of the underlying swap

Option Expiry Date As agreed by the parties

Option Settlement 

Type

Cash or a delivery of a cleared swap

Exercise method The owner of the option must notify the writer of the option of the owner’s intent to exercise the option during 

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery). 

Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the exercise 

by physical delivery, the counterparties must submit the Swap for clearing to the Clearing House. 

Trading Hours and 

Venue

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

Clearing House for the 

underlying Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet Ltd. or 

Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
135

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

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

specified notional over a term to maturity. 

Ticker NOK SWAP vs [Floating Index Maturity]

Currency NOK

Floating Rate Index NIBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: 30/360

o Holiday Calendar: Norway

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/ Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Norway

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first NIBOR Fixing Date is two Norwegian business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
136

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

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

specified notional over a term to maturity. 

Ticker DKK SWAP vs [Floating Index Maturity]

Currency DKK

Floating Rate Index CIBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: 30/360

o Holiday Calendar: Denmark

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Denmark

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first CIBOR Fixing Date is two Danish business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
137

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

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

specified notional over a term to maturity. 

Ticker HKD SWAP vs [Floating Index Maturity] 

Currency HKD

Floating Rate Index HIBOR

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom

Quoting Convention and 

Minimum Increment 

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Hong Kong

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/ Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Hong Kong

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 

days to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first HIBOR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
138

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

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

specified notional over a term to maturity. 

Ticker PLN SWAP vs [Floating Index Maturity]

Currency PLN

Floating Rate Index WIBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: ACT/ACT

o Holiday Calendar: Poland

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Poland

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first WIBOR Fixing Date is two Polish business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

International Money Market (“IMM”): One of the four quarterly IMM dates.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
139

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

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

specified notional over a term to maturity. 

Ticker ZAR SWAP vs [Floating Index Maturity]

Currency ZAR

Floating Rate Index JIBAR

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: South Africa

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly 

o Day Count Conventions: ACT/365

o Holiday Calendar: South Africa

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first JIBAR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
140

RULE 1340. [Reserved]
141

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

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

specified notional over a term to maturity. 

Ticker HUF SWAP vs [Floating Index Maturity]

Currency HUF

Floating Rate Index BUBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Hungary

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Hungary

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first BUBOR Fixing Date is two Hungarian business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

International Money Market (“IMM”): One of the four quarterly IMM dates.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
142

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

Swap Contract

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

specified notional over a term to maturity. 

Ticker KRW SWAP vs [Floating Index Maturity]

Currency KRW

Floating Rate Index South Korean Won 3 Month Certificate of Deposit

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: Quarterly

 Day Count Conventions: ACT/365

 Holiday Calendar: South Korea

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Quarterly/Quarterly

 Day Count Conventions: ACT/365

 Holiday Calendar: South Korea 

 Business Day Conventions: Modified Following 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first South Korean Won 3 Month Certificate of Deposit Fixing Date is one South Korean business day 

prior to the Effective Date.

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
143

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

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

specified notional over a term to maturity. 

Ticker CZK SWAP vs [Floating Index Maturity]

Currency CZK

Floating Rate Index PRIBOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Czech Republic

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/ Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Czech Republic

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first PRIBOR Fixing Date is two Czech business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

International Money Market (“IMM”): One of the four quarterly IMM dates.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
144

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

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

specified notional over a term to maturity. 

Ticker CLP SWAP vs [Floating Index Maturity]

Currency CLP

Floating Rate Index Indice Cámara Promedio Rate 

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Chile

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Chile

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first Indice Cámara Promedio Rate Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
145

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

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

specified notional over a term to maturity. 

Ticker MYR SWAP vs [Floating Index Maturity]

Currency MYR

Floating Rate Index KLIBOR

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Malaysia

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Malaysia

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first KLIBOR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
146

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

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

specified notional over a term to maturity. 

Ticker TWD SWAP vs [Floating Index Maturity]

Currency TWD

Floating Rate Index TAIBOR

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Taiwan

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Taiwan

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first TAIBOR Fixing Date is two Taiwan business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
147

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

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

specified notional over a term to maturity. 

Ticker INR SWAP vs [Floating Index Maturity]

Currency INR

Floating Rate Index FBIL Overnight MIBOR

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: India

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Annual/Daily

 Day Count Conventions: ACT/365

 Holiday Calendar: India

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first FBIL Overnight MIBOR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
148

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

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

specified notional over a term to maturity. 

Ticker BRL SWAP vs [Floating Index Maturity]

Currency BRL

Floating Rate Index Brazilian Interfinancial Offered Rate (DI Rate)

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties 

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: At Maturity

 Day Count Conventions: DU/252

 Holiday Calendar: Brazil

 Business Day Conventions: Following

Floating Leg

 Payment/Resets: At maturity/daily

 Day Count Conventions: DU/252

 Holiday Calendar: Brazil

 Business Day Conventions: Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first Brazilian Interfinancial Offered Rate Fixing Date is equal to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
149

RULE 1349. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract

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

specified notional over a term to maturity. 

Ticker THB SWAP vs [Floating Index Maturity]

Currency THB

Floating Rate Index Thai Baht Interest Rate Fixing (THBFIX)

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: Thailand

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: Thailand

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first Thai Baht Interest Rate Fixing Date is two Thai business days prior to the Effective Date of the 

swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
150

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

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

specified notional over a term to maturity. 

Ticker CNY SWAP vs [Floating Index Maturity]

Currency CNY

Floating Rate Index China Fixing Repo (7D) Rate

Floating Rate Index Maturity 7 days

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually 

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: China Interbank

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: China Interbank

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Frequency, Day Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first China Fixing Repo (7D) Rate Fixing Date is one business day prior to the Effective Date of the 

swap.

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
151

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker NZD [Tenor] Swap

Currency NZD

Floating Rate Index Bank Bill Benchmark Rate (BKBM)

Floating Rate Index Maturity 3 months

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: Monthly, Quarterly, Semi-Annual, Annual, At Maturity 

 Day Count Conventions: ACT/365.FIXED or as agreed by the counterparties.

 Holiday Calendars: Auckland, Wellington

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

Floating Leg 

 Payment/Resets : Quarterly 

 Day Count Conventions: ACT/365.FIXED, or as agreed by the counterparties

 Holiday Calendars: Auckland, Wellington

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up 

to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first BKBM Fixing Date is equal to the trade date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
152

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

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker CHF SWAP OIS [Tenor]

Currency CHF

Floating Rate Index Swiss Average Rate Overnight 

Floating Rate Index Maturity 1 day

Fixed Rate Par; custom coupon

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

 Payment: Annual, at Maturity 

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendar: Switzerland

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

Floating Leg 

 Payment/Resets: Annual, at Maturity

 Day Count Conventions: ACT/360 or as agreed by the counterparties

 Holiday Calendar: Switzerland

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

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up 

to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

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

Count Convention and Fixed Interest Rate.

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

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

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

First Fixing Date The first SARON Fixing Date is equal to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
153

RULE 1353. EUR €STR Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker EUR Swap (ESTR) [Tenor] 

Currency EUR

Floating Rate Index EUR-EuroSTR-COMPOUND

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Annual

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets: Daily, Annual

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Holiday Calendars: Target 

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up to 

70 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first €STR Fixing Date is equal to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
154

RULE 1354. JPY OIS TONAR Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified 

notional over a term to maturity. 

Ticker JPY OIS SWAP [Tenor] 

Currency JPY

Floating Rate Index TONAR

Fixed Rate Par, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float. 

Sell = Receive Fixed, Pay Float. 

Swap Conventions Fixed Leg 

 Payment: Annual, Semi-Annual, Quarterly 

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendars: Tokyo

 Business Day Conventions: Modified Following with adjustment to period end dates 

Floating Leg 

 Payment/Resets: Annual, Semi-Annual, Quarterly

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 Holiday Calendars: Tokyo

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up to 

50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments 

(i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day 

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first TONAR Fixing Date is equal to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd.; Chicago Mercantile Exchange, Inc.; Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
155

RULE 1355. SGD SOR Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker SGD SWAP vs [Floating Index Maturity]

Currency SGD

Floating Rate Index SOR

Floating Rate Index Maturity 6 months

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, 

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SOR Fixing Date is two Singapore business days prior to the Effective Date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
156

RULE 1356. OIS SORA Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker SGD SWAP vs SORA [Floating Index Maturity]

Currency SGD

Floating Rate Index SORA

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first SORA Fixing Date is equal to the Effective Date of the swap

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
157

RULE 1357. CAD OIS CORRA Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a 

specified notional over a term to maturity. 

Ticker CAD SWAP vs CORRA [Floating Index Maturity]

Currency CAD

Floating Rate Index CORRA

Fixed Rate Par; custom coupon 

Quoting Convention and 

Minimum Increment

As agreed by the counterparties 

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg 

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Canada

o Business Day Conventions: Modified Following

Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Canada

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days 

to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate 

payments (i.e., the start date of the swap). 

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment 

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CORRA Fixing Date is equal to the Effective Date of the swap

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc.,LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
158

RULE 1358. USD U.S. CPI Urban Consumers Not Seasonably Adjusted Fixed-to-Floating 

(Inflation Zero Coupon) Swap Contract

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero 

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional principal 

amount and the other party pays a floating rate linked to an inflation index.

Ticker USD [ZC Inflation] Swap vs CPURNSA [Tenor] 

USD [ZC Inflation] Swap vs CPURNSA [Maturity Date]

Currency USD

Floating Rate Index U.S. CPI Urban Consumers Not Seasonably Adjusted (CPURNSA)

Fixed Rate Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating 

Swap Conventions Fixed Leg 

 Payment: At maturity 

 Compounding: Annual

 Day Count Conventions: 1/1

 Holiday Calendars: Federal Reserve, England

 Business Day Conventions: Modified Following with adjustment to period end dates 

Inflation Leg 

 Payment/Resets: At maturity/At maturity

 Day Count Conventions: 1/1

 Holiday Calendars: Federal Reserve, England

 Business Day Conventions: Modified Following with adjustment to period end dates 

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to 

30 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the 

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency, 

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency, 

Day Count, Floating Rate Index and Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CPURNSA Fixing Date is observed 3 months prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is 2 business days after trade date.

Non-Spot: Any swap with an Effective Date different to the Effective Date of a Spot Swap.

Settlement Procedure As determined by the Clearing House

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
159

RULE 1359. EUR Eurostat Eurozone Harmonized Index of Consumer Prices Excluding 

Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap Contract

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero 

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional principal 

amount and the other party pays a floating rate linked to an inflation index.

Ticker EUR ZC Inflation Swap vs CPTFEMU [tenor]

EUR ZC Inflation Swap vs CPTFEMU [maturity date] 

Currency EUR

Floating Rate Index Harmonized Index of Consumer Prices Excluding Tobacco (HICP-EXCL)

Fixed Rate Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating 

Swap Conventions Fixed Leg 

Payment: At maturity

Compounding: Annual 

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

Payment: At maturity

Resets: 3 Months before Effective Date and 3 Months before Maturity Date 

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to 

50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the 

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency, 

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency, 

Day Count, Floating Rate Index and Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first HICP-EXCL Fixing Date is observed 3 months prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
160

RULE 1360. GBP UK Retail Prices Index Fixed-to-Floating (Inflation Zero Coupon) Swap 

Contract

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero 

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional principal 

amount and the other party pays a floating rate linked to an inflation index. 

Ticker GBP ZC Inflation Swap vs UKRPI [tenor]

GBP ZC Inflation Swap vs UKRPI [maturity date]

Currency GBP

Floating Rate Index United Kingdom Retail Prices Index (UK RPI)

Fixed Rate Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Floating 

Sell = Receive Fixed, Pay Floating 

Swap Conventions Fixed Leg 

Payment: At maturity

Compounding: Annual 

Day Count Conventions: 1/1

Holiday Calendar: England

Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

Payment: At Maturity

Resets: 2 Months before Effective Date and 2 Months before Maturity Date 

Day Count Conventions: 1/1

Holiday Calendar: England

Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to 

50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the 

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency, 

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency, 

Day Count, Floating Rate Index and Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first UK RPI Fixing Date is observed 2 months prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
161

RULE 1361. EUR France Inflation Consumer Price Index Excluding Tobacco Fixed-toFloating (Inflation Zero Coupon) Swap Contract

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero 

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional principal 

amount and the other party pays a floating rate linked to an inflation index.

Ticker EUR ZC Inflation Swap vs FRCPXTOB [tenor]

EUR ZC Inflation Swap vs FRCPXTOB [maturity date]

Currency EUR

Floating Rate Index France Consumer Price Index Excluding Tobacco (CPI-Excl)

Fixed Rate Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating 

Swap Conventions Fixed Leg 

Payment: At maturity

Compounding: Annual 

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates. 

Inflation Leg 

Payment: At Maturity

Resets: 3 Months before Effective Date and 3 Months before Maturity Date 

Day Count Conventions: 1/1

Holiday Calendars: Target

Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to 

30 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the 

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency, 

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency, 

Day Count, Floating Rate Index and Reset Dates. 

Payments are settled in accordance with the payment frequency of the swap. 

First Fixing Date The first CPI-Excl Fixing Date is observed 3 months prior to the effective date of the swap.

Trade Start Types Spot: A new swap where the Effective Date is 15th of the month of the trade date.

Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is known.

Settlement Procedure As determined by the Clearing House 

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
162

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward

Contract 

Overview

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference between the 

contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount.

Reference 

Currency 

Non-deliverable currency

 BRL Brazilian Real

 ARS Argentine Peso

 CNY Chinese Renminbi

 IDR Indonesian Rupiah

 INR Indian Rupee

 KRW South Korean Won

 MYR Malaysian Ringgit (Please see Notice to Participants 2017-3, which is posted on BSEF’s website)

 PHP Philippine Peso

 TWD Taiwan Dollar

 VND Vietnamese đồng

 EGP Egyptian pound

 RUB Russian ruble

 KZT Kazakh tenge

 CLP Chilean Peso

 COP Colombian Peso

 PEN Peruvian nuevo sol

 UAH Ukrainian hryvnia

 NGN Nigerian naira

 GHS Ghanaian cedi

 PKR Pakistani rupee

Settlement 

Currency

See currency list below

Quoting 

Convention and 

Minimum 

Increment

Notional amount, as agreed by counterparties

Minimum Size Notional amount, as agreed by counterparties

Notional 

Currency 

Currency in which contract size is expressed in

Trading 

Conventions

Buy or Sell which refers to the contract size expressed in notional currency

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency

Trade Date The date on which parties enter into the contract

Settlement Date Specified settlement or payment date

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon exchange rate is 

calculated.

Settlement 

Procedure 

Bilateral settlement performed in settlement currency based on the exchange rate published by sources set forth in 

Attachment B hereto.

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative 

Limits

As set in Part 150 of the CFTC Regulations

Reportable 

Levels

As set in CFTC Regulation 15.03
163

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
164

Attachment B

Exchange Rate Sources

Currency Primary Fixing Source Description Secondary Fixing 

Source

Description

Brazilian Real (BRL) BRL PTAX The BRL PTAX Rate is 

published at 

approximately 6:00 PM 

São Paulo time on the 

Valuation Date.

The BZFXPTAX Index 

refers to the average rate 

displayed by Brazil's 

Central Bank under the 

transaction PTAX800, in 

the SISBACEN (Central 

Bank System), regarding 

the notation 220-USD 

(moeda 220 - Dolar dos 

Estados Unidos). 

EMTA BRL Industry 

Survey Rate (BRL 12) 

The EMTA BRL 

Industry Survey Rate is 

determined pursuant to 

the EMTA BRL 

Industry Survey Rate 

Methodology dated 

March 1, 2004. 

Argentine Peso (ARS) EMTA ARS Industry 

Survey Rate 

The EMTA ARS 

Industry Survey Rate 

resulting from the 

EMTA ARS Industry 

Survey Rate 

Methodology dated as of 

January 2, 2003, is 

available only on a 

Business Day in both 

Buenos Aires and New 

York City.

This rate quotation 

appears on EMTA's 

website, 

http://www.emta.org.

EMTA ARS Indicative 

Survey Rate

The EMTA ARS 

Industry Survey Rate 

resulting from the 

EMTA ARS Industry 

Survey Rate 

Methodology dated as 

of January 2, 2003, is 

available only on a 

Business Day in both 

Buenos Aires and New 

York City. 

Chinese Renminbi 

(CNY)

CNY SAEC The CNY SAEC 

(CNY01) Rate is 

published at 

approximately 9:15 a.m., 

Beijing time on the 

Valuation Date.

This is the daily CNY 

fixing price released by 

China Foreign Exchange 

Trading System. In the 

interbank market, the 

fluctuation should not 

exceed +/-1% of the 

average price. The price 

of this index starts from 

Jan 4,2006, when China 

introduced OTC trading 

system in interbank 

currency market. For 

more historical prices, 

please refer to HP of 

CYCFUSDP Index.

SFEMC CNY 

Indicative Survey Rate

The SFEMC CNY 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC CNY 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

Indonesian Rupiah 

(IDR) IDR VWAP 

The IDR VWAP 

(IDR03) Rate is 

published at 

approximately 11:30 

a.m., Singapore time, on 

the Valuation Date. 

As of 6th Aug 2013, the 

Association of Banks 

Singapore's (ABS) IDR 

Spot FX benchmark 

SFEMC IDR Indicative 

Survey Rate

The SFEMC IDR 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC IDR 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.
165

transitions from a 

surveyed benchmark to a 

traded benchmark. It 

will be changed from a 

trimmed arithmetic 

mean of submissions 

contributed by a panel of 

banks (Contributor

Banks) to a rate based 

on the Volume 

Weighted Average Price 

(VWAP) of actual 

interbank transactions.

Indian Rupee (INR)

INR RBIB 

The INR RBIB (INR01) 

Rate is published at 

approximately 12:30 

p.m. Mumbai time on 

the Valuation Date.

The Rupee Reference 

Rate is the rate based on 

12.00 noon dollar-rupee 

rates offered by various 

banks in Mumbai. 

SFEMC INR Indicative 

Survey Rate

The SFEMC INR 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC INR 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

South Korean Won 

(KRW)

KRW KFTC18 The KRW KFTC18 

(KRW02) Rate is 

published at 

approximately 3:30 p.m. 

Seoul time on the 

Valuation Date.

The basic exchange rate 

of the Korean won 

against the US dollar is 

determined as the 

transaction volumeweighted average of the 

rates applied in daily 

transactions between 

foreign exchange banks 

brokered through Seoul 

Money Brokerage 

Services, Ltd.(SMBS) 

and another brokerage 

house, and is announced 

at 3:00 pm every 

business day.

SFEMC KRW 

Indicative Survey Rate

The SFEMC KRW 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC KRW 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

Malaysian Ringgit 

(MYR)

(Please see Notice to 

Participants 2017-3, 

which is posted on 

BSEF’s website)

MYR ABS The MYR ABS 

(MYR01) Rate is 

published at 

approximately 11:30 

a.m. Singapore time on 

the Valuation Date. 

Published by the Central 

Bank of Malaysia (Bank 

Nagara)

SFEMC MYR 

Indicative Survey Rate

The SFEMC MYR 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC MYR 

Indicative Survey Rate 

Methodology dated July 

15, 2005.

Philippine Peso (PHP) PHP PDSPESO The PHP PDSPESO 

(PHP06) Rate is 

published at 

approximately 11:30 

a.m., Manila time, on the 

Valuation Date.

Produced by the Bankers 

Association of 

Philippines.

The SFEMC PHP 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC PHP 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

SFEMC PHP Indicative 

Survey Rate

Taiwan Dollar (TWD) TWD TAIFX1 The TWD TAIFX1 Rate 

is published at 

approximately 11:00 

SFEMC TWD 

Indicative Survey Rate

The SFEMC TWD 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC TWD 
166

a.m. Taipei time on the 

Valuation Date by

Taipei Forex Inc. 

Indicative Survey Rate 

Methodology dated 

December 1, 2004.

Vietnamese đồng 

(VND)

VND The Association of 

Banks Singapore's 

(ABS)

Egyptian pound (EGP) EGP FEMF Published by Central 

Bank of Egypt Treasury.

Rates are updated only 

when there are FX Spot 

transactions among the 

39 participating banks.

EMTA EGP Indicative 

Survey Rate

The EMTA EGP 

Indicative Survey Rate 

is determined pursuant 

to the EMTA EGP 

Indicative Survey Rate 

Methodology dated as 

of May 24, 2010.

Russian ruble (RUB) RUB CME-EMTA The RUB CME-EMTA 

Ruble Rate is 

determined pursuant to 

the Chicago Mercantile 

Exchange / EMTA, Inc. 

Daily Russian Ruble Per 

U.S. Dollar Reference 

Rate Methodology 

Effective June 16, 2005. 

EMTA RUB Indicative 

Survey Rate 

The EMTA RUB 

Indicative Survey Rate 

is determined pursuant 

to the EMTA RUB 

Indicative Survey 

Methodology effective 

June 16, 2005. 

Kazakh tenge (KZT) KZT KASE The KZT KASE Rate is 

published by the 

Kazakhstan Stock 

Exchange Inc. at 

approximately 11:00 am, 

Almaty, time. 

EMTA KZT Indicative 

Survey Rate 

The EMTA KZT 

Indicative Survey Rate 

is determined pursuant 

to the EMTA KZT 

Indicative Survey 

Methodology effective 

March 16, 2009. 

Chilean Peso (CLP) CLP DÓLAR OBS Chilean Observed Dollar 

Exchange Rate (Dolar 

Observado) - Chilean 

Central Bank Rates are 

published daily for 

operations settled in the 

prior business day.

EMTA CLP Indicative 

Survey Rate 

The EMTA CLP 

Indicative Survey Rate 

is determined pursuant 

to the EMTA CLP 

Indicative Survey Rate 

Methodology dated as 

of August 1, 2006. 

Colombian Peso 

(COP)

COP TRM The Market 

Representative 

Exchange Rate (Tasa 

Representativa del 

Mercado) states the 

daily exchange rate in 

the Colombian market, 

settled in the previous 

business day. It 

corresponds to the 

arithmetic average of the 

average weighed bid and 

offer rates of interbank 

and transfer operations, 

completed by authorized 

market intermediaries. 

The Superintendencia 

Financiera of Colombia 

is obligated by law 

(Article 80 of the 

Exchange Regulation -

Board of Directors of the 

Central Bank) to 

calculate and publish the 

TRM.

Peruvian Nuevo sol 

(PEN)

PEN INTERBANK 

AVE

The data required to 

calculate this rate are 

derived from the 

interbank market 

transacted over ICAP 

Datatec and published 

by Superintendecia de 

Banca Peru.

EMTA PEN Indicative 

Survey Rate

The EMTA PEN 

Indicative Survey Rate 

is determined pursuant 

to the EMTA

PEN Indicative Survey 

Rate Methodology 

dated as of August 1, 

2006
167

Ukrainian Hryvnia 

(UAH)

EMTA UAH Industry 

Survey Rate

The EMTA UAH 

Industry Survey Rate is 

posted on Thomson 

Reuters Screen 

EMTAUAHFIX Page at 

approximately 11:30 am, 

Kiev Time. 

EMTA UAH Indicative 

Survey Rate 

The EMTA UAH 

Indicative Survey Rate 

is determined pursuant 

to the EMTA UAH 

Indicative Survey 

Methodology effective 

March 16, 2009. 

Nigerian Naira (NGN) NGN FMDA FMDA - Financial Mkt EMTA NGN Indicative 

Survey Rate 

The EMTA NGN 

Indicative Survey Rate 

is determined pursuant 

to the NGN Indicative 

Survey Rate 

Methodology dated as 

of December 27, 2010. 

Ghanaian Cedi (GHS) GHS ICAP The GHS ICAP rate 

(GHS01) is determined 

by ICAP Broking 

Services South Africa 

(Pty) Ltd. not later than 

1:00 p.m., Accra time, 

based on a poll of 

onshore FX dealers. 

EMTA GHS Indicative 

Survey Rate 

The EMTA GHS 

Indicative Survey Rate 

is determined pursuant 

to the GHS Indicative 

Survey Rate 

Methodology dated as 

of May 9, 2012.

Pakistani Rupee (PKR) PKR SBPK The PKR SBPK Rate is 

published at 

approximately 2:30 pm, 

Karachi time, on the 

Valuation Date by State 

Bank of Pakistan

SFEMC PKR Indicative 

Survey Rate

The SFEMC PKR 

Indicative Survey Rate 

is determined pursuant 

to the SFEMC PKR 

Indicative Survey Rate 

Methodology dated as 

of July 14, 2008.

Bloomberg Fixing Source BFIX:

The Bloomberg FX Fixing rates (“BFIX”) are fixed and published every 30 minutes on the hour and half-hour (liquidity permitting). The BFIX 

prices are created by taking a short-term Time-Weighted Average Price (TWAP) of the geometric mid-rates of Bloomberg Generic (BGN) prices 

leading up to and following the fixing time. 

By using a short-term TWAP to create the fixing, it ensures that BFIX rates are unsusceptible to spikes and manipulations in the market at fixing 

time. The length of time used in the TWAP varies from currency to currency, and may in fact vary over time, based on the average tick arrival 

frequency of the specific currency pair. By using the geometric average to calculate mid-rates, it ensures that BFIX prices are perfectly invertible 

(e.g., the USDEUR fix is exactly 1 / EURUSD fix). BFIX prices are published on the BLOOMBERG TERMINAL(R) service within 15 seconds 

of the fixing time.

A linear time-weighted average of quotes is used leading up to the fixing time and for a short time after the fix. For major currencies, this linear 

TWAP starts eleven seconds before the fix and then decays for six seconds after the fix. For less liquid currencies, the approaching side of the 

TWAP envelope might be longer than eleven seconds, depending on the quoting frequency of the specific currency pair. The decay after the fix 

time is always six seconds.

BFIX rates are available on BFIX <GO> and throughout the Bloomberg terminal and API. 

Bloomberg BGN Reference Price

BGN is a sophisticated pricing algorithm that produces highly accurate bid and ask quotes that are derived from hundreds of quality sources, 

including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers, and trading 

platforms.

The Bloomberg Generic represents Bloomberg's highest-quality FX and Precious Metals rate source and is designed to match market-consensus 

executable bid/ask rates and to be resistant to manipulation by market participants.

For each currency pair the BGN values are based on FX and Precious Metals rates from a select subset of Bloomberg's more than 1000 price 

contributors. The specific members of the subset are chosen by an automated data quality and consistency scoring algorithm and reviewed 

periodically. No contributor knows whether or not their prices are included in any BGN set of input prices. These input prices are run through 

Bloomberg's proprietary blending algorithm which automatically mitigates the effect of outlier quotes and creates a market consensus bid-ask pair 

of prices for each currency pair.
168

RULE 1402. Foreign Exchange Contract – Vanilla FX Option 

Contract 

Overview

A foreign-exchange option (commonly shortened to just FX option or currency option) is a derivative financial 

instrument that gives the owner the right but not the obligation to exchange money denominated in one currency into 

another currency at a pre-agreed exchange rate on a specified date.

Trade Date The date on which parties enter into the contract

Option Style American / European

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined point in 

time.

 An American option on the other hand may be exercised at any time before the expiration date.

Option Type Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Call Currency Currency for call option

Put Currency Currency for put option

Strike Price The exchange rate agreed upon inception of the contract at which the investor can exercise an option.

Expiration Date Date at which option contract expires

Expiration 

Time

Time at which option contract expires

Settlement Date Settlement date of the option contract

Premium Premium amount expressed in premium currency

Premium 

currency

Currency in which option premium is expressed in

Premium Date Date on which premium amount is due

Quoting 

Convention 

and Minimum 

Increment

Notional amount, as agreed by counterparties

Minimum Size Notional amount, as agreed by counterparties

Notional 

Currency

Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted on BSEF’s 

website.

Settlement 

Procedure 

Bilateral settlement performed in settlement currency

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative 

Limits

As set in Part 150 of the CFTC Regulations

Reportable 

Levels

As set in CFTC Regulation 15.03
169

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
170

RULE 1403. Foreign Exchange Contract – Exotic FX Option

Contract Overview An exotic foreign-exchange option is an option which has more than one trigger relating to the determination of 

the payoff.

Trade Date The date on which parties enter into the contract

Option Style American / European

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined 

point in time.

 An American option on the other hand may be exercised at any time before the expiration date.

Option Type Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Call Currency Currency for call option

Put Currency Currency for put option

Strike Price The currency exchange rate at which the investor can exercise an option.

Expiration Date Date at which option contract expires

Barrier Low Pre-set low barrier level either springs the option into existence or extinguishes an already existing option.

Barrier High Pre-set high barrier level either springs the option into existence or extinguishes an already existing option.

Barrier Style American / European

Barrier Direction The four types of barrier options are:

 Up-and-out: spot price starts below the barrier level and has to move up for the option to be knocked out.

 Down-and-out: spot price starts above the barrier level and has to move down for the option to become 

null and void.

 Up-and-in: spot price starts below the barrier level and has to move up for the option to become activated.

 Down-and-in: spot price starts above the barrier level and has to move down for the option to become 

activated.

Expiration Time Time at which option contract expires (cut off time)

Settlement Date Settlement date of the option contract

Premium Premium amount expressed in premium currency

Premium currency Currency in which option premium is expressed in

Premium Date Date on which premium amount is due

Quoting Convention 

and Minimum 

Increment

Notional amount, as agreed by counterparties

Notional Currency Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted on 

BSEF’s website.

Settlement Procedure Bilateral settlement performed in settlement currency

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
171

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
172

RULE 1404. Foreign Exchange Contract – Precious Metals Swaps

Contract 

Overview

A precious metals contract is a cash settled agreement between two counterparties whereby one counterparty agrees to 

pay a fixed amount to the other counterparty on a given date, and in exchange the second counterparty will pay a 

floating amount to the first counterparty on the same given date. The fixed amount paid is determined based on the 

notional quantity traded and the price of the reference commodity. The floating amount paid is determined based on 

the notional quantity and the price of an applicable futures contract based on the reference commodity over an agreed 

future calculation period.

Reference 

Commodities

 Gold

 Silver

 Palladium

 Platinum

Contracts on 

Reference 

Commodities

 NYMEX Palladium 

 NYMEX Platinum 

 COMEX Gold 

 COMEX Silver 

Settlement 

Currency

A currency listed below.

Quoting 

Convention 

and Minimum 

Increment

Notional amount, as agreed by counterparties

Minimum Size Notional amount, as agreed by counterparties

Notional 

Currency 

A currency listed below.

Trading 

Conventions

Buy or Sell which refers to whether or not the fixed amount is paid (buy) or received (sell) 

Calculation 

Period

Can be a single date or date range over which the reference price of the commodity will be calculated. If a date range 

the reference price will be averaged across all days.

Trade Date The date on which counterparties enter into the contract

Settlement Date Specified settlement or payment date when the fixed payment amount and the floating payment amount are exchanged 

(can be netted)

Settlement 

Procedure 

Bilateral cash settlement performed in settlement currency

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative 

Limits

As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
173

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
174

RULE 1405. Foreign Exchange Contract – Average Rate Forward

Contract Overview An average rate forward allows the buyer the ability to create a hedge rate for a future exposure by locking in 

forward points and a spot rate. At some point in the future, there is an averaging period of daily spot observations to 

determine an average rate which, when compared to the hedge rate, will set the payout. Unlike options, this hedge 

tool is a forward contract and has no premium cost associated with it.

Currency Pair Underlying currency instrument composed of ISO currency codes (ISO 4217) of the base currency and the counter 

currency, separating them with a slash character; see currency list below

Settlement Currency See currency list below

Quoting Convention 

and Minimum 

Increment

Notional amount, as agreed by counterparties

Minimum Size $1

Notional Currency Currency in which contract size is expressed; please see Notice to Participants 2017-3, which is posted on BSEF’s 

website.

Trading 

Conventions

Buy or Sell which refers to the contract size expressed in notional currency

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency

Trade Date The date on which parties enter into the contract

Settlement Date Settlement or payment date

Fixing Date End of observation period specified by counterparties

Frequency Observation frequency specified by counterparties

Settlement 

Procedure 

Bilateral settlement performed in settlement currency based on the exchanges rate published by either Bloomberg 

(BFIX) or Reuters (WM/Reuters)

Trading Hours 00:01 - 24:00 Sunday-Friday (Eastern Time)

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
175

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
176

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount.

Reference Currency (i.e., NonDeliverable Currency)

ARS Argentine Peso

Settlement Currency See currency list below

Quoting Convention and 

Minimum Increment

Notional amount, as agreed by counterparties

Minimum Size Notional amount, as agreed by counterparties

Notional Currency Currency in which contract size is expressed in, as agreed by counterparties

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement Currency

Trade Date The date on which parties enter into the contract

Settlement Date Specified settlement or payment date, as agreed by counterparties

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon exchange 

rate is calculated.

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA ARS Industry Survey Rate / 

EMTA ARS Indicative Survey Rate (secondary); BFIX or BGN.

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03
177

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
178

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional 

amount.

Reference Currency (i.e., NonDeliverable Currency)KES Kenyan Shilling

Settlement Currency See currency list below

Quoting Convention 

and Minimum Increment

Notional amount, as agreed by the counterparties.

Minimum Size Notional amount, as agreed by the counterparties.

Notional Currency Currency in which contract size is expressed in, as agreed by the counterparties; please see Notice to 

Participants 2017-3, which is posted on BSEF’s website.

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency.

Forward Rate Currency Exchange rate expressed as the amount of Reference Currency per unit of Settlement 

Currency.

Trade Date The date on which parties enter into the contract.

Settlement Date Specified settlement or payment date, as agreed by the counterparties.

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon 

exchange rate is calculated.

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA KES Industry Survey 

Rate or BFIX.

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday.

Clearing Venue Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 151 of the CFTC Regulations.

Reportable Levels As set forth in CFTC Regulation 15.03.
179

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht Onshore

AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique 

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga Pa’Anga

AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia (NDF)

BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan Shilling

BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad SP

BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential Rate

BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong (NDF)

BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean Won 

(NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing Rights

CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc

CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha (NDF)

CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese Pound

EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon
180

RULE 1408. Foreign Exchange Contract – Precious Metals Options Contract

Contract Overview A precious metals option is a derivative financial instrument that gives the owner the right, but not the obligation,

to purchase or sell a specified quantity of a precious metal in exchange for a currency at a pre-agreed exchange 

rate on a specified date. Upon exercise of the option, the counterparties will exchange settlement currency based 

on the agreed settlement procedure.

Ticker [PMO-<precious metal><currency>-[Bloomberg Unique Options ID]]

Reference 

Commodities

Gold

 COMEX Gold 

 Tokyo Commodity Exchange (TOCOM) Gold

 London Bullion Market Association (LBMA) A.M. Fix Gold 

 London Bullion Market Association (LBMA) P.M. Fix Gold

Silver

 COMEX Silver

 Tokyo Commodity Exchange (TOCOM) Silver

 London Bullion Market Association (LBMA) Silver Fix

Palladium

 New York Mercantile Exchange (NYMEX) Palladium 

 Tokyo Commodity Exchange (TOCOM) Palladium

 London Bullion Market Association (LBMA) A.M. Fix Palladium 

 London Bullion Market Association (LBMA) P.M. Fix Palladium 

Platinum

 New York Mercantile Exchange (NYMEX) Platinum 

 Tokyo Commodity Exchange (TOCOM) Platinum

 London Bullion Market Association (LBMA) A.M. Fix Platinum 

 London Bullion Market Association (LBMA) A.M. Fix Platinum 

Trade Date The date on which the parties enter into the contract

Option Style American/European

 A European option may be exercised only at the expiration date of the option, e.g., at a single pre-defined 

point in time.

 An American option, on the other hand, may be exercised at any time before the expiration date.

Option Type Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Call Precious metal for call option

Put Precious metal for put option

Strike Price The exchange rate agreed upon at the inception of the contract at which the investor can exercise an option

Expiration Date Date at which option contract expires

Expiration Time Time at which option contract expires

Settlement Date Settlement date of the option contract

Premium Premium amount expressed in premium currency

Premium currency Currency listed below

Premium Date Date on which premium amount is due

Quoting Convention 

and Minimum 

Increment

Notional amount, as agreed by the counterparties

Minimum Size Notional amount, as agreed by the counterparties

Notional Currency Currency or units of precious metal in which contract size is expressed in

Settlement Procedure Bilateral cash settlement performed in settlement currency

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing Venue Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 151 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
181

Currency List

AED UAE Dirham GEL Georgia Lari MXN Mexican Peso SVC El Salvador Colon

AFN Afghanistan Afghani GMD Gambian Dalasi MYR Malaysian Ringgit (NDF) THB Thai Baht

AMD Armenia Dram GNF Guinea Franc MZM Mozambique Metical THO Thai Baht Onshore

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal MZN New Mozambique 

Metical

TJS Tajikistan Somoni

AOA Angolan Kwanza GYD Guyana Dollar NGN Nigeria Naira (NDF) TND Tunisian Dinar

ARS Argentine Peso HKD Hong Kong Dollar NID New Iraqi Dinar TOP Tonga Pa’Anga

AUD Australian Dollar HNL Honduras Lempira NIO Nicaragua Cordoba TRY Turkish Lira

AWG Aruban Guilder HRK Croatia Kuna NLG Dutch Guilder TTD Trinidad/Tobago Dol

BAM Bosnia-Herze Convrt Mrka HTG Haiti Gourde NOK Norwegian Krone TWD Taiwan Dollar (NDF)

BBD Barbados Dollar HUF Hungarian Forint NPR Nepalese Rupee TZS Tanzanian Shilling

BDT Banglaldesh Taka IDR Indonesian Rupiah (NDF) NZD New Zealand Dollar UAH Ukraine Hryvnia (NDF)

BGD Bulgarian Lev ILS Israeli Shekel OMR Omani Rial UDI Mexican UDI

BHD Bahraini Dinar INR Indian Rupee (NDF) PAD Panamanian Balboa UGX Ugandan Shilling

BIF Burundi Franc ISK Iceland Krona PEN Peruvian New Sol USD US Dollar

BMD Bermudian Dollar JMD Jamaica Dollar PGK Papua N.G. Kina USDCLF Chilean Unidad SP

BND Brunei Dollar JOD Jordanian Dinar PHP Philippines Peso (NDF) x10000

BOB Bolivian Boliviano JPY Japanese Yen PKR Pakistani Rupee UYU Uruguay Peso

BRL Brazilian Real (NDF) KES Kenyan Shilling PLN Polish Zloty UZS Uzbekistan Sum

BSD Bahamas Dollar KGS Kyrgyzstan Som PTE Portuguese Escudo VEE Venezuela Essential Rate

BWP Botswana Pula KHR Cambia Riel PYG Paraguay Guarani VEF Venezuelan Bolivar

BYR Belarus Ruble KMF Comoros Franc WAR Qatari Riyal VND Vietnamese Dong (NDF)

BZD Belize Dollar KRW South Korean Won 

(NDF)

ROL Romanian Leu VUV Vanuatu Vatu

CAD Canadian Dollar KWD Kuwaiti Dinar RON New Romanian Leu WST Samoa (West) Tala

CDF Congolese Franc KYD Cayman Islands Dollar RSD Serbian Dinar XAF CFA Franc Beac

CHF Swiss Franc KZT Kazakhstan Tenge RUB Russian Ruble (NDF) XCD East Caribbean Dollar

CLF Chilean UF LAK Laos Kip RWF Rwanda Franc XDR Special Drawing Rights

CLP Chilean Peso LBP Lebanese Pound SAR Saudi Riyal XOF CFA Franc Bceao

CNY China Renminbi (NDF) LKR Sri Lankan Rupee SBD Solomon Is. Dollar XPF Pacific Island Franc

COP Colombian Peso LTL Lithuanian Litas SCR Seychelles Rupee XSU Sucre

CRC Costa Rican Colon LVL Latvian Lats SDD Sudanese Dinar YER Yemeni Rial

CVE Cape Verde Escudo MAD Moroccan Dirham SDG New Sudanese Pound ZAR S. African Rand

CZK Czech Koruna MDL Moldova Leu SDP Old Sudanese Pound ZMK Zambian Kwacha

DJF Djibouti Franc MGA Malagascy Ariary SEK Swedish Korna ZMW Zambia Kwacha (NDF)

DKK Danish Krone MKD Macedonia Denar SGD Singapore Dollar ZWR Zimbabwe Dollar

DOP Dominican Repb. MMK Myanmar Kyat SIT Slovenia Tolar

DZD Algerian Dinar MNT Mongolian Togrog SKK Slovakia Koruna

EGP Egyptian Pound (NDF) MOP Macau Pataca SLL Sierra Leone Leone

ERN Eritrean Nakfa MRO Mauritania Ouguiya SOS Somali Shilling

EUR Euro MUR Mauritius Rupee SRD Suriname Dollar

FJD Fiji Dollar MVR Maldives Rufiyaa SSP South Sudanese Pound

GBP British Pound MWK Malawi Kwacha STD Sao Tome Dobra
182

RULE 1409. Foreign Exchange Contract – UYU Non-Deliverable Forward

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference 

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional 

amount.

Reference Currency (i.e., NonDeliverable Currency)UYU Uruguayan Peso

Spot FX Rate or Reference Rate “UYU OFFICIAL” or “UYU01 as determined by the Banco Central Del Uruguay (Central Bank of 

Uruguay) (www.bcu.gub.uy) or as specified in the EMTA template.

Settlement Currency See list below

Quoting Convention 

and Minimum Increment

Notional amount, as agreed by the counterparties.

Minimum Size Notional amount, as agreed by the counterparties.

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency.

Contracted NDF Rate or Forward Rate Currency Exchange rate expressed as the amount of Reference Currency per unit of Settlement 

Currency.

Trade Date The date on which parties enter into the contract.

Settlement Date Specified settlement or payment date, as agreed by the counterparties.

Fixing Date The date at which the difference between the Spot FX Rate/Reference Rate and the Forward 

Rate/Contracted NDF Rate is calculated.

Settlement Procedure Bilateral settlement performed in settlement currency 

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday.

Clearing Venue Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 151 of the CFTC Regulations.

Reportable Levels As set forth in CFTC Regulation 15.03.
183

Currency list: 

AED UAE Dirham 

AFN Afghanistan Afghani 

ALL Albanian Lek 

AMD Armenia Dram 

ANG Neth. Ant. Guilder 

AOA Angolan Kwanza 

ARS Argentine Peso 

ARS Argentine Peso 

AUD Australian Dollar 

AWG Aruban Guilder 

BAM Bosnia-Herze Convrt 

Mrka

BBD Barbados Dollar 

BDT Bangladesh Taka 

BGN Bulgarian Lev 

BHD Bahraini Dinar 

BIF Burundi Franc 

BMD Bermudian Dollar 

BND Brunei Dollar 

BOB Bolivian Boliviano 

BRL Brazilian Real

BSD Bahamas Dollar 

BWP Botswana Pula 

BYR Belarus Ruble 

BZD Belize Dollar 

CAD Canadian Dollar 

CDF Congolese Franc 

CHF Swiss Franc 

CLP Chilean Peso 

CNY China Renminbi

COP Colombian Peso 

CRC Costa Rican Colon 

CVE Cape Verde Escudo 

CZK Czech Koruna 

DJF Djibouti Franc 

DKK Danish Krone 

DOP Dominican Repb. 

