October 29, 2020

Submitted via CFTC Portal

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: tpSEF Inc. – Regulation 40.6(d) Weekly Notification of Rule Amendments (tpSEF 

Submission #20-10R)

Dear Mr. Kirkpatrick: 

Pursuant to Section 5c(c) of the Commodity Exchange Act, as amended (the “Act”), and Section

40.6(d) of the regulations of the Commodity Futures Trading Commission (the “Commission” or 

“CFTC”), tpSEF Inc. (“tpSEF”), a registered swap execution facility, hereby notifies the 

Commission that it has made certain non-substantive revisions to the tpSEF Rulebook effective

November 1, 2020, and to Appendix B of the tpSEF Rulebook (tpSEF Inc. Swap Specifications) 

effective as of October 28, 2020. Specifically, tpSEF has made the following changes:

tpSEF Rulebook

(i) Made the changes to the Rulebook as listed in Exhibit I hereto.

Attached as Exhibit II hereto is a clean copy of the Rulebook, as amended, and attached as 

Exhibit III is a marked copy of the Rulebook showing changes to the prior version.

Appendix B to the tpSEF Rulebook

(i) Added the terms and conditions for the product listed in Exhibit IV hereto, which 

terms and conditions were separately filed with the Commission pursuant to CFTC 

Regulation 40.2(a); and

(ii) Updated the Appendix B effective date.
Mr. Christopher J. Kirkpatrick

October 29, 2020

Page 2

Attached as Exhibit V hereto is a clean copy of Appendix B, as amended, and attached as Exhibit 

VI is a marked copy of Appendix B showing changes to the prior version.

Please contact Brian D. Donnelly, Chief Compliance Officer, at (201) 984-6956 or by email at 

bddonnelly@tullettprebon.com with any questions regarding this matter.

Very truly yours,

tpSEF Inc.

By: __________________________

Name: Brian D. Donnelly

Title: Chief Compliance Officer

Date: October 29, 2020

Enclosures

cc: CFTC Division of Market Oversight (dmosubmissions@cftc.gov)

Nancy Markowitz, CFTC (nmarkowitz@cftc.gov) 
Mr. Christopher J. Kirkpatrick

October 29, 2020

EXHIBIT I

Explanation of Amended Rules

tpSEF has amended its Rulebook as provided below. Capitalized terms used but not defined

herein have the meanings assigned to them in the Rulebook.

Section/Rule Description of Revision Reason and/or 

Supporting Rule

Definition of 

“Executed 

Anonymously”

Added a definition for “Executed Anonymously” to 

mean a Swap that is pre-arranged or pre-negotiated 

anonymously, including by a participant of the SEF.

Conforming change 

to Commission 

Regulation 37.9(d)

Rule 4003.D(b)(1)(ii) Conformed to match Rule 4003.D(b)(2)(iii). Conforming change

Rule 4019(a) Capitalized “Executed Anonymously.” Conforming change

Rule 9000 Deleted “at the beginning start of the trading day” in 

the definition of “Indication of Interest.”

Conforming change

Rule 9000(e)(2) Removed parenthetical that said identities are not 

disclosed in a Non-Directed RFQ.

Conforming change
Mr. Christopher J. Kirkpatrick

October 29, 2020

EXHIBIT II

tpSEF Rulebook

(Clean Version)
TP ICAP Classification: Public

tpSEF Inc.

Rulebook

Effective November 1, 2020
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TP ICAP Classification: Public

TABLE OF CONTENTS

Section 1 DEFINITIONS............................................................................................................................1

Rule 1000 Definitions .......................................................................................................................... 1

Section 2 SEF GOVERNANCE...............................................................................................................14

Rule 2000 The SEF ............................................................................................................................ 14

Rule 2100 Board................................................................................................................................. 14

Rule 2200 Officers............................................................................................................................. 15

Rule 2201 Chief Compliance Officer................................................................................................. 15

Rule 2300 Qualification of Chief Compliance Officer ...................................................................... 17

Rule 2301 Qualifications of Directors, Panel Members, Committee Members and Officers............ 17

Rule 2400 [Reserved]......................................................................................................................... 18

Rule 2401 Regulatory Oversight Committee ..................................................................................... 18

Rule 2500 Conflicts of Interest Relating to Self-Regulatory Actions................................................ 19

Rule 2501 Voting by Interested Parties.............................................................................................. 20

Rule 2502 Restrictions on Certain Persons who Possess Confidential Information; Improper 

Use or Disclosure of Confidential Information................................................................. 22

Rule 2600 Services Agreement with a Regulatory Services Provider ............................................... 23

Rule 2601 Services Agreement with Other Service Providers........................................................... 24

Rule 2602 Prohibited Use of Data Collected for Regulatory Purposes.............................................. 24

Section 3 PARTICIPANT ACCESS RULES .........................................................................................25

Rule 3000 Qualifications.................................................................................................................... 25

Rule 3100 Application Requirements ................................................................................................ 26

Rule 3101 Review of Application...................................................................................................... 27

Rule 3102 Acceptance as a SEF Participant....................................................................................... 27

Rule 3103 Denial, Conditioning or Termination of Participant Status .............................................. 27

Rule 3104 Duty to Keep Current........................................................................................................ 28

Rule 3105 Withdrawal of Participant; Temporary Deactivation of Trading Privileges..................... 28

Rule 3106 Dissolution of Participants................................................................................................ 29

Rule 3107 Jurisdiction and Application of SEF Rules....................................................................... 29

Rule 3108 Notices to Participants...................................................................................................... 30

Rule 3109 Authorized Traders........................................................................................................... 30

Rule 3110 Sponsored Access............................................................................................................. 31

Rule 3111 [Reserved]......................................................................................................................... 33

Rule 3112 Introducing Brokers.......................................................................................................... 33

Rule 3113 Authorized Representatives.............................................................................................. 33

Rule 3114 Communications between the SEF and Participants......................................................... 33

Rule 3115 Recording of Communications......................................................................................... 34

Rule 3200 Change of Control; Non-Assignment ............................................................................... 34

Rule 3300 Fees................................................................................................................................... 34

Rule 3301 Volume Discounts............................................................................................................. 35

Rule 3400 ISVs .................................................................................................................................. 35

Rule 3500 Customers and Clients...................................................................................................... 36

Rule 3501 Disclosure Requirements; Know Your Counterparty Requirements................................ 36

Section 4 TRANSACTION EXECUTION .............................................................................................37

Rule 4000.A. Trading Hours................................................................................................................... 37
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TP ICAP Classification: Public

Rule 4000.B. Swap Specifications.......................................................................................................... 37

Rule 4001 Procedures......................................................................................................................... 37

Rule 4002 Required Identifications.................................................................................................... 38

Rule 4003.A. Execution of Transactions................................................................................................. 38

Rule 4003.B. Order Book ....................................................................................................................... 39

Rule 4003.C. Trade at Settlement Cross Transactions............................................................................ 43

Rule 4003.D. Voice Request for Quote Systems .................................................................................... 44

Rule 4004 Permitted Cross Transactions ........................................................................................... 46

Rule 4005 Mishandling of Customer Orders...................................................................................... 47

Rule 4006 Trading Halts.................................................................................................................... 47

Rule 4007 Termination of the SEF Connection ................................................................................. 47

Rule 4008 Risk Controls.................................................................................................................... 47

Rule 4009 Priority of Customers’ Orders........................................................................................... 47

Rule 4010 Trading Against Customers’ Orders Prohibited; Withholding Orders Prohibited............ 47

Rule 4011 Time Delay Requirement for Required Cross Transactions............................................. 48

Rule 4012 Confirmations and USIs.................................................................................................... 49

Rule 4013.A. Cleared Swaps................................................................................................................... 50

Rule 4013.B. Uncleared Swaps............................................................................................................... 54

Rule 4014 Information Regarding Orders and Dissemination of Trade Data .................................... 55

Rule 4015 Enforceability.................................................................................................................... 55

Rule 4016 Block Trades..................................................................................................................... 56

Rule 4017 Pre-Execution Credit Checks............................................................................................ 57

Rule 4018 Risk Mitigation Sessions .................................................................................................. 57

Rule 4019 Post-Trade Name Give-Up ............................................................................................... 58

Rule 4100 SEF Rules Do Not Limit Emergency Powers................................................................... 58

Rule 4101 Position Limits.................................................................................................................. 58

Rule 4102 Exemptions from Position Limits..................................................................................... 59

Rule 4103 Position Accountability..................................................................................................... 59

Rule 4104 Enforcement of Position Limits and Position Accountability Levels............................... 59

Rule 4105 Prime Broker Transactions ............................................................................................... 60

CONDUCT OF PARTICIPANTS AND OTHER PERSONS ..............................................62

Rule 5000 Duties and Responsibilities of Participants, Sponsored Participants, Customers 

and Clients........................................................................................................................ 62

Rule 5001 Required Disclosures to the SEF ...................................................................................... 62

Rule 5100 Abusive Trading Practices Prohibited .............................................................................. 64

Rule 5101 Good Faith Bids and Offers and RFQs............................................................................. 65

Rule 5102 Invalid Transactions.......................................................................................................... 65

Rule 5103 Trade Cancellation, Correction, Offset and Adjustment................................................... 66

Rule 5103.A. SEF Authority Regarding Trade Cancellation, Correction, Offset and Adjustment......... 66

Rule 5103.B. Transaction Price Review ................................................................................................. 66

Rule 5103.C. Review of Transactions for Errors.................................................................................... 67

Rule 5103.D. Records and Reporting of Cancellations and Price Adjustments...................................... 68

Rule 5103.E. Cancellation of Prime Brokerage Transactions ................................................................ 68

Rule 5104 Misuse of the SEF............................................................................................................. 69

Rule 5200 Rule Violations................................................................................................................. 69

Rule 5201 Fraudulent Acts Prohibited ............................................................................................... 70

Rule 5202 [Reserved]......................................................................................................................... 70

Rule 5203 Fictitious or Wash Transactions; Permitted Pre-Execution Communications.................. 70

Rule 5204 Market Disruptions Prohibited.......................................................................................... 71
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TP ICAP Classification: Public

Rule 5205 Market Manipulation Prohibited....................................................................................... 71

Rule 5206 Disruptive Trading Practices Prohibited........................................................................... 71

Rule 5207 Prohibition of Misstatements............................................................................................ 71

Rule 5208 Acts Detrimental to the SEF Prohibited............................................................................ 71

Rule 5209 Adherence to Law............................................................................................................. 71

Rule 5210 Communications with the Public and Promotional Material ............................................ 72

Rule 5300 Duty to Supervise.............................................................................................................. 72

Rule 5400 Inspections by the SEF ..................................................................................................... 72

Rule 5500 Information-Sharing.......................................................................................................... 73

Rule 5600 Minimum Financial and Related Reporting Requirements............................................... 73

Rule 5601 Confidentiality of Financial and Other Information ......................................................... 74

Rule 5602 Authority to Impose Restrictions...................................................................................... 74

Rule 5603 Additional Disclosure Requirements................................................................................ 74

Rule 5700 Gifts and Gratuities........................................................................................................... 74

Rule 5701 Anti-Money Laundering and Anti-Terrorism................................................................... 74

Rule 5702 Market Data ...................................................................................................................... 75

Rule 5703 Extension or Waiver of SEF Rules................................................................................... 75

Section 6 ENFORCEMENT OF RULES AND DISCIPLINARY PROCEEDINGS..........................76

Rule 6000 General.............................................................................................................................. 76

Rule 6001 Inquiries and Investigations.............................................................................................. 77

Rule 6002 Reports of Investigations.................................................................................................. 78

Rule 6003 Opportunity to Respond.................................................................................................... 79

Rule 6004 Review of Investigation Reports....................................................................................... 79

Rule 6005 Notice of Charges ............................................................................................................. 81

Rule 6006 Answer to Notice of Charges............................................................................................ 81

Rule 6007 Service of Notice of Charges............................................................................................ 82

Rule 6008 Settlement Offers.............................................................................................................. 82

Rule 6009 Disciplinary Panel............................................................................................................. 84

Rule 6010 Convening Hearings of Disciplinary Proceedings............................................................ 84

Rule 6011 Respondent Review of Evidence ...................................................................................... 85

Rule 6012 Conducting Hearings of Disciplinary Proceedings........................................................... 86

Rule 6013 Decision of Disciplinary Panel ......................................................................................... 87

Rule 6014 Sanctions........................................................................................................................... 88

Rule 6015 Right to Appeal from Disciplinary Panel Decision, Summary Impositions of 

Fines and Other Summary Actions................................................................................... 89

Rule 6016 Summary Imposition of Fines........................................................................................... 92

Rule 6017 Warning Letters ................................................................................................................ 93

Rule 6018 Summary Access Denial Actions...................................................................................... 93

Rule 6019 Rights and Responsibilities after Suspension, Temporary Deactivation or 

Termination....................................................................................................................... 93

Rule 6020 Notice to the Respondent, the Regulatory Services Provider and the Public; 

Effectiveness of Disciplinary and Access Denial Actions................................................ 94

Rule 6021 Costs ................................................................................................................................. 95

Rule 6022 Ex Parte Communications................................................................................................ 95

Rule 6023 [Reserved]......................................................................................................................... 96

Rule 6024 Extension or Waiver of the SEF Rules............................................................................. 96

Rule 6025 Effect of Amendment, Repeal or New SEF Rule ............................................................. 96

Rule 6026 [Reserved]......................................................................................................................... 96

Rule 6027 Governing Law, Jurisdiction and Dispute Resolution ...................................................... 96
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TP ICAP Classification: Public

Rule 6028 Limitation of Liability, Indemnity .................................................................................... 97

EMERGENCIES ....................................................................................................................100

Rule 7000 Emergency Rules............................................................................................................ 100

RECORDKEEPING AND REPORTING............................................................................102

Rule 8000 Maintenance of Books and Records by the SEF............................................................. 102

Rule 8001 Order Information........................................................................................................... 102

Rule 8002 Books and Records ......................................................................................................... 104

Rule 8003 Recordkeeping Requirements for Block Trades............................................................. 105

Rule 8004 Access to Position Information....................................................................................... 106

Rule 8005 Reporting to a Swap Data Repository............................................................................. 106

Rule 8006 Timely Publication of Trading Information.................................................................... 107

SYSTEM PROTOCOLS........................................................................................................108

Rule 9000 Voice RFQ System Protocol........................................................................................... 108

Appendix A ISDA Reporting Counterparty Rules

Appendix B tpSEF Inc. Swap Specifications

Appendix C tpSEF Inc. Risk Mitigation Procedures

Appendix D Appropriate Minimum Block Sizes 
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TP ICAP Classification: Public

SECTION 1

DEFINITIONS

Rule 1000 Definitions

Unless otherwise specifically provided in the SEF Rules or the context otherwise requires, the 

following terms have the meanings specified herein.

“Account Manager” means an investment manager or other Person acting in a similar capacity that 

(i) is not an individual, and (ii) acts as an agent and attorney-in-fact to transact Swaps via the SEF 

in the name and on behalf of a Client. An Account Manager may be a Participant, a Sponsored 

Participant or a Customer.

“Affected Person” has the meaning specified in Rule 3103.

“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.

“Affirm” means the process by which the counterparties to a Cleared Swap verify that they agree 

on the details of the transaction after execution on the SEF but prior to submission to the relevant 

DCO, which may be done by any means acceptable to the counterparties, including the use of an 

Affirmation Hub.

“Affirmation Hub” means a third-party service designated by the SEF to route Cleared Swaps to 

DCOs and which may provide Participants or Customers, as applicable, with the opportunity to 

Affirm the Cleared Swaps.

“Appeals Panel” means a panel appointed by the Chief Compliance Officer pursuant to Rule 6015.

“Applicable Law” means, with respect to any Person, any statute, law, regulation, rule or ordinance 

of any governmental or self-regulatory authority applicable to such Person, including (without 

limitation) these SEF Rules, any DCO Rule, the CEA and CFTC Regulations.

“Appropriate Minimum Block Size” means the minimum notional or principal amount established 

from time to time by the CFTC for a category of Swap that qualifies as a block trade pursuant to 

CFTC Regulation 43.6. The Appropriate Minimum Block Size is published by the CFTC or its 

designee from time to time in accordance with CFTC Regulations 43.6 and 43.7 and are included 

in Appendix D hereto.

“Approved SDR” has the meaning specified in Rule 8005(b).

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

Participant to represent the Participant in SEF matters pursuant to Rule 3113.

“Authorized Trader” means a Person who is appointed, employed or authorized by a Participant 

(or by a Sponsored Participant) and who has been assigned a User ID by the SEF. Each Authorized 

Trader: (i) must be a natural Person; (ii) must have been granted Trading Privileges with respect 

to the trading activities of a Participant (or Sponsored Participant); and (iii) must satisfy any other 
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TP ICAP Classification: Public

requirements as may be prescribed by the SEF from time to time. In the case of a Prime Broker 

Client, each Authorized Trader designated by such Prime Broker Client shall be considered an 

Authorized Trader of the Prime Broker Client and not of the relevant Prime Broker.

“Block Trade” means a Swap that: (i) has a notional or principal amount at or above the 

Appropriate Minimum Block Size applicable to such Swap; (ii) is executed pursuant to the SEF 

Rules and (x) in the case of an Uncleared Block Trade, occurs away from a SEF trading system or 

platform or (y) in the case of a Cleared Block Trade, is executed on a non-Order Book trading 

system or platform of the SEF in accordance with Rule 4016(j); and (iii) is a publicly reportable 

swap transaction that is reported subject to the SEF Rules and procedures of the SEF and Part 43 

of the CFTC Regulations.

“Board” means the board of directors of the SEF.

“Business Day” means a day on which the SEF is open for trading as provided on the SEF website.

“By-Laws” means the by-laws of the SEF.

“Cancellation Notice” has the meaning specified in Rule 4105(b)(2).

“CEA” means the Commodity Exchange Act, as amended.

“CFTC” means the U.S. Commodity Futures Trading Commission.

“CFTC Regulations” means the rules and regulations promulgated by the CFTC, as amended.

“Chief Compliance Officer” means the chief compliance officer of the SEF appointed pursuant to 

Rule 2201.

“Chief Executive Officer” or “CEO” means the chief executive officer of the SEF appointed by the 

Board pursuant to Rule 2200.

“Cleared Block Trade” means a Block Trade in a Cleared Swap.

“Cleared Swap” means (i) a Swap that is subject to the Clearing Requirement, or (ii) any Swap of 

a type that is accepted by a DCO for clearing that the parties have elected to submit for clearing, 

whether or not the particular Swap is accepted or rejected.

“Clearing Exception” means an exception to, or an exemption from, the Clearing Requirement, 

which exception or exemption is set forth in Section 2(h)(7) of the CEA, CFTC Regulations or any 

CFTC No-Action Letter.

“Clearing Exempt Transaction” means a Transaction that is not subject to the Clearing 

Requirement due to an election by one or more counterparties to use an available Clearing 

Exception.

“Clearing Firm” means a Clearing Member that provides clearing services to one or more 

Participants, Sponsored Participants, Clients or Customers and has either executed a Clearing Firm 
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TP ICAP Classification: Public

Agreement or in relation to which the relevant Participant, Sponsored Participant, Client, Customer 

and/or Clearing Member has provided the SEF with evidence or assurances satisfactory to the SEF 

of the existence and scope of the clearing services provided.

“Clearing Firm Agreement” means an agreement between the SEF and a Clearing Firm that 

includes (i) a list of the DCOs of which the Clearing Firm is a member, (ii) a list of the Persons 

for whom the Clearing Firm provides clearing services and (iii) if the Clearing Firm does not clear 

at all such DCOs for all such Persons, a per-Person list of the DCOs at which it does clear for such 

Person. The Clearing Firm shall be entitled to update this information in its sole discretion by 

written notice to the SEF and upon receipt of such notice, the SEF shall take such action necessary 

to effect the Clearing Firm’s modifications as promptly as practicable. For the avoidance of doubt, 

notwithstanding that such notice has not yet been provided or such modifications made, if the 

Clearing Firm has ceased to provide clearing services to a Person on any or all DCOs, the Clearing 

Firm may reject all such Person’s trades during the pre-execution credit check described in Rule 

4017.

“Clearing Member” means a member of a DCO that is authorized to clear Swaps for itself and/or 

for other Persons.

“Clearing Requirement” means the mandatory clearing requirement set forth in Section 2(h)(1)(A) 

of the CEA.

“Client” means a Person that granted in writing to an Account Manager investment discretion on 

behalf and in the name of such Person.

“Confirmation” means a written record of all the terms of a Transaction as required by Applicable 

Law.

“Contract” means any Swap listed for trading on the SEF.

“Correcting Transaction” has the meaning specified in Rule 4013.A.(f).

“Cross Transaction” a Permitted Cross Transaction or a Required Cross Transaction.

“Customer” means a Person for whom an Introducing Broker, as agent, (i) enters Orders and/or 

engages in Transactions on the SEF, and/or (ii) submits Uncleared Block Trades pursuant to the 

SEF Rules. A Customer may be a Participant acting through an Introducing Broker as agent in 

accordance with the foregoing sentence, including a Participant that is a Prime Broker Client acting 

through an Introducing Broker.

“Customer Type Indicator Code” has the meaning specified in Rule 8001(a).

“DCM” means a designated contract market as defined in CFTC Regulation 1.3.

“DCO” means a derivatives clearing organization as defined in Section 1a(15) of the CEA that is 

registered with, or has been exempted from registration by, the CFTC and that provides clearing 

services with respect to any Swaps traded on the SEF or pursuant to the SEF Rules.
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TP ICAP Classification: Public

“DCO Rules” means the relevant organizational documents of a DCO and any relevant 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 DCO.

“DDR” has the meaning specified in Rule 8005(b).

“Deal Management System” means the SEF’s back-end systems that facilitate post-trade 

processing and that can be used to execute Permitted Cross Transactions as described in Rule 4004.

“Directed Voice RFQ” means a voice RFQ conducted in accordance with Rule 4003.D(b)(2).

“Director” means any member of the Board.

“Disclosable Financial Interest” means the position information contained in CFTC Regulation 

1.69(b)(2)(iii)(A) – (E).

“Disciplinary Action” means any inquiry, investigation, disciplinary proceeding, appeal from a 

disciplinary proceeding, summary imposition of fines, summary suspension or other summary 

action.

“Disciplinary Offense” means any of the following violations, which, in each case, arises out of a 

proceeding or action that is brought by the SEF, a Self-Regulatory Organization, the CFTC or any 

federal or state agency or other governmental body:

(1) Any violation of the SEF Rules or the rules of a Self-Regulatory Organization, 

except those violations related to (i) decorum or attire, (ii) financial requirements 

or (iii) reporting or recordkeeping unless resulting in fines aggregating more than 

$5,000 within any calendar year;

(2) Any violation described in paragraph (1)(i) – (iii) immediately above that involves 

fraud, deceit or conversion or results in a suspension or expulsion;

(3) Any violation of the CEA or CFTC Regulations; or

(4) Any failure to exercise supervisory responsibility with respect to acts described in 

paragraphs (1) – (3) immediately above when such failure is itself a violation of the 

SEF Rules, the rules of a Self-Regulatory Organization, the CEA or the CFTC 

Regulations.

“Disciplinary Panel” means the panel appointed by the Chief Compliance Officer to act in an 

adjudicative role and fulfill various adjudicative responsibilities and duties described in Section 6 

of the SEF Rules.

“Displayed Order” has the meaning specified in Rule 4011(a)(2).

“ECP” means an “eligible contract participant” as defined in Section 1a(18) of the CEA and CFTC 

Regulations thereunder.
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TP ICAP Classification: Public

“Emergency” means any occurrence or circumstance that, in the opinion of the Board and/or the 

CEO (or, if the CEO is not available, the most senior Officer that is available), 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 DCO, including, without 

limitation, the following:

(1) any manipulative or attempted manipulative activity;

(2) any actual, attempted or threatened corner, squeeze, congestion or undue 

concentration of positions in a Swap or any related asset;

(3) any circumstance that 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;

(4) any action taken by any governmental body, or any other registered entity, board 

of trade, market or facility that may have a direct impact on trading or clearing and 

settlement of, or the legality or enforceability of, any Swap;

(5) the imposition of any injunction or other restraint by any government agency, court 

or arbitrator upon a DCO which may affect the ability of a DCO to perform on a 

Swap;

(6) any circumstance that may have a severe, adverse impact upon the functions and 

facilities of the SEF, including, but not limited to, acts of God, fire, flood or other 

natural disasters, bomb threats, acts of terrorism or war, severely inclement weather 

or failure or malfunction of all or a portion of the SEF, or other system breakdowns 

or interruptions such as power, computer, communication or transportation systems 

or the Internet;

(7) any circumstance in which it appears to the Board and/or the CEO (or, if the CEO 

is not available, the most senior Officer that is available) that a DCO or any other 

Person:

(i) has failed to perform on a Swap;

(ii) is insolvent; or

(iii) is in a financial or operational condition or is conducting business such that 

(A) the DCO cannot be permitted to continue to clear Swaps transacted on 

the SEF or pursuant to the SEF Rules without jeopardizing the safety of 

Participants, the SEF or any other Person or (B) the Person cannot be 

permitted to continue to transact business on the SEF without jeopardizing 

the safety of Participants, the SEF, any DCO or any other Person; or

(8) any other circumstance that may have a severe, adverse effect upon the functioning 

of the SEF.
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TP ICAP Classification: Public

“Emergency Action” means any action taken in accordance with Rule 7000 by the SEF, the Board, 

any committee of the Board, the CEO or any other Officer in response to an Emergency, including, 

without limitation, any of the following actions:

(1) suspending or curtailing trading or limiting trading (in whole or in part);

(2) ordering the fixing of a settlement price, or the reduction of positions;

(3) extending, limiting or changing the Trading Hours;

(4) temporarily modifying or suspending any provision of the SEF Rules or 

Obligations;

(5) imposing or modifying price limits;

(6) altering any contract’s settlement terms or conditions;

(7) imposing or modifying position limits; and/or

(8) ordering any other action or undertaking to address or relieve the Emergency.

“Emergency Rules” has the meaning specified in Rule 7000.

“Error” has the meaning specified in Rule 5103.C.

“Exchange Act” means the Securities Exchange Act of 1934, as amended.

“Executed Anonymously” means a Swap that is pre-arranged or pre-negotiated anonymously, 

including by a participant of the SEF.

“Execution Specialist” means a SEF employee responsible for assisting Participants and Sponsored 

Participants (and any of their Supervised Persons) in entering on the SEF Orders and Transactions, 

issuing and responding to RFQs, and receiving reports of Uncleared Block Trades.

“Family Relationship” means, with respect to any natural person, such natural person’s spouse, 

former spouse, parent, stepparent, child, stepchild, sibling, stepbrother, stepsister, grandparent, 

grandchild, uncle, aunt, nephew, niece or in-law.

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

“FCM” means futures commission merchant as defined under Section 1a(28) of the CEA and 

CFTC Regulation 1.3.

“Government Agency” means any governmental entity, body or agency of any government 

(including the United States, a state or foreign government).

“Instrument Reference Price” has the meaning specified in Rule 4003.B.(d)(1)(ii).

“Interested Person” has the meaning specified in Rule 2500(a).
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TP ICAP Classification: Public

“Intermediary” means any person that enters Orders, issues and responds to RFQs, submits Block 

Trades, accesses a Trading Platform or executes transactions in Contracts on behalf of one or more 

Customers, including without limitation, any FCM, Introducing Broker or commodity trading 

adviser registered with the Commission.

“Introducing Broker” is a Participant that (i) is a registered or exempt FCM or introducing broker 

(as defined in Section 1a(31) of the CEA and CFTC Regulation 1.3), and (ii) enters Orders or 

engages in Transactions on the SEF, and/or submits Uncleared Block Trades pursuant to the SEF 

Rules, on behalf of one or more Customers.

“Investigation Report” means any written report of investigation prepared by the Market 

Regulation Department.

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

“ISDA Reporting Counterparty Rules” means the rules identified in Appendix A hereto, as may be 

amended from time to time, for establishing a Reporting Counterparty under the circumstances 

where CFTC Regulation 45.8 does not determine a Reporting Counterparty (for example, because 

both counterparties are Swap Dealers or both counterparties are Major Swap Participants) as 

published by ISDA under the title “Dodd Frank Act – Swap Transaction Reporting Party 

Requirements” as such rules may be amended, restated, supplemented or otherwise modified or 

replaced from time to time.

“ISV” means independent software vendor.

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

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

Regulations thereunder.

“Managed Order” shall have the meaning set forth in Rule 4003.D(b)(4).

“Market Regulation Department” means the department within the SEF managed and overseen by 

the Chief Compliance Officer that regulates compliance with the SEF Rules. For purposes of the 

SEF Rules, Market Regulation Department may, as applicable, also include any Regulatory 

Services Provider pursuant to a Regulatory Services Agreement.

“MAT/Agency MBS Package Transactions” has the meaning set forth in CFTC No-Action Letter 

14-137.

“MAT/Futures Package Transactions” has the meaning set forth in CFTC No-Action Letter 20-

31.

“MAT/MAT Cleared Package Transaction” means a Package Transaction, all components of 

which are made available to trade and which is not a Clearing Exempt Transaction.

“MAT/New Issuance Bond Package Transactions” has the meaning set forth in CFTC No-Action 

Letter 20-31.
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TP ICAP Classification: Public

“MAT/Non-CFTC Swap Package Transactions” has the meaning set forth in CFTC No-Action 

Letter 20-31.

“MAT/Non-MAT Cleared Package Transactions” has the meaning set forth in CFTC No-Action 

Letter 15-55.

“MAT/Non-MAT Uncleared Package Transactions” has the meaning set forth in CFTC No-Action 

Letter 20-31.

“MAT/Non-Swap Instruments Package Transactions” has the meaning set forth in CFTC NoAction Letter 20-31, and shall, for the avoidance of doubt, exclude (1) U.S. Dollar Swap Spreads; 

(2) MAT/Futures Package Transactions; (3) MAT/Agency MBS Package Transactions; and (4) 

MAT/New Issuance Bond Package Transactions.

“Material Adverse Change” means a significant event that negatively affects the subject 

referenced.

“Material Conflict of Interest” has the meaning specified in Rule 2500(a).

“Member” has the meaning specified in Section 1a(34) of the CEA and CFTC Regulation 1.3, and

shall include for purposes of the SEF Rules all Participants (including Sponsoring Participants) 

and all Sponsored Participants.

“Membership Interests” means financial institutions that vary as to their jurisdiction of 

organization, size, registration and regulatory status, primary business and business model.

“Named Party in Interest” means a Person that is identified by name as a subject of any matter 

being considered by the Board, any committee established by the Board (including the Regulatory 

Oversight Committee) or any SEF Panel.

“NFA” means the National Futures Association.

“Non-Directed Voice RFQ” means a voice RFQ conducted in accordance with Rule 4003.D(b)(1).

“Non-Self-Clearing” means, with respect to a DCO and any particular Swap, a Participant,

Sponsored Participant, Client or Customer that is not a Clearing Member with respect to the related 

DCO and Swap.

“Notice of Charges” has the meaning specified in Rule 6005(a).

“Notice to Participants” has the meaning specified in Rule 3108.

“Obligation” means any and all duties and/or responsibilities arising under each SEF Rule, order 

or procedure issued by the SEF (including Notices to Participants) and other requirements 

implemented by the SEF under the SEF Rules, including the terms and conditions of each Swap, 

as well as any contractual obligations between a Participant and the SEF.
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TP ICAP Classification: Public

“Off-Book Ticket Functionality” means the functionality provided within the OMS that allows for 

the execution of Permitted Cross Transactions away from the Order Book. This functionality is 

available to market participants only for Transactions in the Rates asset class and for Transactions 

that are non-deliverable forwards.

“Officer” has the meaning specified in Rule 2200.

“Offsetting Transaction” has the meaning specified in Rule 4013.A.(f).

“Order” means a firm bid or offer for a Swap.

“Order Book” means the trading systems operated by the SEF in which any Participant or any 

market participant acting through a Participant has the ability to enter multiple bids and offers, 

observe or receive bids and offers entered by other Participants, and transact on such bids and 

offers. All bids and offers on the Order Book shall be Orders (i.e., firm bids or offers and not 

indications of interest or indicative quotes), and all Orders shall be displayed on the Order Book 

on an anonymous basis. Any market participant who wishes to connect to and use the Order Book 

may choose to do so, as more fully described in Rule 4003.B. The Order Book is available for all 

Swaps listed for trading by the SEF.

“Order Book Waiver” has the meaning specified in Rule 4003.B.(f)(2).

“Order Management System” or “OMS” means the SEF’s front-end system that houses the Order 

Book, as well as the SEF’s Off-Book Ticket Functionality. Market participants may connect to the 

OMS via a graphical user interface (GUI) or an application program interface (API), which allows 

third-party trading systems to interact with the OMS.

“Package Transaction” means a transaction involving two or more instruments: (1) that is 

executed between two or more counterparties; (2) that is priced or quoted as one economic 

transaction with simultaneous or near simultaneous execution of all components; (3) that has at 

least one component that is a Swap that is a Required Transaction; and (4) where the execution of 

each component is contingent upon the execution of all other components. No Swap is prohibited 

from being executed on the SEF by virtue of its being part of a Package Transaction. The categories 

of Package Transactions currently executed on the SEF are: (i) MAT/MAT Cleared Package 

Transactions; (ii) MAT/Non-MAT Cleared Package Transactions; and (iii) MAT/Non-MAT 

Uncleared Package Transactions. The categories of Package Transactions currently facilitated by 

the SEF are: (i) MAT/Non-Swap Instruments Package Transactions (MAT/Bonds only); (ii) US 

Dollar Swap Spreads; and (iii) MAT/Futures Package Transactions (MAT/Eurodollar Futures 

only). Such facilitation is done by the SEF’s providing an execution venue for the Swap legs and 

reference price information regarding the non-Swap legs. The reference price is made available to 

Participants for informational purpose only. The SEF does not execute the non-Swap legs of 

Package Transactions; the counterparties to any Package Transaction involving a non-Swap 

component must execute such non-Swap component away from the SEF.

“Package Transaction (Order Book Exempt)” is a Package Transaction for which the CFTC has 

granted currently-effective no-action relief or an exception or exemption from the requirements of 

Section 2(h)(8) of the CEA and/or CFTC Regulation 37.9. Pursuant to CFTC No-Action Letter 

20-31, the following are Package Transactions (Order Book Exempt) until 11:59 p.m. (Eastern 
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TP ICAP Classification: Public

Time) on November 15, 2022: (a) MAT/New Issuance Bond Package Transactions; (b) 

MAT/Futures Package Transactions; (c) MAT/Non-MAT Uncleared Package Transactions; (d) 

MAT/Non-Swap Instruments Package Transactions; and (e) MAT/Non-CFTC Swap Package 

Transactions. If any such no-action relief is extended, upon and to the extent of such extension, 

the relevant Package Transaction will continue to be a Package Transaction (Order Book Exempt) 

for purposes of the SEF Rules.

“Participant” means any Person, other than an ISV, that has been admitted by the SEF as a 

“Participant” and that has been granted, and continues to have, Trading Privileges.

“Participation Criteria” means the criteria set forth in Rule 3000(a).

“Permitted Cross Transaction” means a Permitted Transaction submitted to the SEF for execution 

either directly or via an Execution Specialist following some form of permitted pre-arrangement 

or pre-negotiation between or among the parties.

“Permitted Transaction” shall have the meaning provided in CFTC Regulation 37.9(c)(1).

“Person” means a natural person or an entity.

“Personal Information” means personally identifiable information or data concerning or relating 

to a Person’s employees, customers or prospective customers.

“Prime Broker” means a Participant that has authorized a Prime Broker Client to place Prime 

Brokerage Orders and execute Prime Broker Transactions on the SEF in the name of and on behalf 

of such Participant and that has been accepted by the SEF to act in such capacity.

“Prime Broker Acknowledgement Letter” shall have the meaning set forth in Rule 4105(b)(1).

“Prime Broker Client” means a Participant that has been identified by a Prime Broker in a Prime 

Broker Acknowledgment Letter to place Prime Brokerage Orders on the SEF and to execute Prime 

Broker Transactions in the name of and on behalf of such Prime Broker.

“Prime Broker Limit” means any limit, term or trading parameter established by a Prime Broker 

in respect of a Prime Broker Client, including credit limits and any categories of permissible 

Uncleared Swaps.

“Prime Broker Transaction” means a Permitted Cross Transaction in an Uncleared Swap executed 

on the SEF pursuant to Rule 4105 where one counterparty is a Prime Broker and the other is a 

Person (which may also be a Prime Broker) with which the Prime Broker has swap trading 

relationship documentation in place in accordance with the requirements of Rule 4013.B.

“Prime Brokerage Order” means an Order for a Prime Broker Transaction.

“Proprietary Data” means, with respect to any Person, any information that separately discloses 

business transactions, market positions or trade secrets of such Person.
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TP ICAP Classification: Public

“Public Director” means any Director who qualifies as a “Public Director” within the meaning of 

the By-Laws.

“Recipient” means a Participant who is a recipient of an RFQ.

“Regulatory Oversight Committee” or “ROC” means the committee described in Rule 2401.

“Regulatory Services Agreement” means the agreement(s) between the SEF and Regulatory 

Services Provider(s), under which market surveillance and trade practice surveillance functions 

are delegated to the Regulatory Services Provider.

“Regulatory Services Provider” means the organization, if any, which provides regulatory services 

to the SEF pursuant to a Regulatory Services Agreement. The SEF’s Regulatory Services Provider 

is currently the NFA.

“Related Party” has the meaning given in Rule 6028.

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

“Request for Quote” or “RFQ” means a request by one Participant to at least such minimum 

number of Participants as may be required by CFTC Regulations from time to time for a market 

quote that shall constitute an Order.

“Required Cross Transaction” means a Required Transaction (other than a Block Trade or Package 

Transaction (Order Book Exempt)) (x) in which a Participant acting as a broker or dealer seeks to 

either execute against its Customer’s Order or execute two of its customers’ Orders against each 

other, and (y) that is submitted for execution on the Order Book, either directly or via an Execution 

Specialist, following some form of permitted pre-arrangement or pre-negotiation.

“Required Transaction” shall have the meaning provided in CFTC Regulation 37.9(a)(1), as may 

be amended from time to time.

“Resting Quote” means any firm bid or offer displayed on the Order Book of the SEF.

“Review Panel” means a panel responsible for determining whether a reasonable basis exists for 

finding a violation of the SEF Rules or other provision of Applicable Law for which the SEF has 

disciplinary jurisdiction, and for authorizing the issuance of notices of charges against Persons 

alleged to have committed violations if the Review Panel believes that the matter should be 

adjudicated.

“Risk Mitigation Sessions” has the meaning specified in Rule 4018.

“Rule” or “Rules” means the rules, resolutions, interpretations, statements of policy, decisions, 

directives and orders of the SEF (including this Rulebook).

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

“SEF” means the swap execution facility operated by tpSEF Inc. or any successor thereto.
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TP ICAP Classification: Public

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

Regulatory Services Provider or any individual rendering similar services to the SEF under an 

administrative or similar agreement.

“SEF Panel” means any Review Panel, Disciplinary Panel, Appeals Panel or any other disciplinary 

or oversight panel of the SEF and any subcommittee thereof.

“SEF Proceeding” and “SEF Proceedings” means any inquiry, investigation, disciplinary 

proceeding or any appeal from a disciplinary proceeding, summary suspension or other summary 

actions.

“SEF Rules” means the rules of the SEF as set forth herein, as may be amended from time to time 

by the SEF.

“Self-Clearing” means, as to any DCO and Swap, a Participant, Sponsored Participant, Client or 

Customer that is a Clearing Member of the relevant DCO with respect to such Swap.

“Self-Regulatory Action” means an Emergency Action or a SEF Proceeding.

“Self-Regulatory Organization” means the Financial Industry Regulatory Authority, the NFA or 

any other self-regulatory organization under the CFTC Regulations or the rules and regulations of 

the SEC.

“Significant Action” has the meaning specified in CFTC Regulation 1.69(a)(8).

“Sponsored Participant” means a third-party ECP that is extended Trading Privileges by a 

Sponsoring Participant pursuant to Rule 3110.

“Sponsoring Participant” means a Participant that extends Trading Privileges to a Sponsored 

Participant pursuant to Rule 3110.

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

Participant or Sponsored Participant.

“Swap” means any “swap” as defined in CEA Section 1a(47) and CFTC Regulation 1.3 that has 

been listed for trading on the SEF.

“Swap Data Repository” or “SDR” has the meaning set forth in Section 1a(48) of the CEA.

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

“Swap Specification” means, with respect to any Swap, the specifications for such Swap as set 

forth in Appendix B hereto, including any materials incorporated by reference therein.

“System Protocol” means the terms from time to time in force upon which a Participant may access 

a specific Trading Platform, including any supplemental written guidelines provided by the SEF

to the Participant, as amended from time to time. The System Protocols shall be posted on the 
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TP ICAP Classification: Public

SEF’s website. In the event of any inconsistency between the provisions of any System Protocol 

and the Rules, the terms of the System Protocol shall prevail.

“TAS Cross Transaction” has the meaning given in Rule 4003.C.(a).

“Terms Incorporated by Reference” has the meaning given in Rule 4012.

“tpSEF Risk Mitigation Procedures” means the SEF’s procedures for Risk Mitigation Sessions, 

which are attached hereto as Appendix C.

“Trade Communication” has the meaning given in Rule 4012.

“Trading Hours” means, for any Business Day, the hours specified in Rule 4000.A. below.

“Trading Platform” means any of the separate electronic central limit order books and other 

systems administered by or on behalf of the SEF for the trading of Contracts pursuant to specific 

System Protocols for each such system.

“Trading Privileges” means the right granted to a Participant by the SEF, or extended to a 

Sponsored Participant by a Sponsoring Participant, to issue and respond to RFQs or use the SEF 

for execution of Swaps, in each case acting through one or more Authorized Traders.

“Transaction” means any Swap transacted on the SEF in accordance with the SEF Rules or, in the 

case of an Uncleared Block Trade, transacted away from a SEF trading system or platform in 

accordance with the SEF Rules.

“Uncleared Block Trade” means a Block Trade other than a Cleared Block Trade.

“Uncleared Swap” means a Swap other than a Cleared Swap.

“Untraded Initiator” shall have the meaning set forth in Rule 9000(d)(2)(i)(B).

“User ID” means a unique identifier issued to each Authorized Trader of a Participant that enables 

the SEF to identify the individual.

“U.S. Dollar Swap Spreads” has the meaning set forth in CFTC No-Action Letter 15-55.

“U.S. Treasury Security” means a bond, note, bill or other evidence of indebtedness issued by the 

United States Treasury.

“USI” means a unique swap identifier created by the SEF pursuant to Part 45 of the CFTC 

Regulations.

“Waiting Order” has the meaning specified in Rule 4011(a)(2).
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TP ICAP Classification: Public

SECTION 2

SEF GOVERNANCE

Rule 2000 The SEF

The SEF is a corporation organized under the laws of the state of Delaware. The By-Laws of the 

SEF govern the management and operation of the SEF.

BOARD

Rule 2100 Board

(a) The Officers shall manage the day-to-day business operations of the SEF. The Board has 

the power and authority to oversee, and to affirm, modify, suspend or overrule, any and all 

decisions and actions of any committees of the Board or any panel of Officers related to 

the day-to-day business operations of the SEF.

(b) The Board will determine which Swaps are available from time to time for trading subject 

to the SEF Rules, and will approve specifications for such Swaps; provided that the Board 

may delegate the authority to approve such rules to a SEF committee or to one or more 

Officers of the SEF; provided, further, that certifications or applications with respect to 

such rules will be submitted to the CFTC as required by the CEA and any regulations 

thereunder.

(c) The Board may act only by the decision of an absolute majority in number of the Directors 

by vote at a meeting, by unanimous written consent without a meeting, or as otherwise set 

forth in the By-Laws. In the event of an Emergency, which in the judgment of the CEO 

(or, if the CEO is not available, the most senior Officer that is available) requires immediate 

action, a special meeting of the Board may be convened without notice, consisting of those 

Directors who are immediately available in person or by telephone and can be joined in the 

meeting in person or by conference telephone. The actions taken at such a meeting shall be 

effective if at least a quorum of the Directors participates either personally or by conference 

telephone.

(d) At all times, at least 35% of the Directors shall be Public Directors. Each Director 

(including Public Directors) shall be appointed in accordance with the By-Laws and shall 

serve until his or her successor is duly appointed or until his or her earlier resignation or 

removal, with or without cause. The Directors shall include members who have had 

relevant experience in some capacity (whether as a current or former employee, officer, 

director, principal, consultant, advisor, service provider or otherwise) working with or for 

a diversity of Membership Interests.

(e) Each Director is entitled to indemnification pursuant to the By-Laws with respect to matters 

relating to the SEF.

(f) To qualify as a Director, an individual must meet the qualifications for directors set forth 

in the By-Laws, and to qualify as a Public Director, an individual must meet the 

qualifications for “Public Directors” set forth in the By-Laws.
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TP ICAP Classification: Public

(g) Without limitation of any other provisions of this Rule 2100, the provisions of Article III 

of the By-Laws shall be deemed to be part of the SEF 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.

OFFICERS

Rule 2200 Officers

(a) The Board shall appoint a Chief Executive Officer and such other officers of the SEF (each 

of the foregoing, an “Officer,” and collectively, the “Officers”) as it may deem necessary 

or appropriate from time to time, in accordance with and as required by the By-Laws.

(b) Any Officer may also be a director, officer, partner or employee of the SEF or any of its 

Affiliates.

(c) The Officers shall have such powers and duties in the management of the SEF as the Board 

may prescribe from time to time.

(d) Each Officer is entitled to indemnification pursuant to the By-Laws with respect to matters 

relating to the SEF.

Rule 2201 Chief Compliance Officer

(a) Either the Board or the Chief Executive Officer shall appoint a Chief Compliance Officer. 

The Board shall approve the compensation of the individual appointed as Chief 

Compliance Officer. Removal of the Chief Compliance Officer shall require the approval 

of a majority of the Board. The SEF 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 (2) Business Days of such removal and appointment.

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

(1) overseeing and reviewing the SEF’s compliance with Applicable Law, including, 

without limitation, Section 5h of the CEA and related CFTC Regulations;

(2) enforcing the SEF Rules;

(3) in consultation with the CEO and such others, including, without limitation, the 

Board and/or the Regulatory Oversight Committee, as deemed appropriate and 

necessary, resolving any conflicts of interest that may arise, including: (i) conflicts 

between business considerations and compliance requirements; (ii) conflicts 

between business considerations and the requirement that the SEF provide fair, 

open and impartial access as set forth in the CFTC Regulations; and (iii) conflicts 

between the SEF’s management and members of the Board;

(4) establishing and administering requisite written policies and procedures reasonably 

designed to prevent violations of the CEA and CFTC Regulations;
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TP ICAP Classification: Public

(5) taking reasonable steps to ensure compliance with the CEA and CFTC Regulations;

(6) establishing procedures for the remediation of noncompliance issues identified by 

the Chief Compliance Officer through compliance office reviews, look-backs, 

internal or external audit findings, self-reported errors or validated complaints;

(7) establishing and following appropriate procedures for the handling, management 

response, remediation, retesting and closing of noncompliance issues;

(8) establishing and administering a compliance manual designed to promote 

compliance with Applicable Law and a written code of ethics designed to prevent 

ethical violations and to promote honesty and ethical conduct;

(9) supervising the SEF’s self-regulatory program with respect to trade practice 

surveillance, market surveillance, real-time market monitoring, compliance with 

audit trail requirements, enforcement and disciplinary proceedings, audits, 

examinations and other regulatory responsibilities with respect to Participants, 

Customers, Clients and other market participants (including seeking to ensure 

compliance with, if applicable, financial integrity, financial reporting, sales 

practice, recordkeeping and other requirements);

(10) supervising the effectiveness and sufficiency of any regulatory services provided 

to the SEF by a Regulatory Services Provider; and

(11) preparing and filing the annual compliance report as required under the CEA and 

applicable CFTC Regulations.

(c) The Chief Compliance Officer shall have available to him or her at all times the authority 

and the resources of the Market Regulation Department and such other resources as may 

be necessary to develop and enforce policies and procedures necessary to fulfill the duties 

set forth for chief compliance officers of swap execution facilities in the CEA and the 

CFTC Regulations. The Chief Compliance Officer shall have supervisory authority over 

all staff of the Market Regulation Department and all other compliance staff.

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

Officer shall have the authority to inspect the books and records of all Participants and the 

authority to require any Participant to appear before him or her and produce its books and 

records and answer questions regarding alleged violations of the SEF Rules or other 

provision of Applicable Law for which the SEF has disciplinary jurisdiction, at the time, 

place and in the manner it designates. The Chief Compliance Officer may also delegate 

such authority to staff of the Market Regulation Department and/or the Regulatory Services 

Provider.
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TP ICAP Classification: Public

QUALIFICATIONS

Rule 2300 Qualification of Chief Compliance Officer

(a) The Chief Compliance Officer shall have the background and skills appropriate for 

fulfilling the responsibilities of the position.

(b) The Chief Compliance Officer may not be disqualified from registration pursuant to 

Section 8a(2) or (3) of the CEA.

Rule 2301 Qualifications of Directors, Panel Members, Committee Members and 

Officers

(a) A Director or Officer must meet the qualifications set forth from time to time in the ByLaws.

(b) An individual may not serve as a Director or an Officer, hold a 10% or more ownership 

interest in the SEF or serve on a committee established by the Board (including the 

Regulatory Oversight Committee) or any SEF Panel if the individual:

(1) within the prior three (3) years has been found by a final decision of the SEF, a 

Self-Regulatory Organization, an administrative law judge, a court of competent 

jurisdiction or a Government Agency to have committed a Disciplinary Offense;

(2) 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;

(3) is currently suspended from trading on a DCM, is 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:

(i) a finding of a Disciplinary Offense by a final decision of the SEF, a SelfRegulatory Organization, an administrative law judge, a court of competent 

jurisdiction or a Government Agency; or

(ii) 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;

(4) is currently subject to an agreement with a Government Agency, the SEF or a SelfRegulatory Organization not to apply for registration with the Government Agency 

or for membership in the SEF or the Self-Regulatory Organization;

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

suspension of registration by the CFTC for any reason;

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

CEA; or
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TP ICAP Classification: Public

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

disciplinary committee, arbitration panel or governing board of any self-regulatory 

organization as that term is defined in Section 3(a)(26) of the Exchange Act.

(c) Any Director, Officer, member of a committee established by the Board, any SEF Panel 

member, 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 Chief Executive Officer or the Chief Compliance Officer if such individual meets one 

or more of the criteria in Rule 2301(b).

(d) For purposes of Rule 2301(b), the terms “final decision” and “settlement agreement” have 

the meanings set forth in CFTC Regulation 1.63(a).

BOARD COMMITTEES

Rule 2400 [Reserved]

Rule 2401 Regulatory Oversight Committee

(a) The Regulatory Oversight Committee of the Board shall be composed entirely of Public 

Directors appointed by the Board.

(b) Each member of the Regulatory Oversight Committee shall serve for a term of two (2) 

calendar years from the date of his or her appointment or until such Person ceases to be 

Public Director or until removed from the ROC by the Board. A member of the Regulatory 

Oversight Committee may serve for multiple terms.

(c) The Regulatory Oversight Committee shall oversee the SEF’s regulatory program 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. It shall make such recommendations to the Board that, in its judgment, will best 

promote the interests of the SEF. The Regulatory Oversight Committee shall also have 

such other powers and perform such other duties as set forth in the SEF Rules and as the 

Board may delegate to it from time to time.

(d) Without limiting the generality of the foregoing, the Regulatory Oversight Committee shall 

have authority to:

(1) monitor the regulatory program of the SEF for sufficiency, effectiveness, and 

independence; and

(2) oversee all facets of the regulatory program.

(e) The Regulatory Oversight Committee reports to the Board.
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TP ICAP Classification: Public

CONFLICTS OF INTEREST AND CONFIDENTIAL INFORMATION

Rule 2500 Conflicts of Interest Relating to Self-Regulatory Actions

(a) A Director, Officer, SEF Panel member or other Person authorized to exercise the SEF’s 

authority concerning a Self-Regulatory Action who has a Material Conflict of Interest 

between (i) his or her exercise of authority concerning a Self-Regulatory Action, and (ii) 

his or her personal interests (each, an “Interested Person”), may not (x) participate in any 

deliberations or vote of the Board (which includes for purposes hereof a Board committee) 

or SEF Panel, or (y) exercise any authority, with respect to the Self-Regulatory Action 

involving his or her personal interest, except as described below.

For purposes of this Rule 2500, a Director, Officer, SEF Panel member or other Person has 

a “Material Conflict of Interest” when such Director, Officer, SEF Panel member or other 

Person:

(1) is named as a respondent or potential respondent or a witness or potential witness 

in a Self-Regulatory Action;

(2) is an employer, employee, fellow employee or an Affiliate of a respondent or 

potential respondent or a witness or potential witness in the Self-Regulatory Action;

(3) has any significant, ongoing business relationship with a respondent or potential 

respondent or a witness or potential witness in the Self-Regulatory Action;

(4) has a Family Relationship with a respondent or potential respondent or a witness or 

potential witness in a Self-Regulatory Action (including the individual’s spouse, 

co-habitator, former spouse, parent, stepparent, child, step child, sibling, 

stepbrother, stepsister, grandparent, grandchild, uncle, aunt, nephew, niece, fatherin-law, mother-in-law, brother-in-law or sister-in-law); and/or

(5) is involved in any other circumstance that gives rise to a conflict between the 

Director’s, Officer’s, panel member’s or other Person’s exercise of authority 

concerning a Self-Regulatory Action and his or her personal interests.

(b) Before considering any Self-Regulatory Action, an Interested Person, or a Director, 

Officer, SEF Panel member or other Person authorized to exercise the SEF’s authority 

concerning a Self-Regulatory Action that believes he or she is or may be an Interested 

Person, must disclose in writing to the Board the material facts concerning his or her 

relationship or interest in the matter. Following such disclosure, the Board shall determine 

whether any Person that believes he or she is or may be an Interested Person actually is an 

Interested Person. Notwithstanding any contrary determination by the Board, any Person 

that believes he or she is or may be an Interested Person may recuse himself or herself from 

deliberations and voting or the exercise of authority pursuant to Rule 2500(a) above upon 

his or her election.

(c) Any Interested Person who would be required otherwise to abstain from deliberations and 

voting or the exercise of authority pursuant to Rule 2500(a) above as a result of having 
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TP ICAP Classification: Public

Material Conflict of Interest may participate in deliberations, prior to a vote on the matter, 

if:

(1) the material facts about the Interested Person’s interest in the matter are disclosed 

or known to the Board or SEF Panel;

(2) the Board determines that the participation by the Interested Person would be 

consistent with the public interest; and

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

Interested Person to participate in deliberations on the matter.

(d) If a determination is made pursuant to Rule 2500(c) 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.

(e) If a determination is made that all Directors are Interested Persons with respect to a matter 

subject to a vote by the Board, the Chief Executive Officer (unless the Chief Executive 

Officer is an Interested Person, in which case the most senior Officer who is not an 

Interested Person) 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.

Rule 2501 Voting by Interested Parties

(a) Relationship with Named Party in Interest.

(1) A member of the Board, any committee established by the Board (including the 

ROC) or any SEF Panel must abstain from such body’s deliberations and voting on 

any matter involving a Named Party in Interest where such member:

(i) is a Named Party in Interest;

(ii) is an employer, employee or fellow employee of a Named Party in Interest; 

(iii) is associated with a Named Party in Interest through a “broker association” 

as defined in CFTC Regulation 156.1;

(iv) has any other significant, ongoing business relationship with a Named Party 

in Interest, not including relationships limited to executing futures or option 

transactions opposite of each other or to clearing futures or option 

transactions through the same clearing member; or

(v) has a Family Relationship with a Named Party in Interest.

(2) Prior to the consideration of any matter involving a Named Party in Interest, each 

member of the Board, any committee established by the Board (including the ROC) 
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or any SEF Panel must disclose to the Chief Compliance Officer whether he or she 

is a Named Party in Interest or has one of the relationships listed in Rule 

2501(a)(1)(ii)-(v) above with a Named Party in Interest.

(3) The following procedure will apply with respect to any matter involving a Named 

Party in Interest under this Rule 2501:

(i) In its sole discretion, the Chief Compliance Officer, in consultation with the 

ROC (excluding any potentially interested members of the ROC), shall 

determine whether any member of the Board, any committee established by 

the Board (including the ROC) or a SEF Panel is required to abstain from 

deliberations and voting on the matter.

(ii) The determination of the Chief Compliance Officer will take into 

consideration the exigency of the matter and shall be based upon: (x) 

information provided by the member pursuant to Rule 2501(a)(2), and (y) 

any other source of information that is held by and reasonably available to 

the SEF.

(4) Notwithstanding any contrary determination made in accordance with Rule 

2501(a)(3), any Person that believes he or she is or may be a Named Party in Interest 

or has or may have one of the relationships listed in Rule 2501(a)(1)(ii)-(v) above 

with a Named Party in Interest may recuse himself or herself from deliberations 

and voting on the relevant matter involving a Named Party in Interest.

(b) Financial Interest in Significant Action.

(1) A member of the Board, any committee established by the Board (including the 

ROC) or any SEF Panel must abstain from such body’s deliberations and voting on 

any Significant Action if the member knowingly has a direct and substantial 

financial interest in the result of the vote based upon either exchange or nonexchange positions that could reasonably be expected to be affected by the action.

(2) Prior to the consideration of any Significant Action, each member of the Board, any 

committee established by the Board (including the ROC) or any SEF Panel must 

disclose to Chief Compliance Officer any Disclosable Financial Interest that is 

known to such member. This requirement does not apply to members who choose 

to abstain from deliberations and voting on the subject Significant Action.

(3) The Chief Compliance Officer will independently require a member of the Board, 

any committee established by the Board (including the ROC) or any SEF Panel to 

abstain from both the deliberations and voting by the Board, committee or SEF 

Panel on any Significant Action if the Chief Compliance Officer, in consultation 

with the ROC (excluding any potentially interested members of the ROC),

determines that the member has a direct and substantial financial interest in the 

result of the vote. The determination of the Chief Compliance Officer must include 

a review of the member’s Disclosable Financial Interest, take into consideration the 

exigency of the Significant Action and should be based upon: (x) the most recent 
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large trader reports and clearing records available to the SEF; (y) information 

provided by the member with respect to any Disclosable Financial Interest pursuant 

to Rule 2501(b)(2); and (z) any other source of information that is held by and 

reasonably available to the SEF.

(4) The Board, any committee established by the Board (including the ROC) or any 

SEF Panel may permit a member to participate in deliberations prior to a vote on a 

Significant Action for which deliberations such member otherwise would be 

required to abstain, pursuant to this Rule 2501(b), if such participation would be 

consistent with the public interest and the member recuses himself or herself from 

voting on such action.

(5) In making a determination as to whether to permit a member to participate in 

deliberations on a Significant Action for which such member otherwise would be 

required to abstain, the deliberating body shall consider the following factors:

(i) Whether the member’s participation in deliberations is necessary for the 

deliberating body to achieve a quorum in the matter, and

(ii) Whether the member has unique or special expertise, knowledge or 

experience in the matter under consideration.

Prior to making any such determination, the relevant deliberating body must fully 

consider the position information that is the basis for the member’s direct and 

substantial financial interest in the result of a vote on a Significant Action. 

(6) The Board, Board committees and SEF Panels must reflect in their minutes or 

otherwise document that the conflicts determination procedures required by this 

Rule 2501 have been followed. Such records also must include:

(i) The names of all members who attended the meeting in person or who 

otherwise were present by electronic means;

(ii) The name of any member who voluntarily recused himself or herself or was 

required to abstain from deliberations and/or voting on a matter and the 

reason for the recusal or abstention, if stated; and

(iii) Information on the position information that was reviewed for each 

member. 

Rule 2502 Restrictions on Certain Persons who Possess Confidential Information; 

Improper Use or Disclosure of Confidential Information

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

employee or consultant of the SEF shall use or disclose, either during his or her association 

with the SEF or thereafter, for any purpose other than the performance of his or her official 

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

or consultant any confidential information (including any material, non-public 
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information) obtained as a result of the individual’s duties and responsibilities as a 

Director, Officer, committee or panel member or employee or consultant. Any Director, 

Officer, committee or panel member or employee or consultant 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.

(b) Notwithstanding Rule 2500(a), a Director, Officer, member of any committee or panel 

established by the Board or employee or consultant of the SEF may disclose confidential 

information (i) in the course of his or her official duties; (ii) to any Self-Regulatory 

Organization, DCO, court of competent jurisdiction or representative of any agency or 

department of the federal or state government acting in his or her official capacity; (iii) if 

such information is or becomes a matter of public knowledge through no fault of the 

Director, Officer, member of any committee or panel established by the Board or employee 

or consultant; or (iv) as required pursuant to Applicable Law.

(c) No Director, Officer, or member of any committee or panel established by the Board, no 

employee of the SEF and no consultant to the SEF shall:

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

the basis of any material, non-public information obtained through the performance 

of such Person’s official duties;

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

duties, any confidential information obtained by such Person as a result of such 

Person’s official duties; provided, however, that this Rule shall not prohibit any 

disclosures that are expressly permitted pursuant to Rule 2502(b); or

(3) trade, directly or indirectly, in (i) any Swap traded on the SEF, (ii) any related 

commodity interest (as defined in CFTC Regulation 1.59(a)), or (iii) any 

commodity interest traded on any DCM or SEF or cleared by any DCO if such 

Person has access to material non-public information concerning such commodity 

interest.

SERVICE AGREEMENTS

Rule 2600 Services Agreement with a Regulatory Services Provider

(a) The SEF may enter into a Regulatory Services Agreement with a Regulatory Services 

Provider to perform certain surveillance, investigative, and regulatory functions under the 

SEF Rules and the SEF may provide information to the Regulatory Services Provider in 

connection with the performance of those functions.

(b) The SEF shall retain ultimate decision-making authority with respect to any functions that 

are contracted to a Regulatory Services Provider and shall remain responsible for the 

performance of any Regulatory Services received.
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Rule 2601 Services Agreement with Other Service Providers

The SEF, in its discretion, may enter into services agreements with service providers of its 

choosing to perform functions under the SEF Rules, and may provide information to such service 

providers in connection with the performance of those functions.

Rule 2602 Prohibited Use of Data Collected for Regulatory Purposes

The SEF will 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 unless the Person from whom it collects or receives such data or information 

clearly consents to the SEF’s use of such data or information in such manner by providing a 

separate signed consent prior to such use. The SEF will not condition access to its market(s) or 

market services on a Person’s consent to the SEF’s use of Proprietary Data or Personal Information 

for business or marketing purposes. The SEF, where necessary for regulatory purposes and as 

permitted by Applicable Law, may share such data or information with one or more DCOs, swap 

execution facilities or DCMs registered with the CFTC. In such an event, the SEF will request the 

DCO, swap execution facility or DCM to maintain the confidentiality of any such information in 

the same manner as the DCO, swap execution facility or DCM would protect its own proprietary 

data.
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SECTION 3

PARTICIPANT ACCESS RULES

QUALIFICATIONS

Rule 3000 Qualifications

(a) To be eligible for admission as a Participant, an applicant must satisfy the following criteria 

(the “Participation Criteria”):

(1) is an ECP;

(2) is of good reputation and business integrity;

(3) maintains adequate financial resources and credit, has adequate capacity to meet its 

financial obligations and has not filed for bankruptcy;

(4) if it is an entity, is validly organized, in good standing and authorized by its 

governing body and, if relevant, documents of organization, to act as a Participant 

and comply with its obligations under the SEF Rules and doing so will not violate 

any material agreement by which it is bound or require any consents not already 

obtained;

(5) is not prohibited from using the services of the SEF for any reason whatsoever;

(6) holds all registrations required under Applicable Law, including, without 

limitation, any introducing broker, futures commission merchant, and/or swap 

dealer registration (each as defined in the CEA and CFTC Regulations), and if 

required pursuant to Applicable Law, is a member of the NFA;

(7) is not subject to statutory disqualification under Section 8a(2) of the CEA; and

(8) satisfies any other criteria that the SEF may require from a Participant to enable the 

SEF to perform its responsibilities as a Self-Regulatory Organization, comply with 

Applicable Law or provide services, provided such criteria are impartial, 

transparent and applied in a fair and nondiscriminatory manner.

(b) Each Participant intending to trade Cleared Swaps for its own account must either be (i) 

Self-Clearing with respect to the DCO where the Cleared Swaps it will trade are cleared, 

or (ii) if it is Non-Self-Clearing, have a clearing account with a Clearing Firm and be 

permitted by the related Clearing Firm to clear such Swaps at such DCO through such 

Clearing Firm.

(c) Each Participant that is an Account Manager, Introducing Broker or Sponsoring Participant 

must ensure that each of its Clients, Customers or Sponsored Participants (as applicable) 

intending to trade Cleared Swaps meets the requirements of Rule 3000(b) above.
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(d) Participants are prohibited from entering Orders or Transactions in Cleared Swaps on the 

SEF on behalf of any party (whether the Participant itself or its Client, Customer or 

Sponsored Participant) that is Non-Self-Clearing unless such party has a relationship with 

a Clearing Firm as described in Rule 3000(b)(ii) that covers the relevant Order or 

Transaction.

(e) The SEF shall review any financial filings and notices made by its Participants pursuant to 

the SEF Rules to determine whether they continue to qualify as ECPs. If any Client or 

Customer of an Account Manager or Introducing Broker is not also a Participant, the SEF 

shall obtain from the applicable Account Manager or Introducing Broker a representation 

that such Client or Customer is an ECP, which will be deemed repeated each time the 

applicable Account Manager or Introducing Broker transacts on the SEF on behalf of such 

Client or Customer.

(f) Upon request of the SEF or its Regulatory Services Provider, each Participant (and each 

Authorized Trader) shall promptly provide to the Market Regulation Department or the 

Regulatory Services Provider (i) the names of its Customers, Client or Sponsored 

Participants (if applicable) and (ii) such information about Authorized Traders as the SEF 

requests.

(g) The SEF may from time to time establish different categories of Participants receiving 

access to the SEF. Participants receiving comparable access to, or services from, the SEF 

will be subject to comparable fee structures.

(h) Consistent with Applicable Law, the SEF will provide access to its trading platform and 

services on a fair and nondiscriminatory basis to any ECP that complies with the SEF’s 

documentation and eligibility requirements as set forth in the SEF Rules.

PARTICIPANT APPLICATION AND ONGOING PARTICIPANT MATTERS

Rule 3100 Application Requirements

A Person that wishes to become a Participant of the SEF must:

(a) Submit to the SEF an accurate and complete application and execute and deliver any 

applicable agreements and other documents as may be required by the SEF from time to 

time;

(b) if it is an entity, provide a copy of all formation documents including any amendments 

thereto if requested by the SEF;

(c) if it is an applicant organized or located outside of the United States, enter into a written 

agreement acceptable to the SEF appointing a third party as its U.S. agent for service of 

process for purposes of CFTC Regulation 15.05, and shall provide the SEF with a copy of 

the agreement;

(d) provide such other information as may be requested by the SEF; and
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(e) provide (i) written or electronic confirmation of its status as an ECP, and (ii) with respect 

to any Client, Customer or Sponsored Participant that is not also a Participant and on whose 

behalf it wishes to trade on the SEF, a representation that such Client, Customer or 

Sponsored Participant is an ECP, which representation will be deemed repeated each time 

the Participant transacts on the SEF, whether for its own account or on behalf of such 

Client, Customer or Sponsored Participant.

Rule 3101 Review of Application

(a) The SEF shall review a prospective Participant’s application and may ask for and review 

any additional information it deems relevant.

(b) The SEF in its discretion may conduct an investigation of any applicant.

Rule 3102 Acceptance as a SEF Participant

(a) If the SEF decides to admit an applicant as a Participant, it shall notify the applicant and 

state in such notice the date on which the applicant shall become a Participant.

(b) Once admitted, a Participant shall continue at all times to satisfy all the Participation 

Criteria set forth in Rule 3000(a) and all other applicable eligibility criteria the SEF may 

specify from time to time.

(c) Admission as a Participant only entitles the Participant to Trading Privileges and does not 

confer any right of ownership in the SEF, or right to attend or vote at meetings of the SEF, 

or right to share in the profits of the SEF.

Rule 3103 Denial, Conditioning or Termination of Participant Status

(a) The SEF may deny, condition or terminate Participant status of any Person:

(1) if such Person is unable to satisfactorily demonstrate its ability to satisfy the 

Participation Criteria or any other eligibility criteria required to become or remain 

a Participant or any of the representations and warranties made by the Participant 

is untrue;

(2) if such Person is unable to satisfactorily demonstrate its capacity to adhere to all 

applicable SEF Rules and any other Applicable Law, including those concerning 

recordkeeping, reporting, financial requirements and trading procedures;

(3) if such Person fails to comply with any limitation placed by the SEF on such Person;

(4) if such Person commits a violation of the SEF Rules;

(5) if such Person would bring the SEF into disrepute as determined by the SEF in its 

sole discretion; or

(6) for such other reason the SEF may reasonably determine.
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(b) If the SEF decides to deny or condition an application for admission as a Participant, or 

terminate a Person’s status as a Participant, the SEF shall promptly notify such Person (the 

“Affected Person”) thereof in a writing sent to the address in the SEF application form or 

maintained in the SEF’s records. Such Affected Person may, within seven (7) calendar 

days of receipt of such notification, request in writing that the SEF reconsider its 

determination.

(c) Within thirty (30) calendar days of receiving the request for reconsideration, the SEF shall 

either confirm, reverse or modify the denial, conditioning or termination of the Affected 

Person as a Participant, and shall promptly notify the Affected Person accordingly in a 

writing sent to the address in the SEF application form or maintained in the SEF’s records.

(d) Any denials, conditionings or terminations implemented by the SEF pursuant to this Rule 

3103 will be impartially enforced.

(e) Any denial, conditioning or termination that represents a suspension, expulsion, 

disciplinary or access denial action or other adverse action within the meaning of Part 9 of 

the CFTC Regulations may (to the extent required thereby) be subject to review by the 

CFTC pursuant to Part 9 of the CFTC Regulations.

Rule 3104 Duty to Keep Current

(a) If any material information in the Participant’s application becomes outdated or otherwise 

is inaccurate or incomplete for any reason, the Participant must promptly update the 

application.

(b) Within thirty (30) calendar days following the end of each calendar year, Participants shall 

review and revise, as necessary, all information provided in their applications and provide 

such revisions to the SEF.

Rule 3105 Withdrawal of Participant; Temporary Deactivation of Trading Privileges

(a) To withdraw from the SEF, a Participant must notify the SEF of its withdrawal. Such 

withdrawal shall be accepted and effective immediately upon receipt of such notice by the 

SEF, provided that the SEF may, in its reasonable discretion, refuse to accept a 

Participant’s withdrawal request or may postpone the effective date of withdrawal of a 

Participant if the SEF considers it necessary for the protection of the Participant’s 

Customers, other Participants or otherwise in the interests of the SEF.

(b) Upon the effectiveness of the withdrawal of a Participant, all rights and privileges of such 

Participant with respect to the SEF shall terminate (including, without limitation, Trading 

Privileges). Notwithstanding the accepted withdrawal of a Participant, the withdrawn 

Participant, and any Client, Customer or Sponsored Participant thereof, shall remain bound 

by the SEF Rules and subject to the jurisdiction of the SEF with respect to any and all 

matters arising from, related to or in connection with, the status, actions or omissions of 

such Person prior to such withdrawal and must cooperate in any SEF Proceeding as if the 

former Participant were still a Participant.
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(c) Notwithstanding the foregoing, a Participant may request, in writing, that the SEF 

temporarily deactivate its Trading Privileges. The SEF may approve or deny any such 

request in its sole discretion, and may approve any such request on such terms as the SEF 

shall determine in its sole discretion. Upon approval of any such request, the Participant’s 

Trading Privileges shall be deactivated and the Participant will not be permitted to execute 

Transactions on the SEF or otherwise access the SEF until its Trading Privileges have been 

reinstated by the SEF. The Participant shall incur no new fees during the period of its 

deactivation.

Rule 3106 Dissolution of Participants

Upon dissolution of a Participant, all rights and privileges of such Participant with respect to the 

SEF shall terminate, but all obligations of such Participant shall survive.

Rule 3107 Jurisdiction and Application of SEF Rules

(a) Prior to obtaining access to the SEF and each time a Participant, Customer, Client, 

Sponsored Participant or any other Person initiates or executes a transaction on or subject 

to the SEF Rules, directly or through an intermediary, such Participant, Customer, Client,

Sponsored Participant or other Person and any Supervised Person acting on its behalf shall 

be deemed to have expressly:

(1) consented to the jurisdiction of the SEF with respect to any and all matters arising 

from, related to, or in connection with, the status, actions or omissions of such 

Person;

(2) agreed to be bound by, and comply with, the SEF Rules and all Obligations, the 

DCO Rules and Applicable Law, in each case to the extent applicable to it;

(3) agreed to assist the SEF in complying with its legal and regulatory obligations, 

cooperate with the SEF, its Regulatory Services Provider(s) and the CFTC in any 

inquiry, investigation, audit, examination or proceeding, and authorizes the SEF to 

provide information regarding it to any Regulatory Services Provider, the CFTC or 

any Self-Regulatory Organization.

(b) At the time any Clearing Firm executes a Clearing Firm Agreement, such Clearing Firm 

shall be deemed to have expressly:

(1) consented to the jurisdiction of the SEF with respect to any and all matters arising 

from, related to, or in connection with, the status, actions or omissions of such 

Person;

(2) agreed to be bound by, and comply with, the SEF Rules and all Obligations, the 

DCO Rules and Applicable Law, in each case to the extent applicable to it;

(3) agreed to assist the SEF in complying with its legal and regulatory obligations, 

cooperate with the SEF, its Regulatory Services Provider(s) and the CFTC in any 

inquiry, investigation, audit, examination or proceeding, and authorizes the SEF to 
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provide information regarding it to any Regulatory Services Provider, the CFTC or 

any Self-Regulatory Organization.

(c) Any Person (including any Authorized Trader) whose access to the SEF is suspended for 

any period, and, if applicable, any Client, Customer or Sponsored Participant thereof, 

remains subject to the SEF Rules and to the jurisdiction of the SEF throughout the period 

of suspension and must cooperate in any SEF Proceeding. Any Person whose access to the 

SEF is revoked or terminated, and, if applicable, any Client, Customer or Sponsored 

Participant thereof, shall remain bound by the SEF Rules and subject to the jurisdiction of 

the SEF, with respect to any and all matters arising from, related to or in connection with, 

the status, actions or omissions of such Person prior to such revocation or termination and 

must cooperate in any SEF Proceeding.

Rule 3108 Notices to Participants

(a) The SEF shall publish a notice with respect to each addition to, modification or clarification 

of the SEF Rules or of any action to implement any SEF Rules on the SEF’s website or via 

an electronic mail distribution 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 (each a “Notice to 

Participants”). For purposes of publication in accordance with the first sentence of this 

Rule 3108, it shall be sufficient (without limiting the discretion of the SEF as to any other 

reasonable means of communication) if a Notice to Participants is published on the SEF’s 

website.

(b) Any Notice to Participants published on the SEF’s website or otherwise provided to 

Participants shall be deemed to have been made to all of a Participant’s Supervised Persons, 

Clients, Customers and Sponsored Participants.

(c) Each Participant is required to review the “Notices to SEF Participants” section of the 

SEF’s website to make itself aware of material changes to the SEF Rules or other notices 

that may affect its rights and obligations as a Participant, and is responsible for conveying 

such information to its Supervised Persons, Clients, Customers and Sponsored Participants 

in accordance with Rule 3114(c).

Rule 3109 Authorized Traders

(a) Each Participant shall designate one or more Authorized Trader(s), which, in the case of a 

Sponsoring Participant, may include any Person appointed, employed or authorized by a 

Sponsored Participant as provided in Rule 3110. Participants shall be responsible to the 

SEF for acting with reasonable care in granting Authorized Trader status to any individual.

(b) By agreeing to become an Authorized Trader, an individual is deemed to expressly consent 

to the jurisdiction of the SEF and agrees to be bound by the duties and responsibilities of 

an Authorized Trader and to be subject to, and comply with, the SEF Rules and Obligations. 

Among other duties and responsibilities that the SEF may impose, an Authorized Trader 

must:
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(1) have the authority, at the SEF’s request, to adjust or withdraw any Order or 

Transaction submitted under any User ID assigned to him or her;

(2) conduct activity under any User ID assigned to him or her in compliance with all 

SEF Rules and Obligations; and

(3) ensure he or she has been assigned his or her own User ID.

(c) To designate an Authorized Trader, a Participant must follow the procedures established 

by the SEF. The SEF may establish criteria that individuals must fulfill to become an 

Authorized Trader.

(d) The SEF will maintain a list of all designated Authorized Traders for each Participant.

(e) The SEF may, in its sole discretion, refuse to approve an Authorized Trader or revoke or 

suspend the designation of an individual as Authorized Trader to protect other Participants 

and the integrity of the SEF or for any other reason and shall promptly notify the related 

Participant of such action.

(f) To request the termination of the designation of an individual as Authorized Trader, the 

Participant must follow the procedures established by the SEF.

(g) Each Authorized Trader shall be identified to the SEF in the manner prescribed by the SEF 

and shall be subject to the SEF Rules. It is the duty of the Participant to ensure that each 

Authorized Trader registration is current and accurate at all times.

(h) Without limiting the foregoing, prior to accessing the SEF each Authorized Trader consents 

to abide by the SEF Rules and Applicable Law and each Participant 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 comply with the SEF Rules and Obligations and 

conduct its business in accordance with Applicable Law.

Rule 3110 Sponsored Access

(a) A Sponsoring Participant may extend Trading Privileges to one or more Sponsored 

Participants. If the Sponsoring Participant is not the Sponsored Participant’s Clearing Firm, 

the Sponsoring Participant will provide all relevant clearing information to the SEF on 

behalf of the Sponsored Participant. Each Sponsored Participant shall designate one or 

more Authorized Traders to transact on the SEF.

(b) The Sponsoring Participant is responsible for all RFQs, Orders, and Transactions placed 

by any Person acting on behalf of or in the name of the Sponsored Participant on the SEF 

as if such Orders or Transactions were placed by the Sponsoring Participant (whether or 

not the Sponsoring Participant was aware of and/or had approved the placing of such 

Orders or Transactions). Any execution occurring as a result of an Order or Transaction 
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entered by a Sponsored Participant shall be binding in all respects on the Sponsoring 

Participant.

(c) The Sponsoring Participant must monitor the Sponsored Participant’s access to the SEF 

and activity on the SEF, including, but not limited to, the entry, cancellation or other 

processing of Orders, risk management, trade reporting, clearing and settlement of 

Transactions.

(d) The Sponsored Participant is not a Participant of the SEF. The SEF has no liability to, and 

the SEF owes no duties or obligations to, nor has any responsibility for, the Sponsored 

Participant. Notwithstanding anything herein to the contrary, the Sponsored Participant and 

any other Person using a User ID or login credentials linked to a Participant will be subject 

to, and must comply with, the SEF Rules, and may be subject to Disciplinary Action by 

the SEF for any violation or attempted violation of the SEF Rules or provisions of

Applicable Law for which the SEF has disciplinary jurisdiction. The Sponsored Participant 

will be deemed to have represented and warranted that it is an ECP and that it has all 

registrations, licenses and consents required under Applicable Law. The Sponsoring 

Participant further agrees to cooperate with the SEF, or any other regulator, in connection 

with any inquiry regarding the Sponsored Participant’s access and activities relating to the 

SEF and, in connection with such inquiry, the Sponsoring Participant shall ensure the 

cooperation of the Sponsored Participant and procure that the Sponsored Participant is 

contractually bound to cooperate with the SEF or any other regulator.

(e) The Sponsoring Participant shall ensure that:

(1) the Sponsored Participant, its directors, members, officers, employees and agents 

comply with Applicable Law and the policies and procedures issued or approved 

by the SEF and with all of the duties and/or obligations imposed on Participants 

under the SEF Rules as if the Sponsored Participant were a Participant for such 

purposes, except with respect to any such duties and/or obligations which 

manifestly only relate to the Sponsoring Participant;

(2) the Sponsored Participant takes reasonable security precautions to prevent 

unauthorized access to and use of the SEF, including unauthorized entry of 

information on the SEF and unauthorized use of information and data made 

available by the SEF; and

(3) the Sponsored Participant uses any market data for its own internal purposes only 

and only in accordance with the SEF Rules.

(f) The SEF shall obtain from each Sponsoring Participant a representation that each of its 

Sponsored Participants will be an ECP at the time each such Sponsored Participant 

transacts on the SEF.

(g) The SEF will promptly notify a Sponsoring Participant in writing of its approval, or refusal 

to approve, the designation of a Sponsored Participant. The SEF may, in its sole discretion, 

revoke, limit, restrict or suspend the designation of a Sponsored Participant, and shall 

notify the Participant of such action in accordance with SEF procedures.
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(h) A Sponsoring Participant that seeks to terminate the designation of a Sponsored Participant 

shall notify the SEF in writing, providing such information as the SEF may require. The 

SEF shall terminate the Sponsored Participant’s access to the SEF in accordance with 

procedures established by the SEF.

Rule 3111 [Reserved]

Rule 3112 Introducing Brokers 

(a) An Introducing Broker will be permitted to introduce Orders and execute Transactions on 

the SEF on behalf of a Customer (which may include another Participant or an Account 

Manager acting on behalf of a Client) where such Customer has so authorized the 

Introducing Broker. Any time an Introducing Broker introduces an Order or Transaction 

on the SEF on behalf of a Customer, such Introducing Broker shall be deemed to represent 

that the Customer on whose behalf it is acting has granted the Introducing Broker such 

authorization. An Introducing Broker shall provide the SEF with such notice and/or proof 

of such Customer authorization as the SEF may request from time to time.

(b) If authorized, an Introducing Broker may enter any Order, submit a Block Trade, or 

introduce to the SEF for execution any Transaction, permissible under the SEF Rules on 

behalf of such Customer.

(c) Each Customer shall be the principal to all executed Transactions resulting from Orders 

submitted by an Introducing Broker to the SEF on such Customer’s behalf (other than 

where the Customer is a Prime Broker Client executing a Prime Broker Transaction in the 

name of and on behalf of a Prime Broker, in which case the relevant Prime Broker shall be 

principal to such Transaction).

Rule 3113 Authorized Representatives

(a) Each Participant shall designate an Authorized Representative(s) who will represent the 

Participant before the SEF and its committees and receive notices on behalf of the 

Participant.

(b) An Authorized Representative shall be empowered by the Participant to act on its behalf 

and the SEF shall be entitled to rely on the actions of the Authorized Representative as 

binding on the Participant and each of its Authorized Traders.

(c) Each Participant must provide the SEF with current contact and other requested 

information for each of its Authorized Representatives so that the SEF is able to 

immediately contact the Authorized Representatives.

Rule 3114 Communications between the SEF and Participants

(a) Each Participant must provide the SEF with its current electronic mail address and 

telephone number and the electronic mail address and telephone number of each of its 

Authorized Traders and immediately (and in any event within 24 hours) update this 

information whenever it changes.
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(b) All communications between the SEF and the Participant will be transmitted by electronic 

mail and/or posted on the SEF’s website, except as otherwise specified by the SEF.

(c) Each Participant shall be responsible for conveying such communications to all of its 

Supervised Persons, Clients, Customers and Sponsored Participants (and Authorized 

Traders thereof).

(d) Each Participant will be responsible for promptly reviewing and, if necessary, responding 

to all electronic communications from the SEF to the Participant or any of its Supervised 

Persons.

(e) All communications made to Participants shall also be deemed to have been made to all of 

its Supervised Persons, Clients, Customers and Sponsored Participants (and Authorized 

Traders thereof).

Rule 3115 Recording of Communications

The Market Regulation Department and/or Regulatory Services Provider(s) may record 

conversations and retain copies of electronic communications between the SEF, on one hand, and 

Participants, Sponsored Participants, Clients or Customers or any of their Supervised Persons or 

other agents, on the other hand. Any such recordings may be retained by the SEF or the Regulatory 

Services Provider in such manner and for such periods of time as the SEF may deem necessary or 

appropriate and in accordance with Applicable Law. The SEF or Regulatory Services Provider 

will retain such recording in compliance with CFTC Regulations.

MATERIAL CHANGES

Rule 3200 Change of Control; Non-Assignment

(a) A Participant must provide written notice to the SEF of any of the following changes to its 

ownership, control or business operations prior to any such change taking effect to the 

extent practicable and in any event no later than 48 hours after any such change takes effect:

(1) a merger of the Participant with another Person, or

(2) a transfer, issuance or other transaction that results in one Person owning 50% or 

more of the voting equity of the Participant or a transaction that results in the 

transfer of all or substantially all of the assets of the Participant.

(b) A Participant may not assign its rights as a Participant without the written consent of the 

SEF, which consent shall not be unreasonably withheld.

FEES

Rule 3300 Fees

(a) The SEF shall set the times and amounts of any assessments or fees (including access and 

utilization fees), costs and charges to be paid by Participants. By accessing the SEF, 
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Participants agree to be bound by the fee schedule in effect at the time the applicable SEF 

services are rendered.

(b) A Participant will be responsible for the payment of all fees charged to it with respect to 

any Transaction, including, without limitation, any Transaction that is (i) for any or no 

reason, not fully performed by the parties thereto or (ii) subsequently voided or rescinded.

(c) Assessments, fees, costs and charges and other amounts owed to the SEF are payable upon 

receipt of the invoice. If a Participant fails to pay when due any assessments, fees, costs 

and charges owed, and such payment obligation remains unsatisfied thirty (30) days after 

its due date, the SEF may suspend, revoke, limit, condition, restrict or qualify the Trading 

Privileges of such Participant as it deems necessary or appropriate.

Rule 3301 Volume Discounts

The SEF may from time to time establish financial incentives for meeting trading volume, liquidity 

thresholds and/or other standards as may be established by the SEF.

INDEPENDENT SOFTWARE VENDORS

Rule 3400 ISVs

(a) Consistent with Applicable Law, the SEF will provide access to its trading platform, 

services and data on a fair and nondiscriminatory basis to any ISV that complies with the 

SEF’s documentation and eligibility requirements for ISVs as set forth in the SEF Rules.

(b) An ISV that wishes to access the SEF must:

(1) consent to the jurisdiction of the SEF and agree to be bound by, and comply with, 

the SEF Rules and all Obligations, the DCO Rules and Applicable Law, in each 

case to the extent applicable to it;

(2) execute an ISV participation agreement in the form supplied by the SEF;

(3) pay the monthly access fees that may be established by the SEF from time to time, 

which fees will be comparable for ISVs receiving comparable access to, or services 

from, the SEF;

(4) comply with the applicable technical access standards, system compatibility 

requirements, security protocols and technical specifications for connection to the 

SEF as may be specified by the SEF from time to time;

(5) ensure that each Person that uses the ISV to access the SEF is either a Participant 

or a Client or Customer of a Participant;
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(6) in the case of any Order or Transaction submitted to the SEF through the ISV, 

provide sufficient detail to identify the Participant (and, if applicable, the 

Participant’s Client or Customer) as required by the SEF; and

(7) satisfy any other criteria that the SEF may require to perform its responsibilities as 

a Self-Regulatory Organization, comply with Applicable Law or provide services, 

provided such criteria are impartial, transparent and applied in a fair and 

nondiscriminatory manner.

(c) An ISV may provide data obtained from the SEF solely to Participants and/or Clients or 

Customers of a Participant in connection with such Participants’ and/or Clients’ or 

Customers’ actual and proposed trading activity on the SEF, and will not provide such data 

to any other swap execution facility, security-based swap execution facility, DCM, national 

securities exchange or other trading facility or system without the prior written consent of 

the SEF.

BUSINESS CONDUCT REQUIREMENTS

Rule 3500 Customers and Clients

No Participant shall enter an Order or enter into a Transaction in the name of a Customer or Client, 

unless the Customer or Client has so authorized the Participant. Any time an Introducing Broker 

or Account Manager introduces an Order or Transaction on the SEF on behalf of a Customer or 

Client (as applicable), such Introducing Broker or Account Manager shall be deemed to represent 

that the Customer or Client on whose behalf it is acting has granted the Introducing Broker or 

Account Manager such authorization. 

Rule 3501 Disclosure Requirements; Know Your Counterparty Requirements 

(a) With respect to Uncleared Swaps, Participants that are Swap Dealers or Major Swap 

Participants shall verify through representations or otherwise the status of each Swap 

counterparty as an ECP as provided in CFTC Regulations applicable to business conduct 

standards for Swap Dealers and Major Swap Participants in their dealing with 

counterparties.

(b) Participants that are Introducing Brokers must verify the status of each of their Customers

as an ECP.

(c) Participants that are Account Managers must verify the status of each of their Clients as an 

ECP.

(d) Participants that are Sponsoring Participants must verify the status of each of their 

Sponsored Participants as an ECP.

(e) Each Participant and Supervised Person, Client, Customer or Sponsored Participant of a 

Participant must comply with all disclosure requirements set forth in under Applicable Law 

including any additional disclosure requirements imposed by the SEF Rules.
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SECTION 4

TRANSACTION EXECUTION

This Section 4 prescribes Rules concerning trade practices and business conduct on the SEF and 

applies to all RFQs, Orders and Transactions.

Rule 4000.A. Trading Hours

Except with respect to Emergencies, the SEF shall determine and publish the Business Days of the 

SEF and the Trading Hours for each Swap. Participants are prohibited from sending any Order or 

entering into any Transaction or using any other facility of the SEF outside of the designated 

Trading Hours for the relevant Swap. The Trading Hours for each Swap in the Order Book shall 

be twenty-three (23) hours per Business Day other than between 5:30 p.m. and 6:30 p.m. (Eastern 

Time), in each case, subject to any variation as may be published by the SEF in a Notice to 

Participants or included in the relevant Swap Specification. The Trading Hours for each Swap via 

RFQ shall be twenty-four (24) hours per Business Day, subject to any variation as may be 

published by the SEF in a Notice to Participants or included in the relevant Swap Specification.

Rule 4000.B. Swap Specifications

(a) Notwithstanding any provision of the SEF Rules to the contrary, the terms and conditions 

set forth in the Swap Specification with respect to a particular Swap shall govern the trading 

in such Swap on the SEF and, in the event of any conflict between the general terms of the 

SEF Rules excluding the Swap Specifications and the particular terms of the SEF Rules set 

forth in the Swap Specification, the particular terms of the SEF Rules set forth in the Swap 

Specification shall govern with respect to trading in the relevant Swap on the SEF.

(b) The Swap Specification for each individual Swap may specify:

(1) 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;

(2) whether such Swap may be settled via cash settlement, physical delivery of the 

underlying commodity, or by any other means, as applicable; and

(3) the method for determining settlement prices.

(c) The SEF shall permit trading only in Swaps that are not readily susceptible to manipulation.

Rule 4001 Procedures

(a) With respect to trading on or though the SEF or subject to the SEF Rules, the SEF may 

adopt, without limitation, procedures relating to Transactions in Swaps and trading on the 

SEF or subject to the SEF Rules, including procedures to:

(1) disseminate the prices of bids and offers on, and Transactions in, Swaps;
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(2) record, and account for, Swaps and SEF activity and regulate administrative matters 

affecting Swaps and SEF activity;

(3) establish daily limits (or such other frequency as may be determined from time to 

time by the SEF) on the notional amount and/or risk of Orders or Transactions that 

may be submitted by a Participant through the SEF or subject to the SEF Rules;

(4) establish limits on Swaps that may be held by a Participant, Customer, Client or 

Sponsored Participant;

(5) 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

(6) establish minimum price quoting increments for each Swap.

(b) The SEF may, in its discretion and at any time, amend any procedures adopted pursuant to 

Rule 4001(a), and will publish the amendments in a Notice to Participants or in any other 

manner determined appropriate by the SEF.

Rule 4002 Required Identifications

(a) Each Participant and all related Authorized Traders (including those of its Sponsored 

Participants) must have a User ID assigned in accordance with the procedure adopted by 

the SEF from time to time in order to access the SEF. The User ID assigned to an 

Authorized Trader may not be reassigned to another Authorized Trader.

(b) Orders entered on the SEF must include the User ID assigned to the Authorized Trader. An 

Authorized Trader is prohibited from allowing any other Person to use such unique 

identification to enter Orders on the SEF. No Person may enter Orders on the SEF using a 

User ID that has not been assigned to such Person.

(c) Each Participant shall be responsible for all RFQs, Orders placed, or Transactions executed 

using any of the User IDs assigned to its Authorized Traders or those of any of its 

Sponsored Participants. Prime Brokers shall be responsible for all Prime Brokerage Orders 

placed or Prime Broker Transactions executed by a Prime Broker Client acting in its 

capacity as such subject to and in accordance with the relevant Prime Broker 

Acknowledgement Letter and Rules 4105 and 5103.E.

(d) Participants must terminate an Authorized Trader’s access to the SEF upon termination of 

the Authorized Trader’s employment at, or authorization or appointment by, the Participant 

or Sponsored Participant (as applicable).

Rule 4003.A. Execution of Transactions

(a) No Person shall execute a Required Transaction subject to the SEF’s jurisdiction other than 

via the Order Book or RFQ unless such Transaction is a Block Trade, Package Transaction 

(Order Book Exempt) or a Clearing Exempt Transaction. All Required Cross Transactions 
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will be subject to the time delay requirement set forth in Rule 4011, including TAS Cross 

Transactions that are Required Cross Transactions.

(b) No Person shall enter into a Clearing Exempt Transaction subject to the SEF’s jurisdiction 

unless it (or, if applicable, its Customer, Client or Sponsored Participant) or the 

counterparty to the Swap is eligible for and elects to rely on a Clearing Exception. Upon 

request of the SEF, a Participant, Sponsored Participant, Customer or Client shall submit 

to the SEF all documentation supporting eligibility for the applicable Clearing Exception.

(c) Permitted Transactions (including Permitted Cross Transactions) may be executed through 

the SEF’s Order Book as described in Rule 4003.B or RFQ as described in Rule 4003.D. 

In addition, Permitted Cross Transactions may be executed away from the SEF’s Order 

Book or RFQ as described in Rule 4004. Certain Permitted Transactions may also be 

executed via Risk Mitigation Sessions as specified in Rule 4018 and the tpSEF Risk 

Mitigation Procedures.

(d) Any swap component of a Package Transaction (Order Book Exempt) may be executed in 

the same manner as any Permitted Cross Transaction as described in Rule 4004 or, if 

available for execution on the SEF’s Order Book, through the SEF’s Order Book.

(e) Block Trades are required to be executed in accordance with the requirements of Rule 

4016.

(f) No executed Transactions may be submitted to the SEF other than Block Trades that occur 

away from the SEF and that are executed in accordance with the requirements of Rule 

4016.

(g) TAS Cross Transactions must be submitted to the SEF and executed in accordance with 

the requirements of Rule 4003.C.

(h) Any Order or Cross Transaction that is submitted to the SEF may be cancelled prior to 

execution. 

Rule 4003.B. Order Book

(a) All Orders posted to the Order Book are firm (i.e., there are no indications of interest or 

indicative quotes allowed).

(b) An acceptable Order must include a specific price and size, as well information meeting 

the requirements of Rule 8001.

(c) Order Types.

(1) An acceptable Order must indicate the time in force, which may include the 

following:

(i) “Day” (or “Fill-and-Store”) Orders are only good for the Business Day and 

applicable Trading Hours in which they are entered.
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(ii) “Fill-or-Kill” (“FOK”) Orders must be immediately executed for the entire 

size of the Order or are cancelled automatically.

(iii) “All-or-None” (“AON”) Orders must be executed for the entire size of the 

Order or are cancelled automatically. AON Orders enter the Order Book as 

passive Orders.

(iv) “Immediate or Cancel” (“IOC”) Orders must be executed fully or partially 

and, if partially, the remaining quantity is cancelled automatically.

(v) “Good ‘til Time” (“GTT”) Orders are cancelled after a specified time if no 

matching Order is placed.

(vi) “Good ‘til Price” (“GTP”) Orders will be cancelled if the reference price of 

the specified instrument is moved up or down (depending upon whether the 

Order is a bid or offer).

(vii) “One Cancels Other” (“OCO”) Orders are paired Orders stipulating that if 

one of the Orders is executed, the other is automatically cancelled.

(2) Good ‘til Time, Good ‘til Price and One Cancels Other Orders are all also Day 

Orders, in that they are only good for the Business Day and applicable Trading 

Hours in which they are entered, even if the time, price or execution conditions are 

not otherwise met.

(3) Not all Orders types are available for all Swaps. The table below shows the Order 

types available for each asset class:

Asset Class Day FOK AON IOC GTT GTP OCO

Credit ✓ ✓ × ✓ ✓ ✓ ✓

Commodities ✓ ✓ × × ✓ × ×

Rates ✓ ✓ US$ only ✓ ✓ ×

EUR/GBP 

only

Non-Deliverable Forwards ✓ ✓ × ✓ ✓ ✓ ✓

Equities ✓ ✓ × ✓ ✓ × ×

FX Options ✓ × × ✓ ✓ ✓ ✓

(d) Pre-Trade Controls.