DZD Algerian Dinar 

EGP Egyptian Pound

ERN Eritrean Nakfa 

EUR Euro 

FJD Fiji Dollar 

GBP British Pound 

GEL Georgia Lari 

GMD Gambian Dalasi 

GNF Guinea Franc 

GTQ Guatemala Quetzal 

GYD Guyana Dollar 

HKD Hong Kong Dollar 

HNL Honduras Lempira 

HRK Croatia Kuna 

HTG Haiti Gourde 

HUF Hungarian Forint 

IDR Indonesian Rupiah

ILS Israeli Shekel 

INR Indian Rupee

ISK Iceland Krona 

JMD Jamaica Dollar 

JOD Jordanian Dinar 

JPY Japanese Yen

KGS Kyrgyzstan Som 

KHR Cambodia Riel 

KMF Comoros Franc 

KRW South Korean Won 

KWD Kuwaiti Dinar 

KYD Cayman Islands Dollar

KZT Kazakhstan Tenge 

LAK Laos Kip 

LBP Lebanese Pound 

LKR Sri Lankan Rupee 

LTL Lithuanian Litas 

LVL Latvian Lats 

MAD Moroccan Dirham 

MDL Moldova Leu 

MGA Malagascy Ariary 

MKD Macedonia Denar 

MMK Myanmar Kyat 

MNT Mongolian Togrog 

MOP Macau Pataca 

MRO Mauritania Ouguiya 

MUR Mauritius Rupee 

MVR Maldives Rufiyaa 

MWK Malawi Kwacha 

MXN Mexican Peso 

MYR Malaysian Ringgit

MZM Mozambique Metical 

MZN New Mozambique 

Metical

NGN Nigeria Naira

NID New Iraqi Dinar 

NIO Nicaragua Cordoba 

NLG Dutch Guilder 

NOK Norwegian Krone 

NPR Nepalese Rupee 

NZD New Zealand Dollar 

OMR Omani Rial 

PAB Panamanian Balboa 

PEN Peruvian New Sol 

PGK Papua N.G. Kina 

PHP Philippines Peso

PKR Pakistani Rupee 

PLN Polish Zloty 

PTE Portuguese Escudo 

PYG Paraguay Guarani 

QAR Qatari Riyal 

ROL Romanian Leu 

RON New Romanian Leu 

RSD Serbian Dinar 

RUB Russian Ruble

RWF Rwanda Franc 

SAR Saudi Riyal 

SBD Solomon Is. Dollar 

SCR Seychelles Rupee 

SDD Sudanese Dinar 

SDG New Sudanese Pound 

SDP Old Sudanese Pound 

SEK Swedish Krona 

SGD Singapore Dollar 

SIT Slovenia Tolar 

SKK Slovakia Koruna 

SLL Sierra Leone Leone 

SOS Somali Shilling 

SRD Suriname Dollar 

SSP South Sudanese Pound

STD Sao Tome Dobra 

THB Thai Baht 

THO Thai Baht Onshore 

TJS Tajikistan Somoni 

TND Tunisian Dinar 

TOP Tonga Pa'Anga 

TRY Turkish Lira 

TTD Trinidad/Tobago Dol 

TWD Taiwan Dollar

TZS Tanzanian Shilling 

UAH Ukraine Hryvnia

UGX Ugandan Shilling 

USD US Dollar

UYU Uruguay Peso 

UZS Uzbekistan Sum 

VEE Venezuela Essential Rate

VEF Venezuelan Bolivar

VND Vietnamese Dong

VUV Vanuatu Vatu 

WST Samoa (West) Tala 

XAF CFA Franc Beac

XCD East Caribbean Dollar

XDR Special Drawing Rights

XOF CFA Franc Bceao

XPF Pacific Island Franc

YER Yemeni Rial 

ZAR S. African Rand 

ZMK Zambian Kwacha 

ZMW Zambian Kwacha

ZWR Zimbabwe Dollar
Annex A

Excerpt from ISDA Dodd Frank Act-Swap Transaction 

Reporting Party Requirements

Product Attribute Determination

RP Tiebreaker Logic ‐ Rates

Trade Type Explanation Reporting Party

Cap/ Floor When a single Fixed Rate Payer exists Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

Debt Option All Option Buyer

Exotic All Reverse ASCII sort, first LEI/Entity ID

FRA All Fixed Rate Payer

IRS Basis All Reverse ASCII sort, first LEI/Entity ID

IRS Fix‐Fix All Reverse ASCII sort, first LEI/Entity ID

IRS Fix‐Float All Fixed Rate Payer

IRSwap: Inflation When a single Fixed Rate Payer exists Fixed Rate Payer. Otherwise, Reverse ASCII sort, first LEI/Entity ID

IRSwap: OIS All Fixed Rate Payer

Swaption All Option Buyer

XCCY Basis All Reverse ASCII sort, first LEI/Entity ID

XCCY Fix‐Fix All Reverse ASCII sort, first LEI/Entity ID

XCCY Fix‐Float All Fixed Rate Payer
C-1

Exhibit C

Rulebook (marked)

[see attached]
BLOOMBERG SEF

LLC RULEBOOK

MARCH 25JUNE 29, 2021
600603847

600628668
iii

CHAPTER 1. DEFINITIONS 1

CHAPTER 2. SEF GOVERNANCE 13

RULE 201. Board 13

RULE 202. [Reserved] 14

RULE 203. [Reserved] 14

RULE 204. Regulatory Oversight Committee 14

RULE 205. Additional Committees and Panels 15

RULE 206. Power of the Board to Review Decisions 15

RULE 207. Eligibility 15

RULE 208. Officers 17

RULE 209. Chief Compliance Officer 17

RULE 210. Conflicts of Interest 1819

RULE 211. Restrictions on Certain Persons who Possess Material, Non-Public

Information: Improper Use or Disclosure of Material Non-Public Information 20

RULE 212. Emergency Rules 21

RULE 213. Information-Sharing Agreements 22

RULE 214. Regulatory Services Agreement with the Regulatory Services Provider 23

CHAPTER 3. PARTICIPANTS 2324

RULE 301. Eligibility Criteria for Becoming a Participant 2324

RULE 302. Authorized Traders 25

RULE 303. Participant Application Process; Termination of Participant 26

RULE 304. Trading Privileges of a Participant 27

RULE 305. Termination or Limitation of Trading Privileges and Trading Access 27

RULE 306. Assessments and Fees 28

RULE 307. Authorized Representatives 28

RULE 308. Recording of Communications 28

RULE 309. Notices to Participants 28

RULE 310. Communications between BSEF and Participants 29

RULE 311. Application of BSEF Rules and Jurisdiction 29

RULE 312. Description of Participant’s Status 2930

RULE 313. Dissolution of Participants 30

RULE 314. Withdrawal of Participant 30

RULE 315. Compliance with the Commodity Exchange Act 30

RULE 316. Access 30

RULE 316.A. ECP Access 30

RULE 316.B. ISV Access 3031

RULE 317. Direct Market Access 3031

RULE 318. Legal Certainty for SEF Trades 31

RULE 319. Rights and Responsibilities after Suspension or Termination 3132

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS, DMA

CUSTOMERS, AUTHORIZED TRADERS AND SUPERVISED

PERSONS 32

RULE 401. Duties and Responsibilities 32
iv

RULE 402. Required Disclosures to BSEF 33

RULE 403. Inspections by BSEF 34

RULE 404. Minimum Financial and Related Reporting Requirements 3435

RULE 405. Position Liquidation upon Default 35

RULE 406. Authority to Impose Restrictions 35

RULE 407. Customers and Accounts 35

RULE 408. Disclosure Requirements; Know Your Counterparty Requirements 35

RULE 409. Books and Records 3536

RULE 409.A. Participant and Clearing Member Books and Records 3536

RULE 409.B. BSEF Books and Records 37

RULE 410. Responsibility for Mandatory Trading 37

RULE 411. Eligibility for Clearing Exempt Transactions 37

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING AND BUSINESS

CONDUCT

37

RULE 501. Scope 37

RULE 502. Procedures 37

RULE 503. Business Days and Trading Hours 38

RULE 504. Rule Violations 38

RULE 505. Fraudulent Acts 38

RULE 506. Prohibited Transactions 39

RULE 506.A Fictitious or Wash Transactions 39

RULE 506.B Pre-arrangedArranged Transactions 39

RULE 507. Pre-Execution Communications 39

RULE 508.A Price Manipulation 39

RULE 508.B Disruptive Practices 39

RULE 508.C Post-Trade Anonymity 40

RULE 509. Prohibition of Misstatements 40

RULE 510. Acts Detrimental to Welfare of SEF 40

RULE 511. Adherence to Law 40

RULE 512. Use of Trading Privileges 4041

RULE 513. Supervision 41

RULE 514. Misuse of the SEF Platform 41

RULE 515. Mishandling of Customer Orders 41

RULE 516. Trade Cancellation, Correction, Offset and Adjustment – General 41

RULE 516.A Trade Review and Notification of Action Taken – Cleared Swaps 42

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset – Cleared

Swaps 43

RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment – Non-Cleared

Swaps 45

RULE 516.D Prime Broker Trades 4546

RULE 516.E Trade Cancellation and Adjustment by BSEF 46

RULE 516.F Trade Reporting by BSEF 46

RULE 517. Withholding Orders Prohibited 46

RULE 518. Priority of Customers’ Orders 47

RULE 519. Trading Against Customers’ Orders Prohibited 47
v

RULE 519.A. General Prohibition 47

RULE 519.B. Exceptions 47

RULE 520. Disclosing Orders Prohibited 47

RULE 521. Simultaneous Buy And Sell Orders For Different Beneficial Owners 47

RULE 522. Execution of Orders on the SEF Platform 4748

RULE 522.A. Required Transactions 47 and Cleared Swaps 48

RULE 522.B. Permitted Transactions 48

RULE 522.C. Package Transactions 49

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption 49

RULE 522.E. Block Trades in Cleared Swaps 49

RULE 523. Trade Confirmations 50

RULE 524. Order Entry Requirements 5152

RULE 524.A. General 52

RULE 524.B. Customer Type Indicator (CTI) Codes 53

RULE 524.C. Pre-Arranged Transactions 53

RULE 525. Position Limits 53

RULE 526. Exemptions from Position Limits 54

RULE 527. Position Accountability 54

RULE 528. Bunched Orders and Orders Eligible for Post-Execution Allocation 54

RULE 529. Orders Entered Prior to SEF Opening 55

RULE 530. Identification of Authorized Traders 55

RULE 531. Pre-Arranged Transactions 55

RULE 531.A. Block Trades 55

RULE 531.B. Trade Correction 56

RULE 531.C. Covered Package Transactions 56

RULE 532. Reporting to SDR 57

RULE 533. Cleared Swaps 5758

RULE 534. Non-Cleared Swaps 58

RULE 535. Risk Controls 5859

CHAPTER 6. DISCIPLINARY RULES 59

RULE 601. General 59

RULE 602. Inquiries and Investigation 60

RULE 603. Investigative Reports 61

RULE 604. Warning Letters 6162

RULE 605. Review of Investigation Reports 62

RULE 606. [Reserved] 63

RULE 607. Notice of Charges 63

RULE 608. Service of Notice of Charges 6364

RULE 609. Answer to Notice of Charges 64

RULE 610. Admission or Failure to Deny 6465

RULE 611. Denial of Charges and Right to a Hearing 65

RULE 612. Settlements 65

RULE 613. Disciplinary Panel 66

RULE 614. Convening Disciplinary Proceeding Hearings 6667

RULE 615. Respondent Review of Evidence 67

RULE 616. Conducting Disciplinary Proceeding Hearings 68
vi

RULE 617. Decision of Disciplinary Panel 70

RULE 618. Sanctions 70

RULE 619. Costs 71

RULE 620. Right to Appeal Disciplinary Panel Decision, Summary Impositions of Fines

and Other Summary Actions 7172

RULE 621. Summary Imposition of Fines 7374

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities 75

RULE 623. [Reserved] 75

RULE 624. Notice to the Respondent, the Regulatory Services Provider and the Public 75

CHAPTER 7. ARBITRATION 75

RULE 701. General 75

RULE 702. Forum and Arbitration Rules 76

RULE 703. Initiating an Arbitration Claim 76

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments 76

RULE 705. Penalties 76

CHAPTER 8. MISCELLANEOUS 7677

RULE 801. Anti-Money Laundering and Anti-Terrorism 7677

RULE 802. Gifts and Gratuities 77

RULE 803. Market Data 77

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes 7778

RULE 805. Confidentiality 78

RULE 806. Extension or Waiver of BSEF Rules 7879

RULE 807. Effect of Amendment, Repeal or New Rule 7879

RULE 808. Swap Contract Specifications 79

RULE 809. Timely Publication of Trading Information 7980

RULE 810. Governing Law, Jurisdiction and Dispute Resolution 7980

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES 8081

RULE 901. LIMITATION OF LIABILITY, NO WARRANTIES 8081

RULE 902. Indemnification by BSEF 83

CHAPTER 10. [RESERVED] 8384

CHAPTER 11. [RESERVED] 8384

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS 8485

RULE 1201. CDS Index Contract – North America High Yield 8485

RULE 1202. CDS Index Contract – North America Investment Grade 8586

RULE 1203. CDS Index Contract – CDX Emerging Markets 8687

RULE 1204. CDS Index Contract – Europe 8788

RULE 1205. CDS Index Contract – Europe Crossover 8889

RULE 1206. CDS Index Contract – Europe HiVol 8990

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial 9091
vii

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe 9192

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial 9293

RULE 1210. CDS Index Contract – iTraxx Japan 9394

RULE 1211. CDS Index Contract – iTraxx Australia 9495

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y 9596

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y 9697

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y 9798

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y 9899

RULE 1216. Option – CDS Index Contract CDX North America High Yield 99100

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade 100101

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets 101102

RULE 1219. Option – CDS Index Contract – iTraxx Europe 102103

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover 103104

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol 104105

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA 105106

RULE 1223. CDS Index Contract – LCDX 106107

RULE 1224. CDS Index Contract – MCDX 107108

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe 108109

RULE 1226. Option – CDS Index Contract – LCDX 109110

RULE 1227. Option – CDS Index Contract – MCDX 110111

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan 111112

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial 112113

RULE 1230. CDS Index Contract - iTraxx MSCI ESG Screened Europe Index 113114

RULE 1231. CDS Index Contract - CDX North American Investment Grade (BBB-rated)

Index

114115

RULE 1232. CDS Index Contract - CDX North American High Yield (Ex-BB) Index

Contract 115116

RULE 1233. CDS Index Contract – iTraxx Asia Ex-Japan IG (Restricted) Index Contract 116117

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS 117118

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract 117118

RULE 1302. [Reserved] 118119

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract* 119120

RULE 1304. [Reserved] 120121

RULE 1305. [Reserved] 120121

RULE 1306. [Reserved] 120121

RULE 1307. EUR OIS Eonia Fixed-to-Floating Swap Contract 121122

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract 122123

RULE 1309. CHF LIBOR Fixed-to-Floating Swap Contract 123124

RULE 1310. GBP LIBOR Fixed-to-Floating Swap Contract* 124125

RULE 1311. GBP Basis Swap Contract 125126

RULE 1312. JPY LIBOR (6M) Fixed-to-Floating Swap Contract 126127

RULE 1313. [Reserved] 127128

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract* 128129

RULE 1315. USD Basis Swap Contract 129130

RULE 1316. [Reserved] 130131
viii

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract 131132

RULE 1318. USD SOFR OIS Fixed-to-Floating Swap Contract 132133

RULE 1319. [Reserved] 133134

RULE 1320. [Reserved] 133134

RULE 1321. [Reserved] 133134

RULE 1322. [Reserved] 133134

RULE 1323. [Reserved] 133134

RULE 1324. [Reserved] 133134

RULE 1325. [Reserved] 133134

RULE 1326. [Reserved] 133134

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract 128

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract 129

RULE 1329. [Reserved] 130

RULE 1330. [Reserved] 130

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract 131

RULE 1332. [Reserved] 132

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract 133

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract 134

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract 135

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract 136

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract 137

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract 138

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract 139

RULE 1340. [Reserved] 140

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract 141

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating

Swap Contract 142

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract 143

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract 144

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract 145

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract 146

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract 147

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon Fixed-toFloating Swap Contract 148

RULE 1349. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract 149

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract 150

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract 151

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract 152

RULE 1353. EUR €STR Fixed-to-Floating Swap Contract 153

RULE 1354. JPY OIS TONAR Fixed-to-Floating Swap Contract 154

RULE 1355. SGD SOR Fixed-to-Floating Swap Contract 155

RULE 1356. OIS SORA Fixed-to-Floating Swap Contract 156

RULE 1357. CAD OIS CORRA Fixed-to-Floating Swap Contract 157

RULE 1358. USD U.S. CPI Urban Consumers Not Seasonably Adjusted Fixed-to-Floating

(Inflation Zero Coupon) Swap Contract

158

RULE 1359. EUR Eurostat Eurozone Harmonized Index of Consumer Prices Excluding

Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap Contract
ix

159

RULE 1360. GBP UK Retail Prices Index Fixed-to-Floating (Inflation Zero Coupon)

Swap Contract 160

RULE 1361. EUR France Inflation Consumer Price Index Excluding Tobacco Fixed-toFloating (Inflation Zero Coupon) Swap Contract

161

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS 158162

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward 158162

RULE 1402. Foreign Exchange Contract – Vanilla FX Option 164168

RULE 1403. Foreign Exchange Contract – Exotic FX Option 166170

RULE 1404. Foreign Exchange Contract – Precious Metals Swaps 168172

RULE 1405. Foreign Exchange Contract – Average Rate Forward 170174

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward 172176

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward 174178

RULE 1408. Foreign Exchange Contract – Precious Metals Options Contract 176180

RULE 1409. Foreign Exchange Contract – UYU Non-Deliverable Forward 182

Annex A ISDA Dodd Frank Act-Swap Transaction Reporting Party Requirements
1

CHAPTER 1. DEFINITIONS

When used in the BSEF Rules the following terms shall have the respective meanings as

follows:

“Account” means a Person (including a Prime Broker) that (i) granted in

Writing (standalone or as part of a broader instrument) to an Account

Manager investment or trading authority to send RFQs, place Orders and

execute Trades on the SEF on behalf and in the name of such Person; and

(ii) is a Counterparty to a Trade. The definition of “Account” shall not

include any investor, shareholder or any other Person with beneficial

ownership in the Account.

“Account Manager” means a Person that acts as an agent and attorney-infact to buy or sell Swaps via the SEF operated by BSEF in the name and

on behalf of another Person. An Account Manager may also be a

Participant.

“Act” or “CEA” means the Commodity Exchange Act, as amended from

time to time.

“Affected Person” means a SEF applicant whose admission application is

declined or is conditioned or a Person whose status as a Participant is

terminated as set forth in Rule 303(e).

“Affiliate” means, with respect to any Person, any Person who, directly or

indirectly, Controls, is Controlled by, or is under common Control with,

such other Person.

“Alleged Error Trade” has the meaning set forth in Rule 516.A(a).

“Appeals Panel” means a panel appointed by the Chief Compliance

Officer pursuant to Rule 620.

“Applicable Law” means, with respect to any Person, any statute, law,

regulation, rule or ordinance of any governmental or Self-Regulatory

Organization applicable to such Person, including the CEA and CFTC

Regulations.

“Appropriate Minimum Block Size” means the minimum notional or

principal amount for a category of Swap that qualifies as a Block Trade

pursuant to CFTC Regulation 43.6.

“Authorized Representative” means any Person who is authorized by a

Participant to represent the Participant in SEF matters pursuant to Rule

307.

“Authorized Trader” means any natural person associated with a

Participant and, if applicable, a DMA Customer who (i) has Trading

Access to the SEF operated by BSEF using a Participant ID and (ii) is

assigned a valid Trader ID.
2

“Block Trade” means a single Swap transaction publicly reportable under

Part 43 of the CFTC Regulations that:

(a) Involves a Swap that is listed on BSEF;

(b) Occurs away from the SEF Platform or is executed pursuant

to Rule 522.E.using functionality on the SEF Platform that is

not the Order Book;

(c) Has a notional or principal amount at or above the Appropriate

Minimum Block Size applicable to such Swap; and

(d) Is (i) executed in accordance with Rule 522.E; or (ii) reported to BSEF as providedset

forth in Rule 531.A532.

“Board” means the Board of Directors of BSEF constituted from time to

time in accordance with the Operating Agreement.

“BSEF” means Bloomberg SEF LLC, a Delaware limited liability

company.

“Bunched Orders” means a single Order placed by an Account Manager

for two or more of its Accounts on the SEF operated by BSEF pursuant to

Rule 528.

“Business Day” means a day on which the SEF operated by BSEF is open

for trading.

“By-Laws” means, with respect to any Person that is not an individual,

the By-Laws or Operating Agreement of such Person, and, if no other

Person is specified, means the By-Laws or Operating Agreement of BSEF.

“CFTC” or “Commission” means the Commodity Futures Trading

Commission or any successor regulatory body.

“CFTC Regulations” means the rules and regulations promulgated by the

CFTC, as amended.

“Chief Compliance Officer” means the individual appointed by the

Board as BSEF’s chief compliance officer in accordance with the

Operating Agreement, with the duties and responsibilities as may be

prescribed by the Board from time to time as set forth in Rule 208.

“Claim” has the meaning set forth in Rule 902.

“Chief Technology Officer” means the individual with the duties and

responsibilities related to supervision of technology of the SEF operated

by BSEF.

“Cleared Swap” means a Swap that is subject to the mandatory clearing

requirement of Section 2(h)(1)(A) of the CEA or any Swap that is

intended by a Participant to be submitted to a DCO for clearing
3

contemporaneously with execution.

“Clearing Exception” means an exception from the clearing requirement

set forth in Section 2(h)(1) of the Act because one counterparty to the

transaction is entitled to the exception from the clearing requirement set

forth in Section 2(h)(7) of the Act, CFTC Regulations or CFTC Staff NoAction Letters.

“Clearing Exception Form” has the meaning set forth in Rule 411.

“Clearing Exempt Transaction” means a Trade exempt from the

clearing requirement of Section 2(h)(1) of the Act because one

Counterparty to the Trade is entitled to and has elected to use a Clearing

Exception.

“Clearing House” means such Derivatives Clearing Organization(s) or

non-U.S. central clearing counterparty(ies) recognized or approved by the

CFTC that provide clearing services with respect to any or all of Swaps

traded on the SEF operated by BSEF.

“Clearing House Rules” means the Certificate of Incorporation, the ByLaws and any rule, interpretation, stated policy, or instrument

corresponding to any of the foregoing, in each case as adopted or amended

from time to time by the Clearing House relating to any or all of the

Swaps.

“Clearing Member” means a member of a Clearing House that is

authorized to clear trades in any or all Swaps for a Participant or its

Accounts or Customers. Each Clearing Member must sign documentation

required by BSEF.

“Client” means an Account.

“CLOB” means an Order Book that will match Orders pursuant to pre-determined, nondiscretionary methods. All bids and offers entered into the CLOB must be firm. The

CLOB supports the following order types:

(a) Market Order (Fill_Or_Kill; Immediate_or_Cancel)

(b) Limit Order (Fill_Or_Kill; Immediate_Or_Cancel; Good_Til_Date/Time).

“Compliance Department” means all SEF Officials and/or agents of

BSEF (including the Regulatory Services Provider) that assist BSEF with

the implementation, surveillance and enforcement of the BSEF Rules and

other Obligations.

“Confirmation” has the meaning set forth in Rule 523(a).

“Control” means the possession, direct or indirect, of the power to direct

or cause the direction of the management and policies of a Person,

whether through the ownership of securities, by Swap, or otherwise. The

terms “controlling” or “controlled” shall have meanings correlative to the
4

foregoing.

“Counterparty” means a Participant or a Participant’s Account or

Customer whose Legal Entity Identifier is reported by BSEF to an SDR as

a counterparty to a Trade.

“Covered Package Transaction” means a Package Transaction that has

at least one or more of the following components:

a. the issuance of a bond in the primary market;

b. a commodity for future delivery (until November 15, 2022);

c. a swap (as defined in Section 1a(47) of the CEA) that is not

subject to the clearing requirement;

d. a non-swap (as defined in Section 1a(47) of the CEA) instrument

other than an instrument listed in subsections a or b above or

U.S.

Treasury securities or agency mortgage-based securities; or

e. a swap over which the Commission does not have exclusive

jurisdiction such as a mixed swap (as defined in Section

1a(47)(D) of the CEA).

“CTI” has the meaning set forth in Rule 524.B.

“Customer” means any Person who uses an FCM or Introducing Broker

as agent in connection with trading in any Swap on the SEF operated by

BSEF. The term “Customer” shall include a DMA Customer.

“Customer Account” means an account carried by a Participant on behalf

of a Customer.

“Daily Settlement Price” means the settlement price for a Swap

calculated each Business Day by or on behalf of BSEF. The Daily

Settlement Price can be expressed in currency, spread, yield or any other

appropriate measure commonly used in swap markets.

“DCM” means a contract market or designated contract market as defined

in CFTC Regulation 1.3(h).

“Derivatives Clearing Organization” or “DCO” has the meaning

attributed to such term by Section 1a(9) of the CEA.

“Direct Market Access” or “DMA” means an arrangement among a

Sponsoring Broker, its Customer and BSEF that allows one or more

representatives of that Customer to have Trading Access using the

Participant ID of the Sponsoring Broker.

“Director” means a member of the Board.

“Disciplinary Panel” means the panel appointed pursuant to Rule 613(b)
5

to conduct hearings in connection with disciplinary proceedings (other

than summary impositions of fines pursuant to Rule 601(b)), to make

findings, render decisions, and impose sanctions pursuant to Chapter 6 of

the Rules. The Disciplinary Panel must meet the composition

requirements set forth in Part 40 of the CFTC Regulations and the

composition requirements set forth in Rule 613(b).

“Disclosed Order Book” means a screen on the SEF Platform where

Participants have the ability to enter multiple indicative, disclosed bids

and offers in foreign exchange and commodity Swaps, observe or receive

bids and offers entered by other market participants, and transact on such

bids and offers.

“Dispute” has the meaning set forth in Rule 701.

“DMA Customer” means a Customer of a Sponsoring Broker where

representatives of the Customer that are natural persons are designated by

the Sponsoring Broker to have Trading Access to the SEF Platform using

the Participant ID of the Sponsoring Broker and where such Customer

signs the DMA Customer Documentation.

“DMA Customer Documentation” means the agreements (together with

any applicable schedules, exhibits or appendices thereto required by

BSEF) in form and substance acceptable to BSEF, that are required to be

executed and delivered to BSEF before a DMA Customer may access the

SEF Platform. Except as otherwise provided in these Rules, in the event

of any conflict between these Rules and the DMA Customer

Documentation, these Rules shall govern.

“DMA Order” means an Order or RFQ placed by a DMA Customer using

the Participant ID of the Sponsoring Broker.

“ECP” means an eligible contract participant as defined in Section 1a(18)

of the CEA.

“Eligibility Criteria” means the criteria set forth in Rule 301(a).

“Emergency” means any occurrence or circumstance that, in the opinion

of the Board, or a Person or Persons duly authorized to issue such an

opinion on behalf of the Board under circumstances and pursuant to

procedures that are specified, requires immediate action and threatens or

may threaten such things as the fair and orderly trading in, or the

liquidation of or delivery pursuant to, any agreements, contracts, swaps

or transactions or the timely collection and payment of funds in

connection with clearing and settlement by a derivatives clearing

organization, including: (a) any manipulative or attempted manipulative

activity; (b) any actual, attempted or threatened corner, squeeze,

congestion or undue concentration of positions; (c) any circumstances

which may materially affect the performance of agreements, contracts,

swaps or transactions, including failure of the payment system or the

bankruptcy or insolvency of any participant; (d) any action taken by any
6

governmental body, or any other registered entity, board of trade, market

or facility which may have a direct impact on trading or clearing and

settlement; (e) at the request of the CFTC; and (f) any other

circumstance which may have a severe, adverse effect upon the

functioning of BSEF.

“Emergency Rules” has the meaning set forth in Rule 212(a).

“End of Trading” means such time as BSEF may from time to time

prescribe. The End of Trading is the time as of which such actions as are

specified in the BSEF Rules or the relevant Swap Specifications as taking

place at the end of a Business Day, such as determination Daily Settlement

Prices, will occur.

“Error Trade” has the meaning set forth in Rule 516.A(b).

“Fill-Or-Kill” means that the Order must be immediately filled

completely or canceled.

“Financial Entity” has the meaning set forth in CEA Section 2(h)(7)(C).

“Futures Commission Merchant” or “FCM” has the meaning set forth

in Section 1a(28) of the CEA or a foreign person performing a similar role

or function with respect to a Person that is not a U.S. Person and subject

as such to foreign regulation.

“Good-til-Date/Time” means that the Order has an expiration time and

date.

“Governmental Body” means (a) any U.S. or non-U.S. federal, national,

state or local court or (b) any U.S. or non-U.S. federal, national, state or

local entity that is (i) a governmental authority, (ii) a regulatory body or

(iii) a self-regulatory body.

“Immediate-Or-Cancel” means that the Order may be filled partially,

but the Order must be actioned immediately, or else canceled. Any

remaining portion will be canceled.

“Interested Person” has the meaning attributed to such term in Rule

210(a).

“Introducing Broker” has the meaning set forth in CFTC Regulation

1.3(mm) or a foreign person performing a similar role or function with

respect to a Person that is not a U.S. Person and subject as such to foreign

regulation.

“ISDA” means the International Swaps and Derivatives Association, Inc.

“ISV” means an independent software vendor.

“Legal Entity Identifier” has the meaning set forth in Part 45 of the

CFTC Regulations.
7

“Local Law” has the meaning attributed to such term in Rule 810(a).

“Major Swap Participant” has the meaning set forth in Section 1a(33)

of the CEA.

“Manual Order Ticket” means a function provided by BSEF that allows

a Participant to send a firm offer to enter into a Permitted Transaction to

another Participant.

“MAT Recipient Participant” shall have the meaning set forth in Rule

522.A(b).

“NFA” means the National Futures Association.

“No-Bust Range” shall have the meaning set forth in Rule 535(c).

“Non-Cleared Swap” means a Swap that is not a Cleared Swap.

“Non-Cleared Swap Agreement” means an underlying previouslynegotiated freestanding agreement that governs the performance and

settlement of a Non-Cleared Swap and applicable credit support and

default provisions, including, without limitation, ISDA master agreements,

other master agreements, terms supplements and master confirmation

agreements incorporating industry definitions.

“Notice of Charges” means a notice sent by the Compliance Department

pursuant to Rule 607.

“Notice to Participants” means a communication sent by or on behalf of

BSEF to all Participants as described in Rule 309. Please see all Notices

to Participants, which are posted on BSEF’s website.

“Obligation” means each BSEF Rule, order or procedure issued by BSEF,

including Notice to Participants, and other requirement implemented by

BSEF under the BSEF Rules.

“Officer” has the meaning attributed to such term in Rule 208.

“Offsetting Terms” means the terms that match all terms of the

corresponding Error Trade or Alleged Error Trade other than the direction

of the Error Trade or Alleged Error Trade.

“Operating Agreement” means the operating agreement of BSEF.

“Order” means (i) a response to a Request For Quote, (ii) a response to a

Resting Quote, (iii) the display of a quote on an Order Book or (iv) a firm

offer to enter into a Swap.

“Order Book” means the trading system or platform operated by BSEF in which all

market participants in the trading system or platform have the ability to enter multiple

bids and offers, observe or receive bids and offers entered by other market participants,
8

and transact on such bids and offers. A Participant must indicate if a bid or offer posted

on an Order Book is firm or indicative.

“Package Transaction” means a transaction involving two or more

instruments:

(a) that is executed between two or more Counterparties;

(b) that is priced or quoted as one economic transaction with

simultaneous or near simultaneous execution of all

components;

(c) that has at least one component that is a Required Transaction; and

(d) where the execution of each component is contingent upon

the execution of all other components.

“Participant” means any Person that has been granted, and continues to

have, Trading Privileges under the BSEF Rules and has signed the

Participant Documentation or DMA Customer Documentation. Subject to

Applicable Law, a Participant may trade for its own proprietary account or

for or on behalf of a Customer or Account. An ISV cannot be a

Participant.

“Participant Documentation” means the agreements (together with any

applicable schedules, exhibits or appendices thereto required by BSEF) in

form and substance acceptable to BSEF, that are required to be executed

and delivered to BSEF before a Person may access the SEF operated by

BSEF as a Participant. Participant Documentation shall not include DMA

Customer Documentation.

“Participant ID” means each unique identifier assigned to a Participant

other than a DMA Customer by BSEF for access to the SEF operated by

BSEF.

“Permitted Transaction” means any transaction involving (i) a Swap that

is not a Required Transaction or (ii) a Required Transaction that is a

component of a Covered Package Transaction.

“Person” means a natural person or an entity.

“Pre-Execution Communication” means a communication between two

Persons for the purpose of discerning interest in the execution of a Swap

prior to execution of the Swap on the SEF operated by BSEF, including

any communication that involves discussion of the size, side of market, or

price of an Order or a potentially forthcoming Order; provided that any

communication between two Persons that involves an agreement between

the parties to a Swap that legally binds the parties to such Swap shall not

be considered a Pre-Execution Communication.

“President” means the individual appointed by the Board as BSEF’s chief

executive officer in accordance with the Operating Agreement, with the
9

duties and responsibilities as may be prescribed by the Board from time to

time as set forth in Rule 208.

“Prime Broker” means a Person that acts as credit counterparty for

transactions executed on the SEF in the name and on behalf of such

Person by its client or an agent of its client that is a BSEF Participant and

that has authorized a Participant to send RFQs, place Orders or enter into

Trades in the name and on behalf of such Person.

“Prime Broker Trade” means a Trade in a Non-Cleared Swap where one

Counterparty is a Prime Broker and the other is a Participant with which the

Prime Broker has a Non-Cleared Swap Agreement. Only a Permitted Transaction

can be a Prime Broker Trade.

“Proprietary Account” has the meaning set forth in

CFTC Regulation 1.3(y).

“Public Director” means a Person that meets the qualifications described

in Rule 207(e).

“Qualified Account Manager” means any Person with more than $25,000,000 in

total assets under management that is either: (A) a commodity trading advisor

registered pursuant to Section 4n of the Act, or exempt from registration under

the Act, or a principal thereof, who has discretionary trading authority or directs

client accounts; (B) an investment adviser who has discretionary trading authority

or directs client accounts and satisfies the criteria of CFTC Regulations §

4.7(a)(2)(v); or (C) a foreign person who performs a similar role or function as

the persons described in sub-paragraphs (A) or (B) above and is subject as such to

foreign regulation.

“Regulatory Oversight Committee” means the committee of the Board

constituted in accordance with Rule 204.

“Regulatory Services Agreement” means the agreement between BSEF

and the Regulatory Services Provider whereby the Regulatory Services

Provider provides market surveillance and trade practice surveillance

functions as well as other compliance related services to the SEF

operated by BSEF.

“Regulatory Services Provider” means the organization which provides

regulatory services to BSEF pursuant to a Regulatory Services Agreement.

“Reporting Counterparty” has the meaning set forth in Part 45 of the CFTC

Regulations.

“Reserve Price” means an Order that will be automatically sent to the

recipient Participant that responds with a price that is at or better than the

price designated in advance by the Requesting Participant. This order type

is available for rate Swaps for Request for Quote Functionality for nonstreaming quotes to buy or sell a rate Swap. Please see Notice to

Participants 2016-3, which is posted on BSEF’s website.
10

“Request for Quote” or “RFQ” means an electronic message

disseminated on the SEF Platform for the purposes of soliciting bids or

offers for a specific Swap.

“Request for Quote Functionality” means a functionality of the SEF

Platform that allows a Requesting Participant to send an RFQ to buy or

and/or sell a Swap to any Participant, to which all such Participants may

respond with a firm or indicative quote. An RFQ can be sent as a request

for quote or as a request for streaming quote. All RFQs and responses to

RFQs will disclose the name of the Person with which the Authorized

Trader who placed an Order or sent an RFQ is associated in BSEF records.

The Requesting Participant may accept a firm response to a request for

quote from a recipient Participant. For requests for non-streaming quotes

in credit Swaps, the Requesting Participant’s Order may be filled at the

price the Requesting Participant accepted or at the subsequent price from

the same recipient Participant if the subsequent price is more favorable to

the Requesting Participant compared to responses to such request for

quote from other recipient Participants received by the Requesting

Participant during the same request for quote session.

“Requesting Participant” means a Participant initiating an RFQ.

“Required Transaction” means any transaction involving a Swap that is

subject to the trade execution requirement of Section 2(h)(8) of the Act.

“Resting Quote” means any firm or indicative bid or offer displayed on

an Order Book.

“Rules” means, with respect to any Person, the rules of such Person and

the interpretations, resolutions, orders, directives and procedures of the

Person thereunder as in effect from time to time, and if no other Person is

specified, means the Rules of the SEF operated by BSEF and the

interpretations, resolutions, orders and directives and procedures of the

SEF operated by BSEF thereunder as in effect from time to time.

“SDR” means a swap data repository, as defined in Section 1a(48) of the

CEA.

“SEC” means the U.S. Securities and Exchange Commission.

“SEF” means a swap execution facility as defined in Section 1a(50) of the

CEA.

“SEF Action” and “SEF Actions” have the meanings attributed to such

terms in Rule 210(a).

“SEF Data” has meaning set forth in Rule 803(a).

“SEF Activity” means business for which a Participant is subject to the

BSEF Rules, which is purportedly conducted subject to the BSEF Rules,
11

or which should have been conducted subject to the BSEF Rules

including Permitted Transactions and Block Trades.

“SEF Official” means any Director or Officer of, or individual employed

directly by, BSEF, the Regulatory Services Provider or any individual

rendering similar services to BSEF under an administrative or similar

agreement.

“SEF Platform” means the electronic trading system of the SEF

established and operated by BSEF, or any successor thereto, that is made

available by BSEF to Participants for trading in Swaps.

“SEF Proceeding” has the meaning attributed to such term in Rule

210(a).

“Self-Regulatory Organization” or “SRO” shall, unless otherwise

provided, have the meaning attributed to such term in CFTC Regulation

1.3(ee) and, in addition, shall include a Derivatives Clearing Organization,

and a registered futures association. BSEF is a self-regulatory

organization.

“Sponsoring Broker” means a Participant other than a DMA Customer

that allows its designated Customers to access the SEF Platform using the

Participant ID of the Participant and (i) with respect to Cleared Swaps, is a

Clearing Member; and (ii) with respect to Non-Cleared Swaps, is (x) an

FCM or Introducing Broker; or (y) non-U.S. Person acting in a similar

capacity that is not required to register as an FCM or Introducing Broker

under the Act and that is appropriately licensed in a jurisdiction where its

DMA Customer is located.

“Supervised Persons” means any directors, officers, employees or agents

of any Participant.

“Swap” means any agreement, contract or transaction that is a swap as

defined in Section 1a(47) of the CEA and as further defined by the CFTC,

which is listed on the SEF operated by BSEF in accordance with CFTC

Regulation 37.4.

“Swap Dealer” has the meaning set form in Section 1a(49) of the CEA.

“Swap Specification” means, with respect to any Swap, the Rules or

other trading protocols containing specifications for such Swap, as

adopted, amended, supplemented or otherwise modified from time to time

by BSEF.

“Terms Incorporated by Reference” has the meaning set forth in Rule

523(c).

“Trade” means any purchase or sale of any Swap executed on the SEF

Platform or subject to BSEF Rules.

“Trade Communication” has meaning set forth in Rule 523(c).
12

“Trader ID” means a unique identifier issued to each Authorized Trader

which enables BSEF to identify the individual entering RFQs or Orders

into the SEF operated by BSEF.

“Trading Access” means the right granted to a Person to send RFQs or

place Orders and/or enter into transactions for certain or all Swaps to the

SEF Platform or execute Swaps subject to the BSEF Rules.

“Trading Account” means, with respect to each Participant, Account or

Customer, each account through which the Participant will trade Swaps

and through which BSEF will monitor, as applicable, the open Swap

positions and closed Swap positions of such Participants, Accounts or

Customers and each account through which the Participant will present a

Swap for clearing to a Clearing House.

“Trading Hours” means, for any Business Day, the hours as may be

published by BSEF in a Notice to Participants from time to time.

“Trading Privileges” means Trading Access or the right granted to a

Person to use the SEF operated by BSEF for execution of Swaps. No

Person may exercise Trading Privileges on behalf of a Participant during

any suspension of such Participant’s Trading Privileges.

“Unique Swap Identifier” or “USI” means a unique identifier assigned

by BSEF to a Trade in accordance with CFTC Regulation 45.5.

“U.S. Person” shall have the meaning set forth in CFTC Regulation 23.23.

“Vice President” means the individual appointed by the Board in

accordance with the Operating Agreement, with the duties and

responsibilities as may be prescribed by the Board from time to time as set

forth in Rule 208.

“Written” or “Writing” means printing, lithography, photography, and

other modes of representing or reproducing words or data in a visible

form, including electronic transmissions.

* * * * * *

The following rules of construction shall apply to the BSEF Rules:

(i) the headings in the BSEF Rules are for convenience only and do not affect the

construction of the BSEF Rules;

(ii) all references to time in the BSEF Rules are to local time in New York, New

York, except where expressly provided otherwise;

(iii) in the BSEF Rules, words denoting a singular number include the plural

number where the context permits and vice versa;

(iv) where the context permits or requires, any pronoun shall include the
13

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corresponding masculine, feminine and neuter forms;

(v) forms of the word “include” mean that the inclusion is not limited to the items

listed

;
14

references to the term “Participant” refer to both the terms “Participant” and “DMA Customer”;

and

(viii) references in the BSEF Rules to statutory provisions include those provisions

as amended, and any rules or regulations promulgated thereunder.

CHAPTER 2. SEF GOVERNANCE

RULE 201. Board

(a) The Board shall manage the business and affairs of BSEF in accordance with the

Operating Agreement. At all times the Board must be composed of at least 20%, but no less than

two, Public Directors. The Board has the power and authority to call for review, and to affirm,

modify, suspend or overrule, any and all decisions and actions of standing committees or special

committees of the Board or any panel of the Officers.

(b) The Board may act (including to appoint Public Directors, to the extent provided

in the Operating Agreement) only by the decision of an absolute majority in number of the

members of the Board, either by vote at a meeting or by Written consent without a meeting.

(c) Each Director (including Public Directors) shall be appointed in accordance

with the Operating Agreement and the procedures included therein and shall serve until his or

her successor is duly appointed, or until his or her earlier resignation or removal, with or

without cause.

(d) The members of the Board, including Public Directors, shall be of sufficiently

good repute and, where applicable, have sufficient expertise in financial services.

(e) The percentage of Public Directors required to serve on the Board or any

committee thereof pursuant to this Chapter 2 shall be deemed to be modified to comply with

the CEA and CFTC Regulations, in each case, as in effect from time to time.

(f) Without limitation of any other provisions of this Rule 201, the provisions of

Article III of the Operating Agreement shall be deemed to be part of the BSEF Rules, and shall

be deemed to be incorporated herein, to the same extent and with the same force and effect as

if set forth herein in their entirety.

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15

RULE 202. [Reserved]

RULE 203. [Reserved]

RULE 204. Regulatory Oversight Committee

(a) The Regulatory Oversight Committee of the Board shall consist only of Public

Directors, appointed by the Board. Each member of the Regulatory Oversight Committee shall

serve until the due appointment of his or her successor, or until his or her earlier resignation or

removal, with or without cause, as a member of the Regulatory Oversight Committee or as a

Director. A member of the Regulatory Oversight Committee may serve for multiple terms. The

Regulatory Oversight Committee shall report to the Board.

(b) The Regulatory Oversight Committee shall oversee BSEF’s regulatory program

on behalf of the Board. It shall make such recommendations to the Board as will, in its

judgment, best promote the interests of the SEF operated by BSEF. The Regulatory Oversight

Committee shall also have such other powers and perform such other duties as set forth in the

BSEF Rules, the Operating Agreement and as the Board may delegate to it from time to time.

(c) Without limiting the generality of the foregoing, the Regulatory Oversight

Committee shall have authority to:

(i) Monitor the compliance program of the SEF operated by BSEF for

sufficiency and effectiveness;

(ii) Oversee all facets of the compliance program, including trade practice and

market surveillance, audits, examinations conducted by the Regulatory Services Provider

and other regulatory responsibilities with respect to Participants, Customers, Accounts

and Clearing Members (including ensuring compliance with any financial integrity,

financial reporting, sales practice, recordkeeping and other requirements), and

overseeing the conduct of investigations by the Regulatory Services Provider;

(iii) Review the size and allocation of the regulatory budget and resources

and the number, hiring and termination, and compensation of compliance personnel;

(iv) Assist BSEF in minimizing actual and potential conflicts of interest;

(v) Recommend changes that would ensure fair, vigorous, and effective

compliance; and

(vi) Review compliance proposals and advise the Board as to whether and how

such changes may impact compliance.

(d) The Regulatory Oversight Committee shall oversee the regulatory program of the

SEF operated by BSEF on behalf of the Board. The Board shall delegate sufficient authority,

dedicate sufficient resources, and allow sufficient time for the Regulatory Oversight Committee

to fulfill its mandate.

RULE 205. Additional Committees and Panels

(a) The Board may create such additional standing committees of the Board as it may
16

from time to time deem necessary or advisable.

(b) In addition to the standing committees, the Board may from time to time

constitute and appoint, by Rule or resolution, special committees of the Board and designate

their composition, responsibilities and powers.

(c) BSEF may create additional committees of BSEF, or panels, for such purposes as

may from time to time be necessary or advisable. Members of each such committee may be

members of the Board, Supervised Persons of Participants or such other individuals as may be

qualified to serve on such committee.

RULE 206. Power of the Board to Review Decisions

The Board has the power and authority to call for review, and to affirm, modify, suspend

or overrule, any and all decisions and actions of standing committees or special committees of

the Board.

RULE 207. Eligibility

(a) A Director must meet the qualifications set forth from time to time in

the Operating Agreement.

(b) An individual may not serve as a Director or serve on a committee established by

the Board, a Disciplinary Panel or an Appeals Panel if the individual:

(i) within the prior three (3) years has been found, by a final decision in any

action or proceeding brought in a court of competent jurisdiction, the CFTC or any SelfRegulatory Organization, to have committed a disciplinary offense (as defined in CFTC

Regulation § 1.63);

(ii) within the prior three (3) years has entered into a settlement agreement

in which any of the findings or, in the absence of such findings, any of the acts charged,

included a disciplinary offense;

(iii) has been suspended or expelled from membership in a Self-Regulatory

Organization, is serving any sentence or probation, or owes any portion of a fine or

penalty related to either;

1. a finding of a disciplinary offense by a final decision in any action

or proceeding brought in a court of competent jurisdiction, the CFTC, or

any Self-Regulatory Organization; or

2. a settlement agreement in which any of the findings or, in the

absence of such findings, any of the acts charged included a disciplinary

offense.

(iv) is currently subject to an agreement with the CFTC or Self-Regulatory

Organization not to apply for registration with the CFTC or for membership in the SelfRegulatory Organization;

(v) is currently, or within the past three (3) years has been, subject to a

revocation or suspension of registration by the CFTC;
17

(vi) has been convicted of a felony listed in Section 8a(2)(D)(ii) through (iv) of

the CEA; or

(vii) is currently subject to a denial, suspension or disqualification from

serving on a disciplinary committee, arbitration or appeals panel or governing board of

any self- regulatory organization, as that term is defined in CFTC Regulations § 1.63(a).

(c) Any Director, member of a committee established by the Board or any member of

a Disciplinary Panel, an Appeals Panel, any individual nominated to serve in any such role, or

any individual authorized by the Regulatory Oversight Committee to take summary action shall

immediately notify the President if such individual meets one or more of the criteria in Rule

207(b).

(d) For purposes of this Rule, the terms “disciplinary offense,” “final decision,” and

“settlement agreement” have the meanings set forth in CFTC Regulation § 1.63(a).

(e) To qualify as a Public Director, a Director must be found, by the Board on the

record, to have no material relationship with BSEF or any of its Affiliates. A “material

relationship” is one that reasonably could affect the independent judgment or decision making of

such individual as a Public Director. In addition, an individual shall not be considered a “Public

Director” if any of the following circumstances exist:

(i) such Director is an Officer or an employee of BSEF, or an officer or an

employee of an Affiliate of BSEF;

(ii) such Director is a Participant, or a director, an officer or an employee of a

Participant; or

(iii) such Director, or an entity with which the Director is a partner, an officer,

or a director, receives more than $100,000 in combined annual payments for legal,

accounting, or consulting services from BSEF or any Affiliate of BSEF. Compensation

for services as a director of BSEF or as a director of an Affiliate of BSEF does not count

toward the $100,000 payment limit, nor does deferred compensation for services

rendered prior to becoming a Director of BSEF, so long as such compensation is in no

way contingent, conditioned or revocable.

(f) Any of the relationships set forth in sub-paragraphs (e)(i) through (iii) of this Rule

apply to the “immediate family” of such Director, i.e., spouse, parents, children and siblings.

(g) A Public Director may also serve as a director of an Affiliate of BSEF if he or she

otherwise meets the requirements in paragraphs (e) and (f) of this Rule.

RULE 208. Officers

The Board shall appoint a President, a Chief Compliance Officer, one or more vice

presidents, a secretary, a treasurer, and such other officers of BSEF (all of the foregoing,

collectively, the “Officers”) as it may deem necessary or appropriate from time to time, in

accordance with the Operating Agreement. The Officers shall have such powers and duties in

the management of BSEF as the Board may prescribe from time to time in accordance with the

Operating Agreement. Each Director and Officer is entitled to indemnification pursuant to the

Operating Agreement with respect to matters relating to BSEF.
18

RULE 209. Chief Compliance Officer

(a) The Board shall appoint and approve the Chief Compliance Officer. The Board

shall approve the compensation of the Chief Compliance Officer. Removal of the Chief

Compliance Officer shall require the approval of a majority of the Board. BSEF shall notify the

CFTC of the removal of the Chief Compliance Officer and the appointment of any new Chief

Compliance Officer, whether interim or permanent, within two business days, as defined in

CFTC Regulation 40.1, of such appointment.

(b) The individual designated to serve as Chief Compliance Officer shall have the

background and skills appropriate for fulfilling the responsibilities of the position. No individual

disqualified from registration pursuant to Sections 8a(2) or 8a(3) of the CEA may serve as a

Chief Compliance Officer. The Chief Compliance Officer may not be a member of BSEF’s legal

department and may not serve as its general counsel.

(c) The Chief Compliance Officer shall report directly to the Board. The Chief

Compliance Officer shall meet with the Board at least annually. The Chief Compliance Officer

shall also meet with the Regulatory Oversight Committee at least quarterly. Each such meeting

may occur in person or by means of conference telephone. The Chief Compliance Officer shall

provide any information regarding the regulatory program of the SEF operated by BSEF that is

requested by the Board or the Regulatory Oversight Committee.

(d) The position of Chief Compliance Officer shall carry with it the authority and

resources to develop and enforce policies and procedures necessary to fulfill the duties set

forth for chief compliance officers in the Act and the CFTC Regulations. The Chief

Compliance

Officer shall have supervisory authority over all staff acting in furtherance of the Chief

Compliance Officer’s obligations.

(e) The Chief Compliance Officer’s duties shall include, but are not limited to,

the following:

(i) Overseeing and reviewing the compliance of the SEF operated by BSEF

with Section 5h of the Act and any CFTC Regulations;

(ii) In consultation with the Board or the senior Officer of BSEF, resolving

any conflicts of interest that may arise, including: (1) conflicts between business

considerations and compliance requirements; (2) conflicts between business

considerations and the requirement that the SEF operated by BSEF provide fair, open,

and impartial access as set forth in CFTC Regulation 37.202; and (3) conflicts

between BSEF’s management and members of the Board;

(iii) Establishing and administering Written policies and procedures reasonably

designed to prevent violation of the Act and any Rules adopted by the Commission;

(iv) Taking reasonable steps to ensure compliance with the Act and

CFTC Regulations relating to agreements, contracts, or transactions, and with CFTC

Regulations under Section 5h of the CEA;

(v) Establishing procedures for the remediation of noncompliance issues
19

identified by the Chief Compliance Officer through a compliance office review, lookback, internal or external audit finding, self-reported error, or validated complaint;

(vi) Establishing and following appropriate procedures for the handling,

management response, remediation, retesting, and closing of noncompliance

issues;

(vii) Establishing and administering a compliance manual designed to

promote compliance with the applicable laws, Rules, and regulations and administering

a Written code of ethics designed to prevent ethical violations and to promote honesty

and ethical conduct;

(viii) Supervising the SEF’s compliance program with respect to trade practice

surveillance; market surveillance; real-time market monitoring; compliance with audit

trail requirements; enforcement, disciplinary and appeals proceedings; audits,

examinations conducted by the Regulatory Services Provider, and other regulatory

responsibilities with respect to Participants, Accounts, Customers and Clearing Members

(including ensuring compliance with, if applicable, financial integrity, financial

reporting, sales practice, recordkeeping, and other requirements);

(ix) Supervising the effectiveness and sufficiency of any regulatory services

provided to BSEF by the Regulatory Services Provider; and

(x) Preparing and filing the annual compliance report of BSEF.

RULE 210. Conflicts of Interest

(a) A Director, Officer, panel member or other Person authorized to exercise BSEF’s

authority concerning any inquiry, investigation or any disciplinary or appeals proceeding,

summary suspension, or other summary actions (any such action, a “SEF Action” and,

collectively, “SEF Actions”), or Emergency actions taken pursuant to Rule 212 (each such SEF

Action or Emergency Action, a “SEF Proceeding”) who knowingly has a “material conflict of

interest” between his or her position as a Director, Officer, panel member or exercise of

authority concerning any SEF Proceeding and his or her personal interests (each, an “Interested

Person”) may not participate in any deliberations or vote of the Board committee, panel or

exercise any authority in any SEF Proceeding involving his or her personal interest, except as

described in Rule 210(d).