(1) Order Limits. The SEF may, within its sole discretion, set Order limits by product 

and by instrument within a particular asset class. The following types of Order 

limits may be imposed:
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(i) Order Size Limit (OSL): This is the maximum size allowed for any single 

Order. Any Order submitted will be checked against the product/asset 

class’s Order Size Limit, and if the Order exceeds this limit, such Order will 

be rejected and the Participant will be notified.

(ii) Order Price Limit (OPL): This is the maximum price differential allowed 

for any Order. Any Order submitted will be checked against the 

product/asset class’s Order Price Limit and if the Order exceeds this limit, 

it will be rejected and the Participant will be notified. The price differential 

will be calculated as follows:

(Order price entered) - (Instrument Reference Price) = |Price Differential|

The “Instrument Reference Price” is an estimated current price for the 

relevant Swap, based on either current trading data for that instrument on 

the SEF and elsewhere, or, in the absence of current trading data for the 

relevant Swap, implied from current trading data for other instruments.

(2) Price Tick Deviation. If the price for any Order entered into the Order Book is 

greater than (i) the top contra-Order price or, if no contra-Orders exist in the Order 

Book, the Instrument Reference Price, plus (ii) the specified number of tick 

increments in the Maximum Price Tick Deviation parameter for the Swap, the 

Order will be rejected. The Maximum Price Tick Deviation parameter for each 

Swap is determined by the SEF from time to time in its sole discretion.

(3) Restriction Against Self-Trading. The Order Book system is configured to prohibit 

the matching of Orders placed by Authorized Traders of the same Participant.

(e) Implied Orders. The SEF offers limited implied order functionality. Under this 

functionality, individual separate Orders, which in aggregate would form the legs of a 

liquid spread trade, are displayed in the Order Book both as individual outright trades and 

in aggregate as a spread trade. This functionality is only made available for tenors at which 

spread trades are customarily transacted as determined by the SEF from time to time and 

displayed on the Order Book.

(f) Order Entry.

(1) Orders, including Orders for Required Cross Transactions and Permitted Cross 

Transactions, may be entered into the Order Book for execution either (i) directly 

by any Participant that has established direct connectivity to the SEF’s Order 

Management System, or (ii) by an Execution Specialist acting on the instruction of 

a Participant. Order information may be communicated by Participants to 

Execution Specialists via telephone and/or via electronic modes of communication 

such as email and instant message.

(2) Certain Participants that have elected not to establish direct connectivity to the 

OMS have executed a “tpSEF Inc. Terms of Use and SEF Order Book Waiver” (the 
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“Order Book Waiver”) in lieu of the “tpSEF Inc. Terms of Use.” During the 

effectiveness of its “Order Book Waiver,” a Participant must access the Order Book 

via an Execution Specialist both for Transactions that must be executed on Order 

Book pursuant to Rule 4003.A. and for Transactions voluntarily executed on the 

Order Book. Any such Participant may elect to establish direct connectivity to the 

OMS at any time by executing the “tpSEF Inc. Terms of Use” and terminating its 

“Order Book Waiver.” For the avoidance of doubt, all Participants, including those 

that have signed the “Order Book Waiver,” are required to comply with the 

requirements of Rule 4003.A. relating to the execution of Required Transactions.

(3) An Order placed on the Order Book may be cancelled provided such Order has not 

been executed. The price or size of an Order placed on the SEF that has not fully 

traded may be revised. If the size is reduced, the time priority originally assigned 

to the Order does not change. Revising the price or increasing the size will reset the 

Order’s time priority in the queue to the time the SEF receives the revision. Order 

cancellations or revisions may be communicated by Participants to Execution 

Specialists via telephone and/or via electronic modes of communication such as 

email and instant message.

(4) When an Authorized Trader logs off and any relevant time-out has expired, (i) all 

Orders on the Order Book submitted by that Authorized Trader may be terminated 

or may remain live, depending on the manner in which the Authorized Trader has 

configured his or her account and (ii) where the Authorized Trader has entered the 

Order on behalf of a Customer, all such Customer Orders will be terminated. If for 

any reason the connection to the SEF is lost and not-re-established within any 

relevant time-out period, all Orders entered from that location on the SEF are 

deactivated.

(g) Order Book Display and Interaction.

(1) Once an Order is entered into the Order Book, the Order is displayed 

simultaneously to all Participants that have established direct connectivity to the 

OMS and may be transacted on as described in Rule 4003.B.(h) below.

(2) All Orders will be displayed on an anonymous basis and each Order Book platform 

will show, in real-time, the best price and the depth per product.

(3) For Participants that have direct connectivity to the OMS, each Order Book 

platform displays all executions to all Participants, and for each individual 

Participant, its Order and execution history for the trading day.

(4) The SEF’s Order Book supports the following Order interactions on any active 

Order, which may be taken only by the Participant who submitted the Order or by 

an Execution Specialist acting on the Participant’s instructions:

(i) Amend, and
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(ii) Cancel. (If a partially executed Order is cancelled, only the balance of the 

Order is cancelled.)

(5) Information regarding Orders on the Order Book will be provided upon request to 

any Participant by an Execution Specialist via telephone and/or via electronic 

modes of communication such as email and instant message.

(h) Matching of Orders on the Order Book.

Orders may be either matched automatically or manually hit or lifted as described in this 

Rule 4003.B.(h). In each case, Orders will be executed using price and time priority.

(1) Ability to Trade. In the case of either Manual Matching or Automatic Matching as 

described in this Rule 4003.B.(h):

(i) An Order for a Cleared Swap may only be hit or lifted by, or matched with 

a contra-Order for, a Participant (or a Participant’s Customer or Client) that 

is, or whose Clearing Firm is, a Clearing Member at the DCO at which the 

Swap is to be cleared, and 

(ii) An Order for an Uncleared Swap may only be hit or lifted by, or matched 

with a contra-Order for, a Participant (or a Client or Customer of a 

Participant) that has swap trading relationship documentation in place with 

the relevant counterparty and only to the extent that each counterparty has 

available credit line, both as described in Rule 4013.B.

(2) Manual Matching. Subject to the requirements of Rule 4003.B.(h)(1) above, a 

Participant may manually hit or lift, in whole or in part, any resting Order within 

the Order Book that is (i) at the best price(s) within the market for the relevant 

product, and (ii) if there are multiple Orders at the same price(s), entered first in the 

Order Book.

(3) Automatic Matching. Subject to the requirements of Rule 4003.B.(h)(1) above and 

depending on Order type (as described in Rule 4003.B.(c)) and the Orders resting 

on the Order Book, Orders entered into the Order Book will be automatically (i) 

matched (fully or partially) to one or more Orders within the Order Book based on 

price and time priority or (ii) cancelled. Certain Order Book platforms do not 

support Automatic Matching.

Rule 4003.C. Trade at Settlement Cross Transactions

(a) A Participant may submit to the SEF for execution a Cross Transaction for which the fixed

rate will be the ICE Swap Rate for the “USD Rates 1100” benchmark run and for the 

relevant tenor published by ICE Benchmark Administration Limited at 11:15 a.m. New 

York time on the date of the Participant’s submission (each such Cross Transaction, a “TAS

Cross Transaction”). TAS Cross Transactions may be submitted to the SEF between 7 a.m. 

New York time and 10:59 a.m. New York time on each day the SEF is open for business.
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(b) Each TAS Cross Transaction submitted to the SEF will be held in abeyance by the SEF, 

and will not be deemed executed, until the relevant ICE Swap Rate has been announced 

and, in the case of any TAS Cross Transaction that is a Required Cross Transaction, the 

time delay requirement set forth in Rule 4011 has been applied as described in Rule 

4003.C.(c) below.

(c) For any TAS Cross Transaction that is a Required Cross Transaction, the time delay 

requirement described in Rule 4011 will be applied immediately following the 

announcement of the relevant ICE Swap Rate.

(d) Once a TAS Cross Transaction has been executed: (i) the SEF will generate and send a 

Confirmation to each counterparty in accordance with Rule 4012; (ii) the Transaction will 

be reported by the SEF to an Approved SDR in accordance with Rule 8005; and (iii) if it 

is a Cleared Swap, the Transaction will be routed by the SEF to the relevant DCO in 

accordance with Rule 4013.A.

Rule 4003.D. Voice Request for Quote Systems

(a) Any Request for Quote transmitted pursuant to this Rule 4003.D is not an Order.

(b) Participants may initiate either a Non-Directed Voice RFQ or a Directed Voice RFQ by 

contacting an Execution Specialist. If the Participant does not specify that it wishes the 

RFQ to go to less than all Participants, the Execution Specialist shall direct the RFQ to all 

Participants.

Non-Directed Voice RFQ.

(i) The Execution Specialist will transmit the RFQ to all other Participants, and 

all other Participants may respond.

(ii) The identity of a Non-Directed Voice RFQ requester shall be disclosed to 

the Recipients upon transmittal of any Non-Directed Voice RFQ and the 

identities of the Recipients that provide responses shall be disclosed to the 

RFQ requestor at the time of such responses.

Directed Voice RFQ.

(i) The Execution Specialist will transmit the RFQ to no less than three 

(3) Recipients, to which all such Recipients may respond.

(ii) A Participant that requests an Execution Specialist to send an RFQ to fewer 

than all Participants may not request that an Execution Specialist send any 

RFQ to another Participant that is affiliated with or controlled by the RFQ 

requester or to two more Participants that are affiliated with or controlled 

by each other. An Execution Specialist that sends an RFQ to fewer than all 

Participants, after consideration of reasonably available information, may 

not knowingly send an RFQ on behalf of the requesting Participant to 

another Participant that is affiliated with or controlled by the RFQ requester, 
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or to two or more Participants that are affiliated with or controlled by each 

other. For purposes of this Rule 4003.D(b), “control” includes but is not 

limited to the grant of trading discretion by one Participant to another.

(iii) The identity of a Directed Voice RFQ requester shall be disclosed to the 

Recipients upon transmittal of any Directed Voice RFQ and the identities 

of the Recipients that provide responses shall be disclosed to the RFQ 

requestor at the time of such responses.

(iv) A Participant may elect to not receive Directed Voice RFQs upon written 

notice to the SEF.

With respect to both Non-Directed Voice RFQs and Directed Voice RFQs:

(i) A RFQ transmitted to Participants must not be in the form of an Order.

(ii) Together with the first response from any Recipient, the Execution 

Specialist will communicate to the requesting Participant any firm resting 

Order for the Swap indicated in the RFQ that is posted in the Order Book

together with any responses to the RFQ from the Recipients. Execution of 

trades through the Order Book will be in accordance with Rule 4003.B.

(iii) Responses to RFQs must be in the form of an Order. The RFQ requestor 

may accept such RFQ response by submitting a corresponding Order.

(iv) An Execution Specialist will act in accordance with a Participant’s 

instructions, the Rules and Applicable Law.

Managed Orders. With respect to Non-Directed Voice RFQs only:

(i) Unless otherwise instructed by a Recipient, an unfilled Order provided in 

response to an RFQ shall be entered into the Order Book by an Execution 

Specialist on behalf of a Participant (“Managed Orders”).

(ii) Execution Specialists shall cancel a Managed Order if:

A. The Participant instructs the Execution Specialist to cancel the 

Managed Order;

B. The Participant is filled in the same instrument in an RFQ and the 

Managed Order is filled prior to the Execution Specialist cancelling 

the order; or

C. Time has passed and market conditions have changed sufficiently 

since the entry of the Managed Order such that the Managed Order 

should be cancelled. The following conditions must be met before 

a Managed Order is cancelled in the Order Book:
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1. The Managed Order must be exposed to the Order Book for 

at least 15 seconds; and

2. A material change in the equilibrium price of the particular 

instrument has occurred as identified by any of the 

following:

i. New Orders, initiations of Non-Directed Voice 

RFQs, or responses to Non-Directed Voice RFQs 

indicating one or more Participants are willing to 

trade at a worse price; or

ii. The instrument’s mid-rate has moved through the 

Managed Order’s price; or

iii. A material economic market event has occurred, 

including, but not limited to, U.S. Department of 

Labor’s Bureau of Labor Statistics Economic News 

Releases, Federal Reserve announcements, or 

natural or man-made disasters.

(iii) Failure of an Execution Specialist to cancel a Managed Order pursuant to 

Rule 4003.D(b)(4)(ii) prior to it being filled in whole or in part shall be 

considered an error of the SEF that may be cancelled pursuant to Rule

5103.A.

Rule 4004 Permitted Cross Transactions

(a) Permitted Cross Transactions may either be:

(1) Executed through the SEF’s Order Book as described in Rule 4003.B., or

(2) Submitted to the SEF for execution away from the SEF’s Order Book either (i) to 

an Execution Specialist, or (ii) for FX options, non-deliverable forwards and 

Transactions in the Rates asset class, directly by Participants that have established 

direct connectivity to the SEF.

(b) Permitted Cross Transactions that are submitted to an Execution Specialist for execution 

away from the Order Book may be executed through either (1) the SEF’s Deal Management 

System, or (2) if available, the OMS using Off-Book Ticket Functionality. A Participant 

submitting a Permitted Cross Transaction to an Execution Specialist must provide the 

information required by Rule 8001. Permitted Cross Transactions may be communicated 

to an Execution Specialist via telephone and/or via electronic modes of communication 

such as email and instant message.

(c) Permitted Cross Transactions submitted directly to the SEF for execution away from the 

Order Book by Participants that have established direct SEF connectivity will be executed 

as follows:
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(1) Through the OMS using Off-Book Ticket Functionality for Permitted Cross 

Transactions in the Rates asset class and non-deliverable forwards, and

(2) Through the SEF’s Deal Management System for FX options.

Rule 4005 Mishandling of Customer Orders

Any Participant that mishandles any Customer Order is responsible for all remedial actions with 

respect to such Order.

Rule 4006 Trading Halts

The SEF, in its sole discretion, may declare a trading halt at any time.

Rule 4007 Termination of the SEF Connection

The SEF shall have the right to summarily terminate the direct, electronic connection of any 

Participant to the SEF. Additionally, the SEF shall have the right to direct a Participant to 

immediately terminate the direct, electronic access to the SEF of any Sponsored Participant. Any 

such termination shall be impartially enforced and shall be invoked only for technical reasons. Any 

affected Participant or Sponsored Participant shall continue to have access to the SEF by means of 

an Execution Specialist, unless such access is denied in accordance with the procedures set forth 

in Rule 3103 or elsewhere in the SEF Rules. 

Rule 4008 Risk Controls

(a) The SEF may, in its sole discretion, to protect other Participants and the integrity of the 

SEF, reject any Order or Transaction placed or reported on the SEF.

(b) The SEF shall have the right to take any action to prevent or reduce the potential of market 

disruption, including, but not limited to, market restrictions that pause or halt trading, if 

such action is in the best interest of the swap markets and/or the SEF.

Rule 4009 Priority of Customers’ Orders

No Participant that is an Introducing Broker shall enter an Order into the SEF 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, including, without limitation, an Order allowing discretion as to 

time and price, when such Introducing Broker is in possession of any Order in the same Swap for 

its Customer that the SEF is capable of accepting.

Rule 4010 Trading Against Customers’ Orders Prohibited; Withholding Orders 

Prohibited

(a) No Participant 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.
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(b) The foregoing restriction shall not apply to the following:

(1) Block Trades, and

(2) Transactions where the Customer has granted prior consent and such consent is 

permitted under Applicable Law.

(c) Except as otherwise explicitly permitted under this Rule 4010(c) and Rule 5203(b), no 

Person shall (i) disclose another Person’s Order to buy or sell except to a designated SEF 

Official or the CFTC, (ii) solicit or induce another Person to disclose Order information or 

(iii) take action or direct another to take action based on non-public Order information, 

however acquired. The mere statement of opinions or indications of the price at which a 

market may open or resume trading does not constitute a violation of this Rule. Nothing 

contained in this Rule 4010(c) shall prevent a Person from disclosing information as may 

be required by legal process (including subpoena or demand for productions) or to such 

Person’s agents or advisors (including, but not limited to, accountants and auditors and 

legal counsel).

(d) Any Participant entering Orders on the SEF for its Customer or Client shall not withhold 

or withdraw from the market any Order, or any part of an Order, for the benefit of any 

Person other than such Customer or Client.

(e) A Participant must immediately enter into the SEF all Orders received from its Customers 

that are executable immediately. If a Participant cannot immediately enter into the SEF an 

Order received from its Customer, the Participant must enter the Order into the SEF as 

soon as practicable, and must immediately create an electronic record as provided in Rule 

8002.

Rule 4011 Time Delay Requirement for Required Cross Transactions

(a) With respect to Required Cross Transactions, the following conditions must be satisfied:

(1) in the case of an execution by a Participant as principal/dealer against a customer 

Order, the Customer Order shall be entered into the Order Book as a firm quote and 

exposed to the market for at least 15 seconds before the Participant’s Order may be 

entered, and

(2) in the case of an execution by a Participant acting as broker of two customers’ 

Orders against each other, one side of the potential Transaction (the “Displayed 

Order”) shall be entered into the Order Book as a firm quote and exposed to the 

market for at least 15 seconds before the second side of the potential Transaction

(the “Waiting Order”) may be entered.

(b) With respect to a Required Cross Transaction subject to Rule 4011(a)(2) above, any 

Participant, Sponsored Participant, Customer or Client whose Order is the Waiting Order 

shall not, directly or indirectly, execute against the Displayed Order prior to the time that 

entry of the Waiting Order is permitted under Rule 4011(a)(2) above.
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Rule 4012 Confirmations and USIs

(a) The SEF will generate and send a Confirmation to each counterparty to a Transaction

(which, in the case of a Prime Broker Transaction, will be the relevant Prime Broker) at 

the time of execution of such Transaction; provided that where a counterparty to a 

Transaction is a Customer, the Confirmation may be provided to the Customer’s 

Introducing Broker in accordance with Rule 4012(f); and provided further that where a 

Prime Broker Client executes a Prime Broker Transaction, a copy of the Confirmation shall 

be sent to the Prime Broker Client. Upon receipt of a Confirmation, such counterparty, 

Introducing Broker or Prime Broker Client (as applicable) shall, as soon as practicable, 

review the contents of such Confirmation and promptly report any errors or omissions to 

the SEF.

(b) The Confirmation (including, with respect to Uncleared Swaps, the Terms Incorporated by 

Reference as defined in Rule 4012(d)(1)) shall legally supersede any previous agreement 

and shall constitute a confirmation as defined in CFTC Regulation 45.1. The Confirmation 

shall contain, among other things:

(1) the USI for the Transaction; and

(2) the identity of the Swap Data Repository to which the Transaction is being reported.

(c) With respect to certain products, Transactions and counterparties, a Confirmation may be 

provided on the SEF’s behalf by MarkitSERV’s Organized Trading Venue (OTV) 

Confirmation Service or other similar confirmation service. Subject to Rule 4012(d),

regardless of the means of delivery, pursuant to these rules, each Participant, Sponsored 

Participant, Customer and Client agrees that the Confirmation represents legally binding 

documentation memorializing the agreement of the parties to all the terms of the 

Transaction.

(d) Confirmations for Uncleared Swaps.

(1) With respect to any Uncleared Swap, the economic terms specific to the 

Transaction shall be reflected in a written communication (the “Trade 

Communication”) sent by the SEF to each counterparty, Introducing Broker or 

Prime Broker Client in accordance with Rule 4012(a). The Trade Communication, 

together with the documents and agreements (including, without limitation, ISDA 

master agreements, other master agreements, terms supplements, master 

confirmation agreements and incorporated industry definitions) governing such 

Transaction (the “Terms Incorporated by Reference”) shall, taken together, for 

purposes of CFTC Regulation 37.6(b) comprise all of the terms of such Transaction 

and serve as a Confirmation of such Transaction. The provisions of this Rule 

4012(d) relating to Terms Incorporated by Reference rely on relief granted by the 

CFTC’s Division of Market Oversight in No-Action Letter 17-17, which expires on 

the effective date of any changes to the relevant CFTC Regulations.

(2) In satisfaction of the obligations imposed on the SEF under CFTC 

Regulation 37.6(b), each Trade Communication (and thus each Confirmation) is 
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deemed to incorporate the Terms Incorporated by Reference. All Confirmations for 

Uncleared Swaps that are generated and issued directly by the SEF shall state that 

they incorporate by reference any previously-negotiated freestanding agreement of 

the counterparties governing such Transaction.

(3) In the event of any conflict or inconsistency between (i) the Trade Communication 

and (ii) the Terms Incorporated by Reference, the Trade Communication shall 

prevail to the extent of any such conflict or inconsistency, and each Trade 

Communication will state the same.

(4) For each Uncleared Swap executed on or pursuant to the SEF Rules, each 

previously-negotiated freestanding agreement of the counterparties included in the 

Terms Incorporated by Reference must be available to the SEF and/or the CFTC 

staff upon request within a reasonable period of time. Any such agreements 

provided to the SEF in connection with a CFTC request will be furnished to the 

CFTC as soon as they are available.

(e) The USI referred to in 4012(a) above shall be created by the SEF and transmitted to each 

counterparty as soon as technologically practicable in accordance with CFTC Rule 

45.5(a)(2).

(f) By executing a Transaction on the SEF through an Introducing Broker, each Customer is 

deemed to authorize the SEF to send Confirmations of such Transactions to the applicable 

Introducing Broker and to authorize such Introducing Broker to accept such Confirmations 

on behalf of such Customer.

(g) By providing a Prime Broker Acknowledgement Letter to the SEF, each Prime Broker is 

deemed to authorize the SEF to send Confirmations of Prime Broker Transactions to the 

applicable Prime Broker Client and, in the case of a Prime Broker Transaction transacted 

through an Introducing Broker, to the applicable Introducing Broker, subject to Rule 

4105(b). 

Rule 4013.A. Cleared Swaps

(a) Each Cleared Swap shall be cleared through the DCO indicated in the Swap Specification 

or agreed by the parties in accordance with the Applicable Law, provided that the DCO 

must be one of those recognized by the SEF. The DCOs currently recognized by the SEF 

are:

ASX Clear (Futures) Pty Limited

Chicago Mercantile Exchange, Inc.

Eurex Clearing AG

ICE Clear Credit LLC

Japan Securities Clearing Corporation
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LCH.Clearnet LLC

LCH.Clearnet Limited

The SEF may recognize additional DCOs either through amendment of this Rule 4013.A. 

or by issuance of a Notice to Participants.

For each Cleared Swap a Participant expects to enter into via the SEF or subject to the SEF 

Rules (whether for itself or for a Client, Customer or Sponsored Participant), the Participant 

or a Participant’s Client, Customer or Sponsored Participant, as applicable, must establish 

a clearing account with the relevant DCO or with a Clearing Firm that is a Clearing Member 

of such DCO.

The SEF shall route each Cleared Swap executed on the SEF (and accepted for clearing by 

a Clearing Firm if the relevant party to the Transaction is Non-Self-Clearing) to the relevant 

DCO as soon as technologically practicable after execution, and in no event later than ten 

(10) minutes after execution. The SEF may do so either by submitting the Cleared Swap 

directly to the DCO or by routing the Cleared Swap through an Affirmation Hub or other 

middleware provider. A Transaction will be deemed to have been accepted for, or rejected 

from, clearing upon receipt of appropriate notice, in accordance with Applicable Law, from 

the DCO or from a third party acting on behalf of the DCO as authorized by the DCO for 

such purpose. The acceptance of a Transaction for clearing shall not relieve any Participant, 

Client or Customer of the duty to act in good faith and with reasonable care and diligence.

If a Transaction in a Cleared Swap (including a Transaction that is a component leg of a 

Package Transaction) is rejected by the DCO or a third party acting on behalf of the DCO, 

such Transaction is void ab initio and shall be cancelled by the SEF. Trades that are rejected 

from clearing may not be held in a suspended state and then re-submitted.

Rejected Transactions in Cleared Swaps.

(1) If the SEF determines pursuant to the procedures set forth in Rule 5103.C. that a 

Transaction in a Cleared Swap (including a Transaction that is a component leg of 

a Package Transaction) is rejected from clearing (i) because of a clerical or 

operational error or omission made by the SEF or by one of the counterparties to 

the Transaction or its agent, or (ii) in the case of a component leg of a Package 

Transaction, due to the sequencing of the submission of the component legs of the 

Package Transaction, a new trade, with terms and conditions that match the terms 

and conditions of the original trade, other than any such error or omission and time 

of execution, may be executed on the SEF and submitted for clearing without 

having been executed pursuant to the methods set forth in CFTC Regulations 

37.9(a)(2) or 38.500.

(2) If the SEF identifies and determines how to correct the error or omission, it may 

execute the new trade without obtaining the consent of the counterparties.

(3) If the SEF is unable to determine how to correct the error or omission, the SEF, at 

its election, may either (x) seek guidance from the counterparties (and, if applicable, 
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their agents and/or Clearing Firms) with respect to how to correct the error after 

which the SEF may then correct the error with the consent of both counterparties, 

or (y) elect not to fix the Transaction, in which case the Transaction will be treated 

as void ab initio and shall be cancelled by the SEF.

(4) Execution of a new trade pursuant to this Rule 4013.A.(e) must comply with the 

requirements specified in Rule 4017 and must occur as quickly as technologically 

practicable after receipt of notice of the rejection by the DCO, but, in any event, no 

later than sixty (60) minutes from issuance of such notice. If the resubmitted 

Transaction is rejected, such Transaction will be void ab initio and shall be 

cancelled by the SEF. The counterparties may not resubmit a new Transaction a 

second time.

(5) The procedure set forth in this Rule 4013.A.(e) is not available with respect to 

Transactions that are rejected from clearing for credit reasons.

(6) This Rule 4013.A.(e) relies on relief granted by the CFTC’s Divisions of Market 

Oversight and Clearing and Risk in No-Action Letter 17-27, which expires on the 

effective date of revised CFTC Regulations that address clerical or operational 

errors.

Erroneously Cleared Transactions.

(1) If it is determined pursuant to the procedures set forth in Rule 5103.C. that a 

Transaction in a Cleared Swap (including a Transaction that is a component leg of 

a Package Transaction) was incorrectly executed or cleared as the result of a clerical 

or operational error or omission, the SEF may permit the original counterparties to 

the Transaction to enter into a prearranged Transaction on the SEF that offsets the 

Transaction carried on the DCO’s books (an “Offsetting Transaction”), without the 

Offsetting Transaction having to be executed pursuant to the methods required in 

CFTC Regulations 37.9(a)(2) and 38.500. The SEF may also permit the original 

counterparties (or, if the wrong legal entity was assigned as a counterparty to the 

original Transaction, the intended counterparties) to enter into a prearranged 

Transaction on the SEF that corrects the errors in the original Transaction 

(“Correcting Transaction”), without the Correcting Transaction having to be 

executed pursuant to the methods required in CFTC Regulations 37.9(a)(2) and 

38.500.

(2) If the SEF identifies and determines how to correct the error or omission, it may 

execute the Offsetting Transaction and the corresponding Correcting Transaction 

without obtaining the consent of the counterparties. 

(3) If the SEF is unable to determine how to correct the error or omission, the SEF may 

either (x) seek guidance from the counterparties to the Transaction and, if 

applicable, their agents and/or Clearing Firms, after which the SEF may then 

correct the error by executing an Offsetting Transaction and corresponding 
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Correcting Transaction with the consent of both counterparties, or (y) elect not to 

correct the error, in which case the original Transaction shall stand as executed.

(4) Offsetting Transactions and Correcting Transactions executed pursuant to this Rule 

4013.A.(f) must comply with the requirements specified in Rule 4017 and must be 

executed and cleared no later than three (3) days after the original, erroneous 

Transaction was executed.

(5) The procedure set forth in this Rule 4013.A.(f) is available only with respect to 

clerical or operational errors or omissions made by the SEF, a counterparty to a 

Transaction or an agent of a counterparty to a Transaction.

(6) This Rule 4013.A.(f) relies on relief granted by the CFTC’s Divisions of Market 

Oversight and Clearing and Risk in No-Action Letter 17-27, which expires on the 

effective date of revised CFTC Regulations that address clerical or operational 

errors.

The SEF shall have the right to (i) suspend Trading Privileges of the Participant(s) or 

Sponsored Participant(s) that executed one or more rejected Transactions or prohibit 

further trading on behalf of the Client(s) or Customer(s) on whose behalf any rejected 

Transaction(s) were executed, or (ii) take any other action permitted by the SEF Rules. The 

liability for any losses arising out of or in connection with a rejected Transaction will be 

determined by the parties to the Transaction. For the avoidance of doubt, the SEF will have 

no liability for any such losses.

It shall not be a condition for access to the SEF that any Participant be subject to a breakage 

agreement. This includes breakage agreements in respect of Package Transactions.

Each Person that is registered, or required to be registered, with the CFTC as a Swap Dealer 

or Major Swap Participant is responsible for compliance with the mandatory trading 

requirement under Section 2(h)(8) of the CEA when such Person enters into, or facilitates 

entry into, a Swap that is subject to the Clearing Requirement.

The clearing services provided by a DCO in respect of a Cleared Swap will be governed 

by the rules, policies and procedures of that DCO. In addition, with respect to any DCO 

that has been granted an exemption from registration as such, the clearing services provided 

by such DCO must comply with any terms and conditions imposed on that DCO by the 

CFTC in connection with the DCO’s exemption from registration.

Procedures for Cleared Swaps Routed Through an Affirmation Hub.

(1) Each Cleared Swap that is routed to the relevant DCO through an Affirmation Hub 

shall be routed in accordance with the following procedures:

(i) (x) All Cleared Swaps resulting from Risk Mitigation Sessions, and (y) all 

Cleared Swaps that (A) are executed directly on the Order Book without the 

assistance of an Execution Specialist and (B) do not involve intermediation 

by an Introducing Broker, shall be automatically submitted by the 
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Affirmation Hub to the relevant DCO as soon as technologically practicable 

after receipt from the SEF, without Participants or Customers being 

provided the opportunity to Affirm; and

(ii) All other Cleared Swaps must be Affirmed by Participants or Customers, as 

applicable, as soon as technologically practicable after execution so that 

each such Cleared Swap is routed to and received by the applicable DCO 

no later than ten (10) minutes after execution.

(2) Failure by a Participant or Customer to Affirm a Cleared Swap routed through an 

Affirmation Hub within the time frame required by Rule 4013.A.(k)(1)(ii) shall be 

considered a violation of the SEF Rules; provided that:

(i) Such failure shall be a violation of the SEF Rules only by the Participant(s) 

or Customer(s), as applicable, that failed to Affirm the Cleared Swap in 

accordance with Rule 4013.A.(k)(1)(ii); and

(ii) No such failure shall be a violation of the SEF Rules where the failure, as 

determined in the SEF’s discretion, was substantially the result of any errors 

or delays caused by the SEF, any Execution Specialist, the Affirmation Hub 

or any event (such as loss of internet connectivity, power or other force 

majeure) beyond the reasonable control of the Participant or Customer.

(3) The Market Regulation Department shall, on a monthly basis, review the previous 

month’s Affirmations by Participants and Customers for compliance with this Rule 

4013.A.(k). Notwithstanding such regular monthly reviews, the SEF may at any 

time conduct investigations of possible violations of Rule 4013.A.(k)(1)(ii) in 

accordance with the procedures set forth in Rule 6001. The SEF, through its Market 

Regulation Department, shall review each possible violation of Rule 

4013.A.(k)(1)(ii) in light of all the facts and circumstances, including whether any 

errors or delays were caused by the SEF, any Execution Specialist, the Affirmation 

Hub or any event (such as loss of internet connectivity, power or other force 

majeure) beyond the reasonable control of the Participant or Customer.

(4) Unless the Market Regulation Department, the Regulatory Oversight Committee or 

the Chief Compliance Officer determines otherwise in accordance with the 

provisions of Chapter 6 of the SEF Rules, upon the first violation of Rule 

4013.A.(k)(1)(ii) in any rolling 12-month period a warning letter will be issued in 

accordance with Rule 6017, upon the second or third violation a summary fine will 

be imposed in accordance with Rule 6016 and upon the fourth (or higher) violation, 

the matter will be referred to a Disciplinary Panel for formal disciplinary 

proceedings.

Rule 4013.B. Uncleared Swaps

A Participant may enter into an Uncleared Swap for its own account only with a counterparty with 

which such Participant has swap trading relationship documentation that meets the requirements 

of Applicable Law. A Participant may enter into an Uncleared Swap on behalf of a Customer or 
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Client only if such Customer (or, where the Customer is a Prime Broker Client, the related Prime 

Broker) or Client has swap trading relationship documentation with the relevant counterparty that 

meets the requirements of Applicable Law. A Participant acting as a Prime Broker Client may 

enter into an Uncleared Swap in the name of and on behalf of a Prime Broker only with a 

counterparty with which such Prime Broker has swap trading relationship documentation that 

meets the requirements of Applicable Law. The Participant and/or Customer or Client or 

Participant’s Prime Broker shall provide any information requested by the SEF in the processing 

and settlement of such Uncleared Swaps. In addition, a Participant, for itself or on behalf of its 

Customer or Client may, from time to time, input onto the SEF’s systems, either itself, or by 

instructing an Execution Specialist, the credit line for any or all parties with which it, or such 

Customer or Client, has such swap trading relationship documentation.

Rule 4014 Information Regarding Orders and Dissemination of Trade Data

The SEF may make information regarding Orders (including prices and amounts), Transactions 

and any other matters it may deem appropriate available to Participants and other Persons at such 

times and in such manner (whether through the SEF, a ticker, financial information services or 

otherwise) as it may consider necessary from time to time. In accordance with Rule 5702, each 

Participant or other Person receiving any such information through the SEF may redistribute such 

information only to such extent and in such manner as may be permitted by the SEF from time to 

time.

Participants are hereby notified that the SEF discloses swap transaction and pricing data for 

publicly reportable swap transactions executed on the Order Book prior to the public dissemination 

of such data by the relevant Swap Data Repository. This data is available to all Participants that 

have elected to obtain a connection to the Order Book and is disclosed to such Participants

contemporaneously with the transmission of the data to the applicable Swap Data Repository for 

public dissemination.

Rule 4015 Enforceability

(a) A Transaction entered into on or pursuant to the SEF Rules shall not be void, voidable, 

subject to rescission or otherwise invalidated or rendered unenforceable as a result of:

(1) a violation by the SEF of the provisions of Section 5h of the CEA or Part 37 of the 

CFTC Regulations;

(2) any CFTC proceeding to alter or supplement a rule, term or condition under 

Section 8a(7) of the CEA or to declare an emergency under Section 8a(9) of the 

CEA; or 

(3) any other proceeding the effect of which is to alter, supplement or otherwise require 

the SEF to adopt a specific term or condition, trading rule or procedure or to take 

or refrain from taking a specific action.

(b) Without limiting the generality of the foregoing, failure of the SEF to broadcast any 

message in respect of a Transaction made on the SEF shall not invalidate any Transaction 

recorded by the SEF.
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Rule 4016 Block Trades

The following shall govern all Block Trades in Swaps:

(a) All Block Trades, unless otherwise exempted by a SEF Rule, must comply with the 

recordkeeping requirements set forth in Rule 8003.

(b) Block Trades that occur away from a trading system or platform of the SEF must be 

submitted to the SEF in a manner prescribed from time to time by the SEF. Each such 

submission must include all of the data required by Parts 43 and 45 of the CFTC 

Regulations, including without limitation (i) a notification to the SEF of the parties’ 

election to have the Transaction treated as a Block Trade, and (ii) the actual notional or 

principal amount of the Transaction. The parties entering into a Block Trade must agree 

upon which party shall be responsible for reporting all terms of the Transaction to the SEF

(which party may be an Introducing Broker), and such designated party must report the 

Block Trade to the SEF as soon as technologically practicable after execution, but no later 

than ten (10) minutes after execution. Only Block Trades that are not Cleared Swaps are 

permitted to occur away from a trading system or platform of the SEF.

(c) Upon receipt of the submission of a Block Trade as required by Rule 4016(b), the SEF will 

review the submission, and will report the Transaction as required by Parts 43 and 45 of 

the CFTC Regulations as soon as technologically practicable after execution. Such report 

to the SDR will include among other things the actual notional or principal amount of the 

Transaction and a notification to the Swap Data Repository of the parties’ election to have 

the Transaction treated as a block trade.

(d) Swap components of Package Transactions may be executed as Block Trades, provided 

that each such swap component is for a quantity that is equal to or in excess the Appropriate 

Minimum Block Size.

(e) A Participant transacting a Block Trade on behalf of a Client or Customer must receive 

prior written instruction or consent from the Client or Customer to do so.

(f) Except as may be permitted by CFTC Regulation 43.6(h)(6), the aggregation of Orders 

across multiple Customers or Clients in order to meet the Appropriate Minimum Block 

Size is prohibited.

(g) Each party to a Block Trade shall comply with all applicable SEF Rules and, without 

limiting the generality of the foregoing, each such party shall be an ECP.

(h) Any Block Trade in violation of these requirements may constitute conduct which is 

inconsistent with just and equitable principles of trade.

(i) Upon request by the SEF, each party to a Block Trade shall produce satisfactory evidence 

that the Block Trade meets the requirements set forth in the SEF Rules.

(j) Cleared Block Trades must be executed on a non-Order Book trading system or platform 

of the SEF. Each Order underlying such a Cleared Block Trade must comply with the 
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requirements for Order information set forth in Rule 8001 and shall include a notification 

to the SEF of the party’s election to have the resultant publicly reportable swap transaction 

treated as a Block Trade. In addition, all such Cleared Block Trades must comply with the 

pre-execution credit check requirements set forth in Rule 4017 and all other applicable SEF 

Rules and CFTC Regulations. For the avoidance of doubt, all Block Trades in Cleared 

Swaps must be executed on a non-Order Book trading system or platform of the SEF in 

accordance with this Rule 4016(j) in order to facilitate compliance with Rule 4017. This

Rule 4016(j) relies on relief granted by the CFTC’s Division of Market Oversight in NoAction Letter 17-60, which expires at the earlier of (i) 11:59 p.m. (Eastern Time) on 

November 15, 2020, and (ii) the effective date of any CFTC action with respect to the 

issues discussed therein. If such no-action relief is extended, upon and to the extent of such 

extension, the provisions of this Rule 4016(j) will continue apply.

Rule 4017 Pre-Execution Credit Checks

(a) At the time of submitting an Order for any Cleared Swap (including any Cleared Swap that 

is a leg of a Package Transaction) or any Cleared Block Trade, a Participant (whether for 

itself or for a Customer or Client) must designate a Clearing Member with regard to the 

Transaction, which may be either the relevant party to the Transaction if such party is SelfClearing or a designated Clearing Firm if the relevant party to the Transaction is Non-SelfClearing.

(b) Prior to the execution of any Order for a Cleared Swap (including any Cleared Swap that 

is a leg of a Package Transaction) or any Cleared Block Trade for which the relevant party 

is Non-Self-Clearing, the SEF will facilitate pre-execution credit screening by or on behalf 

of the designated Clearing Firm. Upon receiving confirmation that the Order or Cleared 

Block Trade satisfies the Clearing Firm’s pre-execution limits with respect to such party, 

the SEF will accept the Order or Cleared Block Trade for execution. If the SEF does not 

promptly receive confirmation or receives confirmation that the Order or Cleared Block 

Trade does not satisfy the Clearing Firm’s pre-execution limits with respect to such party, 

the SEF will cancel the Order or Cleared Block Trade.

(c) Any party that is Self-Clearing with respect to a Transaction is deemed to represent, by 

submitting an Order for its proprietary account or, in the case of a Customer, causing its 

Introducing Broker to do so, that it has completed pre-execution screening of its internal 

clearing risk limits for proprietary accounts.

Rule 4018 Risk Mitigation Sessions

The SEF may conduct periodic anonymous risk mitigation sessions (“Risk Mitigation Sessions”) 

in accordance with the tpSEF Risk Mitigation Procedures. Information on upcoming Risk 

Mitigations Sessions are made available by the SEF on its website. The tpSEF Risk Mitigation 

Procedures are attached hereto as Appendix C.
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Rule 4019 Post-Trade Name Give-Up

(a) For all Required Transactions, no person shall directly or indirectly, including through a 

third-party service provider, disclose the identity of a counterparty to a Swap that is 

Executed Anonymously and intended to be cleared.

(b) For a CFTC Package Transaction that includes a component transaction that is not a Swap 

intended to be cleared, disclosing the identity of a counterparty shall not violate paragraph 

(a) of this Rule 4019.

POSITION LIMITS AND POSITION ACCOUNTABILITY LEVELS

Rule 4100 SEF Rules Do Not Limit Emergency Powers

Nothing contained in the SEF Rules relating to position limits shall in any way be construed to 

limit the ability of the SEF to take an Emergency Action as enumerated in the SEF Rules, and, 

unless the Board and/or the CEO (or, if the CEO is not available, the most senior Officer that is 

available) in taking an Emergency Action shall state otherwise, any such Emergency Action shall 

be effective with respect to all Participants, Sponsored Participants, Clients and Customers 

regardless of whether an exemption from the position limits has previously been granted pursuant 

to these SEF Rules.

Rule 4101 Position Limits

(a) To reduce the potential threat of market manipulation or congestion, the SEF shall adopt 

for each of the contracts of the SEF as is necessary and appropriate, position limits for 

speculators.

(b) Except as otherwise provided by the SEF Rules, no Person, including a Participant, 

Sponsored Participant, Client or Customer, may hold or control a position in excess of such 

position limits, and no Person may maintain a position in excess of such position limits for 

a Client or Customer if such Person knows, or with reasonable care should know, that such 

position will cause such Client 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 done by, a single Person.

(d) Each Participant required to file any report, statement, form or other information with the 

CFTC pursuant to CFTC Regulations concerning a position limit on any Transaction or 

commodity underlying a Transaction must simultaneously file a copy of such report, 

statement, form or other information with the SEF. Such information shall include, for 

Participants who are Introducing Brokers, information concerning the Customers for which 

Transactions are entered into on the SEF.
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Rule 4102 Exemptions from Position Limits

Any Person seeking an exemption from the position limits referred to in Rule 4101 must file an 

application with the SEF in the manner and within the time limits prescribed by the SEF. The SEF 

shall notify the applicant whether the exemption has been approved and whether the SEF has 

imposed any limitations or conditions on the exemption. The decision of the SEF shall be final.

Rule 4103 Position Accountability

(a) To reduce the potential threat of market manipulation or congestion, the SEF shall adopt, 

as is necessary and appropriate, position accountability levels for speculators for each of 

the contracts of the SEF. Any Person, including a Participant, Sponsored Participant, Client 

or Customer, who owns or controls Swaps in excess of the applicable position 

accountability level shall provide the SEF, at its request, any information regarding the 

nature of the position, trading strategy or hedging activities, if applicable, and if ordered 

by the SEF, shall not increase the size of any such position.

(b) For purposes of this Rule 4103, 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 4103 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 4104 Enforcement of Position Limits and Position Accountability Levels

(a) No Person may for itself or any Customer or Client maintain a combination of Swaps which 

is, or which when aggregated in accordance with this Rule is, in excess of the limits 

established pursuant to Rule 4101 (or, to the extent ordered not to increase such positions 

pursuant to Rule 4103, a position in excess of the relevant level).

(b) In the event the SEF learns that a Person maintains positions in accounts with more than 

one (1) Person such that the aggregate position in all such accounts exceeds (i) the position 

limits established pursuant to Rule 4101 or (ii) to the extent such Person is ordered not to 

increase such positions pursuant to Rule 4103, the relevant level, the SEF may notify all 

Persons maintaining or carrying such accounts of the total positions of such accounts. Such 

notice may also instruct each such Person to reduce the positions in such accounts 

immediately after receipt of the notice, proportionately or otherwise so that the aggregate 

positions of such accounts does not exceed the position limits and position accountability 

levels established pursuant to Rules 4101 and 4103, unless as provided by Rule 4104(c) 

below, a request for an exemption is made and granted by the SEF pursuant to this Rule 

4104. Any Person receiving such notice shall immediately take such steps as may be 

necessary to liquidate such number of contracts as shall be determined by the SEF in order 

to cause the aggregate positions of such accounts to comply with the position limits and 

position accountability levels established pursuant to Rules 4101 and 4103. 

Notwithstanding the foregoing, the Persons may reduce the positions of such accounts by 

a different amounts so long as after all reductions have been accomplished, the positions 
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comply with the position limits and position accountability levels established pursuant to 

Rules 4101 and 4103.

(c) In the event a Person exceeds its position limit due to sudden unforeseen increases in its 

bona fide hedging needs, such Person shall not be considered in violation of the SEF Rules 

provided that such Person requests a hedge exemption to carry such increased position 

within five (5) Business Days following the day on which the Person’s position limit was 

exceeded and provided that such exemption is granted by the SEF.

(d) Subject to the foregoing provisions of this Rule 4104, in the event that a Person’s position 

exceeds the position limits established pursuant to Rule 4101 or ordered by the SEF such 

Person shall liquidate such amount of Swaps as the SEF shall direct in order to eliminate 

the excess within such time as the SEF may prescribe and shall report to the SEF when 

such liquidations have been completed. If a Person fails so to liquidate contracts within the 

time prescribed by the SEF, then, in addition to any other actions the SEF may take, the 

SEF may take such steps as it may deem necessary or appropriate to liquidate such 

contracts on behalf and at the expense of such Person to the extent necessary to eliminate 

such excess. Without limiting the generality of the foregoing, to the extent applicable, the 

SEF may request the DCO to effect such liquidation in accordance with rules of the DCO. 

In addition, the SEF in its discretion may require any Person carrying an account for itself 

or a Customer or Client to obtain and hold additional original margin in such amount and 

form and by such time as the SEF shall specify until such excess has been eliminated.

Rule 4105 Prime Broker Transactions

General.

All Prime Broker Transactions shall be executed pursuant to this Rule 4105, in 

addition to other applicable provisions of the SEF Rules.

A Prime Broker and each of its Prime Broker Clients must be a Participant approved 

by the SEF.

Each Prime Broker Client may transmit or respond to RFQs, enter Prime Brokerage 

Orders, and execute Permitted Cross Transactions on the SEF in the name of and 

on behalf of the relevant Prime Broker.

Prime Broker Obligations.

Prime Broker Acknowledgment Letter. Each Participant that desires to transact 

Prime Broker Transactions on the SEF as a Prime Broker Client shall cause its 

Prime Broker to provide to the SEF an acknowledgement letter, in a form and 

substance satisfactory to, and approved by, the SEF (a “Prime Broker 

Acknowledgement Letter”) that the Prime Broker will, subject to the terms of its 

Prime Broker Acknowledgement Letter, the Prime Broker’s right to cancel a Prime 

Broker Transaction in accordance with the provisions of Rule 5103.E and other

applicable provisions of the SEF Rules, accept and be financially responsible for 

all Prime Broker Transactions executed in its name by such Participant. 
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Cancellation of Designation of Prime Broker Client. The designation of a 

Participant as a Prime Broker Client by a Prime Broker and the Prime Broker’s 

obligations in respect of that Prime Broker Client shall continue in full force and 

effect until cancelled or terminated by written notice (a “Cancellation Notice”) to 

the SEF in accordance with the terms of the relevant Prime Broker’s Prime Broker 

Acknowledgement Letter. Any such Cancellation Notice shall become effective 

upon receipt by the SEF. No such termination or cancellation shall in any manner 

affect the Prime Broker’s obligations and liabilities incurred by the Prime Broker 

in respect of the relevant Prime Broker Client prior to the effective date and time 

of the relevant Cancellation Notice.

No Supervisory Responsibilities. A Prime Broker has no responsibility to supervise 

any Prime Broker Client or any of such Prime Broker Client’s Supervised Persons.

Prime Broker Cancellation of Prime Broker Transactions. A Prime Broker shall

have the right to cancel a Prime Broker Transaction in accordance with the 

provisions of Rule 5103.E within two (2) hours of the time that the SEF provides 

the Prime Broker with a Confirmation of such Transaction in accordance with Rule 

4012.

Prime Broker Client Obligations.

In advance of transmitting or responding to RFQs or submitting each Prime 

Brokerage Order and Permitted Cross Transaction to the SEF pursuant to this Rule 

4105, each Prime Broker Client shall ensure the Prime Brokerage Order or 

Permitted Cross Transaction complies with any relevant Prime Broker Limit then 

in effect.

Upon receiving notice (whether from the SEF, its Prime Broker or otherwise) that 

a Prime Broker has cancelled a Participant’s designation as a Prime Broker Client, 

such Participant shall cancel any unfilled Prime Brokerage Orders and Permitted 

Cross Transactions submitted in the name of and on behalf of the relevant Prime 

Broker and shall not submit any additional Prime Brokerage Orders or Permitted 

Cross Transactions in the name of and on behalf of that Prime Broker.

Fees. Fees for Prime Broker Transactions will be charged to the relevant Prime Broker 

Client, except for Prime Broker Transactions in which the relevant Prime Broker Client 

transacts through an Introducing Broker, in which case fees for such Transaction will be 

charged to the Prime Broker Client’s Introducing Broker.
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CONDUCT OF PARTICIPANTS AND OTHER PERSONS

DUTIES AND OBLIGATIONS

Rule 5000 Duties and Responsibilities of Participants, Sponsored Participants, 

Customers and Clients

Each Participant and Sponsored Participant shall (and shall cause all of its respective Supervised 

Persons to) and each Customer and Client shall:

use the SEF and effect Transactions in a responsible manner and not for any improper 

purpose;

use the SEF only to conduct permitted activity as determined by the SEF;

comply with the SEF Rules and conduct all such activity in a manner consistent with the 

SEF Rules and Obligations;

comply with Applicable Law;

settle all Transactions entered into on or pursuant to the SEF Rules;

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 activity 

on or through the SEF or any aspect of any business connected with or concerning the SEF;

not knowingly mislead or conceal any material fact or matter in any dealings or filings with 

the SEF or in response to any SEF Proceeding;

keep any User IDs, account numbers and passwords related to the SEF confidential;

employ practices to monitor and enforce compliance with risk limits established in 

conformance with Applicable Law; and

keep, or cause to be kept, complete and accurate books and records in accordance with 

Rule 8002.

Rule 5001 Required Disclosures to the SEF

Each Participant, Sponsored Participant, Customer and Client shall immediately notify the 

Market Regulation Department in writing at such time as it becomes aware of the 

occurrence of any of the following events:

(1) any damage to, or failure or inadequacy of, the systems, facilities or equipment of 

such Person to effect Transactions pursuant to the SEF Rules;
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(2) any failure to timely perform such Person’s financial obligations under or in 

connection with Swaps of such Person (or Swaps of any Customer, Client or 

Sponsored Participant of such Person, as applicable);

(3) any violation of Applicable Law in connection with such Person’s access to, or 

activities on the SEF, including the requirements of the CFTC and, if applicable, 

NFA;

(4) a Material Adverse Change in such Person’s financial condition or in the financial 

condition of an Affiliate of such Person if such change materially impacts such 

Person’s ability to satisfy its obligations under the SEF Rules;

(5) any refusal of admission of such Person to any other swap execution facility, 

commodity or securities exchange, DCM, DCO, Self-Regulatory Organization or 

other business or professional association, or withdrawal by such Person of any 

application for participation or membership in any swap execution facility, 

commodity or securities exchange, DCM, DCO, Self-Regulatory Organization or 

other business or professional association;

(6) the indictment or conviction of, or any confession of guilt or plea of guilty or nolo 

contendere by such Person (or, if applicable, any of its respective Supervised 

Persons with access to the SEF) for any felony of any nature or misdemeanor 

involving, arising from, or related to, the purchase or sale of any Swap or other 

financial instrument, or involving or arising from moral turpitude, 

misrepresentation, fraud, deceit, theft, embezzlement, gambling, conversion or 

abuse of a fiduciary relationship;

(7) the issuance of a formal order of investigation (or its equivalent), or the 

commencement, by the issuance or service of a written complaint (or its 

equivalent), of any judicial, administrative or self-regulatory proceeding, as the 

case may be, against such Person (or, if applicable, any of its respective Supervised 

Persons) by the CFTC, the SEC, the securities commission or equivalent authority 

of any state, territory, the District of Columbia or foreign country, or any swap 

execution facility, commodity or securities exchange or related clearing 

organization, DCM, DCO, any Self-Regulatory Organization or other business or 

professional association;

(8) the bankruptcy or insolvency of such Person or any of its Affiliates; or

(9) any suspension, expulsion, bar, fine, censure, cease and desist order, temporary or 

permanent injunction, denial of Trading Privileges or any other sanction or 

discipline imposed on such Person (or, if applicable, any of its respective 

Supervised Persons), whether through an adverse determination, voluntary 

settlement or otherwise, by:

(i) a swap execution facility, commodity or securities exchange, DCM, DCO, 

Self-Regulatory Organization or other business or professional association;
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(ii) the SEC, the CFTC or the securities commission or equivalent authority of 

any state, territory, the District of Columbia or foreign country; or

(iii) any federal court, state court, Government Agency not mentioned above or 

quasi-governmental body.

(b) Each Participant, Sponsored Participant, Customer and Client shall notify the Market 

Regulation Department in writing within ten (10) days of becoming aware of the 

occurrence of any of the following events:

(1) any denial or withdrawal of any application for any registration or license with 

respect to such Person (or, if applicable, any of its respective Supervised Persons) 

by or from the SEC, the CFTC or the securities commission or equivalent authority 

of any state, territory, the District of Columbia or foreign country, or

(2) the issuance of a bar by any agency of the United States from contracting with the 

United States.

TRADING CONDUCT

Rule 5100 Abusive Trading Practices Prohibited

No Participant or Sponsored Participant or any of its respective Supervised Persons, nor 

any Customer or Client, shall engage in, or attempt to engage in, any fraudulent act or 

engage in, or attempt to engage in, any manipulative device, scheme or artifice to defraud, 

deceive, trick or mislead in connection with or related to any SEF activity including, 

without limitation, any of the following trading practices except as otherwise authorized 

under the SEF Rules:

(1) parking;

(2) pre-arranged trading (it being understood that pre-arranged trading does not include 

Transactions resulting from pre-execution communications to the extent permitted 

by Rule 5203(b));

(3) adjusted trading or overtrading;

(4) front-running;

(5) wash trading;

(6) cross transactions;

(7) fictitious transactions;

(8) money passes;

(9) non-competitive transactions (unless otherwise exempt or excluded pursuant to the 

SEF Rules);
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(10) accommodation trading; 

(11) fraudulent trading; or

(12) any other trading practices that the SEF or the CFTC deems to be abusive.

Additionally, no Participant or Sponsored Participant or any of its respective Supervised 

Persons, nor any Customer or Client, shall knowingly execute or accommodate the 

execution of any such activity by direct or indirect means.

(b) No Participant, Sponsored Participant, Customer or Client shall trade any Swap that is not 

authorized to trade on the SEF.

Rule 5101 Good Faith Bids and Offers and RFQs

A Participant or Sponsored Participant shall not knowingly enter, nor shall any Participant, 

Sponsored Participant, Customer or Client, cause to be entered, bids or offers or RFQs into the 

SEF other than in good faith for the purpose of executing bona fide Transactions.

Rule 5102 Invalid Transactions

(a) A Transaction made or purported to be made on or pursuant to the SEF Rules may be 

declared invalid by the SEF in the following circumstances:

(1) Unrepresentative Price. If, taking into consideration current market conditions, the 

SEF determines that a Transaction has taken place at an unrepresentative price, the 

SEF, at its absolute discretion, may declare such Transaction invalid. The SEF may 

take into account such information as it deems appropriate when determining 

whether to invalidate a Transaction, including, without limitation, the following:

(i) price movement of other swap contracts with similar terms;

(ii) current market conditions, including levels of activity and volatility;

(iii) time period between different quotes and between quoted and traded prices;

(iv) market or other information regarding price movement in related swap 

contracts; or

(v) manifest error.

(2) Breach of Applicable Law. If the SEF determines that a Transaction has been made 

in breach of Applicable Law, the SEF may declare the Transaction invalid.

(b) When a Transaction is declared invalid by the SEF, the parties to the Transaction will be 

notified by the SEF of that fact and a message will be broadcast through the SEF 

announcing the Swap contract and price level of the invalid Transaction, and the invalid 

Transaction may be displayed on the SEF as a cancelled Transaction.
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Rule 5103 Trade Cancellation, Correction, Offset and Adjustment

Rule 5103.A. SEF Authority Regarding Trade Cancellation, Correction, Offset and 

Adjustment 

The SEF has authority to cancel, or adjust the price of, any Transaction executed on or pursuant to 

the SEF Rules, or to execute or require the execution of a new or offsetting Transaction:

(a) when the SEF determines in its sole discretion such action is necessary to mitigate market 

disrupting events caused by the improper or erroneous use of the SEF or by system defects;

(b) at any time the SEF determines in its sole discretion that allowing a Transaction to stand 

as executed may have a material adverse effect on the integrity of the market;

(c) in accordance with Rule 4013.A. and this Rule 5103;

(d) where the Transaction was intended to be cleared and was submitted to a DCO via an 

Affirmation Hub or other middleware provider but was not presented to the DCO for 

clearing due to a post-execution processing issue;

(e) where the SEF determines in its sole discretion that a mistake occurred as a result of an 

error by an Execution Specialist; or

(f) to comply with Applicable Law.

Rule 5103.B. Transaction Price Review

(a) Determination to Review a Transaction’s Price.

(1) The SEF may determine to review a Transaction’s price based on its independent 

analysis of market activity or upon a Participant’s request (including a Participant 

that is a Prime Broker Client).

(2) A Participant’s request for review must be made within ten (10) minutes of 

execution the relevant Transaction and must include the USI for the Transaction 

and a statement of the grounds for the review. In the absence of a timely request for 

review, the SEF may determine whether or not a Transaction will be subject to 

review in its sole discretion. Notwithstanding the foregoing, subject to Applicable 

Law, the SEF shall amend the terms of, or cancel, any Transaction that the parties, 

together with the DCO, as applicable, mutually agree to amend or cancel, even in 

the event that such amendment or cancellation is not submitted to the SEF within 

the applicable review period specified above.

(b) Review of a Transaction’s Price.

(1) In reviewing a Transaction’s price, the SEF shall use good faith efforts to determine 

the fair mid-market price for the Swap at the time the Transaction was executed. 

The SEF may consider any relevant information, including, but not limited to, the 
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last transaction price of the Swap or a better bid/offer, a more recent price for a 

different maturity date, the price of the same or related Swap established in another 

venue or another market, the market conditions at the time of the Transaction and 

the theoretical value of an option based on the most recent implied volatility.

(2) Following the SEF’s determination of a Transaction’s fair mid-market price in 

accordance with Rule 5103.B.(b)(1) above, the SEF shall have the right, in its sole 

discretion, to cancel or adjust the price of such Transaction or to require the entry 

into an offsetting Transaction; provided, however, that the SEF shall not make any 

such cancellation or price adjustment or require the entry of an offsetting 

Transaction if such action would, in the SEF’s sole discretion, (i) adversely impact 

market integrity, (ii) facilitate market manipulation or other illegitimate activity or 

(iii) otherwise violate the CEA, CFTC Regulations or the SEF Rules.

(3) The method of adjustment or cancellation of any Cleared Swap that is adjusted or 

cancelled shall be the method provided for by the rules and procedures of the 

relevant DCO.

Rule 5103.C. Review of Transactions for Errors

(a) If a Participant, Sponsored Participant, Client or Customer believes that any Transaction 

was incorrectly executed, cleared or rejected from clearing as a result of an Error (as 

defined in Rule 5103.C.(f) below), such Person may, within ten (10) minutes thereafter, 

request a review of the Transaction by providing the USI for the Transaction and stating 

the grounds for the disagreement.

(b) Upon timely receipt by the SEF of a request for a Transaction review in accordance with 

Rule 5103.C.(a) above, or if the SEF determines on its own initiative to conduct such a 

review, the SEF will review its electronic audit trail and other relevant records to determine 

if an Error occurred. If the request for review is not timely, the SEF may, in its sole 

discretion, perform a review of the Transaction.

(c) If the review described in this Rule 5103.C. reveals that the Transaction was incorrectly 

executed, cleared or rejected from clearing as a result of an Error, the SEF may cancel or 

adjust the Transaction, or execute or require the execution of a new or offsetting 

Transaction (in accordance with the procedures specified in Rule 4013.A. for Cleared 

Swaps), as appropriate; provided, however, that the SEF shall not take any action pursuant 

to this Rule 5103.C.(c) if such action would, in the SEF’s sole discretion, (i) adversely 

impact market integrity, (ii) facilitate market manipulation or other illegitimate activity or 

(iii) otherwise violate the CEA, CFTC Regulations or the SEF Rules.

(d) If the review described in this Rule 5103.C. reveals that the Transaction was not incorrectly 

executed, nor cleared or rejected from clearing as a result of an Error, then no adjustment 

shall be made.

(e) If a Transaction is reviewable for price under Rule 5103.B., the procedures of this Rule 

5103.C. shall not apply. For the avoidance of doubt, if a Transaction was correctly executed 
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but the reporting to the SDR was in error, Rule 8005 shall apply and this Rule 5103.C. shall 

not apply.

(f) For purposes of this Rule 5103.C., an “Error” shall mean the occurrence of any of the 

following:

(1) A mistake made as the result of a malfunction of the SEF or human error, including 

a mistake made by an Execution Specialist;

(2) An Order or RFQ was incorrectly displayed and/or executed;

(3) A clerical or operational error or omission made by the SEF or a Participant

(including a Prime Broker Client), Sponsored Participant, Client or Customer (or 

any agent of any of the foregoing) that caused a transaction to be rejected from 

clearing and void ab initio;

(4) A Clearing Firm or DCO rejected a leg of a Package Transaction for clearing 

because of the sequencing of submission for clearing of the legs of the applicable 

Package Transaction; or

(5) Where a Transaction was intended to be cleared and was submitted to a DCO via 

an Affirmation Hub or other middleware provider but was not presented to the DCO 

for clearing due to a post-execution processing issue.

Rule 5103.D. Records and Reporting of Cancellations and Price Adjustments

(a) Cancelled Transactions and any prices that have been adjusted shall be cancelled in the 

SEF’s official records.

(b) Transactions that have had their price adjusted shall be reflected in the SEF’s official 

records at the adjusted price.

(c) If a Transaction is either cancelled or adjusted pursuant to Rule 5103, the SEF shall submit 

a cancellation or correction of the Transaction to the same SDR to which the Transaction 

was previously reported.

Rule 5103.E. Cancellation of Prime Brokerage Transactions

Subject to Rule 4105(b)(4), a Prime Broker shall have the right to cancel any Prime Broker 

Transaction within two (2) hours of the time that the SEF provides the Prime Broker with 

a Confirmation of such Transaction in accordance with Rule 4012 (i) that is executed in 

breach of a Prime Broker Limit; (ii) that was executed by a Person that was not authorized 

by the Prime Broker; or (iii) that was executed for an unauthorized product. The Prime 

Broker shall communicate the cancellation directly to the SEF and indicate the reason for 

the cancellation. The SEF shall be entitled to rely on the Prime Broker’s statement that any 

such grounds exist without inquiry and shall have no liability to the Prime Broker, the 

Prime Broker Client, or the counterparty to the cancelled Transaction or any other party in 

so doing. 
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If any Prime Broker Transaction is cancelled by the SEF pursuant to the provisions of this 

Rule 5103.E., the Prime Broker, the Prime Broker Client and the counterparty shall be 

liable for payments in respect of such cancellation in accordance with the terms of their 

agreements or as they may otherwise agree. The SEF shall have no involvement in 

determination of any such payments. 

Notwithstanding anything to the contrary in the SEF Rules, the SEF shall have the right, in 

its sole discretion, to suspend, revoke, limit, condition, restrict or qualify the ability of any 

Participant to transact on the SEF as a Prime Broker or Prime Broker Client following the 

use of the cancellation right in 5103.E.(a).

Nothing in this Rule 5103.E shall restrict the rights of a Prime Broker Client to request a 

review of a Prime Broker Transaction pursuant to the other provisions of Rule 5103. 

Rule 5104 Misuse of the SEF

Misuse of the SEF is strictly prohibited. It shall be a violation of the SEF Rules for any Person to 

willfully or negligently engage in unauthorized access to the SEF, to assist any Person in obtaining 

unauthorized access to the SEF, to trade on the SEF without the authorization of a Participant, to 

alter the equipment associated with the SEF, to interfere with the operation of the SEF, to use or 

configure a component of the SEF in a manner that does not conform to the SEF Rules, to intercept 

or interfere with information provided on or through the SEF, or in any way to use the SEF in a 

manner contrary to the SEF Rules.

VIOLATIONS

Rule 5200 Rule Violations

(a) It shall be a violation for a Participant, Sponsored Participant, Customer or Client or any 

Supervised Person to violate any SEF Rule, to breach any agreement made with the SEF, 

to violate Applicable Law, or to engage in fraud, dishonorable conduct, or in conduct which 

is inconsistent with just and equitable principles of trade.

(b) Participants, Sponsored Participants, Customers and Clients and Supervised Persons shall 

assist the SEF in any investigation into potential violations of Applicable Law. Such 

assistance must be timely and may include, but not be limited to, requiring any Participant, 

Sponsored Participant, Client, Customer or Supervised Person to produce documents, to 

answer questions from the SEF or its designee, and/or to appear in connection with an 

investigation.

(c) If a Participant, Sponsored Participant, Customers or Client has actual or constructive 

notice of a violation in connection with the use of the SEF by a Participant, Sponsored 

Participant, Client, Customer or Supervised Person and such Person fails to notify the 

Market Regulation Department within a reasonable time, such Person may be found to 

have committed an act detrimental to the interest or welfare of the SEF.
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Rule 5201 Fraudulent Acts Prohibited

No Participant, Sponsored Participant, Customer or Client (or any Supervised Persons) shall 

engage in, or attempt to engage in, any fraudulent act or engage in, or attempt to engage in, any 

scheme to defraud, deceive, trick or mislead in connection with or related to any SEF activity.

Rule 5202 [Reserved]

Rule 5203 Fictitious or Wash Transactions; Permitted Pre-Execution Communications

(a) No Participant, Sponsored Participant, Customer or Client (or any Supervised Persons) 

shall create fictitious transactions or wash transactions. 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.

(b) Participants, Sponsored Participants, Customers and Clients (and any of their Supervised 

Persons) may engage in pre-execution communications (including communications with 

respect to Orders) relating to:

(1) Permitted Cross Transactions;

(2) Block Trades executed pursuant to Rule 4016;

(3) Transactions executed pursuant to the procedures specified in Rule 4013.A.(e) and 

(f);

(4) Package Transactions (Order Book Exempt); and

(5) Required Cross Transactions; 

provided that with respect to any pre-execution communications permitted by (1) through 

(5) above:

(i) the parties to the pre-execution communications do not disclose to a nonparty the details of such communications or use the information obtained in 

a manner contrary to Applicable Law, and

(ii) the requirements of Rule 4011 are satisfied to the extent applicable.

Nothing contained in this Rule 5203(b) shall prevent a Person from disclosing 

information as may be required by legal process (including subpoena or demand for 

productions) or to such Person’s agents or advisors (including, but not limited to, 

accountants and auditors and legal counsel).
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Rule 5204 Market Disruptions Prohibited

Orders entered into the SEF for the purpose of upsetting the equilibrium of the market in any Swap 

or creating a condition in which prices do not or will not reflect fair market values are prohibited, 

and any Participant, Sponsored Participant, Customers or Client (or any of their respective 

Supervised Persons) who makes or assists in entering any such Order with knowledge of the 

purpose thereof or who, with such knowledge, in any way assists in carrying out any plan or 

scheme for the entering of any such Order, will be deemed to have engaged in an act detrimental 

to the SEF in violation of this Rule 5204.

Rule 5205 Market Manipulation Prohibited

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall attempt to manipulate or manipulate the price of any Swap including, without 

limitation, cornering, “front-running”, “money passes”, trading ahead or against Customer Orders, 

combination or improper cross trading involving, for example and without limitation, a short term 

riskless transaction taking advantage of an incoming Order or the offset of a prior position to avoid 

an adverse market move.

Rule 5206 Disruptive Trading Practices Prohibited

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall engage in any trading, practice or conduct that constitutes a “disruptive trading 

practice,” as such term is defined by the Section 4c(a)(5) of the CEA (7 U.S.C. § 6c(a)(5)) or the 

related CFTC Regulations.

Rule 5207 Prohibition of Misstatements

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall make any knowing misstatement of a material fact to the SEF, any SEF Official, 

any Board committee or SEF Panel, any agent of the SEF (including the Regulatory Services 

Provider) or any Participant, Sponsored Participant, Customer, Client or Supervised Person. All 

swap data or other information submitted from time to time by any Participant, Sponsored 

Participant, Customer or Client (or any of their respective Supervised Persons) to the SEF, or by 

the SEF on behalf of any such Person, to any Clearing Firm, Affirmation Hub, DCO or SDR, shall 

be accurate and complete in all material respects as of the time submitted.

Rule 5208 Acts Detrimental to the SEF Prohibited

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall engage in any act that is detrimental to the SEF.

Rule 5209 Adherence to Law

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall engage in conduct that is a violation of the Applicable Law.
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Rule 5210 Communications with the Public and Promotional Material

Promotional material and similar information issued by Participants shall comply with Applicable 

Law.

SUPERVISION

Rule 5300 Duty to Supervise

Each Participant shall establish, maintain and administer reasonable supervisory procedures to 

monitor the compliance of its Supervised Persons with the SEF’s Rules and any applicable 

provisions of the CEA or CFTC Regulations and such Participant may be held accountable for the 

actions of such Supervised Persons. As set forth in Rule 4105(b)(3), a Prime Broker shall have no 

responsibility to supervise any Prime Broker Client or any of such Prime Broker Client’s 

Supervised Persons.

INSPECTIONS

Rule 5400 Inspections by the SEF

The SEF and the Regulatory Services Provider (and their respective authorized 

representatives), shall have the right, in connection with determining whether all 

Obligations are being, will be, or have been complied with by a Participant, Sponsored 

Participant, Customer or Client, in accordance with Applicable Law:

(1) inspect books and records, systems, equipment and software operated by such 

Person in connection with any SEF activity, wherever located;

(2) access the systems, equipment, software and the premises on which the systems, 

equipment and software are located and any data stored in any of the systems or 

equipment, during the regular business hours and the Trading Hours of the SEF 

without prior notice to such Person; and/or

(3) remove, copy or reproduce any data to which the SEF has access under the SEF 

Rules.

(b) Each such Person shall provide the Regulatory Services Provider with the same access to 

its books and records and offices as it is required to provide the SEF under the SEF Rules 

and Applicable Law.

(c) The Market Regulation Department may require a Participant to furnish (periodically or on 

a particular occasion) information concerning the Participant’s activity on the SEF. For a 

Participant, such information includes but is not limited to, the Participant’s open trading 

positions or Swaps to which the Participant is a party.

(d) The SEF shall provide prior notice to a Person in the event of an inspection that has been 

prescheduled by the SEF.
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INFORMATION SHARING

Rule 5500 Information-Sharing

The SEF may enter into information-sharing agreements or other arrangements or 

procedures to establish and enforce rules that will allow the SEF to obtain any necessary 

information to perform any monitoring of trading and trade processing, provide 

information to the CFTC upon request and that allow the SEF 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 5500, the SEF may:

(1) provide market surveillance reports to other markets;

(2) share information and documents concerning current and former Participants with 

other markets;

(3) share information and documents concerning ongoing and completed investigations 

with other markets; and/or

(4) require its current or former Participants, or their Sponsored Participants, 

Customers or Clients, to provide information and documents to the SEF at the 

request of other markets with which the SEF has an information- sharing agreement 

or other arrangements or procedures.

(b) The SEF may enter into any arrangement with any Person or body (including, without 

limitation, the CFTC, the NFA, any Self-Regulatory Organization, any exchange, market, 

Swap Data Repository, reporting services or clearing organization or foreign regulatory 

authority) if the SEF considers such arrangement to be in furtherance of the SEF’s purpose 

or duties under Applicable Law.

(c) The SEF may disclose to any Person or entity information concerning or associated with a 

Participant or other Person where the SEF believes such disclosure is reasonably necessary 

and appropriate in exercising a legal or regulatory function.

(d) Participants, Sponsored Participants, Customers and Clients shall provide the SEF any 

requested information pursuant to the SEF Rules or Applicable Law as necessary for the 

SEF to perform any of the functions described in these SEF Rules.

FINANCIAL REQUIREMENTS

Rule 5600 Minimum Financial and Related Reporting Requirements

(a) Each Participant that is registered with any Government Agency, including the CFTC and 

the SEC, or a Self-Regulatory Organization shall comply with the provisions of Applicable 

Law, including, but not limited to, the rules and regulations such Government Agency or 
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Self-Regulatory Organization imposes on a Participant relating to minimum financial and 

related reporting and recordkeeping requirements.

(b) Each Participant shall qualify as an ECP and undertake to timely update any change to the 

Participant’s status as an ECP.

(c) A copy of any notice or written report that a Participant is required to file with the CFTC 

pursuant to CFTC Regulation 1.12 shall be concurrently provided to the SEF.

(d) A Participant who is subject to and violates CFTC Regulations 1.10, 1.12, 1.17 or 1.18 

shall be deemed to have violated this Rule 5600.

Rule 5601 Confidentiality of Financial and Other Information

All information and data obtained or received by the Market Regulation Department from 

inspections of accounting and other records, quarterly balance sheets and declarations or reports 

on financial condition will be treated as confidential by the SEF; however, this Rule 5601 does not 

supplant Rule 5500 and the SEF Rules in Section 7, Applicable Law, or any other requirement of 

legal process or law.

Rule 5602 Authority to Impose Restrictions

Whenever a Participant is subject to the early warning requirements set forth in CFTC 

Regulation 1.12, the SEF may impose such conditions or restrictions on the business and 

operations of such Participant as the SEF may deem necessary or appropriate for the protection of 

customers, other Participants, or the SEF.

Rule 5603 Additional Disclosure Requirements

Each Participant must comply with all disclosure requirements set forth in applicable CFTC and 

Self-Regulatory Organization rules and regulations. Any such disclosure may be combined with a 

disclosure regarding the existence of financial interests held by the Participant in the SEF or any 

other exchange.

MISCELLANEOUS

Rule 5700 Gifts and Gratuities

Participants shall maintain and enforce gifts policies and procedures to prevent gifts in excess of 

one hundred dollars ($100) to Directors, Officers and SEF employees.

Rule 5701 Anti-Money Laundering and Anti-Terrorism

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. 

Participants will be required to provide sufficient information for Participants and their Customers 

or Clients, if applicable, for SEF to conduct restricted list searches, including, but not limited to, 
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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 5702 Market Data

(a) All Participants, Sponsored Participants, Customers and Clients and all Supervised 

Persons, agents, vendors, and other Persons affiliated with the foregoing understand and 

acknowledge that the SEF has a proprietary interest in:

(1) the price and quantity data from each and every Transaction executed on the SEF 

or subject to the SEF Rules, including the time at which the Transaction was 

executed on, or submitted to, the SEF;

(2) the price and quantity data for each and every Order, RFQ, or Block Trade 

submitted to the SEF, including the time at which the Order or RFQ was entered;

(3) the yield curves and reference prices prepared by the SEF;

(4) any data and information derived from (1), (2) and (3) and the format and 

presentation thereof (except a Participant’s confidential information or data); and

(5) the transmissions and dissemination of the data and information to Participants, any 

publisher of the data or information with whom the SEF has a written agreement, 

and any other Persons.

(b) Except with respect to such Person’s confidential information or data, Participants,

Sponsored Participants, Customers and Clients and Supervised Persons may not distribute, 

sell or retransmit any other information displayed on the SEF to any third party without the 

express written consent of the SEF.

(c) The SEF may at any time restrict or establish utilization fees in respect of data described 

in Rule 5702(a) with respect to all or any Participants, Sponsored Participants, Customers 

or Clients in order to safeguard the security or operations of the SEF or to preserve market 

integrity, fair and orderly trading, or if otherwise in the public interest, provided, however, 

that view-only access is provided free-of-charge.

Rule 5703 Extension or Waiver of SEF Rules

If necessary and expedient, the SEF may, in its sole discretion, waive, or extend the time period 

for performing, any act or acts designated by the SEF Rules, but only to the extent such waiver or 

extension is not inconsistent with the CEA or the CFTC Regulations.
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SECTION 6

ENFORCEMENT OF RULES AND

DISCIPLINARY PROCEEDINGS

Rule 6000 General

(a) All Participants, Sponsored Participants, Account Managers, Authorized Traders, Clients, 

Customers, Supervised Persons and any other Person using a User ID of a Participant or 

login credentials linked to a Participant or User ID shall be subject to the SEF’s jurisdiction. 

Any Participant, Sponsored Participant, Account Manager, Authorized Trader, Client, 

Customer, Supervised Person or other Person using a User ID of a Participant or login 

credentials linked to a Participant or User ID is subject to this Section 6 if such Person is 

alleged to have violated, to have aided and abetted a violation, to be violating, or to be 

about to violate, any SEF Rule or any other provision of Applicable Law for which the 

SEF has disciplinary jurisdiction.

(b) The SEF, through its Market Regulation Department, Review Panels, Disciplinary Panels 

and Appeals Panels will conduct inquiries, investigations, disciplinary proceedings and 

appeals from disciplinary proceedings, summary impositions of fines, summary 

suspensions or other summary actions in accordance with this Section 6.

(c) The SEF and its Regulatory Services Provider are parties to a Regulatory Service 

Agreement as referenced in Rule 2600, pursuant to which the Regulatory Services Provider 

has agreed to perform certain regulatory services described in this Section 6 on behalf of 

SEF. The SEF Rules that refer to the SEF, SEF staff, the Market Regulation Department 

and other SEF departments should be understood as also referring to the Regulatory 

Services Provider, the Regulatory Services Provider staff and the Regulatory Services 

Provider departments acting on behalf of SEF pursuant to the Regulatory Services 

Agreement. Notwithstanding the fact that the SEF has entered into the Regulatory Services 

Agreement with its Regulatory Services Provider to perform some of the SEF’s functions, 

the SEF shall retain ultimate legal responsibility for, and control of, such functions.

(d) No SEF Official will interfere with or attempt to influence the process or resolution of a 

Disciplinary Action except to the extent provided under the SEF Rules with respect to a 

proceeding in which the SEF Official is a member of the relevant panel.

(e) Any Participant, Sponsored Participant, Account Manager, Authorized Trader, Client, 

Customer or Supervised Person may be represented by counsel during any Disciplinary 

Action pursuant to this Section 6.

(f) The SEF may hold a Participant or any Customer or Client liable for, and impose sanctions 

against such Participant, Customer or Client, for such Participant’s, Customer’s or Client’s

own acts and omissions that constitute a violation as well as for, in the case of a Participant, 

the acts and omissions of each (A) Authorized Trader of such Participant, (B) other 

Supervised Person of such Participant, (C) other Person using a User ID of such Participant 

or login credentials linked to the Participant or User ID, (D) agent or representative of such 
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Participant, in each case, that constitute a violation as if such violation were that of the 

Participant, or (E) Sponsored Participant, Client or Customer of such Participant.

(g) The SEF may hold an Authorized Trader liable for, and impose sanctions against such 

Authorized Trader for, such Authorized Trader’s own acts and omissions that constitute a 

violation as well as or for the acts and omissions of any agent or representative of such 

Authorized Trader that constitute a violation as if such violation were that of the 

Authorized Trader.

Rule 6001 Inquiries and Investigations

(a) The Market Regulation Department shall investigate potential or alleged violations of the 

SEF Rules. The Market Regulation Department will commence an investigation (i) upon 

the receipt of a request from CFTC staff or (ii) upon the discovery or receipt of information 

that, in the judgment of the Market Regulation Department, indicates a reasonable basis 

for finding that a violation may have occurred or will occur. The Market Regulation 

Department will determine the nature and scope of its inquiries and investigations and will 

function independently of any commercial interests of the SEF.

(b) The Market Regulation Department may:

(1) initiate and conduct inquiries and investigations, and engage such third-party 

advisors, include legal counsel, as it deems appropriate;

(2) prepare Investigation Reports and make recommendations concerning initiating 

disciplinary proceedings;

(3) prosecute alleged violations within the SEF’s disciplinary jurisdiction; and

(4) represent the SEF on summary imposition of fines, summary suspension or other 

summary action.

(c) Each Clearing Firm, Participant, Sponsored Participant, Account Manager, Authorized 

Trader, Customer, Client and Supervised Person and any other Person that is subject to the 

SEF’s jurisdiction:

(1) is obligated to appear and testify and respond in writing to interrogatories within 

the time period required by the SEF in connection with:

(i) any SEF Rule or any other provision of Applicable Law for which the SEF 

has disciplinary jurisdiction;

(ii) any Disciplinary Action; or

(iii) any preparation for and presentation during a Disciplinary Action; 
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(2) 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 SEF in connection with:

(i) any SEF Rule or any other provision of Applicable Law for which the SEF 

has disciplinary jurisdiction;

(ii) any situation in which such books, records, papers, documents or other 

tangible evidence would be useful to the SEF in determining if a violation 

of a SEF Rule has occurred;

(iii) any Disciplinary Action; or

(iv) any preparation for and presentation during a Disciplinary Action; and

(3) may not impede or delay any Disciplinary Action.

(d) Each investigation must be completed in a timely manner. Absent mitigating factors, a 

timely manner is no later than twelve (12) months after the date that an investigation is 

opened. Mitigating factors that may reasonably justify an investigation taking longer than 

twelve (12) months to complete include the complexity of the investigation, the number of 

firms 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 Market Regulation Department.

Rule 6002 Reports of Investigations

(a) The Market Regulation Department will maintain a log of all investigations and the 

disposition of each. The Market Regulation Department will prepare an Investigation 

Report, regardless of whether the evidence gathered during any inquiry or investigation 

forms a reasonable basis to believe that a violation within the SEF’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) The Investigation Report will include the reasons for initiating the investigation (including 

a summary of the complaint, if any), all relevant facts and evidence gathered, Market 

Regulation Department’s analysis and conclusions, the potential respondent’s disciplinary 

history at the SEF, and the recommendation of the Market Regulation Department. For 

each potential respondent, the Market Regulation Department will recommend:

(1) closing the investigation without further action;

(2) settlement;

(3) summary action;

(4) the preparation and service of a Notice of Charges for initiating a disciplinary 

proceeding;
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(5) resolving the investigation through an informal disposition, including the issuance 

of a warning letter (an informal disposition (including the issuance of a warning 

letter) will not constitute a finding of a violation or a sanction);

(6) forwarding the Investigation Report to a Review Panel as discussed in Rule 6004; 

or

(7) in the case of one of the violations described in Rule 6016(a)(1) through (4), 

forwarding the Investigation Report to the Regulatory Oversight Committee for 

determination regarding whether to impose a summary fine under Rule 6016.

(c) After reviewing the Investigation Report, the Chief Compliance Officer will:

(1) proceed with the Market Regulation Department’s recommendation;

(2) forward the Investigation Report to a Review Panel as discussed in Rule 6004; or

(3) in the case of one of the violations described in Rule 6016(a)(1) through (4), 

forward the Investigation Report to the Regulatory Oversight Committee for 

determination regarding whether to impose a summary fine under Rule 6016.

Rule 6003 Opportunity to Respond

(a) If the Review Panel authorizes disciplinary proceedings or the Chief Compliance Officer 

determines to proceed with the Market Regulation Department’s recommendation to 

initiate disciplinary proceedings, the Market Regulation Department will notify each 

potential respondent that the Market Regulation Department or Review Panel has 

recommended formal disciplinary charges against the potential respondent.

(b) The SEF may allow a potential respondent to propose a settlement of the matter or to submit 

a written statement explaining why a disciplinary proceeding should not be instituted or 

one or more of the potential charges should not be brought. The potential respondent shall 

submit such written statement within the time limit established by the Market Regulation 

Department.

Rule 6004 Review of Investigation Reports

(a) The Chief Compliance Officer may, in his/her discretion, convene a Review Panel to 

review the Investigation Report.

(b) The Review Panel shall be appointed by the Chief Compliance Officer or the SEF’s 

Regulatory Services Provider and shall be comprised of three individuals, at least two of 

whom would not be disqualified from serving as Public Directors. Each Review Panel must 

include members who have had relevant experience in some capacity (whether as a current 

or former employee, officer, director, principal, consultant, advisor, service provider or 

otherwise) working with or for sufficient different Membership Interests so as to ensure 

fairness and to prevent special treatment or preference for any Person in the conduct of the 

Review Panel’s responsibilities, and no member of the Review Panel may be involved in 
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the adjudication of any other stage of the same proceeding. If a vacancy occurs on a Review 

Panel after it has begun a proceeding, the remaining members of the panel shall complete 

consideration and disposition of the matter. Once the Review Panel has provided its 

decision, it shall be dissolved automatically.

(c) The Review Panel will review the Investigation Report and any reports of additional 

investigation or evidence provided by the Market Regulation Department pursuant to Rule 

6004(c)(1) below and, within thirty (30) days of receiving the Investigation Report or 

report of additional investigation or evidence, as applicable, will take one of the following 

actions:

(1) If the Review Panel determines that additional investigation or evidence is needed, 

it will promptly direct the Market Regulation Department to conduct further 

investigation or obtain additional evidence.

(2) If the Review Panel determines that no reasonable basis exists for finding a 

violation of the SEF Rules or any other provision of Applicable Law for which the 

SEF has disciplinary jurisdiction has occurred or is about to occur or that 

adjudication is otherwise unwarranted, it may direct that no further action be taken. 

Such determination will be in writing, and will include the reason the investigation 

was initiated, a summary of the complaint, a written statement setting forth the facts 

and analysis supporting the decision and, if applicable, any recommendations. The 

Review Panel shall also provide the written statement to any applicable Regulatory 

Services Provider.

(3) If the Review Panel determines that a reasonable basis exists for finding a violation 

of the SEF Rules or any other provision of Applicable Law for which the SEF has 

disciplinary jurisdiction has occurred or is about to occur and adjudication is 

warranted, the Review Panel will determine for each potential respondent whether 

to authorize:

(i) the informal disposition of the investigation (by issuing a warning letter or 

otherwise) because disciplinary proceedings are unwarranted, in which case 

the Review Panel shall provide a written explanation to any Regulatory 

Services Provider;

(ii) the closing of the investigation without any action because no reasonable 

basis exists to believe that a violation within the SEF’s jurisdiction has 

occurred or is about to occur in which case the Review Panel shall provide 

a written explanation to any Regulatory Services Provider; or

(iii) the commencement of disciplinary proceedings because a reasonable basis 

exists to believe that a violation within the SEF’s jurisdiction has occurred 

or is about to occur.

(d) A failure of the Review Panel to act within the time prescribed above shall not prevent the 

appointment of a Disciplinary Panel. The Chief Compliance Officer shall inform the ROC 

of any such failure of the Review Panel to act. The ROC shall, within thirty (30) days of 
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the date by which the Review Panel was required to act review the failure and take 

appropriate action and may itself take any of the actions which the Review Panel could 

have taken under Rule 6004(c), including appointment of a Disciplinary Panel.

Rule 6005 Notice of Charges

(a) If the Review Panel (or the ROC in the event of a failure of the Review Panel to act within 

the requisite time period) authorizes disciplinary proceedings or the Chief Compliance 

Officer elects to follow the recommendation of the Market Regulation Department to 

commence a disciplinary proceeding, the Chief Compliance Officer will appoint a 

Disciplinary Panel as provided in Rule 6009. In addition, the Market Regulation 

Department will prepare, and serve in accordance with Rule 6007, a notice of charges (a 

“Notice of Charges”).

(b) A Notice of Charges will:

(1) state the acts, practices or conduct that the respondent is alleged to have engaged 

in;

(2) state the SEF Rule or other provision of Applicable Law alleged to have been 

violated or about to be violated;

(3) state the proposed sanctions;

(4) advise the respondent of its right to a hearing;

(5) advise the respondent of its right to be represented by legal counsel of its choosing 

in all succeeding stages of the disciplinary process;

(6) state the period of time within which the respondent can request a hearing on the 

Notice of Charges, which will not be less than twenty (20) days after service of the 

Notice of Charges;

(7) 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; and

(8) advise the respondent that any allegation in the Notice of Charges that is not 

expressly denied or answered will be deemed to be admitted.

Rule 6006 Answer to Notice of Charges

(a) If the respondent determines to answer a Notice of Charges, the respondent must file

answers within twenty (20) days after being served with such notice, or within such longer 

time period determined by the Disciplinary Panel in accordance with Rule 6012.
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(b) To answer a Notice of Charges, the respondent must in writing:

(1) specify the allegations that the respondent denies or admits;

(2) specify the allegations that the respondent does not have sufficient information to 

either deny or admit;

(3) specify any specific facts that contradict the Notice of Charges;

(4) specify any affirmative defenses to the Notice of Charges; and

(5) sign and serve the answer on the Disciplinary Panel.

(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 general denial by the 

respondent, without more, will not satisfy the foregoing requirements.

Rule 6007 Service of Notice of Charges

(a) Any Notice of Charges or other documents to be served pursuant to this Section 6 may be

served on the respondent personally or may be served (and service shall be deemed 

complete) by leaving the same at his or her place of business, by entrusting the same to 

reputable overnight courier for tracked delivery, or by depositing the same in the United 

States mail, postage prepaid, via registered or certified mail, in either case addressed to 

respondent at the address as it appears on the books and records of the SEF.

(b) Any Notice of Charges or other documents contemplated to be served pursuant to this 

Section 6 may also be served upon the respondent and service shall be deemed complete 

via electronic mail to the electronic mail address as it appears on the books and records of 

the SEF.

Rule 6008 Settlement Offers

(a) A respondent or potential respondent may, at any time after completion of an Investigation 

Report and before disciplinary proceedings have concluded, propose in writing an offer of 

settlement related to anticipated or instituted disciplinary proceedings.

(b) Any offer of settlement should contain proposed findings and sanctions and be signed by 

the respondent or potential respondent and submitted to the Market Regulation 

Department.

(c) A respondent or potential respondent may offer to settle disciplinary proceedings without 

admitting or denying the findings contained in the Notice of Charges but must accept the 

jurisdiction of the SEF over it and over the subject matter of the proceedings and consent 

to the entry of the findings and sanctions imposed.
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(d) If a respondent or potential respondent submits an offer of settlement in accordance with 

Rule 6008(a) above, the Market Regulation Department will forward the offer to the Chief 

Compliance Officer and the Chief Compliance Officer will in turn forward the offer to the 

Disciplinary Panel with a recommendation on whether to accept or reject the offer.

(e) If an offer of settlement is forwarded to it pursuant to Rule 6008(d) above, the Disciplinary 

Panel must review the offer of settlement within ninety (90) Business Days after receipt of 

the offer of settlement by the Chief Compliance Officer unless an extension has been 

agreed by the respondent in writing. The Disciplinary Panel may accept the offer of 

settlement, but may not alter the terms of a settlement offer unless the respondent agrees. 

A Disciplinary Panel, in its discretion, may permit the respondent to accept a sanction 

without admitting or denying the rule violation on which the sanction is based.

(f) If an offer of settlement is accepted by the Disciplinary Panel, it shall issue a written 

decision specifying:

(1) the rule violations it has reason to believe were committed, including the basis or 

reasons for the panel’s conclusions;

(2) any sanction to be imposed, which must include full customer restitution where

customer harm is demonstrated, except where the amount of restitution or to whom 

it should be provided cannot be reasonably determined; and

(3) if applicable, that the respondent has accepted the sanctions imposed without either 

admitting or denying the rule violations.

(g) In the event that the Disciplinary Panel accepts an offer of settlement without the agreement 

of the Chief Compliance Officer, the Disciplinary Panel’s written decision must adequately 

support such acceptance.

(h) If an offer of settlement is accepted and the related decision becomes final, the respondent’s 

submission of the offer will be deemed to constitute a waiver of the right to notice, 

opportunity for a hearing and review and appeal under the SEF Rules.

(i) The respondent may withdraw his, her or its offer of settlement at any time before final 

acceptance by the Disciplinary Panel. If an offer is withdrawn after submission, or is 

rejected by the Disciplinary Panel, the respondent must not be deemed to have made any 

admissions by reason of the offer of settlement and must not be otherwise prejudiced by 

having submitted the offer of settlement.

(j) If the offer of settlement of a respondent or potential respondent is not accepted by the 

Disciplinary Panel, fails to become final or is withdrawn by the respondent or potential 

respondent, the matter will proceed as if the offer had not been made and the offer and all 

documents relating to it will not become part of the record. Neither a respondent or 

potential respondent nor the Market Regulation Department may use an unaccepted offer 

of settlement as an admission or in any other manner at a hearing of disciplinary 

proceedings.
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Rule 6009 Disciplinary Panel

(a) The Chief Compliance Officer or the SEF’s Regulatory Services Provider will appoint a 

Disciplinary Panel (a) to conduct hearings in connection with any disciplinary proceedings 

authorized by the Chief Compliance Officer or a Review Panel to make findings and 

impose sanctions and/or (b) to review any offer of settlement made by a respondent or 

potential respondent after completion of an Investigation Report. The Disciplinary Panel 

will be comprised of three individuals, at least two of whom would not be disqualified from 

serving as Public Directors. In addition, each Disciplinary Panel must include members 

who have had relevant experience in some capacity (whether as a current or former 

employee, officer, director, principal, consultant, advisor, service provider or otherwise) 

working with or for sufficient different Membership Interests so as to ensure fairness and 

to prevent special treatment or preference for any Person in the conduct of the Disciplinary 

Panel’s responsibilities. A Disciplinary Panel may not include any members of the SEF’s 

compliance staff or any Person involved in adjudicating any other stage of the same 

proceeding. If a vacancy shall occur on a Disciplinary Panel after it has begun its 

proceedings, the remaining members shall complete consideration and disposition of the 

matter. Once a Disciplinary Panel has made its decision and notified all relevant parties, it 

shall be dissolved automatically. The chair of the Disciplinary Panel shall be appointed by 

the Chief Compliance Officer.

(b) Within ten (10) days of being notified of the appointment of the Disciplinary Panel, a 

respondent may seek to disqualify any individual named to the Disciplinary Panel for the 

reasons identified in the SEF Rules or for any other reasonable grounds by serving written 

notice on the Chief Compliance Officer. By not timely filing a request for disqualification, 

the respondent will be deemed to have waived any objection to the composition of a 

Disciplinary Panel. The Chief Compliance Officer, in consultation with the General 

Counsel, of the SEF 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.

(c) No Person shall serve on a Disciplinary Panel unless that Person has agreed in writing that 

he or she will not publish, divulge, or make known in any manner, any facts or information 

regarding the business of any Person or any other information which may come to his 

attention in his official capacity as a member of the Disciplinary Panel, except when 

reporting to the Board or to a committee concerned with such information or to the Market 

Regulation Department, when requested by the CFTC or other Government Agency or 

when compelled to testify in any judicial or administrative proceeding.

(d) All information, records, materials and documents provided to the Disciplinary Panel and 

all deliberations, testimony, information, records, materials and documents related thereto 

shall be treated as non-public and confidential and shall not be disclosed, except as 

necessary to further a SEF investigation or as required by law.

Rule 6010 Convening Hearings of Disciplinary Proceedings

(a) A hearing will be conducted privately and confidentially. Notwithstanding the 

confidentiality of hearings, the Disciplinary Panel may appoint an expert to attend any 
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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 Market Regulation 

Department.

(c) The chair of the Disciplinary Panel may continue, adjourn or otherwise conduct the 

hearing, as he or she may deem appropriate. The chair of the Disciplinary Panel will 

determine all procedural and evidentiary matters, including the admissibility and relevance 

of any evidence proffered.

(d) In determining procedural and evidentiary matters, the chair 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 General Counsel of the SEF, or his or her designee, 

may provide guidance to the chair of the Disciplinary Panel on the conduct of the hearing.

(e) Except for procedural and evidentiary matters decided by the chair of the Disciplinary 

Panel pursuant to Rule 6010(c) above and Rule 6012, unless each respondent otherwise 

consents, the entire Disciplinary Panel must be present during the entire hearing and any 

related deliberations.

Rule 6011 Respondent Review of Evidence

(a) Prior to the commencement of a 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 the SEF that the Market Regulation 

Department will use to support the allegations and proposed sanctions in the Notice of 

Charges or which the chair of the Disciplinary Panel deems relevant to the disciplinary 

proceedings. Notwithstanding the foregoing, no respondent will have the right to review, 

and the SEF will have no obligation to disclose, any documents that:

(1) are privileged or constitute attorney work product;

(2) were prepared by an employee of the SEF but will not be offered in evidence in the 

disciplinary proceedings;

(3) may disclose a technique or guideline used in examinations, investigations or 

enforcement proceedings; or 

(4) 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 Market Regulation Department, the Market 
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Regulation Department may redact, edit or code such information before furnishing it to 

the respondent.