(b) For purposes of Rule 210(a), a “material conflict of interest” includes

a Director’s, Officer’s, or other Person’s:

being named as a respondent or potential respondent in a SEF Proceeding;

being an employer, employee, fellow employee or an Affiliate of a

respondent or potential respondent in a SEF Proceeding;

having any significant, ongoing business relationship with a respondent

or potential respondent in a SEF Proceeding;

having a family relationship with a respondent or potential respondent in a

SEF Proceeding (including the individual’s spouse, co-habitator, former spouse, parent,
20

step-parent, child, step-child, sibling, step-brother, step-sister, grandparent, grandchild,

uncle, aunt, nephew, niece, father-in-law, mother-in-law, son-in-law, daughter-in-law,

brother-in-law or sister-in-law); and/or

having a direct and substantial financial interest in the result of the

deliberations or vote based upon either SEF or non-SEF positions. A direct and

substantial financial interest includes positions held in Swaps in the accounts of,

Controlled by, or affiliated with the Interested Person or any other types of direct and

substantial financial positions of the Interested Person that are reasonably expected to be

affected by the deliberations or vote.

(c) Before considering any SEF Proceeding, an Interested Person must disclose in

Writing to the Board the material facts concerning his or her relationship or interest in the matter.

(d) Any Interested Person who would be required otherwise to abstain from

deliberations and voting pursuant to Rule 210(a) as a result of having a direct and substantial

financial interest in the result of the deliberations and vote may participate in deliberations,

prior to a vote on the matter, if:

the material facts about the Interested Person’s financial interest in the matter

are disclosed or known to the Board;

the Board determines that the participation by the Interested Person would

be consistent with the public interest; and a majority of the Directors (excluding any

Interested Persons) vote to allow the Interested Person to participate in deliberations on

the matter.

(e) If a determination is made pursuant to Rule 210(d) that an Interested Person may

participate in deliberations prior to a vote, then the minutes of the meeting of the Board or

committee thereof will reflect the determination and the reasons for the determination.

(f) If a determination is made pursuant to Rule 210(a) that all Directors are

Interested Persons with respect to a matter subject to a vote by the Board, the President will

appoint a panel of individuals who are not Interested Persons with respect to such matter, which

will have the same authority and powers over such matter that the Board would have if the

Directors were not Interested Persons with respect to such matter.

(g) No Director, Officer or member of any committee or panel established by the

Board shall use or disclose for any purpose other than the performance of his or her official

duties and responsibilities as a Director, Officer or committee or panel member any material,

non-public information obtained as a result of the individual’s duties and responsibilities as a

Director, Officer or committee or panel member. No Director, Officer or committee or panel

member shall, directly or indirectly, disclose or use at any time, either during his or her

association with BSEF or thereafter, any confidential information of which the Board member or

committee or panel member becomes aware. Each Director, Officer or committee or panel

member in possession of confidential information shall take all appropriate steps to safeguard

the information and to protect it against disclosure, misuse, espionage, loss and theft.

(h) Notwithstanding Rule 210(g), a Director, Officer or committee or panel member

may disclose confidential information if required by Applicable Law or a court order to be
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revealed to the United States Department of Justice or the CFTC.

(i) For the purposes of Rule 210(g), the term “material, non-public information” shall

mean “material information” that is “nonpublic information,” as such terms are defined in CFTC

Regulation 1.59(a).

RULE 211. Restrictions on Certain Persons who Possess Material, NonPublic Information: Improper Use or Disclosure of

Material Non-Public Information

No member of the Board or of any Board committee, no member of any other committee

of BSEF, no Officer of BSEF, no employee of BSEF, no agent of BSEF, no subcontractor of

BSEF and no consultant to BSEF shall:

(a) trade for such Person’s own account, or for or on behalf of any other account, in

any commodity interest on the basis of any material, non-public information obtained through

the performance of such Person’s official duties;

(b) use or disclose, for any purpose other than the performance of such Person’s

official duties, any material, non-public information obtained by such Person as a result of such

Person’s official duties, provided, however, that this Section shall not prohibit disclosures

made by such Person in the course of his or her official duties or disclosures made to the

CFTC, any

Self-Regulatory Organization, a court of competent jurisdiction or any agency or department of

the federal or state government; or

(c) trade, directly or indirectly, in any Swap traded on the SEF operated by BSEF; in

any related commodity interest; or in any commodity interest traded on any DCM or SEF or

cleared by any Clearing House if such Person has access to material non-public information

concerning such Swap or commodity interest.

RULE 212. Emergency Rules

(a) In the event of an Emergency, BSEF may implement temporary emergency

procedures and rules (“Emergency Rules”), subject to the applicable provisions of the CEA

and CFTC Regulations. Implementation of Emergency Rules shall be done in consultation with

the CFTC. Emergency Rules may require or authorize BSEF, the Board, any committee of the

Board, the President, or any other Officer to take actions necessary or appropriate to respond to

the Emergency, including the following actions:

suspending or curtailing trading or limiting trading to liquidation only (in

whole or in part);

extending or shortening the last trading date for Swaps;

ordering the fixing of a settlement price;

ordering the liquidation or transfer of an open position in any Swap, or the

reduction of positions;
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extending, limiting or changing the Trading Hours;

imposing or modifying intraday market restrictions;

transferring customer contracts and the margin in an

emergency; imposing special margin requirements;

extending or shortening the expiration date of a Swap;

 altering any Swap’s settlement terms and conditions;

 imposing or modifying price limits;

imposing, modifying or reducing position limits; and/or

temporarily modifying or suspending any provision of the BSEF Rules or

Obligations.

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the

Board must approve the implementation of such Emergency Rule at a duly convened meeting

requested by the President or any other Officer. Directors may attend such a meeting by

teleconference. Each Director participating in such meeting shall be subject to Rule 210. If the

President, Vice President or the Chief Technology Officer determines that Emergency Rules

must be implemented with respect to an Emergency before a meeting of the Board can

reasonably be convened, then the President, Vice President or the Chief Technology Officer

shall have the authority, without Board action, to implement any Emergency Rules with respect

to such Emergency that he or she deems necessary or appropriate to respond to such Emergency.

(c) Whenever BSEF, the Board, any committee of the Board, or the President, Vice

President or the Chief Technology Officer takes actions necessary or appropriate to respond to an

Emergency (including the actions set forth in paragraph (a) above), an Authorized Representative

of BSEF will post a Notice to Participants regarding such Emergency, as soon as practicable.

When the Board, any committee of the Board or the President, Vice President or the Chief

Technology Officer determines that the Emergency is no longer in effect, permitting the SEF

operated by BSEF to resume normal functioning; any such actions responding to an Emergency

will be terminated.

(d) BSEF will use reasonable efforts to notify the CFTC prior to implementing,

modifying or terminating an Emergency Rule. If such prior notification is not possible or

practicable, BSEF will notify the CFTC as soon as possible or reasonably practicable, but in all

circumstances within twenty-four (24) hours of the implementation, modification or

termination of such Emergency Rule.

(e) Upon taking any action in response to an Emergency, BSEF will document the

decision-making process related to such action. Such documentation will be kept for at least five

years following the date on which the Emergency ceases to exist or to affect the SEF operated by

BSEF, and all such documentation will be provided to the CFTC upon request.
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RULE 213. Information-Sharing Agreements

(a) BSEF shall enter into information-sharing agreements or other arrangements or

procedures necessary to allow BSEF to obtain any necessary information to perform any

monitoring of trading and Trade processing, provide information to other markets, the CFTC or

any other Governmental Body with jurisdiction over BSEF upon request and which allow BSEF

to carry out such international information-sharing agreements as the CFTC may require. As

part of any information-sharing agreements or other arrangements or procedures adopted

pursuant to this Rule, BSEF may:

provide market surveillance reports to the CFTC, any Governmental Body

with jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO

obligations, to other markets;

share information and documents concerning current and former

Participants to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as

necessary for BSEF to comply with its SRO obligations, to other markets;

share information and documents concerning ongoing and completed

investigations to the CFTC, any Governmental Body with jurisdiction over BSEF, or, as

necessary for BSEF to comply with its SRO obligations, to other markets; and/or

require its current or former Participants to provide information and

documents to BSEF at the request of the CFTC, any Governmental Body with

jurisdiction over BSEF, or, as necessary for BSEF to comply with its SRO obligations,

to other markets.

(b) BSEF may enter into any information-sharing arrangement with any Person or

body (including the CFTC, the NFA, any Self-Regulatory Organization, any SEF, DCM, market,

or clearing organization, or any Governmental Body) if BSEF (i) believes that such entity

exercises a legal or regulatory function under any law or regulation, or a function comprising or

associated with the enforcement of a legal or regulatory function, or (ii) considers such

arrangement to be in furtherance of the purpose or duties of BSEF and the SEF operated by

BSEF under Applicable Law.

(c) BSEF may disclose any information provided by or relating to Participant,

Account Managers, Authorized Traders, Supervised Persons, Clearing Members, Customers or

Accounts or their agents, or Trades of Participant or of its Customers or Accounts, including the

content of this Agreement, to any Governmental Body, to the Regulatory Services Provider, to

an SDR where BSEF reports Trades, to any other person or entity as required by Applicable Law

or as necessary to conclude Participant’s Trades, submit Participant’s Trades for clearance or

perform services requested by a Participant, and to any Person providing services to BSEF with

respect to the SEF operated by BSEF. BSEF will not disclose any proprietary data or personal

information of any Participant, Account Manager, Authorized Trader, Supervised Person,

Clearing Member, Customer or Account without a corresponding confidentiality agreement

between such Person and BSEF, unless the Person requesting such information is a

Governmental Body.

RULE 214. Regulatory Services Agreement with the Regulatory
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Services Provider

BSEF has contracted with the Regulatory Services Provider to provide certain regulatory

services to BSEF pursuant to a Regulatory Services Agreement. In accordance with the

Regulatory Services Agreement, the Regulatory Services Provider may perform certain

surveillance, investigative, and regulatory functions under the BSEF Rules and BSEF may

provide information to the Regulatory Services Provider in connection with the performance by

the Regulatory Services Provider of those functions. BSEF shall retain ultimate decision-making

authority with respect to any functions that are contracted to the Regulatory Services Provider.

RULE 215. Delivery and Service of CFTC Communications for

Non-U.S. Participants

In accordance with CFTC Rule 15.05, BSEF will serve as an agent of a non-U.S.

Participant or a Customer of non-U.S. Participant for whom Swaps were executed or a non-U.S.

Authorized Trader for purposes of accepting delivery and service of any communication issued

by or on behalf of the CFTC to the non-U.S. Participant or the Customer of the non-U.S.

Participant or the non-U.S. Authorized Trader, in each case with respect to any swap traded on

the SEF operated by BSEF.

CHAPTER 3. PARTICIPANTS

RULE 301. Eligibility Criteria for Becoming a Participant

(a) To be eligible for admission as a Participant, an applicant warrants to BSEF that

it meets the following criteria:

is an ECP, and each Account or Customer on whose behalf it wishes to trade

on the SEF operated by BSEF is an ECP, in each case eligible to enter into the asset

classes of Swaps it wishes to trade on the SEF operated by BSEF;

is of good reputation and business integrity;

is validly organized, in good standing, and authorized by its governing

body and, if relevant, documents of organization, to trade Swaps;

has not filed for bankruptcy;

is not a SEF Official, agent or affiliate of BSEF;

is not prohibited from using the services of BSEF for any reason

 whatsoever;

holds all registrations required under Applicable Law, if any;

is not subject to statutory disqualification under Section 8a(2) of the CEA;
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satisfies any other criteria that BSEF may require from a Participant to

perform its SRO responsibilities, comply with Applicable Law or provide SEF services; and

is not an ISV or an automated trading system.

(b) Once admitted, the Participant shall continue to comply with all

applicable Eligibility Criteria in this Rule 301.

(c) With respect to Cleared Swaps, each Participant that is an Account Manager,

FCM or Introducing Broker must ensure that each of its, as applicable, Accounts or Customers

has a clearing account with a Clearing Member that is a member of the Clearing House

accepting for clearance Cleared Swaps traded on the SEF operated by BSEF and provide BSEF

with evidence of such relationship. With respect to Non-Cleared Swaps, each Participant that is

an Account Manager or Introducing Broker must ensure that each of its, as applicable, Accounts

or Customers complies with Rule 534, if applicable. A DMA Customer that is an Account

Manager must ensure that each of its Accounts complies with Rule 534, if applicable. Each

Participant or DMA Customer that is an Account Manager must provide BSEF upon BSEF’s

prior Written request with Written representation or proof of authority to place RFQs or Orders

and execute Trades on the SEF operated by BSEF on behalf or in the name of each Account.

(d) With respect to Cleared Swaps, each Participant that is not an Account

Manager must either be a Clearing Member of a Clearing House where the Cleared Swaps are

cleared or have a clearing account with a Clearing Member with respect to such Cleared Swap

and provide SEF with evidence of such relationship. With respect to Non-Cleared Swaps, each

Participant that is not an Account Manager must comply with Rule 534, if applicable.

(e) Each Participant must establish a Trading Account. In addition to all information

required by BSEF, information in each Trading Account shall at minimum be sufficient to allow

BSEF to present a Trade for clearing to a Clearing House. A Participant must keep such

information current and up-to-date. Please see Notices to Participants 2016-5A and 2017-1,

which are posted on BSEF’s website.

(f) Participants that do not have a relationship with a Clearing Member as set forth

in subsection (c) or (d) of this Rule 301 are prohibited from entering RFQs or Orders in Cleared

Swaps on the SEF operated by BSEF.

(g) Upon request of BSEF, a Participant shall promptly provide to BSEF or its

Regulatory Services Provider information about the Participant, its Customers, Accounts,

Clearing Members and Authorized Traders as BSEF requests related to or in connection

with SEF Activity.

RULE 302. Authorized Traders

(a) Each Participant shall nominate or designate one or more Authorized

Traders, who will conduct SEF Activity on behalf of the Participant.

(b) Each Authorized Trader:
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(i) must be a natural person;

(ii) must satisfy any other requirements as may be prescribed by BSEF from

time to time; and

(iii) must have a Trader ID.

A Participant that authorizes a third party to trade for its Trading Account on a

discretionary basis pursuant to a power of attorney or other instrument must identify or approve a

specific natural person as its Authorized Trader with respect to such Trading Account.

(c) Without limiting the foregoing, each Authorized Trader will abide by

applicable BSEF Rules and Applicable Law, and each Participant or DMA Customer, as

applicable, will ensure on an ongoing basis that:

(i) none of its Authorized Traders is subject to a disqualification pursuant

to any Applicable Law (unless an appropriate exemption has been obtained with

respect thereto);

(ii) each of its Authorized Traders will be technically proficient;

(iii) each of its Authorized Traders will conduct its business in a fair

and equitable manner; and

(iv) each of its Authorized Traders will conduct its business in

accordance with the BSEF Rules.

(d) By agreeing to become an Authorized Trader, an individual agrees to be bound by

the duties and responsibilities of an Authorized Trader under these Rules and to be subject to,

and comply with, the BSEF Rules and Obligations. Among other duties and responsibilities that

BSEF may impose, an Authorized Trader must:

have the authority, at BSEF’s request, to adjust or withdraw any Order

submitted under any Trader ID assigned to him or her; and

ensure that any SEF Activity conducted under any Trader ID assigned to

him or her complies with all BSEF Rules and Obligations.

(e) To nominate or designate an Authorized Trader, a Participant must follow the

procedures established by BSEF. BSEF may establish criteria that individuals must fulfill to

become an Authorized Trader. Any such criteria will be set out in the BSEF Rules. BSEF will

not accept the registration as an Authorized Trader of any individual who is a SEF Official.

(f) BSEF will maintain a list of all appointed Authorized Traders for

each Participant.

(g) BSEF may, in its sole discretion terminate, revoke or suspend an Authorized

Trader and shall promptly notify the Participant in Writing of such action. Upon such

termination, revocation or suspension, BSEF will disable access of such Authorized Trader to

the SEF operated by BSEF.
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(h) To request the termination of the designation of an Authorized Trader, the

Participant or the Authorized Trader must notify BSEF following the procedures established by

BSEF. BSEF will terminate access of such Authorized Trader to the SEF operated by BSEF

immediately upon receipt of such notice from Participant.

RULE 303. Participant Application Process; Termination of Participant

(a) Any Person who desires to become a Participant shall (i) submit signed

Participant Documentation; (ii) agree in Writing to abide by the BSEF Rules and Applicable

Law; (iii) provide such information and documentation as may be requested by BSEF; and (iv)

follow the application procedures established by BSEF.

(b) In considering an application from a potential Participant, BSEF may require

additional information from the applicant, or conduct an investigation to verify information

submitted by the applicant, or both.

(c) If BSEF decides to admit an applicant as a Participant, it shall promptly notify the

applicant and state in such notice the date on which the applicant shall become a Participant.

(d) If BSEF decides to decline or condition an application for admission as a

Participant, or terminate a Person’s status as a Participant, BSEF shall promptly notify such

Affected Person thereof in a Writing sent to the address provided by the applicant or

maintained in BSEF registry of Participants. Such Affected Person may, within seven (7)

calendar days, request in Writing that BSEF provide the reasons for the denial, conditioning or

termination of Participant status. Within fourteen (14) calendar days after receiving such

Written request, BSEF shall send in Writing to the Affected Person the reasons for the denial,

conditioning or termination. Within fourteen (14) calendar days of receiving the BSEF’s

Written response, the Affected Person may request in Writing that BSEF reconsider its

determination, and may provide any relevant representations or other information that such

Affected Person believes to be relevant to the reconsideration.

(e) BSEF may deny, condition or terminate Participant status of any Person if:

(i) such Person is unable to satisfactorily demonstrate its ability to satisfy the Eligibility Criteria

as set forth in Rule 301(a) to become or remain a Participant; (ii) such Person is unable to

satisfactorily demonstrate its capacity to adhere to all applicable BSEF Rules; (iii) such Person

would bring BSEF into disrepute as determined by BSEF in its sole discretion; or (iv) for such

other cause as BSEF may reasonably determine.

RULE 304. Trading Privileges of a Participant

(a) Upon admission as a Participant or DMA Customer, the Participant or DMA

Customer must execute such Participant Documentation or DMA Customer Documentation, as

applicable, as required from time to time by BSEF, and such Participant Documentation or

DMA Customer Documentation, as applicable, must remain in effect for the Participant or DMA

Customer to access the SEF operated by BSEF.

(b) Admission as a Participant entitles the Participant only to Trading Privileges

and does not confer any right of ownership in, or right to attend or vote at meetings of, BSEF,

or right to share in the profits, of BSEF. A Participant may not transfer or assign its status as a

Participant.
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RULE 305. Termination or Limitation of Trading Privileges and

Trading Access

(a) Notwithstanding anything in the BSEF Rules to the contrary, the Chief

Compliance Officer may, after consultation with the Regulatory Oversight Committee, if

practicable, summarily suspend, revoke, limit, condition, restrict or qualify the Trading

Privileges of a Participant or the Trading Access of an Authorized Trader, and may take other

summary action against any Participant or any of its Supervised Persons or any Authorized

Trader in accordance with the BSEF Rules; provided, however, that the Chief Compliance

Officer must reasonably believe that the business, conduct or activities of the Participant,

Authorized Trader or Supervised Person in question is not in the best interests of BSEF or the

marketplace, including based on any of the following: (i) statutory disqualification from

registration as provided in CEA Section 8a(2) or (3); (ii) non-payment of fees, costs, charges,

fines or arbitration awards; or (iii) the reasonable belief that immediate action is necessary to

protect the public or the best interests of BSEF and the SEF operated by BSEF. BSEF may deny

or limit Trading Privileges of a Participant or Trading Access of any Authorized Trader upon

default of the Participant, Customer or Account, as applicable, on any Swap with respect to such

Participant, Customer or Account.

(b) Whenever practicable, the Compliance Department, acting on behalf of the

Chief Compliance Officer, shall provide prior Written notice to the party against whom any

action in accordance with paragraph (a) shall be taken. If prior notice is not practicable, BSEF

will give notice at the earliest possible opportunity to the respondent against whom the action is

brought. The Compliance Department, acting on behalf of the Chief Compliance Officer, will

prepare a notice of summary action (which will state the action, the reasons for the action, and

the effective time, date and duration of the action) and serve the notice on such party.

(c) The summary action will become final upon the expiration of 20 days after the

notice of action is served on the respondent.

(d) At the request of BSEF, a respondent against whom a summary action is brought

pursuant to this Rule 305 must provide books and records over which the respondent has access

or control and must furnish information to, or appear or testify before, BSEF or the in connection

with the enforcement of any BSEF Rule.

(e) Participant may appeal any decision taken by BSEF under this Rule 305 as

provided in Rule 620; provided, however, that any such decision by BSEF to deny or otherwise

limit applicant’s Trading Privileges or Trading Access shall continue in effect during such

review.

RULE 306. Assessments and Fees

BSEF shall set the times and amounts of any assessments or fees to be paid by

Participants, which assessments or fees shall be paid to BSEF when due. If a Participant fails to

pay when due any such assessments or fees levied on such Participant, and such payment

obligation remains unsatisfied for thirty days after its due date, BSEF may suspend, revoke,

limit, condition, restrict or qualify the Trading Privileges of such Participant as it deems

necessary or appropriate.

RULE 307. Authorized Representatives
29

Each Participant shall designate one or more Authorized Representatives who will

represent the Participant before BSEF and its committees and receive notices on behalf of the

Participant. The Authorized Representative shall be empowered by the Participant to act on its

behalf and BSEF shall be entitled to rely on the actions of the Authorized Representative as

binding on the Participant. Each Participant must provide BSEF with current contact and other

requested information for each of its Authorized Representatives so that BSEF is able to

immediately contact the Authorized Representatives.

RULE 308. Recording of Communications

BSEF may record conversations and retain copies of electronic communications between

SEF Officials, on one hand, and Participants, their Account Managers, Authorized Traders,

Supervised Persons or other agents, on the other hand, to the extent required by Applicable Law.

Any such recordings may be retained by BSEF or the Regulatory Services Provider in such

manner and for such periods of time as BSEF may deem necessary or appropriate.

RULE 309. Notices to Participants

BSEF shall publish a Notice to Participants with respect to each addition to, modification

of, or clarification of, the BSEF Rules or of any action to implement any BSEF Rules, in a form

and manner that is reasonably designed to enable each Participant to become aware of and

familiar with, and to implement any necessary preparatory measures to be taken by it with

respect to, such addition or modification, prior to the effective date thereof. For purposes of

publication in accordance with the first sentence of this Rule, it shall be sufficient (without

limiting the discretion of BSEF as to any other reasonable means of communication) if a Notice

to Participants is published on BSEF’s website and posted on BSEF’s internal notification

system. Any Notice to Participants shall also be deemed to have been made to all Account

Managers, Authorized Traders and Supervised Persons.

RULE 310. Communications between BSEF and Participants

Each Participant must provide BSEF with its current electronic mail address and

telephone number and the electronic mail address and telephone number of any of its

Authorized Traders and immediately (and in any event within 24 hours) update this information

whenever it changes. All communications between BSEF and the Participant will be transmitted

by electronic mail and/or posted on BSEF’s website, except as otherwise specified by BSEF.

The Participant shall be responsible for conveying such communications to its Authorized

Traders and/or to its Account Managers. Each Participant will be responsible for promptly

reviewing and, if necessary, responding to all electronic communications from BSEF to the

Participant or any of its Account Managers, Authorized Traders, Supervised Persons or any

Person to whom it has given Trader ID(s). All communications made to a Participant shall also

be deemed to have been made to all Account Managers, Authorized Traders and Supervised

Persons of such Participant.

RULE 311. Application of BSEF Rules and Jurisdiction

(a) ANY MARKET PARTICIPANT THAT DIRECTLY OR INDIRECTLY

EFFECTS A TRANSACTION ON THE SEF OPERATED BY BSEF, OR ANY

PARTICIPANT, AUTHORIZED TRADER, CLEARING MEMBER OR OTHER

PERSON ACCESSING OR ENTERING ANY RFQ OR ORDER OR SUBMITTING

ANY SWAP INTO THE SEF OPERATED BY BSEF OR EXECUTING ANY TRADE
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PURSUANT TO THE RULES (i) IS BOUND BY, AND SHALL COMPLY WITH,

THE BSEF RULES AND OBLIGATIONS, THE CLEARING HOUSE RULES, SWAP

SPECIFICATIONS AND APPLICABLE LAW, IN EACH CASE TO THE EXTENT

APPLICABLE TO IT, (ii) SUBMITS TO THE JURISDICTION OF BSEF WITH

RESPECT TO ANY AND ALL MATTERS ARISING FROM, RELATED TO, OR IN

CONNECTION WITH, THE STATUS, ACTIONS OR OMISSIONS OF SUCH

PARTICIPANT, AUTHORIZED TRADER OR OTHER PERSON, AND (iii) AGREES

TO ASSIST BSEF IN COMPLYING WITH ITS LEGAL AND REGULATORY

OBLIGATIONS, COOPERATE WITH BSEF, THE CFTC AND ANY

GOVERNMENTAL BODY WITH JURISDICTION OVER BSEF OR THE SEF

OPERATED BY BSEF IN ANY INQUIRY, INVESTIGATION, AUDIT,

EXAMINATION OR PROCEEDING.

(b) Any Person whose access to the SEF operated by BSEF is suspended for any

period remains subject to the BSEF Rules, the Obligations and BSEF’s jurisdiction throughout

the period of suspension. Any Person whose access to the SEF operated by BSEF is revoked or

terminated shall remain bound by the BSEF Rules and Applicable Law, in each case to the

extent applicable to it, and subject to the jurisdiction of BSEF with respect to any and all

matters arising from, related to, or in connection with, the status, actions or omissions of such

Participant prior to such revocation or termination.

RULE 312. Description of Participant’s Status

A Participant shall ensure that the form, content and context of any description of the

Participant’s status on the SEF operated by BSEF is not inconsistent with, and does not

misrepresent, the Participant’s capacity on the SEF operated by BSEF under the BSEF Rules or

the Participant’s registration, if any, under the CEA, or under any other Applicable Law.

RULE 313. Dissolution of Participants

All rights and privileges of a Participant terminate upon, and all obligations of a

Participant shall survive the dissolution of the Participant.

RULE 314. Withdrawal of Participant

(a) To withdraw from the SEF operated by BSEF, a Participant must notify BSEF of

its withdrawal. Such withdrawal shall be accepted and effective immediately upon receipt of

such notice by BSEF.

(b) When BSEF accepts the withdrawal of a Participant, all rights and privileges of

such Participant terminate (including the Trading Privileges). The accepted withdrawal of a

Participant shall not affect the rights of BSEF under the BSEF Rules or relieve the former

Participant of such Participant’s obligations under the BSEF Rules before such withdrawal.

Notwithstanding the accepted withdrawal of a Participant, the withdrawn Participant remains

subject to the BSEF Rules, the Obligations and the jurisdiction of BSEF for acts done and

omissions made while a Participant, and must cooperate in any SEF Proceeding under Chapter

6 as if the withdrawn Participant were still a Participant.

RULE 315. Compliance with the Commodity Exchange Act

All SEF Participants shall comply with all relevant provisions of the CEA and the Rules
31

and regulations duly issued pursuant thereto by the CFTC, including the filing of reports,

maintenance of books and records, and permitting inspection and visitation by Authorized

Representatives of the CFTC or Department of Justice.

RULE 316. Access

RULE 316.A. ECP Access

BSEF will provide its services to any ECP with access to its markets and BSEF services

that is impartial, transparent and applied in a fair and non-discriminatory manner; provided,

however, that each ECP complies with BSEF’s documentation and the eligibility requirements

set forth in this Rulebook.

RULE 316.B. ISV Access

BSEF will provide ISVs with access to its trading platform and its data in a fair and nondiscriminatory manner; provided, however, that each ISV shall comply with BSEF’s criteria

governing such access. Such access criteria shall be impartial and transparent.

RULE 317. Direct Market Access

(a) DMA may be sponsored only by a Sponsoring Broker.

(b) All trades in Cleared Swaps executed via DMA connection must be guaranteed

by a Sponsoring Broker that assumes financial responsibility for all trades in Cleared Swaps

executed through the DMA connection.

(c) Each DMA Customer must execute the DMA Customer Documentation as

a condition of being granted access to the SEF operated by BSEF.

(d) A Sponsoring Broker shall assist BSEF in any investigation into potential

violations of the BSEF Rules, CFTC Regulations or the Act which occur through or with

respect to a DMA connection guaranteed by such Sponsoring Broker. Such assistance must be

timely and may include requiring any DMA Customer to produce documents, to answer

questions from BSEF, and/or to appear in connection with an investigation.

(e) A Sponsoring Broker shall suspend or terminate the Trading Access of a DMA

Customer or any Authorized Trader associated with such DMA Customer if BSEF determines

that the actions of the DMA Customer or any of its Authorized Traders threaten the integrity

of the SEF operated by BSEF or liquidity of any Swap or violate any BSEF Rule or if the

DMA Customer or any of its Authorized Traders fails to cooperate in an investigation.

(f) If a Sponsoring Broker has actual or constructive notice of a violation of the

BSEF Rules in connection with Direct Market Access by its DMA Customer and the

Sponsoring Broker fails to take appropriate action, BSEF may consider that the Sponsoring

Broker has committed an act detrimental to the interest or welfare of BSEF.

RULE 318. Legal Certainty for SEF Trades

A transaction entered into on or pursuant to the BSEF Rules shall not be void, voidable,

subject to rescission, otherwise invalidated, or rendered unenforceable as a result of:
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(a) a violation by BSEF of the provisions of section 5h of the Act or CFTC

Regulations;

(b) any CFTC proceeding to alter or supplement a Rule, term, or condition under

section 8a(7) of the Act or to declare an emergency under section 8a(9) of the Act; or

(c) any other proceeding the effect of which is to:

(i) alter or supplement a specific term or condition or trading rule

or procedure; or

(ii) require BSEF to adopt a specific term or condition, trading rule or

procedure, or to take or refrain from taking a specific action.

RULE 319. Rights and Responsibilities after Suspension or Termination

(a) When the Trading Privileges of a Participant or the Trading Access of any

Authorized Trader are suspended, none of its rights and Trading Privileges (including the right to

hold oneself out to the public as a Participant, enter RFQs or Orders into the SEF operated by

BSEF and receive Participant rates for fees, costs, and charges at Participant levels) will apply

during the period of the suspension, except for the right of the Participant in question to assert

claims against others as provided in the BSEF Rules or the right to Trading Access. Any such

suspension will not affect the rights of creditors under the BSEF Rules or relieve the Participant

in question of its, his or her obligations under the BSEF Rules to perform any Swaps entered into

before the suspension, or for any SEF fees, costs, or charges incurred during the suspension.

(b) When the Trading Privileges of a Participant or the Trading Access of any

Authorized Trader are terminated, all of a Participant’s rights and Trading Privileges or an

Authorized Trader’s right to Trading Access will terminate, except for the right of the Participant

in question to assert claims against others, as provided in the BSEF Rules. Any such termination

will not affect the rights of creditors under the BSEF Rules. A terminated Participant may only

seek to reinstate its Trading Privileges by applying for Trading Privileges pursuant to Rule 304.

BSEF will not consider the application of a terminated Participant if such Participant continues

to fail to appear at disciplinary or appeals proceedings without good cause or continues to

impede the progress of disciplinary or appeals proceedings.

(c) A suspended or terminated Participant, Authorized Trader or Supervised Person

remains subject to the BSEF Rules and the jurisdiction of BSEF for acts and omissions prior to

the suspension or termination, and must cooperate in any inquiry, investigation, disciplinary or

appeals proceeding, summary suspension or other summary action as if the suspended or

terminated Participant still had Trading Privileges or the terminated Authorized Trader still

had Trading Access. BSEF may discipline a suspended Participant or Authorized Trader under

this Chapter 6 for any violation of a BSEF Rule or provision of Applicable Law committed by

the Participant or Authorized Trader before, during or after the suspension.

(d) Upon the request of a Customer, in the event of the suspension or revocation of

the Trading Privileges of a Participant, BSEF shall seek to facilitate the transfer of any

Customer accounts held by such Participant to other Participants with Trading Privileges.

CHAPTER 4. OBLIGATIONS OF PARTICIPANTS, ACCOUNT MANAGERS,

DMA CUSTOMERS, AUTHORIZED TRADERS AND

SUPERVISED PERSONS
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RULE 401. Duties and Responsibilities

(a) Each Participant, Account Manager, DMA Customer, Authorized Trader

and Supervised Person shall:

(i) ensure that BSEF’s facilities are used in a responsible manner and are

not used for any improper purpose;

(ii) ensure that BSEF’s facilities are used only to conduct SEF Activity;

(iii) ensure that all SEF Activity conducted by the Participant,

Account Managers, Authorized Traders and Supervised Persons is performed in

a manner consistent with applicable BSEF Rules and their respective

Obligations;

(iv) comply with all BSEF Rules and Obligations and act in a

manner consistent with each BSEF Rule and Obligation;

(v) observe high standards of integrity, market conduct, commercial honor,

fair dealing, and just and equitable principles of trade while conducting or attempting

to conduct any SEF Activity, or any aspect of any business connected with or

concerning the SEF operated by BSEF;

(vi) not mislead or conceal any material fact or matter in any dealings or

filings with BSEF or in response to any SEF Proceeding; and

(vii) keep the Authorized Trader’s Trader IDs, account numbers and

passwords confidential.

(b) Each Participant shall be responsible for promptly informing BSEF of any

material changes to Eligibility Criteria information provided to BSEF by the Participant.

RULE 402. Required Disclosures to BSEF

Each Participant shall immediately notify the Compliance Department upon becoming

aware of any of the following events:

(a) any material change to the contact or other information provided to BSEF by the

Participant;

(b) any damage to, or failure or inadequacy of, the systems, facilities or equipment of

the Participant to effect transactions pursuant to the BSEF Rules or to timely perform the

Participant’s financial obligations under or in connection with Swaps of such Participant or

Swaps of any Customer or Account of such Participant;

(c) any refusal of admission of the Participant for membership in, any SelfRegulatory Organization, SEF, DCM, or Derivatives Clearing Organization;

(d) any expulsion, suspension or fine in excess of $25,000 (whether through an

adverse determination, voluntary settlement or otherwise) imposed on the Participant by any

Self-Regulatory Organization, SEF, DCM, Derivatives Clearing Organization or, with respect to

SEF Activity, any relevant Governmental Body;
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(e) any revocation, suspension or conditioning of any registration or license of a

Participant necessary to conduct SEF Activity granted by any relevant Governmental Body;

(f) (A) the commencement of any judicial or administrative proceeding against the

Participant or any Authorized Trader or Supervised Person or (B) the imposition of any fine in

excess of $25,000, cease and desist order, denial of trading privileges, censure or other

sanction or remedy (whether through an adverse determination, voluntary settlement or

otherwise) imposed, in each case of (A) and (B), by any Self-Regulatory Organization, SEF,

DCM, Derivatives Clearing Organization or, with respect to SEF Activity, any relevant

Governmental Body;

(g) any indictment or conviction of, or any confession of guilt or plea of guilty or

nolo contendere by, any principals or senior officers of the Participant or any Authorized Trader

for any felony or misdemeanor involving, arising from, or related to, the purchase or sale of any

commodity, futures contract, swap, option, security, securities futures product or other financial

instrument, or involving or arising from fraud or moral turpitude; and

(h) the Participant’s or a 10% or greater owner of the Participant becoming the

subject of a petition for bankruptcy;

(i) the appointment of a receiver, trustee or administrator for the Participant or a

10% or greater owner of the Participant;

(j) the presentment of a petition, or the passing of a resolution, for the

Participant’s or a 10% or greater owner of the Participant winding-up;

(k) the commencement of proceedings for the Participant’s or the 10% or greater

owner’s of the Participant dissolution; or

(l) the occurrence of an event of insolvency with respect to the Participant or

the 10% owner or greater owner of the Participant.

RULE 403. Inspections by BSEF

(a) BSEF or the Regulatory Services Provider (or their respective authorized

representatives), shall have the right with such prior reasonable advance notice as is practicable

under the circumstances, in connection with determining whether all BSEF Rules are being,

will be, or have been complied with by the Participant, to:

inspect the books and records of the Participants relating to SEF Activity;

 inspect systems, equipment and software of any kind operated by the

Participant in connection with SEF Activity and any data stored in any of the systems or

equipment related to SEF Activity; and/or

copy or reproduce any data to which BSEF has access under this Rule.

(b) Such books and records, systems, equipment, software and data shall be made

available to BSEF and the Regulatory Services Provider and their respective authorized

representatives during regular business hours and BSEF and the Regulatory Services Provider
35

and their respective authorized representatives agree to adhere to Participant’s reasonable

logical and physical access and security procedures.

(c) Each Participant, DMA Customer and Authorized Trader shall provide

the Regulatory Services Provider with the same access to their books and records as they

are required to provide to BSEF under the BSEF Rules and Applicable Law.

(d) The Compliance Department may require a Participant to furnish (periodically or

on a particular occasion) information concerning the Participant’s SEF Activity.

RULE 404. Minimum Financial and Related Reporting Requirements

Each Participant that is registered with any Self-Regulatory Organization shall comply

with the provisions of Applicable Law relating to minimum financial and related reporting

and recordkeeping requirements.

RULE 405. Position Liquidation upon Default

Upon default of any Swap by a Participant, Customer or Client, BSEF shall have the right

to arrange the liquidation of all or some Swap positions of such Participant, Customer or Client,

as applicable, opened via the SEF operated by BSEF.

RULE 406. Authority to Impose Restrictions

Whenever a Participant is subject to the early warning requirements set forth in the

CFTC Regulations, including CFTC Regulation 1.12, the President, or his or her designee, may

impose such conditions or restrictions on the business and operations of such Participant as the

President, or his or her designee, may deem necessary or appropriate for the protection of

Customers, other Participants or the SEF operated by BSEF.

RULE 407. Customers and Accounts

(a) No Participant shall carry an account for a Customer or enter an RFQ or Order in

the name of a Account unless the Participant has entered into a Written agreement with the

Customer or Account that is in compliance with Applicable Law and the BSEF Rules.

(b) Each Participant must: (1) ensure that the Customer or Account is an ECP at the

time of execution of any Swap; (2) subject every Swap executed for the Customer or Account to

the terms of the BSEF Rules insofar as they are applicable to that Swap; (3) in relation to any

Swap executed for the Customer or Account, be able to comply with all requirements of the

BSEF Rules and any other arrangements, provisions and directions given by BSEF; and (4)

provide BSEF and its agents, including its Regulatory Services Provider, access to all

information in connection with or related to its SEF Activity necessary for monitoring and

enforcement of BSEF Rules.

RULE 408. Disclosure Requirements; Know Your

Counterparty Requirements

(a) With respect to Non-Cleared Swaps, Participants that are Swap Dealers or

Major Swap Participants shall verify the status of each Counterparty as an ECP with respect to

each Trade as provided in Part 23 of the CFTC Regulations applicable to business conduct

standards for Swap Dealers and Major Swap Participants in their dealing with counterparties.
36

(b) Each Participant must comply with the disclosure requirements imposed by the

BSEF Rules.

RULE 409. Books and Records

RULE 409.A. Participant and Clearing Member Books and Records

(a) Each Participant, Clearing Member and market participant shall prepare and

keep current all books, ledgers and other similar records relating to SEF Activity required to be

kept by it pursuant to the Act, CFTC Regulations and these Rules and shall prepare and keep

current such other books and records relating to SEF Activity and adopt such forms as BSEF

may from time to time prescribe. Such books and records shall be made available, upon request,

to BSEF, the CFTC, the Department of Justice or any Governmental Body, regulator or

Self-Regulatory Organization with jurisdiction over BSEF, and their respective Authorized

Representatives.

(b) In addition to information required by subsection (a) of this Rule 409,

each Participant, Clearing Member and market participant must comply with all

applicable requirements of CFTC Regulation 1.35.

(c) If a Participant cannot enter an Order or Request for Quote received from its

Customer into the SEF Platform, the Participant must immediately create an electronic record

that includes the account identifier that relates to the Customer Account, time of receipt, and

terms of the Order or Request for Quote.

(d) As required by CFTC Regulation 37.404, each Participant, Clearing Member and

market participant, as applicable, must keep records of their trading on the SEF operated by

BSEF (including records of its or its activity in the index or instrument used as a reference

price, the underlying commodity and related derivatives markets) and make such records

available, upon request, to BSEF, the CFTC or any Governmental Body, regulator or

Self-Regulatory Organization with jurisdiction over BSEF, and their respective Authorized

Representatives.

(e) Each Participant, Clearing Member and market participant shall keep all books

and records required to be kept by it pursuant to these Rules for a period of five years from the

date on which they are first prepared unless otherwise provided in these Rules or required by

Applicable Law. Such books and records shall be readily accessible during the first two years of

such five-year period. During such five-year period, all such books and records shall be made

available for inspection by, and copies thereof shall be delivered to, BSEF and its Authorized

Representatives upon request.

(f) Each Participant and Authorized Trader shall provide the NFA with the same

access to its books and records and offices as it is required to provide BSEF under these

Rules and Applicable Law.

(g) BSEF may require a Participant, Clearing Member and market participant to

furnish such information concerning the Participant or Clearing Member’s business that is

subject to these Rules as BSEF deems necessary to enable it to perform its obligations under

Applicable Law, including information relating to (i) Swaps executed on the SEF operated by

BSEF and in related derivatives markets, including in the products underlying those Swaps, and

(ii) information requested by a government agency relating to the SEF and/or BSEF’s
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compliance with Applicable Law that BSEF believes is maintained by, or otherwise in the

possession of, a Participant or Clearing Member.

(h) All data and information provided to or obtained by BSEF pursuant to this Rule

409 shall be subject to the provisions of Rule 805.

(i) A DMA Customer can delegate the maintenance of the DMA Customer’s

records required by CFTC Regulation 1.35 for transactions executed on BSEF to its Sponsoring

Broker; provided, however, that the DMA Customer has an agreement with its Sponsoring

Broker regarding the maintenance of such records. The DMA Customer shall remain ultimately

responsible for all CFTC Regulation 1.35 recordkeeping obligations, including any records not

covered by the agreement with its Sponsoring Broker. Notwithstanding anything to the contrary

in this Rule 409.A, the DMA Customer shall remain directly responsible for the maintenance of

all records set forth in Rule 409.A(d).

RULE 409.B. BSEF Books and Records

BSEF shall keep, or cause to be kept, complete and accurate books and records, including

all books and records required to be maintained pursuant to the CEA, the CFTC Regulations or

the BSEF Rules as required by CFTC Regulation 1.31.

RULE 410. Responsibility for Mandatory Trading

Each Participant that is a Swap Dealer or Major Swap Participant shall be responsible for

compliance with the mandatory trading requirement under Section 2(h)(8) of the CEA and shall

not enter into any Required Transaction outside a SEF that lists a Swap related to such Required

Transaction.

RULE 411. Eligibility for Clearing Exempt Transactions

(a) Each Participant wishing to execute any Clearing Exempt Transaction on the

SEF operated by BSEF must submit to BSEF documentation demonstrating its eligibility (or

the eligibility of its relevant Client or Customer, if applicable) for a Clearing Exception (a

“Clearing Exception Form”) required by CFTC Regulations or CFTC Staff No-Action

Letters prior to sending an RFQ or placing an Order subject to the Clearing Exception.

(b) Each Participant must comply with the conditions of the applicable

Clearing Exception.

CHAPTER 5. TRADING PRACTICES, REPORTING, CLEARING

AND BUSINESS CONDUCT

RULE 501. Scope

This Chapter 5 prescribes Rules concerning trading practices and business conduct on the

SEF operated by BSEF and applies to all RFQs, Orders and Trades in Swaps as defined in

Chapter 1.

RULE 502. Procedures

(a) With respect to trading on or though the SEF Platform or subject to BSEF Rules,

BSEF may adopt, without limitation, procedures relating to transactions in Swaps and trading
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on the SEF Platform or subject to BSEF Rules, including procedures to:

disseminate the prices of bids and offers on, and trades in, Swaps;

record, and account for, Swaps and SEF Activity and regulate

administrative matters affecting Swaps and SEF Activity;

establish limits on the number and/or size of RFQs or Orders that may

be submitted by a Participant through the SEF Platform or subject to BSEF Rules;

establish limits on the aggregate notional amount of Swaps that may be

held by a Participant;

establish a limit on the maximum daily price fluctuations for any Swap

and provide for any related restriction or suspension of trading in the Swap; and

establish minimum price quoting increments for each Swap.

(b) BSEF may, in its discretion and at any time, amend any procedures adopted

pursuant to Rule 502(a), and will publish the amendments in a Notice to Participant or in

any other manner determined appropriate by BSEF.

RULE 503. Business Days and Trading Hours

Except as provided in Rule 212 with respect to Emergencies, BSEF shall determine and

publish a Notice to Participants listing the Business Days of the SEF operated by BSEF and the

Trading Hours for each Swap.

RULE 504. Rule Violations

(a) It shall be an offense for a Participant, Account Manager, DMA Customer,

Authorized Trader or Supervised Person to violate any BSEF Rule regulating the conduct or

business of a Participant or its Account Managers, Authorized Traders or Supervised Persons,

or any agreement made with BSEF, or to engage in fraud, dishonorable or dishonest conduct, or

in conduct which is inconsistent with just and equitable principles of trade.

(b) Participants shall assist BSEF in any investigation into potential violations of the

BSEF Rules or, with respect to the SEF Activity, the CEA. Such assistance must be timely and

may include, but not be limited to, producing documents, answering questions from BSEF or its

designee, and/or appearing in connection with an investigation.

(c) If a Participant has actual or constructive notice of a violation of BSEF Rules in

connection with the use of the SEF operated by BSEF by a Participant, Customer, Account,

Clearing Member or Authorized Trader and the Participant fails to take appropriate action,

the Participant may be found to have committed an act detrimental to the interest or welfare

of the SEF operated by BSEF.

RULE 505. Fraudulent Acts

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised

Person or any market participant shall (a) intentionally or recklessly, directly or indirectly,
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engage, or attempt to engage, in any fraudulent act or intentionally or recklessly, directly or

indirectly, use or employ, or attempt to use or employ, any manipulative device, scheme or

artifice to defraud, deceive, trick or mislead or intentionally or recklessly, directly or

indirectly, engage, or attempt to engage in any other activity prohibited by CFTC

Regulation 180.1(a), or

(b) engage, or attempt to engage, in any other activity prohibited by CEA section 9(a)(2), in each

case of (a) and (b) in connection with or related to any SEF Activity. Specifically, no Participant,

Account Manager, DMA Customer, Authorized Trader or Supervised Person shall directly or

indirectly, engage in front running, fraudulent trading, money passes, trading ahead of

customers, trading against customers, accommodation trading or improper cross trading.

RULE 506. Prohibited Transactions

RULE 506.A Fictitious or Wash Transactions

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised

Person or any market participant that directly or indirectly effects a transaction on the SEF

operated by BSEF shall create fictitious transactions or wash transactions or execute any Order

with knowledge of its nature. No Person shall place or accept Orders in the same Swap where

the Person knows or reasonably should know that the purpose of the Orders is to avoid taking a

bona fide market position exposed to market risk (transactions commonly known or referred to

as wash sales). Orders for different accounts with common beneficial ownership that are entered

with the intent to negate market risk or price competition shall also be deemed to violate the

prohibition on wash trades. Additionally, no Person shall knowingly execute or accommodate

the execution of such Orders by direct or indirect means.

RULE 506.B Pre-arrangedArranged Transactions

No Participant, Account Manager, DMA Customer or Authorized Trader shall engage in

a pre-arranged transaction except as permitted by Rule 516, Rule 521 or Rule 531.

RULE 507. Pre-Execution Communications

(a) Pre-Execution Communications with respect to Swaps executed through the

Order Book shall be prohibited except in the case of Trades executed in accordance with

Rule 521.

(b) Pre-Execution Communications are permitted with respect to Swaps executed

through the Request for Quote Functionality or Manual Order Ticket in accordance with

Rule 522.

RULE 508.A Price Manipulation

No Participant, Account Manager, DMA Customer, Authorized Trader, Supervised

Person or any market participant shall directly or indirectly engage in any conduct that

manipulates or attempts to manipulate the price of any Swap, including without limitation,

engaging in activity in violation of CFTC Regulation 180.2.

RULE 508.B Disruptive Practices

(a) No Participant, Account Manager, DMA Customer, Authorized Trader or
40

Supervised Person shall engage in any trading, practice or conduct that constitutes a

“disruptive practice,” as such term is described in CEA section 4c(a)(5) or in any

interpretive guidance issued by the CFTC, in relation to the trading of any Swap.

(b) A Participant may post on the CLOB and submit an RFQ to the SEF Platform

in the same Swap at the same time using the same Participant ID only as permitted by Rule

508.B(a) and Rule 508.A.

RULE 508.C Post-Trade Anonymity

(a) It is prohibited to disclose, directly or indirectly, including through a third-party

service provider, the identity of a counterparty for swapsCleared Swaps executed, pre-arranged

or pre- negotiated anonymously on or pursuant to the rules of the SEF operated by BSEF and

intended to be cleared.

(b) Prohibition on post-trade name give-up shall not apply to components of a

Package Transaction that are uncleared swaps or non-swap instrumentsnot Cleared

Swaps.

(c) The compliance date for swaps subject to the trade execution requirement

under section 2(h)(8) of the CEA is November 1July 5, 20202021.

RULE 509. Prohibition of Misstatements

It shall be an offense to make any knowing misstatement of a material fact to BSEF, any

SEF Official, any Board committee or SEF panel, the Compliance Department and/or agents of

BSEF (including the Regulatory Services Provider) or any Participant or any of its Account

Managers, Authorized Traders or Supervised Persons.

RULE 510. Acts Detrimental to Welfare of SEF

It shall be an offense to engage in any act that is detrimental to the interest or welfare of

the SEF operated by BSEF.

RULE 511. Adherence to Law

(a) No Participant, Account Manager, Customer, Authorized Trader or Supervised

Person shall engage in conduct in violation of the BSEF Rules, the Act, CFTC Regulations,

the Rules of any SEF, or the rules of any DCM, DCO or SRO that has jurisdiction over such

Participant, Account Manager, Customer, Authorized Trader or Supervised Person or, with

respect to SEF Activity, the laws, rules or regulations of any relevant Governmental Body.

(b) Without limiting subsection (a) of this Rule,

each Participant that is an FCM or a Clearing Member must comply with all

requirements of Applicable Law regarding the treatment of Customer

funds and Customer Orders; and

each Participant, Customer or Account must comply with all margin

requirements established by each relevant Clearing House and by each relevant Clearing

Member, if applicable, as well as any margin requirements set forth by the CFTC or
41

Applicable Law.

RULE 512. Use of Trading Privileges

No Participant, Account Manager, DMA Customer, Authorized Trader or Supervised

Person may use such Participant’s Trading Privileges in any way that could be expected to bring

disrepute upon such Participant, Account Manager, DMA Customer, Authorized Trader or

Supervised Person.

RULE 513. Supervision

Each Participant, DMA Customer and Account Manager shall be responsible for

establishing, maintaining and administering reasonable supervisory procedures to ensure that its

Authorized Traders and Supervised Persons, as applicable, comply with the BSEF Rules, the

Act, CFTC Regulations, the Rules of any SEF, or the rules of any DCM, DCO or SRO that has

jurisdiction over such Participant, Account Manager, DMA Customer, Authorized Traders or

Supervised Persons or, with respect to SEF Activity, the laws, rules or regulations of any

relevant Governmental Body, and such Participant may be held accountable for the actions of

such Account Managers, Authorized Traders or Supervised Persons.

RULE 514. Misuse of the SEF Platform

Misuse of the SEF Platform is strictly prohibited. Only Swaps can be traded on the SEF

operated by BSEF. It shall be deemed an act detrimental to the interest and welfare of the SEF

operated by BSEF to willfully or negligently engage in unauthorized use of the SEF Platform, to

assist any Person in obtaining unauthorized access to the SEF Platform, to trade on the SEF

Platform without an agreement and an established account with a Derivatives Clearing

Organization or a Clearing Member, to alter the equipment associated with the SEF Platform, to

interfere with the operation of the SEF Platform, to intercept or interfere with information

provided thereby, or in any way to use the SEF Platform in a manner contrary to the BSEF

Rules.

Please see Notice to Participants 2017-2, which is posted on BSEF’s website.

RULE 515. Mishandling of Customer Orders

Any Participant that mishandles any Customer Order is responsible for all remedial

actions with respect to such Order.

RULE 516. Trade Cancellation, Correction, Offset and Adjustment

– General

Please see Notices to Participants 2015-1, 2016-5A, 2016-8 and 2020-1 (which addresses

Alleged Error Trades intended to be corrected as set forth in Rule 516.A(c)), which are posted

on BSEF’s website.

(a) Any Trade executed on the SEF operated by BSEF or in accordance with BSEF Rules

can be canceled, corrected, adjusted or offset only in accordance with this Rule 516.

(b) For purposes of this Rule 516, a Participant involved in an Alleged Error Trade and

acting as an Account Manager, Introducing Broker or FCM shall have the authority to request or

consent to the cancellation, adjustment or offset, as applicable, of such Trade on behalf of the
42

relevant Counterparty involved in the Trade.

(c) Timing of an Offset or Correction – Cleared Swaps

(i) For Error Trades (as defined below) rejected by a Clearing House for noncredit reasons, the new Trade must be executed on the SEF operated by BSEF and

submitted for clearing as quickly as technologically practicable after receipt of notice of

the rejection by the Clearing House to the Clearing Members, but, in any event, no later

than one hour from the issuance of the notice.

(ii) For Error Trades, the Trade to offset the Error Trade or the new Trade that

corrects the error in the Error Trade executed pursuant to this Rule 516 must be executed

and submitted for clearing no later than three Business Days after the Error Trade was

executed.

(iii) For Alleged Error Trades (as defined below) intended to be corrected as

set forth in Rule 516.A(c), the Trade to offset the Alleged Error Trade or the new Trade

that corrects the error in the Alleged Error Trade must be executed and submitted for

clearing as quickly as technologically practicable, but no later than 24 hours after the

Alleged Error Trade was executed, except as otherwise set forth in Rule 516.A(c).

(d) Timing of a Correction, Cancellation or Adjustment – Non-Cleared Swaps. Any

correction, cancellation or adjustment of a Trade in Non-Cleared Swaps made pursuant to

this Rule 516 shall be made no later than three Business Days after the erroneous Trade was

discovered.

RULE 516.A Trade Review and Notification of Action Taken –

Cleared Swaps

(a) Except as set forth in subsection (c) of this Rule, to request cancellation,

correction, adjustment or offset of a Trade in Cleared Swaps alleged to be erroneous (“Alleged

Error Trade”), a Participant must notify the BSEF Support Desk at 1-212-617-1530 or

bsefdesk@bloomberg.net or by any form of written communication approved by BSEF by

providing the Trade ID (FIT Key) of the Alleged Error Trade and stating the grounds for the

request as soon as possible, but no later than the end of the Business Day following the date of

execution of the Alleged Error Trade. For notifications received after such date, BSEF shall

have discretion as to whether to review the request to cancel, correct, adjust or offset the

Alleged Error Trade.

(b) Except as set forth in subsections (c) and (d) of this Rule, for an Alleged Error

Trade, the Compliance Department will review promptly the electronic audit trail of the Alleged

Error Trade as well as any facts and circumstances associated with the Alleged Error Trade. If

BSEF makes an affirmative finding that the Alleged Error Trade was the result of a clerical or

operational error and that the cancellation, correction, adjustment or offset of the Alleged Error

Trade is appropriate and would not adversely impact market integrity, facilitate market

manipulation or other illegitimate activity, or otherwise violate the CEA, CFTC Regulations or

BSEF Rules, BSEF will designate such Alleged Error Trade as an “Error Trade.”

(c) If Participants involved in an Alleged Error Trade agree that the Alleged Error

Trade was the result of an operational or clerical error or omission and that the cancellation,

correction, adjustment or offset of the Alleged Error Trade is appropriate and will not adversely

impact market integrity, facilitate market manipulation, or other illegitimate activity, or
43

otherwise violate the CEA, CFTC Regulations or BSEF Rules, Participants may enter into a

Trade with Offsetting Terms to correct an Alleged Error Trade or into a correcting Trade using

functionality approved by BSEF, as specified in Notice to Participants 2020-1, without

Compliance Department review, as set forth in Rule 516(c)(iii). Use of such functionality

required by BSEF will constitute notice to the Compliance Department.

(d) For an Alleged Error Trade, corrected pursuant to subsection (c) of this Rule

516.A, the Compliance Department will conduct an ex post facto review of the Alleged Error

Trade, the Trade with Offsetting Terms and the correcting Trade within one Business Day of the

date of execution of the Trade with Offsetting Terms and the correcting Trade. Such ex post

facto review will include a review of the electronic audit trail of the Alleged Error Trade, as well

as other facts and circumstances associated with the Alleged Error Trade. If BSEF makes an

affirmative finding that the Alleged Error Trade was offset and corrected in compliance with

subsection (c) of this Rule 516.A, BSEF will make an affirmative finding that such Alleged

Error Trade was an Error Trade. If BSEF makes an affirmative finding that such Alleged Error

Trade was not an Error Trade, BSEF Compliance will consider any action appropriate under

BSEF Rules.

(e) Except as set forth in subsection (c) of this Rule 516.A, BSEF will inform

affected Participants of the Error Trade and of the next steps that the Participants must or could

make. BSEF will also inform the affected Participants of the final disposition of the Error Trade.

(f) Except for a Trade executed via the CLOB, BSEF may, but is not obliged to,

inform Participants affected by the Alleged Error Trade of the identity and contact information of

any other Participant affected by the Alleged Error Trade.

(g) For Trades executed via the CLOB that are determined to be Error Trades, BSEF

will not inform Participants affected by the Error Trade of the identity and contact information

of any other Participant affected by the Error Trade and will facilitate a pre-arranged Trade with

Offsetting Terms or a new Trade that corrects the error in the Error trade if all such Participants

agree to or are required to enter into Trades described in Rule 516.B.

RULE 516.B Error Trade Cancellation, Correction, Adjustment and Offset

– Cleared Swaps

(a) Participant Errors

(i) For each Error Trade cleared by a Clearing House, BSEF may, if both

Participants agree:

(A) request, or allow the Participants to request, the

appropriate Clearing House to cancel, correct or adjust the Error

Trade; or

(B) allow the affected Participants to enter into a pre-arranged Trade

with Offsetting Terms to offset the position on the books of the

Clearing House that resulted from the Error Trade; and/or

(C) if desired by the affected Participants, allow the affected

Participants to execute a new Trade that corrects the error in the

Error Trade, provided, however, that the terms of such new Trade

shall not include costs or fees associated with the Error Trade.
44

(ii) For each Error Trade rejected by a Clearing House and determined to be

void ab initio under Rule 533 because of an operational or clerical error or omission

made by a Participant, Counterparty or Account Manager, BSEF may, if both Participants

agree, allow the affected Participants to enter into a new pre-arranged Trade correcting

the terms of the rejected Error Trade.

(iii) All BSEF Rules other than Rule 522.A shall apply to new Trades

executed by Participants pursuant to this Rule 516.B(a).

(iv) Participants must report to BSEF as soon as possible all changes made

to the Error Trade pursuant to Rule 516.B(a)(i)(A).

(v) With respect to an Error Trade rejected by a Clearing House for non-credit

reasons, if the new Trade that corrects the Error Trade is also rejected by the Clearing

House and void ab initio, the affected Participants will not be provided a second

opportunity to correct the Error Trade.

(b) System Errors

(i) If, after its own investigation or a notice from a Participant, BSEF

determines in its sole discretion that the execution of a Trade cleared by a Clearing House

was the result of an error made by the SEF Platform and the Trade has been designated as

an Error Trade, then BSEF may:

(A) request, or allow the Participants to request, the

appropriate Clearing House to cancel, correct or adjust the Error

Trade; or

(B) direct the affected Participants to enter into a pre-arranged Trade

with Offsetting Terms to offset the position on the books of the

Clearing House that resulted from the Error Trade; and/or

(C) direct the affected Participants to execute a new Trade that

corrects the error in the Error Trade, provided, however, that the terms of

such new Trade shall not include costs or fees associated with the Error

Trade.

(ii) If, after its own investigation or a notice from a Participant, BSEF

determines in its sole discretion that the execution of a Trade rejected by a Clearing

House and determined to be void ab initio under Rule 533 because of an operational or

clerical error or omission made by the SEF Platform was the result of an error made by

the SEF Platform and the Trade has been designated as an Error Trade, then BSEF may

direct the affected Participants to enter into a new pre-arranged Trade correcting the

terms of the rejected Error Trade, provided, however, that the terms of such new Trade

shall not include costs or fees associated with the Error Trade.

(iii) If BSEF directs affected Participants to enter into a pre-arranged Trade

in accordance with sub-section (i)(B) above, the affected Participants shall enter into

such pre-arranged Trade.
45

(iv) All BSEF Rules other than Rule 522.A shall apply to new Trades executed

by Participants pursuant to this Rule 516.B(b).

(v) Notwithstanding anything to the contrary in this Rule 516(B)(b), BSEF

reserves the right to correct an Error Trade resulting from an error made by the SEF

Platform by any means BSEF deems appropriate.

(vi) If BSEF is unable to determine how to correct the Error Trade, BSEF may

either not fix the error, or it may seek guidance on how to address the error from the

affected Participants. Any such guidance may not be implemented without consent from

both Participants.

(vii) Participant must report to BSEF as soon as possible all changes made

to the Error Trade pursuant to Rule 516.B(b)(i)(A).

(viii) With respect to an Error Trade rejected by a Clearing House for non-credit

reasons, if the new Trade that corrects the Error Trade is also rejected by the Clearing

House and void ab initio, the affected Participants will not be directed to enter into

another Trade to correct the Error Trade.

RULE 516.C Erroneous Trade Cancellation, Correction and Adjustment –

Non-Cleared Swaps

(a) Participant Error

The Participants involved in an erroneous Trade, other than a Prime Broker

Trade, may mutually agree to cancel the erroneous Trade or to correct or adjust the

erroneous Trade. BSEF will cancel, correct or adjust the erroneous Trade as instructed

by the affected Participants. A Prime Broker Trade shall be canceled in accordance

with Rule 516.D.

(b) System Error

If, after its own investigation or a notice from a Participant, BSEF

determines in its sole discretion that the execution of a Trade, other than a Prime Broker

Trade, was the result of an error made by the SEF Platform, then BSEF may:

(A) cancel such Trade; or

(B) if both Participants, or with respect to a Prime Broker Trade, both

Participants and the Prime Broker, affected by the erroneous Trade agree,

correct or adjust the price.

RULE 516.D Prime Broker Trades

(a) A Participant that is a Counterparty to a Prime Broker Trade may request the

cancellation of a Prime Broker Trade. The Participant must request cancellation by sending a

cancellation message to BSEF. The cancellation message must state the USI of the Prime Broker

Trade, name and contact information of the Prime Broker for the Prime Broker Trade and the

reason for cancellation. If the Prime Broker confirms the cancellation, BSEF will cancel the
46

Prime Broker Trade.

(b) Subject to subsection (c) of this Rule, a Prime Broker shall have the right to

cancel any Prime Broker Trade (i) that is executed in excess of the limit, terms or parameters

established by the Prime Broker with respect to the Prime Broker Trade, (ii) because the Prime

Broker Trade was executed by or with a Person that was not authorized by the Prime Broker, or

(iii) because the Prime Broker Trade was executed for an unauthorized product. The Prime

Broker must request cancellation by sending a cancellation message to BSEF. The cancellation

message must state the USI of the Prime Broker Trade and the reason for cancellation. If BSEF

determines that the cancellation satisfies the conditions of Rule 516.D(b), BSEF will cancel the

Prime Broker Trade.

(c) Each Prime Broker that wishes to have the ability to instruct BSEF to

cancel Trades executed on BSEF under Rule 516.D.(b) must enter into an agreement with

BSEF.

RULE 516.E Trade Cancellation and Adjustment by BSEF

(d) BSEF may adjust or cancel a Trade (i) that resulted from a market disrupting

event, (ii) that is executed at a price that was outside the No-Bust Range, (iii) to comply with

Applicable Law or (iv) that was intended to be cleared and was submitted to a Clearing

House via a service provider but was not presented to the Clearing House for clearing due to

a post- execution processing issue. Please see Notice to Participants 2016-5A, which is

posted on BSEF’s website.

(e) If BSEF takes action pursuant to this Rule 516.E, it will give prompt notice to

affected Participant(s).

RULE 516.F Trade Reporting by BSEF

BSEF will report the adjustment or cancellation of the Trade and any new Trade entered

into pursuant to this Rule in accordance with Rule 532.

RULE 517. Withholding Orders Prohibited

(a) Any Participant entering RFQs or Orders on the SEF operated by BSEF for its

Customers shall not withhold or withdraw from the market any RFQ or Order, or any part of an

RFQ or Order, for the benefit of any Person other than the Customers.

(b) A Participant must enter immediately into the SEF operated by BSEF all Orders

or Requests for Quotes received from its Customers that are executable immediately. If a

Participant cannot immediately enter into the SEF Platform an Order or Request for Quote

received from its Customer, the Participant must enter the Order or Request for Quote into the

SEF operated by BSEF as soon as practicable, and must immediately create an electronic record

as provided in Rule 409.

RULE 518. Priority of Customers’ Orders

No Participant that is an FCM or Introducing Broker shall enter an Order into the SEF

operated by BSEF for his own account, an account in which he has a direct or indirect financial

interest or an account over which he has discretionary trading authority, including an Order

allowing discretion as to time and price, when such Person is in possession of any Order in the
47

same Swap for its Customer that the SEF operated by BSEF is capable of accepting.

RULE 519. Trading Against Customers’ Orders

Prohibited RULE 519.A. General Prohibition

No Person in possession of a Customer’s Order shall knowingly take, directly or

indirectly, the opposite side of such Order for its own account, an account in which it has a direct

or indirect financial interest, or an account over which it has discretionary trading authority.

RULE 519.B. Exceptions

The foregoing restriction shall not apply to transactions executed pursuant to Rule 531.A

or Rule 531.B.

RULE 520. Disclosing Orders Prohibited

No Person shall disclose another Person’s RFQ or Order to buy or sell except to a

designated SEF Official or the CFTC, and no Person shall solicit or induce another Person to

disclose RFQ or Order information. No Person shall take action or direct another to take action

based on non-public RFQ or Order information, however acquired.

RULE 521. Simultaneous Buy And Sell Orders For Different

Beneficial Owners

(a) A Participant that is a broker or a dealer which seeks either to execute against a

Customer’s Order or to execute two Customers against each other through an Order Book

following some form of pre-arrangement or pre-negotiating of such Orders must expose one side

of the transaction for a minimum of 15 seconds to the other Participants before the second side

of the transaction (whether for the Participant’s own account or for a second Customer) can be

submitted for execution.

(b) Notwithstanding the foregoing clause (a), this Rule shall not apply to any DMA

(c)

Order.

RULE 522. Execution of Orders on the SEF Platform

RULE 522.A. Required Transactions and Cleared

Swaps

(a) No Participant shall execute a Required Transaction in a Swap listed on the

SEF

 operated by BSEF other than as described in this Rule 522.A unless it is a Block

Trade.

(b) Request for Quote Functionality

(i) An RFQ for a specific Swap must be sent to at least three MAT

Recipient Participants. A Participant is prohibited from sending an RFQ to less than

three MAT Recipient Participants.
48

(ii) Together with the first response from any MAT Recipient Participant, the

SEF Platform will display to a Requesting Participant any firm Resting Quotes for the

Swap indicated in the RFQ that are posted on an Order Book together with any responses

to the RFQ from the MAT Recipient Participants, and such Resting Quotes will remain

displayed until all responses to the RFQ are received or the time for response has lapsed.

The SEF Platform will permit the Requesting Participant to execute against such firm

Resting Quotes along with any responsive Order from a MAT Recipient Participant.

“MAT Recipient Participant” means, with respect to any Requesting Participant

sending any RFQ via the Request for Quote functionality of the SEF Platform, a

Participant other than the Requesting Participant that (x) is not an Affiliate of or

Controlled by the Requesting Participant and (y) is not an Affiliate of or Controlled by

any other MAT Recipient Participant receiving the same RFQ of the Requesting

Participant.

(iii) The Request for Quote Functionality will provide each Participant

with equal priority in receiving RFQs, transmitting and displaying responses and

accepting resulting Orders.

(c) Anonymous CLOB for Cleared Swaps

Only firm bids and offers can be posted on the CLOB. Firm bids or offers may be

posted on the CLOB for Cleared Swaps only by a Participant that is a member of the applicable

Clearing House, by a Participant that has a clearing account with a Clearing Member as set forth

in Rule 533(b), or by a Participant in the name of an Account or Customer that has a clearing

account with a Clearing Member as set forth in Rule 533(b). Bids and offers posted on the

CLOB for Cleared Swaps are anonymous and will be matched on a price/time priority basis.

BSEF shall not disclose the names of Participants or Counterparties for a Trade executed on the

CLOB and it shall be a violation of the Rules for a Participant or Counterparty to ascertain or

attempt to ascertain the name of the Participant or Counterparty that is on the opposite side of a

Trade executed on the CLOB.

RULE 522.B. Permitted Transactions

The following execution methods are available for Permitted Transactions:

(a) Disclosed Order Book for Permitted Transactions in precious metal and

foreign exchange Swaps;

(b) Anonymous CLOB for Permitted Transactions in rate Swaps and credit Swaps

that are Cleared Swaps;

(c) Disclosed CLOB for Permitted Transactions in rate Swaps and credit Swaps

that are Non-Cleared Swaps;

(d) Request For Quote Functionality-request for streaming quote for rate Swaps,

credit Swaps, non- deliverable forwards and precious metals Swaps;

(e) Request For Quote Functionality-request for non-streaming quote for all Swaps;

and
49

(f) Manual Order Ticket for Permitted Transaction rate Swaps and credit Swaps that are

Cleared Swaps.

RULE 522.C. Package Transactions

(a) Other than as set forth in Rule 522.C(b), a Package Transaction or a component

of a Package Transaction that is a Required Transaction must be executed as provided in Rule

522.A.

(b) A Covered Package Transaction or a component of a Covered Package

Transaction that is a Required Transaction may be executed using the following means of

execution for Permitted Transactions in accordance with CFTC Rule 37.9(d) or No-Action Letter

20-31, which expires November 15, 2022:

(i) Request For Quote Functionality-request for non-streaming quote; and

(ii) Manual Order Ticket.

(c) Please also see Notice to Participants 2016-1, which is posted on BSEF’s website.

RULE 522.D. Execution of Swaps Subject to the Clearing Exemption

No Participant shall enter into a Clearing Exempt Transaction unless it (or its Account or

Customer) or its Counterparty can claim a Clearing Exception with respect to such Clearing

Exempt Transaction. An Order for a Clearing Exempt Transaction will be rejected if an

applicable Clearing Exception Form is not on file with BSEF.

RULE 522.E. Block Trades in Cleared Swaps

(a) In accordance with CFTC No-Action Letter 20-35, which expires December 30,

2022 at 11:59 p.m. EST, Block Trades in Cleared Swaps may be executed using the Request for

Quote Functionality or a Manual Order Ticket and reported to an SDR as set forth in BSEF

Rule 532(d).

(b) Each Counterparty to a Block Trade must be an ECP.

(c) The aggregation of Orders for different accounts in order to satisfy the Minimum

Block Trade size is permissible only by a Person who is a Qualified Account Manager.

(d) A Qualified Account Manager transacting an aggregated Block Trade on behalf of

any other Person must receive prior Written instruction or consent from each such other Person

to do so. Such instruction or consent may be provided in the power of attorney or similar

document by which the other Person provides the Person with discretionary trading authority or

the authority to direct the trading in its account.

RULE 523. Trade Confirmations

(a) BSEF will confirm each Trade at the same time as execution of the Trade. BSEF

will provide each Counterparty to a Trade that is entered into on or pursuant to the BSEF Rules

with a Written record of all of the terms of the Trade which shall legally supersede any previous

agreement and serve as a confirmation of the transaction (a “Confirmation”) as soon as

technologically practicable after the execution of a Trade. Such terms shall legally supersede any

previous agreement and serve as a confirmation of the Trade. BSEF will not include specific
50

A Package

Transaction

defined on the

SEF Platform

as “rolls”

is attached to this

A Trade that

is not a leg of

a Package

Transaction

Package

Transactions

executed via

the BOLT

functionality of

the SEF

Platform

the relevant

customer identifiers for accounts included in Bunched Orders if the applicable requirements of

CFTC Regulation 1.35(b)(5) are met.

(b) On the Confirmation BSEF will:

(i) provide the USI for the Trade and the name of the SDR where the Trade is

reported;

(ii) identify the Counterparty that is a Reporting Counterparty pursuant to

CFTC Regulation 45.8, and notify each Counterparty or its agent if the Counterparty is a

Reporting Counterparty, using the information provided by a Participant pursuant to

Rule 524.A or 524.C; and

(iii) if both Counterparties have equal reporting status under CFTC

Regulation 45.8, BSEF will designate the Reporting Counterparty using the following

rules:

(A) For the rates asset class, the Reporting Counterparty will

be determined as set forth in the table below:

Rulebook as

Annex A

in accordance

with the ISDA

Dodd-Frank Act

– Swap

Transaction

Reporting Party

Requirements,

the relevant

portion of which

is attached to this

Rulebook as

Annex A

A Package

Transaction

defined on the

SEF Platform

as “curves”

the fixed rate

payer on the leg

with longer

maturity is the

Reporting

Counterparty on

all legs

portion of which

is attached to this

Rulebook as

Annex A

(B) For the credit asset class, the Reporting Counterparty will be

determined as set forth in the table below:

the fixed rate

payer on the leg

with the middle

tenor (“body”) is

the Reporting

Counterparty on

all legs

A Trade that is not a

Package Transaction

A Package

Transaction

defined on the

SEF Platform

as “butterflies”

A Package

Transaction defined

on the SEF

the fixed rate

payer of the far

month leg is the

Reporting

Counterparty on

all legs

A Package Transaction

defined on the SEF

Platform as a “roll”

A Package

Transactions

defined on the SEF

on an individual

leg basis in

accordance with

the ISDA DoddFrank Act –

Swap

Transaction

Reporting Party

Requirements,

the relevant

portion of which

is attached to this

Rulebook as

Annex A
51

the seller of protection

is the Reporting

Counterparty

the seller of protection

on the leg with longer

maturity is the

Reporting

Counterparty on all

legs

Platform as a

“curve”

the seller of protection

on the leg with longer

maturity is the

Reporting

Counterparty on all

legs

the seller of

protection on the

second leg of the

switch (as displayed

on the SEF Platform)

is the reporting

counterparty for all

legs

(C) For the foreign exchange and commodity asset classes: the

Reporting Counterparty is the liquidity provider. For a Package

Transaction, Reporting Counterparty will be determined on an individual

leg basis and is the liquidity provider. A “liquidity provider” is a Person

that: (i) for RFQ, provided the responses to an RFQ that led to the reported

Trade; or (ii) for an Order Book, provided the first quote that led to the

reported Trade.

(c) With respect to any Non-Cleared Swap, a Confirmation shall for purposes of

Commission Regulation 37.6(b) consist of the Trade Communication and the Terms

Incorporated by Reference. In the event of any conflict between (x) the Trade Communication

and (y) the Terms Incorporated by Reference, the Trade Communication shall prevail to the

extent of any inconsistency and the Trade Communication will state the same.

“Trade Communication” shall mean a Written communication provided by

BSEF to each Participant involved in a Trade containing the economic terms of

the Trade agreed by the Participants on the SEF operated by BSEF.

“Terms Incorporated by Reference” shall mean the Non-Cleared Swap

Agreement(s) governing the Trade memorialized in the Trade Communication.

(d) In accordance with CFTC No-Action Letter 16-25 and CFTCwithCFTC

No-Action Letter 17-17, until the effective date of revised CFTC regulations that establish a

permanent, practicable SEF confirmation solution, Participants entering into Non-Cleared

Swaps on or subject to the rules of the SEF operated by BSEF are not required to provide to

BSEF the Non- Cleared Swap Agreement(s) governing such

Non-Cleared Swaps prior to entering into a Trade in a Non-Cleared Swap, but must provide

copies of the Non-Cleared Swap Agreement(s) to BSEF upon request. Upon request from the

Commission, BSEF will request a Participant to provide copies of the applicable Non-Cleared

Swap Agreement(s) and will provide such copies to the Commission.

RULE 524. Order Entry Requirements

Please see Notice to Participants 2017-1, which is posted on BSEF’s website.

RULE 524.A. General

Each Authorized Trader entering an RFQ or Order with respect to any Swap traded on

the SEF operated by BSEF must include with the Order, as applicable:

Platform as a

“switch”
52

(a) the Trader ID;

(b) the Participant ID;

(c) the Legal Entity Identifier of the Participant or Account Manager placing the RFQ

or Order, if available;

(d) the Counterparty’s Legal Entity Identifier;

(e) the Swap description or code;

(f) the price or yield, quantity, maturity or expiration date of the Swap;

(g) side of the Order;

(h) the CTI code;

(i) Trading Accounts and other relevant account(s);

(j) a yes/no indication of whether the Counterparty is a Swap Dealer with respect to

the Swap with respect to which the Order is placed;

(k) a yes/no indication of whether the Counterparty is a Major Swap Participant with

respect to the Swap with respect to which the Order is placed;

(l) a yes/no indication of whether the Counterparty is a Financial Entity;

(m) a yes/no indication of whether the Counterparty is a U.S. person;

(n) a yes/no indication that a Swap is an inter-affiliate Swap that should not be

subject to the real-time reporting requirements;

(o) a yes/no indication of the Clearing Exception;

(p) an indication of whether the Swap is a leg of a Covered Package Transaction that is a

Swap subject to (i) the trade execution requirement of Section 2(h)(8) of the Act and (ii)

relief granted by CFTC No-Action Letter 16-76;

(q) if applicable, other terms of a Swap that is not a Cleared Swap required by BSEF

(e.g., type of Clearing Exception, collaterization); or

(r) if the Swap will be allocated:

(i) an indication that the Swap will be allocated; and

(ii) the Legal Entity Identifier of the Account Manager.

RULE 524.B. Customer Type Indicator (CTI) Codes

Each Participant must identify each transaction submitted to the SEF operated by BSEF

with the correct customer type indicator code (a “CTI” code). The CTI codes are as follows:

CTI 1- Transactions executed by a Participant for its own account, for an account it
53

controls, or for an account in which it has an ownership or financial interest.

Applies to Trades placed by Account Managers and proprietary traders other than

FCMs and Introducing Brokers.

CTI 2- Transactions executed for the Proprietary Account of a Participant. Applies to

FCMs and Introducing Brokers trading for their Proprietary Accounts.

CTI 3- Orders that a Participant executes on behalf of another Participant, or for an

account such other Participant controls or in which such other Participant has an

ownership or financial interest. Applies to Trades placed by a DMA Customer

using the Participant ID of the Sponsoring Broker.

CTI 4- Any transaction not meeting the definition of CTIs 1, 2 or 3. Applies to Trades

placed by FCMs and Introducing Brokers for their Customers and anything else.

RULE 524.C. Pre-Arranged Transactions

All Trades executed in accordance with Rule 531, unless otherwise exempted by a Rule,

must be in the form of a Written or electronic record and include in the Order ticket all

information required by Rule 524.A.

RULE 525. Position Limits

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate,

position limitations for speculators. Where the CFTC has established a position limit for any

Swap, BSEF’s position limit for that Swap shall not be higher than such limit established by

the CFTC. Such limits will apply only with respect to trading on the SEF operated by BSEF.

(b) Except as otherwise provided by the BSEF Rules, no Person, including a

Participant, may hold or control a position in excess of such position limits and a Participant

may not maintain a position in excess of such position limits for an Account or Customer if such

Participant knows, or with reasonable care should know, that such position will cause such

Account or Customer to exceed the applicable position limits.

(c) Position limits shall apply to (i) all positions in accounts for which any Person, by

power of attorney or otherwise, directly or indirectly holds positions or controls trading, and (ii)

positions held by two or more Persons acting pursuant to an expressed or implied agreement or

understanding, as if the positions were held by, or the trading of the positions were executed by,

a single Person.

(d) For Required Transactions, BSEF will enforce position limits only for Trades

executed on the SEF operated by BSEF. If BSEF establishes position limits or position

accountability levels for Permitted Transactions, BSEF will demonstrate compliance with

CFTC Regulation 37.600 by sending the CFTC a list of Permitted Transactions traded on the

SEF operated by BSEF.

RULE 526. Exemptions from Position Limits

Any Person seeking an exemption from the position limits referred to in Rule 525 must

file an application with BSEF. BSEF shall notify the applicant whether the exemption has been

approved and whether BSEF has imposed any limitations or conditions on the exemption. The
54

to the Act; or

Act. an Introducing Broker

registered with the

Commission pursuant

to the

Act.

(b) Bunched Orders must be allocated and recorded in accordance with CFTC

Regulation 1.35(b)(5) and the NFA’s Interpretative Notice related to Compliance Rule 2-10.

decision of BSEF shall be final.

RULE 527. Position Accountability

(a) To reduce the potential threat of market manipulation or congestion, BSEF shall

adopt for each of the contracts of the SEF operated by BSEF, as is necessary and appropriate,

position accountability levels for speculators. Any Person, including a Participant, who owns or

controls Swaps in excess of the applicable position accountability level shall provide to BSEF

at its request any information regarding the nature of the position, trading strategy or hedging

activities, if applicable, and if ordered by BSEF, shall not increase the size of any such position.

(b) For purposes of this Rule, all positions in accounts for which a Person, by power

of attorney or otherwise, directly or indirectly controls trading shall be included with the

positions held by such Person. The provisions of this Rule shall apply to positions held by two

or more Persons acting pursuant to an expressed or implied agreement or understanding, as if

the positions were held by a single Person.

RULE 528. Bunched Orders and Orders Eligible for

Post-Execution Allocation

(a) Only the following categories of Persons may place a Bunched Order to be

allocated post-execution on the SEF Platform or that is subject to BSEF Rules:

a commodity trading advisor registered with the Commission pursuant to the

Act or excluded or exempt from registration under the Act or the CFTC Regulations,

except for entities exempt under CFTC Regulation 4.14(a)(3);

an investment adviser registered with the SEC pursuant to the Investment

Advisers Act of 1940 or with a state pursuant to applicable state law or excluded or

exempt from registration under the Investment Advisers Act of 1940 or applicable state

law or rule;

a bank, insurance company, trust company, or savings and

loan association subject to federal or state regulation;

a foreign adviser that exercises discretionary trading authority solely over

the accounts of non-U.S. persons, as defined in CFTC Regulation 4.7(a)(1)(iv);

a Futures Commission Merchant registered with the Commission pursuant
55

(c) Bunched Orders may be entered using an Account Series Designation or suspense

account number; provided, however, that:

the Order is being placed by an Account Manager for multiple accounts

eligible for post-execution allocation; and

in accordance with CFTC No-Action Letter 20-36, which expires November

15, 2021, an Account Manager that places a Bunched Order shall keep and must make

available upon request of any representative of the Commission, the United States

Department of Justice, BSEF or other appropriate regulatory agency, records sufficient to

demonstrate that all allocations meet the standards of CFTC Regulations 1.35(b)(5)(iv)

and to permit the reconstruction of the handling of the order from the time of placement

by the Account Manager to the allocation to individual accounts.

RULE 529. Orders Entered Prior to SEF Opening

Participants are prohibited from sending any Request for Quote or Order or using an

Order Book or any other facility of BSEF prior to the opening of the trading session.

RULE 530. Identification of Authorized Traders

Each Authorized Trader shall be identified to BSEF and shall be subject to the BSEF

Rules. It is the duty of the Participant to ensure that Authorized Trader (and Trader ID)

registration is current and accurate at all times. Each individual must use a Trader ID to access

the SEF operated by BSEF. In no event may a Person enter an RFQ or Order or permit the entry

of an RFQ or Order by an individual using a user Trader ID other than the individual’s own

Trader ID.

RULE 531. Pre-Arranged Transactions

RULE 531.A. Block Trades

(a) Each buy or sell Order underlying a Block Trade must (1) if the Order is entered

by a broker, state explicitly that it is to be, or may be, executed by means of a Block Trade and

(2) comply with any other applicable CFTC Regulations governing Block Trades.

(b) Each Person transacting a Block Trade shall be a Participant and shall comply

with all applicable BSEF Rules other than those which by their terms only apply to trading

through the SEF Platform.

(c) Each Counterparty to a Block Trade must be an ECP.

(d) A Block Trade executed outside the SEF Platform by a Participant must be

reported to the SEF operated by BSEF. A Block Trade must be reported to the SEF operated by

BSEF by one Counterparty (or a Participant acting on behalf of such Counterparty) and

confirmed by the other Counterparty (or a Participant acting on behalf of such Counterparty) as

soon as practicable after its execution, but may not be submitted any later than 10 minutes after

the execution of the Block Trade. Each Block Trade must state the time of execution to the

nearest millisecond. BSEF shall have the right not to accept any transaction that does not satisfy
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the conditions set forth in this Rule.

(e) BSEF will review the information submitted by the Participant(s) for the Block

Trade and will report the Block Trade as required by Part 43 and Part 45 of the CFTC

Regulations if the details are complete and accurate in accordance with this Rule. A Participant

that executes a Bunched Order as a Block Trade must comply with Rule 524.C. A Participant

that executes a Bunched Order as a Block Trade must provide BSEF with the allocation

information as soon as practicable.

(f) Block Trades shall not trigger unexecuted Orders.

(g) Each Participant or Account Manager that is a party to a Block Trade or executes

a Block Trade on behalf of its Accounts or Customers must comply with the recordkeeping

requirements set forth in Rule 409.A(c). Upon request by BSEF, such Participant shall produce

satisfactory evidence, including the order ticket referred to in the preceding sentence, that the

Block Trade meets the requirements set forth in this Rule 531.A.

(h) Any Block Trade in violation of these requirements shall constitute

conduct which is inconsistent with just and equitable principles of trade.

(i) The aggregation of Orders for different accounts in order to satisfy the Minimum

Block Trade size is permissible only by a Person who is a Qualified Account Manager.

(j) A Qualified Account Manager transacting an aggregated Block Trade on behalf of

any other Person must receive prior Written instruction or consent from each such other Person

to do so. Such instruction or consent may be provided in the power of attorney or similar

document by which the other Person provides the Person with discretionary trading authority or

the authority to direct the trading in its account.

(k) Please see Notice to Participants 2014-3, which is posted on BSEF’s website.

RULE 531.B. Trade Correction

If permitted by Rule 516, two Participants may pre-arrange a tradeTrade correcting an error.

RULE 531.C. Covered Package Transactions and Permitted Transactions

(a) Two Participants may pre-arrange bilaterally a Covered Package Transaction

subject to BSEF Rules outside the SEF Platform; provided, however, that each

component of such Covered Package Transaction that is a Required Transaction must be

executed on the SEF Platform via the Request for Quote Functionality or a Manual Order

Ticket. Such Required

(b) Two Participants may pre-arrange a Permitted Transaction maysubject to BSEF

Rules outside the SEF Platform, provided, however, that such Permitted Transaction must be

executed on the SEF Platform via execution methods for Permitted Transactionsthe Request

for Quote Functionality or a Manual Order Ticket.

RULE 532. Reporting to SDR

(a) BSEF will report each Trade to an SDR of BSEF’s choice as soon as

technologically practicable after the execution of such Trade. For Cleared Swaps, BSEF will
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report all real-time data required by Part 43 of the CFTC Regulations and all creation data

required by Part 45 of the CFTC Regulations. Until the expiration date of CFTC No-Action

Letter 16-2517-17, for Non-Cleared Swaps, BSEF will report all real-time data required by Part

43 of the CFTC Regulations and all primary economic terms data required by Part 45 of the

CFTC Regulations, as well as any confirmation data that is readily available and collected by

BSEF.

(b) The Reporting Counterparty designated in accordance with subsection (b) of

Rule 523 shall comply with all reporting obligations set forth in Part 45 of the CFTC

Regulations applicable to a Reporting Counterparty including reporting Trade allocations.

(c) BSEF will report the actual notional or principal amount of a Block Trade to the

appropriate SDR as set forth in Part 43 and Part 45 of the CFTC Regulation.

(d) A Participant that is a Reporting Counterparty or the Account Manager or broker

for a Reporting Counterparty may instruct BSEF to report a Trade executed pursuant to BSEF

Rules 522.E or 531.Athat is a Block Trade as a “block trade” for purposes of Part 43 of CFTC

Regulations.

(e) Each Participant that is the Reporting Counterparty, or an Account Manager or

broker for a Reporting Counterparty shall review the Trade details as soon as technologically

practicable upon transmission of the Trade details to the Participant. The non-reporting

counterparty shall report any errors in such Trade details to the Reporting Counterparty as soon

as technologically practicable. The Reporting Counterparty shall report all errors in such Trade

details to BSEF as soon as technologically practicable after finding or being made aware of any

error or omission in the data as reported and/or maintained by the relevant SDR. BSEF shall

then submit the corrected data to the relevant SDR.

(f) No Person, including BSEF, shall submit or agree to submit a cancellation or

correction for the purpose of re-reporting Swap transaction and pricing data in order to gain or

extend a delay in public dissemination of accurate Swap transaction or pricing data or to

otherwise evade the reporting requirements in Part 43 of the CFTC Regulations.

(g) BSEF will report all Trades to DTCC Data Repository (U.S.) LLC.

RULE 533. Cleared Swaps

(a) Each Cleared Swap shall be cleared through the Clearing House indicated in

the Swap Specification in accordance with the CEA and the CFTC Regulations.

(b) For each Cleared Swap a Participant expects to enter into via the SEF Platform

or subject to BSEF Rules, the Participant or an Account or Customer of the Participant must

establish a clearing account with the Clearing House or with a Clearing Member of the Clearing

House, in each case, designated in the Swap Specification for such Cleared Swap.

(c) All Trades in Cleared Swaps by a Participant or its Account or Customer must

be guaranteed to the Clearing House by a Clearing Member following the Clearing Member’s

acceptance of such Trade for clearing.

(d) BSEF shall submit each Trade to the Clearing House specified in the Swap

Specifications. If BSEF receives a notice from the Clearing House rejecting a Trade for clearing,

such Trade is void ab initio. Please see Notice to Participants 2016-8, which is posted on BSEF’s
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website.

(e) BSEF will provide each Clearing Member with tools to screen each Order or

RFQ in Cleared Swaps based on criteria established by such Clearing Member. If an Order or an

RFQ fails to satisfy the criteria established by the Clearing Member, BSEF will reject the Order

or will not allow the RFQ to be sent.

(f) If manual affirmation of a Trade in Cleared Swaps is required prior to

presentation of the Trade to a Clearing House, a Participant must affirm the Trade within

5 minutes after the execution of the Trade.

RULE 534. Non-Cleared Swaps

(a) Any Participant that is a Swap Dealer or Major Swap Participant, or if neither

Counterparty is a Swap Dealer or Major Swap Participant, the Participant that is the Reporting

Counterparty, that places an Order or sends or responds to an RFQ with respect to a Non-Cleared

Swap shall ensure that there is a Non-Cleared Swap Agreement between the Participant or its

Account or Customer, as applicable, and the prospective Counterparty to such Swap prior to

placing such Order or sending or responding to such RFQ. Both Participants involved in

execution of a Non-Cleared Swap (whether in a principal capacity or in their capacity as agents

on behalf of their respective Accounts or Customers) shall, upon the request of BSEF, make

available to BSEF any terms of such Non-Cleared Swap that are not reflected in the applicable

Swap Specification and shall comply with Order entry requirements for Non-Cleared Swaps that

BSEF shall establish from time to time.

(b) Each Participant involved in a Prime Broker Trade must notify the Prime

Broker as soon as technologically possible of each Prime Broker Trade executed pursuant to

the Rules of BSEF to which the Prime Broker is a Counterparty, and provide to the Prime

Broker the Confirmation for the Prime Broker Trade issued by BSEF.

RULE 535. Risk Controls

(a) BSEF may, in its sole discretion, reject any RFQ or Order or Block Trade placed

or reported on the SEF Platform if such RFQ or Order or Block Trade is in violation of any

BSEF Rule or Applicable Law.

(b) BSEF shall have the right to take any action to reduce the potential of market

disruption, including market restrictions that pause or halt trading in market conditions

prescribed by BSEF if such action is in the best interest of the swap markets.

(c) BSEF shall have the right in its sole discretion to cancel Trades executed at

prices outside the No-Bust Range. “No-Bust Range” shall mean the price of a Swap that is no

more than 30% higher or lower than the prior Business Day’s Daily Settlement Price for such

Swap.

(d) If a Swap affected by any action of BSEF under this Rule 535 is fungible with,

linked to, or a substitute for, other Swaps on the SEF operated by BSEF, BSEF may apply the

same action to any such other Swaps.

(e) If a Swap is fungible with, linked to or a substitute for a financial instrument

trading on another trading venue, including any trading venue regulated by the SEC (a “Linked

Swap”), and such other trading venue placed risk controls on such financial instrument, BSEF
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shall have the right to place similar risk controls on the Linked Swap.

CHAPTER 6. DISCIPLINARY RULES

RULE 601. General

(a) Any Person is subject to this Chapter 6 if it is alleged to have violated, to

have aided and abetted a violation, to be violating, or to be about to violate, any BSEF Rule

or any provision of Applicable Law for which BSEF possesses jurisdiction.

(b) BSEF, through the Compliance Department, the Disciplinary Panel and the

Appeals Panel, will conduct inquiries, investigations, disciplinary and appeals proceedings,

summary impositions of fines, summary suspensions or other summary actions in accordance

with this Chapter 6.

(c) No SEF Official will interfere with or attempt to influence the process or

resolution of any inquiry, investigation, disciplinary or appeals proceeding, summary imposition

of fines, summary suspension or other summary action. No Director will interfere with or

attempt to influence the process or resolution of any inquiry, investigation, disciplinary or

appeals proceeding and summary imposition of fines, summary suspension or other summary

action, except to the extent provided under the BSEF Rules with respect to a proceeding in

which the Director is a member of the relevant panel.

(d) Any Person that directly or indirectly effects a transaction on the SEF operated by

BSEF may be represented by counsel during any inquiry, investigation, disciplinary or appeals

proceeding, summary imposition of fines, summary suspension or other summary actions

pursuant to this Chapter 6.

(e) Pursuant to this Chapter 6, BSEF may hold a Participant liable for, and impose

sanctions against such Participant, for such Participant’s own acts and omissions that constitute

a violation as well as for the acts and omissions of each (i) Authorized Trader of such

Participant,

(ii) Supervised Person of such Participant, (iii) other Person using the Trader ID or login

credentials linked to the Participant or Participant ID, or (iv) other agent or representative of such

Participant, in each case, that constitute a violation as if such violation were that of the

Participant.

(f) Pursuant to this Chapter 6, BSEF may hold an Authorized Trader liable for, and

impose sanctions against him or her, for such Authorized Trader’s own acts and omissions that

constitute a violation as well as or for the acts and omissions of any other agent or

representative of such Authorized Trader that constitute a violation as if such violation were that

of the Authorized Trader.

(g) A Person subject to a disciplinary or appeals proceeding (and any counsel or

representative of such Person) and the Compliance Department (and any counsel or

representative of the Compliance Department including any Regulatory Services Provider) shall

not knowingly make or cause to be made an ex parte communication relevant to the merits of a

disciplinary or appeals proceeding to any member of the Disciplinary Panel or Appeals Panel

hearing such proceeding. Members of a Disciplinary Panel or Appeals Panel shall not

knowingly make or cause to be made an ex parte communication relevant to the merits of a

disciplinary or appeals proceeding to any Person subject to such proceeding (and any counsel or

representative of such Person) and the Compliance Department (and any counsel or
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representative of the Compliance Department including any Regulatory Services Provider).

Any Person who receives, makes or learns of any communication which is prohibited by this

Rule shall promptly give notice of such communication and any response thereto to the

Compliance Department and all parties to the proceeding to which the communication relates. A

Person shall not be deemed to have violated this Rule if the Person refuses an attempted

communication concerning the merits of a proceeding as soon as it becomes apparent the

communication concerns the merits.

(h) In the event that the Chief Compliance Officer has a conflict of interest as

defined in Rule 210 in respect of any matter under Chapter 6 of these Rules, the Chief

Compliance Officer may appoint a member of the Compliance Department to carry out the

Chief Compliances Officer’s duties in his or her stead with respect to that matter.