(c) Notwithstanding anything in Rule 6011(b) above to the contrary, the Market Regulation 

Department:

(1) 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

(2) will provide the respondent with access to the information and portions of the 

documents that the Market Regulation Department intends to rely on to support the 

allegations or proposed sanctions in the Notice of Charges.

(d) For purposes of this Rule 6011, information that could adversely affect competitive 

positions may include positions in Swaps or other positions currently held, trading 

strategies employed in establishing or liquidating positions, the identity of any Customer, 

Client, Sponsored Participant, Participant or Authorized Trader and the personal finances 

of the Person providing the information.

Rule 6012 Conducting Hearings of Disciplinary Proceedings

(a) At a hearing conducted in connection with any disciplinary proceedings, the Market 

Regulation Department will present its case supporting the allegations and proposed 

sanctions in the Notice of Charges to the Disciplinary Panel. 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 Market Regulation Department and each respondent may:

(1) present evidence and facts determined relevant and admissible by the chair of the 

Disciplinary Panel;

(2) call and examine witnesses; and

(3) cross-examine witnesses called by other parties.

(c) 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 chair 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 6006.
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(d) If the respondent has requested a hearing on a charge that the respondent denies, or on a 

sanction set by the Disciplinary Panel under Rule 6014, the respondent will be given an 

opportunity for a hearing in accordance with the SEF Rules. Except for good cause, such 

hearing will be limited to addressing those charges denied by the respondent and/or 

sanctions set by the Disciplinary Panel under Rule 6014 for which a hearing has been 

requested.

(e) Any Person entitled, or required or called upon, to attend a hearing before a Disciplinary 

Panel pursuant to Rule 6012(b)(2) will be given reasonable notice, confirmed in writing, 

specifying the date, time and place of the hearing, and the caption of the disciplinary 

proceedings. All Persons subject to the SEF’s jurisdiction that are called as witnesses are 

required to appear at the hearing and, where applicable, produce evidence. The SEF 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 the SEF Rules or 

any other provision of Applicable Law for which the SEF has disciplinary jurisdiction 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 6006. In connection with considering 

apparent violations pursuant to this Rule 6012(f), the Disciplinary Panel may request that 

the Market Regulation Department provide the Disciplinary Panel with any additional 

information related to the violations at issue.

(g) The Disciplinary Panel may provide that a sanction be summarily imposed upon any Person 

within its jurisdiction whose actions impede the progress of a hearing.

(h) If the respondent has requested the hearing, a copy of the hearing must be made and must 

become a part of the record of the proceedings. The SEF will arrange for any hearing 

conducted in connection with disciplinary proceedings to be recorded 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 chair of the Disciplinary 

Panel may within his or her sole discretion require the respondent to pay the costs for 

transcribing the recording of the hearing.

(i) No interlocutory appeals of rulings of any Disciplinary Panel or chair of the Disciplinary 

Panel are permitted.

Rule 6013 Decision of Disciplinary Panel

(a) Promptly following a hearing, the Disciplinary Panel will issue a written order rendering 

its final 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 final decision of the Disciplinary Panel.
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(b) The Disciplinary Panel will serve a copy of the order of the disciplinary proceedings on 

the respondent and the Market Regulation Department. The order will include:

(1) The name of the respondent;

(2) the Notice of Charges or summary of the charges;

(3) the answer, if any, or a summary of the answer;

(4) a summary of the evidence produced at the hearing or, where appropriate, 

incorporation by reference of the Investigation Report;

(5) a statement of findings of fact and conclusions with respect to each charge, 

including a complete explanation of the evidentiary and other basis for such 

findings and conclusions with respect to each charge;

(6) each specific SEF Rule and/or other provision of Applicable Law that the 

respondent was found to have violated;

(7) a declaration of all sanctions imposed against the respondent, if any, including the 

basis for such sanctions and the effective date of each sanction;

(8) notice of respondent’s right to appeal; and

(9) a statement informing the respondent of the availability of CFTC review of the 

action pursuant to Part 9 of the CFTC Regulations.

(c) The written decision of the Disciplinary Panel will become effective upon the expiration 

of fifteen (15) days after it is served on the respondent and provided to the Market 

Regulation Department; provided, however, that the SEF may cause the decision to become 

effective prior to that time to the extent permitted under Part 9 of the CFTC Regulations.

Rule 6014 Sanctions

(a) After notice and opportunity for hearing in accordance with the SEF Rules, the SEF will 

impose sanctions on any Person subject to the SEF’s jurisdiction, including any Clearing 

Firm, Customer, Client, Sponsored Participant, Participant, Account Manager, Authorized 

Trader or Supervised Person, or any Person using a Participant’s User ID or login 

credentials linked to a Participant or User ID, if such Person is found to have violated or to 

have attempted to violate a SEF Rule or other provision of Applicable Law for which the 

SEF has disciplinary jurisdiction. All sanctions, including those imposed pursuant to an 

accepted settlement offer, must take into account the respondent’s disciplinary history. In 

the event of demonstrated customer harm, any sanction must also include full customer 

restitution, except where the amount of restitution or to whom it should be provided cannot 

be reasonably determined. Any such sanction (including any fine) shall be commensurate 

with the violation committed and clearly sufficient to deter recidivism or similar violations 

by other market participants.
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The SEF may impose one or more of the following sanctions or remedies:

(1) censure;

(2) limitation on Trading Privileges, ability to otherwise access the SEF, and/or other 

activities, functions or operations;

(3) suspension of Trading Privileges and/or ability to otherwise access the SEF;

(4) fine (subject to Rule 6014(b) below);

(5) restitution and/or disgorgement;

(6) termination of Trading Privileges and/or ability to otherwise access the SEF; 

(7) limitation, suspension or termination of rights as a Clearing Firm; or

(8) any other sanction or remedy deemed to be appropriate.

(b) The SEF may impose a fine of up to $100,000, unless aggravating or mitigating 

circumstances otherwise warrant as determined by the SEF, for each violation of the SEF 

Rules or other provision of Applicable Law for which the SEF has disciplinary jurisdiction. 

The minimum fine for any one violation is $1,000. If a fine or other amount is not paid 

within thirty (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 lesser of (i) the quoted prime rate plus three 

percent, and (ii) the maximum rate of interest permitted by Applicable Law. The SEF has 

sole discretion to select the bank on whose quotations it will base the prime rate. A 

Participant will be responsible for paying any fine or other amount imposed on, but not 

paid by, any of its Supervised Persons.

Rule 6015 Right to Appeal from Disciplinary Panel Decision, Summary Impositions of 

Fines and Other Summary Actions

(a) Each respondent found by the Disciplinary Panel to have violated the SEF Rules or other 

provision of Applicable Law for which the SEF has disciplinary jurisdiction or who is 

subject to termination or limitation of Trading Privileges, any summary fine imposed 

pursuant to Rule 6016 or any other summary action may appeal the decision within twenty 

(20) days of receiving the order 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) The SEF 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 twenty 

(20) days of receiving the order 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 order of the Disciplinary Panel or the summary 

action (including any sanctions, remedies or costs imposed thereby) shall be suspended.
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(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 

order of the Disciplinary Panel or any summary action on the grounds that:

(1) the order or summary action was arbitrary, capricious, an abuse of discretion or not 

in accordance with the SEF Rules;

(2) the order or summary action exceeded the authority or jurisdiction of the 

Disciplinary Panel, the Chief Compliance Officer or the SEF;

(3) the order or summary action failed to observe required procedures;

(4) the order or summary action was unsupported by the facts or evidence; or

(5) the sanctions, remedies or costs imposed were inappropriate or unsupported by the 

record.

The Chief Compliance Officer will forward copies of any notice of appeal received by him 

or her to all parties to the disciplinary proceeding or summary action, as the case may be, 

except the appellant. On or before the twentieth (20th) day after filing a notice of appeal, 

the appellant must file with the Chief Compliance Officer and serve on the appellee a brief 

supporting the notice of appeal and documents supporting the brief. On or before the 

twentieth (20th) day after the date on which the appellant serves its supporting brief, the 

appellee must file and serve its brief in opposition on the Chief Compliance Officer and 

the appellant. On or before the tenth (10th) day after the date on which the appellee serves 

its brief in opposition, the appellant may file and serve on the SEF a brief in reply.

In connection with any appeal, the Market Regulation Department will furnish to the Chief 

Compliance Officer and to the appellant and appellee a transcript of the hearing and any 

exhibits introduced at the hearing.

No later than thirty (30) days after the last submission filed pursuant to paragraph (e) of 

this Rule 6015, the Chief Compliance Officer or the SEF’s Regulatory Services Provider 

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 Market 

Regulation Department or have been a member of the Disciplinary Panel involved in the 

matters on appeal and at least two of whom would not be disqualified from serving as 

Public Directors. In addition, each Appeals Panel must include members who have had 

relevant experience in some capacity (whether as a current or former employee, officer, 

director, principal, consultant, advisor, service provider or otherwise) working with or for 

sufficient different Membership Interests so as to ensure fairness and to prevent special

treatment or preference for any Person in the conduct of the Appeals Panel’s 

responsibilities. The chair of the Appeals Panel shall be an individual who would not be 

disqualified from serving as a Public Director.

Within ten (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 or any Person 

designated as chair thereof for the reasons identified in Rule 2500 or in the definition of 
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Public Director (as the case may be) or on other reasonable grounds, 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 and appointment of its chair. 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.

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.

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.

After completing its review, the Appeals Panel may affirm, modify or reverse any order 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 the SEF 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.

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 and will provide a copy to the Chief Compliance 

Officer, the appellant and the appellee. 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 SEF Rule and other provision of Applicable 

Law for which the SEF has disciplinary jurisdiction 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.

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 cost) will be the final action of the SEF and will not be subject to appeal within the 

SEF; provided, however, that any suspension, expulsion, disciplinary or access denial 

action or other adverse action by the SEF may (to the extent required thereby) be subject 

to review by the CFTC pursuant to Part 9 of the CFTC Regulations.
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Rule 6016 Summary Imposition of Fines

(a) Notwithstanding any other provision of this Chapter 6, the SEF may, based on a 

determination made by the Regulatory Oversight Committee and without the need for any 

formal disciplinary procedures, summarily impose a fine against a Participant, Sponsored 

Participant, Account Manager, Authorized Trader, Client, Customer, Supervised Person or 

any other Person using a User ID of a Participant or login credentials linked to a Participant 

or User ID for failure to:

comply with the requirements set forth in Rule 4013.A.(k)(1)(ii);

make timely and accurate submissions to the SEF of notices, reports or other 

information required by the SEF Rules;

make timely payments of assessments, fees, costs, charges or fines to the SEF; or

keep any books and records required by the SEF Rules.

Investigations of possible violations of any of the foregoing shall be conducted by the 

Market Regulation Department in accordance with Rule 6001, but otherwise actions 

taken pursuant to this Rule 6016 shall be made in accordance with the procedures set 

forth herein rather than the procedures set forth in the remainder of this Chapter 6. The 

authority to impose a summary fine under this Rule 6016 does not prevent the Chief 

Compliance Officer from submitting any Investigation Report to a Review Panel in 

accordance with the formal disciplinary procedures of this Chapter 6 if the Regulatory 

Oversight Committee elects not to impose such a summary fine.

The Market Regulation Department will give notice of any fine determined to be imposed 

by the Regulatory Oversight Committee pursuant to this Rule 6016 to each Participant or 

other Person subject thereto. The notice will specify:

(1) the violations of the SEF Rules for which the fine is being imposed;

(2) the date of the violation for which the fine is being imposed; and

(3) the amount of the fine.

Within twenty (20) days of serving the notice of fine, the Participant or other Person subject 

thereto, as the case may be, must either pay or cause the payment of the fine. If a fine or 

other amount is not paid within twenty (20) days of the date that it becomes payable, then 

interest will accrue on the sum from the date that it became payable at the lesser of (i) the 

quoted prime rate plus three percent, and (ii) the maximum rate of interest permitted by 

Applicable Law. The SEF has sole discretion to select the bank on whose quotations it will 

base the prime rate. A Participant will be responsible for paying any fine or other amount 

imposed on, but not paid by, any of its Supervised Persons.

The SEF will set the amount of any fines imposed pursuant to this Rule 6016 at no less 

than $1,000 per violation, with the maximum fine for each violation not to exceed $5,000. 
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Recurring violations will be subject to progressively larger fines. Summary imposition of 

fines pursuant to this Rule 6016 will not preclude the SEF from bringing any other action 

against the Participant or any other Person.

Rule 6017 Warning Letters

The SEF authorizes the Market Regulation Department to issue a warning letter to a Person or 

entity under investigation or to recommend that a Disciplinary Panel take such an action. A 

warning letter issued in accordance with this Rule 6017 is not a penalty or an indication that a 

finding of a violation has been made. A copy of a warning letter issued by the Market Regulation 

Department will be included in the Investigation Report. No more than one warning letter for the 

same potential violation may be issued to the same Person or entity during a rolling 12-month 

period.

Rule 6018 Summary Access Denial Actions

(a) The Chief Compliance Officer, upon a good faith determination that there is a reasonable 

belief that such immediate action is necessary to protect the best interests of the SEF, may 

summarily suspend, revoke, limit, condition, restrict or qualify the Trading Privileges of a 

Participant, Sponsored Participant or any Supervised Person, including denial of access to 

the SEF.

(b) Non-Participants, including Customers and Clients, may be denied access to the SEF by 

the Chief Compliance Officer upon a good faith determination that there are substantial 

reasons to believe that such immediate action is necessary to protect the best interests of 

the SEF.

(c) If practicable, a respondent must be served with a notice before the action is taken or 

otherwise at the earliest possible opportunity. The notice must state the action taken, the 

reasons for the action, and the effective date, time and the duration of the action taken. The 

party shall be advised of his right to a hearing, as soon as reasonably practicable, before a 

Disciplinary Panel by filing notice of intent with the Market Regulation Department within 

ten (10) Business Days of the notice date.

(d) Any suspension, revocation, limitation, condition, restriction or qualification imposed on 

any Participant, Supervised Person or non-Participant (including Sponsored Participants, 

Customers and Clients) pursuant to this Rule 6018 will be impartially enforced.

(e) Any denial, conditioning or termination that represents a suspension, expulsion, 

disciplinary or access denial action or other adverse action within the meaning of Part 9 of 

the CFTC Regulations may (to the extent required thereby) be subject to review by the 

CFTC pursuant to Part 9 of the CFTC Regulations.

Rule 6019 Rights and Responsibilities after Suspension, Temporary Deactivation or 

Termination

(a) When a Person’s Trading Privileges and/or ability to otherwise access the SEF are 

suspended or temporarily deactivated in accordance with Rule 3105(c), none of its rights 
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(including the right to hold oneself out to the public as a Participant or Authorized Trader, 

enter Orders into the SEF, submit Block Trades to the SEF, and receive Participant rates 

for fees, costs, and charges) will apply during the period of the suspension or deactivation, 

except for the right of the Person in question to assert claims against others as provided in 

the SEF Rules. Any such suspension or deactivation will not affect the rights of creditors 

under the SEF Rules or relieve the Person in question of its, his or her obligations under 

the SEF Rules to perform any Swaps entered into before the suspension or deactivation, or 

for any SEF fees, costs, or charges incurred during the suspension or deactivation. The SEF 

may discipline a suspended or deactivated Person under this Section 6 for any violation of 

the SEF Rules or other provision of Applicable Law committed by such Person before, 

during or after the suspension or deactivation.

(b) When a Person’s Trading Privileges and/or ability to otherwise access the SEF are 

terminated, all of its related rights will terminate, except for the right of the Person in 

question to assert claims against others, as provided in the SEF Rules. Any such 

termination will not affect the rights of creditors under the SEF Rules.

(c) When a Person’s Trading Privileges and/or ability to otherwise access the SEF are 

terminated, such person will pay to the SEF all assessments, fees, costs, charges and fines

due through the termination date (unless such Person shall have previously provided the 

SEF with written notice of a bona fide dispute in assessments, fees, costs and charges in 

which case such Person will pay all undisputed fees due through the termination date or 

unless any such fine is then the subject of an appeal, in which case such fine shall be due 

in accordance with the procedures applicable to such appeal).

(d) The SEF will not consider the application of a terminated Participant or Authorized Trader 

if such Participant or Authorized Trader, as the case may be, continues to fail to appear at 

disciplinary proceedings without good cause or continues to impede the progress of 

disciplinary proceedings.

(e) A suspended, deactivated or terminated Person remains bound by the SEF Rules and 

subject to the jurisdiction of the SEF with respect to any and all matters arising from, 

related to or in connection with, the status, actions or omissions of such Person prior to 

such suspension, deactivation or termination, and must cooperate in any inquiry, 

investigation, disciplinary proceeding, appeal of disciplinary proceedings, summary 

suspension or other summary action as if the suspended, deactivated or terminated Person 

still had Trading Privileges or ability to otherwise access the SEF.

Rule 6020 Notice to the Respondent, the Regulatory Services Provider and the Public; 

Effectiveness of Disciplinary and Access Denial Actions

(a) The SEF will provide written notice of disciplinary proceedings and of any access denial 

actions pursuant to Rule 3103 or 6018 to the relevant parties and the Regulatory Services 

Provider consistent with applicable CFTC Regulations. Whenever the SEF suspends, 

expels, fines or otherwise disciplines or denies any Person access to the SEF, the SEF will 

make the disclosures and notifications required by Part 9 of the CFTC Regulations 
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(including by any of the alternative methods available thereunder) and any other applicable 

CFTC Regulations.

(b) Without limiting the generality of the foregoing, the SEF shall, in accordance with the 

requirements of CFTC Regulation 9.11, provide written notice of its final decision 

regarding any disciplinary or access denial action to the Person against whom the action 

was taken within thirty (30) days of rendering such decision. Pursuant to CFTC Regulation 

9.12, any disciplinary or access denial action taken will not become effective until at least 

fifteen (15) days after the written notice is delivered to the Person disciplined or denied 

access; provided, however, that the SEF may cause a Disciplinary Action to become 

effective prior to that time in accordance with CFTC Regulation 9.12.

Rule 6021 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 if the Disciplinary Panel concludes that the respondent has behaved in a 

manifestly unreasonable manner. Costs may include costs associated with the inquiry or 

investigation, the prosecution by the Market Regulation Department, legal and professional 

assistance, the hearing and administrative and other expenses incurred by the Disciplinary 

Panel.

(b) The Disciplinary Panel may only award costs against the SEF if the panel concludes that 

the SEF 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 the SEF 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. The SEF or the respondent will pay any costs ordered to be paid 

by it by the Disciplinary Panel within thirty (30) days of written notice of the amount 

imposed by the Disciplinary Panel. If costs are not paid within twenty (20) days of the date 

that it becomes payable, then interest will accrue on the sum from the date that it became 

payable at the lesser of (i) the quoted prime rate plus three percent and (ii) the maximum 

rate of interest permitted by applicable law. The SEF has sole discretion to select the bank 

on whose quotations it will base the prime rate. Participant will be responsible for paying 

any costs imposed on, but not paid by, any of its Supervised Persons.

Rule 6022 Ex Parte Communications

(a) A Person subject to a disciplinary proceeding or an appeal from a disciplinary proceeding 

(and any counsel or representative of such Person) and the Market Regulation Department 

(and any counsel or representative of the Market Regulation Department) shall not 

knowingly make or cause to be made an ex parte communication relevant to the merits of 

a disciplinary proceeding or an appeal from a disciplinary proceeding to any member of 

the Disciplinary Panel or Appeals Panel hearing such proceeding.
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(b) Members of a Disciplinary Panel or an Appeals Panel shall not knowingly make or cause 

to be made an ex parte communication relevant to the merits of a disciplinary proceeding 

or an appeal from a disciplinary proceeding to any Person subject to such proceeding (and 

any counsel or representative of such Person) or the Market Regulation Department (and 

any counsel or representative of the Market Regulation Department).

(c) Any Person who receives, makes or learns of any communication that is prohibited by this 

Rule 6022 shall promptly give notice of such communication and any response thereto to 

the Market Regulation Department and all parties to the proceeding to which the 

communication relates.

(d) A Person shall not be deemed to have violated this Rule 6022 if the Person refuses an 

attempted communication concerning the merits of a proceeding as soon as it becomes 

apparent the communication concerns the merits.

Rule 6023 [Reserved]

Rule 6024 Extension or Waiver of the SEF Rules

If necessary and expedient, the Chief Compliance Officer may, in his or her sole discretion, waive, 

or extend the time period for performing, any act or acts designated by the SEF Rules, but only to 

the extent such waiver or extension is not inconsistent with the CEA, CFTC Regulations or other 

applicable regulations.

Rule 6025 Effect of Amendment, Repeal or New SEF Rule

(a) If an amendment or repeal of a SEF Rule or adoption of a new SEF 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 SEF Rule or adoption of a new SEF 

Rule relating to Swaps is binding on all Swaps entered into before and after the effective 

date of such amendment, repeal or adoption.

(b) If an amendment or repeal of a SEF Rule or adoption of a new SEF Rule materially changes 

the terms or conditions of a Swap or affects the value of open Swaps, then the amendment, 

repeal or new SEF Rule is binding only on 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 6026 [Reserved]

Rule 6027 Governing Law, Jurisdiction and Dispute Resolution

(a) The law of the State of New York governs the SEF Rules regardless of the laws that would 

otherwise apply under applicable choice-of-law principles.

(b) Any dispute between the SEF and a Person arising from or in connection with the SEF 

Rules or use of the SEF must be brought to arbitration pursuant to subsection (c) of this 
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Rule 6027 within two (2) years from the occurrence of the event giving rise to the dispute. 

This Rule 6027 shall in no way create a cause of action nor authorize an action that would 

otherwise be prohibited by the SEF Rules.

(c) Any dispute between the SEF and a Person arising from or in connection with the SEF 

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 6027 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 the SEF and each Person 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 6027 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 

SEF and the Person 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 Persons unconditionally and irrevocably waive any and 

all right to trial by jury in connection with any such dispute.

Rule 6028 Limitation of Liability, Indemnity

(a) UNLESS ARISING OUT OF THE GROSS NEGLIGENCE, WILLFUL MISCONDUCT 

OR FRAUD OF THE SEF, THE SEF, ITS SUBSIDIARIES AND AFFILIATES AND 

THEIR RESPECTIVE OFFICERS, DIRECTORS, EMPLOYEES, AND AGENTS 

(EACH A “RELATED PARTY” AND COLLECTIVELY “RELATED PARTIES”) 

HAVE NO LIABILITY, CONTINGENT OR OTHERWISE, TO PARTICIPANTS OR 

TO THIRD PARTIES, FOR THE CORRECTNESS, QUALITY, ACCURACY, 

SECURITY, COMPLETENESS, RELIABILITY, PERFORMANCE, TIMELINESS, 

PRICING OR CONTINUED AVAILABILITY OF THE SEF SERVICES OR FOR 

DELAYS OR OMISSIONS OF THE SEF SERVICES, OR FOR THE FAILURE OF ANY 

CONNECTION OR COMMUNICATION SERVICE TO PROVIDE OR MAINTAIN 

PARTICIPANT ACCESS TO THE SEF SERVICES, OR FOR ANY INTERRUPTION 

IN OR DISRUPTION OF A PARTICIPANT’S ACCESS OR ANY ERRONEOUS 

COMMUNICATIONS BETWEEN THE SEF AND A PARTICIPANT. THE SEF AND 

ITS RELATED PARTIES ARE NOT LIABLE FOR ANY SPECIAL, INDIRECT, 

INCIDENTAL OR CONSEQUENTIAL DAMAGES WHICH A PARTICIPANT OR 

ANY THIRD PARTY MAY INCUR OR EXPERIENCE BECAUSE THE 

PARTICIPANT ENTERED INTO THESE TERMS OR RELIED ON THE SEF 
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SERVICES, EVEN IF THE SEF KNOWS OF THE POSSIBILITY OF THOSE 

DAMAGES. THE SEF AND ITS RELATED PARTIES ARE NOT RESPONSIBLE FOR 

INFORMING A PARTICIPANT OF ANY DIFFICULTIES THE SEF OR OTHER 

THIRD PARTIES EXPERIENCE CONCERNING USE OF THE SEF SERVICES OR TO 

TAKE ANY ACTION IN CONNECTION WITH THOSE DIFFICULTIES. THE SEF 

AND ITS RELATED PARTIES ALSO HAVE NO DUTY OR OBLIGATION TO 

VERIFY, CORRECT, COMPLETE OR UPDATE ANY INFORMATION DISPLAYED 

IN THE SEF SERVICES. EACH PARTICIPANT IS SOLELY RESPONSIBLE FOR 

ANY LOSSES, DAMAGES OR COSTS RESULTING FROM THE PARTICIPANT’S 

RELIANCE ON ANY DATA OR INFORMATION THAT THE SEF MAY PROVIDE 

IN CONNECTION WITH A PARTICIPANT’S USE OF THE SEF SERVICES.

(b) THE SEF DOES NOT MAKE ANY RECOMMENDATION AS TO THE SUITABILITY 

OF ANY INVESTMENT OR PROPOSED TRANSACTION. EACH PARTICIPANT 

ACKNOWLEDGES THAT THE SEF WILL NOT, AND ARE UNDER NO DUTY TO, 

PROVIDE ADVICE IN RELATION TO ANY SUCH TRANSACTION OR PROPOSED 

TRANSACTION THROUGH ANY SEF SERVICE. EACH PARTICIPANT AGREES 

THAT (i) THE SEF SERVICES ARE NOT AND WILL NOT BE THE BASIS FOR ANY 

OF INVESTMENT DECISIONS BY A PARTICIPANT AND (ii) PARTICIPANTS ARE 

SOLELY RESPONSIBLE FOR (A) ANY INVESTMENT OR TRADING DECISIONS 

THAT THE PARTICIPANT MAKES WITH RESPECT TO THE PRODUCTS 

AVAILABLE VIA ANY SEF SERVICE AND (B) DETERMINING WHETHER ANY 

TRANSACTION IS SUITABLE, APPROPRIATE OR ADVISABLE FOR THE 

PARTICIPANT OR SPONSORED PARTICIPANT OR CLIENTS OR CUSTOMERS. 

PROVISION OF THE SEF SERVICES DOES NOT MAKE THE SEF AN ADVISOR OR 

FIDUCIARY FOR A PARTICIPANT, SPONSORED PARTICIPANT, CLIENT OR 

CUSTOMER. THESE TERMS DO NOT CONSTITUTE AN OFFER TO SELL OR 

SOLICITATION OF AN OFFER TO BUY SECURITIES OR OTHER INSTRUMENTS. 

IN ADDITION, THE SEF SERVICES DO NOT INCLUDE ANY INVESTMENT, 

FINANCIAL, LEGAL OR TAX ADVICE WHICH PARTICIPANT MAY DESIRE OR 

NEED IN CONNECTION WITH ANY TRANSACTION. PARTICIPANTS ARE 

RESPONSIBLE FOR OBTAINING ANY LEGAL OR TAX ADVICE.

(c) IF A THIRD PARTY CLAIMS THAT THE SEF SERVICES INFRINGE UPON ITS 

PATENT COPYRIGHT, OR TRADE SECRET, OR ANY SIMILAR INTELLECTUAL 

PROPERTY RIGHT, THE SEF WILL DEFEND THE PARTICIPANT AGAINST THAT 

CLAIM AT THE SEF’S EXPENSE AND PAY ALL DAMAGES THAT A COURT 

FINALLY AWARDS, PROVIDED THAT THE PARTICIPANT PROMPTLY NOTIFY 

THE SEF IN WRITING OF THE CLAIM AND COOPERATE WITH THE SEF IN THE 

DEFENSE OR ANY RELATED SETTLEMENT NEGOTIATIONS. THE SEF SHALL 

HAVE SOLE CONTROL OVER THE DEFENSE AND ANY NEGOTIATION FOR ITS 

SETTLEMENT OR COMPROMISE. IF SUCH A CLAIM IS MADE OR IS LIKELY TO 

BE MADE, THE SEF SHALL, AT THE SEF’S SOLE OPTION, HAVE THE RIGHT TO 

TAKE ONE OR MORE OF THE FOLLOWING ACTIONS AT NO ADDITIONAL 

COST TO THE PARTICIPANT: (i) PROCURE THE RIGHT FOR THE PARTICIPANT 

TO CONTINUE THE USE OF THE SEF SERVICES; (ii) REPLACE THE SEF 

SERVICES WITH NON-INFRINGING SOFTWARE; OR (iii) MODIFY THE SEF 
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SERVICES SO AS TO BE NON-INFRINGING. IF THE SEF DETERMINE THAT 

NONE OF THESE ALTERNATIVES IS REASONABLY AVAILABLE, THE 

PARTICIPANT AGREES TO IMMEDIATELY TERMINATE ITS USE OF THE SEF 

SERVICES ON THE SEF’S WRITTEN REQUEST. HOWEVER, THE SEF HAS NO 

OBLIGATION FOR ANY CLAIM BASED ON THE SEF’S USE OF THE SEF 

SERVICES IN ANY MANNER INCONSISTENT WITH THESE TERMS, 

PARTICIPANT’S MODIFICATION OF THE SEF SERVICES OR PARTICIPANT’S 

COMBINATION, OPERATION, OR USE OF THE SEF SERVICES WITH ANY 

PRODUCT, DATA, OR APPARATUS NOT SPECIFIED OR PROVIDED BY THE SEF, 

PROVIDED THAT SUCH CLAIM SOLELY AND NECESSARILY IS BASED ON 

SUCH COMBINATION, OPERATION OR USE, OR FOR CONTINUED ALLEGEDLY 

INFRINGING ACTIVITY BY THE PARTICIPANT AFTER THE PARTICIPANT 

HAVE BEEN NOTIFIED OF POSSIBLE INFRINGEMENT, UNLESS APPROVED IN 

ADVANCE BY THE SEF. THE FOREGOING REPRESENTS THE SOLE AND 

EXCLUSIVE REMEDY FOR PARTICIPANTS WITH REGARD TO ANY OF THE 

ABOVE INFRINGEMENTS OR ALLEGED INFRINGEMENTS.

(d) WITH THE EXCEPTION OF THE PROVISIONS OF RULE 6028(c), THE SEF’S 

LIABILITY AND THE COLLECTIVE LIABILITY OF THE SEF’S RELATED 

PARTIES AND THE THIRD PARTY SERVICE PROVIDERS SELECTED BY THE 

SEF, IF ANY, ARISING OUT OF ANY KIND OF LEGAL CLAIM (WHETHER IN 

CONTRACT, TORT, OR OTHERWISE) OR IN ANY WAY CONNECTED TO A 

PARTICIPANT’S USE OF THE SEF SERVICES WILL NOT EXCEED $500,000 

UNLESS CAUSED DIRECTLY BY THE SEF’S GROSS NEGLIGENCE OR WILLFUL 

MISCONDUCT.

(e) NONE OF THE ABOVE WILL LIMIT PARTICIPANT’S RIGHTS AND REMEDIES 

OTHERWISE AVAILABLE UNDER THE STATE OR FEDERAL SECURITIES 

LAWS, CFTC REGULATIONS OR THE CEA.
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EMERGENCIES

Rule 7000 Emergency Rules

(a) During an Emergency, the Board and/or the CEO (or, if the CEO is not available, the most 

senior Officer that is available), in consultation with the CFTC and/or any relevant DCO, 

as necessary, may implement temporary emergency procedures and rules (“Emergency 

Rules”), subject to the applicable provisions of the CEA and CFTC Regulations. 

Emergency Rules may require or authorize the SEF, the Board, any committee of the 

Board, the CEO or any other Officer to take Emergency Action necessary or appropriate 

to respond to the Emergency. If applicable, the SEF may provide for the carrying out of 

Emergency Actions through its agreements with its Regulatory Services Provider.

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the Board 

must approve the enforcement of such Emergency Rule at a duly convened meeting. 

Directors may attend such a meeting by teleconference and such meeting may, if necessary, 

be conducted pursuant to Rule 2100(c). Notwithstanding, if the CEO (or, if the CEO is not 

available, the most senior Officer that is available) determines that Emergency Rules must 

be implemented with respect to an Emergency before a meeting of the Board can 

reasonably be convened, then the CEO (or such seniormost 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. 

In such circumstances, the CEO (or such seniormost Officer) must convene a meeting of 

the Board (which may, if necessary, be conducted pursuant to Rule 2100(c)) as soon as 

practicable thereafter. Notwithstanding that the Board does not ratify or approve extending 

or making permanent any Emergency Rules implemented by the CEO or seniormost 

Officer pending convening of the Board meeting, all actions previously taken in accordance 

with such Emergency Rules shall remain binding and valid.

(c) Whenever the SEF, the Board, any committee of the Board, the CEO or any other Officer 

takes actions necessary or appropriate to respond to an Emergency in accordance with any 

Emergency Rule, a duly authorized representative of the SEF, where possible, will post an 

announcement in a Notice to Participants. When the Board and/or the CEO (or, if the CEO 

is not available, the most senior Officer that is available) determines that the Emergency 

has been reduced sufficiently to allow the SEF to resume normal functioning, any such 

actions responding to an Emergency will be terminated.

(d) The SEF 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, 

the SEF 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, the SEF will document the decisionmaking process related to such action. Such documentation will be kept for at least five (5) 
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years following the date on which the Emergency ceases to exist or to affect the SEF, and 

all such documentation will be provided to the CFTC upon request.
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RECORDKEEPING AND REPORTING

Rule 8000 Maintenance of Books and Records by the SEF

(a) The SEF shall keep, or cause to be kept, all books and records required to be maintained 

by it pursuant to the CEA and the CFTC Regulations, including CFTC Regulations 37.1001 

and 45.2. Such records shall include, without limitation, a complete audit trail for all Swaps 

executed on or subject to the SEF Rules, investigatory files and disciplinary files.

(b) The SEF shall retain all books and records related to a Swap executed on or pursuant to the 

SEF Rules throughout the life of the Swap and for a period of at least five (5) years 

following the final termination of the Swap and shall retain all other books and records for 

a period of at least five (5) years, in each case, in the form and manner required under the 

CEA and CFTC Regulations, including CFTC Regulations 1.31, 45.2 and 37.1001.

(c) All books and records required to be maintained by the SEF shall be open to inspection 

upon request by any representative of the CFTC, the United States Department of Justice 

or the SEC or by any representative of a prudential regulator as authorized by the CFTC. 

In addition, all audit trail data and reconstructions shall be made available to the CFTC or 

the United States Department of Justice in a form, manner and time that is acceptable to 

the CFTC or the United States Department of Justice, as applicable.

(d) The SEF may disclose, to any Government Agency, Self-Regulatory Organization or other 

Person, information concerning or associated with a Participant or other Person if the SEF

believes such disclosure is necessary and appropriate in exercising a legal or regulatory 

function, whether or not a formal arrangement governing the disclosure exists or a request 

for information was made.

Rule 8001 Order Information

(a) Each Authorized Trader entering an Order with respect to any Swap traded on or subject 

to the SEF Rules must include with the Order, all data required to enable the SEF to meet 

its reporting obligations under Parts 43 and 45 of the CFTC Regulations, including without 

limitation:

(1) the User ID;

(2) the Participant ID;

(3) the Legal Entity Identifier of the Participant and, where the Participant is acting as 

agent, of the Customer or Client, with respect to the Swap for which the Order is 

placed;

(4) the price or yield, quantity and maturity or expiration date of the Swap;

(5) side of the Order;
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(6) the Customer Type Indicator Code (as specified below);

(7) a yes/no indication of whether the Participant, Customer or Client is a Swap Dealer;

(8) a yes/no indication of whether the Participant, Customer or Client is a Major Swap 

Participant;

(9) a yes/no indication of whether the Participant, Customer or Client is a Financial 

Entity;

(10) a yes/no indication of whether the Participant, Customer or Client is a U.S. person;

(11) if the Swap will be allocated:

(i) an indication that the Swap will be allocated;

(ii) the Legal Entity Identifier of the Account Manager acting as agent;

(iii) a yes/no indication of whether the Account Manager acting as agent is a 

U.S. person;

(iv) an indication of whether the Swap is a post-allocation Swap;

(v) if the Swap is a post-allocation Swap, the account and Legal Entity 

Identifier for each Client that received allocations; and

(vi) if the Swap is a post-allocation Swap, the USI of the original Transaction 

between the Reporting Counterparty and the Account Manager acting as 

agent;

(12) if applicable, an indication that the Participant, Customer or Client will elect to rely 

on a Clearing Exception for any Swap resulting from the Order and a description 

of the applicable Clearing Exception; 

(13) a yes/no indication of whether the Order is part of a Package Transaction; 

(14) if the Order is part of a Package Transaction, a description of the Transaction;

(15) an indication of whether the Order is a Prime Brokerage Order; and

(16) if a Prime Brokerage Order, the identity of the relevant Prime Broker.

For purposes of this Rule 8001(a), the “Customer Type Indicator Codes” are as follows:

• CTI 1 – Orders for the proprietary account of a Participant that is natural person.

• CTI 2 – Orders for the proprietary account of a Participant that is not a natural 

person.
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• CTI 3 – Order entered by a Participant for the proprietary account of another 

Participant or for an account which the other Participant controls or has an 

ownership or financial interest in.

• CTI 4 – Any order not meeting the definition of CTI 1, 2 or 3, including those 

entered by Introducing Brokers on behalf of a Customer.

Participants and ISVs that operate systems that route orders to the SEF are responsible for 

maintaining or causing to be maintained a routing/front-end audit trail for all Orders, which 

shall include Order entry, modification and cancellation and any SEF responses to such 

messages. For executed Orders, such audit trail must record the execution time of the 

Transaction, along with all fill information. Participants and ISVs shall maintain audit trail 

information as required by Applicable Law and must have the ability to produce audit trail 

data in a reasonably usable format upon request of the SEF. The SEF will enforce these 

audit trail and recordkeeping requirements by conducting an annual review of all 

Participants to verify their compliance with the SEF’s audit trail and recordkeeping 

requirements.

Rule 8002 Books and Records

(a) Each Member, Customer, Client and Clearing Member must prepare and keep, or cause to 

be kept, all books, ledgers and other records relating to its activity on the SEF required to 

be kept by it pursuant to Applicable Law, and must prepare and keep such other books and 

records relating to its SEF activity as the SEF may from time to time prescribe. Such books 

and records must include, as applicable, records of such Person’s trading, including records 

of the Person’s activity in the index or instrument used as a reference price, the underlying 

commodity and related derivatives markets, and records of all non-swap components of 

Package Transactions. Each such Person shall retain all required books and records in 

accordance with Applicable Law, including the applicable provisions of CFTC Regulations 

1.31 and 45.2, and shall make such books and records available, upon request, to the SEF, 

the SEF’s Regulatory Services Provider, the CFTC or the United States Department of 

Justice and as otherwise required by Applicable Law.

(b) In addition to the information required by subsection (a) of this Rule 8002, each Member 

must comply with all applicable requirements of CFTC Regulation 1.35.

(c) If a Participant cannot enter an Order received from its Customer into the SEF, either 

directly or indirectly through an Execution Specialist, the Participant must immediately 

create an electronic record that includes the account identifier that relates to the Customer, 

time of receipt and terms of the Order.

(d) Each Person required to keep records in accordance with this Rule 8002 shall keep all 

books and records in accordance with the SEF Rules for a period of five (5) years from the

date on which they are first prepared unless otherwise provided in the SEF Rules or other 

Applicable Law. Such books and records shall be readily accessible during the first two (2) 

years of such five-year period, unless otherwise provided in the SEF Rules or other 

Applicable Law. Each such Person that is a counterparty to a Swap on the SEF or pursuant 
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to the SEF Rules shall retain all books and records related to such Swap for the life of the 

Swap and for a period of at least five (5) years following the final termination of the Swap. 

Each such Person that is a counterparty to an Uncleared Swap on the SEF or pursuant to 

the SEF Rules shall notify the SEF of any extension of the final termination of the Swap 

beyond the original stated maturity in order to enable the SEF to comply with Rule 8000(b) 

and the SEF’s obligations under Applicable Law.

(e) The SEF may require a Member, Customer or Client to furnish any information in 

connection with such Person’s activities on the SEF including (i) information relating to 

Swaps executed on the SEF or pursuant to the SEF Rules , on or pursuant to the rules of 

other swap execution facilities, DCMs or in related derivatives markets or to transactions 

or positions in the products underlying, related to or indexed to those Swaps or to which 

those Swaps are indexed (in whole or in part), and (ii) information requested by a 

Government Agency relating to the SEF and/or the SEF’s compliance with Applicable Law 

that the SEF believes is maintained by, or otherwise in the possession or control of, such 

Person.

(f) Each Authorized Trader shall prepare and keep, or cause to be kept, all books, ledgers and 

other records relating to its activity on the SEF as may be required to enable its related 

Member to comply with such Member’s obligations under this Rule 8002. Each Authorized 

Trader shall not knowingly take any action that would cause its associated Member to fail 

to comply with Rule 8002(d), and each Authorized Trader shall cooperate as necessary to 

enable its associated Member to comply with such Member’s obligations under Rule 

8002(e).

(g) Without limiting the generality of the foregoing, with respect to any Swap that has been 

allocated following execution on the SEF or pursuant to the SEF Rules, all Members, 

Customers and Clients must prepare and keep, or cause to be kept, all books, ledgers and 

other records as may be necessary to provide relevant information with respect to such 

post-trade allocation and will furnish such information to the SEF if the SEF, at the request 

of the CFTC or otherwise, requests such information. This Rule 8002(g) is intended to 

comply with the conditions of the no-action relief granted by the CFTC’s Division of 

Market Oversight in No-Action Letter 17-54, expiring at 11:59 p.m. (Eastern Time) on 

November 15, 2020. If such no-action relief is extended, upon and to the extent of such 

extension, the provisions of this Rule 8002(g) will continue apply.

Rule 8003 Recordkeeping Requirements for Block Trades

Block Trades submitted to the SEF in accordance with Rule 4016(b) must comply with the 

following recordkeeping requirements:

(a) Block Trades must be submitted in the form of a written or electronic record and must 

include information meeting the requirements of Rule 8001, including, without limiting the 

generality of the foregoing, Legal Entity Identifier information required by Rule 8001(8) 

with respect to parties and, where required, their agents, and a timestamp reflecting the 

date and time that the submission was received by the SEF. 
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(b) The record shall also include a timestamp reflecting the date and time that the Transaction 

was executed or cancelled to the nearest millisecond.

Rule 8004 Access to Position Information

Without limiting any provision of these SEF Rules, the SEF and any Regulatory Services Provider, 

shall have the authority to obtain from any Participant, Sponsored Participant, Account Manager, 

Customer or Client, or Supervised Person information with respect to positions of such Person or 

any Sponsored Participant, Customer or Client, or Supervised Person. This authority shall include 

the authority to obtain information concerning positions maintained at other firms, and it shall be 

the obligation of a Participant receiving such an inquiry to obtain such information from its 

Account Manager, Sponsored Participant, Customer, Client, or any Supervised Person. In the event 

a Participant Sponsored Participant, Customer, Client, or any Supervised Person fails to provide 

the requested information the SEF, in addition to any other remedy provided in these SEF Rules, 

may order that the Participant, Account Managers, Sponsored Participant, Customer, Client, or 

any Supervised Person liquidate the positions that are related to the inquiry.

Rule 8005 Reporting to a Swap Data Repository

(a) The SEF will report each Swap executed on the SEF or pursuant to the SEF Rules as soon 

as technologically practicable after execution to an Approved SDR in compliance with 

Parts 43 and 45 of the CFTC Regulations. For all Swaps executed on the SEF or pursuant 

to the SEF Rules, the SEF will report all swap transaction and pricing data required to be 

reported by Part 43 of the CFTC Regulations and all “primary economic terms data” (as 

defined in CFTC Regulation 45.1) required by Part 45 of the CFTC Regulations. In

addition, for Uncleared Swaps, the SEF will report any “confirmation data” (as defined in 

CFTC Regulation 45.1) that is readily available and collected by the SEF.

(b) All Swaps executed on the SEF or pursuant to the SEF Rules will be reported to DTCC 

Data Repository (U.S.) LLC (“DDR”), except that Swaps in the commodities asset class 

will be reported to the Approved SDR selected by the parties prior to executing the relevant 

Swap. The SDRs that are currently “Approved SDRs” are: (i) DDR; (ii) Chicago 

Mercantile Exchange Inc.; and (iii) ICE Trade Vault.

(c) The Reporting Counterparty for each Swap shall be established pursuant to CFTC 

Regulation 45.8. If the identity of the Reporting Counterparty cannot be established under 

CFTC Regulation 45.8, the ISDA Reporting Counterparty Rules shall be applied as 

provided in Appendix A hereto.

(d) If at any time the Reporting Counterparty for a Transaction that was executed on the SEF

or pursuant to the SEF Rules becomes aware of an error or omission in the swap transaction 

or pricing data that was reported with respect to such Transaction, either through its own 

initiative or through notice by the other party to the Transaction, such party shall promptly 

notify the SEF of the error and/or correction. Upon receiving a notification from the 

Reporting Counterparty or otherwise becoming aware of an error or omission in the swap 

transaction or pricing data reported with respect to a Transaction executed on the SEF or 

pursuant to the SEF Rules, the SEF shall promptly submit corrected data to the same Swap 
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Data Repository to which the Transaction was previously reported. For the avoidance of 

doubt, if a Transaction was incorrectly executed, Rule 5103 shall apply.

(e) No Person 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 Applicable 

Law, including the reporting requirements set forth in Part 43 of the CFTC Regulations.

Rule 8006 Timely Publication of Trading Information

The SEF will publish trading information as required by Core Principle 9 of Part 37 and by Part 16 

of the CFTC Regulations.

ACTIVE 218045559
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SYSTEM PROTOCOLS

Rule 9000 Voice RFQ System Protocol

Definitions

“Indication of Interest” means a price provided by a Voice RFQ Participant that is not the initiation 

of an RFQ or an Order.

“Initiator” means a Participant that begins an RFQ by contacting an Execution Specialist.

“Initiation” means an RFQ that is submitted by a Participant to an Execution Specialist.

“Interest Stack” means the order of Indications of Interest received from Participants at the start 

of the trading day in price, time priority.

“Responder” means a Recipient of an Initiator’s RFQ who subsequently provides an Order to the 

Execution Specialist in response.

“Response” means an Order provided by a Responder to an Execution Specialist.

“RFQ Stack” means the order of RFQ Initiations and Responses that are received in price, time 

priority.

“Outright Spreadover” means a Package Transaction that has only two components: (i) a Swap 

component; and (ii) a U.S. Treasury Security component.

“Voice RFQ” or “vRFQ” means a RFQ that is submitted in accordance with the procedures in Rule 

4003.D. All RFQs are considered Non-Directed unless otherwise instructed by the Participant 

(Participants may request Directed RFQs).

“Voice RFQ Participant” means a Participant that on a particular trading day is in the Interest 

Stack or the RFQ Stack.

All capitalized terms not otherwise defined in this Voice RFQ System Protocol shall have the 

meanings ascribed to them in the SEF Rulebook.

Trading Hours

RFQ market operates 24 hours a day, Monday through Friday.

Contracts Offered for Trading

All Required USD, GBP and EUR denominated Interest Rate Swap products.

Required Interest Rate Swap vRFQ System Protocol
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(a) General Provisions. In cases where an Initiator or Responder does not provide a notional 

size in the Initiation or Response, the Execution Specialist will assume the instrument’s 

Voice RFQ market size for the specific tenor or for butterflies and strategies as listed in 

Appendix A to this Rule 9000 for butterflies and strategies. Voice RFQ market sizes may 

change from time to time at the discretion of the SEF and upon notice to Participants. All 

Initiations and Responses must be made via the SEF’s recorded telephone lines or 

electronic instant messaging communications.

The identity of the Initiator and Responder will be disclosed by Execution 

Specialists for all Initiations and Responses, including Non-Directed Voice RFQs 

and Directed Voice RFQs pursuant to Rule 4003.D.

Intermediaries initiating a Voice RFQ or responding to a Voice RFQ on behalf of 

a Customer must provide the Execution Specialist with the identity of the Customer.

Except as provided in Rule 9000(b) below, increments for Voice RFQs are as 

follows:

(i) Instruments quoted as a rate rather than a spread to another rate are quoted 

in 1/8 basis point increments (i.e. 1.01%, 1.010625%, 1.011875%, 

1.012500);

(ii) Instruments quoted as a spread to another rate (other than 

CME/LCH.Clearnet Spreads), including the rate of another leg to the 

transaction, are quoted in 1/8 basis point increments (i.e. 12.00, 12.125, 

12.25, 12.375, 12.50); and

(iii) CME/LCH.Clearnet Spreads (outrights, curves and butterflies) are quoted 

in 1/400 basis point increments (i.e. 1.80, 1.8025, 1.805).