RULE 602. Inquiries and Investigation

(a) The Compliance Department, with the assistance of a Regulatory Services

Provider, if necessary, will conduct inquiries and, if applicable, investigations with respect to any

matter within BSEF’s jurisdiction of which it becomes aware or which the Commission requests

BSEF to investigate. The Compliance Department will determine the nature and scope of its

inquiries and investigations within its sole discretion and will function independently of any

commercial interests of BSEF. The Compliance Department’s investigation must be completed

within 12 months of the date when the Compliance Department commenced its investigation

unless there are mitigating factors that may reasonably justify an investigation taking longer than

12 months, including the complexity of the investigation, the number of Participants or

individuals involved as potential wrongdoers, the number of potential violations to be

investigated, and the volume of documents and data to be examined and analyzed by the

Compliance Department.

(b) The Compliance Department has the authority to:

(i) initiate inquiries and investigations;

(ii) prepare investigation reports and provide recommendations

concerning initiating disciplinary proceedings;

(iii) prosecute alleged violations if a disciplinary proceeding has been

authorized; and

(iv) represent BSEF on appeals of a Disciplinary Panel decision, the summary

imposition of fines, summary suspension or other summary action.

(c) Each Participant, Account Manager, Authorized Trader, Supervised Person

and Clearing Member:

is obligated to appear and testify and respond in Writing to requests for

information within the time period required by the Compliance Department in connection

with: (A) any BSEF Rule; (B) any inquiry or investigation; or (C) any preparation by and

presentation during a disciplinary or appeals proceeding, summary imposition of fines,

summary suspension or other summary action by BSEF;

is obligated to produce books, records, papers, documents or other tangible
61

evidence in its, his or her possession, custody or control within the time period required

by the Compliance Department in connection with: (A) any BSEF Rule; (B) any inquiry

or investigation; or (C) any preparation by and presentation during a disciplinary or

appeals proceeding, summary imposition of fines, summary suspension or other

summary action by BSEF; and

may not impede or delay any inquiry, investigation, disciplinary or appeals

proceeding, summary imposition of fines, summary suspension or other summary action.

RULE 603. Investigative Reports

(a) The Compliance Department will maintain a Written log of all inquiries and

investigations and their disposition. The Compliance Department will prepare a Written report of

each inquiry and investigation, regardless of whether the evidence gathered during any inquiry or

investigation forms a reasonable basis to believe that a violation within BSEF’s jurisdiction has

occurred or is about to occur or whether the evidence gathered results in closing the matter

without further action or through summary action.

(b) Any such report prepared in accordance with Rule 603(a) will include (i) the

reasons the inquiry or investigation was initiated; (ii) a summary of the complaint, if any; (iii) the

relevant facts and evidence gathered; (iv) the Compliance Department’s analysis, conclusions

and recommendations; and (v) the Participant’s disciplinary history at BSEF.

(c) For each potential respondent, the Compliance Department will recommend either

(i) closing the investigation without further action; (ii) resolving the investigation through

an informal disposition; or (iii) initiating disciplinary proceedings.

RULE 604. Warning Letters

(a) The Chief Compliance Officer may issue a warning letter without the approval of

a Disciplinary Panel in order to close an inquiry or investigation administratively.

(b) No more than one warning letter may be issued to the same Person or entity for

the same Rule violation within a rolling 12-month period.

(c) Warning letters must contain an affirmative finding that a Rule violation

has occurred.

RULE 605. Review of Investigation Reports

(a) The Chief Compliance Officer will timely review each proposed investigation

report received from the Compliance Department to determine whether a reasonable basis exists

for finding that a violation of BSEF Rules within BSEF’s jurisdiction has occurred or is about

to occur. Within 30 days of receipt of the investigation report the Chief Compliance Officer

must take one of the following actions:

If the Chief Compliance Officer determines that additional investigation or

evidence is needed to decide whether a reasonable basis exists to find that a violation of

BSEF Rules within BSEF’s jurisdiction has occurred or is about to occur, the Chief

Compliance Officer will promptly direct the Compliance Department to do at least one of

the following:
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that a Notice of Charges will be served, in accordance with Rule 608, 10

business days, as defined in CFTC Regulation 40.1, after receipt of the Written

notice;

 that a settlement offer may be submitted pursuant to Rule 612; and

of the respondent’s right to a hearing if a Notice of Charges is served in

accordance with Rule 608.

RULE 606. [Reserved]

RULE 607. Notice of Charges

(a) If the Chief Compliance Officer authorizes disciplinary proceedings pursuant to

Rule 605(b)(i), the Compliance Department will prepare, and serve in accordance with Rule

608, a Notice of Charges.

(A) conduct further investigation; and/or

(B) gather any necessary new or additional information or evidence

from the potential respondents.

The Compliance Department will revise the investigation report as

necessary to reflect the additional information gathered pursuant to this paragraph (a) and

will resubmit a revised proposed investigation report to the Chief Compliance Officer.

(b) After receiving a completed investigation report, the Chief Compliance Officer

will determine for each potential respondent whether to authorize:

the commencement of disciplinary proceedings because a reasonable

basis exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has

occurred or is about to occur and adjudication is warranted;

the informal disposition of the investigation because disciplinary

proceedings are unwarranted, in which case the Chief Compliance Officer shall complete

the investigation report in compliance with Rule 603; or

the closing of the investigation without any action because no reasonable

basis exists to believe that a violation of BSEF Rules within BSEF’s jurisdiction has

occurred or is about to occur, in which case the Chief Compliance Officer shall complete

the investigation report in compliance with Rule 603.

(c) If the Chief Compliance Officer determines that disciplinary proceedings should

be authorized pursuant to Rule 605(b)(i), the Chief Compliance Officer may in his or her

discretion provide each potential respondent with a Written draft Notice of Charges (“Draft

Notice of Charges”) which shall contain all information required pursuant to Rule 607.

(d) The Draft Notice of Charges must be accompanied by a Written notice that

shall inform the potential respondent:

that an investigation report has been completed by BSEF’s Compliance

Department;
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state the BSEF Rule or provision of Applicable Law alleged to have been

violated or about to be violated;

state the proposed sanctions;

advise the respondent of its right to a hearing;

state the period of time within which the respondent can request a hearing

on the Notice of Charges, which will not be less than 20 days after service of the Notice

of Charges;

advise the respondent that any failure to request a hearing within the

period stated, except for good cause, will be deemed to constitute a waiver of the right to

a hearing;

advise the respondent that any allegation in the Notice of Charges that

is not expressly denied will be deemed to be admitted; and

advise the respondent of its right to be represented by legal counsel or any

other representative of its choosing (other than any member of the Disciplinary Panel or

any Person substantially related to the disciplinary proceedings such as a material witness

or other respondent) in all succeeding stages of the disciplinary process.

RULE 608. Service of Notice of Charges

Any Notice of Charges or other documents contemplated to be served pursuant to this

Chapter 6 may be served (and service shall be deemed complete) upon the respondent either

personally or by leaving the same at his or her place of business, or by tracked delivery via

reputable overnight courier, or by deposit in the United States mail, postage prepaid, via

registered or certified mail addressed to the respondent at the address as it appears on the books

and records of BSEF.

RULE 609. Answer to Notice of Charges

(a) If the respondent determines to answer a Notice of Charges, the respondent must

file answers within 20 days after being served with such notice, or within such other time

period determined appropriate by the Chief Compliance Officer.

(b) To answer a Notice of Charges, the respondent must in Writing:

specify the allegations that the respondent denies or admits;

specify the allegations that the respondent does not have sufficient

information to either deny or admit;

(b) A Notice of Charges will:

state the acts, practices or conduct that the respondent is alleged to have engaged

in;
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specify any specific facts that contradict the Notice of

Charges; specify any affirmative defenses to the Notice of

Charges; and sign and serve the answer on the Chief

Compliance Officer.

(c) Any failure by the respondent to timely serve an answer to a Notice of Charges

will be deemed to be an admission to the allegations in such notice. Any failure by the

respondent to answer one or more allegations in a Notice of Charges will be deemed to be an

admission of that allegation or those allegations. Any allegation in a Notice of Charges that the

respondent fails to expressly deny will be deemed to be admitted. A statement of a lack of

sufficient information shall have the effect of a denial of an allegation. A general denial by the

respondent, without more, will not satisfy the requirements of paragraph (b) above.

RULE 610. Admission or Failure to Deny

(a) If respondent admits or fails to deny any of the charges, the Chief Compliance

Officer may find that the violations alleged in the Notice of Charges for which the

respondent admitted or failed to deny any of the charges have been committed. The Chief

Compliance Officer then must take the following action:

(i) impose a sanction for each violation found to have been committed; and

(ii) notify the respondent in Writing of any sanction to be imposed and advise

the respondent that it may request a hearing on such sanction within a specified period

of time.

(b) If a respondent fails to request a hearing within 20 days as specified in the notice

described in 610(a)(ii), the respondent will be deemed to have accepted the sanction and will

have waived any right to appeal such sanctions.

RULE 611. Denial of Charges and Right to a Hearing

In every instance where a respondent has denied a charge, the respondent shall have a

right to request a hearing before the Disciplinary Panel. Except for good cause, the hearing must

be limited to only those denied charges for which a hearing has been requested.

RULE 612. Settlements

(a) Any offer of settlement should contain proposed findings and sanctions and be

signed by a potential respondent/respondent and submitted to the Chief Compliance Officer. A

potential respondent/respondent may offer to settle disciplinary proceedings without admitting

or denying the findings contained in a Draft Notice of Charges or a Notice of Charges, but must

accept the jurisdiction of BSEF over it and over the subject matter of the proceedings and

consent to the entry of the findings and sanctions imposed.

(b) A potential respondent may at any time within 10 business days, as defined in

CFTC Regulation 40.1, of receipt of the Draft Notice of Charges specified in Rule 605, propose
65

in Writing an offer of settlement to anticipated disciplinary proceedings. The Chief Compliance

Officer must review an offer of settlement received pursuant to this paragraph (b) within 30

business days, as defined in CFTC Regulation 40.1, after receipt of the offer of settlement. The

Chief Compliance Officer shall have discretion and be authorized to accept or reject an offer of

settlement for $25,000 or less on behalf of BSEF. The Chief Compliance Officer shall also have

the discretion and be authorized to convene and forward the offer of settlement to the

Disciplinary Panel with a recommendation on whether to accept or reject the offer of settlement.

The potential respondent may withdraw such offer of settlement at any time before acceptance

by the Chief Compliance Officer, but may not withdraw such offer of settlement at any time

after acceptance by the Chief Compliance Officer.

(c) A respondent may at any time after receipt of a Notice of Charges, but before

disciplinary proceedings have concluded, propose in Writing an offer of settlement to instituted

disciplinary proceedings. If a respondent submits an offer of settlement after being served a

Notice of Charges pursuant to Rule 608, the Chief Compliance Officer will forward the offer of

settlement to the Disciplinary Panel with a recommendation on whether to accept or reject the

offer of settlement. The Disciplinary Panel must review an offer of settlement received pursuant

to this paragraph (c) or paragraph (b) above within 90 business days, as defined in CFTC

Regulation 40.1, after the receipt of the offer of settlement by the Chief Compliance Officer

unless an extension was agreed by the respondent in Writing. The respondent may withdraw

such offer of settlement at any time before acceptance by the Disciplinary Panel, but may not

withdraw such offer of settlement at any time after acceptance by the Disciplinary Panel. The

Disciplinary Panel may review the offer of settlement and determine whether to accept or reject

the offer of settlement in person, by means of telephone conference or in Writing.

(d) The Chief Compliance Officer or the Disciplinary Panel may accept an offer of

settlement received pursuant to paragraph (b) or (c) of this Rule, respectively, but may not alter

the terms of a settlement offer unless the potential respondent/respondent agrees.

(e) If an offer of settlement is accepted by the Chief Compliance Officer or the

Disciplinary Panel, a Written decision shall be issued by the Chief Compliance Officer or the

Disciplinary Panel, as applicable, specifying:

the Rule violations the Compliance Department/it has reason to believe

were committed, including the basis or reasons of its conclusions;

any sanction to be imposed, which must include full customer restitution

where customer harm has been demonstrated; and

if applicable, that the potential respondent/respondent has accepted

the sanctions imposed without either admitting or denying the Rule violations.

(f) In the event that the Disciplinary Panel accepts an offer of settlement without the

agreement of the Compliance Department, the Written decision must adequately support such

acceptance.

(g) If an offer of settlement is accepted pursuant to this Rule and the related Written

decision becomes final, the respondent’s submission of the offer of settlement will be deemed

to constitute a waiver of the right to notice, opportunity for a hearing and review and appeal

under these Rules.
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(h) If an offer of settlement of a potential respondent/respondent is not accepted by

the Chief Compliance Officer or the Disciplinary Panel, pursuant to paragraph (b) or (c) of this

Rule, respectively, fails to become final or is withdrawn by the potential respondent/respondent,

the matter will proceed as if the offer of settlement had not been made and the offer of

settlement and all documents relating to it will not become part of the record. Neither a potential

respondent/respondent nor the Compliance Department may use an unaccepted offer of

settlement as an admission or in any other manner at a hearing of disciplinary proceedings.

RULE 613. Disciplinary Panel

(a) The Disciplinary Panel is responsible for adjudicating disciplinary cases

pursuant to a Notice of Charges authorized by the Chief Compliance Officer.

(b) Each Disciplinary Panel shall be composed of three individuals selected by the

Chief Compliance Officer. Except in cases concerning the timely submission of accurate

records, each Disciplinary Panel shall consist of at least one individual who would not be

disqualified from serving as a Public Director, who shall chair the Disciplinary Panel. No

member of the BSEF Compliance Department or Person involved in adjudicating any other stage

of a proceeding shall participate in a Disciplinary Panel for such proceeding.

(c) A respondent may seek to disqualify any individual on the Disciplinary Panel for

the reasons identified in the BSEF Rules or for any other reasonable grounds, by serving Written

notice on the Chief Compliance Officer. By not filing a request for disqualification within 10

days, the respondent will be deemed to have waived any objection to the composition of a

Disciplinary Panel. The Chief Compliance Officer of BSEF will decide the merits of any request

for disqualification within his or her sole discretion. Any such decision will be final and not

subject to appeal.

RULE 614. Convening Disciplinary Proceeding Hearings

(a) All disciplinary proceedings (except for summary impositions of fines pursuant

to Rule 621) will be conducted at a hearing before the Disciplinary Panel. A hearing will be

conducted privately and confidentially. Notwithstanding the confidentiality of hearings, the

Disciplinary Panel may appoint an expert to attend any hearing and assist in deliberations if such

expert agrees to be subject to an appropriate confidentiality agreement.

(b) After reasonable notice to each respondent, the Disciplinary Panel will promptly

convene a hearing to conduct the disciplinary proceedings with respect to such respondent.

Parties to a disciplinary proceeding include each respondent and the Compliance Department

including BSEF enforcement staff.

(c) The chairperson of the Disciplinary Panel may continue, adjourn or otherwise

conduct the hearing, as he or she may deem appropriate. The chairperson of the Disciplinary

Panel will determine all procedural and evidentiary matters, including the admissibility and

relevance of any evidence proffered. In determining procedural and evidentiary matters, the

chairperson of the Disciplinary Panel will not be bound by any evidentiary or procedural rules or

law. Once admitted during the hearing, the Disciplinary Panel may consider, and attach the

weight it believes appropriate to, evidence or other materials. The Chief Compliance Officer of

BSEF, or its designee, will provide guidance to the chairperson of the Disciplinary Panel on the

conduct of the hearing.
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(d) Except for procedural and evidentiary matters decided by the chairperson of the

Disciplinary Panel pursuant to paragraph (c) above and Rule 616, unless each respondent

otherwise consents, the entire Disciplinary Panel must be present during the entire hearing and

any related deliberations.

RULE 615. Respondent Review of Evidence

(a) Prior to the commencement of a Disciplinary Panel hearing, each respondent will

be given the opportunity to review all books, records, documents, papers, transcripts of

testimony and other tangible evidence in the possession or under the control of BSEF that the

Compliance Department will use to support the allegations and proposed sanctions in the

Notice of Charges or which the chairperson of the Disciplinary Panel deems relevant to the

disciplinary proceedings. BSEF may withhold documents that:

(i) are privileged or constitute attorney work product;

(ii) were prepared by an employee of BSEF but will not be offered as

evidence in the disciplinary proceedings;

(iii) may disclose a technique or guideline used in examinations,

investigations or enforcement proceedings; or

(iv) disclose the identity of a confidential source.

(b) If any books, records, documents, papers, transcripts of testimony, or other

tangible evidence contain information that could adversely affect the competitive position of the

Person providing the information or if such information might compromise other investigations

being conducted by the Compliance Department, the Compliance Department may redact, edit or

code such information before furnishing it to the respondent.

(c) Notwithstanding anything in paragraph (b) above to the contrary, the Compliance

Department:

will not redact, edit or code competitive or investigative information contained

in documents in a manner that would impair the respondent’s ability to defend against the

allegations or proposed sanctions in the notices of charges; and

will provide the respondent with access to the information and portions of the

documents that the Compliance Department intends to rely on to support the allegations

or proposed sanctions in the Notice of Charges.

(d) For purposes of this Rule 615, information that could adversely affect the

competitive position includes positions in Swaps currently held, trading strategies employed in

establishing or liquidating positions, the identity of any Participant or Authorized Trader and

the personal finances of the Person providing the information.

RULE 616. Conducting Disciplinary Proceeding Hearings

(a) At a hearing conducted in connection with any disciplinary proceeding, the

Compliance Department will present its case supporting the allegations and proposed sanctions

in the Notice of Charges to the Disciplinary Panel. If a respondent has timely filed an answer to
68

the Notice of Charges in accordance with Rule 609, the respondent is entitled to attend and

participate in the hearing.

(b) At a hearing conducted in connection with any disciplinary proceedings, the

Disciplinary Panel or the Compliance Department and each respondent may:

present evidence and facts determined relevant and admissible by the

chairperson of the Disciplinary Panel;

call and examine witnesses; and

cross-examine witnesses called by other parties.

(c) Any Person within BSEF’s jurisdiction who is called as a witness must

participate in the hearing and produce evidence. BSEF will make reasonable efforts to secure the

presence of all other Persons called as witnesses whose testimony would be relevant.

(d) If the respondent fails to file an answer, has filed a general denial, or if any or all

of the allegations in the Notice of Charges are not expressly denied in the respondent’s answer,

the chairperson of the Disciplinary Panel may limit evidence concerning any allegations not

expressly denied in determining the sanctions to impose. If a respondent fails to file an answer

but appears at the hearing, the respondent may not participate in the hearing (by calling or cross

examining witnesses, testifying in defense, presenting evidence concerning the Notice of

Charges, or otherwise) unless the Disciplinary Panel determines that the respondent had a

compelling reason for failing to timely file an answer. If the Disciplinary Panel determines that

the respondent had a compelling reason for failing to timely file an answer, the Disciplinary

Panel will adjourn the hearing and direct the respondent to promptly file a Written answer in

accordance with Rule 609.

(e) Any Person entitled, or required or called upon, to attend a hearing before a

Disciplinary Panel pursuant to paragraph (b)(ii) above will be given reasonable notice, confirmed

in Writing, specifying the date, time and place of the hearing, and the caption of the disciplinary

proceedings. BSEF will require all Participants (that are individuals), Customers, Account

Managers, Clearing Members, Authorized Traders and Supervised Persons that are called as

witnesses to appear at the hearing and produce evidence. BSEF will make reasonable efforts to

secure the presence of all other Persons called as witnesses whose testimony would be relevant.

(f) If during any disciplinary proceedings the Disciplinary Panel determines that a

reasonable basis exists to believe that the respondent violated or is about to violate a BSEF Rule

or a provision of Applicable Law other than the violations alleged in the Notice of Charges, the

Disciplinary Panel may consider those apparent violations after providing the respondent with

an opportunity to answer the additional allegations in accordance with Rule 609. In connection

with considering apparent violations pursuant to this paragraph (f), the Disciplinary Panel may

request that the Compliance Department provide the Disciplinary Panel with any additional

information.

(g) The Disciplinary Panel may summarily impose sanctions on any Participant,

Account Manager, Authorized Trader or Supervised Person that impedes or delays the

progress of a hearing.

(h) BSEF will arrange for any hearing conducted in connection with disciplinary
69

a declaration of all sanctions imposed against the respondent, including the basis

for such sanctions and the effective date of such sanctions.

(b) Upon rendering a final decision by the Disciplinary Panel, BSEF shall, within 30

days thereafter, provide a Written notice of such action to the Person against whom the action

was taken.

proceedings to be recorded hearing verbatim, or substantially verbatim, in a manner capable of

accurate transcription. If the respondent requests a copy of all or portions of the recording of a

hearing, the chairperson of the Disciplinary Panel may within his or her sole discretion order the

respondent to pay the costs for transcribing the recording of the hearing.

(i) As promptly as reasonable following a hearing, the Disciplinary Panel will issue a

Written decision rendering its decision based on the weight of the evidence contained in the

record of the disciplinary proceedings. A decision by a majority of the Disciplinary Panel will

constitute the decision of the Disciplinary Panel.

(j) No interlocutory appeals of rulings of any Disciplinary Panel are permitted.

(k) If the respondent has requested a hearing, a copy of the hearing shall be made and

shall become a part of the record of the proceeding. The record shall not be required to be

transcribed unless:

(i) the transcript is requested by Commission staff or the respondent;

(ii) the decision is appealed pursuant to the BSEF Rules; or

(iii) the decision is reviewed by the Commission pursuant to section 8c of

the Act or Part 9 of CFTC Regulations.

In all other instances, a summary record of a hearing is permitted.

RULE 617. Decision of Disciplinary Panel

(a) The Disciplinary Panel’s Written decision must be based upon the weight of

the evidence contained in the record of the proceeding and shall provide a copy to the

respondent. The decision shall include:

the Notice of Charges or a summary of the charges;

the answer, if any, or a summary of the answer;

a summary of the evidence produced at the hearing or, where

appropriate, incorporation by reference of the investigation report;

a statement of findings and conclusions with respect to each charge, and a

complete explanation of the evidentiary and other basis for such findings and

conclusions with respect to each charge;

an indication of each specific Rule that the respondent was found to have

violated; and
70

(c) The Written decision will become final 20 days after it is served on

the respondent and a copy thereof is provided to the Compliance Department.

RULE 618. Sanctions

(a) After notice and opportunity for hearing in accordance with the BSEF Rules,

BSEF will impose sanctions on any Participant, Account Manager, Authorized Trader,

Supervised Person, Account, Customer, Clearing Member or other Person using any Trader ID

or login credentials linked to the Participant that is found to have violated or to have attempted

to violate a BSEF Rule or provision of Applicable Law for which BSEF possesses jurisdiction.

Subject to the limitations set forth in Rule 618(b), BSEF may impose one or more of the

following sanctions or remedies: (i) censure; (ii) limitation on Trading Privileges, Trading

Access or other activities, functions or operations; (iii) suspension of Trading Privileges or

Trading Access; (iv) fine (subject to paragraph (b) below); (v) disgorgement; (vi) termination of

Trading Privileges or Trading Access; (vii) in the event of a customer harm, full customer

restitution, except where the amount of restitution or to whom it should be provided cannot

reasonably be determined; or (viii) any other sanction or remedy deemed to be appropriate. All

sanctions, including those imposed pursuant to an accepted settlement offer, shall take into

account respondent’s disciplinary history.

For purposes of Rule 618(a)(vii), “customer” shall have the meaning set forth in CFTC

Regulation 1.3(k).

(b) BSEF may impose a fine of up to $100,000 for each violation of a BSEF Rule. If

a fine or other amount is not paid within 30 days of the date that it becomes payable, then interest

will accrue on the sum from the date that it became payable at the quoted prime rate plus three

percent. BSEF has sole discretion to select the bank on whose quotations to base the prime rate.

Each Participant will be responsible for paying any fine or other amount imposed on, but not

paid by, any of its Authorized Traders, Account Managers, Supervised Persons, Accounts or

Customers. The following schedule lists the recommended fines that BSEF may impose:

Failure to provide information to BSEF as required by

the BSEF Rules

Fine Per Occurrence1

$1000 $1500 $2500

Impeding or delaying a BSEF examination, inquiry or

investigation undertaken pursuant to BSEF Rule 402

$1000 $1500

First

Violation

$2500

RULE 619. Costs

(a) Regardless of the outcome of any disciplinary proceeding, the Disciplinary Panel

may order a respondent to pay some or all of the costs associated with the disciplinary

proceedings that the Disciplinary Panel believes were unnecessarily caused by the respondent.

Costs may include costs associated with the inquiry or investigation, the prosecution by the

Compliance Department, legal and professional assistance, as well as the hearing and

administrative costs and other expenses incurred by the Disciplinary Panel.

Second

Violation

Type of Violation

Third

Violation

1

 Within a “rolling” 12-month period.
71

(b) The Disciplinary Panel may only award costs against BSEF if the Panel concludes

that BSEF has behaved in a manifestly unreasonable manner in the commencement or conduct of

the disciplinary proceedings in question. The Disciplinary Panel must limit any award of costs

against BSEF to an amount that the Panel concludes is reasonable and appropriate, but does not

exceed the respondent’s costs for external legal or other external professional assistance.

(c) The Disciplinary Panel may determine the amounts and allocation of costs in any

manner it may deem appropriate. BSEF or the respondent will pay any costs ordered to be paid

by it by the Disciplinary Panel within 30 days of Written notice of the amount imposed by the

Disciplinary Panel.

RULE 620. Right to Appeal Disciplinary Panel Decision,

Summary Impositions of Fines and Other Summary

Actions

(a) Each respondent found by the Disciplinary Panel to have violated (or, in the case

of a Participant, whose Authorized Trader, Supervised Person or other Person using its

Participant ID was found to have violated) a Rule or who is subject to termination or limitation

of Trading Privileges or Trading Access imposed pursuant to Rule 305, any summary fine

imposed pursuant to Rule 621 or any summary action imposed pursuant to Rule 622 may appeal

the decision within 20 days of receiving the Written decision of the Disciplinary Panel or the

 notice of summary action, as the case may be, by filing a notice of appeal with the Chief Compliance

Officer.

(b) BSEF may appeal all or any part of a decision of the Disciplinary Panel, including

any sanctions that may or may not have been imposed by the Disciplinary Panel, within 20 days

of receiving the Written Decision of the Disciplinary Panel, by filing a notice of appeal with the

Chief Compliance Officer.

(c) While an appeal is pending, the effect of the Written decision of the

Disciplinary Panel or the summary action (including any sanctions, remedies or costs imposed

thereby) shall be suspended.

(d) The notice of appeal must state in writing the grounds for appeal, including the

findings of fact, conclusions or sanctions to which the appellant objects. An appellant may

appeal the Written decision of the Disciplinary Panel or any summary action on the grounds that:

the Written decision or summary action was arbitrary, capricious, an abuse

of discretion, or not in accordance with these Rules;

the Written decision or summary action exceeded the authority or

jurisdiction of the Disciplinary Panel, the Chief Compliance Officer or BSEF;

the Written decision or summary action failed to observe required

procedures;

evidence;
72

or unsupported by the record.

(e) The Chief Compliance Officer will forward copies of any notice of appeal

received by it to all parties to the disciplinary proceeding or summary action, as the case may be,

except the appellant. On or before the 20th day after filing a notice of appeal, the appellant must

file with the Chief Compliance Officer and serve on BSEF a brief supporting the notice of

appeal and documents supporting the brief. On or before the 20th day after the date on which the

appellant serves its supporting brief, the appellee must file and serve its brief in opposition. On

or before the 10th day after the date on which the appellee serves its brief in opposition, the

appellant must file and serve on BSEF a brief in reply.

(f) In connection with any appeal, BSEF will furnish to the Chief Compliance

Officer and to the respondent/appellant a transcript of the hearing, any exhibits introduced at the

hearing, the notice of appeal and briefs filed to support and oppose the appeal.

(g) No later than 30 days after the last submission filed pursuant to paragraph (e) of

or

the Written

decision or

summary

action was

unsupported by

the facts or the

sanctions,

remedies or

costs which

were imposed

were

inappropriate
73

this Rule 620, the Chief Compliance Officer will appoint an Appeals Panel to consider and

determine the appeal. An Appeals Panel shall be comprised of three individuals, none of whom

shall be a member of the Compliance Department or have been a member of any Disciplinary

Panel involved in the matters on appeal. The chairperson of the Appeals Panel shall be an

individual who would not be disqualified from serving as a Public Director.

(h) Within 10 days of being notified of the appointment of the Appeals Panel, an

appellant or appellee may seek to disqualify any individual named to the Appeals Panel for the

reasons identified in these Rules, by serving Written notice on the Chief Compliance Officer. By

not timely filing a request for disqualification, the appellant or appellee will be deemed to have

waived any objection to the composition of the Appeals Panel. The Chief Compliance Officer

will decide the merits of any request for disqualification within his or her sole discretion. Any

such decision will be final and not subject to appeal.

(i) The Appeals Panel may hold a hearing to allow parties to present oral arguments.

Any hearing will be conducted privately and confidentially. Notwithstanding the confidentiality

of hearings, the Appeals Panel may appoint an expert to attend any hearing and assist in the

deliberations if such individual(s) agree to be subject to appropriate confidentiality agreements.

In determining procedural and evidentiary matters, the Appeals Panel will not be bound by

evidentiary or procedural rules or law.

(j) The Appeals Panel will only consider on appeal the record before the Disciplinary

Panel or, in the case of a summary action, the record considered by the Chief Compliance

Officer, the notice of appeal, the briefs filed in support and opposition of the appeal, and any

oral arguments of the parties. The Appeals Panel may only consider new evidence when the

Appeals Panel is satisfied that good cause exists for why the evidence was not introduced during

the disciplinary proceeding or when imposing the summary action.

(k) After completing its review, the Appeals Panel may affirm, modify or reverse any

Written decision of the Disciplinary Panel or summary action under appeal, in whole or in part,

including increasing, decreasing or eliminating any sanction or remedy imposed, imposing any

other sanction or remedy authorized by these Rules, or remanding the matter to the same or a

different Disciplinary Panel for further disciplinary proceedings or for reconsideration by the

Chief Compliance Officer in the case of summary action. The Appeals Panel may order a new

hearing for good cause or if the Appeals Panel deems it appropriate.

(l) As promptly as reasonably possible following its review, the Appeals Panel will

issue a Written decision on appeal rendering its decision based on the preponderance of the

evidence before the Appeals Panel. The decision of the Appeals Panel will include a statement

of findings of fact and conclusions for each finding, sanction, remedy and cost reviewed on

appeal, including each specific Rule and provision of Applicable Law that the respondent is

found to have violated, if any, and the imposition of sanctions, remedies and costs, if any, and

the effective date of each sanction, remedy or cost.

(m) The Appeals Panel’s Written order on appeal (including findings of fact and

conclusions and the imposition of sanctions, remedies and costs, and the effective date of

any sanction, remedy and cost) will be the final action of BSEF and will not be subject to

appeal within BSEF.

RULE 621. Summary Imposition of Fines
74

Failure to identify and maintain a current list of

Authorized Traders as required by BSEF Rule 530

Second

Summary

Fine

$1000

Type of Violation

$1250

Third

Summary

Fine

$1500

Violation of Order entry requirements pursuant to Rule

524, including failure to provide an accurate Legal

Entity Identifier

$1250

(a) The Chief Compliance Officer may summarily impose a fine against a Participant,

Account Manager, Authorized Trader, Supervised Person, Account, Customer, Clearing Member

or other Person using any Trader ID or login credentials linked to the Participant for failing:

to make timely payments of fees, cost, charges or fines to BSEF;

to make timely and accurate submissions to BSEF of notices, reports or

other information required by the BSEF Rules; or

to keep any books and records required by the BSEF Rules.

(b) The Compliance Department, acting on behalf of the Chief Compliance Officer,

will give notice of any fine imposed pursuant to this Rule 621 to each Participant subject

thereto. The notice will specify (i) the violations of the BSEF Rules for which the fine is being

imposed,

(ii) the date of the violation for which the fine is being imposed and (iii) the amount of the fine.

Within 20 days of serving the notice of fine, the Participant must either pay or cause the payment

of the fine. The fine will become final upon the expiration of 20 days after the notice of fine is

served on the Participant.

(c) BSEF will set the amount of any fines imposed pursuant to this Rule 621, with the

maximum aggregate fine for each violation not to exceed $5,000 on an annual basis. Summary

imposition of fines pursuant to this Rule 621 will not preclude BSEF from bringing any other

action against the Participant (or any of its Account Managers, Authorized Traders or Supervised

Persons) or Authorized Trader, as the case may be. The following schedule lists the

recommended summary fines that BSEF or the Chief Compliance Officer may impose:

$1500

Failure to maintain complete and accurate books and

records as required by BSEF Rule 409.B

$1750

Fine Per Occurrence2

Violation of Trade reporting requirements

$1000

$1250 $1500

$1500

$1750

Violation of the requirements to timely report a block

trade pursuant to Rule 531.A(d)

$2500

$1250 $1500 $1750

Failure to provide information required by BSEF Rule

301(e)

Failure to provide any disclosure required by BSEF

Rule 402

$1250 $1500

$1000

$1750

$1250

First

Summary

Fine

$1500

2

 Within a “rolling” 12-month period.
75

Failure to notify BSEF under Rule 516.A(a) about a $1750

Trade executed in error prior to a request for

cancellation, correction or adjustment of a Trade or

failure to comply with Rule 516.A(c)

$2000

RULE 622. Hearings Involving BSEF-Affiliated Trading Entities

(a) No BSEF employee that is also an employee of an affiliate of BSEF that engages

in trading activity shall perform an investigation of such affiliated trading entity.

(b) In the event that a Disciplinary Panel is convened for a hearing involving an

affiliated trading entity, no Person associated with BSEF or such affiliated trading entity shall be

a member of such Disciplinary Panel.

(c) The Board must approve the issuance of disciplinary charges and acceptance of

settlement offers involving an affiliated trading entity.

RULE 623. [Reserved]

RULE 624. Notice to the Respondent, the Regulatory Services

Provider and the Public

BSEF will provide Written notice of disciplinary proceedings to the parties consistent

with applicable CFTC Regulations. Whenever BSEF suspends, expels, fines or otherwise

disciplines, or denies any Person access, to BSEF, BSEF will make the disclosures required by

CFTC Regulations. In accordance with CFTC Regulation § 9.11, upon rendering a final decision

regarding a disciplinary or access denial action, BSEF shall provide notice to the Commission by

filing with NFA’s BASIC.

CHAPTER 7. ARBITRATION

RULE 701. General

(a) Except as otherwise provided in these Rules, Participants, Authorized Traders

and any market participant that directly or indirectly effects a transaction on the SEF operated by

BSEF shall submit to the NFA for arbitration all disputes, controversies and claims between or

among themselves arising out of a Swap or the use of the systems or services of BSEF or the

services, equipment, or facilities used to support such systems or services, including the SEF

Platform and the SEF operated by BSEF (each, a “Dispute”). Any such claim against a

Participant shall be brought within two years from the time that a cause of action has accrued.

This Rule 701 shall in no way be construed to create a cause of action and shall not authorize an

action that would otherwise be prohibited by these Rules or Applicable Law. In the event that

this Rule 701 is held to be unenforceable in connection with any Dispute or a claim is deemed

by a court of competent jurisdiction to be not arbitrable, (i) exclusive jurisdiction for any such

Dispute will reside in any state or federal court sitting in New York County, New York, (ii) the

Participants involved in the Dispute will be presumed to have submitted to the personal

jurisdiction of any such court, and (iii) an action to enforce any judgment or decision of such

court may be brought in the same court or in any other court with jurisdiction or venue. Finally,

all Participants unconditionally and irrevocably waive any and all right to trial by jury in

$1250
76

connection with any such Dispute.

(b) Notwithstanding the foregoing, this Rule 701 does not apply to Disputes

between Participants, Authorized Traders or any market participant that directly or indirectly

effects a transaction on the SEF operated by BSEF that: (i) such Persons are required by the

Rules of a Self-Regulatory Organization to submit to the Dispute resolution procedures of that

Self- Regulatory Organization; or (ii) such Persons have, by valid and binding agreement,

committed to negotiate or litigate in a forum other than the forum set out in Rule 702.

RULE 702. Forum and Arbitration Rules

NFA will conduct any and all arbitrations of a type described in Rule 701 pursuant to

NFA’s Member Arbitration Rules, as if each Participant or Authorized Trader to such arbitration

was an “NFA Member”.

RULE 703. Initiating an Arbitration Claim

(a) A Participant or Authorized Trader may initiate an arbitration claim by submitting

the required documents and fees to NFA.

(b) A Participant or Authorized Trader submitting an arbitration claim shall

provide notice of such claim to BSEF.

RULE 704. Claims Relating to Trade Cancelations or Price Adjustments

All claims relating to Trade cancelations pursuant to Rule 516 shall be arbitrated in

accordance with this Chapter 7.

RULE 705. Penalties

(a) Any failure on the part of any Participant or Authorized Trader to arbitrate a case

subject to arbitration, or the commencement by any such Participant or its Person of a suit in any

court prior to arbitrating a case subject to arbitration, violates these Rules and subjects such

Person to disciplinary proceedings pursuant to Chapter 6.

(b) BSEF may summarily suspend, pursuant to Chapter 6, a Participant or Authorized

Trader that fails to satisfy an arbitration award rendered in any arbitration conducted pursuant to

this Chapter 7.

CHAPTER 8. MISCELLANEOUS

RULE 801. Anti-Money Laundering and Anti-Terrorism

(a) It is SEF policy: (1) Not to engage in or knowingly assist any money laundering

or other illicit business, and (2) Not to engage in or knowingly assist, or be a conduit for, terrorist

financing.

(b) Participants will be required to provide sufficient information for Participants

and their Accounts, if applicable, for SEF to complete “know your customer” checks and to

conduct restricted list searches, including searches against the Specially Designated Nationals

and Blocked Persons list maintained by the Office of Foreign Assets Control of the U.S.

Department of the Treasury.
77

RULE 802. Gifts and Gratuities

Except as permitted in Writing by the Chief Compliance Officer, no Participant or

Authorized Trader shall, directly or indirectly, give or permit to be given anything of value

(including gratuities) to a SEF Official or BSEF, including any agents or independent contractors

of BSEF. A gift of any kind is considered a gratuity.

RULE 803. Market Data

(a) Subject to each Participant's rights in Participant’s own data (and the data of

its Accounts and Customers) as set forth in the Participant Documentation, BSEF shall own

all rights, title and interest, database rights and trade secret rights in and to all data and other

information contained in, displayed on, generated by or derived from the SEF Platform or the

SEF operated by BSEF or Trades entered into pursuant to the BSEF Rules, including Orders,

prices and volumes (“SEF Data”).

(b) Participants and Authorized Traders shall not, and shall cause their Affiliates,

Accounts and Customers not to, distribute, sell or retransmit SEF Data or other information

obtained via the SEF operated by BSEF, provided that any such restrictions shall not apply to

Participant’s own data (and the data of its Accounts and Customers).

(c) BSEF may at any time restrict or establish utilization fees in respect of SEF Data

and/or the format and presentation thereof with respect to Participants, Customers or Accounts,

provided that any such fees shall not apply to Participants’ use of Participant's own data (and the

data of its Accounts and Customers).

(d) Subject to Rule 805, BSEF may make SEF Data and other information it may

deem appropriate available to Participants and other Persons at such times and in such manner

(whether through the SEF Platform, a ticker, financial information services or otherwise) as it

may consider necessary or advisable from time to time. Each Participant or other Person

receiving any such information through the SEF operated by BSEF may redistribute such

information only to such extent and in such manner as may be permitted by BSEF from time to

time.

RULE 804. Prohibited Use of Data Collected for Regulatory Purposes

BSEF shall not use for business or marketing purposes any proprietary data or personal

information it collects or receives, from or on behalf of any person, for the purpose of fulfilling

its regulatory obligations; provided, however, that BSEF may use such data or information for

business or marketing purposes if the Person from whom it collects or receives such data or

information clearly consents in Writing to BSEF’s use of such data or information in such

manner. BSEF shall not condition access to its market(s) or market services on a Person’s

consent to BSEF’s use of proprietary data or personal information for business or marketing

purposes. BSEF, where necessary for regulatory purposes, may share such data or information

with one or more SEFs or DCMs registered with the CFTC.

RULE 805. Confidentiality

(a) All non-public information provided by a Participant or Authorized Trader to

BSEF shall be held in confidence and shall not be made known to any other Person except

as follows:
78

by such Governmental Body;

pursuant to a lawful discovery request;

to a Derivatives Clearing Organization of which such Participant is a

member or in connection with the clearing of a Swap;

to an SDR;

subject to appropriate confidentiality requirements, to any Person

providing services to BSEF, including the Regulatory Services Provider;

pursuant to an information sharing agreement or other arrangement

or procedures in accordance with Rule 213;

subject to appropriate confidentiality requirements, to BSEF

employees, the Board, Board committees, Disciplinary Panels, Appeals Panels, BSEF

Officers, attorneys, auditors, and agents, independent contractors or other Persons that

have been engaged by BSEF, in each case, who require such information in connection

with the discharge of their duties to BSEF; and

as otherwise permitted under these Rules.

(b) All information and data obtained or received by BSEF from inspections of

accounting and other records will be treated as confidential by BSEF; however, this Rule does

not supplant Rule 212 (Emergency Rules) and the Rules in Chapter 6 (Disciplinary Rules), or

any other requirement of legal process or law.

RULE 806. Extension or Waiver of BSEF Rules

If necessary and expedient, the Chief Compliance Officer may, in its sole discretion,

waive, or extend the time period for performing, any act or acts designated by the BSEF Rules,

but only to the extent such waiver or extension is not inconsistent with the CEA or the CFTC

Regulations or other applicable regulations.

RULE 807. Effect of Amendment, Repeal or New Rule

(a) If an amendment or repeal of a BSEF Rule or adoption of a new BSEF Rule does

not materially change the terms or conditions of a Swap and does not affect the value of open

Swaps, then the effective date of any amendment or repeal of a Rule or adoption of a new Rule

information

;

with the consent of

the Participant or

Authorized Trader

providing such

to a Governmental

Body if BSEF is

requested or legally

required to do so
79

relating to Swaps is binding on all Swaps entered into before and after the effective date of such

amendment, repeal or adoption and, to the extent applicable, before the effective date of such

amendment, repeal or adoption.

(b) If an amendment or repeal of a BSEF Rule or adoption of a new Rule materially

changes the terms or conditions of an open Swap or affects the value of open Swaps, then the

amendment, repeal or new BSEF Rule shall not affect any open Swaps and shall be binding only

on new Swaps listed for trading after the effective date of such amendment, repeal or adoption,

and Swaps listed as of the effective date of such amendment, repeal or adoption with no open

positions then in existence, unless otherwise specifically provided by the Board.

RULE 808. Swap Contract Specifications

(a) BSEF shall permit trading only in Swaps that are not readily susceptible to

manipulation. To demonstrate to the CFTC compliance with the requirements of this Rule

808(a), BSEF shall, at the time it submits a new Swap in advance to the CFTC pursuant to Part

40 of the CFTC Regulations, provide the applicable information as set forth in Appendix C to

Part 38 of the CFTC Regulations – Demonstration of Compliance That a Contract is not

Readily Susceptible to Manipulation.

(b) Notwithstanding any provision of the BSEF Rules to the contrary, the Swap

Specification with respect to a particular Swap shall govern the applicability of the BSEF Rules

to trading in such Swap and, in the event of any conflict between the BSEF Rules and the Swap

Specification, the Swap Specification shall govern with respect to trading in the relevant Swap.

(c) The Swap Specification for each individual Swap may specify:

(i) different classes of Participants eligible to trade such Swaps. Each

such class of Participants shall have the rights and obligations specified by the Swap

Specification for each such Swap;

(ii) whether such Swap may be settled via cash settlement, physical delivery

of the underlying commodity, or by any other means, as applicable; and

(iii) the method for determining settlement prices.

(d) Each Swap contract will be published by BSEF on its website.

(e) Swap Specifications are incorporated into the Rulebook by reference and

each Swap Specification shall constitute a BSEF Rule.

RULE 809. Timely Publication of Trading Information

BSEF will publish trading information as required by Core Principle 9 of Part 37, and by

Part 16, of the CFTC Regulations.

RULE 810. Governing Law, Jurisdiction and Dispute Resolution

(a) Unless preempted by the Act, the law of the State of New York governs the BSEF

Rules and any Participant Documentation regardless of the laws that would otherwise apply

under choice-of-law principles. If a Participant provides an opinion of a counsel (i) stating that

the Participant cannot be subject to the law of the State of New York and must be subject to the
80

law of the jurisdiction of the location where the Participant is organized (the “Local Law”) and

(ii) enumerating specific provisions of these Rules or the Participant Documentation that

must be subject to the Local Law, BSEF will specify the application of the Local Law to the

enumerated specific provisions of these Rules and the Participant Documentation; provided,

however, that in no event shall Local Law supersede any provision of the Act.

(b) Any dispute between BSEF and a Participant or any market participant that

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in

connection with the BSEF Rules or use of the SEF operated by BSEF must be brought to

arbitration pursuant to subsection (c) of this Rule 810 within one (1) year from the occurrence of

the event giving rise to the dispute. This Rule 810 shall in no way create a cause of action nor

authorize an action that would otherwise be prohibited by the BSEF Rules.

(c) Any dispute between BSEF and a Participant or any market participant that

directly or indirectly effects a transaction on the SEF operated by BSEF arising from or in

connection with the BSEF Rules will be settled by arbitration administered in New York County,

New York by the American Arbitration Association (the “AAA”) under its Commercial

Arbitration Rules. The dispute will be submitted to one arbitrator who will be appointed by the

AAA. Any arbitrator appointed for purposes of this Rule 810 will have experience with and

knowledge of commodities, derivatives and Swaps as listed on the National Roster of Arbitrators

kept in the AAA’s records. Judgment on the award rendered by the arbitrator will be binding on

the parties and may be entered in any state or federal court sitting in New York County, New

York, and BSEF and each Participant shall be deemed to have consented to the personal

jurisdiction of any such court. Each party to the dispute will bear its own costs and expenses in

connection with any arbitration hereunder, as well as an equal share of the administrative fees

and the fees of the arbitrator; provided, however, that the arbitrator will be entitled to include in

any award a full reimbursement for the prevailing party’s costs and expenses, such party’s share

of the administrative fees and the fees of the arbitrator, or any combination of any or all of the

above. In the event that this Rule 810 is held to be unenforceable in connection with any dispute

or a claim is deemed by a court of competent jurisdiction to be not arbitrable, (i) exclusive

jurisdiction for any such dispute will reside in any state or federal court sitting in New York

County, New York, (ii) BSEF and the Participant involved in the dispute will be presumed to

have submitted to the personal jurisdiction of any such court, and (iii) an action to enforce any

judgment or decision of such court may be brought in the same court or in any other court with

jurisdiction or venue. Finally, all Participants unconditionally and irrevocably waive any and all

right to trial by jury in connection with any such dispute.

CHAPTER 9. LIMITATION OF LIABILITY, NO WARRANTIES

RULE 901. LIMITATION OF LIABILITY, NO

WARRANTIES

(a) NONE OF BSEF, ITS AFFILIATES OR ANY CONTRACTORS AND SUBCONTRACTORS PROVIDING SERVICES RELATED TO BSEF OR THE SEF OPERATED

BY BSEF, NOR ANY OF THEIR RESPECTIVE SUCCESSORS OR ASSIGNS, DIRECTORS,

OFFICERS, EMPLOYEES, AGENTS, PARTNERS, CONSULTANTS, OR LICENSORS

(EACH, A “DISCLAIMING PARTY”) SHALL BE LIABLE TO ANY PERSON

(INCLUDING ANY PARTICIPANT, AUTHORIZED TRADER, SUPERVISED PERSON,

ACCOUNT, CUSTOMER, CLEARING MEMBER OR ANY MARKET PARTICIPANT

THAT DIRECTLY OR INDIRECTLY EFFECTS A TRANSACTION ON THE SEF
81

OPERATED BY BSEF) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES

(INCLUDING LOSS OF PROFITS, LOSS OF USE, AND DIRECT, INDIRECT, SPECIAL,

INCIDENTAL, CONSEQUENTIAL OR PUNITIVE DAMAGES), ARISING FROM:

ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY,

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION, TERMINATION, OR

ANY OTHER EVENT, IN CONNECTION WITH THE FURNISHING,

PERFORMANCE, OPERATION, MAINTENANCE, USE OF OR INABILITY TO USE

ALL OR ANY PART OF ANY OF THE SEF OPERATED BY BSEF, SEF

PLATFORM OR SERVICES OF THE DISCLAIMING PARTY, OR SERVICES,

EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SEF OPERATED BY

BSEF, SEF PLATFORM OR SERVICES, INCLUDING ELECTRONIC ORDER

ENTRY/DELIVERY, TRADING THROUGH ANY ELECTRONIC MEANS,

ELECTRONIC COMMUNICATION OF MARKET DATA, SEF DATA OR

INFORMATION, WORKSTATIONS USED BY PARTICIPANTS, AUTHORIZED

TRADERS, SUPERVISED PERSONS, CLEARING MEMBERS, ACCOUNTS OR

CUSTOMERS, PRICE REPORTING SYSTEMS AND ANY AND ALL

COMMUNICATIONS NETWORKS, SOFTWARE AND HARDWARE RELATING

THERETO;

ANY FAILURE, MALFUNCTION, FAULT IN DELIVERY, DELAY,

OMISSION, SUSPENSION, INACCURACY, INTERRUPTION OR TERMINATION,

OR ANY OTHER EVENT, OF THE SEF PLATFORM OR ANY SERVICES OF A

DISCLAIMING PARTY, OR SERVICES, EQUIPMENT OR FACILITIES USED TO

SUPPORT SUCH TRADING SYSTEMS OR SERVICES, CAUSED BY ANY THIRD

PARTIES INCLUDING INDEPENDENT SOFTWARE VENDORS OR NETWORK

PROVIDERS;

ANY ERRORS OR INACCURACIES IN INFORMATION PROVIDED

BY THE DISCLAIMING PARTY OR IN ANY OF THE DISCLAIMING PARTY’S

SYSTEMS, SERVICES, EQUIPMENT OR FACILITIES; ANY UNAUTHORIZED

ACCESS TO OR UNAUTHORIZED USE OF ANY OF THE DISCLAIMING

PARTY’S SYSTEMS, SERVICES, EQUIPMENT OR FACILITIES BY ANY

PERSON.

THE FOREGOING LIMITATION OF LIABILITY SHALL APPLY WHETHER A CLAIM

ARISES IN CONTRACT, TORT, NEGLIGENCE, STRICT LIABILITY, CONTRIBUTION

OR OTHERWISE AND WHETHER THE CLAIM IS BROUGHT DIRECTLY OR AS A

THIRD PARTY CLAIM.

(b) NOTWITHSTANDING SUBSECTION (a), (c) or (f) OF THIS RULE 901, IN

NO EVENT SHALL ANY AFFILIATE OF BSEF ACTING AS SEF PLATFORM

TECHNOLOGY SERVICES PROVIDER BE LIABLE TO ANY PERSON NOR SHALL ANY

PERSON BRING ANY LEGAL ACTION (WHETHER IN TORT, NEGLIGENCE, OR

BREACH OF CONTRACT) FOR ANY LOSSES, DAMAGES, COSTS OR EXPENSES

INCLUDING LOSS OF PROFITS, LOSS OF USE, DIRECT, SPECIAL, PUNITIVE,

INDIRECT, INCIDENTAL OR CONSEQUENTIAL DAMAGES, ARISING FROM THE USE

OF THE SEF OPERATED BY BSEF OR SEF PLATFORM.
82

(c) WITHOUT LIMITING BSEF’S INDEMNIFICATION OBLIGATION UNDER

RULE 902, THERE ARE NO EXPRESS OR IMPLIED WARRANTIES OR

REPRESENTATIONS (INCLUDING WARRANTIES OF MERCHANTABILITY AND

FITNESS FOR A PARTICULAR PURPOSE OR USE) PROVIDED BY ANY DISCLAIMING

PARTY RELATING TO ANY SYSTEMS OR SERVICES OF ANY DISCLAIMING PARTY

OR SERVICES, EQUIPMENT OR FACILITIES USED TO SUPPORT SUCH SYSTEMS OR

SERVICES.

(d) ANY DISPUTE ARISING OUT OF THE USE OF SYSTEMS OR SERVICES

OF ANY DISCLAIMING PARTY OR SERVICES, EQUIPMENT, OR FACILITIES USED TO

SUPPORT SUCH SYSTEMS OR SERVICES IN WHICH THE DISCLAIMING PARTY OR

DISCLAIMING PARTIES IS A PARTY SHALL BE SUBJECT TO ARBITRATION AS

PROVIDED IN RULE 810(c) AS IF THE DISCLAIMING PARTY WERE BSEF AND THE

OPPOSITE PARTY OR PARTIES WERE A PARTICIPANT. ANY ACTIONS, SUITS OR

PROCEEDINGS BROUGHT AGAINST ANY DISCLAIMING PARTY MUST BE BROUGHT

WITHIN ONE YEAR FROM THE TIME THAT A CAUSE OF ACTION HAS ACCRUED.

THIS PARAGRAPH (d) SHALL IN NO WAY BE CONSTRUED TO LIMIT A PARTY’S

OBLIGATION TO ARBITRATE ITS CLAIM OR TO CREATE A CAUSE OF ACTION (OR

MODIFY THE LIMITATION ON ACTIONS PROVIDED IN RULE 901(a)) AND SHALL

NOT AUTHORIZE AN ACTION THAT WOULD OTHERWISE BE PROHIBITED BY THE

BSEF RULES. IF FOR ANY REASON, A COURT OF COMPETENT JURISDICTION FINDS

THAT A DISPUTE IS NOT ARBITRABLE, SUCH DISPUTE SHALL BE SUBJECT TO THE

JURISDICTION OF EACH OF THE FEDERAL AND STATE COURTS LOCATED IN NEW

YORK COUNTY, NEW YORK IN CONNECTION WITH ANY MATTERS ARISING OUT

OF THIS RULEBOOK AND NO PARTY TO SUCH DISPUTE MAY ASSERT A DEFENSE

OF FORUM NON CONVENIENS, SOVEREIGN IMMUNITY, ACT OF STATE OR

ANALOGOUS DOCTRINES IN CONNECTION WITH ANY ACTION.

(e) TO THE EXTENT PERMITTED BY APPLICABLE LAW, THE TOTAL

COMBINED AGGREGATE LIABILITY OF BSEF SHALL NOT EXCEED (i) $20,000 FOR

ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED ON A SINGLE DAY, (ii) $100,000

FOR ALL LOSSES AND CLAIMS FROM ALL CAUSES SUFFERED IN A SINGLE CALENDAR

MONTH; AND (iii) $1,200,000 FOR ALL LOSSES AND CLAIMS FROM ALL CAUSES

SUFFERED IN A SINGLE CALENDAR YEAR. ANY DISPUTED CLAIM PURSUANT TO THIS

PARAGRAPH (e) SHALL BE SUBJECT TO ARBITRATION TO THE EXTENT PROVIDED IN

RULE 810(c).

IN NO EVENT SHALL TOTAL COMBINED AGGREGATE LIABILITY OF BSEF FOR ALL

CLAIMS AND CLAIMS AGAINST DISCLAIMING PARTIES ARISING OUT OF ANY

FAILURES, MALFUNCTIONS, FAULTS IN DELIVERY, DELAYS, OMISSIONS,

SUSPENSIONS, INACCURACIES, INTERRUPTIONS, TERMINATIONS, OR ANY OTHER

CAUSES, IN CONNECTION WITH THE FURNISHING, PERFORMANCE, OPERATION,

MAINTENANCE, USE OF OR INABILITY TO USE ALL OR ANY PART OF ANY OF THE

SEF OPERATED BY BSEF OR SEF PLATFORM, OR SERVICES, EQUIPMENT OR

FACILITIES USED TO SUPPORT BSEF, THE SEF OPERATED BY BSEF OR SEF

PLATFORM, OR THE NEGLIGENCE OR GROSS NEGLIGENCE OF BSEF EMPLOYEES,

AGENTS OR SUBAGENTS EXCEED $1,200,000 IN ANY GIVEN CALENDAR YEAR.

IF THE NUMBER OF ALLOWED CLAIMS ARISING OUT OF ANY FAILURES OR

MALFUNCTIONS ON A SINGLE DAY, SINGLE MONTH OR SINGLE YEAR CANNOT
83

An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit rating.

Currency USD

Quoting

Conventio

n and

Minimum

Increment

CLOB: $0.0025 Trading Protocols other than CLOB: As agreed by counterparties

Ticker

Minimum Size CLOB: $1,000,000 Trading Protocols other than CLOB: As agreed by counterparties

CDX HY CDSI [series number] [tenor]

Trading

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Credit events include Bankruptcy, Failure to Pay and Restructuring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Swap Conventions

Contract Overview

Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Index

BE FULLY SATISFIED BECAUSE OF THE ABOVE DOLLAR LIMITATIONS, ALL SUCH

CLAIMS SHALL BE LIMITED TO A PRO RATA SHARE OF THE MAXIMUM AMOUNT

FOR THE RESPECTIVE PERIOD.

(f) THE LIMITATIONS OF LIABILITY IN THIS RULE 901 SHALL NOT APPLY

TO BSEF’S INDEMNIFICATION OBLIGATION UNDER RULE 902 AND SHALL NOT

PROTECT ANY PARTY FOR WHICH THERE HAS BEEN A FINAL DETERMINATION

(INCLUDING EXHAUSTION OF ANY APPEALS) BY A COURT OR ARBITRATOR TO

HAVE ENGAGED IN FRAUD OR WILLFUL MISCONDUCT. ADDITIONALLY, THE

FOREGOING LIMITATIONS ON LIABILITY OF THIS RULE SHALL BE SUBJECT TO

THE CEA AND THE REGULATIONS PROMULGATED THEREUNDER, EACH AS IN

EFFECT FROM TIME TO TIME.

RULE 902. Indemnification by BSEF

BSEF, at its expense, shall indemnify, hold harmless and defend Participant against any

loss, claim, demand or expense (including reasonable attorneys’ fees) (“Claim”) that the SEF

Platform or any portion thereof infringes, misappropriates or violates any intellectual property or

proprietary rights of any third party; provided, however, that BSEF shall not be required to

indemnify Participant for any Claim to the extent it arises from or in connection with any (a)

additions, changes or modifications by Participant to the SEF Platform, which changes were not

provided by BSEF or any of its Affiliates, (b) use of the SEF Platform in combination with other

products or services not provided by BSEF or its Affiliates, or (c) use of the SEF Platform other

than as expressly permitted by the Rules or the Participant Documentation. BSEF shall control

such defense and all negotiations relative to the settlement of any such Claim. Participant shall

promptly provide BSEF with written notice of any claim which falls within the scope of this

paragraph (provided that failure to provide such notice shall not relieve BSEF of its indemnity

obligations hereunder except to the extent it is prejudiced thereby).

CHAPTER 10. [RESERVED]

CHAPTER 11. [RESERVED]

CHAPTER 12.CREDIT CONTRACTS TERMS AND CONDITIONS

RULE 1201. CDS Index Contract – North America High Yield

CDX.NA.HY: Series 11 to current series other than series “made available to trade”
84

Settlement

CDX IG CDSI [series number] [tenor]

Index

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

CDX.NA.IG: Series 11 to current other than series “made available to trade”

Currency USD

Quoting

Conventio

n and

Minimum

Increment

Trading Hours

and Venue

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Effective Date

Minimum Size

00:01 -24:00 Sunday-Friday; Eastern Time

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Trading

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Credit events include Bankruptcy and Failure to Pay.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Swap Tenor

Swap Conventions

Clearing House

Traded on spread Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Swap Tenor

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.;

Any, other than tenors “made available to trade”

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Maturity Date

Block Size

The final date on which the obligations no longer accrue and the final payment occurs.

Settlement

As set forth in Appendix F to Part 43 of the CFTC Regulations

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Trading Hours

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

Speculative Limits

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Maturity Date

Block Size

As set in Part 150 of the CFTC Regulations

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set in Part 150 of the CFTC Regulations

Any, other than tenors “made available to trade”

Reportable Levels

Reportable Levels

As set in the CFTC Regulation 15.03

RULE 1203. CDS Index Contract – CDX Emerging Markets

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

As set in the CFTC Regulation 15.03

An agreement to buy or sell protection on a basket comprised of a number of sovereign issuers, domiciled in

Latin America

Ticker

RULE 1202. CDS Index Contract – North America Investment Grade

CDX EM CDSI [series number] [tenor]

Index CDX Emerging Markets: all series

Contract Overview

Currency USD

An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade

credit rating

Quoting

Ticker
85

Settlement

Trading

Conventions

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

CLOB: $0.0025 Trading Protocols other than CLOB: As agreed by counterparties

Trading Hours

and Venue

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size

Swap Conventions

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

Traded on price

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03

RULE 1204. CDS Index Contract – Europe

Contract Overview

Swap Tenor

An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit

rating.

Minimum Size

Ticker

Any

ITRX EUR CDSI [series number] [tenor]

Index iTRAXX.EUROPE: Series 7 to current, other than series “made available to trade”

Conventio

n and

Minimum

Increment

Currency

Effective Date

EUR

CLOB: $1,000,000 Trading Protocols other than CLOB: As agreed by counterparties

Quoting

Conventio

n and

Minimum

Increment

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Trading

Conventions

Maturity Date

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Swap Conventions

The final date on which the obligations no longer accrue and the final payment occurs.

Traded on spread
86

As set forth in Appendix F to Part 43 of the CFTC Regulations

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Speculative Limits

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03

RULE 1205. CDS Index Contract – Europe Crossover

Contract Overview

Maturity Date

The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid

sub-investment grade European corporate entities.

Ticker

The final date on which the obligations no longer accrue and the final payment occurs.

ITRX XOVER CDSI [series number] [tenor]

Index iTRAXX.EUROPE CROSSOVER: Series 10 to current, other than series “made available to trade”

Currency

Settlement

EUR

Swap Tenor

Quoting

Convention

and

Minimum

Increment

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Trading

Conventions

Trading Hours and

Venue

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Any, other than tenors “made available to trade”

Swap Conventions

00:01 -24:00 Sunday-Friday; Eastern Time

Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor Any, other than tenors “made available to trade”

Effective Date

Clearing House

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Maturity Date

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Block Size

Effective Date
87

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.

Index

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

iTRAXX.EUROPE HIVOL:

Currency EUR

Quoting

Conventio

n and

Minimum

Increment

Block Size

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size

As set forth in Appendix F to Part 43 of the CFTC Regulations

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Trading

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Swap Conventions

Speculative Limits

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Trading Hours

and Venue

Swap Tenor

As set in Part 150 of the CFTC Regulations

Any

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

Maturity Date

Reportable Levels

The final date on which the obligations no longer accrue and the final payment occurs.

00:01 -24:00 Sunday-Friday; Eastern Time

Settlement

As set in the CFTC Regulation 15.03

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Trading Hours

and Venue

RULE 1206. CDS Index Contract – Europe HiVol

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Contract Overview

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

An agreement to buy or sell protection on a basket comprised of 30 equally weighted credit default swaps on the

widest spread non-financial European corporate entities.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03

RULE 1207. CDS Index Contract – iTraxx Europe Senior Financial

Ticker

Contract Overview

Clearing House

An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment

grade European entities.

HIVOL CDSI [series number] [tenor]
88

Swap Tenor

Currency

Any

SNRFIN CDSI [series number] [tenor]

Effective Date

EUR

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement

Quoting

Conventio

n and

Minimum

Increment

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Trading Hours

and Venue

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size

Minimum Size

As set forth in Appendix F to Part 43 of the CFTC Regulations

Index

Speculative Limits

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03

RULE 1208. CDS Index Contract – iTraxx SovX Western Europe

Ticker

Contract Overview

Trading

Conventions

An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone region plus

Denmark, Norway, Sweden and United Kingdom that trade on Western European documentation.

iTRAXX EUROPE SENIOR FINANCIAL

Ticker

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

ITRX SOVX WE CDSI [series number] [tenor]

Index iTRAXX SovX Western Europe: all series

Currency

Swap Conventions

USD

Quoting

Convention

and

Minimum

Increment

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties
89

00:01 -24:00 Sunday-Friday; Eastern Time

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Clearing House

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

n/a; Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

Swap Tenor

As set in Part 150 of the CFTC Regulations

Reportable Levels

Any

As set in the CFTC Regulation 15.03

RULE 1209. CDS Index Contract – iTraxx Europe Subordinated Financial

Contract Overview An agreement to buy or sell protection on a basket of 25 equally weighted credit default swaps on investment

grade European entities.

Ticker

Effective Date

SUBFIN CDSI [series number] [tenor]

Trading

Conventions

Index

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

iTRAXX EUROPE SUBORDINATED FINANCIAL : All Series

Currency EUR

Minimum Size

Quoting

Convention

and

Minimum

Increment

Maturity Date

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Minimum Size

The final date on which the obligations no longer accrue and the final payment occurs.

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Trading

Conventions

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Swap Conventions

Settlement

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Any

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Trading Hours and

Venue

Swap Conventions
90

The final date on which the obligations no longer accrue and the final payment occurs.

Ticker

00:01 -24:00 Sunday-Friday; Eastern Time

ITRX JAPAN CDSI [series number] [tenor]

Index iTRAXX.JAPAN: All Series.

Currency

Clearing House

JPY

Quoting

Convention

and

Minimum

Increment

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Trading

Conventions

Block Size

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Settlement

Swap Conventions

As set forth in Appendix F to Part 43 of the CFTC Regulations

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any

Maturity Date

Effective Date

Speculative Limits

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Maturity Date

As set in Part 150 of the CFTC Regulations

The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Trading Hours

and Venue

Reportable Levels

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

As set in the CFTC Regulation 15.03

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size

RULE 1210. CDS Index Contract – iTraxx Japan

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set in Part 150 of the CFTC Regulations

Contract Overview

Reportable Levels

Trading Hours

and Venue

As set in the CFTC Regulation 15.03

An agreement to buy or sell protection on a basket comprised of 50 equally-weighted investment grade

Japanese entities.
91

Contract Overview

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

RULE 1211. CDS Index Contract – iTraxx Australia

Any

ITRAXX.AUSTRALIA : All Series

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Maturity Date

An agreement to buy or sell protection on a basket comprised of 25 equally-weighted investment grade

Australian entities.

The final date on which the obligations no longer accrue and the final payment occurs.

Currency

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

USD

Trading Hours

and Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; Bilateral

Quoting

Conventio

n and

Minimum

Increment

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels

Ticker

As set in the CFTC Regulation 15.03

RULE 1212. MAT CDS Index Contracts – North America Investment Grade 5Y

Minimum Size

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with an investment

grade credit rating.

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Ticker CDX IG CDSI [series number] 5Y

Index

ITRX AUS CDSI [series number] [tenor]

CDX.NA.IG: at any time, the then-current on-the-run series and the preceding series that was replaced by the

current one

Trading

Conventions

Currency USD

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Quoting

Convention

and Minimum

Price

Increment

CLOB: 0.0025 Basis Points Request for Quote Functionality for Streaming Quotes: 0.01 Basis Points Trading

Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by counterparties

Swap Conventions
92

Clearing House

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

Swap Tenor

As set in Part 150 of the CFTC Regulations

Reportable Levels

5Y

As set in the CFTC Regulation 15.03

RULE 1213. MAT CDS Index Contract – North America High Yield 5Y

Contract Overview An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield

credit rating.

Ticker

Effective Date

CDX HY CDSI [series number] 5Y

Trading

Conventions

Index

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

CDX.NA.HY: at any time, the then-current on-the-run series and the preceding series that was replaced by the

current one

Currency USD

Minimum Size

Quoting

Convention

and Minimum

Increment

Maturity Date

CLOB: $0.0025 Request for Quote Functionality for Streaming Quotes: $0.0025 Trading Protocols other than CLOB

and Request for Quote Functionality for Streaming Quotes: As agreed by counterparties

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event

occurring. Credit events include Bankruptcy and Failure to Pay.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Minimum Size

The final date on which the obligations no longer accrue and the final payment occurs.

CLOB: $1,000,000 Trading Protocols other than CLOB: As agreed by counterparties

Trading

Convention

s

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Credit events include Bankruptcy, Failure to Pay and Restructuring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Swap Conventions

Settlement

Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the

notional, which is present valued and paid immediately to the seller.

5Y

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Maturity Date

Trading Hours

and Venue

The final date on which the obligations no longer accrue and the final payment occurs.

Swap Conventions

Settlement

00:01 -24:00 Sunday-Friday; Eastern Time

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties
93

Quoting

Convention

and Minimum

Increment

CLOB: 0.0025 Basis Points Request for Quote Functionality for Streaming Quotes: 0.001 Basis Points Trading

Protocols other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by counterparties

Minimum Size

Speculative Limits

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Trading

Conventions

As set in Part 150 of the CFTC Regulations

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The

Seller owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor

Reportable Levels

5Y

Clearing House

Effective Date

As set in the CFTC Regulation 15.03

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Maturity Date

RULE 1214. MAT CDS Index Contract –iTraxx Europe 5Y

The final date on which the obligations no longer accrue and the final payment occurs.

Settlement

Trading

Hours and

Venue

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Contract

Overview

Trading

Hours and

Venue

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

00:01 - 24:00 Sunday-Friday; Eastern Time

An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade

credit rating.

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Ticker

Speculative Limits As set in Part 150 of the CFTC Regulations

ITRX EUR CDSI [series number] 5Y

Reportable Levels As set in the CFTC Regulation 15.03

RULE 1215. MAT CDS Index Contract –iTraxx Europe Crossover 5Y

Contract Overview The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid

sub-investment grade European corporate entities.

Index

Ticker

Block Size

ITRX XOVER CDSI [series number] 5Y

iTRAXX.EUROPE: at any time, the then-current on-the-run series and the preceding series that was replaced by the

current one

Index iTRAXX.EUROPE CROSSOVER: at any time, the then-current on-the-run series and the preceding series that was

replaced by the current one

Currency

00:01 -24:00 Sunday-Friday; Eastern Time

EUR

Currency

Quoting

Convention

and

Minimum

As set forth in Appendix F to Part 43 of the CFTC Regulations

CLOB: 0.0025 Basis Points Request for Quote Functionality for Streaming Quotes: 0.001 Basis Points Trading Protocols

other than CLOB and Request for Quote Functionality for Streaming Quotes: As agreed by counterparties

EUR
94

Trading Hours and

Venue

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument

00:01 - 24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size

Swap Conventions

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03

RULE 1216. Option – CDS Index Contract CDX North America High Yield

Contract Overview

Swap Tenor

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Minimum Size

Ticker

5Y

CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – North America High Yield.

Index of

Underlying

Swap

Effective Date

CDX.NA.HY: Series 11 to current

CLOB: 1,000,000 Basis Points Trading Protocols other than CLOB: As agreed by counterparties

Tenor of

Underlying Swap

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Any

Currency USD

Quoting

Convention and

Minimum

Increment

Maturity Date

As agreed by counterparties

Minimum Size

The final date on which the obligations no longer accrue and the final payment occurs.

As agreed by counterparties

Trading

Conventions

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the

seller receives the premium payments from the protection buyer. The seller owns the credit risk of the

underlying swap.

Increment

Option

Strike Price

Settlement

Fixed coupon of the underlying swap

Trading

Conventions

Option

Expiry Date

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

As agreed by the parties
95

Index of

Underlying

Swap

CDX.NA.IG: Series 11 to current

Tenor of

Underlying Swap

Block Size

Any

Currency

As set forth in Appendix F to Part 43 of the CFTC Regulations

USD

Quoting

Convention and

Minimum

Increment

As agreed by counterparties

Minimum Size

Speculative Limits

As agreed by counterparties

Trading

Hours and

Venue

Trading

Conventions

Same as for the underlying Swap

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Option

Strike Price

Fixed coupon of the underlying swap

Exercise method

Option

Expiry Date

Reportable Levels

As agreed by the parties

00:01 -24:00 Sunday-Friday; Eastern Time

Exercise method

Same as for the underlying Swap

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Trading

Hours and

Venue

RULE 1217. Option – CDS Index Contract CDX North America Investment Grade

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

for the underlying

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Contract Overview

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap

RULE 1218. Option – CDS Index Contract – CDX Emerging Markets

Ticker

Contract Overview

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Ticker CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

CDS Index Contract – CDX Emerging Markets

Underlying Swap

Index of

Underlying

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

CDX.EM: all series

CDS Index Contract – North America Investment Grade.
96

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Trading

Hours and

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

for the underlying

Swap

Quoting

Convention and

Minimum

Increment

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits Same as for the underlying Swap

Reportable Levels

Minimum Size

Same as for the underlying Swap

RULE 1219. Option – CDS Index Contract – iTraxx Europe

Tenor of

Underlying Swap

Contract Overview

As agreed by counterparties

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap

Trading

Conventions

CDS Index Contract – European Investment Grade. An agreement to buy or sell protection on a basket of liquid

European based entities with an investment grade credit rating.

Any

Index of

Underlying

Swap

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the

seller receives the premium payments from the protection buyer. The seller owns the credit risk of the

underlying swap.

ITRAXX.EUROPE: Series 10 to current

Tenor of

Underlying Swap

Any

Currency

Option

Strike Price

EUR

Quoting

Convention and

Minimum

Increment

Fixed coupon of the underlying swap

As agreed by counterparties

Minimum Size As agreed by counterparties

Swap

Trading

Conventions

Option

Expiry Date

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the

seller receives the premium payments from the protection buyer. The seller owns the credit risk of the

underlying swap.

Currency

Option

Strike Price

As agreed by the parties

Fixed coupon of the underlying swap

Option

Expiry Date

As agreed by the parties

Exercise method

USD
97

ITRAXX.EUROPE CROSSOVER: Series 10 to current

Tenor of

Underlying

Swap

Block Size

Any

Currency

As set forth in Appendix F to Part 43 of the CFTC Regulations

EUR

Quoting

Convention and

Minimum

Increment

As agreed by counterparties

Minimum Size

Speculative Limits

As agreed by counterparties

Trading

Hours and

Venue

Trading

Conventions

Same as for the underlying Swap

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the

seller receives the premium payments from the protection buyer. The seller owns the credit risk of the

underlying swap.

Option

Strike Price

Fixed coupon of the underlying swap

Exercise method

Option

Expiry Date

Reportable Levels

As agreed by the parties

00:01 -24:00 Sunday-Friday; Eastern Time

Exercise method

Same as for the underlying Swap

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Trading

Hours and

Venue

RULE 1220. Option – CDS Index Contract – iTraxx Europe Crossover

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House for

the underlying

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Contract Overview

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap

RULE 1221. Option – CDS Index Contract – iTraxx Europe HiVol

Ticker

Contract Overview

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Ticker HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

CDS Index Contract – European HiVol.

Underlying Swap

Index of

Underlying

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

ITRAXX.EUROPE HIVOL: Series 10 to current

CDS Index Contract – Europe Crossover. An index comprising 75 equally weighted credit default swaps on the

most liquid sub-investment grade European corporate entities.

Tenor of Any

Index of

Underlying

Swap
98

Trading

Hours and

Venue

As agreed by counterparties

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

for the underlying

Swap

n/a; Bilateral

Block Size

Minimum Size

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

As agreed by counterparties

Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA

Contract Overview

Trading

Conventions

An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most liquid corporate

and quasi-sovereign entities from Central & Eastern European, Middle Eastern and African countries.

Currency

Ticker

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the

seller receives the premium payments from the protection buyer. The seller owns the credit risk of the

underlying swap.

ITRX Corp CEEMEA CDSI [series number] [tenor]

Index iTraxx CEEMEA: all series

Currency

Option

Strike Price

USD

EUR

Quoting

Convention

and

Minimum

Increment

Fixed coupon of the underlying swap

CLOB: $0.0025 Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000 Trading Protocols other than CLOB: As agreed by counterparties

Trading

Convention

s

Option

Expiry Date

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Swap Conventions

As agreed by the parties

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor Any

Underlying Swap

Effective Date

Exercise method

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

Quoting

Convention and

Minimum

Increment

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.
99

Contract Overview

Trading

Hours and

Venue

An agreement to buy or sell protection on a basket comprised of a number of 100 reference entities, referencing

first lien leveraged loans CDS.

The final date on which the obligations no longer accrue and the final payment occurs.

Ticker

00:01 -24:00 Sunday-Friday; Eastern Time

LCDX [series number] [tenor]

Index LCDX: all series

Currency

Clearing House

USD

Quoting

Convention

and

Minimum

Increment

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

CLOB: $0.0025 Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000 Trading Protocols other than CLOB: As agreed by counterparties

Trading

Convention

s

Block Size

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Settlement

Swap Conventions

As set forth in Appendix F to Part 43 of the CFTC Regulations

Traded on price

Fixed coupon payments are calculated at a spread of 250 bps and exchanged on a quarterly basis.

Swap Tenor Any

Maturity Date

Effective Date

Speculative Limits

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Maturity Date

As set in Part 150 of the CFTC Regulations

The final date on which the obligations no longer accrue and the final payment occurs.

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Trading

Hours and

Venue

Reportable Levels

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

As set in the CFTC Regulation 15.03

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

RULE 1223. CDS Index Contract – LCDX
100

As set forth in Appendix F to Part 43 of the CFTC Regulations

Minimum Size

As set in the CFTC Regulation 15.03

CLOB: $1,000,000 Trading Protocols other than CLOB: As agreed by counterparties

Trading

Convention

s

RULE 1224. CDS Index Contract – MCDX

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Contract Overview

Swap Tenor Any

An agreement to buy or sell protection on a basket comprised of a number of 50 CDS contracts referencing

municipal issuers as the Reference Entity.

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Ticker

Settlement

Speculative Limits

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

MCDX [series number] [tenor]

Trading

Hours and

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

Block Size

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Index

Block Size

As set in Part 150 of the CFTC Regulations

As set forth in Appendix F to Part 43 of the CFTC Regulations

MCDX: all series

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe

Currency

Contract Overview An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

USD

Ticker ITRAX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDS Index Contract – iTRAXX SovX Western Europe

Quoting

Convention

and

Minimum

Increment

Index of

Reportable Levels

iTRAXX SovX Western Europe: all series

CLOB: $0.0025 Trading Protocols other than CLOB: As agreed by counterparties
101

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Trading

Hours and

Venue

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

for the underlying

Swap

Quoting

Convention and

Minimum

Increment

None.

Block Size

As agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits Same as for the underlying Swap

Reportable Levels

Minimum Size

Same as for the underlying Swap

RULE 1226. Option – CDS Index Contract – LCDX

Tenor of

Underlying Swap

Contract Overview

As agreed by counterparties

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Ticker LCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap

Trading

Conventions

CDS Index Contract – LCDX

Any

Index of

Underlying

Swap

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the

seller receives the premium payments from the protection buyer. The seller owns the credit risk of the

underlying swap.

LCDX: all series

Tenor of

Underlying Swap

Any

Currency

Option

Strike Price

USD

Quoting

Convention and

Minimum

Increment

Fixed coupon of the underlying swap

As agreed by counterparties

Minimum Size As agreed by counterparties

Underlying

Swap

Trading

Conventions

Option

Expiry Date

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Currency

Option

Strike Price

As agreed by the parties

Fixed coupon of the underlying swap

Option

Expiry Date

As agreed by the parties

Exercise method

USD
102

Tenor of

Underlying

Swap

Block Size

Any

Currency

As set forth in Appendix F to Part 43 of the CFTC Regulations

USD

Quoting

Convention and

Minimum

Increment

As agreed by counterparties

Minimum Size

Speculative Limits

As agreed by counterparties

Trading

Hours and

Venue

Trading

Conventions

Same as for the underlying Swap

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the

buyer of protection pays a premium to the seller in case of a credit event occurring. Credit events include

bankruptcy and failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the

seller receives the premium payments from the protection buyer. The seller owns the credit risk of the

underlying swap.

Option

Strike Price

Fixed coupon of the underlying swap

Exercise method

Option

Expiry Date

Reportable Levels

As agreed by the parties

00:01 -24:00 Sunday-Friday; Eastern Time

Exercise method

Same as for the underlying Swap

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Trading

Hours and

Venue

RULE 1227. Option – CDS Index Contract – MCDX

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House

for the underlying

Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Contract Overview

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap

RULE 1228. CDS Index Contract – iTraxx Asia Ex-Japan

Ticker

Contract Overview

Clearing House

for the underlying

Swap

An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian (excluding Japanese) entities

with primarily investment grade credit ratings that trade in the CDS market.

MCDX CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Ticker ITRX EXJP IG CDSI [series number] [tenor]

Index

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

iTraxx Asia ex-Japan; all series

Underlying Swap

Currency

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

USD

CDS Index Contract – MCDX

Quoting

Convention and

Minimum

Increment

Minimum Increment: As agreed by counterparties

Minimum Size Minimum Size: As agreed by counterparties

Index of

Underlying

Swap

Trading Conventions Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

MCDX: all series
103

As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Effective Date

As set forth in CFTC Regulation 15.03

RULE 1229. CDS Index Contract – iTraxx Europe Non-Financial

Contract Overview

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

An agreement to buy or sell protection on a basket of one hundred (100) equally weighted credit default

swaps on investment grade European entities.

Ticker ITRX Europe NONFIN CDSI [series number] [tenor]

Index

Maturity Date

iTraxx Europe Non-Financial

Swap Conventions

Currency

The final date on which the obligations no longer accrue and the final payment occurs.

EUR

Quoting

Convention and

Minimum

Increment

CLOB: 0.0025 Basis Points Trading Protocols other than CLOB: As agreed by the counterparties

Minimum Size

Settlement

CLOB: $1,000,000 Trading Protocols other than CLOB: As agreed by the counterparties

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Trading Conventions

Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2014 ISDA

Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer.

The seller owns the credit risk of the instrument.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor

Trading Hours

and Venue

Any

Effective Date

00:01 -24:00 Sunday-Friday; Eastern Time

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement

Clearing House

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2014

ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association,

Inc.

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

Swap Tenor

Trading Hours and Venue

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet S.A.

or Bilateral

00:01-24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or

Bilateral

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The seller

owns the credit risk of the instrument.

Block Size

Block Size

As set forth in Appendix F to Part 43 of the CFTC Regulations

Any

Speculative Limits

As set forth in Appendix F to Part 43 of the CFTC Regulations

As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

Speculative Limits
104

iTRAXX.EUROPE MSCI ESG Screened: All Series.

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date

An agreement to buy or sell protection on a basket of equally weighted European entities from the iTraxx

MSCI ESG Screened Europe Index with an MSCI ESG Rating above BBB

The final date on which the obligations no longer accrue and the final payment occurs.

Currency

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009

ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the Big Bang

Protocol).

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

EUR

Trading Hours 00:01-24:00 Sunday-Friday; Eastern Time

Clearing House Bilateral

Quoting

Convention and

Minimum

Increment

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations

As agreed by the counterparties

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels

Ticker

As set forth in CFTC Regulation 15.03

RULE 1231. CDS Index Contract - CDX North American Investment Grade

(BBB-rated) Index

Minimum Size

Contract Overview An agreement to buy or sell protection on a basket of North American entities with an investment grade

rating of BBB.

As agreed by the counterparties

Ticker CDX IGBBB CDSI [series number] [tenor]

Index

ITRX EUR MSCIESG CDSI [series number] [tenor]

CDX.NA.IG.BBB: All series

Trading Conventions

Currency USD

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer.

The seller owns the credit risk of the instrument.

Quoting

Convention and

Minimum

Increment

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Swap Conventions

Trading Conventions

Contract Overview

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer.

The seller owns the credit risk of the instrument.

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Conventions Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Swap Tenor

Index

Any

Swap Tenor

Effective Date

RULE 1230. CDS Index Contract - iTraxx MSCI ESG Screened Europe Index

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the

Any
105

Index

Trading Hours

CDX.NA.HY.EXBB: All series.

Currency

00:01-24:00 Sunday-Friday; Eastern Time

USD

Quoting

Convention and

Minimum

Increment

As agreed by the counterparties

Minimum Size

Clearing House

As agreed by the counterparties

Maturity Date

Trading Conventions

Bilateral

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer.

The seller owns the credit risk of the instrument.

Swap Conventions Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Swap Tenor

Block Size

Any

The final date on which the obligations no longer accrue and the final payment occurs.

Effective Date

As set forth in Appendix F to Part 43 of the CFTC Regulations

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the

start date of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Settlement

Speculative Limits

Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2009

ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the Big Bang

Protocol).

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

Trading Hours

As set forth in Part 150 of the CFTC Regulations

00:01-24:00 Sunday-Friday; Eastern Time

Clearing House Bilateral

Block Size

Reportable Levels

As set forth in Appendix F to Part 43 of the CFTC Regulations

Settlement

Speculative Limits

As set forth in CFTC Regulation 15.03

As set forth in Part 150 of the CFTC Regulations

Reportable Levels

RULE 1232. CDS Index Contract - CDX North American High Yield (Ex-BB)

Index Contract

As set forth in CFTC Regulation 15.03

RULE 1233. CDS Index Contract – iTraxx Asia Ex-Japan IG (Restricted) Index Contract

Contract Overview

start date of the swap.

An agreement to buy or sell protection on a basket comprised of thirty-eight (38) liquid Asian

(excluding Japanese or U.S. sanctioned) entities with primarily investment grade credit ratings that

trade in the CDS market.

Contract Overview

Ticker

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009

ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (i.e., the Big Bang

Protocol).

Fixed Quarterly cash payments - Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

iTraxx EXJPR IG CDSI [series number] [tenor]

An agreement to buy or sell protection on a basket of high yield North American entities with credit ratings

higher than BB.

Index iTraxx Asia ex-Japan IG Restricted; all series

Currency USD

Ticker

Quoting Minimum Increment: As agreed by counterparties

CDX HYEXBB CDSI [series number] [tenor]
106

00:01 -24:00 Sunday-Friday; Eastern Time

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.; ICE Clear Europe Limited; LCH.Clearnet S.A. or

Bilateral

Block Size

Swap Conventions

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

CHAPTER 13. RATES CONTRACTS TERMS AND CONDITIONS

RULE 1301. AUD BBR-BBSW Fixed-to-Floating Swap Contract

Contract Overview

Swap Tenor

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Minimum Size

Ticker

Any

AUD SWAP vs Floating Index Maturity

Currency AUD

Floating

Rate Index

Effective Date

AUD BBR BBSW

Minimum Size: As agreed by counterparties

Floating Rate Index

Maturity

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

3, 6 months

Fixed Rate Par; Custom Coupon

Quoting

Convention and

Minimum

Increment

Maturity Date

As agreed by the counterparties

Minimum Size

The final date on which the obligations no longer accrue and the final payment occurs.

As agreed by the counterparties

Trading

Conventions

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Convention and

Minimum

Increment

Swap Conventions

Settlement

Fixed Leg

 Payment: Semi-Annual, Quarterly

 Day Count Conventions: ACT/365(Fixed)

 Holiday Calendar: Australia

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets : Semi-Annual, Quarterly

 Day Count Conventions: ACT/365(Fixed)

 Holiday Calendar: Australia

 Fixing Calendar: Australia

 Business Day Conventions: Modified Following

Trading Conventions

Swap Tenor

Contingent payment – Payments related to credit event settlement will be determined pursuant to the 2014 ISDA

Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to up to

30 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

Trading Hours

and Venue

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The

seller owns the credit risk of the instrument.
107

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1302. [Reserved]

RULE 1303. EUR Euribor Fixed-to-Floating Swap Contract*

Contract Overview

Trade Start Types

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Ticker

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the Effective Date is a date other than the spot date.

EUR SWAP vs [Floating Index Maturity]

Currency EUR

Floating

Rate Index

Settlement

Procedure

EURIBOR

Periodic

Settlement:

Payment

and Resets

Floating Rate Index

Maturity

As determined by the Clearing House or an agreement between the counterparties.

1, 3, 6, 12 months

Fixed Rate Par

 Custom coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Maturity Date

Quoting

Convention and

Minimum

Increment

Trading Hours

As agreed by the counterparties

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Contract Size

00:01 -24:00 Sunday-Friday (Eastern Time)

Fixed notional; as agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading

Conventions

Clearing House

Buy = Pay Fixed, Receive Float Sell = Receive Fixed, Pay Float

Swap Conventions

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Fixed Leg

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360, 30E/360

 Holiday Calendar: Target

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets : Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: ACT/360, 30/360

 Holiday Calendar: Target

 Fixing Calendar: Target

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A non-MAT or non-MAC EUR EURIBOR

Fixed- to-Floating Swap Contract can have a tenor from 28 days to up to 50 years. A MAC EUR EURIBOR

Fixed-to- Floating Swap Contract can have a tenor from 1 year to 30 years.

Effective Date

Block Size

The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate

payments. This is also known as the start date of the swap.

First Fixing Date

Maturity Date

As set forth in Appendix F to Part 43 of the CFTC Regulations.

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment

and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

The final date on which the obligations no longer accrue and the final payment occurs.

First Fixing Date

Speculative Limits

The first Euribor Fixing Date is 2 Target business days prior to the Effective Date of the swap.

The first BBSW Fixing Date is two (2) Sydney business days prior to the Effective Date.

As set forth in Part 150 of the CFTC Regulations
108

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot

date. International Money Market (“IMM”): One of the four quarterly IMM

dates.

Ticker

00:01 -24:00 Sunday-Friday (Eastern Time)

EUR SWAP OIS [Trade Start Type] [tenor]

Currency EUR

Floating

Rate Index

Clearing House

EUR-EONIA-OIS-Compound

Fixed Rate

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd, Eurex Clearing Aktiengesellschaft. or

Bilateral

Par; Custom Coupon

Quoting

Convention

Minimum

Increment

As agreed by counterparties

Minimum Size

Block Size

As agreed by counterparties

Settlement

Procedure

Trading

Conventions

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Swap Conventions Fixed Leg

 Payment: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, 30/360, ACT/365

 Holiday Calendar: Target

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets : Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: Target

 Fixing Calendar: Target

 Business Day Conventions: Modified Following

Trade Start Types

Swap Tenor

Speculative Limits

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to as long

as 50 years.

As determined by the Clearing House

Effective Date

As set forth in Part 150 of the CFTC Regulations

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment

and Resets

Reportable Levels

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date

As set forth in CFTC Regulation 15.03

The first EONIA Fixing Date is the trade date.

Trade Start Types

* Certain EUR EURIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set

forth in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm.

RULE 1304. [Reserved]

RULE 1305. [Reserved]

RULE 1306. [Reserved]

RULE 1307. EUR OIS Eonia Fixed-to-Floating Swap Contract

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Settlement

Procedure

As determined by the Clearing House

Contract Overview

Trading Hours

Trading Hours

00:01 -24:00 Sunday-Friday Eastern Time

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.
109

Minimum Size

Reportable Levels

As agreed by counterparties

Trading

Conventions

As set in CFTC Regulation 15.03

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Swap Conventions

RULE 1308. USD OIS Fed Funds Fixed-to-Floating Swap Contract

Fixed Leg

 Payment: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, Act/365, 30/360

 Holiday Calendar: New York

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets : Quarterly, Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: New York

 Fixing Calendar: New York

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 week to up to 50

years.

Contract Overview

Effective Date

Block Size

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment

and Resets

Clearing House

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Ticker

First Fixing Date

As set forth in Appendix F to Part 43 of the CFTC Regulations.

The first Fed Funds Fixing Date is 2 New York business days prior to the Effective Date.

USD SWAP OIS [Maturity]

Trade Start Types Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Settlement

Procedure

As determined by the Clearing House

Currency

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

USD

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd.. Eurex Clearing Aktiengesellschaft

or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Floating

Rate Index

Speculative Limits

Speculative Limits

As set in Part 150 of the CFTC Regulations

USD-FED-FUND H.15 OIS Compound

Reportable Levels As set in CFTC Regulation 15.03

RULE 1309. CHF LIBOR Fixed-to-Floating Swap Contract

Contract Overview

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or

Bilateral

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Fixed Rate

Ticker

As set in Part 150 of the CFTC Regulations

CHF SWAP vs [Floating Index Maturity]

Par; Custom Coupon

Currency CHF

Floating

Rate Index

CHF-LIBOR-BBA

Quoting

Conventio

n

Minimum

Increment

Floating Rate Index 3, 6 months

As agreed by counterparties
110

First Fixing Date

Minimum Size

The first LIBOR Fixing Date is 2 London business days prior to the Effective Date.

Trade Start Types

As agreed by the counterparties

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Settlement

Procedure

As determined by the Clearing House or an agreement between the counterparties

Trading Hours

Trading

Conventions

00:01 -24:00 Sunday-Friday Eastern Time

Fixed Rate

Clearing House

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft

or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits

Swap Conventions

As set forth in Part 150 of the CFTC Regulations

Par; Custom Coupon

Reportable Levels

Fixed Leg

 Payment: Quarterly, Semi-annually, Annual

 Day Count Conventions: 30/360, ACT/360

 Holiday Calendar: Zurich

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets : Quarterly, Semi-Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: Zurich

 Fixing Calendar: Switzerland

 Business Day Conventions: Modified Following

As set forth in CFTC Regulation 15.03

RULE 1310. GBP LIBOR Fixed-to-Floating Swap Contract*

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Ticker

Swap Tenor

GBP SWAP vs [Floating Index Maturity]

Currency

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long

as 30 years.

GBP

Floating

Rate Index

LIBOR

Maturity

Floating Rate Index

Maturity

Effective Date

3, 6 months

Quoting

Convention and

Minimum

Increment

Fixed Rate

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

Par

 Custom coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

Quoting

Convention and

Minimum

Increment

As agreed by the counterparties

Contract Size

Maturity Date

Fixed notional; as agreed by the counterparties

As agreed by the counterparties

Minimum Size

The final date on which the obligations no longer accrue and the final payment occurs.

GBP 1000

Trading

Conventions

Buy = Pay Fixed, Receive Float Sell = Receive Fixed, Pay Float

Swap Conventions

Periodic

Settlement:

Payment

and Resets

Fixed Leg

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: ACT/365, ACT/360, ACT/365F

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.
111

Settlement

Procedure

Effective Date

As determined by the Clearing House

 Holiday Calendar: London

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets : Quarterly, Semi-Annual

 Day Count Conventions: ACT/365, ACT/360, ACT/365F

 Holiday Calendar: London

 Fixing Calendar: London

 Business Day Conventions: Modified Following

Trading Hours

The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments.

This is also known as the start date of the swap.

00:01 - 24:00 Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft

or Bilateral

Block Size

Maturity Date

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits

The final date on which the obligations no longer accrue and the final payment occurs.

As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

* Certain GBP LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set

forth in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm.

RULE 1311. GBP Basis Swap Contract

Contract Overview

Periodic

Settlement:

Payment

and Resets

An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a

term to maturity.

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

GBP SWAP VS [floating rate 1] V [floating rate 2] [tenor]

Currency GBP

Floating

Rate Index

First LIBOR

Fixing Date

1 Month GBP-LIBOR 3 Month GBP-LIBOR 6 Month GBP-LIBOR 12 Month GBP-LIBOR SONIA

The duration of time from the effective date to the maturity date. A non-MAT GBP LIBOR Fixed-to-Floating Swap

Contract can have a tenor from 28 days to up to 50 years.

Quoting

Convention and

Minimum

Increment

For non-MAT GBP LIBOR Fixed-to-Floating Swap Contracts, the first LIBOR Fixing Date is the Effective Date. For

MAT GBP LIBOR Fixed-to-Floating Swap Contracts, the first LIBOR Fixing Date is two (2) London business days

prior to the Effective Date.

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading

Conventions

Trade Start Types

Buy = Pay Spread Sell = Receive Spread

Swap Conventions

Spot: A new swap where the Effective Date is T from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot

date. International Money Market (“IMM”): One of the four quarterly IMM

dates.

Floating Leg 1

 Payment/Resets: Monthly, Quarterly, Semi-annual

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 Compounding Method: Flat

 Holiday Calendar: England

 Fixing Calendar: England

 Business Day Conventions: Modified Following

Floating Leg 2

 Payment/Resets: Monthly, Quarterly, Semi-annual

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 Holiday Calendar: England

 Fixing Calendar: England

 Business Day Conventions: Modified Following
112

Speculative Limits

Periodic

Settlement:

Payment

and Resets

As set forth in Part 150 of CFTC Regulations

Reportable Levels

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index, and Floating Reset Dates.

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

As set forth in CFTC Regulation 15.03

RULE 1312. JPY LIBOR (6M) Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Ticker

First Fixing Date

[tenor] JPY SWAP VS 6M LBR

Effective Date

Currency

The first Fixing Date is the Effective Date.

JPY

Floating

Rate Index

6 Month JPY-LIBOR

Swap Tenor

Fixed Rate

Trade Start Types

Par

 Custom coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)

The date on which parties begin calculating accrued obligations such as floating interest rate payments (i.e., the

start date of the swap).