(b) RFQs for Outright Spreadovers.

Initiations of Outright Spreadovers may be in increments of 1/8 of a basis point.

Responses to an Initiation for an Outright Spreadover in a 1/8 of a basis point 

increment include any resting Order in the Order Book.

(c) Interest Stack.

Upon the start of the trading day, Execution Specialists may canvass the market for 

Indications of Interest from Participants which may be used to identify potential 

Voice RFQ Initiators and Responders.

(i) Indications of Interest are announced to other Execution Specialists and 

maintained manually in an Interest Stack.

(ii) The order of the Interest Stack is based on price, time priority.
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Upon request by a Participant, an Execution Specialist may provide current 

Indications of Interest by stating the best prices among the Indications of Interest 

on the bid and offer side of the market for that instrument.

(d) RFQ Stack.

The RFQ Stack begins at the start of the first Voice RFQ of the trading day.

Voice RFQ Initiations will be maintained in price, time priority per instrument.

(i) Initiators will be placed at the top of an RFQ Stack if:

A. the Initiator traded the last best price in the most recent RFQ and 

indicates to the Execution Specialist that it wants to remain in the 

RFQ Stack; or

B. the Initiator initiates a new Voice RFQ that is better than any other 

current RFQ and any current Order Book price and that new Voice 

RFQ is available to the market for a minimum of 30 seconds without 

trading (“Untraded Initiator”).

(ii) Responses to Voice RFQs may become new Initiations upon request of the 

Responder. Such new Initiations will be placed in the RFQ Stack.

(e) Voice RFQ Initiation.

An Initiator may initiate a Voice RFQ by contacting an Execution Specialist.

Initiation of a Voice RFQ begins when the Initiator identifies the desired instrument 

and can include the direction, price, and/or size. RFQs that are initiated by an 

Intermediary must also provide the Customer identity to the Execution Specialist.

(i) If requested by a Participant, an Execution Specialist may assist a 

Participant in arriving at an initiation price by referencing the last 

transaction rate, indicating the mid-price of the current RFQs, referencing 

the prices of correlated tenors, and referencing recent transactions from 

other swap execution facilities posted by the SDR.

(ii) A Execution Specialist shall not amend, enter or cancel any Initiation unless 

instructed by the Participant. Participants may instruct Execution 

Specialists to amend, enter or cancel any Initiation by contacting the 

Execution Specialist via the SEF’s recorded telephone lines or electronic 

instant messaging communications.

Initiations are entered into the SEF’s internal Voice RFQ tool.
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(i) When required, pre-trade limit checks must be conducted prior to entry of 

the Initiation details into the Voice RFQ tool and prior to announcement of 

the details to other Execution Specialists.

The Execution Specialist must announce the details of the Voice RFQ to other 

Execution Specialists who in turn contact all Voice RFQ Participants in a NonDirected Voice RFQ unless the Voice RFQ Participant has requested that initiations 

of a certain contract, size, or price be withheld.

Indications of Interest in the Interest Stack will be used as potential responses after 

the Initiation has been announced to the vRFQ Participants.

Initiations in the RFQ Stack on the opposite side of a new Voice RFQ will receive 

priority in Responding to all Initiations subsequent to the first Voice RFQ of the 

trading day. Such priority expires after approximately 5 seconds.

(i) Prices in the Order Book at or better than the Initiation price will be included 

in the RFQ Stack of potential Responders.

(f) Voice RFQ Responses.

Responders must provide the Execution Specialist the price and size of the Order if 

above or below the assumed market size as described in Rule 9000 within 

approximately 5 seconds of communication of the Initiation.

(i) Orders are provided by the Execution Specialist to the Initiator in price, time 

priority.

A. Along with the first response, any resting Orders in the Order Book 

must be communicated to the Initiator.

B. Only the price is communicated to the Initiator unless otherwise 

instructed by the Responder.

(ii) A SEF Execution Specialist shall not amend, enter or cancel any Response 

unless instructed by the Participant. Participants may instruct Execution 

Specialists to amend, enter or cancel any Response by contacting the 

Execution Specialist via the SEF’s recorded telephone lines or electronic 

instant messaging communications.

The Initiator has approximately 5 seconds to accept or reject each Response 

provided upon communication of such Response.

(g) Acceptance of Order.

If, prior to the expiration of the time period described in Rule 9000(f)(2), the 

Initiator accepts an Order, the details of the Order are entered into the internal Voice 

RFQ tool.
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(i) If required, a pre-trade limit check will be conducted on the Response prior 

to entry into the vRFQ Tool and Execution.

The trade will be immediately reported to the SDR. Execution Specialists may not 

disclose the details of a transaction until the trade is sent to the SDR. Execution 

Specialists shall not disclose the identities of the counterparties to a trade to any 

other Participant at any time.

If there is only one Initiator and one Responder at the chosen price, that Initiator 

and Responder may trade the entire amount provided by the Responder (see Rule 

9000(f)(1)).

Stack Rules. If there are multiple Participants on either side of the market interested 

in trading at the chosen price, the initial transaction between Initiator and 

Responder may be for the double the Voice RFQ market size as listed in Appendix 

A to this Rule 9000. Each other Participant in the RFQ Stack will be eligible for a 

transaction at the Voice RFQ market size as listed in Appendix A in accordance 

with this Rule 9000(g)(4) and Rule 9000(d).

(i) If the Responder does not provide a size but post-execution of the market 

size indicates a desire to continue trading beyond the Tranche size (where 

the Initiator’s interest has been exhausted), the Responder may initiate a 

new RFQ that is announced to the market. The announcement of the new 

Voice RFQ ends the initial Voice RFQ.

(ii) Unless the Responder indicates a desire to continue trading an additional 

amount beyond the initial Tranche as described in Rule 9000(g)(4)(i), the 

order of the RFQ Stack will be followed with the Execution Specialist 

confirming that each Participant remains interested in trading at that price. 

A Responder may indicate a desire to continue trading by communicating a 

desire to “pay on” or “sell on” to the Execution Specialist. The Execution 

Specialist will then announce to the market that the Participant has indicated 

a desire to continue trading at that level.

(iii) The Initiator of the Voice RFQ receives priority to trade one more 

Tranche(s) offered by the Responder at the top of the RFQ stack. 

Subsequent trades in the work-up will be in individual tranches through the 

voice RFQ stack until interest at that price level is exhausted.

(iv) Any Order Book Order incorporated in the RFQ Stack in time priority will 

be filled in its entirety before another Responder is offered a tranche.

(v) All trades are entered into the vRFQ tool, with the exception of those

executed on the Order Book, and reported to the SDR.

(vi) If there is any remaining unfilled interest, that Participant can request that 

the Execution Specialist initiate a new Voice RFQ and enter the Initiation 

into the RFQ Stack.
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(h) Rejection of an Order.

If after the expiration of the time period described in Rule 9000(f)(2), there is no 

acceptance from the Initiator or Responses are rejected, the Responses can, with 

the agreement of the Responder, become an Initiation of a Voice RFQ and be 

announced to the market.

If there are no remaining Initiations, then the Interest Stack is used as a guide to the 

potential market prices.

Counter requests by the Initiator are considered rejections of the Responses and 

new RFQ Initiations.
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Appendix A to Rule 9000

tpSEF Inc.

Appendix A - Voice RFQ and Order Book Size

I. Voice RFQ

Market Size

All Contracts other than Butterflies Butterflies Only

Tenor USD (m) Tenor USD (m)

1y NA 1y 500

2y 200 2y 250

3y 150 3y 150

4y 100 4y 100

5y 100 5y 100

6y 85 6y 85

7y 75 7y 75

8y 75 8y 75

9y 50 9y 50

10y 50 10y 50

12y 50 12y 50

15y 50 15y 50

20y 35 20y 35

25y 25 25y 25

30y 25 30y 25

40y 20 40y 20

50y 15

Note: Tenor for a Butterfly is determined by 

subtracting the first leg from the second leg of the 

Butterfly (i.e. the first wing from the body).

Minimum Sizes

All Instruments

Instruments are set to a minimum of $5m including each leg of an instrument.

II. Order Book

Minimum Sizes

Outrights and Spread-Overs

USD instruments are set to the weighted value of $200m 1 year equivalent notional.

Strategies

Spreads and Switches are set to the far leg’s outright level.

Butterflies are set the same as two times body’s outright level.

Certain Strategies with a leg that is below 5m have their minimum size adjusted to ensure no leg is below this 

amount.
Mr. Christopher J. Kirkpatrick

October 29, 2020

EXHIBIT III

tpSEF Rulebook

(Marked Version)
TP ICAP Classification: Public

tpSEF Inc.

Rulebook

Effective November 1, 2020
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TP ICAP Classification: Public

TABLE OF CONTENTS

Section 1 DEFINITIONS............................................................................................................................1

Rule 1000 Definitions .......................................................................................................................... 1

Section 2 SEF GOVERNANCE...............................................................................................................14

Rule 2000 The SEF ............................................................................................................................ 14

Rule 2100 Board................................................................................................................................. 14

Rule 2200 Officers............................................................................................................................. 15

Rule 2201 Chief Compliance Officer................................................................................................. 15

Rule 2300 Qualification of Chief Compliance Officer ...................................................................... 17

Rule 2301 Qualifications of Directors, Panel Members, Committee Members and Officers............ 17

Rule 2400 [Reserved]......................................................................................................................... 18

Rule 2401 Regulatory Oversight Committee ..................................................................................... 18

Rule 2500 Conflicts of Interest Relating to Self-Regulatory Actions................................................ 19

Rule 2501 Voting by Interested Parties.............................................................................................. 20

Rule 2502 Restrictions on Certain Persons who Possess Confidential Information; Improper 

Use or Disclosure of Confidential Information................................................................. 22

Rule 2600 Services Agreement with a Regulatory Services Provider ............................................... 23

Rule 2601 Services Agreement with Other Service Providers........................................................... 24

Rule 2602 Prohibited Use of Data Collected for Regulatory Purposes.............................................. 24

Section 3 PARTICIPANT ACCESS RULES .........................................................................................25

Rule 3000 Qualifications.................................................................................................................... 25

Rule 3100 Application Requirements ................................................................................................ 26

Rule 3101 Review of Application...................................................................................................... 27

Rule 3102 Acceptance as a SEF Participant....................................................................................... 27

Rule 3103 Denial, Conditioning or Termination of Participant Status .............................................. 27

Rule 3104 Duty to Keep Current........................................................................................................ 28

Rule 3105 Withdrawal of Participant; Temporary Deactivation of Trading Privileges..................... 28

Rule 3106 Dissolution of Participants................................................................................................ 29

Rule 3107 Jurisdiction and Application of SEF Rules....................................................................... 29

Rule 3108 Notices to Participants...................................................................................................... 30

Rule 3109 Authorized Traders........................................................................................................... 30

Rule 3110 Sponsored Access............................................................................................................. 31

Rule 3111 [Reserved]......................................................................................................................... 33

Rule 3112 Introducing Brokers.......................................................................................................... 33

Rule 3113 Authorized Representatives.............................................................................................. 33

Rule 3114 Communications between the SEF and Participants......................................................... 33

Rule 3115 Recording of Communications......................................................................................... 34

Rule 3200 Change of Control; Non-Assignment ............................................................................... 34

Rule 3300 Fees................................................................................................................................... 34

Rule 3301 Volume Discounts............................................................................................................. 35

Rule 3400 ISVs .................................................................................................................................. 35

Rule 3500 Customers and Clients...................................................................................................... 36

Rule 3501 Disclosure Requirements; Know Your Counterparty Requirements................................ 36

Section 4 TRANSACTION EXECUTION .............................................................................................37

Rule 4000.A. Trading Hours................................................................................................................... 37

Rule 4000.B. Swap Specifications.......................................................................................................... 37

Rule 4001 Procedures......................................................................................................................... 37

Rule 4002 Required Identifications.................................................................................................... 38
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Rule 4003.A. Execution of Transactions................................................................................................. 38

Rule 4003.B. Order Book ....................................................................................................................... 39

Rule 4003.C. Trade at Settlement Cross Transactions............................................................................ 43

Rule 4003.D. Voice Request for Quote Systems .................................................................................... 44

Rule 4004 Permitted Cross Transactions ........................................................................................... 46

Rule 4005 Mishandling of Customer Orders...................................................................................... 47

Rule 4006 Trading Halts.................................................................................................................... 47

Rule 4007 Termination of the SEF Connection ................................................................................. 47

Rule 4008 Risk Controls.................................................................................................................... 47

Rule 4009 Priority of Customers’ Orders........................................................................................... 47

Rule 4010 Trading Against Customers’ Orders Prohibited; Withholding Orders Prohibited............ 47

Rule 4011 Time Delay Requirement for Required Cross Transactions............................................. 48

Rule 4012 Confirmations and USIs.................................................................................................... 49

Rule 4013.A. Cleared Swaps................................................................................................................... 50

Rule 4013.B. Uncleared Swaps............................................................................................................... 54

Rule 4014 Information Regarding Orders and Dissemination of Trade Data .................................... 55

Rule 4015 Enforceability.................................................................................................................... 55

Rule 4016 Block Trades..................................................................................................................... 56

Rule 4017 Pre-Execution Credit Checks............................................................................................ 57

Rule 4018 Risk Mitigation Sessions .................................................................................................. 57

Rule 4019 Post-Trade Name Give-Up ............................................................................................... 58

Rule 4100 SEF Rules Do Not Limit Emergency Powers................................................................... 58

Rule 4101 Position Limits.................................................................................................................. 58

Rule 4102 Exemptions from Position Limits..................................................................................... 59

Rule 4103 Position Accountability..................................................................................................... 59

Rule 4104 Enforcement of Position Limits and Position Accountability Levels............................... 59

Rule 4105 Prime Broker Transactions ............................................................................................... 60

Section 5 CONDUCT OF PARTICIPANTS AND OTHER PERSONS ..............................................62

Rule 5000 Duties and Responsibilities of Participants, Sponsored Participants, Customers 

and Clients........................................................................................................................ 62

Rule 5001 Required Disclosures to the SEF ...................................................................................... 62

Rule 5100 Abusive Trading Practices Prohibited .............................................................................. 64

Rule 5101 Good Faith Bids and Offers and RFQs............................................................................. 65

Rule 5102 Invalid Transactions.......................................................................................................... 65

Rule 5103 Trade Cancellation, Correction, Offset and Adjustment................................................... 66

Rule 5103.A. SEF Authority Regarding Trade Cancellation, Correction, Offset and Adjustment......... 66

Rule 5103.B. Transaction Price Review ................................................................................................. 66

Rule 5103.C. Review of Transactions for Errors.................................................................................... 67

Rule 5103.D. Records and Reporting of Cancellations and Price Adjustments...................................... 68

Rule 5103.E. Cancellation of Prime Brokerage Transactions ................................................................ 68

Rule 5104 Misuse of the SEF............................................................................................................. 69

Rule 5200 Rule Violations................................................................................................................. 69

Rule 5201 Fraudulent Acts Prohibited ............................................................................................... 70

Rule 5202 [Reserved]......................................................................................................................... 70

Rule 5203 Fictitious or Wash Transactions; Permitted Pre-Execution Communications.................. 70

Rule 5204 Market Disruptions Prohibited.......................................................................................... 71

Rule 5205 Market Manipulation Prohibited....................................................................................... 71

Rule 5206 Disruptive Trading Practices Prohibited........................................................................... 71

Rule 5207 Prohibition of Misstatements............................................................................................ 71

Rule 5208 Acts Detrimental to the SEF Prohibited............................................................................ 71
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TP ICAP Classification: Public

Rule 5209 Adherence to Law............................................................................................................. 71

Rule 5210 Communications with the Public and Promotional Material ............................................ 72

Rule 5300 Duty to Supervise.............................................................................................................. 72

Rule 5400 Inspections by the SEF ..................................................................................................... 72

Rule 5500 Information-Sharing.......................................................................................................... 73

Rule 5600 Minimum Financial and Related Reporting Requirements............................................... 73

Rule 5601 Confidentiality of Financial and Other Information ......................................................... 74

Rule 5602 Authority to Impose Restrictions...................................................................................... 74

Rule 5603 Additional Disclosure Requirements................................................................................ 74

Rule 5700 Gifts and Gratuities........................................................................................................... 74

Rule 5701 Anti-Money Laundering and Anti-Terrorism................................................................... 74

Rule 5702 Market Data ...................................................................................................................... 75

Rule 5703 Extension or Waiver of SEF Rules................................................................................... 75

Section 6 ENFORCEMENT OF RULES AND DISCIPLINARY PROCEEDINGS..........................76

Rule 6000 General.............................................................................................................................. 76

Rule 6001 Inquiries and Investigations.............................................................................................. 77

Rule 6002 Reports of Investigations.................................................................................................. 78

Rule 6003 Opportunity to Respond.................................................................................................... 79

Rule 6004 Review of Investigation Reports....................................................................................... 79

Rule 6005 Notice of Charges ............................................................................................................. 81

Rule 6006 Answer to Notice of Charges............................................................................................ 81

Rule 6007 Service of Notice of Charges............................................................................................ 82

Rule 6008 Settlement Offers.............................................................................................................. 82

Rule 6009 Disciplinary Panel............................................................................................................. 84

Rule 6010 Convening Hearings of Disciplinary Proceedings............................................................ 84

Rule 6011 Respondent Review of Evidence ...................................................................................... 85

Rule 6012 Conducting Hearings of Disciplinary Proceedings........................................................... 86

Rule 6013 Decision of Disciplinary Panel ......................................................................................... 87

Rule 6014 Sanctions........................................................................................................................... 88

Rule 6015 Right to Appeal from Disciplinary Panel Decision, Summary Impositions of 

Fines and Other Summary Actions................................................................................... 89

Rule 6016 Summary Imposition of Fines........................................................................................... 92

Rule 6017 Warning Letters ................................................................................................................ 93

Rule 6018 Summary Access Denial Actions...................................................................................... 93

Rule 6019 Rights and Responsibilities after Suspension, Temporary Deactivation or 

Termination....................................................................................................................... 93

Rule 6020 Notice to the Respondent, the Regulatory Services Provider and the Public; 

Effectiveness of Disciplinary and Access Denial Actions................................................ 94

Rule 6021 Costs ................................................................................................................................. 95

Rule 6022 Ex Parte Communications................................................................................................ 95

Rule 6023 [Reserved]......................................................................................................................... 96

Rule 6024 Extension or Waiver of the SEF Rules............................................................................. 96

Rule 6025 Effect of Amendment, Repeal or New SEF Rule ............................................................. 96

Rule 6026 [Reserved]......................................................................................................................... 96

Rule 6027 Governing Law, Jurisdiction and Dispute Resolution ...................................................... 96

Rule 6028 Limitation of Liability, Indemnity .................................................................................... 97

Section 7 EMERGENCIES ....................................................................................................................100

Rule 7000 Emergency Rules............................................................................................................ 100

Section 8 RECORDKEEPING AND REPORTING............................................................................102

Rule 8000 Maintenance of Books and Records by the SEF............................................................. 102
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TP ICAP Classification: Public

Rule 8001 Order Information........................................................................................................... 102

Rule 8002 Books and Records ......................................................................................................... 104

Rule 8003 Recordkeeping Requirements for Block Trades............................................................. 105

Rule 8004 Access to Position Information....................................................................................... 106

Rule 8005 Reporting to a Swap Data Repository............................................................................. 106

Rule 8006 Timely Publication of Trading Information.................................................................... 107

Section 9 SYSTEM PROTOCOLS........................................................................................................108

Rule 9000 Voice RFQ System Protocol........................................................................................... 108

Appendix A ISDA Reporting Counterparty Rules

Appendix B tpSEF Inc. Swap Specifications

Appendix C tpSEF Inc. Risk Mitigation Procedures

Appendix D Appropriate Minimum Block Sizes 
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TP ICAP Classification: Public

SECTION 1

DEFINITIONS

Rule 1000 Definitions

Unless otherwise specifically provided in the SEF Rules or the context otherwise requires, the 

following terms have the meanings specified herein.

“Account Manager” means an investment manager or other Person acting in a similar capacity that 

(i) is not an individual, and (ii) acts as an agent and attorney-in-fact to transact Swaps via the SEF 

in the name and on behalf of a Client. An Account Manager may be a Participant, a Sponsored 

Participant or a Customer.

“Affected Person” has the meaning specified in Rule 3103.

“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.

“Affirm” means the process by which the counterparties to a Cleared Swap verify that they agree 

on the details of the transaction after execution on the SEF but prior to submission to the relevant 

DCO, which may be done by any means acceptable to the counterparties, including the use of an 

Affirmation Hub.

“Affirmation Hub” means a third-party service designated by the SEF to route Cleared Swaps to 

DCOs and which may provide Participants or Customers, as applicable, with the opportunity to 

Affirm the Cleared Swaps.

“Appeals Panel” means a panel appointed by the Chief Compliance Officer pursuant to Rule 6015.

“Applicable Law” means, with respect to any Person, any statute, law, regulation, rule or ordinance 

of any governmental or self-regulatory authority applicable to such Person, including (without 

limitation) these SEF Rules, any DCO Rule, the CEA and CFTC Regulations.

“Appropriate Minimum Block Size” means the minimum notional or principal amount established 

from time to time by the CFTC for a category of Swap that qualifies as a block trade pursuant to 

CFTC Regulation 43.6. The Appropriate Minimum Block Size is published by the CFTC or its 

designee from time to time in accordance with CFTC Regulations 43.6 and 43.7 and are included 

in Appendix D hereto.

“Approved SDR” has the meaning specified in Rule 8005(b).

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

Participant to represent the Participant in SEF matters pursuant to Rule 3113.

“Authorized Trader” means a Person who is appointed, employed or authorized by a Participant 

(or by a Sponsored Participant) and who has been assigned a User ID by the SEF. Each Authorized 

Trader: (i) must be a natural Person; (ii) must have been granted Trading Privileges with respect 

to the trading activities of a Participant (or Sponsored Participant); and (iii) must satisfy any other 
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TP ICAP Classification: Public

requirements as may be prescribed by the SEF from time to time. In the case of a Prime Broker 

Client, each Authorized Trader designated by such Prime Broker Client shall be considered an 

Authorized Trader of the Prime Broker Client and not of the relevant Prime Broker.

“Block Trade” means a Swap that: (i) has a notional or principal amount at or above the 

Appropriate Minimum Block Size applicable to such Swap; (ii) is executed pursuant to the SEF 

Rules and (x) in the case of an Uncleared Block Trade, occurs away from a SEF trading system or 

platform or (y) in the case of a Cleared Block Trade, is executed on a non-Order Book trading 

system or platform of the SEF in accordance with Rule 4016(j); and (iii) is a publicly reportable 

swap transaction that is reported subject to the SEF Rules and procedures of the SEF and Part 43 

of the CFTC Regulations.

“Board” means the board of directors of the SEF.

“Business Day” means a day on which the SEF is open for trading as provided on the SEF website.

“By-Laws” means the by-laws of the SEF.

“Cancellation Notice” has the meaning specified in Rule 4105(b)(2).

“CEA” means the Commodity Exchange Act, as amended.

“CFTC” means the U.S. Commodity Futures Trading Commission.

“CFTC Regulations” means the rules and regulations promulgated by the CFTC, as amended.

“Chief Compliance Officer” means the chief compliance officer of the SEF appointed pursuant to 

Rule 2201.

“Chief Executive Officer” or “CEO” means the chief executive officer of the SEF appointed by the 

Board pursuant to Rule 2200.

“Cleared Block Trade” means a Block Trade in a Cleared Swap.

“Cleared Swap” means (i) a Swap that is subject to the Clearing Requirement, or (ii) any Swap of 

a type that is accepted by a DCO for clearing that the parties have elected to submit for clearing, 

whether or not the particular Swap is accepted or rejected.

“Clearing Exception” means an exception to, or an exemption from, the Clearing Requirement, 

which exception or exemption is set forth in Section 2(h)(7) of the CEA, CFTC Regulations or any 

CFTC No-Action Letter.

“Clearing Exempt Transaction” means a Transaction that is not subject to the Clearing 

Requirement due to an election by one or more counterparties to use an available Clearing 

Exception.

“Clearing Firm” means a Clearing Member that provides clearing services to one or more 

Participants, Sponsored Participants, Clients or Customers and has either executed a Clearing Firm 
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TP ICAP Classification: Public

Agreement or in relation to which the relevant Participant, Sponsored Participant, Client, Customer 

and/or Clearing Member has provided the SEF with evidence or assurances satisfactory to the SEF 

of the existence and scope of the clearing services provided.

“Clearing Firm Agreement” means an agreement between the SEF and a Clearing Firm that 

includes (i) a list of the DCOs of which the Clearing Firm is a member, (ii) a list of the Persons 

for whom the Clearing Firm provides clearing services and (iii) if the Clearing Firm does not clear 

at all such DCOs for all such Persons, a per-Person list of the DCOs at which it does clear for such 

Person. The Clearing Firm shall be entitled to update this information in its sole discretion by 

written notice to the SEF and upon receipt of such notice, the SEF shall take such action necessary 

to effect the Clearing Firm’s modifications as promptly as practicable. For the avoidance of doubt, 

notwithstanding that such notice has not yet been provided or such modifications made, if the 

Clearing Firm has ceased to provide clearing services to a Person on any or all DCOs, the Clearing 

Firm may reject all such Person’s trades during the pre-execution credit check described in Rule 

4017.

“Clearing Member” means a member of a DCO that is authorized to clear Swaps for itself and/or 

for other Persons.

“Clearing Requirement” means the mandatory clearing requirement set forth in Section 2(h)(1)(A) 

of the CEA.

“Client” means a Person that granted in writing to an Account Manager investment discretion on 

behalf and in the name of such Person.

“Confirmation” means a written record of all the terms of a Transaction as required by Applicable 

Law.

“Contract” means any Swap listed for trading on the SEF.

“Correcting Transaction” has the meaning specified in Rule 4013.A.(f).

“Cross Transaction” a Permitted Cross Transaction or a Required Cross Transaction.

“Customer” means a Person for whom an Introducing Broker, as agent, (i) enters Orders and/or 

engages in Transactions on the SEF, and/or (ii) submits Uncleared Block Trades pursuant to the 

SEF Rules. A Customer may be a Participant acting through an Introducing Broker as agent in 

accordance with the foregoing sentence, including a Participant that is a Prime Broker Client acting 

through an Introducing Broker.

“Customer Type Indicator Code” has the meaning specified in Rule 8001(a).

“DCM” means a designated contract market as defined in CFTC Regulation 1.3.

“DCO” means a derivatives clearing organization as defined in Section 1a(15) of the CEA that is 

registered with, or has been exempted from registration by, the CFTC and that provides clearing 

services with respect to any Swaps traded on the SEF or pursuant to the SEF Rules.
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TP ICAP Classification: Public

“DCO Rules” means the relevant organizational documents of a DCO and any relevant 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 DCO.

“DDR” has the meaning specified in Rule 8005(b).

“Deal Management System” means the SEF’s back-end systems that facilitate post-trade 

processing and that can be used to execute Permitted Cross Transactions as described in Rule 4004.

“Directed Voice RFQ” means a voice RFQ conducted in accordance with Rule 4003.D(b)(2).

“Director” means any member of the Board.

“Disclosable Financial Interest” means the position information contained in CFTC Regulation 

1.69(b)(2)(iii)(A) – (E).

“Disciplinary Action” means any inquiry, investigation, disciplinary proceeding, appeal from a 

disciplinary proceeding, summary imposition of fines, summary suspension or other summary 

action.

“Disciplinary Offense” means any of the following violations, which, in each case, arises out of a 

proceeding or action that is brought by the SEF, a Self-Regulatory Organization, the CFTC or any 

federal or state agency or other governmental body:

(1) Any violation of the SEF Rules or the rules of a Self-Regulatory Organization, 

except those violations related to (i) decorum or attire, (ii) financial requirements 

or (iii) reporting or recordkeeping unless resulting in fines aggregating more than 

$5,000 within any calendar year;

(2) Any violation described in paragraph (1)(i) – (iii) immediately above that involves 

fraud, deceit or conversion or results in a suspension or expulsion;

(3) Any violation of the CEA or CFTC Regulations; or

(4) Any failure to exercise supervisory responsibility with respect to acts described in 

paragraphs (1) – (3) immediately above when such failure is itself a violation of the 

SEF Rules, the rules of a Self-Regulatory Organization, the CEA or the CFTC 

Regulations.

“Disciplinary Panel” means the panel appointed by the Chief Compliance Officer to act in an 

adjudicative role and fulfill various adjudicative responsibilities and duties described in Section 6 

of the SEF Rules.

“Displayed Order” has the meaning specified in Rule 4011(a)(2).

“ECP” means an “eligible contract participant” as defined in Section 1a(18) of the CEA and CFTC 

Regulations thereunder.
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TP ICAP Classification: Public

“Emergency” means any occurrence or circumstance that, in the opinion of the Board and/or the 

CEO (or, if the CEO is not available, the most senior Officer that is available), 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 DCO, including, without 

limitation, the following:

(1) any manipulative or attempted manipulative activity;

(2) any actual, attempted or threatened corner, squeeze, congestion or undue 

concentration of positions in a Swap or any related asset;

(3) any circumstance that 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;

(4) any action taken by any governmental body, or any other registered entity, board 

of trade, market or facility that may have a direct impact on trading or clearing and 

settlement of, or the legality or enforceability of, any Swap;

(5) the imposition of any injunction or other restraint by any government agency, court 

or arbitrator upon a DCO which may affect the ability of a DCO to perform on a 

Swap;

(6) any circumstance that may have a severe, adverse impact upon the functions and 

facilities of the SEF, including, but not limited to, acts of God, fire, flood or other

natural disasters, bomb threats, acts of terrorism or war, severely inclement weather 

or failure or malfunction of all or a portion of the SEF, or other system breakdowns 

or interruptions such as power, computer, communication or transportation systems 

or the Internet;

(7) any circumstance in which it appears to the Board and/or the CEO (or, if the CEO 

is not available, the most senior Officer that is available) that a DCO or any other 

Person:

(i) has failed to perform on a Swap;

(ii) is insolvent; or

(iii) is in a financial or operational condition or is conducting business such that 

(A) the DCO cannot be permitted to continue to clear Swaps transacted on 

the SEF or pursuant to the SEF Rules without jeopardizing the safety of 

Participants, the SEF or any other Person or (B) the Person cannot be 

permitted to continue to transact business on the SEF without jeopardizing 

the safety of Participants, the SEF, any DCO or any other Person; or

(8) any other circumstance that may have a severe, adverse effect upon the functioning 

of the SEF.
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TP ICAP Classification: Public

“Emergency Action” means any action taken in accordance with Rule 7000 by the SEF, the Board, 

any committee of the Board, the CEO or any other Officer in response to an Emergency, including, 

without limitation, any of the following actions:

(1) suspending or curtailing trading or limiting trading (in whole or in part);

(2) ordering the fixing of a settlement price, or the reduction of positions;

(3) extending, limiting or changing the Trading Hours;

(4) temporarily modifying or suspending any provision of the SEF Rules or 

Obligations;

(5) imposing or modifying price limits;

(6) altering any contract’s settlement terms or conditions;

(7) imposing or modifying position limits; and/or

(8) ordering any other action or undertaking to address or relieve the Emergency.

“Emergency Rules” has the meaning specified in Rule 7000.

“Error” has the meaning specified in Rule 5103.C.

“Exchange Act” means the Securities Exchange Act of 1934, as amended.

“Executed Anonymously” means a Swap that is pre-arranged or pre-negotiated anonymously, 

including by a participant of the SEF.

“Execution Specialist” means a SEF employee responsible for assisting Participants and Sponsored 

Participants (and any of their Supervised Persons) in entering on the SEF Orders and Transactions, 

issuing and responding to RFQs, and receiving reports of Uncleared Block Trades.

“Family Relationship” means, with respect to any natural person, such natural person’s spouse, 

former spouse, parent, stepparent, child, stepchild, sibling, stepbrother, stepsister, grandparent, 

grandchild, uncle, aunt, nephew, niece or in-law.

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

“FCM” means futures commission merchant as defined under Section 1a(28) of the CEA and

CFTC Regulation 1.3.

“Government Agency” means any governmental entity, body or agency of any government 

(including the United States, a state or foreign government).

“Instrument Reference Price” has the meaning specified in Rule 4003.B.(d)(1)(ii).

“Interested Person” has the meaning specified in Rule 2500(a).
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TP ICAP Classification: Public

“Intermediary” means any person that enters Orders, issues and responds to RFQs, submits Block 

Trades, accesses a Trading Platform or executes transactions in Contracts on behalf of one or more 

Customers, including without limitation, any FCM, Introducing Broker or commodity trading 

adviser registered with the Commission.

“Introducing Broker” is a Participant that (i) is a registered or exempt FCM or introducing broker 

(as defined in Section 1a(31) of the CEA and CFTC Regulation 1.3), and (ii) enters Orders or 

engages in Transactions on the SEF, and/or submits Uncleared Block Trades pursuant to the SEF 

Rules, on behalf of one or more Customers.

“Investigation Report” means any written report of investigation prepared by the Market 

Regulation Department.

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

“ISDA Reporting Counterparty Rules” means the rules identified in Appendix A hereto, as may be 

amended from time to time, for establishing a Reporting Counterparty under the circumstances 

where CFTC Regulation 45.8 does not determine a Reporting Counterparty (for example, because 

both counterparties are Swap Dealers or both counterparties are Major Swap Participants) as 

published by ISDA under the title “Dodd Frank Act – Swap Transaction Reporting Party 

Requirements” as such rules may be amended, restated, supplemented or otherwise modified or 

replaced from time to time.

“ISV” means independent software vendor.

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

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

Regulations thereunder.

“Managed Order” shall have the meaning set forth in Rule 4003.D(b)(4).

“Market Regulation Department” means the department within the SEF managed and overseen by 

the Chief Compliance Officer that regulates compliance with the SEF Rules. For purposes of the 

SEF Rules, Market Regulation Department may, as applicable, also include any Regulatory 

Services Provider pursuant to a Regulatory Services Agreement.

“MAT/Agency MBS Package Transactions” has the meaning set forth in CFTC No-Action Letter 

14-137.

“MAT/Futures Package Transactions” has the meaning set forth in CFTC No-Action Letter 20-

31.

“MAT/MAT Cleared Package Transaction” means a Package Transaction, all components of 

which are made available to trade and which is not a Clearing Exempt Transaction.

“MAT/New Issuance Bond Package Transactions” has the meaning set forth in CFTC No-Action 

Letter 20-31.
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TP ICAP Classification: Public

“MAT/Non-CFTC Swap Package Transactions” has the meaning set forth in CFTC No-Action 

Letter 20-31.

“MAT/Non-MAT Cleared Package Transactions” has the meaning set forth in CFTC No-Action 

Letter 15-55.

“MAT/Non-MAT Uncleared Package Transactions” has the meaning set forth in CFTC No-Action 

Letter 20-31.

“MAT/Non-Swap Instruments Package Transactions” has the meaning set forth in CFTC NoAction Letter 20-31, and shall, for the avoidance of doubt, exclude (1) U.S. Dollar Swap Spreads; 

(2) MAT/Futures Package Transactions; (3) MAT/Agency MBS Package Transactions; and (4) 

MAT/New Issuance Bond Package Transactions.

“Material Adverse Change” means a significant event that negatively affects the subject 

referenced.

“Material Conflict of Interest” has the meaning specified in Rule 2500(a).

“Member” has the meaning specified in Section 1a(34) of the CEA and CFTC Regulation 1.3, and 

shall include for purposes of the SEF Rules all Participants (including Sponsoring Participants) 

and all Sponsored Participants.

“Membership Interests” means financial institutions that vary as to their jurisdiction of 

organization, size, registration and regulatory status, primary business and business model.

“Named Party in Interest” means a Person that is identified by name as a subject of any matter 

being considered by the Board, any committee established by the Board (including the Regulatory 

Oversight Committee) or any SEF Panel.

“NFA” means the National Futures Association.

“Non-Directed Voice RFQ” means a voice RFQ conducted in accordance with Rule 4003.D(b)(1).

“Non-Self-Clearing” means, with respect to a DCO and any particular Swap, a Participant, 

Sponsored Participant, Client or Customer that is not a Clearing Member with respect to the related 

DCO and Swap.

“Notice of Charges” has the meaning specified in Rule 6005(a).

“Notice to Participants” has the meaning specified in Rule 3108.

“Obligation” means any and all duties and/or responsibilities arising under each SEF Rule, order 

or procedure issued by the SEF (including Notices to Participants) and other requirements 

implemented by the SEF under the SEF Rules, including the terms and conditions of each Swap, 

as well as any contractual obligations between a Participant and the SEF.
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TP ICAP Classification: Public

“Off-Book Ticket Functionality” means the functionality provided within the OMS that allows for 

the execution of Permitted Cross Transactions away from the Order Book. This functionality is 

available to market participants only for Transactions in the Rates asset class and for Transactions 

that are non-deliverable forwards.

“Officer” has the meaning specified in Rule 2200.

“Offsetting Transaction” has the meaning specified in Rule 4013.A.(f).

“Order” means a firm bid or offer for a Swap.

“Order Book” means the trading systems operated by the SEF in which any Participant or any 

market participant acting through a Participant has the ability to enter multiple bids and offers,

observe or receive bids and offers entered by other Participants, and transact on such bids and 

offers. All bids and offers on the Order Book shall be Orders (i.e., firm bids or offers and not 

indications of interest or indicative quotes), and all Orders shall be displayed on the Order Book 

on an anonymous basis. Any market participant who wishes to connect to and use the Order Book 

may choose to do so, as more fully described in Rule 4003.B. The Order Book is available for all 

Swaps listed for trading by the SEF.

“Order Book Waiver” has the meaning specified in Rule 4003.B.(f)(2).

“Order Management System” or “OMS” means the SEF’s front-end system that houses the Order 

Book, as well as the SEF’s Off-Book Ticket Functionality. Market participants may connect to the 

OMS via a graphical user interface (GUI) or an application program interface (API), which allows 

third-party trading systems to interact with the OMS.

“Package Transaction” means a transaction involving two or more instruments: (1) that is 

executed between two or more counterparties; (2) that is priced or quoted as one economic 

transaction with simultaneous or near simultaneous execution of all components; (3) that has at 

least one component that is a Swap that is a Required Transaction; and (4) where the execution of 

each component is contingent upon the execution of all other components. No Swap is prohibited 

from being executed on the SEF by virtue of its being part of a Package Transaction. The categories 

of Package Transactions currently executed on the SEF are: (i) MAT/MAT Cleared Package 

Transactions; (ii) MAT/Non-MAT Cleared Package Transactions; and (iii) MAT/Non-MAT 

Uncleared Package Transactions. The categories of Package Transactions currently facilitated by 

the SEF are: (i) MAT/Non-Swap Instruments Package Transactions (MAT/Bonds only); (ii) US 

Dollar Swap Spreads; and (iii) MAT/Futures Package Transactions (MAT/Eurodollar Futures 

only). Such facilitation is done by the SEF’s providing an execution venue for the Swap legs and 

reference price information regarding the non-Swap legs. The reference price is made available to 

Participants for informational purpose only. The SEF does not execute the non-Swap legs of 

Package Transactions; the counterparties to any Package Transaction involving a non-Swap 

component must execute such non-Swap component away from the SEF.

“Package Transaction (Order Book Exempt)” is a Package Transaction for which the CFTC has 

granted currently-effective no-action relief or an exception or exemption from the requirements of 

Section 2(h)(8) of the CEA and/or CFTC Regulation 37.9. Pursuant to CFTC No-Action Letter 

20-31, the following are Package Transactions (Order Book Exempt) until 11:59 p.m. (Eastern 
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TP ICAP Classification: Public

Time) on November 15, 2022: (a) MAT/New Issuance Bond Package Transactions; (b) 

MAT/Futures Package Transactions; (c) MAT/Non-MAT Uncleared Package Transactions; (d) 

MAT/Non-Swap Instruments Package Transactions; and (e) MAT/Non-CFTC Swap Package 

Transactions. If any such no-action relief is extended, upon and to the extent of such extension, 

the relevant Package Transaction will continue to be a Package Transaction (Order Book Exempt) 

for purposes of the SEF Rules.

“Participant” means any Person, other than an ISV, that has been admitted by the SEF as a 

“Participant” and that has been granted, and continues to have, Trading Privileges.

“Participation Criteria” means the criteria set forth in Rule 3000(a).

“Permitted Cross Transaction” means a Permitted Transaction submitted to the SEF for execution 

either directly or via an Execution Specialist following some form of permitted pre-arrangement 

or pre-negotiation between or among the parties.

“Permitted Transaction” shall have the meaning provided in CFTC Regulation 37.9(c)(1).

“Person” means a natural person or an entity.

“Personal Information” means personally identifiable information or data concerning or relating 

to a Person’s employees, customers or prospective customers.

“Prime Broker” means a Participant that has authorized a Prime Broker Client to place Prime 

Brokerage Orders and execute Prime Broker Transactions on the SEF in the name of and on behalf 

of such Participant and that has been accepted by the SEF to act in such capacity.

“Prime Broker Acknowledgement Letter” shall have the meaning set forth in Rule 4105(b)(1).

“Prime Broker Client” means a Participant that has been identified by a Prime Broker in a Prime 

Broker Acknowledgment Letter to place Prime Brokerage Orders on the SEF and to execute Prime 

Broker Transactions in the name of and on behalf of such Prime Broker.

“Prime Broker Limit” means any limit, term or trading parameter established by a Prime Broker 

in respect of a Prime Broker Client, including credit limits and any categories of permissible 

Uncleared Swaps.

“Prime Broker Transaction” means a Permitted Cross Transaction in an Uncleared Swap executed 

on the SEF pursuant to Rule 4105 where one counterparty is a Prime Broker and the other is a 

Person (which may also be a Prime Broker) with which the Prime Broker has swap trading 

relationship documentation in place in accordance with the requirements of Rule 4013.B.

“Prime Brokerage Order” means an Order for a Prime Broker Transaction.

“Proprietary Data” means, with respect to any Person, any information that separately discloses 

business transactions, market positions or trade secrets of such Person.
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TP ICAP Classification: Public

“Public Director” means any Director who qualifies as a “Public Director” within the meaning of 

the By-Laws.

“Recipient” means a Participant who is a recipient of an RFQ.

“Regulatory Oversight Committee” or “ROC” means the committee described in Rule 2401.

“Regulatory Services Agreement” means the agreement(s) between the SEF and Regulatory 

Services Provider(s), under which market surveillance and trade practice surveillance functions 

are delegated to the Regulatory Services Provider.

“Regulatory Services Provider” means the organization, if any, which provides regulatory services 

to the SEF pursuant to a Regulatory Services Agreement. The SEF’s Regulatory Services Provider 

is currently the NFA.

“Related Party” has the meaning given in Rule 6028.

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

“Request for Quote” or “RFQ” means a request by one Participant to at least such minimum 

number of Participants as may be required by CFTC Regulations from time to time for a market 

quote that shall constitute an Order.

“Required Cross Transaction” means a Required Transaction (other than a Block Trade or Package 

Transaction (Order Book Exempt)) (x) in which a Participant acting as a broker or dealer seeks to 

either execute against its Customer’s Order or execute two of its customers’ Orders against each 

other, and (y) that is submitted for execution on the Order Book, either directly or via an Execution 

Specialist, following some form of permitted pre-arrangement or pre-negotiation.

“Required Transaction” shall have the meaning provided in CFTC Regulation 37.9(a)(1), as may 

be amended from time to time.

“Resting Quote” means any firm bid or offer displayed on the Order Book of the SEF.

“Review Panel” means a panel responsible for determining whether a reasonable basis exists for 

finding a violation of the SEF Rules or other provision of Applicable Law for which the SEF has 

disciplinary jurisdiction, and for authorizing the issuance of notices of charges against Persons 

alleged to have committed violations if the Review Panel believes that the matter should be 

adjudicated.

“Risk Mitigation Sessions” has the meaning specified in Rule 4018.

“Rule” or “Rules” means the rules, resolutions, interpretations, statements of policy, decisions, 

directives and orders of the SEF (including this Rulebook).

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

“SEF” means the swap execution facility operated by tpSEF Inc. or any successor thereto.
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TP ICAP Classification: Public

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

Regulatory Services Provider or any individual rendering similar services to the SEF under an 

administrative or similar agreement.

“SEF Panel” means any Review Panel, Disciplinary Panel, Appeals Panel or any other disciplinary 

or oversight panel of the SEF and any subcommittee thereof.

“SEF Proceeding” and “SEF Proceedings” means any inquiry, investigation, disciplinary 

proceeding or any appeal from a disciplinary proceeding, summary suspension or other summary 

actions.

“SEF Rules” means the rules of the SEF as set forth herein, as may be amended from time to time 

by the SEF.

“Self-Clearing” means, as to any DCO and Swap, a Participant, Sponsored Participant, Client or 

Customer that is a Clearing Member of the relevant DCO with respect to such Swap.

“Self-Regulatory Action” means an Emergency Action or a SEF Proceeding.

“Self-Regulatory Organization” means the Financial Industry Regulatory Authority, the NFA or 

any other self-regulatory organization under the CFTC Regulations or the rules and regulations of 

the SEC.

“Significant Action” has the meaning specified in CFTC Regulation 1.69(a)(8).

“Sponsored Participant” means a third-party ECP that is extended Trading Privileges by a 

Sponsoring Participant pursuant to Rule 3110.

“Sponsoring Participant” means a Participant that extends Trading Privileges to a Sponsored 

Participant pursuant to Rule 3110.

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

Participant or Sponsored Participant.

“Swap” means any “swap” as defined in CEA Section 1a(47) and CFTC Regulation 1.3 that has 

been listed for trading on the SEF.

“Swap Data Repository” or “SDR” has the meaning set forth in Section 1a(48) of the CEA.

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

“Swap Specification” means, with respect to any Swap, the specifications for such Swap as set 

forth in Appendix B hereto, including any materials incorporated by reference therein.

“System Protocol” means the terms from time to time in force upon which a Participant may access 

a specific Trading Platform, including any supplemental written guidelines provided by the SEF 

to the Participant, as amended from time to time. The System Protocols shall be posted on the 
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TP ICAP Classification: Public

SEF’s website. In the event of any inconsistency between the provisions of any System Protocol 

and the Rules, the terms of the System Protocol shall prevail.

“TAS Cross Transaction” has the meaning given in Rule 4003.C.(a).

“Terms Incorporated by Reference” has the meaning given in Rule 4012.

“tpSEF Risk Mitigation Procedures” means the SEF’s procedures for Risk Mitigation Sessions, 

which are attached hereto as Appendix C.

“Trade Communication” has the meaning given in Rule 4012.

“Trading Hours” means, for any Business Day, the hours specified in Rule 4000.A. below.

“Trading Platform” means any of the separate electronic central limit order books and other 

systems administered by or on behalf of the SEF for the trading of Contracts pursuant to specific 

System Protocols for each such system.

“Trading Privileges” means the right granted to a Participant by the SEF, or extended to a 

Sponsored Participant by a Sponsoring Participant, to issue and respond to RFQs or use the SEF 

for execution of Swaps, in each case acting through one or more Authorized Traders.

“Transaction” means any Swap transacted on the SEF in accordance with the SEF Rules or, in the 

case of an Uncleared Block Trade, transacted away from a SEF trading system or platform in 

accordance with the SEF Rules.

“Uncleared Block Trade” means a Block Trade other than a Cleared Block Trade.

“Uncleared Swap” means a Swap other than a Cleared Swap.

“Untraded Initiator” shall have the meaning set forth in Rule 9000(d)(2)(i)(B).

“User ID” means a unique identifier issued to each Authorized Trader of a Participant that enables 

the SEF to identify the individual.

“U.S. Dollar Swap Spreads” has the meaning set forth in CFTC No-Action Letter 15-55.

“U.S. Treasury Security” means a bond, note, bill or other evidence of indebtedness issued by the 

United States Treasury.

“USI” means a unique swap identifier created by the SEF pursuant to Part 45 of the CFTC 

Regulations.

“Waiting Order” has the meaning specified in Rule 4011(a)(2).
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TP ICAP Classification: Public

SECTION 2

SEF GOVERNANCE

Rule 2000 The SEF

The SEF is a corporation organized under the laws of the state of Delaware. The By-Laws of the 

SEF govern the management and operation of the SEF.

BOARD

Rule 2100 Board

(a) The Officers shall manage the day-to-day business operations of the SEF. The Board has 

the power and authority to oversee, and to affirm, modify, suspend or overrule, any and all 

decisions and actions of any committees of the Board or any panel of Officers related to 

the day-to-day business operations of the SEF.