Quoting

Convention and

Minimum

Increment

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

As agreed by counterparties

Minimum Size As agreed by counterparties

Trading

Conventions

Settlement

Procedure

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Swap Conventions

As determined by the Clearing House

Fixed Leg

 Payment: Quarterly, Semi-annual, Annual

 Day Count Conventions: ACT/360, 30/360, ACT/365(Fixed)

 Holiday Calendar: London, Tokyo

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets : Semi-Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: London, Tokyo

 Fixing Calendar: England; Japan

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long

as 40 years.

Effective Date

Trading Hours

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

Maturity Date

Maturity Date

00:01-24:00 Sunday-Friday Eastern Time

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment

and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50

years.

First Fixing Date

Clearing House

The first LIBOR Fixing Date is 2 London business days prior to the Effective Date.

The final date on which the obligations no longer accrue and the final payment occurs.

Trade Start Types

LIBOR: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

SONIA: LCH.Clearnet Ltd. or Bilateral

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the effective date is a date other than the spot date.

Settlement

Procedure

As determined by the Clearing House

Trading Hours

Block Size

00:01 -24:00 Sunday-Friday Eastern Time

As set forth in Appendix F to Part 43 of CFTC Regulations
113

Contract Size

Reportable Levels

Fixed notional, as agreed by the counterparties

Minimum Size

As set in CFTC Regulation 15.03

As agreed by the counterparties

Trading

Conventions

RULE 1313. [Reserved]

RULE 1314. USD LIBOR Fixed-to-Floating Swap Contract*

Buy = Pay Fixed, Receive Float Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg

 Payment: Monthly, Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360/ ACT/365

 Holiday Calendar: London, New York

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Monthly, Quarterly, Semi-Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: London, New York

 Fixing Calendar: London

 Business Day Conventions: Modified Following

Contract Overview

Swap Tenor

Block Size

 The duration of time from the effective date to the maturity date. A non-MAT USD LIBOR Fixed-to-Floating

Swap Contract can have a Tenor from 28 days to up to 50 years.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Effective Date The date on which the parties begin calculating accrued obligations such as fixed and floating interest rate payments.

This is also known as the start date of the swap.

Maturity Date

Clearing House

The final date on which the obligations no longer accrue and the final payment occurs.

Ticker

Periodic

Settlement:

Payment

and Resets

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

 Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

 Payments are settled in accordance with the payment frequency of the swap.

USD SWAP VS [Floating Index Maturity]

First Fixing Date The first LIBOR Fixing Date is two (2) London business days prior to the Effective Date

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date

 Non-Spot: Any date where the Effective Date is a date other than the spot date

 International Money Market (“IMM”): Next two (2) IMM dates

Currency

Settlement

Procedure

As determined by the Clearing House

USD

Trading Hours 00:01 -24:00; Sunday-Friday (Eastern Time)

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft

or Bilateral

Floating

Rate Index

Block Size

Speculative Limits

As set forth in Appendix F to Part 43 of the CFTC Regulations

LIBOR

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft, Japan

Securities Clearing Corporation or Bilateral

As set forth in CFTC Regulation 15.03

* Certain USD LIBOR Fixed-to-Floating swap contracts are subject to “made available to trade” determinations and must be traded as set

forth in Rule 522. For the full list of terms of MAT swap contracts, please see the current list of “Swaps Made Available to Trade” at

http://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm.

RULE 1315. USD Basis Swap Contract

Floating Rate Index

Maturity

Contract Overview

As set in Part 150 of the CFTC Regulations

An agreement to exchange a stream of cash flows by applying two floating interest rates to a specified notional over a

term to maturity.

1, 3, 6, 12 months

Ticker USD SWAP [floating rate 1] V [floating rate 2] [tenor]

Currency GBP

Fixed Rate Par

 Custom Coupon

 Standard coupon; the then-current rates for Market Agreed Coupon (“MAC”)
114

Floating Leg 1: The payment amount of the Floating Leg 1 is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index, and Floating Reset Dates.

Floating Leg 2: The payment amount of the Floating Leg 2 is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first LIBOR Fixing Date is two London business days prior to the Effective Date. If Fed Funds or SOFR is one of

the index leg tenors, the first Fixing Date will equal the effective date of the swap.

Trade Start Types

Trading

Conventions

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement

Procedure

Buy = Pay Spread Sell = Receive Spread

As determined by the Clearing House

Trading Hours 00:01-24:00 Sunday-Friday Eastern Time

Clearing House

Swap Conventions

1 month, 3 month, and 6 month LIBOR rates only: Chicago Mercantile Exchange, Inc.

All rates: Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Quoting

Convention and

Minimum

Increment

Block Size

Floating Leg 1

 Payment/Resets: Monthly, Quarterly, Semi-annual, Annual, At Maturity

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Compounding Method: Flat, Exclude Spread

 Holiday Calendar: England, US

 Fixing Calendar: USGS

 Business Day Conventions: Modified

Following Floating Leg 2

 Payment/Resets : Monthly, Quarterly, Semi-annual, Annual, At Maturity

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Holiday Calendar: England, US

 Fixing Calendar: USGS

 Business Day Conventions: Modified Following

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Floating

Rate Index

Reportable Levels

Swap Tenor

As set forth in CFTC Regulation 15.03

RULE 1316. [Reserved]

RULE 1317. SEK STIBOR (3M) Fixed-to-Floating Swap Contract

As agreed by the counterparties

Contract Overview

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to up to 50

years.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified notional

over a term to maturity.

Ticker SEK SWAP VS 3M [Trade Start Type] [tenor]

Currency

Effective Date

SEK

Floating

Rate Index

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments (i.e.,

the start date of the swap).

3 Month SEK-STIBOR-SIDE

Fixed Rate Par; Custom Coupon

Quoting

Convention and

Minimum

Increment

Maturity Date

As agreed by counterparties

Minimum Size

Minimum Size

The final date on which the obligations no longer accrue and the final payment occurs.

As agreed by counterparties

Trading

Conventions

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

1 Month USD-LIBOR 3 Month USD-LIBOR 6 Month USD-LIBOR SOFR Fed Funds

Periodic

Settlement:

Payment

and Resets

As agreed by the counterparties
115

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size

Maturity Date

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits

The final date on which the obligations no longer accrue and the final payment occurs.

As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03

RULE 1318. USD SOFR OIS Fixed-to-Floating Swap Contract

Contract Overview

Periodic

Settlement:

Payment

and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

USD SOFR OIS [Tenor]

Currency USD

Swap Conventions

Floating Rate Index

First Fixing Date

SOFR

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long

as 15 years.

Fixed Rate

The first STIBOR Fixing Date is 2 Stockholm business days prior to the Effective Date.

Par; Custom Coupon

Quoting Convention

and Minimum

Increment

As agreed by the counterparties

Minimum Size

Trade Start Types

As agreed by the counterparties

Trading Conventions

Spot:

 A new swap where the Effective Date is T+2 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Swap Conventions Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendars: U.S. Government Securities Business Day

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets: Daily, Annual

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Holiday Calendars: U.S Government Securities Business Day

 Business Day Conventions: Modified Following with adjustment to period end dates

Swap Tenor

Settlement

Procedure

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Effective Date

Effective Date

As determined by the Clearing House or an agreement between the counterparties

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Fixed Leg

 Payment: Quarterly, Semi-Annual, Annual

 Day Count Conventions: 30/360, ACT/360, ACT/365

 Holiday Calendar: Stockholm

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets : Quarterly, Semi-Annual

 Day Count Conventions: ACT/360

 Holiday Calendar: Stockholm

 Fixing Calendar: Stockholm

 Business Day Conventions: Modified Following

Periodic Settlement:

Trading Hours

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments.

Also known as the start date of the swap.

00:01 -24:00 Sunday-Friday Eastern Time
116

Settlement Procedure As determined by the Clearing House

Trading Hours

First Fixing Date

00:01 -24:00 Sunday-Friday (Eastern Time)

Payment and Resets

Clearing Venue

The first SOFR Fixing Date is equal to the effective date of the swap.

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits

Trade Start Types

As set forth in Part 150 of the CFTC Regulations

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Reportable Levels

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

As set forth in CFTC Regulation 15.03
117

Ticker CAD SWAP 3M [Trade Start Type] [tenor]

Currency

RULE 1322.

CAD

Floating

Rate Index

[Reserved]

3 Month CAD CDOR CBA

Fixed Rate Par; Custom Coupon

Contract Size

RULE 1323.

As agreed by counterparties

RULE 1320.

Minimum Size

[Reserved]

As agreed by counterparties

Trading

Conventions

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

RULE 1319.

Swap

Conventions

RULE 1324.

Fixed Leg

 Payment: Semi-Annual

 Day Count Conventions: ACT/365F

 Holiday Calendar: Canada

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: Quarterly, Semi-Annual

 Day Count Conventions: ACT/365F

 Holiday Calendar: Canada

 Business Day Conventions: Modified Following

[Reserved]

Swap Tenor

[Reserved]

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 28 days to as long

as 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also

known as the start date of the swap.

Maturity Date

RULE 1325.

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment and

Resets

[Reserved]

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Libor

Fixing Date

The first CDOR Fixing Date is equal to the Effective Date.

Trade

Start Types

RULE 1326.

Spot:

 A new swap where the Effective Date is T+0 from the trade date.

Non-Spot:

 Any date where the effective date is a date other than the spot date.

RULE 1321.

Settlement

Procedure

[Reserved]

As determined by the Clearing House or an agreement between the counterparties

Trading Hours

RULE 1327. CAD CDOR CBA (3M) Fixed-to-Floating Swap Contract

00:01 -24:00 Sunday-Friday Eastern Time

Clearing House

[Reserved]

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Contract

Overview

Block Size

[Reserved]

As set forth in Appendix F to Part 43 of the CFTC Regulations.

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.
118

Swap

Convention

s

Fixed Leg

 Payment: 28 Days

 Day Count Conventions: ACT/360

 Holiday Calendar: Mexico

 Business Day Conventions: Modified Following

Floating Leg

 Payment/Resets: 28 Days

 Day Count Conventions: ACT/360

 Holiday Calendar: Mexico

 Business Day Conventions: Modified Following

Ticker

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a Tenor from 3 months to as long

as 260 months.

MXN SWAP vs. 28D [tenor]

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also

known as the start date of the swap.

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Currency

Periodic

Settlement:

Payment and

Resets

Reportable Levels

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day Count

Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency, Day

Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

MXN

First Libor

Fixing Date

The first Mexican Interbank Fixing Date is one Mexican business day prior to the Effective Date.

Trade Start Types

Speculative

Limits

Spot:

 A new swap where the Effective Date is T+1 from the trade date.

Floating

Rate Index

Settlement

Procedure

As set forth in CFTC Regulation 15.03

As determined by the Clearing House

28 Days Interbank Equilibrium Interest Rate (Tasa de Interes Interbancaria de Equilibrio)

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Chicago Mercantile Exchange, Inc

Fixed Rate

Block Size

RULE 1328. Interest Rate MXN TIIE (28D) Fixed-To-Floating Swap Contract

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Par; Custom Coupon

Speculative

Limits

As set forth in Part 150 of the CFTC Regulations

RULE 1329. [Reserved]

RULE 1330. [Reserved]

RULE 1331. AUD OIS RBACOR Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Contract Size

Ticker AUD OIS SWAP [Trade Start Type] [Tenor]

As agreed by counterparties

Currency AUD

Floating

Rate Index

Contract

Overvie

w

RBACOR (Interbank Overnight Cash Rate)

Minimum Size

Fixed Rate

As set forth in Part 150 of the CFTC Regulations

Par; Custom Coupon

As agreed by counterparties

Contract Size As agreed by counterparties

Minimum Size

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.

As agreed by counterparties

Trading

Convention

s

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.
119

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Settlement

Procedure

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 1 month to

24 months.

As determined by the Clearing Venue

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House

Effective Date

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also

known as the start date of the swap.

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels

Maturity Date

As set in CFTC Regulation 15.03

RULE 1332. [Reserved]

RULE 1333. GBP OIS SONIA Fixed-to-Floating Swap Contract

Swap Conventions

Contract Overview

The final date on which the obligations no longer accrue and the final payment occurs.

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Ticker GBP SWAP vs SON [tenor]

Trading

Conventions

Currency

Periodic

Settlement:

Payment

and Resets

GBP

Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: Australia

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets : Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: Australia

 Fixing Calendar: Australia

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating

Rate Index

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

SONIA

Fixed Rate Par; Custom coupon

Contract Size

First Fixing Date

As agreed by counterparties

Minimum Size

The first Libor Fixing Date is T+1.

As agreed by counterparties

Trading

Conventions

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Swap Conventions

Trade Start Types

Fixed Leg

 Payment: Quarterly, Annual, Semi-Annual

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendar: London

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets : Quarterly, Annual, Semi-Annual

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendar: London

Swap Tenor

Spot:

 A new swap where the Effective Date is T+1 from the trade date.

Non Spot

 Any date other than the effective date.
120

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits

The final date on which the obligations no longer accrue and the final payment occurs.

As set in Part 150 of the CFTC Regulations

Reportable Levels As set in CFTC Regulation 15.03

RULE 1334. Option – USD LIBOR Fixed-to-Floating Swap Contract

Contract Overview

Periodic

Settlement:

Payment

and Resets

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on

BSEF which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into

and submit the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing

House”).

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency, Day

Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

IRS USD [Underlying Tenor] [Strike] [Expiry Date]

Underlying Swap USD LIBOR Fixed-to-Floating Swap Contract

Index of

Underlying Swap

First Fixing Date

LIBOR (3M)

The duration of time from the effective date to the maturity date. A contract can have a Tenor from 5 days to up to

50 years.

Tenor of

Underlying Swap

The first Libor Fixing Date is equal to the trade date.

Any

Currency USD

Quoting

Convention and

Minimum

Increment

Trade Start Types

As agreed by counterparties

Minimum Size

Spot:

 A new swap where the Effective Date is T+0 from the trade date.

Non Spot

 Any date other than the effective date.

As agreed by counterparties

Trading Conventions A payer option gives the owner of the option the right to enter into a swap where they pay the fixed leg and

receive the floating leg.

A receiver option gives the owner of the option the right to enter into a swap in which they will receive the

fixed leg and pay the floating leg.

Option Strike Price

Settlement

Procedure

Fixed coupon of the underlying swap

Effective Date

Option Expiry Date

As determined by the Clearing Venue

As agreed by the parties

Option Settlement

Type

Cash or a delivery of a cleared swap

 Fixing Calendar: London

 Business Day Conventions: Modified Following with adjustment to period end dates

Exercise method

Trading Hours

The owner of the option must notify the writer of the option of the owner’s intent to exercise the option during

business hours on the expiration date of the option and the manner of the exercise: cash or physical (delivery).

Notice shall be in the form and manner as agreed by the counterparties. If the counterparties elected the

exercise by physical delivery, the counterparties must submit the Swap for clearing to the Clearing House.

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments. Also

known as the start date of the swap.

Trading Hours

and Venue

00:01 -24:00 Sunday-Friday Eastern Time

00:01 - 24:00 Sunday-Friday; Eastern Time

Clearing House for

the underlying Swap

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet Ltd.

or Bilateral

Block Size

Clearing House

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or

Bilateral

Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap

RULE 1335. NOK NIBOR Fixed-to-Floating Swap Contract

Block Size

Maturity Date
121

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Maturity Date

Floating Rate Index Maturity

The final date on which the obligations no longer accrue and the final payment occurs.

Ticker

Periodic

Settlement:

Payment and Resets

6 months

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first NIBOR Fixing Date is two Norwegian business days prior to the Effective Date of the swap.

Contract Overview

Trade Start Types

Fixed Rate

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

NOK SWAP vs [Floating Index Maturity]

Settlement Procedure

Par; custom coupon

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House

Quoting Convention and

Minimum Increment

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size

As agreed by the counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Contract Size

As set forth in CFTC Regulation 15.03

RULE 1336. DKK CIBOR Fixed-to-Floating Swap Contract

Currency

Contract Overview

As agreed by the counterparties

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Ticker DKK SWAP vs [Floating Index Maturity]

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.

Currency

Minimum Size

DKK

NOK

Floating Rate Index

As agreed by the counterparties

CIBOR

Floating Rate Index Maturity 6 months

Fixed Rate

Trading Conventions

Par; custom coupon

Quoting Convention and

Minimum Increment

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As agreed by the counterparties

Contract Size As agreed by the counterparties

Minimum Size

Swap Conventions

As agreed by the counterparties

Floating Rate Index

Trading Conventions

Fixed Leg

o Payment: Annual

o Day Count Conventions: 30/360

o Holiday Calendar: Norway

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Semi-Annual/ Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Norway

o Business Day Conventions: Modified Following

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg

o Payment: Annual

o Day Count Conventions: 30/360

o Holiday Calendar: Denmark

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Denmark

o Business Day Conventions: Modified Following

Swap Tenor

Swap Tenor

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

NIBOR

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.
122

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Ticker

First Fixing Date

HKD SWAP vs [Floating Index Maturity]

Effective Date

Currency

The first CIBOR Fixing Date is two Danish business days prior to the Effective Date of the swap.

HKD

Floating Rate Index HIBOR

Floating Rate Index Maturity

Trade Start Types

3 months

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Fixed Rate

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Par; custom

Quoting Convention and

Minimum Increment

As agreed by the counterparties

Contract Size

Settlement Procedure

As agreed by the counterparties

Minimum Size

As determined by the Clearing House or an agreement between the counterparties

As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions

Trading Hours

Fixed Leg

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Hong Kong

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Quarterly/ Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Hong Kong

o Business Day Conventions: Modified Following

Maturity Date

Swap Tenor

00:01-24:00 Sunday-Friday (Eastern Time)

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

days to up to 50 years.

Maturity Date

Clearing House

The final date on which the obligations no longer accrue and the final payment occurs.

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first HIBOR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types

Block Size

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure

As set forth in Appendix F to Part 43 of the CFTC Regulations

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing Venue

Speculative Limits

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Periodic Settlement

Payment and

Resets

Block Size

As set forth in Part 150 of the CFTC Regulations

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Reportable Levels

As set forth in CFTC Regulation 15.03

RULE 1338. PLN WIBOR Fixed-to-Floating Swap Contract

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional,

Payment Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Contract Overview

As set forth in CFTC Regulation 15.03

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

RULE 1337. HKD HIBOR Fixed-to-Floating Swap Contract
123

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Maturity Date

Floating Rate Index Maturity

The final date on which the obligations no longer accrue and the final payment occurs.

Ticker

Periodic Settlement

Payment and

Resets

6 months

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional,

Payment Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first WIBOR Fixing Date is two Polish business days prior to the Effective Date of the swap.

Trade Start Types

Fixed Rate

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot

date. International Money Market (“IMM”): One of the four quarterly IMM

dates.

PLN SWAP vs [Floating Index Maturity]

Settlement Procedure

Par; custom coupon

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House

Quoting Convention and

Minimum Increment

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size

As agreed by the counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Contract Size

As set forth in CFTC Regulation 15.03

RULE 1339. ZAR JIBAR Fixed-to-Floating Swap Contract

Currency

Contract Overview

As agreed by the counterparties

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Ticker ZAR SWAP vs [Floating Index Maturity]

specified notional over a term to maturity.

Currency

Minimum Size

ZAR

PLN

Floating Rate Index

As agreed by the counterparties

JIBAR

Floating Rate Index Maturity 3 months

Fixed Rate

Trading Conventions

Par; custom coupon

Quoting Convention and

Minimum Increment

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

As agreed by the counterparties

Contract Size As agreed by the counterparties

Minimum Size

Swap Conventions

As agreed by the counterparties

Floating Rate Index

Trading Conventions

Fixed Leg

o Payment: Annual

o Day Count Conventions: ACT/ACT

o Holiday Calendar: Poland

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Poland

o Business Day Conventions: Modified Following

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions Fixed Leg

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: South Africa

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: South Africa

o Business Day Conventions: Modified Following

Swap Tenor

WIBOR
124

RULE 1340. [Reserved]

RULE 1341. HUF BUBOR Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Ticker

First Fixing Date

HUF SWAP vs [Floating Index Maturity]

Effective Date

Currency

The first JIBAR Fixing Date is equal to the Effective Date of the swap.

HUF

Floating Rate Index BUBOR

Swap Tenor

Floating Rate Index Maturity

Trade Start Types

6 months

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Fixed Rate

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Par; custom coupon

Quoting Convention and

Minimum Increment

As agreed by the counterparties

Contract Size

Settlement Procedure

As agreed by the counterparties

Minimum Size

As determined by the Clearing House or an agreement between the counterparties

As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions

Trading Hours

Fixed Leg

o Payment: Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Hungary

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Hungary

o Business Day Conventions: Modified Following

Maturity Date

Swap Tenor

00:01-24:00 Sunday-Friday (Eastern Time)

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Maturity Date

Clearing House

The final date on which the obligations no longer accrue and the final payment occurs.

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment and Resets

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first BUBOR Fixing Date is two Hungarian business days prior to the Effective Date of the swap.

Trade Start Types

Block Size

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot

date. International Money Market (“IMM”): One of the four quarterly IMM

dates.

Settlement Procedure

As set forth in Appendix F to Part 43 of the CFTC Regulations

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House

Speculative Limits

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Periodic Settlement

Payment and

Resets

Block Size

As set forth in Part 150 of the CFTC Regulations

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Reportable Levels

As set forth in CFTC Regulation 15.03

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

As set forth in CFTC Regulation 15.03
125

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

South Korean Won 3 Month Certificate of Deposit

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Floating Rate Index Maturity

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

3 months

First Fixing Date The first South Korean Won 3 Month Certificate of Deposit Fixing Date is one South Korean business day

prior to the Effective Date.

Trade Start Types

Ticker

Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixed Rate

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Par; custom coupon

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House

KRW SWAP vs [Floating Index Maturity]

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Quoting Convention and

Minimum Increment

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

As agreed by the counterparties

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1343. CZK PRIBOR Fixed-to-Floating Swap Contract

Contract Size

Contract Overview

Contract Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

As agreed by the counterparties

Ticker CZK SWAP vs [Floating Index Maturity]

Currency

Currency

CZK

Minimum Size

Floating Rate Index

RULE 1342. KRW South Korean Won 3 Month Certificate of Deposit Fixed-to-Floating

Swap Contract

PRIBOR

As agreed by the counterparties

Floating Rate Index Maturity 6 months

Fixed Rate

KRW

Par; custom coupon

Trading Conventions

Quoting Convention and

Minimum Increment

As agreed by the counterparties

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Swap Conventions

Trading Conventions

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.

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Fixed Leg

 Payment: Quarterly

 Day Count Conventions: ACT/365

 Holiday Calendar: South Korea

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets: Quarterly/Quarterly

 Day Count Conventions: ACT/365

 Holiday Calendar: South Korea

 Business Day Conventions: Modified Following

Swap Conventions Fixed Leg

o Payment: Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Czech Republic

o Business Day Conventions: Modified

Following Floating Leg

Floating Rate Index

Swap Tenor
126

As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1344. CLP Indice Cámara Promedio Rate Fixed-to-Floating Swap Contract

Contract Overview

Periodic

Settlement:

Payment and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

CLP SWAP vs [Floating Index Maturity]

Currency CLP

Floating Rate Index

First Fixing Date

Indice Cámara Promedio Rate

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Floating Rate Index Maturity

The first PRIBOR Fixing Date is two Czech business days prior to the Effective Date of the swap.

1 day

Fixed Rate Par; custom coupon

Quoting Convention and

Minimum Increment

Trade Start Types

As agreed by the counterparties

Contract Size

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot

date. International Money Market (“IMM”): One of the four quarterly IMM

dates.

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions

Settlement Procedure

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Effective Date

Swap Conventions

As determined by the Clearing House or an agreement between the counterparties

Fixed Leg

o Payment: Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Chile

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Semi-Annual/Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Chile

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

o Payment/Resets: Semi-Annual/ Semi-Annual

o Day Count Conventions: ACT/360

o Holiday Calendar: Czech Republic

o Business Day Conventions: Modified Following

Effective Date

Trading Hours

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Maturity Date

00:01-24:00 Sunday-Friday (Eastern Time)

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional,

Payment Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date

Clearing House

The first Indice Cámara Promedio Rate Fixing Date is equal to the Effective Date of the swap.

Trade Start Types

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours

Block Size

00:01 -24:00 Sunday-Friday (Eastern Time)

Maturity Date

Clearing House

As set forth in Appendix F to Part 43 of the CFTC Regulations

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

The final date on which the obligations no longer accrue and the final payment occurs.
127

MYR SWAP vs [Floating Index Maturity]

Swap Conventions Fixed Leg

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Malaysia

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Malaysia

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Currency

Effective Date

Reportable Levels

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

MYR

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and

Resets

Speculative Limits

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Floating Rate Index

First Fixing Date

As set forth in CFTC Regulation 15.03

The first KLIBOR Fixing Date is equal to the Effective Date of the swap.

KLIBOR

Trade Start Types Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Floating Rate Index Maturity

Trading Hours

RULE 1345. MYR KLIBOR Fixed-to-Floating Swap Contract

00:01 -24:00 Sunday-Friday (Eastern Time)

3 months

Clearing House Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Fixed Rate

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Par; custom coupon

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1346. TWD TAIBOR Fixed-to-Floating Swap Contract

Contract Overview

Contract Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Quoting Convention and

Minimum Increment

Ticker

As set forth in Part 150 of the CFTC Regulations

TWD SWAP vs [Floating Index Maturity]

As agreed by the counterparties

Currency TWD

Floating Rate Index

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.

TAIBOR

Contract Size

Floating Rate Index Maturity 3 months

As agreed by the counterparties

Fixed Rate Par; custom coupon

Quoting Convention and

Minimum Increment

As agreed by the counterparties

Minimum Size

Contract Size As agreed by the counterparties

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions

Ticker

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Trading Conventions

Swap Conventions Fixed Leg

o Payment: Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Taiwan

o Business Day Conventions: Modified

Following Floating Leg

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float
128

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1347. INR OIS FBIL MIBOR Fixed-to-Floating Swap Contract

Contract Overview

Periodic

Settlement:

Payment and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

INR SWAP vs [Floating Index Maturity]

Currency INR

Floating Rate Index

First Fixing Date

FBIL Overnight MIBOR

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Floating Rate Index Maturity

The first TAIBOR Fixing Date is two Taiwan business days prior to the Effective Date of the swap.

1 day

Fixed Rate Par; custom coupon

Quoting Convention and

Minimum Increment

Trade Start Types

As agreed by the counterparties

Contract Size

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions

Settlement Procedure

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Effective Date

Swap Conventions

As determined by the Clearing House or an agreement between the counterparties

Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/365

 Holiday Calendar: India

 Business Day Conventions: Modified

Following Floating Leg

 Payment/Resets: Annual/Daily

 Day Count Conventions: ACT/365

 Holiday Calendar: India

 Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

o Payment/Resets: Quarterly/Quarterly

o Day Count Conventions: ACT/365

o Holiday Calendar: Taiwan

o Business Day Conventions: Modified Following

Effective Date

Trading Hours

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Maturity Date

00:01 -24:00 Sunday-Friday (Eastern Time)

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date

Clearing House

The first FBIL Overnight MIBOR Fixing Date is equal to the Effective Date of the swap.

Trade Start Types

Bilateral

Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours

Block Size

00:01 -24:00 Sunday-Friday (Eastern Time)

Maturity Date

Clearing House

As set forth in Appendix F to Part 43 of the CFTC Regulations

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

Speculative Limits

As set forth in Part 150 of the CFTC Regulations

The final date on which the obligations no longer accrue and the final payment occurs.

Reportable Levels

As set forth in Part 150 of the CFTC Regulations

As set forth in CFTC Regulation 15.03
129

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Brazilian Interfinancial Offered Rate (DI Rate)

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Floating Rate Index Maturity

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

1 day

First Fixing Date The first Brazilian Interfinancial Offered Rate Fixing Date is equal to the Effective Date of the swap.

Trade Start Types

Ticker

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixed Rate

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Par; custom coupon

Trading Hours 00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing House

BRL SWAP vs [Floating Index Maturity]

Bilateral

Quoting Convention and

Minimum Increment

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

As agreed by the counterparties

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1349. THB Thai Baht Interest Rate Fixing (6M) Fixed-to-Floating Swap Contract

Contract Size

Contract Overview

Contract Overview

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

As agreed by the counterparties

Ticker THB SWAP vs [Floating Index Maturity]

Currency

Currency

THB

Minimum Size

Floating Rate Index

RULE 1348. BRL Brazilian Interfinancial Offered Rate (1D) Zero Coupon

Fixed-to- Floating Swap Contract

Thai Baht Interest Rate Fixing (THBFIX)

As agreed by the counterparties

Floating Rate Index Maturity 6 months

Fixed Rate

BRL

Par; custom coupon

Trading Conventions

Quoting Convention and

Minimum Increment

As agreed by the counterparties

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Contract Size As agreed by the counterparties

Minimum Size As agreed by the counterparties

Swap Conventions

Trading Conventions

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.

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Fixed Leg

 Payment: At Maturity

 Day Count Conventions: DU/252

 Holiday Calendar: Brazil

 Business Day Conventions:

Following Floating Leg

 Payment/Resets: At maturity/daily

 Day Count Conventions: DU/252

 Holiday Calendar: Brazil

 Business Day Conventions: Following

Swap Conventions Fixed Leg

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: Thailand

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually

Floating Rate Index

Swap Tenor
130

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1350. CNY China Fixing Repo (7D) Rate Fixed-to-Floating Swap Contract

Contract Overview

Periodic

Settlement:

Payment and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional,

Payment Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

CNY SWAP vs [Floating Index Maturity]

Currency CNY

Floating Rate Index

First Fixing Date

China Fixing Repo (7D) Rate

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Floating Rate Index Maturity

The first Thai Baht Interest Rate Fixing Date is two Thai business days prior to the Effective Date of the

swap.

7 days

Fixed Rate Par; custom coupon

Quoting Convention and

Minimum Increment

Trade Start Types

As agreed by the counterparties

Contract Size

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions

Settlement Procedure

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Effective Date

Swap Conventions

As determined by the Clearing House or an agreement between the counterparties

Fixed Leg

o Payment: Weekly, Monthly, Quarterly, Semi-Annually, Annually

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: China Interbank

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Weekly, Monthly, Quarterly, Semi-Annually, Annually

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: China Interbank

o Business Day Conventions: Modified Following

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

o Day Count Conventions: ACT/365, or as otherwise agreed by the counterparties

o Holiday Calendar: Thailand

o Business Day Conventions: Modified Following

Effective Date

Trading Hours

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Maturity Date

00:01 -24:00 Sunday-Friday (Eastern Time)

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement

Payment and

Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date

Clearing House

The first China Fixing Repo (7D) Rate Fixing Date is one business day prior to the Effective Date of the

swap.

Trade Start Types

Bilateral

Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours

Block Size

00:01 -24:00 Sunday-Friday (Eastern Time)

Maturity Date

Clearing House

As set forth in Appendix F to Part 43 of the CFTC Regulations

Chicago Mercantile Exchange, Inc., LCH.Clearnet LLC, LCH.Clearnet Ltd. or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits

Speculative Limits

As set forth in Part 150 of the CFTC Regulations

The final date on which the obligations no longer accrue and the final payment occurs.

As set forth in Part 150 of the CFTC Regulations
131

NZD

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days to

up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Floating Rate Index

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Bank Bill Benchmark Rate (BKBM)

Periodic Settlement

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date

Contract Overview

The first BKBM Fixing Date is equal to the trade date of the swap.

Floating Rate Index Maturity

Trade Start Types

Reportable Levels

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

3 months

Settlement Procedure As determined by the Clearing House or an agreement between the counterparties

Trading Hours

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.

00:01-24:00 Sunday-Friday (Eastern Time)

Fixed Rate

Clearing House Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

Par; custom coupon

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Quoting Convention and

Minimum Increment

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1352. CHF SARON Fixed-to-Floating Swap Contract

As agreed by the counterparties

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Ticker

Ticker

CHF SWAP OIS [Tenor]

Contract Size

Currency

As set forth in CFTC Regulation 15.03

CHF

As agreed by the counterparties

Floating Rate Index Swiss Average Rate Overnight

Floating Rate Index Maturity

NZD [Tenor] Swap

1 day

Minimum Size

Fixed Rate Par; custom coupon

As agreed by the counterparties

Quoting Convention and

Minimum Increment

As agreed by the counterparties

Contract Size As agreed by the counterparties

Trading Conventions

Minimum Size As agreed by the counterparties

Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Trading Conventions Buy = Pay Fixed, Receive Float

Sell = Receive Fixed, Pay Float

Swap Conventions

Currency

Fixed Leg

 Payment: Annual, at Maturity

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendar: Switzerland

 Business Day Conventions: Modified Following with adjustment to period end dates

Swap Conventions

RULE 1351. NZD BKBM Fixed-to-Floating Swap Contract

Fixed Leg

 Payment: Monthly, Quarterly, Semi-Annual, Annual, At Maturity

 Day Count Conventions: ACT/365.FIXED or as agreed by the counterparties.

 Holiday Calendars: Auckland, Wellington

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets : Quarterly

 Day Count Conventions: ACT/365.FIXED, or as agreed by the counterparties

 Holiday Calendars: Auckland, Wellington

 Business Day Conventions: Modified Following with adjustment to period end dates
132

Speculative Limits

The final date on which the obligations no longer accrue and the final payment occurs.

As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1353. EUR €STR Fixed-to-Floating Swap Contract

Contract Overview

Periodic Settlement

Payment and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a specified

notional over a term to maturity.

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

EUR Swap (ESTR) [Tenor]

Currency EUR

Floating Rate Index

First Fixing Date

EUR-EuroSTR-COMPOUND

The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to

up to 50 years.

Contract Size

The first SARON Fixing Date is equal to the effective date of the swap.

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions

Trade Start Types

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Swap Conventions

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Fixed Leg

 Payment: Annual

 Day Count Conventions: ACT/360 or as agreed by the counterparties.

 Holiday Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets: Daily, Annual

 Day Count Conventions: ACT/360, or as agreed by the counterparties

 Holiday Calendars: Target

 Business Day Conventions: Modified Following with adjustment to period end dates

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up

to 70 years.

Effective Date

Settlement Procedure

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Effective Date

Maturity Date

As determined by the Clearing House or an agreement between the counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Floating Leg

 Payment/Resets: Annual, at Maturity

 Day Count Conventions: ACT/360 or as agreed by the counterparties

 Holiday Calendar: Switzerland

 Business Day Conventions: Modified Following with adjustment to period end dates

First Fixing Date

Trading Hours

The first €STR Fixing Date is equal to the effective date of the swap.

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

Trade Start Types

00:01-24:00 Sunday-Friday (Eastern Time)

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure As determined by the Clearing House

Trading Hours

Clearing House

00:01 -24:00 Sunday-Friday (Eastern Time)

Clearing Venue

LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

LCH.Clearnet Ltd., Eurex Clearing Aktiengesellschaft or Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits

Block Size

As set forth in Part 150 of the CFTC Regulations

Maturity Date

As set forth in Appendix F to Part 43 of the CFTC Regulations
133

Currency

Effective Date

RULE 1354. JPY OIS TONAR Fixed-to-Floating Swap Contract

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate payments

(i.e., the start date of the swap).

JPY

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment Frequency,

Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment Frequency,

Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Floating Rate Index

First Fixing Date The first TONAR Fixing Date is equal to the effective date of the swap.

TONAR

Trade Start Types Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure

Contract Overview

As determined by the Clearing House

Fixed Rate

Trading Hours

Reportable Levels

00:01 -24:00 Sunday-Friday (Eastern Time)

Par, Custom Coupon

Clearing Venue LCH.Clearnet Ltd.; Chicago Mercantile Exchange, Inc.; Eurex Clearing Aktiengesellschaft or Bilateral

Block Size

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.

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Contract Size

Speculative Limits As set forth in Part 150 of the CFTC Regulations

As agreed by the counterparties

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1355. SGD SOR Fixed-to-Floating Swap Contract

Contract Overview An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Minimum Size

Ticker SGD SWAP vs [Floating Index Maturity]

As agreed by the counterparties

Currency SGD

Floating Rate Index

Ticker

SOR

Trading Conventions

Floating Rate Index Maturity

As set forth in CFTC Regulation 15.03

6 months

Buy = Pay Fixed, Receive Float.

Sell = Receive Fixed, Pay Float.

Fixed Rate Par; custom coupon

Quoting Convention

and Minimum

Increment

JPY OIS SWAP [Tenor]

As agreed by the counterparties

Swap Conventions

Contract Size As agreed by the counterparties

Fixed Leg

 Payment: Annual, Semi-Annual, Quarterly

 Day Count Conventions: ACT/365, ACT/360, 30/360

 Holiday Calendars: Tokyo

 Business Day Conventions: Modified Following with adjustment to period end dates

Floating Leg

 Payment/Resets: Annual, Semi-Annual, Quarterly

 Day Count Conventions: ACT/365, or as agreed by the counterparties

 Holiday Calendars: Tokyo

 Business Day Conventions: Modified Following with adjustment to period end dates

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float Sell = Receive Fixed, Pay Float

Swap Tenor

Swap Conventions Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual

The duration of time from the effective date to the maturity date. A contract can have a tenor from 7 days to up

to 50 years.
134

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1356. OIS SORA Fixed-to-Floating Swap Contract

Contract Overview

Periodic

Settlement:

Payment and Resets

An agreement to exchange a stream of cash flows by applying a fixed and floating interest rate to a

specified notional over a term to maturity.

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Payment

Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional,

Payment Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

SGD SWAP vs SORA [Floating Index Maturity]

Currency SGD

Floating Rate Index

First Fixing Date

SORA

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28 days

to up to 50 years.

Fixed Rate

The first SOR Fixing Date is two Singapore business days prior to the Effective Date of the swap.

Par; custom coupon

Quoting Convention

and Minimum

Increment

As agreed by the counterparties

Contract Size

Trade Start Types

As agreed by the counterparties

Minimum Size

Spot: A new swap where the Effective Date is T+2 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

As agreed by the counterparties

Trading Conventions Buy = Pay Fixed, Receive Float Sell = Receive Fixed, Pay Float

Swap Conventions

Settlement Procedure

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Singapore

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Effective Date

Swap Tenor

As determined by the Clearing House or an agreement between the counterparties

The duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

o Day Count Conventions: ACT/365

o Holiday Calendar: Singapore

o Business Day Conventions: Modified Following

Maturity Date

Trading Hours

The final date on which the obligations no longer accrue and the final payment occurs.

The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

Periodic

Settlement:

Payment and Resets

00:01-24:00 Sunday-Friday (Eastern Time)

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date The first SORA Fixing Date is equal to the Effective Date of the swap

Trade Start Types

Clearing House

Spot: A new swap where the Effective Date is T+0 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure

Chicago Mercantile Exchange, Inc., LCH.Clearnet Ltd. or Bilateral

As determined by the Clearing House or an agreement between the counterparties

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

Clearing House

Block Size

LCH.Clearnet Ltd. or Bilateral

Maturity Date

Block Size

As set forth in Appendix F to Part 43 of the CFTC Regulations

As set forth in Appendix F to Part 43 of the CFTC Regulations

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Speculative Limits

As set forth in CFTC Regulation 15.03

The final date on which the obligations no longer accrue and the final payment occurs.

As set forth in Part 150 of the CFTC Regulations
135

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 duration of time from the effective date to the maturity date. A contract can have a tenor from 28

days to up to 50 years.

Floating Rate Index

Effective Date The date on which parties begin calculating accrued obligations such as fixed and floating interest rate

payments (i.e., the start date of the swap).

CORRA

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional,

Payment Frequency, Day Count Convention and Fixed Interest Rate.

Floating Leg: The payment amount of the Floating Leg is based on the following: Notional, Payment

Frequency, Day Count Convention, Floating Interest Rate Index and Floating Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

Fixed Rate

First Fixing Date The first CORRA Fixing Date is equal to the Effective Date of the swap

Par; custom coupon

Trade Start Types Spot: A new swap where the Effective Date is T+1 from the trade date.

Non-Spot: Any date where the Effective Date is a date other than the spot date.

Settlement Procedure

Ticker

As determined by the Clearing House or an agreement between the counterparties

Quoting Convention

and Minimum

Increment

Trading Hours 00:01-24:00 Sunday-Friday (Eastern Time)

As agreed by the counterparties

Clearing House Chicago Mercantile Exchange, Inc.,LCH.Clearnet Ltd. or Bilateral

Block Size

CAD SWAP vs CORRA [Floating Index Maturity]

As set forth in Appendix F to Part 43 of the CFTC Regulations

Contract Size

Speculative Limits As set forth in Part 150 of the CFTC Regulations

As agreed by the counterparties

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1358. USD U.S. CPI Urban Consumers Not Seasonably Adjusted Fixed-to-Floating

(Inflation Zero Coupon) Swap Contract

Contract Overview An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional

principal amount and the other party pays a floating rate linked to an inflation index.

Minimum Size

Ticker

Contract Overview

USD [ZC Inflation] Swap vs CPURNSA [Tenor] USD [ZC Inflation] Swap vs CPURNSA [Maturity Date]

As agreed by the counterparties

Currency USD

Floating Rate Index

Currency

U.S. CPI Urban Consumers Not Seasonably Adjusted (CPURNSA)

Trading Conventions

Fixed Rate

RULE 1357. CAD OIS CORRA Fixed-to-Floating Swap Contract

Par Coupon, Custom Coupon

Buy = Pay Fixed, Receive Float Sell = Receive Fixed, Pay Float

Contract Size As agreed by the counterparties

Minimum Size

CAD

As agreed by the counterparties

Swap Conventions

Trading Conventions Buy = Pay Fixed, Receive

Floating Sell = Receive Fixed, Pay

Floating

Fixed Leg

o Payment: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Canada

o Business Day Conventions: Modified

Following Floating Leg

o Payment/Resets: Monthly, Quarterly, Semi-Annual, Annual

o Day Count Conventions: ACT/365 or as agreed by the counterparties

o Holiday Calendar: Canada

o Business Day Conventions: Modified Following

Swap Conventions Fixed Leg

 Payment: At maturity

 Compounding: Annual

 Day Count Conventions: 1/1

 Holiday Calendars: Federal Reserve, England

 Business Day Conventions: Modified Following with adjustment to period end dates

Swap Tenor
136

Clearing Venue LCH.Clearnet Ltd or Bilateral

Block Size

Maturity Date

As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits

The final date on which the obligations no longer accrue and the final payment occurs.

As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1359. EUR Eurostat Eurozone Harmonized Index of Consumer Prices

Excluding Tobacco Fixed-to-Floating (Inflation Zero Coupon) Swap

Contract

Contract Overview

Periodic

Settlement:

Payment and Resets

An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional

principal amount and the other party pays a floating rate linked to an inflation index.

Swap Tenor

Ticker

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency,

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency,

Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

EUR ZC Inflation Swap vs CPTFEMU [tenor] EUR ZC Inflation Swap vs CPTFEMU [maturity date]

Currency EUR

Floating Rate Index

First Fixing Date

Harmonized Index of Consumer Prices Excluding Tobacco (HICP-EXCL)

The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to

30 years.

Fixed Rate

The first CPURNSA Fixing Date is observed 3 months prior to the effective date of the swap.

Par Coupon, Custom Coupon

Contract Size As agreed by the counterparties

Minimum Size

Trade Start Types

As agreed by the counterparties

Trading Conventions

Spot: A new swap where the Effective Date is 2 business days after trade date.

Non-Spot: Any swap with an Effective Date different to the Effective Date of a Spot Swap.

Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating

Swap Conventions Fixed Leg

Payment: At maturity

Compounding:

Annual Day Count

Conventions: 1/1

Holiday Calendars:

Target

Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

Payment: At

maturity

Resets: 3 Months before Effective Date and 3 Months before Maturity

Date Day Count Conventions: 1/1

Holiday Calendars: Target Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor

Settlement Procedure

The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to

50 years.

Effective Date

Effective Date

As determined by the Clearing House

The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the

start date of the swap).

Maturity Date The final date on which the obligations no longer accrue and the final payment occurs.

Inflation Leg

 Payment/Resets: At maturity/At maturity

 Day Count Conventions: 1/1

 Holiday Calendars: Federal Reserve, England

 Business Day Conventions: Modified Following with adjustment to period end dates

Periodic

Settlement:

Payment and Resets

Trading Hours

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency,

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency,

Day Count, Floating Rate Index and Reset Dates.

The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the

start date of the swap).

00:01-24:00 Sunday-Friday (Eastern Time)
137

Ticker

Settlement Procedure

GBP ZC Inflation Swap vs UKRPI [tenor] GBP ZC Inflation Swap vs UKRPI [maturity date]

Currency

As determined by the Clearing House

GBP

Floating Rate Index United Kingdom Retail Prices Index (UK RPI)

Fixed Rate

Trading Hours

Par Coupon, Custom Coupon

First Fixing Date

Contract Size

00:01-24:00 Sunday-Friday (Eastern Time)

As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions

Clearing Venue

Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating

The first HICP-EXCL Fixing Date is observed 3 months prior to the effective date of the swap.

Swap Conventions

LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Fixed Leg

Payment: At maturity

Compounding:

Annual Day Count

Conventions: 1/1

Holiday Calendar:

England

Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

Payment: At

Maturity

Resets: 2 Months before Effective Date and 2 Months before Maturity

Date Day Count Conventions: 1/1

Holiday Calendar: England Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to

50 years.

Effective Date

Block Size

The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the

start date of the swap).

Maturity Date

As set forth in Appendix F to Part 43 of CFTC Regulations.

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency,

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency,

Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date

Speculative Limits

The first UK RPI Fixing Date is observed 2 months prior to the effective date of the swap.

Trade Start Types

Trade Start Types

As set forth in Part 150 of CFTC Regulations

Spot: A new swap where the Effective Date is 15th of the month of the trade

date. Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is

known.

Settlement Procedure As determined by the Clearing House

Payments are settled in accordance with the payment frequency of the swap.

Trading Hours

Reportable Levels

00:01 -24:00 Sunday-Friday (Eastern Time)

Spot: A new swap where the Effective Date is 15th of the month of the trade

date. Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is

known.

Clearing Venue

As set forth in CFTC Regulation 15.03

LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size

RULE 1360. GBP UK Retail Prices Index Fixed-to-Floating (Inflation Zero Coupon) Swap

Contract

As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits As set forth in Part 150 of CFTC Regulations

Contract Overview

Reportable Levels As set forth in CFTC Regulation 15.03

RULE 1361. EUR France Inflation Consumer Price Index Excluding Tobacco

Fixed-to- Floating (Inflation Zero Coupon) Swap Contract

An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional

principal amount and the other party pays a floating rate linked to an inflation index.
138

An agreement to transfer inflation risk from one party to another through an exchange of cash flows. In a zero

coupon inflation swap, only one payment is due at maturity where one party pays a fixed rate on a notional

principal amount and the other party pays a floating rate linked to an inflation index.

Swap Conventions

EUR

Fixed Leg

Payment: At maturity

Compounding:

Annual Day Count

Conventions: 1/1

Holiday Calendars:

Target

Business Day Conventions: Modified Following with adjustment to period end dates.

Inflation Leg

Payment: At

Maturity

Resets: 3 Months before Effective Date and 3 Months before Maturity

Date Day Count Conventions: 1/1

Holiday Calendars: Target Business Day Conventions: Modified Following with adjustment to period end dates.

Swap Tenor The duration of time from the effective date to the maturity date. A contract can have a tenor from 1 year to up to

30 years.

Effective Date

Floating Rate Index

The date on which parties begin calculating accrued obligations such as fixed rate and inflation payments (i.e., the

start date of the swap).

Maturity Date

France Consumer Price Index Excluding Tobacco (CPI-Excl)

The final date on which the obligations no longer accrue and the final payment occurs.

Periodic

Settlement:

Payment and Resets

Fixed Leg: The payment amount of the Fixed Leg is based on the following: Notional, Compounding Frequency,

Payment Frequency, Day Count and Fixed Interest Rate.

Floating Leg: The payment amount of the Inflation Leg is based on the following: Notional, Payment Frequency,

Day Count, Floating Rate Index and Reset Dates.

Payments are settled in accordance with the payment frequency of the swap.

First Fixing Date

Fixed Rate

The first CPI-Excl Fixing Date is observed 3 months prior to the effective date of the swap.

Ticker

Trade Start Types

Par Coupon, Custom Coupon

Spot: A new swap where the Effective Date is 15th of the month of the trade

date. Non-Spot: Any 15th of a month, as long as the Initial Fixing Index is

known.