(b) The Board will determine which Swaps are available from time to time for trading subject 

to the SEF Rules, and will approve specifications for such Swaps; provided that the Board 

may delegate the authority to approve such rules to a SEF committee or to one or more 

Officers of the SEF; provided, further, that certifications or applications with respect to 

such rules will be submitted to the CFTC as required by the CEA and any regulations 

thereunder.

(c) The Board may act only by the decision of an absolute majority in number of the Directors 

by vote at a meeting, by unanimous written consent without a meeting, or as otherwise set 

forth in the By-Laws. In the event of an Emergency, which in the judgment of the CEO 

(or, if the CEO is not available, the most senior Officer that is available) requires immediate 

action, a special meeting of the Board may be convened without notice, consisting of those 

Directors who are immediately available in person or by telephone and can be joined in the 

meeting in person or by conference telephone. The actions taken at such a meeting shall be 

effective if at least a quorum of the Directors participates either personally or by conference 

telephone.

(d) At all times, at least 35% of the Directors shall be Public Directors. Each Director 

(including Public Directors) shall be appointed in accordance with the By-Laws and shall 

serve until his or her successor is duly appointed or until his or her earlier resignation or 

removal, with or without cause. The Directors shall include members who have had 

relevant experience in some capacity (whether as a current or former employee, officer, 

director, principal, consultant, advisor, service provider or otherwise) working with or for 

a diversity of Membership Interests.

(e) Each Director is entitled to indemnification pursuant to the By-Laws with respect to matters 

relating to the SEF.

(f) To qualify as a Director, an individual must meet the qualifications for directors set forth 

in the By-Laws, and to qualify as a Public Director, an individual must meet the 

qualifications for “Public Directors” set forth in the By-Laws.
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TP ICAP Classification: Public

(g) Without limitation of any other provisions of this Rule 2100, the provisions of Article III 

of the By-Laws shall be deemed to be part of the SEF 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.

OFFICERS

Rule 2200 Officers

(a) The Board shall appoint a Chief Executive Officer and such other officers of the SEF (each 

of the foregoing, an “Officer,” and collectively, the “Officers”) as it may deem necessary 

or appropriate from time to time, in accordance with and as required by the By-Laws.

(b) Any Officer may also be a director, officer, partner or employee of the SEF or any of its 

Affiliates.

(c) The Officers shall have such powers and duties in the management of the SEF as the Board 

may prescribe from time to time.

(d) Each Officer is entitled to indemnification pursuant to the By-Laws with respect to matters 

relating to the SEF.

Rule 2201 Chief Compliance Officer

(a) Either the Board or the Chief Executive Officer shall appoint a Chief Compliance Officer. 

The Board shall approve the compensation of the individual appointed as Chief 

Compliance Officer. Removal of the Chief Compliance Officer shall require the approval 

of a majority of the Board. The SEF 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 (2) Business Days of such removal and appointment.

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

(1) overseeing and reviewing the SEF’s compliance with Applicable Law, including, 

without limitation, Section 5h of the CEA and related CFTC Regulations;

(2) enforcing the SEF Rules;

(3) in consultation with the CEO and such others, including, without limitation, the 

Board and/or the Regulatory Oversight Committee, as deemed appropriate and 

necessary, resolving any conflicts of interest that may arise, including: (i) conflicts 

between business considerations and compliance requirements; (ii) conflicts 

between business considerations and the requirement that the SEF provide fair, 

open and impartial access as set forth in the CFTC Regulations; and (iii) conflicts 

between the SEF’s management and members of the Board;

(4) establishing and administering requisite written policies and procedures reasonably 

designed to prevent violations of the CEA and CFTC Regulations;
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TP ICAP Classification: Public

(5) taking reasonable steps to ensure compliance with the CEA and CFTC Regulations;

(6) establishing procedures for the remediation of noncompliance issues identified by 

the Chief Compliance Officer through compliance office reviews, look-backs, 

internal or external audit findings, self-reported errors or validated complaints;

(7) establishing and following appropriate procedures for the handling, management 

response, remediation, retesting and closing of noncompliance issues;

(8) establishing and administering a compliance manual designed to promote 

compliance with Applicable Law and a written code of ethics designed to prevent 

ethical violations and to promote honesty and ethical conduct;

(9) supervising the SEF’s self-regulatory program with respect to trade practice 

surveillance, market surveillance, real-time market monitoring, compliance with 

audit trail requirements, enforcement and disciplinary proceedings, audits, 

examinations and other regulatory responsibilities with respect to Participants, 

Customers, Clients and other market participants (including seeking to ensure 

compliance with, if applicable, financial integrity, financial reporting, sales 

practice, recordkeeping and other requirements);

(10) supervising the effectiveness and sufficiency of any regulatory services provided 

to the SEF by a Regulatory Services Provider; and

(11) preparing and filing the annual compliance report as required under the CEA and 

applicable CFTC Regulations.

(c) The Chief Compliance Officer shall have available to him or her at all times the authority 

and the resources of the Market Regulation Department and such other resources as may 

be necessary to develop and enforce policies and procedures necessary to fulfill the duties 

set forth for chief compliance officers of swap execution facilities in the CEA and the 

CFTC Regulations. The Chief Compliance Officer shall have supervisory authority over 

all staff of the Market Regulation Department and all other compliance staff.

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

Officer shall have the authority to inspect the books and records of all Participants and the 

authority to require any Participant to appear before him or her and produce its books and 

records and answer questions regarding alleged violations of the SEF Rules or other 

provision of Applicable Law for which the SEF has disciplinary jurisdiction, at the time, 

place and in the manner it designates. The Chief Compliance Officer may also delegate 

such authority to staff of the Market Regulation Department and/or the Regulatory Services 

Provider.
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TP ICAP Classification: Public

QUALIFICATIONS

Rule 2300 Qualification of Chief Compliance Officer

(a) The Chief Compliance Officer shall have the background and skills appropriate for 

fulfilling the responsibilities of the position.

(b) The Chief Compliance Officer may not be disqualified from registration pursuant to 

Section 8a(2) or (3) of the CEA.

Rule 2301 Qualifications of Directors, Panel Members, Committee Members and 

Officers

(a) A Director or Officer must meet the qualifications set forth from time to time in the ByLaws.

(b) An individual may not serve as a Director or an Officer, hold a 10% or more ownership 

interest in the SEF or serve on a committee established by the Board (including the 

Regulatory Oversight Committee) or any SEF Panel if the individual:

(1) within the prior three (3) years has been found by a final decision of the SEF, a 

Self-Regulatory Organization, an administrative law judge, a court of competent 

jurisdiction or a Government Agency to have committed a Disciplinary Offense;

(2) 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;

(3) is currently suspended from trading on a DCM, is 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:

(i) a finding of a Disciplinary Offense by a final decision of the SEF, a SelfRegulatory Organization, an administrative law judge, a court of competent 

jurisdiction or a Government Agency; or

(ii) 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;

(4) is currently subject to an agreement with a Government Agency, the SEF or a SelfRegulatory Organization not to apply for registration with the Government Agency 

or for membership in the SEF or the Self-Regulatory Organization;

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

suspension of registration by the CFTC for any reason;

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

CEA; or
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TP ICAP Classification: Public

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

disciplinary committee, arbitration panel or governing board of any self-regulatory 

organization as that term is defined in Section 3(a)(26) of the Exchange Act.

(c) Any Director, Officer, member of a committee established by the Board, any SEF Panel 

member, 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 Chief Executive Officer or the Chief Compliance Officer if such individual meets one 

or more of the criteria in Rule 2301(b).

(d) For purposes of Rule 2301(b), the terms “final decision” and “settlement agreement” have 

the meanings set forth in CFTC Regulation 1.63(a).

BOARD COMMITTEES

Rule 2400 [Reserved]

Rule 2401 Regulatory Oversight Committee

(a) The Regulatory Oversight Committee of the Board shall be composed entirely of Public 

Directors appointed by the Board.

(b) Each member of the Regulatory Oversight Committee shall serve for a term of two (2) 

calendar years from the date of his or her appointment or until such Person ceases to be 

Public Director or until removed from the ROC by the Board. A member of the Regulatory 

Oversight Committee may serve for multiple terms.

(c) The Regulatory Oversight Committee shall oversee the SEF’s regulatory program 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. It shall make such recommendations to the Board that, in its judgment, will best 

promote the interests of the SEF. The Regulatory Oversight Committee shall also have 

such other powers and perform such other duties as set forth in the SEF Rules and as the 

Board may delegate to it from time to time.

(d) Without limiting the generality of the foregoing, the Regulatory Oversight Committee shall 

have authority to:

(1) monitor the regulatory program of the SEF for sufficiency, effectiveness, and 

independence; and

(2) oversee all facets of the regulatory program. 

(e) The Regulatory Oversight Committee reports to the Board.
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CONFLICTS OF INTEREST AND CONFIDENTIAL INFORMATION

Rule 2500 Conflicts of Interest Relating to Self-Regulatory Actions

(a) A Director, Officer, SEF Panel member or other Person authorized to exercise the SEF’s 

authority concerning a Self-Regulatory Action who has a Material Conflict of Interest 

between (i) his or her exercise of authority concerning a Self-Regulatory Action, and (ii) 

his or her personal interests (each, an “Interested Person”), may not (x) participate in any 

deliberations or vote of the Board (which includes for purposes hereof a Board committee) 

or SEF Panel, or (y) exercise any authority, with respect to the Self-Regulatory Action 

involving his or her personal interest, except as described below.

For purposes of this Rule 2500, a Director, Officer, SEF Panel member or other Person has 

a “Material Conflict of Interest” when such Director, Officer, SEF Panel member or other 

Person:

(1) is named as a respondent or potential respondent or a witness or potential witness 

in a Self-Regulatory Action;

(2) is an employer, employee, fellow employee or an Affiliate of a respondent or 

potential respondent or a witness or potential witness in the Self-Regulatory Action;

(3) has any significant, ongoing business relationship with a respondent or potential 

respondent or a witness or potential witness in the Self-Regulatory Action;

(4) has a Family Relationship with a respondent or potential respondent or a witness or 

potential witness in a Self-Regulatory Action (including the individual’s spouse, 

co-habitator, former spouse, parent, stepparent, child, step child, sibling, 

stepbrother, stepsister, grandparent, grandchild, uncle, aunt, nephew, niece, fatherin-law, mother-in-law, brother-in-law or sister-in-law); and/or

(5) is involved in any other circumstance that gives rise to a conflict between the 

Director’s, Officer’s, panel member’s or other Person’s exercise of authority 

concerning a Self-Regulatory Action and his or her personal interests.

(b) Before considering any Self-Regulatory Action, an Interested Person, or a Director, 

Officer, SEF Panel member or other Person authorized to exercise the SEF’s authority 

concerning a Self-Regulatory Action that believes he or she is or may be an Interested 

Person, must disclose in writing to the Board the material facts concerning his or her 

relationship or interest in the matter. Following such disclosure, the Board shall determine 

whether any Person that believes he or she is or may be an Interested Person actually is an 

Interested Person. Notwithstanding any contrary determination by the Board, any Person 

that believes he or she is or may be an Interested Person may recuse himself or herself from 

deliberations and voting or the exercise of authority pursuant to Rule 2500(a) above upon 

his or her election.

(c) Any Interested Person who would be required otherwise to abstain from deliberations and 

voting or the exercise of authority pursuant to Rule 2500(a) above as a result of having 
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Material Conflict of Interest may participate in deliberations, prior to a vote on the matter, 

if:

(1) the material facts about the Interested Person’s interest in the matter are disclosed 

or known to the Board or SEF Panel;

(2) the Board determines that the participation by the Interested Person would be 

consistent with the public interest; and

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

Interested Person to participate in deliberations on the matter.

(d) If a determination is made pursuant to Rule 2500(c) 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.

(e) If a determination is made that all Directors are Interested Persons with respect to a matter 

subject to a vote by the Board, the Chief Executive Officer (unless the Chief Executive 

Officer is an Interested Person, in which case the most senior Officer who is not an 

Interested Person) 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.

Rule 2501 Voting by Interested Parties

(a) Relationship with Named Party in Interest.

(1) A member of the Board, any committee established by the Board (including the 

ROC) or any SEF Panel must abstain from such body’s deliberations and voting on 

any matter involving a Named Party in Interest where such member:

(i) is a Named Party in Interest;

(ii) is an employer, employee or fellow employee of a Named Party in Interest; 

(iii) is associated with a Named Party in Interest through a “broker association” 

as defined in CFTC Regulation 156.1;

(iv) has any other significant, ongoing business relationship with a Named Party 

in Interest, not including relationships limited to executing futures or option 

transactions opposite of each other or to clearing futures or option 

transactions through the same clearing member; or

(v) has a Family Relationship with a Named Party in Interest.

(2) Prior to the consideration of any matter involving a Named Party in Interest, each 

member of the Board, any committee established by the Board (including the ROC) 
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or any SEF Panel must disclose to the Chief Compliance Officer whether he or she 

is a Named Party in Interest or has one of the relationships listed in Rule 

2501(a)(1)(ii)-(v) above with a Named Party in Interest.

(3) The following procedure will apply with respect to any matter involving a Named 

Party in Interest under this Rule 2501:

(i) In its sole discretion, the Chief Compliance Officer, in consultation with the 

ROC (excluding any potentially interested members of the ROC), shall 

determine whether any member of the Board, any committee established by 

the Board (including the ROC) or a SEF Panel is required to abstain from 

deliberations and voting on the matter.

(ii) The determination of the Chief Compliance Officer will take into 

consideration the exigency of the matter and shall be based upon: (x) 

information provided by the member pursuant to Rule 2501(a)(2), and (y) 

any other source of information that is held by and reasonably available to 

the SEF.

(4) Notwithstanding any contrary determination made in accordance with Rule 

2501(a)(3), any Person that believes he or she is or may be a Named Party in Interest 

or has or may have one of the relationships listed in Rule 2501(a)(1)(ii)-(v) above 

with a Named Party in Interest may recuse himself or herself from deliberations 

and voting on the relevant matter involving a Named Party in Interest.

(b) Financial Interest in Significant Action.

(1) A member of the Board, any committee established by the Board (including the 

ROC) or any SEF Panel must abstain from such body’s deliberations and voting on 

any Significant Action if the member knowingly has a direct and substantial 

financial interest in the result of the vote based upon either exchange or nonexchange positions that could reasonably be expected to be affected by the action.

(2) Prior to the consideration of any Significant Action, each member of the Board, any 

committee established by the Board (including the ROC) or any SEF Panel must 

disclose to Chief Compliance Officer any Disclosable Financial Interest that is 

known to such member. This requirement does not apply to members who choose 

to abstain from deliberations and voting on the subject Significant Action.

(3) The Chief Compliance Officer will independently require a member of the Board, 

any committee established by the Board (including the ROC) or any SEF Panel to 

abstain from both the deliberations and voting by the Board, committee or SEF 

Panel on any Significant Action if the Chief Compliance Officer, in consultation 

with the ROC (excluding any potentially interested members of the ROC), 

determines that the member has a direct and substantial financial interest in the 

result of the vote. The determination of the Chief Compliance Officer must include 

a review of the member’s Disclosable Financial Interest, take into consideration the 

exigency of the Significant Action and should be based upon: (x) the most recent 
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large trader reports and clearing records available to the SEF; (y) information 

provided by the member with respect to any Disclosable Financial Interest pursuant 

to Rule 2501(b)(2); and (z) any other source of information that is held by and 

reasonably available to the SEF.

(4) The Board, any committee established by the Board (including the ROC) or any 

SEF Panel may permit a member to participate in deliberations prior to a vote on a 

Significant Action for which deliberations such member otherwise would be 

required to abstain, pursuant to this Rule 2501(b), if such participation would be 

consistent with the public interest and the member recuses himself or herself from 

voting on such action.

(5) In making a determination as to whether to permit a member to participate in 

deliberations on a Significant Action for which such member otherwise would be 

required to abstain, the deliberating body shall consider the following factors:

(i) Whether the member’s participation in deliberations is necessary for the 

deliberating body to achieve a quorum in the matter, and

(ii) Whether the member has unique or special expertise, knowledge or 

experience in the matter under consideration.

Prior to making any such determination, the relevant deliberating body must fully 

consider the position information that is the basis for the member’s direct and 

substantial financial interest in the result of a vote on a Significant Action. 

(6) The Board, Board committees and SEF Panels must reflect in their minutes or 

otherwise document that the conflicts determination procedures required by this 

Rule 2501 have been followed. Such records also must include:

(i) The names of all members who attended the meeting in person or who 

otherwise were present by electronic means;

(ii) The name of any member who voluntarily recused himself or herself or was 

required to abstain from deliberations and/or voting on a matter and the 

reason for the recusal or abstention, if stated; and

(iii) Information on the position information that was reviewed for each 

member. 

Rule 2502 Restrictions on Certain Persons who Possess Confidential Information; 

Improper Use or Disclosure of Confidential Information

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

employee or consultant of the SEF shall use or disclose, either during his or her association 

with the SEF or thereafter, for any purpose other than the performance of his or her official 

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

or consultant any confidential information (including any material, non-public 
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information) obtained as a result of the individual’s duties and responsibilities as a 

Director, Officer, committee or panel member or employee or consultant. Any Director, 

Officer, committee or panel member or employee or consultant 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.

(b) Notwithstanding Rule 2500(a), a Director, Officer, member of any committee or panel 

established by the Board or employee or consultant of the SEF may disclose confidential 

information (i) in the course of his or her official duties; (ii) to any Self-Regulatory 

Organization, DCO, court of competent jurisdiction or representative of any agency or 

department of the federal or state government acting in his or her official capacity; (iii) if 

such information is or becomes a matter of public knowledge through no fault of the 

Director, Officer, member of any committee or panel established by the Board or employee 

or consultant; or (iv) as required pursuant to Applicable Law.

(c) No Director, Officer, or member of any committee or panel established by the Board, no 

employee of the SEF and no consultant to the SEF shall:

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

the basis of any material, non-public information obtained through the performance 

of such Person’s official duties;

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

duties, any confidential information obtained by such Person as a result of such 

Person’s official duties; provided, however, that this Rule shall not prohibit any 

disclosures that are expressly permitted pursuant to Rule 2502(b); or

(3) trade, directly or indirectly, in (i) any Swap traded on the SEF, (ii) any related 

commodity interest (as defined in CFTC Regulation 1.59(a)), or (iii) any 

commodity interest traded on any DCM or SEF or cleared by any DCO if such 

Person has access to material non-public information concerning such commodity 

interest.

SERVICE AGREEMENTS

Rule 2600 Services Agreement with a Regulatory Services Provider

(a) The SEF may enter into a Regulatory Services Agreement with a Regulatory Services 

Provider to perform certain surveillance, investigative, and regulatory functions under the 

SEF Rules and the SEF may provide information to the Regulatory Services Provider in 

connection with the performance of those functions.

(b) The SEF shall retain ultimate decision-making authority with respect to any functions that 

are contracted to a Regulatory Services Provider and shall remain responsible for the 

performance of any Regulatory Services received.
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Rule 2601 Services Agreement with Other Service Providers

The SEF, in its discretion, may enter into services agreements with service providers of its 

choosing to perform functions under the SEF Rules, and may provide information to such service 

providers in connection with the performance of those functions.

Rule 2602 Prohibited Use of Data Collected for Regulatory Purposes

The SEF will 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 unless the Person from whom it collects or receives such data or information 

clearly consents to the SEF’s use of such data or information in such manner by providing a 

separate signed consent prior to such use. The SEF will not condition access to its market(s) or 

market services on a Person’s consent to the SEF’s use of Proprietary Data or Personal Information 

for business or marketing purposes. The SEF, where necessary for regulatory purposes and as 

permitted by Applicable Law, may share such data or information with one or more DCOs, swap 

execution facilities or DCMs registered with the CFTC. In such an event, the SEF will request the 

DCO, swap execution facility or DCM to maintain the confidentiality of any such information in 

the same manner as the DCO, swap execution facility or DCM would protect its own proprietary 

data.
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SECTION 3

PARTICIPANT ACCESS RULES

QUALIFICATIONS

Rule 3000 Qualifications

(a) To be eligible for admission as a Participant, an applicant must satisfy the following criteria 

(the “Participation Criteria”):

(1) is an ECP;

(2) is of good reputation and business integrity;

(3) maintains adequate financial resources and credit, has adequate capacity to meet its 

financial obligations and has not filed for bankruptcy;

(4) if it is an entity, is validly organized, in good standing and authorized by its 

governing body and, if relevant, documents of organization, to act as a Participant 

and comply with its obligations under the SEF Rules and doing so will not violate 

any material agreement by which it is bound or require any consents not already 

obtained;

(5) is not prohibited from using the services of the SEF for any reason whatsoever;

(6) holds all registrations required under Applicable Law, including, without 

limitation, any introducing broker, futures commission merchant, and/or swap 

dealer registration (each as defined in the CEA and CFTC Regulations), and if 

required pursuant to Applicable Law, is a member of the NFA;

(7) is not subject to statutory disqualification under Section 8a(2) of the CEA; and

(8) satisfies any other criteria that the SEF may require from a Participant to enable the 

SEF to perform its responsibilities as a Self-Regulatory Organization, comply with 

Applicable Law or provide services, provided such criteria are impartial, 

transparent and applied in a fair and nondiscriminatory manner.

(b) Each Participant intending to trade Cleared Swaps for its own account must either be (i) 

Self-Clearing with respect to the DCO where the Cleared Swaps it will trade are cleared, 

or (ii) if it is Non-Self-Clearing, have a clearing account with a Clearing Firm and be 

permitted by the related Clearing Firm to clear such Swaps at such DCO through such 

Clearing Firm.

(c) Each Participant that is an Account Manager, Introducing Broker or Sponsoring Participant 

must ensure that each of its Clients, Customers or Sponsored Participants (as applicable) 

intending to trade Cleared Swaps meets the requirements of Rule 3000(b) above.
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(d) Participants are prohibited from entering Orders or Transactions in Cleared Swaps on the 

SEF on behalf of any party (whether the Participant itself or its Client, Customer or 

Sponsored Participant) that is Non-Self-Clearing unless such party has a relationship with 

a Clearing Firm as described in Rule 3000(b)(ii) that covers the relevant Order or 

Transaction.

(e) The SEF shall review any financial filings and notices made by its Participants pursuant to 

the SEF Rules to determine whether they continue to qualify as ECPs. If any Client or 

Customer of an Account Manager or Introducing Broker is not also a Participant, the SEF 

shall obtain from the applicable Account Manager or Introducing Broker a representation 

that such Client or Customer is an ECP, which will be deemed repeated each time the 

applicable Account Manager or Introducing Broker transacts on the SEF on behalf of such 

Client or Customer.

(f) Upon request of the SEF or its Regulatory Services Provider, each Participant (and each 

Authorized Trader) shall promptly provide to the Market Regulation Department or the 

Regulatory Services Provider (i) the names of its Customers, Client or Sponsored 

Participants (if applicable) and (ii) such information about Authorized Traders as the SEF 

requests.

(g) The SEF may from time to time establish different categories of Participants receiving 

access to the SEF. Participants receiving comparable access to, or services from, the SEF 

will be subject to comparable fee structures.

(h) Consistent with Applicable Law, the SEF will provide access to its trading platform and 

services on a fair and nondiscriminatory basis to any ECP that complies with the SEF’s 

documentation and eligibility requirements as set forth in the SEF Rules.

PARTICIPANT APPLICATION AND ONGOING PARTICIPANT MATTERS

Rule 3100 Application Requirements

A Person that wishes to become a Participant of the SEF must:

(a) Submit to the SEF an accurate and complete application and execute and deliver any 

applicable agreements and other documents as may be required by the SEF from time to 

time;

(b) if it is an entity, provide a copy of all formation documents including any amendments 

thereto if requested by the SEF;

(c) if it is an applicant organized or located outside of the United States, enter into a written 

agreement acceptable to the SEF appointing a third party as its U.S. agent for service of 

process for purposes of CFTC Regulation 15.05, and shall provide the SEF with a copy of 

the agreement;

(d) provide such other information as may be requested by the SEF; and
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(e) provide (i) written or electronic confirmation of its status as an ECP, and (ii) with respect 

to any Client, Customer or Sponsored Participant that is not also a Participant and on whose 

behalf it wishes to trade on the SEF, a representation that such Client, Customer or 

Sponsored Participant is an ECP, which representation will be deemed repeated each time 

the Participant transacts on the SEF, whether for its own account or on behalf of such 

Client, Customer or Sponsored Participant.

Rule 3101 Review of Application

(a) The SEF shall review a prospective Participant’s application and may ask for and review 

any additional information it deems relevant.

(b) The SEF in its discretion may conduct an investigation of any applicant.

Rule 3102 Acceptance as a SEF Participant

(a) If the SEF decides to admit an applicant as a Participant, it shall notify the applicant and 

state in such notice the date on which the applicant shall become a Participant.

(b) Once admitted, a Participant shall continue at all times to satisfy all the Participation 

Criteria set forth in Rule 3000(a) and all other applicable eligibility criteria the SEF may 

specify from time to time.

(c) Admission as a Participant only entitles the Participant to Trading Privileges and does not 

confer any right of ownership in the SEF, or right to attend or vote at meetings of the SEF, 

or right to share in the profits of the SEF.

Rule 3103 Denial, Conditioning or Termination of Participant Status

(a) The SEF may deny, condition or terminate Participant status of any Person:

(1) if such Person is unable to satisfactorily demonstrate its ability to satisfy the 

Participation Criteria or any other eligibility criteria required to become or remain 

a Participant or any of the representations and warranties made by the Participant 

is untrue;

(2) if such Person is unable to satisfactorily demonstrate its capacity to adhere to all 

applicable SEF Rules and any other Applicable Law, including those concerning 

recordkeeping, reporting, financial requirements and trading procedures;

(3) if such Person fails to comply with any limitation placed by the SEF on such Person;

(4) if such Person commits a violation of the SEF Rules;

(5) if such Person would bring the SEF into disrepute as determined by the SEF in its 

sole discretion; or

(6) for such other reason the SEF may reasonably determine.
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(b) If the SEF decides to deny or condition an application for admission as a Participant, or 

terminate a Person’s status as a Participant, the SEF shall promptly notify such Person (the 

“Affected Person”) thereof in a writing sent to the address in the SEF application form or 

maintained in the SEF’s records. Such Affected Person may, within seven (7) calendar 

days of receipt of such notification, request in writing that the SEF reconsider its 

determination.

(c) Within thirty (30) calendar days of receiving the request for reconsideration, the SEF shall 

either confirm, reverse or modify the denial, conditioning or termination of the Affected 

Person as a Participant, and shall promptly notify the Affected Person accordingly in a 

writing sent to the address in the SEF application form or maintained in the SEF’s records.

(d) Any denials, conditionings or terminations implemented by the SEF pursuant to this Rule 

3103 will be impartially enforced.

(e) Any denial, conditioning or termination that represents a suspension, expulsion, 

disciplinary or access denial action or other adverse action within the meaning of Part 9 of 

the CFTC Regulations may (to the extent required thereby) be subject to review by the 

CFTC pursuant to Part 9 of the CFTC Regulations.

Rule 3104 Duty to Keep Current

(a) If any material information in the Participant’s application becomes outdated or otherwise 

is inaccurate or incomplete for any reason, the Participant must promptly update the 

application.

(b) Within thirty (30) calendar days following the end of each calendar year, Participants shall 

review and revise, as necessary, all information provided in their applications and provide 

such revisions to the SEF.

Rule 3105 Withdrawal of Participant; Temporary Deactivation of Trading Privileges

(a) To withdraw from the SEF, a Participant must notify the SEF of its withdrawal. Such 

withdrawal shall be accepted and effective immediately upon receipt of such notice by the 

SEF, provided that the SEF may, in its reasonable discretion, refuse to accept a 

Participant’s withdrawal request or may postpone the effective date of withdrawal of a 

Participant if the SEF considers it necessary for the protection of the Participant’s 

Customers, other Participants or otherwise in the interests of the SEF.

(b) Upon the effectiveness of the withdrawal of a Participant, all rights and privileges of such 

Participant with respect to the SEF shall terminate (including, without limitation, Trading 

Privileges). Notwithstanding the accepted withdrawal of a Participant, the withdrawn 

Participant, and any Client, Customer or Sponsored Participant thereof, shall remain bound 

by the SEF Rules and subject to the jurisdiction of the SEF with respect to any and all 

matters arising from, related to or in connection with, the status, actions or omissions of 

such Person prior to such withdrawal and must cooperate in any SEF Proceeding as if the 

former Participant were still a Participant.
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(c) Notwithstanding the foregoing, a Participant may request, in writing, that the SEF 

temporarily deactivate its Trading Privileges. The SEF may approve or deny any such 

request in its sole discretion, and may approve any such request on such terms as the SEF 

shall determine in its sole discretion. Upon approval of any such request, the Participant’s 

Trading Privileges shall be deactivated and the Participant will not be permitted to execute 

Transactions on the SEF or otherwise access the SEF until its Trading Privileges have been 

reinstated by the SEF. The Participant shall incur no new fees during the period of its 

deactivation.

Rule 3106 Dissolution of Participants

Upon dissolution of a Participant, all rights and privileges of such Participant with respect to the 

SEF shall terminate, but all obligations of such Participant shall survive.

Rule 3107 Jurisdiction and Application of SEF Rules

(a) Prior to obtaining access to the SEF and each time a Participant, Customer, Client, 

Sponsored Participant or any other Person initiates or executes a transaction on or subject 

to the SEF Rules, directly or through an intermediary, such Participant, Customer, Client, 

Sponsored Participant or other Person and any Supervised Person acting on its behalf shall 

be deemed to have expressly:

(1) consented to the jurisdiction of the SEF with respect to any and all matters arising 

from, related to, or in connection with, the status, actions or omissions of such 

Person;

(2) agreed to be bound by, and comply with, the SEF Rules and all Obligations, the 

DCO Rules and Applicable Law, in each case to the extent applicable to it;

(3) agreed to assist the SEF in complying with its legal and regulatory obligations, 

cooperate with the SEF, its Regulatory Services Provider(s) and the CFTC in any 

inquiry, investigation, audit, examination or proceeding, and authorizes the SEF to 

provide information regarding it to any Regulatory Services Provider, the CFTC or 

any Self-Regulatory Organization.

(b) At the time any Clearing Firm executes a Clearing Firm Agreement, such Clearing Firm 

shall be deemed to have expressly:

(1) consented to the jurisdiction of the SEF with respect to any and all matters arising 

from, related to, or in connection with, the status, actions or omissions of such 

Person;

(2) agreed to be bound by, and comply with, the SEF Rules and all Obligations, the 

DCO Rules and Applicable Law, in each case to the extent applicable to it;

(3) agreed to assist the SEF in complying with its legal and regulatory obligations, 

cooperate with the SEF, its Regulatory Services Provider(s) and the CFTC in any 

inquiry, investigation, audit, examination or proceeding, and authorizes the SEF to 
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provide information regarding it to any Regulatory Services Provider, the CFTC or 

any Self-Regulatory Organization.

(c) Any Person (including any Authorized Trader) whose access to the SEF is suspended for 

any period, and, if applicable, any Client, Customer or Sponsored Participant thereof, 

remains subject to the SEF Rules and to the jurisdiction of the SEF throughout the period 

of suspension and must cooperate in any SEF Proceeding. Any Person whose access to the 

SEF is revoked or terminated, and, if applicable, any Client, Customer or Sponsored 

Participant thereof, shall remain bound by the SEF Rules and subject to the jurisdiction of 

the SEF, with respect to any and all matters arising from, related to or in connection with, 

the status, actions or omissions of such Person prior to such revocation or termination and 

must cooperate in any SEF Proceeding.

Rule 3108 Notices to Participants

(a) The SEF shall publish a notice with respect to each addition to, modification or clarification 

of the SEF Rules or of any action to implement any SEF Rules on the SEF’s website or via 

an electronic mail distribution 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 (each a “Notice to 

Participants”). For purposes of publication in accordance with the first sentence of this 

Rule 3108, it shall be sufficient (without limiting the discretion of the SEF as to any other 

reasonable means of communication) if a Notice to Participants is published on the SEF’s 

website.

(b) Any Notice to Participants published on the SEF’s website or otherwise provided to 

Participants shall be deemed to have been made to all of a Participant’s Supervised Persons, 

Clients, Customers and Sponsored Participants.

(c) Each Participant is required to review the “Notices to SEF Participants” section of the 

SEF’s website to make itself aware of material changes to the SEF Rules or other notices 

that may affect its rights and obligations as a Participant, and is responsible for conveying 

such information to its Supervised Persons, Clients, Customers and Sponsored Participants 

in accordance with Rule 3114(c).

Rule 3109 Authorized Traders

(a) Each Participant shall designate one or more Authorized Trader(s), which, in the case of a 

Sponsoring Participant, may include any Person appointed, employed or authorized by a 

Sponsored Participant as provided in Rule 3110. Participants shall be responsible to the 

SEF for acting with reasonable care in granting Authorized Trader status to any individual.

(b) By agreeing to become an Authorized Trader, an individual is deemed to expressly consent 

to the jurisdiction of the SEF and agrees to be bound by the duties and responsibilities of 

an Authorized Trader and to be subject to, and comply with, the SEF Rules and Obligations. 

Among other duties and responsibilities that the SEF may impose, an Authorized Trader 

must:
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(1) have the authority, at the SEF’s request, to adjust or withdraw any Order or 

Transaction submitted under any User ID assigned to him or her;

(2) conduct activity under any User ID assigned to him or her in compliance with all 

SEF Rules and Obligations; and

(3) ensure he or she has been assigned his or her own User ID.

(c) To designate an Authorized Trader, a Participant must follow the procedures established 

by the SEF. The SEF may establish criteria that individuals must fulfill to become an 

Authorized Trader.

(d) The SEF will maintain a list of all designated Authorized Traders for each Participant.

(e) The SEF may, in its sole discretion, refuse to approve an Authorized Trader or revoke or 

suspend the designation of an individual as Authorized Trader to protect other Participants 

and the integrity of the SEF or for any other reason and shall promptly notify the related 

Participant of such action.

(f) To request the termination of the designation of an individual as Authorized Trader, the 

Participant must follow the procedures established by the SEF.

(g) Each Authorized Trader shall be identified to the SEF in the manner prescribed by the SEF 

and shall be subject to the SEF Rules. It is the duty of the Participant to ensure that each 

Authorized Trader registration is current and accurate at all times.

(h) Without limiting the foregoing, prior to accessing the SEF each Authorized Trader consents 

to abide by the SEF Rules and Applicable Law and each Participant 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 comply with the SEF Rules and Obligations and 

conduct its business in accordance with Applicable Law.

Rule 3110 Sponsored Access

(a) A Sponsoring Participant may extend Trading Privileges to one or more Sponsored 

Participants. If the Sponsoring Participant is not the Sponsored Participant’s Clearing Firm, 

the Sponsoring Participant will provide all relevant clearing information to the SEF on 

behalf of the Sponsored Participant. Each Sponsored Participant shall designate one or 

more Authorized Traders to transact on the SEF.

(b) The Sponsoring Participant is responsible for all RFQs, Orders, and Transactions placed 

by any Person acting on behalf of or in the name of the Sponsored Participant on the SEF 

as if such Orders or Transactions were placed by the Sponsoring Participant (whether or 

not the Sponsoring Participant was aware of and/or had approved the placing of such 

Orders or Transactions). Any execution occurring as a result of an Order or Transaction 
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entered by a Sponsored Participant shall be binding in all respects on the Sponsoring 

Participant.

(c) The Sponsoring Participant must monitor the Sponsored Participant’s access to the SEF 

and activity on the SEF, including, but not limited to, the entry, cancellation or other 

processing of Orders, risk management, trade reporting, clearing and settlement of 

Transactions.

(d) The Sponsored Participant is not a Participant of the SEF. The SEF has no liability to, and 

the SEF owes no duties or obligations to, nor has any responsibility for, the Sponsored 

Participant. Notwithstanding anything herein to the contrary, the Sponsored Participant and 

any other Person using a User ID or login credentials linked to a Participant will be subject 

to, and must comply with, the SEF Rules, and may be subject to Disciplinary Action by 

the SEF for any violation or attempted violation of the SEF Rules or provisions of 

Applicable Law for which the SEF has disciplinary jurisdiction. The Sponsored Participant 

will be deemed to have represented and warranted that it is an ECP and that it has all 

registrations, licenses and consents required under Applicable Law. The Sponsoring 

Participant further agrees to cooperate with the SEF, or any other regulator, in connection 

with any inquiry regarding the Sponsored Participant’s access and activities relating to the 

SEF and, in connection with such inquiry, the Sponsoring Participant shall ensure the 

cooperation of the Sponsored Participant and procure that the Sponsored Participant is 

contractually bound to cooperate with the SEF or any other regulator.

(e) The Sponsoring Participant shall ensure that:

(1) the Sponsored Participant, its directors, members, officers, employees and agents 

comply with Applicable Law and the policies and procedures issued or approved 

by the SEF and with all of the duties and/or obligations imposed on Participants 

under the SEF Rules as if the Sponsored Participant were a Participant for such 

purposes, except with respect to any such duties and/or obligations which 

manifestly only relate to the Sponsoring Participant;

(2) the Sponsored Participant takes reasonable security precautions to prevent 

unauthorized access to and use of the SEF, including unauthorized entry of 

information on the SEF and unauthorized use of information and data made 

available by the SEF; and

(3) the Sponsored Participant uses any market data for its own internal purposes only 

and only in accordance with the SEF Rules.

(f) The SEF shall obtain from each Sponsoring Participant a representation that each of its 

Sponsored Participants will be an ECP at the time each such Sponsored Participant 

transacts on the SEF.

(g) The SEF will promptly notify a Sponsoring Participant in writing of its approval, or refusal 

to approve, the designation of a Sponsored Participant. The SEF may, in its sole discretion, 

revoke, limit, restrict or suspend the designation of a Sponsored Participant, and shall 

notify the Participant of such action in accordance with SEF procedures.
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(h) A Sponsoring Participant that seeks to terminate the designation of a Sponsored Participant 

shall notify the SEF in writing, providing such information as the SEF may require. The 

SEF shall terminate the Sponsored Participant’s access to the SEF in accordance with 

procedures established by the SEF.

Rule 3111 [Reserved]

Rule 3112 Introducing Brokers 

(a) An Introducing Broker will be permitted to introduce Orders and execute Transactions on 

the SEF on behalf of a Customer (which may include another Participant or an Account 

Manager acting on behalf of a Client) where such Customer has so authorized the 

Introducing Broker. Any time an Introducing Broker introduces an Order or Transaction 

on the SEF on behalf of a Customer, such Introducing Broker shall be deemed to represent 

that the Customer on whose behalf it is acting has granted the Introducing Broker such 

authorization. An Introducing Broker shall provide the SEF with such notice and/or proof 

of such Customer authorization as the SEF may request from time to time.

(b) If authorized, an Introducing Broker may enter any Order, submit a Block Trade, or 

introduce to the SEF for execution any Transaction, permissible under the SEF Rules on 

behalf of such Customer.

(c) Each Customer shall be the principal to all executed Transactions resulting from Orders 

submitted by an Introducing Broker to the SEF on such Customer’s behalf (other than 

where the Customer is a Prime Broker Client executing a Prime Broker Transaction in the 

name of and on behalf of a Prime Broker, in which case the relevant Prime Broker shall be 

principal to such Transaction).

Rule 3113 Authorized Representatives

(a) Each Participant shall designate an Authorized Representative(s) who will represent the 

Participant before the SEF and its committees and receive notices on behalf of the 

Participant.

(b) An Authorized Representative shall be empowered by the Participant to act on its behalf 

and the SEF shall be entitled to rely on the actions of the Authorized Representative as 

binding on the Participant and each of its Authorized Traders.

(c) Each Participant must provide the SEF with current contact and other requested 

information for each of its Authorized Representatives so that the SEF is able to 

immediately contact the Authorized Representatives.

Rule 3114 Communications between the SEF and Participants

(a) Each Participant must provide the SEF with its current electronic mail address and 

telephone number and the electronic mail address and telephone number of each of its 

Authorized Traders and immediately (and in any event within 24 hours) update this 

information whenever it changes.
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(b) All communications between the SEF and the Participant will be transmitted by electronic 

mail and/or posted on the SEF’s website, except as otherwise specified by the SEF.

(c) Each Participant shall be responsible for conveying such communications to all of its 

Supervised Persons, Clients, Customers and Sponsored Participants (and Authorized 

Traders thereof).

(d) Each Participant will be responsible for promptly reviewing and, if necessary, responding 

to all electronic communications from the SEF to the Participant or any of its Supervised 

Persons.

(e) All communications made to Participants shall also be deemed to have been made to all of 

its Supervised Persons, Clients, Customers and Sponsored Participants (and Authorized 

Traders thereof).

Rule 3115 Recording of Communications

The Market Regulation Department and/or Regulatory Services Provider(s) may record 

conversations and retain copies of electronic communications between the SEF, on one hand, and 

Participants, Sponsored Participants, Clients or Customers or any of their Supervised Persons or 

other agents, on the other hand. Any such recordings may be retained by the SEF or the Regulatory 

Services Provider in such manner and for such periods of time as the SEF may deem necessary or 

appropriate and in accordance with Applicable Law. The SEF or Regulatory Services Provider 

will retain such recording in compliance with CFTC Regulations.

MATERIAL CHANGES

Rule 3200 Change of Control; Non-Assignment

(a) A Participant must provide written notice to the SEF of any of the following changes to its 

ownership, control or business operations prior to any such change taking effect to the 

extent practicable and in any event no later than 48 hours after any such change takes effect:

(1) a merger of the Participant with another Person, or

(2) a transfer, issuance or other transaction that results in one Person owning 50% or 

more of the voting equity of the Participant or a transaction that results in the 

transfer of all or substantially all of the assets of the Participant.

(b) A Participant may not assign its rights as a Participant without the written consent of the 

SEF, which consent shall not be unreasonably withheld.

FEES

Rule 3300 Fees

(a) The SEF shall set the times and amounts of any assessments or fees (including access and 

utilization fees), costs and charges to be paid by Participants. By accessing the SEF, 
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Participants agree to be bound by the fee schedule in effect at the time the applicable SEF 

services are rendered.

(b) A Participant will be responsible for the payment of all fees charged to it with respect to 

any Transaction, including, without limitation, any Transaction that is (i) for any or no 

reason, not fully performed by the parties thereto or (ii) subsequently voided or rescinded.

(c) Assessments, fees, costs and charges and other amounts owed to the SEF are payable upon 

receipt of the invoice. If a Participant fails to pay when due any assessments, fees, costs 

and charges owed, and such payment obligation remains unsatisfied thirty (30) days after 

its due date, the SEF may suspend, revoke, limit, condition, restrict or qualify the Trading 

Privileges of such Participant as it deems necessary or appropriate.

Rule 3301 Volume Discounts

The SEF may from time to time establish financial incentives for meeting trading volume, liquidity 

thresholds and/or other standards as may be established by the SEF.

INDEPENDENT SOFTWARE VENDORS

Rule 3400 ISVs

(a) Consistent with Applicable Law, the SEF will provide access to its trading platform, 

services and data on a fair and nondiscriminatory basis to any ISV that complies with the 

SEF’s documentation and eligibility requirements for ISVs as set forth in the SEF Rules.

(b) An ISV that wishes to access the SEF must:

(1) consent to the jurisdiction of the SEF and agree to be bound by, and comply with, 

the SEF Rules and all Obligations, the DCO Rules and Applicable Law, in each 

case to the extent applicable to it;

(2) execute an ISV participation agreement in the form supplied by the SEF;

(3) pay the monthly access fees that may be established by the SEF from time to time, 

which fees will be comparable for ISVs receiving comparable access to, or services 

from, the SEF;

(4) comply with the applicable technical access standards, system compatibility 

requirements, security protocols and technical specifications for connection to the 

SEF as may be specified by the SEF from time to time;

(5) ensure that each Person that uses the ISV to access the SEF is either a Participant 

or a Client or Customer of a Participant;
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(6) in the case of any Order or Transaction submitted to the SEF through the ISV, 

provide sufficient detail to identify the Participant (and, if applicable, the 

Participant’s Client or Customer) as required by the SEF; and

(7) satisfy any other criteria that the SEF may require to perform its responsibilities as 

a Self-Regulatory Organization, comply with Applicable Law or provide services, 

provided such criteria are impartial, transparent and applied in a fair and 

nondiscriminatory manner.

(c) An ISV may provide data obtained from the SEF solely to Participants and/or Clients or 

Customers of a Participant in connection with such Participants’ and/or Clients’ or 

Customers’ actual and proposed trading activity on the SEF, and will not provide such data 

to any other swap execution facility, security-based swap execution facility, DCM, national 

securities exchange or other trading facility or system without the prior written consent of 

the SEF.

BUSINESS CONDUCT REQUIREMENTS

Rule 3500 Customers and Clients

No Participant shall enter an Order or enter into a Transaction in the name of a Customer or Client, 

unless the Customer or Client has so authorized the Participant. Any time an Introducing Broker 

or Account Manager introduces an Order or Transaction on the SEF on behalf of a Customer or 

Client (as applicable), such Introducing Broker or Account Manager shall be deemed to represent 

that the Customer or Client on whose behalf it is acting has granted the Introducing Broker or 

Account Manager such authorization. 

Rule 3501 Disclosure Requirements; Know Your Counterparty Requirements 

(a) With respect to Uncleared Swaps, Participants that are Swap Dealers or Major Swap 

Participants shall verify through representations or otherwise the status of each Swap 

counterparty as an ECP as provided in CFTC Regulations applicable to business conduct 

standards for Swap Dealers and Major Swap Participants in their dealing with 

counterparties.

(b) Participants that are Introducing Brokers must verify the status of each of their Customers 

as an ECP.

(c) Participants that are Account Managers must verify the status of each of their Clients as an 

ECP.

(d) Participants that are Sponsoring Participants must verify the status of each of their 

Sponsored Participants as an ECP.

(e) Each Participant and Supervised Person, Client, Customer or Sponsored Participant of a 

Participant must comply with all disclosure requirements set forth in under Applicable Law 

including any additional disclosure requirements imposed by the SEF Rules.
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SECTION 4

TRANSACTION EXECUTION

This Section 4 prescribes Rules concerning trade practices and business conduct on the SEF and 

applies to all RFQs, Orders and Transactions.

Rule 4000.A. Trading Hours

Except with respect to Emergencies, the SEF shall determine and publish the Business Days of the 

SEF and the Trading Hours for each Swap. Participants are prohibited from sending any Order or 

entering into any Transaction or using any other facility of the SEF outside of the designated 

Trading Hours for the relevant Swap. The Trading Hours for each Swap in the Order Book shall 

be twenty-three (23) hours per Business Day other than between 5:30 p.m. and 6:30 p.m. (Eastern 

Time), in each case, subject to any variation as may be published by the SEF in a Notice to 

Participants or included in the relevant Swap Specification. The Trading Hours for each Swap via 

RFQ shall be twenty-four (24) hours per Business Day, subject to any variation as may be 

published by the SEF in a Notice to Participants or included in the relevant Swap Specification. 

Rule 4000.B. Swap Specifications

(a) Notwithstanding any provision of the SEF Rules to the contrary, the terms and conditions 

set forth in the Swap Specification with respect to a particular Swap shall govern the trading 

in such Swap on the SEF and, in the event of any conflict between the general terms of the 

SEF Rules excluding the Swap Specifications and the particular terms of the SEF Rules set 

forth in the Swap Specification, the particular terms of the SEF Rules set forth in the Swap 

Specification shall govern with respect to trading in the relevant Swap on the SEF.

(b) The Swap Specification for each individual Swap may specify:

(1) 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;

(2) whether such Swap may be settled via cash settlement, physical delivery of the 

underlying commodity, or by any other means, as applicable; and

(3) the method for determining settlement prices.

(c) The SEF shall permit trading only in Swaps that are not readily susceptible to manipulation.

Rule 4001 Procedures

(a) With respect to trading on or though the SEF or subject to the SEF Rules, the SEF may 

adopt, without limitation, procedures relating to Transactions in Swaps and trading on the 

SEF or subject to the SEF Rules, including procedures to:

(1) disseminate the prices of bids and offers on, and Transactions in, Swaps;
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(2) record, and account for, Swaps and SEF activity and regulate administrative matters 

affecting Swaps and SEF activity;

(3) establish daily limits (or such other frequency as may be determined from time to 

time by the SEF) on the notional amount and/or risk of Orders or Transactions that 

may be submitted by a Participant through the SEF or subject to the SEF Rules;

(4) establish limits on Swaps that may be held by a Participant, Customer, Client or 

Sponsored Participant;

(5) 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

(6) establish minimum price quoting increments for each Swap.