Settlement Procedure As determined by the Clearing House

Contract Overview

Trading Hours

Contract Size

00:01 -24:00 Sunday-Friday (Eastern Time)

EUR ZC Inflation Swap vs FRCPXTOB [tenor] EUR ZC Inflation Swap vs FRCPXTOB [maturity date]

Clearing Venue

As agreed by the counterparties

LCH.Clearnet Ltd, Eurex Clearing AG or Bilateral

Block Size As set forth in Appendix F to Part 43 of CFTC Regulations.

Speculative Limits

Minimum Size

As set forth in Part 150 of CFTC Regulations

Reportable Levels

As agreed by the counterparties

As set forth in CFTC Regulation 15.03

CHAPTER 14. FOREIGN EXCHANGE CONTRACTS TERMS AND CONDITIONS

RULE 1401. Foreign Exchange Contract – Non-Deliverable Forward

Contract

Overview

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference between the

contracted NDF price or rate and the prevailing spot price or rate on an agreed notional amount.

Referenc

e

Currency

Trading Conventions

Non-deliverable currency

 BRL Brazilian Real

 ARS Argentine Peso

 CNY Chinese Renminbi

 IDR Indonesian Rupiah

 INR Indian Rupee

 KRW South Korean Won

 MYR Malaysian Ringgit (Please see Notice to Participants 2017-3, which is posted on BSEF’s website)

 PHP Philippine Peso

 TWD Taiwan Dollar

 VND Vietnamese đồng

 EGP Egyptian pound

 RUB Russian ruble

Currency

Buy = Pay Fixed, Receive Floating

Sell = Receive Fixed, Pay Floating
139

Buy or Sell which refers to the contract size expressed in notional currency

Forward Rate Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency

Trade Date

Quoting

Convention

and Minimum

Increment

The date on which parties enter into the contract

 KZT Kazakh tenge

 CLP Chilean Peso

 COP Colombian Peso

 PEN Peruvian nuevo sol

 UAH Ukrainian hryvnia

 NGN Nigerian naira

 GHS Ghanaian cedi

 PKR Pakistani rupee

Settlement Date

Notional amount, as agreed by counterparties

Specified settlement or payment date

Fixing Date The date at which the difference between the prevailing market exchange rate and the agreed upon exchange rate is

calculated.

Settlement

Procedure

Minimum Size

Bilateral settlement performed in settlement currency based on the exchange rate published by sources set forth in

Attachment B hereto.

Trading Hours

Notional amount, as agreed by counterparties

00:01 -24:00 Sunday-Friday Eastern Time

Clearing House Bilateral

Block Size

Notional

Currency

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Settlement

Currency

Speculative

Limits

Currency in which contract size is expressed in

As set in Part 150 of the CFTC Regulations

Reportable

Levels

As set in CFTC Regulation 15.03

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht

Onshore AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga

Pa’Anga AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia

(NDF) BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar

UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan

Shilling BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad

SP BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan

Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential

Rate BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong

(NDF) BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean

Won (NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing

Rights CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island

Franc CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

Trading

Conventions

See currency list below
140

BRL PTAX The BRL PTAX Rate is

published at

approximately 6:00 PM

São Paulo time on the

Valuation Date.

The BZFXPTAX Index

refers to the average rate

displayed by Brazil's

Central Bank under the

transaction PTAX800, in

the SISBACEN (Central

Bank System), regarding

the notation 220-USD

(moeda 220 - Dolar dos

Estados Unidos).

Description

EMTA BRL Industry

Survey Rate (BRL 12)

The EMTA BRL

Industry Survey Rate is

determined pursuant to

the EMTA BRL

Industry Survey Rate

Methodology dated

March 1, 2004.

Secondary

Fixing Source

Argentine Peso (ARS)

Currency

EMTA ARS Industry

Survey Rate

Description

The EMTA ARS

Industry Survey Rate

resulting from the

EMTA ARS Industry

Survey Rate

Methodology dated as of

January 2, 2003, is

available only on a

Business Day in both

Buenos Aires and New

York City.

This rate quotation

appears on EMTA's

website,

http://www.emta.org.

EMTA ARS Indicative

Survey Rate

The EMTA ARS

Industry Survey Rate

resulting from the

EMTA ARS Industry

Survey Rate

Methodology dated as

of January 2, 2003, is

available only on a

Business Day in both

Buenos Aires and New

York City.

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian

Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha

(NDF) CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese

Pound EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon

Attachment B

Exchange Rate Sources

Brazilian Real (BRL)

Primary Fixing Source
141

The SFEMC CNY

Indicative Survey Rate

is determined pursuant

to the SFEMC CNY

Indicative Survey Rate

Methodology dated

December 1, 2004.

transitions from a

surveyed benchmark to

a traded benchmark. It

will be changed from a

trimmed arithmetic

mean of submissions

contributed by a panel

of banks (Contributor

Banks) to a rate based

on the Volume

Weighted Average Price

(VWAP) of actual

interbank transactions.

CNY SAEC

Indonesian Rupiah

(IDR)

Indian Rupee (INR)

INR RBIB

IDR VWAP

The INR RBIB

(INR01) Rate is

published at

approximately 12:30

p.m. Mumbai time on

the Valuation Date.

The Rupee Reference

Rate is the rate based

on

12.0 noon

dollar-rupee rates offered

by various banks in

Mumbai.

The CNY SAEC

(CNY01) Rate is

published at

approximately 9:15 a.m.,

Beijing time on the

Valuation Date.

This is the daily CNY

fixing price released by

China Foreign Exchange

Trading System. In the

interbank market, the

fluctuation should not

exceed +/-1% of the

average price. The price

of this index starts from

Jan 4,2006, when China

introduced OTC trading

system in interbank

currency market. For

more historical prices,

please refer to HP of

CYCFUSDP Index.

SFEMC INR Indicative

Survey Rate

The IDR VWAP

(IDR03) Rate is

published at

approximately 11:30

a.m., Singapore time, on

the Valuation Date.

As of 6th Aug 2013, the

Association of Banks

Singapore's (ABS) IDR

Spot FX benchmark

The SFEMC INR

Indicative Survey Rate is

determined pursuant to

the SFEMC INR

Indicative Survey Rate

Methodology dated

December 1, 2004.

Chinese Renminbi

(CNY)

South Korean Won

(KRW)

SFEMC IDR Indicative

Survey Rate

KRW KFTC18

SFEMC CNY

Indicative Survey Rate

The KRW KFTC18

(KRW02) Rate is

published at

approximately 3:30 p.m.

Seoul time on the

Valuation Date.

The basic exchange rate

of the Korean won

against the US dollar is

determined as the

transaction volumeweighted average of the

The SFEMC IDR

Indicative Survey Rate

is determined pursuant

to the SFEMC IDR

Indicative Survey Rate

Methodology dated

December 1, 2004.

SFEMC KRW Indicative

Survey Rate

The SFEMC KRW

Indicative Survey Rate is

determined pursuant to

the SFEMC KRW

Indicative Survey Rate

Methodology dated

December 1, 2004.
142

Indicative Survey

Rate Methodology

dated December 1,

2004.

Vietnamese đồng

(VND)

VND

Philippine Peso (PHP)

The Association of Banks

Singapore's (ABS)

PHP PDSPESO

Egyptian pound (EGP)

The PHP PDSPESO

(PHP06) Rate is

published at

approximately 11:30

a.m., Manila time, on the

Valuation Date.

Produced by the Bankers

Association of

Philippines.

EGP FEMF Published by Central

Bank of Egypt Treasury.

Rates are updated only

when there are FX Spot

transactions among the

39 participating banks.

The SFEMC PHP

Indicative Survey Rate is

determined pursuant to

the SFEMC PHP

Indicative Survey Rate

Methodology dated

December 1, 2004.

EMTA EGP Indicative

Survey Rate

The EMTA EGP

Indicative Survey Rate is

determined pursuant to

the EMTA EGP

Indicative Survey Rate

Methodology dated as of

May 24, 2010.

SFEMC PHP Indicative

Survey Rate

Russian ruble (RUB) RUB CME-EMTA The RUB CME-EMTA

Ruble Rate is determined

pursuant to the Chicago

Mercantile Exchange /

EMTA, Inc. Daily

Russian Ruble Per U.S.

Dollar Reference Rate

Methodology Effective

June 16, 2005.

Malaysian Ringgit

(MYR)

(Please see Notice

to Participants

2017-3, which is

posted on BSEF’s

website)

EMTA RUB Indicative

Survey Rate

Taiwan Dollar (TWD)

The EMTA RUB

Indicative Survey Rate is

determined pursuant to

the EMTA RUB

Indicative Survey

Methodology effective

June 16, 2005.

Kazakh tenge (KZT)

TWD TAIFX1

KZT KASE

MYR ABS

The KZT KASE Rate is

published by the

Kazakhstan Stock

Exchange Inc. at

approximately 11:00

am, Almaty, time.

The TWD TAIFX1 Rate

is published at

approximately 11:00

EMTA KZT Indicative

Survey Rate

The EMTA KZT

Indicative Survey Rate is

determined pursuant to

the EMTA KZT

Indicative Survey

Methodology effective

March 16, 2009.

SFEMC TWD Indicative

Survey Rate

Chilean Peso (CLP)

The MYR ABS (MYR01)

Rate is published at

approximately 11:30 a.m.

Singapore time on the

Valuation Date.

Published by the Central

Bank of Malaysia (Bank

Nagara)

CLP DÓLAR OBS

The SFEMC TWD

Indicative Survey Rate is

determined pursuant to

the SFEMC TWD

Chilean Observed Dollar

Exchange Rate (Dolar

Observado) - Chilean

Central Bank Rates are

published daily for

operations settled in the

prior business day.

EMTA CLP Indicative

Survey Rate

The EMTA CLP

Indicative Survey Rate is

determined pursuant to

the EMTA CLP

Indicative Survey Rate

Methodology dated as of

August 1, 2006.

Colombian

Peso (COP)

COP TRM

SFEMC MYR Indicative

Survey Rate

The Market

Representative

rates applied in daily

transactions between

foreign exchange banks

brokered through Seoul

Money Brokerage

Services, Ltd.(SMBS)

and another brokerage

house, and is

announced at 3:00 pm

every business day.

a.m. Taipei time on

the Valuation Date by

Taipei Forex Inc.

The SFEMC MYR

Indicative Survey Rate is

determined pursuant to

the SFEMC MYR

Indicative Survey Rate

Methodology dated July

15, 2005.
143

EMTA UAH Indicative

Survey Rate

The EMTA UAH

Indicative Survey Rate is

determined pursuant to

the EMTA UAH

Indicative Survey

Methodology effective

March 16, 2009.

Peruvian Nuevo sol

(PEN)

Nigerian Naira (NGN) NGN FMDA

PEN INTERBANK

AVE

FMDA - Financial Mkt EMTA NGN Indicative

Survey Rate

The data required to

calculate this rate are

derived from the

interbank market

transacted over ICAP

Datatec and

published by

Superintendecia de

Banca Peru.

The EMTA NGN

Indicative Survey Rate is

determined pursuant to

the NGN Indicative

Survey Rate

Methodology dated as of

December 27, 2010.

Ghanaian Cedi (GHS)

EMTA PEN Indicative

Survey Rate

GHS ICAP

Exchange Rate (Tasa

Representativa del

Mercado) states the

daily exchange rate in

the Colombian market,

settled in the previous

business day. It

corresponds to the

arithmetic average of

the average weighed bid

and offer rates of

interbank and transfer

operations, completed

by authorized market

intermediaries. The

Superintendencia

Financiera of Colombia

is obligated by law

(Article 80 of the

Exchange Regulation -

Board of Directors of

the Central Bank) to

calculate and publish

the TRM.

The GHS ICAP rate

(GHS01) is determined

by ICAP Broking

Services South Africa

(Pty) Ltd. not later

than 1:00 p.m., Accra

time, based on a poll of

onshore FX dealers.

The EMTA PEN

Indicative Survey Rate is

determined pursuant to

the EMTA PEN

Indicative Survey Rate

Methodology dated as of

August 1, 2006

EMTA GHS Indicative

Survey Rate

The EMTA GHS

Indicative Survey Rate is

determined pursuant to

the GHS Indicative

Survey Rate

Methodology dated as of

May 9, 2012.

Pakistani Rupee (PKR) PKR SBPK

Ukrainian

Hryvnia (UAH)

The PKR SBPK Rate is

published at

approximately 2:30

pm, Karachi time, on

the Valuation Date by

State Bank of Pakistan

SFEMC PKR

Indicative Survey Rate

EMTA UAH Industry

Survey Rate

The SFEMC PKR

Indicative Survey Rate is

determined pursuant to

the SFEMC PKR

Indicative Survey Rate

Methodology dated as of

July 14, 2008.

Bloomberg Fixing Source BFIX:

The Bloomberg FX Fixing rates (“BFIX”) are fixed and published every 30 minutes on the hour and half-hour (liquidity permitting). The BFIX

prices are created by taking a short-term Time-Weighted Average Price (TWAP) of the geometric mid-rates of Bloomberg Generic (BGN)

prices leading up to and following the fixing time.

By using a short-term TWAP to create the fixing, it ensures that BFIX rates are unsusceptible to spikes and manipulations in the market at

fixing time. The length of time used in the TWAP varies from currency to currency, and may in fact vary over time, based on the average tick

arrival frequency of the specific currency pair. By using the geometric average to calculate mid-rates, it ensures that BFIX prices are perfectly

The EMTA UAH Industry

Survey Rate is posted on

Thomson Reuters Screen

EMTAUAHFIX Page at

approximately 11:30 am,

Kiev Time.
144

Contract

Overview

Date at which option contract expires

Option Style

Expiratio

n Time

invertible (e.g., the USDEUR fix is exactly 1 / EURUSD fix). BFIX prices are published on the BLOOMBERG TERMINAL(R) service within

15 seconds of the fixing time.

A linear time-weighted average of quotes is used leading up to the fixing time and for a short time after the fix. For major currencies, this

linear TWAP starts eleven seconds before the fix and then decays for six seconds after the fix. For less liquid currencies, the approaching side

of the TWAP envelope might be longer than eleven seconds, depending on the quoting frequency of the specific currency pair. The decay

after the fix time is always six seconds.

BFIX rates are available on BFIX <GO> and throughout the Bloomberg terminal and API.

Bloomberg BGN Reference Price

BGN is a sophisticated pricing algorithm that produces highly accurate bid and ask quotes that are derived from hundreds of quality sources,

including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers, and trading

platforms.

The Bloomberg Generic represents Bloomberg's highest-quality FX and Precious Metals rate source and is designed to match

market-consensus executable bid/ask rates and to be resistant to manipulation by market participants.

For each currency pair the BGN values are based on FX and Precious Metals rates from a select subset of Bloomberg's more than 1000 price

contributors. The specific members of the subset are chosen by an automated data quality and consistency scoring algorithm and reviewed

periodically. No contributor knows whether or not their prices are included in any BGN set of input prices. These input prices are run through

Bloomberg's proprietary blending algorithm which automatically mitigates the effect of outlier quotes and creates a market consensus bid-ask

pair of prices for each currency pair.

RULE 1402. Foreign Exchange Contract – Vanilla FX Option

Time at which option contract expires

American / European

 A European option may be exercised only at the expiration date of the option, i.e. at a single pre-defined point

in time.

 An American option on the other hand may be exercised at any time before the expiration date.

Settlement Date Settlement date of the option contract

Premium

A foreign-exchange option (commonly shortened to just FX option or currency option) is a derivative financial

instrument that gives the owner the right but not the obligation to exchange money denominated in one currency into

another currency at a pre-agreed exchange rate on a specified date.

Premium amount expressed in premium currency

Option Type

Premium

currency

Currency in which option premium is expressed in

Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Premium Date Date on which premium amount is due

Quoting

Convention and

Minimum

Increment

Notional amount, as agreed by counterparties

Call Currency

Minimum Size Notional amount, as agreed by counterparties

Currency for call option

Notional

Currency

Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted on

BSEF’s website.

Settlement

Procedure

Trade Date

Bilateral settlement performed in settlement currency

Put Currency

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Currency for put option

Clearing House Bilateral

Block Size

The date on which parties enter into the contract

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Strike Price

Speculativ

e Limits

As set in Part 150 of the CFTC Regulations

The exchange rate agreed upon inception of the contract at which the investor can exercise an option.

Reportabl

e Levels

As set in CFTC Regulation 15.03

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht

Onshore AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique

Expiration Date
145

Option Type Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Call Currency

Contract Overview

Currency for call option

Metical

Put Currency

An exotic foreign-exchange option is an option which has more than one trigger relating to the determination of

the payoff.

Currency for put option

Strike Price The currency exchange rate at which the investor can exercise an option.

TND Tunisian Dinar

Expiration Date

Trade Date

Date at which option contract expires

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga

Pa’Anga AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia

(NDF) BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar

UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan

Shilling BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad

SP BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan

Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential

Rate BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong

(NDF) BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

Barrier Low

The date on which parties enter into the contract

Pre-set low barrier level either springs the option into existence or extinguishes an already existing option.

Barrier High Pre-set high barrier level either springs the option into existence or extinguishes an already existing option.

BYR Belarus Ruble KRW South Korean

Won (NDF)

Barrier Style

Option Style

American / European

RON New Romanian Leu XAF CFA Franc Beac

Barrier Direction

American / European

 A European option may be exercised only at the expiration date of the option, i.e. at a single

pre-defined point in time.

 An American option on the other hand may be exercised at any time before the expiration date.

The four types of barrier options are:

 Up-and-out: spot price starts below the barrier level and has to move up for the option to be knocked out.

 Down-and-out: spot price starts above the barrier level and has to move down for the option to

become null and void.

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing

Rights CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island

Franc CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian

Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha

(NDF) CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese

Pound EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon

RULE 1403. Foreign Exchange Contract – Exotic FX Option
146

Premium Date

Time at which option contract expires (cut off time)

Date on which premium amount is due

Quoting

Convention and

Minimum

Increment

Notional amount, as agreed by counterparties

Notional Currency

Settlement Date

Currency in which contract size is expressed in; please see Notice to Participants 2017-3, which is posted on

BSEF’s website.

 Up-and-in: spot price starts below the barrier level and has to move up for the option to become activated.

 Down-and-in: spot price starts above the barrier level and has to move down for the option to

become activated.

Settlement Procedure

Settlement date of the option contract

Bilateral settlement performed in settlement currency

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Clearing House

Premium

Bilateral

Block Size

Premium amount expressed in premium currency

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels

Premium currency

As set in CFTC Regulation 15.03

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht

Onshore AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga

Pa’Anga AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia

(NDF) BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar

UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan

Shilling BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad

SP BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan

Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential

Rate BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong

(NDF) BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean

Won (NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing

Rights CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island

Franc CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian

Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha

(NDF) CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese

Pound EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon

Expiration Time

Currency in which option premium is expressed in
147

Notional amount, as agreed by counterparties

 Gold

 Silver

 Palladium

 Platinum

Notional

Currency

A currency listed below.

Trading

Conventions

Contract

Overview

Buy or Sell which refers to whether or not the fixed amount is paid (buy) or received (sell)

Contracts on

Reference

Commodities

Calculatio

n Period

RULE 1404. Foreign Exchange Contract – Precious Metals Swaps

Can be a single date or date range over which the reference price of the commodity will be calculated. If a date

range

the reference price will be averaged across all days.

 NYMEX Palladium

 NYMEX Platinum

 COMEX Gold

 COMEX Silver

Trade Date The date on which counterparties enter into the contract

Settlement Date

A precious metals contract is a cash settled agreement between two counterparties whereby one counterparty agrees

to pay a fixed amount to the other counterparty on a given date, and in exchange the second counterparty will pay a

floating amount to the first counterparty on the same given date. The fixed amount paid is determined based on the

notional quantity traded and the price of the reference commodity. The floating amount paid is determined based on

the notional quantity and the price of an applicable futures contract based on the reference commodity over an

agreed future calculation period.

Specified settlement or payment date when the fixed payment amount and the floating payment amount are exchanged

(can be netted)

Settlement

Currency

Settlement

Procedure

Bilateral cash settlement performed in settlement currency

A currency listed below.

Trading Hours 00:01 -24:00 Sunday-Friday Eastern Time

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Quoting

Convention

and Minimum

Increment

Speculativ

e Limits

As set forth in Part 150 of the CFTC Regulations

Notional amount, as agreed by counterparties

Reportable Levels As set forth in CFTC Regulation 15.03

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht

Onshore AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique

Metical

TND Tunisian Dinar

A A

N

G

N

e

t

h

.

A

n

t

.

G

u

i

l

d

e

r

A

R

Reference

Commodities

Minimum Size
148

Underlying currency instrument composed of ISO currency codes (ISO 4217) of the base currency and the

counter currency, separating them with a slash character; see currency list below

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing

Rights CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island

Franc CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian

Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha

(NDF) CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese

Pound EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon

RULE 1405. Foreign Exchange Contract – Average Rate Forward

Settlement Currency See currency list below

Quoting Convention

and Minimum

Increment

Contract Overview

Notional amount, as agreed by counterparties

S

A

r

g

e

n

t

i

n

e

P

e

s

o

(

N

D

F

) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol ARS Argentine Peso HNL Ho

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan

Shilling BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad

SP BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan

Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential

Rate BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong

(NDF) BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

Minimum Size

An average rate forward allows the buyer the ability to create a hedge rate for a future exposure by locking in

forward points and a spot rate. At some point in the future, there is an averaging period of daily spot observations

to determine an average rate which, when compared to the hedge rate, will set the payout. Unlike options, this

hedge tool is a forward contract and has no premium cost associated with it.

$1

Notional Currency Currency in which contract size is expressed; please see Notice to Participants 2017-3, which is posted on BSEF’s

website.

BYR Belarus Ruble KRW South Korean

Won (NDF)

Currency Pair

RON New Romanian Leu XAF CFA Franc Beac
149

End of observation period specified by counterparties

Trading Conventions

Frequency

Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement currency

Observation frequency specified by counterparties

Settlement

Procedure

Bilateral settlement performed in settlement currency based on the exchanges rate published by either

Bloomberg (BFIX) or Reuters (WM/Reuters)

Trading Hours

Trade Date

00:01 - 24:00 Sunday-Friday (Eastern Time)

Buy or Sell which refers to the contract size expressed in notional currency

Clearing House

The date on which parties enter into the contract

Bilateral

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits

Settlement Date

As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Settlement or payment date

As set forth in CFTC Regulation 15.03

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht

Onshore AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga

Pa’Anga AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS

Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia

(NDF) BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar

UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan

Shilling BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad

SP BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan

Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential

Rate BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong

(NDF) BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean

Won (NDF)

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing

Rights CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island

Franc CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian

Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha

(NDF) CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese

Pound EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon

RULE 1406. Foreign Exchange Contract – ARS Non-Deliverable Forward

Contract Overview A non-deliverable forward (NDF) is an outright forward in which counterparties settle the difference

between the contracted NDF price or rate and the prevailing spot price or rate on an agreed notional

Fixing Date

Forward Rate
150

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency

Forward Rate

Settlement Currency

Currency Exchange rate expressed as the amount of Reference currency per unit of Settlement Currency

amount.

Trade Date

See currency list below

The date on which parties enter into the contract

Settlement Date Specified settlement or payment date, as agreed by counterparties

Fixing Date

Quoting Convention

and Minimum

Increment

The date at which the difference between the prevailing market exchange rate and the agreed upon exchange

rate is calculated.

Settlement Procedure

Notional amount, as agreed by counterparties

Bilateral settlement performed in settlement currency based on the EMTA ARS Industry Survey Rate /

EMTA ARS Indicative Survey Rate (secondary); BFIX or BGN.

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday

Clearing House

Minimum Size

Bilateral

Reference Currency (i.e.,

Non- Deliverable Currency)

Block Size

Notional amount, as agreed by counterparties

As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels

Notional Currency

As set in CFTC Regulation 15.03

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht

Onshore AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga

Pa’Anga AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia

(NDF) BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar

UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan

Shilling BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad

SP BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan

Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential

Rate BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong

(NDF) BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean

Won (NDF)

RON New Romanian Leu XAF CFA Franc Beac

B B

Z

D

B

e

l

i

z

e

D

o

l

l

a

r

C

H

F

S

ARS Argentine Peso

Currency in which contract size is expressed in, as agreed by counterparties
151

KES Kenyan Shilling

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency.

Forward Rate

Contract Overview

Currency Exchange rate expressed as the amount of Reference Currency per unit of Settlement

Currency.

Settlement Currency

Trade Date

w

i

s

s

F

r

a

n

c LAK Laos Kip SAR Saudi Riyal XPF Pacific Island Franc CLF Chilean UF LBP Le

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian

Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha

(NDF) CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese

Pound EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon

RULE 1407. Foreign Exchange Contract – KES Non-Deliverable Forward

The date on which parties enter into the contract.

See currency list below

Settlement Date Specified settlement or payment date, as agreed by the counterparties.

Fixing Date

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the

difference between the contracted NDF price or rate and the prevailing spot price or rate on an

agreed notional amount.

The date at which the difference between the prevailing market exchange rate and the agreed upon

exchange rate is calculated.

Quoting Convention and Minimum

Increment

Settlement Procedure Bilateral settlement performed in settlement currency based on the EMTA KES Industry Survey

Rate or BFIX.

Notional amount, as agreed by the counterparties.

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday.

Clearing Venue Bilateral

Minimum Size

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Notional amount, as agreed by the counterparties.

Speculative Limits As set forth in Part 151 of the CFTC Regulations.

Reportable Levels

Reference Currency (i.e., NonDeliverable Currency)

As set forth in CFTC Regulation 15.03.

Currency List

GBP British Pound MXN Mexican Peso THB Thai Baht

AED UAE Dirham GEL Georgia Lari MYR Malaysian Ringgit (NDF) THO Thai Baht

Onshore AFN Afghanistan Afghani GMD Gambian Dalasi MZM Mozambique Metical TJS Tajikistan Somoni

AMD Armenia Dram GNF Guinea Franc MZN New Mozambique

Metical

TND Tunisian Dinar

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal NGN Nigeria Naira (NDF) TOP Tonga

Pa’Anga AOA Angolan Kwanza GYD Guyana Dollar NID New Iraqi Dinar TRY Turkish Lira

ARS Argentine Peso (NDF) HKD Hong Kong Dollar NIO Nicaragua Cordoba TTD Trinidad/Tobago Dol

ARS Argentine Peso HNL Honduras Lempira NLG Dutch Guilder TWD Taiwan Dollar (NDF)

AUD Australian Dollar HRK Croatia Kuna NOK Norwegian Krone TZS Tanzanian Shilling

AWG Aruban Guilder HTG Haiti Gourde NPR Nepalese Rupee UAH Ukraine Hryvnia

(NDF) BAM Bosnia-Herze Convrt Mrka HUF Hungarian Forint NZD New Zealand Dollar

UDI Mexican UDI

BBD Barbados Dollar IDR Indonesian Rupiah (NDF) OMR Omani Rial UGX Ugandan

Shilling BDT Banglaldesh Taka ILS Israeli Shekel PAD Panamanian Balboa USD US Dollar

BGD Bulgarian Lev INR Indian Rupee (NDF) PEN Peruvian New Sol USDCLF Chilean Unidad

SP BHD Bahraini Dinar ISK Iceland Krona PGK Papua N.G. Kina x10000

Notional Currency Currency in which contract size is expressed in, as agreed by the counterparties; please see Notice

to Participants 2017-3, which is posted on BSEF’s website.
152

RON New Romanian Leu XAF CFA Franc Beac

BZD Belize Dollar KWD Kuwaiti Dinar RSD Serbian Dinar XCD East Caribbean Dollar

CAD Canadian Dollar KYD Cayman Islands Dollar RUB Russian Ruble (NDF) XDR Special Drawing

Rights CDF Congolese Franc KZT Kazakhstan Tenge RWF Rwanda Franc XOF CFA Franc Bceao

CHF Swiss Franc LAK Laos Kip SAR Saudi Riyal XPF Pacific Island

Franc CLF Chilean UF LBP Lebanese Pound SBD Solomon Is. Dollar XSU Sucre

CLP Chilean Peso LKR Sri Lankan Rupee SCR Seychelles Rupee YER Yemeni Rial

CNY China Renminbi (NDF) LTL Lithuanian Litas SDD Sudanese Dinar ZAR S. African Rand

COP Colombian Peso LVL Latvian Lats SDG New Sudanese Pound ZMK Zambian

Kwacha

CRC Costa Rican Colon MAD Moroccan Dirham SDP Old Sudanese Pound ZMW Zambia Kwacha

(NDF) CVE Cape Verde Escudo MDL Moldova Leu SEK Swedish Korna ZWR Zimbabwe Dollar

CZK Czech Koruna MGA Malagascy Ariary SGD Singapore Dollar

DJF Djibouti Franc MKD Macedonia Denar SIT Slovenia Tolar

DKK Danish Krone MMK Myanmar Kyat SKK Slovakia Koruna

DOP Dominican Repb. MNT Mongolian Togrog SLL Sierra Leone Leone

DZD Algerian Dinar MOP Macau Pataca SOS Somali Shilling

EGP Egyptian Pound (NDF) MRO Mauritania Ouguiya SRD Suriname Dollar

ERN Eritrean Nakfa MUR Mauritius Rupee SSP South Sudanese

Pound EUR Euro MVR Maldives Rufiyaa STD Sao Tome Dobra

FJD Fiji Dollar MWK Malawi Kwacha SVC El Salvador Colon

BIF Burundi Franc JMD Jamaica Dollar PHP Philippines Peso (NDF) UYU Uruguay Peso

BMD Bermudian Dollar JOD Jordanian Dinar PKR Pakistani Rupee UZS Uzbekistan

Sum

BND Brunei Dollar JPY Japanese Yen PLN Polish Zloty VEE Venezuela Essential

Rate BOB Bolivian Boliviano KES Kenyan Shilling PTE Portuguese Escudo VEF Venezuelan Bolivar

BRL Brazilian Real (NDF) KGS Kyrgyzstan Som PYG Paraguay Guarani VND Vietnamese Dong

(NDF) BSD Bahamas Dollar KHR Cambia Riel WAR Qatari Riyal VUV Vanuatu Vatu

BWP Botswana Pula KMF Comoros Franc ROL Romanian Leu WST Samoa (West) Tala

BYR Belarus Ruble KRW South Korean

Won (NDF)
153

RULE 1408. Foreign Exchange Contract – Precious Metals Options Contract

The exchange rate agreed upon at the inception of the contract at which the investor can exercise an option

Gold

 COMEX Gold

 Tokyo Commodity Exchange (TOCOM) Gold

 London Bullion Market Association (LBMA) A.M. Fix Gold

 London Bullion Market Association (LBMA) P.M. Fix Gold

Silver

 COMEX Silver

 Tokyo Commodity Exchange (TOCOM) Silver

 London Bullion Market Association (LBMA) Silver Fix

Palladium

 New York Mercantile Exchange (NYMEX) Palladium

 Tokyo Commodity Exchange (TOCOM) Palladium

 London Bullion Market Association (LBMA) A.M. Fix Palladium

 London Bullion Market Association (LBMA) P.M. Fix Palladium

Platinum

 New York Mercantile Exchange (NYMEX) Platinum

 Tokyo Commodity Exchange (TOCOM) Platinum

 London Bullion Market Association (LBMA) A.M. Fix Platinum

 London Bullion Market Association (LBMA) A.M. Fix Platinum

Expiration Date Date at which option contract expires

Expiration Time

A precious metals option is a derivative financial instrument that gives the owner the right, but not the

obligation, to purchase or sell a specified quantity of a precious metal in exchange for a currency at a pre-agreed

exchange rate on a specified date. Upon exercise of the option, the counterparties will exchange settlement

currency based on the agreed settlement procedure.

Time at which option contract expires

Trade Date

Settlement Date Settlement date of the option contract

The date on which the parties enter into the contract

Premium Premium amount expressed in premium currency

Premium currency Currency listed below

Option Style

Premium Date Date on which premium amount is due

American/European

 A European option may be exercised only at the expiration date of the option, e.g., at a single

pre-defined point in time.

 An American option, on the other hand, may be exercised at any time before the expiration date.

Quoting

Convention and

Minimum

Increment

Notional amount, as agreed by the counterparties

Minimum Size

Ticker

Notional amount, as agreed by the counterparties

Option Type

Notional Currency Currency or units of precious metal in which contract size is expressed in

Put/ Call

 Call option – the right to buy an asset at a fixed date and price.

 Put option – the right to sell an asset a fixed date and price.

Settlement Procedure Bilateral cash settlement performed in settlement currency

Trading Hours

[PMO-<precious metal><currency>-[Bloomberg Unique Options ID]]

00:01 -24:00 Sunday-Friday Eastern Time

Call

Clearing Venue Bilateral

Precious metal for call option

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Speculative Limits As set forth in Part 151 of the CFTC Regulations

Put

Reportable Levels

Contract Overview

As set forth in CFTC Regulation 15.03

Currency List

AED UAE Dirham GEL Georgia Lari MXN Mexican Peso SVC El Salvador

Colon AFN Afghanistan Afghani GMD Gambian Dalasi MYR Malaysian Ringgit (NDF) THB Thai Baht

AMD Armenia Dram GNF Guinea Franc MZM Mozambique Metical THO Thai Baht Onshore

Precious metal for put option

Currency List

Reference

Commodities

Strike Price
154

JOD Jordanian Dinar

SVC El Salvador Colon

PHP Philippines Peso (NDF)

AUD Australian Dollar

x10000

GNF Guinea Franc

BOB Bolivian Boliviano

HNL Honduras Lempira

JPY Japanese Yen PKR Pakistani Rupee

NIO Nicaragua Cordoba

UYU Uruguay Peso

MZM Mozambique Metical

BRL Brazilian Real (NDF)

TRY Turkish Lira

KES Kenyan Shilling PLN Polish Zloty UZS Uzbekistan Sum

BSD Bahamas Dollar

AWG Aruban Guilder

KGS Kyrgyzstan Som

THO Thai Baht Onshore

PTE Portuguese Escudo

HRK Croatia Kuna

VEE Venezuela Essential Rate

BWP Botswana Pula

NLG Dutch Guilder

KHR Cambia Riel PYG Paraguay Guarani

TTD Trinidad/Tobago Dol

VEF Venezuelan Bolivar

BYR Belarus Ruble KMF Comoros Franc WAR Qatari Riyal

BAM Bosnia-Herze Convrt Mrka

VND Vietnamese Dong (NDF)

ANG Neth. Ant. Guilder

BZD Belize Dollar

HTG Haiti Gourde

KRW South Korean Won (NDF)

AFN Afghanistan Afghani

ROL Romanian Leu

NOK Norwegian Krone

VUV Vanuatu Vatu

GTQ Guatemala Quetzal

CAD Canadian Dollar

TWD Taiwan Dollar (NDF)

KWD Kuwaiti Dinar RON New Romanian Leu WST Samoa (West) Tala

GEL Georgia Lari

CDF Congolese Franc

BBD Barbados Dollar

KYD Cayman Islands Dollar

MZN New Mozambique Metical

RSD Serbian Dinar

HUF Hungarian Forint

XAF CFA Franc Beac

GMD Gambian Dalasi

CHF Swiss Franc

NPR Nepalese Rupee

KZT Kazakhstan Tenge

TJS Tajikistan Somoni

RUB Russian Ruble (NDF)

TZS Tanzanian Shilling

XCD East Caribbean Dollar

CLF Chilean UF LAK Laos Kip RWF Rwanda Franc

BDT Banglaldesh Taka

XDR Special Drawing Rights

CLP Chilean Peso

IDR Indonesian Rupiah (NDF)

LBP Lebanese Pound SAR Saudi Riyal

NZD New Zealand Dollar

XOF CFA Franc Bceao

AOA Angolan Kwanza

CNY China Renminbi (NDF)

UAH Ukraine Hryvnia (NDF)

LKR Sri Lankan Rupee SBD Solomon Is. Dollar XPF Pacific Island Franc

MYR Malaysian Ringgit (NDF)

COP Colombian Peso

BGD Bulgarian Lev

LTL Lithuanian Litas

GYD Guyana Dollar

SCR Seychelles Rupee

ILS Israeli Shekel

XSU Sucre

MXN Mexican Peso

CRC Costa Rican Colon

OMR Omani Rial

LVL Latvian Lats

NGN Nigeria Naira (NDF)

SDD Sudanese Dinar

UDI Mexican UDI

YER Yemeni Rial

CVE Cape Verde Escudo MAD Moroccan Dirham

THB Thai Baht

SDG New Sudanese Pound

BHD Bahraini Dinar

ZAR S. African Rand

TND Tunisian Dinar

CZK Czech Koruna

INR Indian Rupee (NDF)

MDL Moldova Leu SDP Old Sudanese Pound

PAD Panamanian Balboa

ZMK Zambian Kwacha

DJF Djibouti Franc

UGX Ugandan Shilling

MGA Malagascy Ariary SEK Swedish Korna ZMW Zambia Kwacha (NDF)

DKK Danish Krone

DOP Dominican

Repb.

BIF Burundi Franc

MKD Macedonia

Denar MMK Myanmar

Kyat

ARS Argentine Peso

SGD Singapore

Dollar SIT Slovenia

Tolar

ISK Iceland Krona

ZWR Zimbabwe Dollar

DZD Algerian Dinar

PEN Peruvian New Sol

MNT Mongolian Togrog

HKD Hong Kong Dollar

SKK Slovakia Koruna

USD US Dollar

EGP Egyptian Pound (NDF)

ERN Eritrean Nakfa

MOP Macau Pataca MRO

Mauritania Ouguiya

AED UAE Dirham

SLL Sierra Leone Leone

SOS Somali Shilling

BMD Bermudian Dollar

NID New Iraqi Dinar

EUR Euro

JMD Jamaica Dollar

MUR Mauritius Rupee

AMD Armenia Dram

SRD Suriname Dollar

PGK Papua N.G. Kina

TOP Tonga Pa’Anga

FJD Fiji Dollar

GBP British

Pound

USDCLF Chilean Unidad SP

MVR Maldives

Rufiyaa MWK Malawi

Kwacha

SSP South Sudanese

Pound STD Sao Tome

Dobra

ANG Neth. Ant. Guilder GTQ Guatemala Quetzal MZN New Mozambique

Metical

TJS Tajikistan Somoni

AOA Angolan Kwanza GYD Guyana Dollar NGN Nigeria Naira (NDF) TND Tunisian

Dinar ARS Argentine Peso HKD Hong Kong Dollar NID New Iraqi Dinar TOP Tonga

Pa’Anga AUD Australian Dollar HNL Honduras Lempira NIO Nicaragua Cordoba TRY Turkish Lira

AWG Aruban Guilder HRK Croatia Kuna NLG Dutch Guilder TTD Trinidad/Tobago Dol

BAM Bosnia-Herze Convrt Mrka HTG Haiti Gourde NOK Norwegian Krone TWD Taiwan Dollar (NDF)

BBD Barbados Dollar HUF Hungarian Forint NPR Nepalese Rupee TZS Tanzanian Shilling

BDT Banglaldesh Taka IDR Indonesian Rupiah (NDF) NZD New Zealand Dollar UAH Ukraine Hryvnia

(NDF) BGD Bulgarian Lev ILS Israeli Shekel OMR Omani Rial UDI Mexican UDI

BHD Bahraini Dinar INR Indian Rupee (NDF) PAD Panamanian Balboa UGX Ugandan

Shilling BIF Burundi Franc ISK Iceland Krona PEN Peruvian New Sol USD US Dollar

BMD Bermudian Dollar JMD Jamaica Dollar PGK Papua N.G. Kina USDCLF Chilean Unidad

SP BND Brunei Dollar JOD Jordanian Dinar PHP Philippines Peso (NDF) x10000

BOB Bolivian Boliviano JPY Japanese Yen PKR Pakistani Rupee UYU Uruguay Peso

BRL Brazilian Real (NDF) KES Kenyan Shilling PLN Polish Zloty UZS Uzbekistan

Sum

BSD Bahamas Dollar KGS Kyrgyzstan Som PTE Portuguese Escudo VEE Venezuela Essential

Rate BWP Botswana Pula KHR Cambia Riel PYG Paraguay Guarani VEF Venezuelan Bolivar

BYR Belarus Ruble KMF Comoros Franc WAR Qatari Riyal VND Vietnamese Dong (NDF)

BZD Belize Dollar KRW South Korean

Won (NDF)

ROL Romanian Leu VUV Vanuatu Vatu

CAD Canadian Dollar KWD Kuwaiti Dinar RON New Romanian Leu WST Samoa (West) Tala

CDF Congolese Franc KYD Cayman Islands Dollar RSD Serbian Dinar XAF CFA Franc Beac

CHF Swiss Franc KZT Kazakhstan Tenge RUB Russian Ruble (NDF) XCD East Caribbean Dollar

CLF Chilean UF LAK Laos Kip RWF Rwanda Franc XDR Special Drawing

BND Brunei Dollar
155

UYU Uruguayan Peso

Trading Conventions Buy or Sell, which refers to the contract size expressed in notional currency.

Contracted NDF Rate or Forward Rate

Contract Overview

Currency Exchange rate expressed as the amount of Reference Currency per unit of Settlement

Currency.

Spot FX Rate or Reference Rate

Trade Date

Rights CLP Chilean Peso LBP Lebanese Pound SAR Saudi Riyal XOF CFA Franc Bceao

CNY China Renminbi (NDF) LKR Sri Lankan Rupee SBD Solomon Is. Dollar XPF Pacific Island

Franc COP Colombian Peso LTL Lithuanian Litas SCR Seychelles Rupee XSU Sucre

CRC Costa Rican Colon LVL Latvian Lats SDD Sudanese Dinar YER Yemeni Rial

CVE Cape Verde Escudo MAD Moroccan Dirham SDG New Sudanese Pound ZAR S. African Rand

CZK Czech Koruna MDL Moldova Leu SDP Old Sudanese Pound ZMK Zambian

Kwacha

DJF Djibouti Franc MGA Malagascy Ariary SEK Swedish Korna ZMW Zambia Kwacha

(NDF) DKK Danish Krone MKD Macedonia Denar SGD Singapore Dollar ZWR Zimbabwe Dollar

DOP Dominican Repb. MMK Myanmar Kyat SIT Slovenia Tolar

DZD Algerian Dinar MNT Mongolian Togrog SKK Slovakia Koruna

EGP Egyptian Pound (NDF) MOP Macau Pataca SLL Sierra Leone Leone

ERN Eritrean Nakfa MRO Mauritania Ouguiya SOS Somali Shilling

EUR Euro MUR Mauritius Rupee SRD Suriname Dollar

FJD Fiji Dollar MVR Maldives Rufiyaa SSP South Sudanese

Pound GBP British Pound MWK Malawi Kwacha STD Sao Tome Dobra

RULE 1409. Foreign Exchange Contract – UYU Non-Deliverable Forward

The date on which parties enter into the contract.

“UYU OFFICIAL” or “UYU01 as determined by the Banco Central Del Uruguay (Central Bank of

Uruguay) (www.bcu.gub.uy) or as specified in the EMTA template.

Settlement Date Specified settlement or payment date, as agreed by the counterparties.

Fixing Date

A non-deliverable forward (NDF) is an outright forward in which counterparties settle the

difference between the contracted NDF price or rate and the prevailing spot price or rate on an

agreed notional amount.

The date at which the difference between the Spot FX Rate/Reference Rate and the Forward

Rate/Contracted NDF Rate is calculated.

Settlement Currency

Settlement Procedure Bilateral settlement performed in settlement currency

See list below

Trading Hours 00:01 - 24:00 (ET), Sunday-Friday.

Clearing Venue Bilateral

Quoting Convention and Minimum

Increment

Block Size As set forth in Appendix F to Part 43 of the CFTC Regulations.

Notional amount, as agreed by the counterparties.

Speculative Limits As set forth in Part 151 of the CFTC Regulations.

Reportable Levels

Reference Currency (i.e., NonDeliverable Currency)

As set forth in CFTC Regulation 15.03.

Currency list:

AED UAE Dirham AFN

Afghanistan Afghani ALL

Albanian Lek AMD

Armenia Dram ANG Neth.

Ant. Guilder AOA Angolan

Kwanza ARS Argentine

Peso ARS Argentine Peso

AUD Australian Dollar

AWG Aruban Guilder

BAM Bosnia-Herze Convrt

Mrka BBD Barbados

Dollar BDT Bangladesh

Taka BGN Bulgarian Lev

BHD Bahraini Dinar BIF

Burundi Franc BMD

Bermudian Dollar BND

Brunei Dollar BOB

Bolivian Boliviano BRL

Brazilian Real BSD

Bahamas Dollar BWP

Botswana Pula BYR

Belarus Ruble BZD Belize

Dollar CAD Canadian

Dollar CDF Congolese

Franc CHF Swiss Franc

CLP Chilean Peso CNY

China Renminbi COP

Colombian Peso CRC

Costa Rican Colon CVE

Cape Verde Escudo CZK

Czech Koruna DJF

Djibouti Franc DKK

GYD Guyana Dollar

HKD Hong Kong

Dollar HNL Honduras

Lempira HRK Croatia

Kuna HTG Haiti

Gourde HUF

Hungarian Forint IDR

Indonesian Rupiah

ILS Israeli Shekel INR

Indian Rupee ISK

Iceland Krona JMD

Jamaica Dollar JOD

Jordanian Dinar JPY

Japanese Yen KGS

Kyrgyzstan Som KHR

Cambodia Riel KMF

Comoros Franc KRW

South Korean Won

KWD Kuwaiti Dinar

KYD Cayman Islands

Dollar KZT Kazakhstan

Tenge LAK Laos Kip

LBP Lebanese Pound

LKR Sri Lankan Rupee

LTL Lithuanian Litas

LVL Latvian Lats MAD

Moroccan Dirham MDL

Moldova Leu MGA

Malagascy Ariary MKD

Macedonia Denar MMK

Myanmar Kyat MNT

Mongolian Togrog MOP

Macau Pataca MRO

Mauritania Ouguiya

MUR Mauritius Rupee

MVR Maldives Rufiyaa

MWK Malawi Kwacha

MXN Mexican Peso

MYR Malaysian Ringgit

MZM Mozambique

Metical MZN New

Mozambique Metical

NGN Nigeria Naira NID

New Iraqi Dinar NIO

Nicaragua Cordoba NLG

Dutch Guilder NOK

Norwegian Krone NPR

Nepalese Rupee

Minimum Size Notional amount, as agreed by the counterparties.
156

ZWR Zimbabwe

NZD New Zealand Dollar

Dollar OMR Omani

Rial PAB Panamanian

Balboa PEN Peruvian

New Sol PGK Papua

N.G. Kina PHP

Philippines Peso PKR

Pakistani Rupee PLN

Polish Zloty PTE

Portuguese Escudo

PYG Paraguay

Guarani QAR Qatari

Riyal ROL Romanian

Leu RON New

Romanian Leu RSD

Serbian Dinar RUB

Russian Ruble RWF

Rwanda Franc SAR

Saudi Riyal SBD

Solomon Is. Dollar

SCR Seychelles

Rupee SDD Sudanese

Dinar SDG New

Sudanese Pound SDP

Old Sudanese Pound

SEK Swedish Krona

SGD Singapore Dollar

SIT Slovenia Tolar

SKK Slovakia Koruna

SLL Sierra Leone

Leone SOS Somali

Shilling SRD

Suriname Dollar SSP

South Sudanese

Pound STD Sao Tome

Dobra THB Thai Baht

THO Thai Baht

Onshore TJS

Tajikistan Somoni

TND Tunisian Dinar

TOP Tonga Pa'Anga

TRY Turkish Lira

TTD Trinidad/Tobago

Dol TWD Taiwan

Dollar TZS Tanzanian

Shilling UAH Ukraine

Hryvnia UGX

Ugandan Shilling

USD US Dollar UYU

Uruguay Peso UZS

Uzbekistan Sum VEE

Venezuela Essential

Rate VEF Venezuelan

Bolivar

VND Vietnamese

Dong VUV

Vanuatu Vatu

WST Samoa

(West) Tala XAF

CFA Franc Beac

XCD East

Caribbean Dollar

XDR Special

Drawing Rights

XOF CFA Franc

Bceao XPF

Pacific Island

Franc YER

Yemeni Rial ZAR

S. African Rand

ZMK Zambian

Kwacha ZMW

Zambian Kwacha
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Annex A

Excerpt from ISDA Dodd Frank Act-Swap Transaction

Reporting Party Requirements
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