(b) The SEF may, in its discretion and at any time, amend any procedures adopted pursuant to 

Rule 4001(a), and will publish the amendments in a Notice to Participants or in any other 

manner determined appropriate by the SEF.

Rule 4002 Required Identifications

(a) Each Participant and all related Authorized Traders (including those of its Sponsored 

Participants) must have a User ID assigned in accordance with the procedure adopted by 

the SEF from time to time in order to access the SEF. The User ID assigned to an 

Authorized Trader may not be reassigned to another Authorized Trader.

(b) Orders entered on the SEF must include the User ID assigned to the Authorized Trader. An 

Authorized Trader is prohibited from allowing any other Person to use such unique 

identification to enter Orders on the SEF. No Person may enter Orders on the SEF using a 

User ID that has not been assigned to such Person.

(c) Each Participant shall be responsible for all RFQs, Orders placed, or Transactions executed 

using any of the User IDs assigned to its Authorized Traders or those of any of its 

Sponsored Participants. Prime Brokers shall be responsible for all Prime Brokerage Orders 

placed or Prime Broker Transactions executed by a Prime Broker Client acting in its 

capacity as such subject to and in accordance with the relevant Prime Broker 

Acknowledgement Letter and Rules 4105 and 5103.E.

(d) Participants must terminate an Authorized Trader’s access to the SEF upon termination of 

the Authorized Trader’s employment at, or authorization or appointment by, the Participant 

or Sponsored Participant (as applicable).

Rule 4003.A. Execution of Transactions

(a) No Person shall execute a Required Transaction subject to the SEF’s jurisdiction other than 

via the Order Book or RFQ unless such Transaction is a Block Trade, Package Transaction 

(Order Book Exempt) or a Clearing Exempt Transaction. All Required Cross Transactions 
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will be subject to the time delay requirement set forth in Rule 4011, including TAS Cross 

Transactions that are Required Cross Transactions.

(b) No Person shall enter into a Clearing Exempt Transaction subject to the SEF’s jurisdiction 

unless it (or, if applicable, its Customer, Client or Sponsored Participant) or the 

counterparty to the Swap is eligible for and elects to rely on a Clearing Exception. Upon 

request of the SEF, a Participant, Sponsored Participant, Customer or Client shall submit 

to the SEF all documentation supporting eligibility for the applicable Clearing Exception.

(c) Permitted Transactions (including Permitted Cross Transactions) may be executed through 

the SEF’s Order Book as described in Rule 4003.B or RFQ as described in Rule 4003.D. 

In addition, Permitted Cross Transactions may be executed away from the SEF’s Order 

Book or RFQ as described in Rule 4004. Certain Permitted Transactions may also be 

executed via Risk Mitigation Sessions as specified in Rule 4018 and the tpSEF Risk 

Mitigation Procedures.

(d) Any swap component of a Package Transaction (Order Book Exempt) may be executed in 

the same manner as any Permitted Cross Transaction as described in Rule 4004 or, if 

available for execution on the SEF’s Order Book, through the SEF’s Order Book.

(e) Block Trades are required to be executed in accordance with the requirements of Rule 

4016.

(f) No executed Transactions may be submitted to the SEF other than Block Trades that occur 

away from the SEF and that are executed in accordance with the requirements of Rule 

4016.

(g) TAS Cross Transactions must be submitted to the SEF and executed in accordance with 

the requirements of Rule 4003.C.

(h) Any Order or Cross Transaction that is submitted to the SEF may be cancelled prior to 

execution. 

Rule 4003.B. Order Book

(a) All Orders posted to the Order Book are firm (i.e., there are no indications of interest or 

indicative quotes allowed).

(b) An acceptable Order must include a specific price and size, as well information meeting 

the requirements of Rule 8001.

(c) Order Types.

(1) An acceptable Order must indicate the time in force, which may include the 

following:

(i) “Day” (or “Fill-and-Store”) Orders are only good for the Business Day and 

applicable Trading Hours in which they are entered.
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(ii) “Fill-or-Kill” (“FOK”) Orders must be immediately executed for the entire 

size of the Order or are cancelled automatically.

(iii) “All-or-None” (“AON”) Orders must be executed for the entire size of the 

Order or are cancelled automatically. AON Orders enter the Order Book as 

passive Orders.

(iv) “Immediate or Cancel” (“IOC”) Orders must be executed fully or partially 

and, if partially, the remaining quantity is cancelled automatically.

(v) “Good ‘til Time” (“GTT”) Orders are cancelled after a specified time if no 

matching Order is placed.

(vi) “Good ‘til Price” (“GTP”) Orders will be cancelled if the reference price of 

the specified instrument is moved up or down (depending upon whether the 

Order is a bid or offer).

(vii) “One Cancels Other” (“OCO”) Orders are paired Orders stipulating that if 

one of the Orders is executed, the other is automatically cancelled.

(2) Good ‘til Time, Good ‘til Price and One Cancels Other Orders are all also Day 

Orders, in that they are only good for the Business Day and applicable Trading 

Hours in which they are entered, even if the time, price or execution conditions are 

not otherwise met.

(3) Not all Orders types are available for all Swaps. The table below shows the Order 

types available for each asset class:

Asset Class Day FOK AON IOC GTT GTP OCO

Credit ✓ ✓ × ✓ ✓ ✓ ✓

Commodities ✓ ✓ × × ✓ × ×

Rates ✓ ✓ US$ only ✓ ✓ ×

EUR/GBP 

only

Non-Deliverable Forwards ✓ ✓ × ✓ ✓ ✓ ✓

Equities ✓ ✓ × ✓ ✓ × ×

FX Options ✓ × × ✓ ✓ ✓ ✓

(d) Pre-Trade Controls.

(1) Order Limits. The SEF may, within its sole discretion, set Order limits by product 

and by instrument within a particular asset class. The following types of Order 

limits may be imposed:
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(i) Order Size Limit (OSL): This is the maximum size allowed for any single 

Order. Any Order submitted will be checked against the product/asset 

class’s Order Size Limit, and if the Order exceeds this limit, such Order will 

be rejected and the Participant will be notified.

(ii) Order Price Limit (OPL): This is the maximum price differential allowed 

for any Order. Any Order submitted will be checked against the 

product/asset class’s Order Price Limit and if the Order exceeds this limit, 

it will be rejected and the Participant will be notified. The price differential 

will be calculated as follows:

(Order price entered) - (Instrument Reference Price) = |Price Differential|

The “Instrument Reference Price” is an estimated current price for the 

relevant Swap, based on either current trading data for that instrument on 

the SEF and elsewhere, or, in the absence of current trading data for the 

relevant Swap, implied from current trading data for other instruments.

(2) Price Tick Deviation. If the price for any Order entered into the Order Book is 

greater than (i) the top contra-Order price or, if no contra-Orders exist in the Order 

Book, the Instrument Reference Price, plus (ii) the specified number of tick 

increments in the Maximum Price Tick Deviation parameter for the Swap, the 

Order will be rejected. The Maximum Price Tick Deviation parameter for each 

Swap is determined by the SEF from time to time in its sole discretion.

(3) Restriction Against Self-Trading. The Order Book system is configured to prohibit 

the matching of Orders placed by Authorized Traders of the same Participant.

(e) Implied Orders. The SEF offers limited implied order functionality. Under this 

functionality, individual separate Orders, which in aggregate would form the legs of a 

liquid spread trade, are displayed in the Order Book both as individual outright trades and 

in aggregate as a spread trade. This functionality is only made available for tenors at which 

spread trades are customarily transacted as determined by the SEF from time to time and 

displayed on the Order Book.

(f) Order Entry.

(1) Orders, including Orders for Required Cross Transactions and Permitted Cross 

Transactions, may be entered into the Order Book for execution either (i) directly 

by any Participant that has established direct connectivity to the SEF’s Order 

Management System, or (ii) by an Execution Specialist acting on the instruction of 

a Participant. Order information may be communicated by Participants to 

Execution Specialists via telephone and/or via electronic modes of communication 

such as email and instant message.

(2) Certain Participants that have elected not to establish direct connectivity to the 

OMS have executed a “tpSEF Inc. Terms of Use and SEF Order Book Waiver” (the 
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“Order Book Waiver”) in lieu of the “tpSEF Inc. Terms of Use.” During the 

effectiveness of its “Order Book Waiver,” a Participant must access the Order Book 

via an Execution Specialist both for Transactions that must be executed on Order 

Book pursuant to Rule 4003.A. and for Transactions voluntarily executed on the 

Order Book. Any such Participant may elect to establish direct connectivity to the 

OMS at any time by executing the “tpSEF Inc. Terms of Use” and terminating its 

“Order Book Waiver.” For the avoidance of doubt, all Participants, including those 

that have signed the “Order Book Waiver,” are required to comply with the 

requirements of Rule 4003.A. relating to the execution of Required Transactions.

(3) An Order placed on the Order Book may be cancelled provided such Order has not 

been executed. The price or size of an Order placed on the SEF that has not fully 

traded may be revised. If the size is reduced, the time priority originally assigned 

to the Order does not change. Revising the price or increasing the size will reset the 

Order’s time priority in the queue to the time the SEF receives the revision. Order 

cancellations or revisions may be communicated by Participants to Execution 

Specialists via telephone and/or via electronic modes of communication such as 

email and instant message.

(4) When an Authorized Trader logs off and any relevant time-out has expired, (i) all 

Orders on the Order Book submitted by that Authorized Trader may be terminated 

or may remain live, depending on the manner in which the Authorized Trader has 

configured his or her account and (ii) where the Authorized Trader has entered the 

Order on behalf of a Customer, all such Customer Orders will be terminated. If for 

any reason the connection to the SEF is lost and not-re-established within any 

relevant time-out period, all Orders entered from that location on the SEF are 

deactivated.

(g) Order Book Display and Interaction.

(1) Once an Order is entered into the Order Book, the Order is displayed 

simultaneously to all Participants that have established direct connectivity to the 

OMS and may be transacted on as described in Rule 4003.B.(h) below.

(2) All Orders will be displayed on an anonymous basis and each Order Book platform 

will show, in real-time, the best price and the depth per product.

(3) For Participants that have direct connectivity to the OMS, each Order Book 

platform displays all executions to all Participants, and for each individual 

Participant, its Order and execution history for the trading day.

(4) The SEF’s Order Book supports the following Order interactions on any active 

Order, which may be taken only by the Participant who submitted the Order or by 

an Execution Specialist acting on the Participant’s instructions:

(i) Amend, and
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(ii) Cancel. (If a partially executed Order is cancelled, only the balance of the 

Order is cancelled.)

(5) Information regarding Orders on the Order Book will be provided upon request to 

any Participant by an Execution Specialist via telephone and/or via electronic 

modes of communication such as email and instant message.

(h) Matching of Orders on the Order Book.

Orders may be either matched automatically or manually hit or lifted as described in this 

Rule 4003.B.(h). In each case, Orders will be executed using price and time priority.

(1) Ability to Trade. In the case of either Manual Matching or Automatic Matching as 

described in this Rule 4003.B.(h):

(i) An Order for a Cleared Swap may only be hit or lifted by, or matched with 

a contra-Order for, a Participant (or a Participant’s Customer or Client) that 

is, or whose Clearing Firm is, a Clearing Member at the DCO at which the 

Swap is to be cleared, and 

(ii) An Order for an Uncleared Swap may only be hit or lifted by, or matched 

with a contra-Order for, a Participant (or a Client or Customer of a 

Participant) that has swap trading relationship documentation in place with 

the relevant counterparty and only to the extent that each counterparty has 

available credit line, both as described in Rule 4013.B.

(2) Manual Matching. Subject to the requirements of Rule 4003.B.(h)(1) above, a 

Participant may manually hit or lift, in whole or in part, any resting Order within 

the Order Book that is (i) at the best price(s) within the market for the relevant 

product, and (ii) if there are multiple Orders at the same price(s), entered first in the 

Order Book.

(3) Automatic Matching. Subject to the requirements of Rule 4003.B.(h)(1) above and 

depending on Order type (as described in Rule 4003.B.(c)) and the Orders resting 

on the Order Book, Orders entered into the Order Book will be automatically (i) 

matched (fully or partially) to one or more Orders within the Order Book based on 

price and time priority or (ii) cancelled. Certain Order Book platforms do not 

support Automatic Matching.

Rule 4003.C. Trade at Settlement Cross Transactions

(a) A Participant may submit to the SEF for execution a Cross Transaction for which the fixed 

rate will be the ICE Swap Rate for the “USD Rates 1100” benchmark run and for the 

relevant tenor published by ICE Benchmark Administration Limited at 11:15 a.m. New 

York time on the date of the Participant’s submission (each such Cross Transaction, a “TAS 

Cross Transaction”). TAS Cross Transactions may be submitted to the SEF between 7 a.m. 

New York time and 10:59 a.m. New York time on each day the SEF is open for business.
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(b) Each TAS Cross Transaction submitted to the SEF will be held in abeyance by the SEF, 

and will not be deemed executed, until the relevant ICE Swap Rate has been announced 

and, in the case of any TAS Cross Transaction that is a Required Cross Transaction, the 

time delay requirement set forth in Rule 4011 has been applied as described in Rule 

4003.C.(c) below.

(c) For any TAS Cross Transaction that is a Required Cross Transaction, the time delay 

requirement described in Rule 4011 will be applied immediately following the 

announcement of the relevant ICE Swap Rate.

(d) Once a TAS Cross Transaction has been executed: (i) the SEF will generate and send a 

Confirmation to each counterparty in accordance with Rule 4012; (ii) the Transaction will 

be reported by the SEF to an Approved SDR in accordance with Rule 8005; and (iii) if it 

is a Cleared Swap, the Transaction will be routed by the SEF to the relevant DCO in 

accordance with Rule 4013.A.

Rule 4003.D. Voice Request for Quote Systems

(a) Any Request for Quote transmitted pursuant to this Rule 4003.D is not an Order.

(b) Participants may initiate either a Non-Directed Voice RFQ or a Directed Voice RFQ by 

contacting an Execution Specialist. If the Participant does not specify that it wishes the 

RFQ to go to less than all Participants, the Execution Specialist shall direct the RFQ to all 

Participants.

(1) Non-Directed Voice RFQ.

(i) The Execution Specialist will transmit the RFQ to all other Participants, and 

all other Participants may respond.

(ii) Prior to execution the Execution Specialist will disclose the identities of 

Participants who transmit or respond toThe identity of a Non-Directed 

Voice RFQ requester shall be disclosed to the Recipients upon transmittal 

of any Non-Directed Voice RFQ and the identities of the Recipients that 

provide responses shall be disclosed to the RFQ requestor at the time of 

such responses.

(2) Directed Voice RFQ.

(i) The Execution Specialist will transmit the RFQ to no less than three 

(3) Recipients, to which all such Recipients may respond.

(ii) A Participant that requests an Execution Specialist to send an RFQ to fewer 

than all Participants may not request that an Execution Specialist send any 

RFQ to another Participant that is affiliated with or controlled by the RFQ 

requester or to two more Participants that are affiliated with or controlled 

by each other. An Execution Specialist that sends an RFQ to fewer than all 

Participants, after consideration of reasonably available information, may 
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not knowingly send an RFQ on behalf of the requesting Participant to 

another Participant that is affiliated with or controlled by the RFQ requester, 

or to two or more Participants that are affiliated with or controlled by each 

other. For purposes of this Rule 4003.D(b), “control” includes but is not 

limited to the grant of trading discretion by one Participant to another.

(iii) The identity of a Directed Voice RFQ requester shall be disclosed to the 

Recipients upon transmittal of any Directed Voice RFQ and the identities 

of the Recipients that provide responses shall be disclosed to the RFQ 

requestor at the time of such responses.

(iv) A Participant may elect to not receive Directed Voice RFQs upon written 

notice to the SEF.

(3) With respect to both Non-Directed Voice RFQs and Directed Voice RFQs:

(i) A RFQ transmitted to Participants must not be in the form of an Order.

(ii) Together with the first response from any Recipient, the Execution 

Specialist will communicate to the requesting Participant any firm resting 

Order for the Swap indicated in the RFQ that is posted in the Order Book 

together with any responses to the RFQ from the Recipients. Execution of 

trades through the Order Book will be in accordance with Rule 4003.B.

(iii) Responses to RFQs must be in the form of an Order. The RFQ requestor 

may accept such RFQ response by submitting a corresponding Order.

(iv) An Execution Specialist will act in accordance with a Participant’s 

instructions, the Rules and Applicable Law.

(4) Managed Orders. With respect to Non-Directed Voice RFQs only:

(i) Unless otherwise instructed by a Recipient, an unfilled Order provided in 

response to an RFQ shall be entered into the Order Book by an Execution 

Specialist on behalf of a Participant (“Managed Orders”).

(ii) Execution Specialists shall cancel a Managed Order if:

A. The Participant instructs the Execution Specialist to cancel the 

Managed Order;

B. The Participant is filled in the same instrument in an RFQ and the 

Managed Order is filled prior to the Execution Specialist cancelling 

the order; or

C. Time has passed and market conditions have changed sufficiently 

since the entry of the Managed Order such that the Managed Order 
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should be cancelled. The following conditions must be met before 

a Managed Order is cancelled in the Order Book:

1. The Managed Order must be exposed to the Order Book for 

at least 15 seconds; and

2. A material change in the equilibrium price of the particular 

instrument has occurred as identified by any of the 

following:

i. New Orders, initiations of Non-Directed Voice 

RFQs, or responses to Non-Directed Voice RFQs 

indicating one or more Participants are willing to 

trade at a worse price; or

ii. The instrument’s mid-rate has moved through the 

Managed Order’s price; or

iii. A material economic market event has occurred, 

including, but not limited to, U.S. Department of 

Labor’s Bureau of Labor Statistics Economic News 

Releases, Federal Reserve announcements, or 

natural or man-made disasters.

(iii) Failure of an Execution Specialist to cancel a Managed Order pursuant to 

Rule 4003.D(b)(4)(ii) prior to it being filled in whole or in part shall be 

considered an error of the SEF that may be cancelled pursuant to Rule 

5103.A.

Rule 4004 Permitted Cross Transactions

(a) Permitted Cross Transactions may either be:

(1) Executed through the SEF’s Order Book as described in Rule 4003.B., or

(2) Submitted to the SEF for execution away from the SEF’s Order Book either (i) to 

an Execution Specialist, or (ii) for FX options, non-deliverable forwards and 

Transactions in the Rates asset class, directly by Participants that have established 

direct connectivity to the SEF.

(b) Permitted Cross Transactions that are submitted to an Execution Specialist for execution 

away from the Order Book may be executed through either (1) the SEF’s Deal Management 

System, or (2) if available, the OMS using Off-Book Ticket Functionality. A Participant 

submitting a Permitted Cross Transaction to an Execution Specialist must provide the 

information required by Rule 8001. Permitted Cross Transactions may be communicated 

to an Execution Specialist via telephone and/or via electronic modes of communication 

such as email and instant message.
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(c) Permitted Cross Transactions submitted directly to the SEF for execution away from the 

Order Book by Participants that have established direct SEF connectivity will be executed 

as follows:

(1) Through the OMS using Off-Book Ticket Functionality for Permitted Cross 

Transactions in the Rates asset class and non-deliverable forwards, and

(2) Through the SEF’s Deal Management System for FX options.

Rule 4005 Mishandling of Customer Orders

Any Participant that mishandles any Customer Order is responsible for all remedial actions with 

respect to such Order.

Rule 4006 Trading Halts

The SEF, in its sole discretion, may declare a trading halt at any time.

Rule 4007 Termination of the SEF Connection

The SEF shall have the right to summarily terminate the direct, electronic connection of any 

Participant to the SEF. Additionally, the SEF shall have the right to direct a Participant to 

immediately terminate the direct, electronic access to the SEF of any Sponsored Participant. Any 

such termination shall be impartially enforced and shall be invoked only for technical reasons. Any 

affected Participant or Sponsored Participant shall continue to have access to the SEF by means of 

an Execution Specialist, unless such access is denied in accordance with the procedures set forth 

in Rule 3103 or elsewhere in the SEF Rules. 

Rule 4008 Risk Controls

(a) The SEF may, in its sole discretion, to protect other Participants and the integrity of the 

SEF, reject any Order or Transaction placed or reported on the SEF.

(b) The SEF shall have the right to take any action to prevent or reduce the potential of market 

disruption, including, but not limited to, market restrictions that pause or halt trading, if 

such action is in the best interest of the swap markets and/or the SEF.

Rule 4009 Priority of Customers’ Orders

No Participant that is an Introducing Broker shall enter an Order into the SEF 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, including, without limitation, an Order allowing discretion as to 

time and price, when such Introducing Broker is in possession of any Order in the same Swap for 

its Customer that the SEF is capable of accepting.
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Rule 4010 Trading Against Customers’ Orders Prohibited; Withholding Orders 

Prohibited

(a) No Participant 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.

(b) The foregoing restriction shall not apply to the following:

(1) Block Trades, and

(2) Transactions where the Customer has granted prior consent and such consent is 

permitted under Applicable Law.

(c) Except as otherwise explicitly permitted under this Rule 4010(c) and Rule 5203(b), no 

Person shall (i) disclose another Person’s Order to buy or sell except to a designated SEF 

Official or the CFTC, (ii) solicit or induce another Person to disclose Order information or 

(iii) take action or direct another to take action based on non-public Order information, 

however acquired. The mere statement of opinions or indications of the price at which a 

market may open or resume trading does not constitute a violation of this Rule. Nothing 

contained in this Rule 4010(c) shall prevent a Person from disclosing information as may 

be required by legal process (including subpoena or demand for productions) or to such 

Person’s agents or advisors (including, but not limited to, accountants and auditors and 

legal counsel).

(d) Any Participant entering Orders on the SEF for its Customer or Client shall not withhold 

or withdraw from the market any Order, or any part of an Order, for the benefit of any 

Person other than such Customer or Client.

(e) A Participant must immediately enter into the SEF all Orders received from its Customers 

that are executable immediately. If a Participant cannot immediately enter into the SEF an 

Order received from its Customer, the Participant must enter the Order into the SEF as 

soon as practicable, and must immediately create an electronic record as provided in Rule 

8002.

Rule 4011 Time Delay Requirement for Required Cross Transactions

(a) With respect to Required Cross Transactions, the following conditions must be satisfied:

(1) in the case of an execution by a Participant as principal/dealer against a customer 

Order, the Customer Order shall be entered into the Order Book as a firm quote and 

exposed to the market for at least 15 seconds before the Participant’s Order may be 

entered, and

(2) in the case of an execution by a Participant acting as broker of two customers’ 

Orders against each other, one side of the potential Transaction (the “Displayed 

Order”) shall be entered into the Order Book as a firm quote and exposed to the 
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market for at least 15 seconds before the second side of the potential Transaction 

(the “Waiting Order”) may be entered.

(b) With respect to a Required Cross Transaction subject to Rule 4011(a)(2) above, any 

Participant, Sponsored Participant, Customer or Client whose Order is the Waiting Order 

shall not, directly or indirectly, execute against the Displayed Order prior to the time that 

entry of the Waiting Order is permitted under Rule 4011(a)(2) above.

Rule 4012 Confirmations and USIs

(a) The SEF will generate and send a Confirmation to each counterparty to a Transaction 

(which, in the case of a Prime Broker Transaction, will be the relevant Prime Broker) at 

the time of execution of such Transaction; provided that where a counterparty to a 

Transaction is a Customer, the Confirmation may be provided to the Customer’s 

Introducing Broker in accordance with Rule 4012(f); and provided further that where a 

Prime Broker Client executes a Prime Broker Transaction, a copy of the Confirmation shall 

be sent to the Prime Broker Client. Upon receipt of a Confirmation, such counterparty, 

Introducing Broker or Prime Broker Client (as applicable) shall, as soon as practicable, 

review the contents of such Confirmation and promptly report any errors or omissions to 

the SEF.

(b) The Confirmation (including, with respect to Uncleared Swaps, the Terms Incorporated by 

Reference as defined in Rule 4012(d)(1)) shall legally supersede any previous agreement 

and shall constitute a confirmation as defined in CFTC Regulation 45.1. The Confirmation 

shall contain, among other things:

(1) the USI for the Transaction; and

(2) the identity of the Swap Data Repository to which the Transaction is being reported.

(c) With respect to certain products, Transactions and counterparties, a Confirmation may be 

provided on the SEF’s behalf by MarkitSERV’s Organized Trading Venue (OTV) 

Confirmation Service or other similar confirmation service. Subject to Rule 4012(d), 

regardless of the means of delivery, pursuant to these rules, each Participant, Sponsored 

Participant, Customer and Client agrees that the Confirmation represents legally binding 

documentation memorializing the agreement of the parties to all the terms of the 

Transaction.

(d) Confirmations for Uncleared Swaps.

(1) With respect to any Uncleared Swap, the economic terms specific to the 

Transaction shall be reflected in a written communication (the “Trade 

Communication”) sent by the SEF to each counterparty, Introducing Broker or 

Prime Broker Client in accordance with Rule 4012(a). The Trade Communication, 

together with the documents and agreements (including, without limitation, ISDA 

master agreements, other master agreements, terms supplements, master 

confirmation agreements and incorporated industry definitions) governing such 

Transaction (the “Terms Incorporated by Reference”) shall, taken together, for 
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purposes of CFTC Regulation 37.6(b) comprise all of the terms of such Transaction 

and serve as a Confirmation of such Transaction. The provisions of this Rule 

4012(d) relating to Terms Incorporated by Reference rely on relief granted by the 

CFTC’s Division of Market Oversight in No-Action Letter 17-17, which expires on 

the effective date of any changes to the relevant CFTC Regulations.

(2) In satisfaction of the obligations imposed on the SEF under CFTC 

Regulation 37.6(b), each Trade Communication (and thus each Confirmation) is 

deemed to incorporate the Terms Incorporated by Reference. All Confirmations for 

Uncleared Swaps that are generated and issued directly by the SEF shall state that 

they incorporate by reference any previously-negotiated freestanding agreement of 

the counterparties governing such Transaction.

(3) In the event of any conflict or inconsistency between (i) the Trade Communication 

and (ii) the Terms Incorporated by Reference, the Trade Communication shall 

prevail to the extent of any such conflict or inconsistency, and each Trade 

Communication will state the same.

(4) For each Uncleared Swap executed on or pursuant to the SEF Rules, each 

previously-negotiated freestanding agreement of the counterparties included in the 

Terms Incorporated by Reference must be available to the SEF and/or the CFTC 

staff upon request within a reasonable period of time. Any such agreements 

provided to the SEF in connection with a CFTC request will be furnished to the 

CFTC as soon as they are available.

(e) The USI referred to in 4012(a) above shall be created by the SEF and transmitted to each 

counterparty as soon as technologically practicable in accordance with CFTC Rule 

45.5(a)(2).

(f) By executing a Transaction on the SEF through an Introducing Broker, each Customer is 

deemed to authorize the SEF to send Confirmations of such Transactions to the applicable 

Introducing Broker and to authorize such Introducing Broker to accept such Confirmations 

on behalf of such Customer.

(g) By providing a Prime Broker Acknowledgement Letter to the SEF, each Prime Broker is 

deemed to authorize the SEF to send Confirmations of Prime Broker Transactions to the 

applicable Prime Broker Client and, in the case of a Prime Broker Transaction transacted 

through an Introducing Broker, to the applicable Introducing Broker, subject to Rule 

4105(b). 

Rule 4013.A. Cleared Swaps

(a) Each Cleared Swap shall be cleared through the DCO indicated in the Swap Specification 

or agreed by the parties in accordance with the Applicable Law, provided that the DCO 

must be one of those recognized by the SEF. The DCOs currently recognized by the SEF 

are:

(1) ASX Clear (Futures) Pty Limited
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(2) Chicago Mercantile Exchange, Inc.

(3) Eurex Clearing AG

(4) ICE Clear Credit LLC

(5) Japan Securities Clearing Corporation

(6) LCH.Clearnet LLC

(7) LCH.Clearnet Limited

The SEF may recognize additional DCOs either through amendment of this Rule 4013.A. 

or by issuance of a Notice to Participants.

(b) For each Cleared Swap a Participant expects to enter into via the SEF or subject to the SEF 

Rules (whether for itself or for a Client, Customer or Sponsored Participant), the Participant 

or a Participant’s Client, Customer or Sponsored Participant, as applicable, must establish 

a clearing account with the relevant DCO or with a Clearing Firm that is a Clearing Member 

of such DCO.

(c) The SEF shall route each Cleared Swap executed on the SEF (and accepted for clearing by 

a Clearing Firm if the relevant party to the Transaction is Non-Self-Clearing) to the relevant 

DCO as soon as technologically practicable after execution, and in no event later than ten 

(10) minutes after execution. The SEF may do so either by submitting the Cleared Swap 

directly to the DCO or by routing the Cleared Swap through an Affirmation Hub or other 

middleware provider. A Transaction will be deemed to have been accepted for, or rejected 

from, clearing upon receipt of appropriate notice, in accordance with Applicable Law, from 

the DCO or from a third party acting on behalf of the DCO as authorized by the DCO for 

such purpose. The acceptance of a Transaction for clearing shall not relieve any Participant, 

Client or Customer of the duty to act in good faith and with reasonable care and diligence.

(d) If a Transaction in a Cleared Swap (including a Transaction that is a component leg of a 

Package Transaction) is rejected by the DCO or a third party acting on behalf of the DCO, 

such Transaction is void ab initio and shall be cancelled by the SEF. Trades that are rejected 

from clearing may not be held in a suspended state and then re-submitted.

(e) Rejected Transactions in Cleared Swaps.

(1) If the SEF determines pursuant to the procedures set forth in Rule 5103.C. that a 

Transaction in a Cleared Swap (including a Transaction that is a component leg of 

a Package Transaction) is rejected from clearing (i) because of a clerical or 

operational error or omission made by the SEF or by one of the counterparties to 

the Transaction or its agent, or (ii) in the case of a component leg of a Package 

Transaction, due to the sequencing of the submission of the component legs of the 

Package Transaction, a new trade, with terms and conditions that match the terms 

and conditions of the original trade, other than any such error or omission and time 

of execution, may be executed on the SEF and submitted for clearing without 
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having been executed pursuant to the methods set forth in CFTC Regulations 

37.9(a)(2) or 38.500.

(2) If the SEF identifies and determines how to correct the error or omission, it may 

execute the new trade without obtaining the consent of the counterparties.

(3) If the SEF is unable to determine how to correct the error or omission, the SEF, at 

its election, may either (x) seek guidance from the counterparties (and, if applicable, 

their agents and/or Clearing Firms) with respect to how to correct the error after 

which the SEF may then correct the error with the consent of both counterparties, 

or (y) elect not to fix the Transaction, in which case the Transaction will be treated 

as void ab initio and shall be cancelled by the SEF.

(4) Execution of a new trade pursuant to this Rule 4013.A.(e) must comply with the 

requirements specified in Rule 4017 and must occur as quickly as technologically 

practicable after receipt of notice of the rejection by the DCO, but, in any event, no 

later than sixty (60) minutes from issuance of such notice. If the resubmitted 

Transaction is rejected, such Transaction will be void ab initio and shall be 

cancelled by the SEF. The counterparties may not resubmit a new Transaction a 

second time.

(5) The procedure set forth in this Rule 4013.A.(e) is not available with respect to 

Transactions that are rejected from clearing for credit reasons.

(6) This Rule 4013.A.(e) relies on relief granted by the CFTC’s Divisions of Market 

Oversight and Clearing and Risk in No-Action Letter 17-27, which expires on the 

effective date of revised CFTC Regulations that address clerical or operational 

errors.

(f) Erroneously Cleared Transactions.

(1) If it is determined pursuant to the procedures set forth in Rule 5103.C. that a 

Transaction in a Cleared Swap (including a Transaction that is a component leg of 

a Package Transaction) was incorrectly executed or cleared as the result of a clerical 

or operational error or omission, the SEF may permit the original counterparties to 

the Transaction to enter into a prearranged Transaction on the SEF that offsets the 

Transaction carried on the DCO’s books (an “Offsetting Transaction”), without the 

Offsetting Transaction having to be executed pursuant to the methods required in 

CFTC Regulations 37.9(a)(2) and 38.500. The SEF may also permit the original 

counterparties (or, if the wrong legal entity was assigned as a counterparty to the 

original Transaction, the intended counterparties) to enter into a prearranged 

Transaction on the SEF that corrects the errors in the original Transaction 

(“Correcting Transaction”), without the Correcting Transaction having to be 

executed pursuant to the methods required in CFTC Regulations 37.9(a)(2) and 

38.500.
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(2) If the SEF identifies and determines how to correct the error or omission, it may 

execute the Offsetting Transaction and the corresponding Correcting Transaction 

without obtaining the consent of the counterparties. 

(3) If the SEF is unable to determine how to correct the error or omission, the SEF may 

either (x) seek guidance from the counterparties to the Transaction and, if 

applicable, their agents and/or Clearing Firms, after which the SEF may then 

correct the error by executing an Offsetting Transaction and corresponding 

Correcting Transaction with the consent of both counterparties, or (y) elect not to 

correct the error, in which case the original Transaction shall stand as executed.

(4) Offsetting Transactions and Correcting Transactions executed pursuant to this Rule 

4013.A.(f) must comply with the requirements specified in Rule 4017 and must be 

executed and cleared no later than three (3) days after the original, erroneous 

Transaction was executed.

(5) The procedure set forth in this Rule 4013.A.(f) is available only with respect to 

clerical or operational errors or omissions made by the SEF, a counterparty to a 

Transaction or an agent of a counterparty to a Transaction.

(6) This Rule 4013.A.(f) relies on relief granted by the CFTC’s Divisions of Market 

Oversight and Clearing and Risk in No-Action Letter 17-27, which expires on the 

effective date of revised CFTC Regulations that address clerical or operational 

errors.

(g) The SEF shall have the right to (i) suspend Trading Privileges of the Participant(s) or 

Sponsored Participant(s) that executed one or more rejected Transactions or prohibit 

further trading on behalf of the Client(s) or Customer(s) on whose behalf any rejected 

Transaction(s) were executed, or (ii) take any other action permitted by the SEF Rules. The 

liability for any losses arising out of or in connection with a rejected Transaction will be 

determined by the parties to the Transaction. For the avoidance of doubt, the SEF will have 

no liability for any such losses.

(h) It shall not be a condition for access to the SEF that any Participant be subject to a breakage 

agreement. This includes breakage agreements in respect of Package Transactions.

(i) Each Person that is registered, or required to be registered, with the CFTC as a Swap Dealer 

or Major Swap Participant is responsible for compliance with the mandatory trading 

requirement under Section 2(h)(8) of the CEA when such Person enters into, or facilitates 

entry into, a Swap that is subject to the Clearing Requirement.

(j) The clearing services provided by a DCO in respect of a Cleared Swap will be governed 

by the rules, policies and procedures of that DCO. In addition, with respect to any DCO 

that has been granted an exemption from registration as such, the clearing services provided 

by such DCO must comply with any terms and conditions imposed on that DCO by the 

CFTC in connection with the DCO’s exemption from registration.

(k) Procedures for Cleared Swaps Routed Through an Affirmation Hub.
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(1) Each Cleared Swap that is routed to the relevant DCO through an Affirmation Hub 

shall be routed in accordance with the following procedures:

(i) (x) All Cleared Swaps resulting from Risk Mitigation Sessions, and (y) all 

Cleared Swaps that (A) are executed directly on the Order Book without the 

assistance of an Execution Specialist and (B) do not involve intermediation 

by an Introducing Broker, shall be automatically submitted by the 

Affirmation Hub to the relevant DCO as soon as technologically practicable 

after receipt from the SEF, without Participants or Customers being 

provided the opportunity to Affirm; and

(ii) All other Cleared Swaps must be Affirmed by Participants or Customers, as 

applicable, as soon as technologically practicable after execution so that 

each such Cleared Swap is routed to and received by the applicable DCO 

no later than ten (10) minutes after execution.

(2) Failure by a Participant or Customer to Affirm a Cleared Swap routed through an 

Affirmation Hub within the time frame required by Rule 4013.A.(k)(1)(ii) shall be 

considered a violation of the SEF Rules; provided that:

(i) Such failure shall be a violation of the SEF Rules only by the Participant(s) 

or Customer(s), as applicable, that failed to Affirm the Cleared Swap in 

accordance with Rule 4013.A.(k)(1)(ii); and

(ii) No such failure shall be a violation of the SEF Rules where the failure, as 

determined in the SEF’s discretion, was substantially the result of any errors 

or delays caused by the SEF, any Execution Specialist, the Affirmation Hub 

or any event (such as loss of internet connectivity, power or other force 

majeure) beyond the reasonable control of the Participant or Customer.

(3) The Market Regulation Department shall, on a monthly basis, review the previous 

month’s Affirmations by Participants and Customers for compliance with this Rule 

4013.A.(k). Notwithstanding such regular monthly reviews, the SEF may at any 

time conduct investigations of possible violations of Rule 4013.A.(k)(1)(ii) in 

accordance with the procedures set forth in Rule 6001. The SEF, through its Market 

Regulation Department, shall review each possible violation of Rule 

4013.A.(k)(1)(ii) in light of all the facts and circumstances, including whether any 

errors or delays were caused by the SEF, any Execution Specialist, the Affirmation 

Hub or any event (such as loss of internet connectivity, power or other force 

majeure) beyond the reasonable control of the Participant or Customer.

(4) Unless the Market Regulation Department, the Regulatory Oversight Committee or 

the Chief Compliance Officer determines otherwise in accordance with the 

provisions of Chapter 6 of the SEF Rules, upon the first violation of Rule 

4013.A.(k)(1)(ii) in any rolling 12-month period a warning letter will be issued in 

accordance with Rule 6017, upon the second or third violation a summary fine will 

be imposed in accordance with Rule 6016 and upon the fourth (or higher) violation, 
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the matter will be referred to a Disciplinary Panel for formal disciplinary 

proceedings.

Rule 4013.B. Uncleared Swaps

A Participant may enter into an Uncleared Swap for its own account only with a counterparty with 

which such Participant has swap trading relationship documentation that meets the requirements 

of Applicable Law. A Participant may enter into an Uncleared Swap on behalf of a Customer or 

Client only if such Customer (or, where the Customer is a Prime Broker Client, the related Prime 

Broker) or Client has swap trading relationship documentation with the relevant counterparty that 

meets the requirements of Applicable Law. A Participant acting as a Prime Broker Client may 

enter into an Uncleared Swap in the name of and on behalf of a Prime Broker only with a 

counterparty with which such Prime Broker has swap trading relationship documentation that 

meets the requirements of Applicable Law. The Participant and/or Customer or Client or 

Participant’s Prime Broker shall provide any information requested by the SEF in the processing 

and settlement of such Uncleared Swaps. In addition, a Participant, for itself or on behalf of its 

Customer or Client may, from time to time, input onto the SEF’s systems, either itself, or by 

instructing an Execution Specialist, the credit line for any or all parties with which it, or such 

Customer or Client, has such swap trading relationship documentation.

Rule 4014 Information Regarding Orders and Dissemination of Trade Data

The SEF may make information regarding Orders (including prices and amounts), Transactions 

and any other matters it may deem appropriate available to Participants and other Persons at such 

times and in such manner (whether through the SEF, a ticker, financial information services or 

otherwise) as it may consider necessary from time to time. In accordance with Rule 5702, each 

Participant or other Person receiving any such information through the SEF may redistribute such 

information only to such extent and in such manner as may be permitted by the SEF from time to 

time.

Participants are hereby notified that the SEF discloses swap transaction and pricing data for 

publicly reportable swap transactions executed on the Order Book prior to the public dissemination 

of such data by the relevant Swap Data Repository. This data is available to all Participants that 

have elected to obtain a connection to the Order Book and is disclosed to such Participants 

contemporaneously with the transmission of the data to the applicable Swap Data Repository for 

public dissemination.

Rule 4015 Enforceability

(a) A Transaction entered into on or pursuant to the SEF Rules shall not be void, voidable, 

subject to rescission or otherwise invalidated or rendered unenforceable as a result of:

(1) a violation by the SEF of the provisions of Section 5h of the CEA or Part 37 of the 

CFTC Regulations;

(2) any CFTC proceeding to alter or supplement a rule, term or condition under 

Section 8a(7) of the CEA or to declare an emergency under Section 8a(9) of the 

CEA; or 
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(3) any other proceeding the effect of which is to alter, supplement or otherwise require 

the SEF to adopt a specific term or condition, trading rule or procedure or to take 

or refrain from taking a specific action.

(b) Without limiting the generality of the foregoing, failure of the SEF to broadcast any 

message in respect of a Transaction made on the SEF shall not invalidate any Transaction 

recorded by the SEF.

Rule 4016 Block Trades

The following shall govern all Block Trades in Swaps:

(a) All Block Trades, unless otherwise exempted by a SEF Rule, must comply with the 

recordkeeping requirements set forth in Rule 8003.

(b) Block Trades that occur away from a trading system or platform of the SEF must be 

submitted to the SEF in a manner prescribed from time to time by the SEF. Each such 

submission must include all of the data required by Parts 43 and 45 of the CFTC 

Regulations, including without limitation (i) a notification to the SEF of the parties’ 

election to have the Transaction treated as a Block Trade, and (ii) the actual notional or 

principal amount of the Transaction. The parties entering into a Block Trade must agree 

upon which party shall be responsible for reporting all terms of the Transaction to the SEF 

(which party may be an Introducing Broker), and such designated party must report the 

Block Trade to the SEF as soon as technologically practicable after execution, but no later 

than ten (10) minutes after execution. Only Block Trades that are not Cleared Swaps are 

permitted to occur away from a trading system or platform of the SEF.

(c) Upon receipt of the submission of a Block Trade as required by Rule 4016(b), the SEF will 

review the submission, and will report the Transaction as required by Parts 43 and 45 of 

the CFTC Regulations as soon as technologically practicable after execution. Such report 

to the SDR will include among other things the actual notional or principal amount of the 

Transaction and a notification to the Swap Data Repository of the parties’ election to have 

the Transaction treated as a block trade.

(d) Swap components of Package Transactions may be executed as Block Trades, provided 

that each such swap component is for a quantity that is equal to or in excess the Appropriate 

Minimum Block Size.

(e) A Participant transacting a Block Trade on behalf of a Client or Customer must receive 

prior written instruction or consent from the Client or Customer to do so.

(f) Except as may be permitted by CFTC Regulation 43.6(h)(6), the aggregation of Orders 

across multiple Customers or Clients in order to meet the Appropriate Minimum Block 

Size is prohibited.

(g) Each party to a Block Trade shall comply with all applicable SEF Rules and, without 

limiting the generality of the foregoing, each such party shall be an ECP.
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(h) Any Block Trade in violation of these requirements may constitute conduct which is 

inconsistent with just and equitable principles of trade.

(i) Upon request by the SEF, each party to a Block Trade shall produce satisfactory evidence 

that the Block Trade meets the requirements set forth in the SEF Rules.

(j) Cleared Block Trades must be executed on a non-Order Book trading system or platform 

of the SEF. Each Order underlying such a Cleared Block Trade must comply with the 

requirements for Order information set forth in Rule 8001 and shall include a notification 

to the SEF of the party’s election to have the resultant publicly reportable swap transaction 

treated as a Block Trade. In addition, all such Cleared Block Trades must comply with the 

pre-execution credit check requirements set forth in Rule 4017 and all other applicable SEF 

Rules and CFTC Regulations. For the avoidance of doubt, all Block Trades in Cleared 

Swaps must be executed on a non-Order Book trading system or platform of the SEF in 

accordance with this Rule 4016(j) in order to facilitate compliance with Rule 4017. This 

Rule 4016(j) relies on relief granted by the CFTC’s Division of Market Oversight in NoAction Letter 17-60, which expires at the earlier of (i) 11:59 p.m. (Eastern Time) on 

November 15, 2020, and (ii) the effective date of any CFTC action with respect to the 

issues discussed therein. If such no-action relief is extended, upon and to the extent of such 

extension, the provisions of this Rule 4016(j) will continue apply.

Rule 4017 Pre-Execution Credit Checks

(a) At the time of submitting an Order for any Cleared Swap (including any Cleared Swap that 

is a leg of a Package Transaction) or any Cleared Block Trade, a Participant (whether for 

itself or for a Customer or Client) must designate a Clearing Member with regard to the 

Transaction, which may be either the relevant party to the Transaction if such party is SelfClearing or a designated Clearing Firm if the relevant party to the Transaction is Non-SelfClearing.

(b) Prior to the execution of any Order for a Cleared Swap (including any Cleared Swap that 

is a leg of a Package Transaction) or any Cleared Block Trade for which the relevant party 

is Non-Self-Clearing, the SEF will facilitate pre-execution credit screening by or on behalf 

of the designated Clearing Firm. Upon receiving confirmation that the Order or Cleared 

Block Trade satisfies the Clearing Firm’s pre-execution limits with respect to such party, 

the SEF will accept the Order or Cleared Block Trade for execution. If the SEF does not 

promptly receive confirmation or receives confirmation that the Order or Cleared Block 

Trade does not satisfy the Clearing Firm’s pre-execution limits with respect to such party, 

the SEF will cancel the Order or Cleared Block Trade.

(c) Any party that is Self-Clearing with respect to a Transaction is deemed to represent, by 

submitting an Order for its proprietary account or, in the case of a Customer, causing its 

Introducing Broker to do so, that it has completed pre-execution screening of its internal 

clearing risk limits for proprietary accounts.
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Rule 4018 Risk Mitigation Sessions

The SEF may conduct periodic anonymous risk mitigation sessions (“Risk Mitigation Sessions”) 

in accordance with the tpSEF Risk Mitigation Procedures. Information on upcoming Risk 

Mitigations Sessions are made available by the SEF on its website. The tpSEF Risk Mitigation 

Procedures are attached hereto as Appendix C.

Rule 4019 Post-Trade Name Give-Up

(a) For all Required Transactions, no person shall directly or indirectly, including through a 

third-party service provider, disclose the identity of a counterparty to a Swap that is 

executed anonymouslyExecuted Anonymously and intended to be cleared.

(b) For a CFTC Package Transaction that includes a component transaction that is not a Swap

intended to be cleared, disclosing the identity of a counterparty shall not violate paragraph 

(a) of this Rule 4019.

POSITION LIMITS AND POSITION ACCOUNTABILITY LEVELS

Rule 4100 SEF Rules Do Not Limit Emergency Powers

Nothing contained in the SEF Rules relating to position limits shall in any way be construed to 

limit the ability of the SEF to take an Emergency Action as enumerated in the SEF Rules, and, 

unless the Board and/or the CEO (or, if the CEO is not available, the most senior Officer that is 

available) in taking an Emergency Action shall state otherwise, any such Emergency Action shall 

be effective with respect to all Participants, Sponsored Participants, Clients and Customers 

regardless of whether an exemption from the position limits has previously been granted pursuant 

to these SEF Rules.

Rule 4101 Position Limits

(a) To reduce the potential threat of market manipulation or congestion, the SEF shall adopt 

for each of the contracts of the SEF as is necessary and appropriate, position limits for 

speculators.

(b) Except as otherwise provided by the SEF Rules, no Person, including a Participant, 

Sponsored Participant, Client or Customer, may hold or control a position in excess of such 

position limits, and no Person may maintain a position in excess of such position limits for 

a Client or Customer if such Person knows, or with reasonable care should know, that such 

position will cause such Client 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 done by, a single Person.
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(d) Each Participant required to file any report, statement, form or other information with the 

CFTC pursuant to CFTC Regulations concerning a position limit on any Transaction or 

commodity underlying a Transaction must simultaneously file a copy of such report, 

statement, form or other information with the SEF. Such information shall include, for 

Participants who are Introducing Brokers, information concerning the Customers for which 

Transactions are entered into on the SEF.

Rule 4102 Exemptions from Position Limits

Any Person seeking an exemption from the position limits referred to in Rule 4101 must file an 

application with the SEF in the manner and within the time limits prescribed by the SEF. The SEF 

shall notify the applicant whether the exemption has been approved and whether the SEF has 

imposed any limitations or conditions on the exemption. The decision of the SEF shall be final.

Rule 4103 Position Accountability

(a) To reduce the potential threat of market manipulation or congestion, the SEF shall adopt, 

as is necessary and appropriate, position accountability levels for speculators for each of 

the contracts of the SEF. Any Person, including a Participant, Sponsored Participant, Client 

or Customer, who owns or controls Swaps in excess of the applicable position 

accountability level shall provide the SEF, at its request, any information regarding the 

nature of the position, trading strategy or hedging activities, if applicable, and if ordered 

by the SEF, shall not increase the size of any such position.

(b) For purposes of this Rule 4103, 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 4103 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 4104 Enforcement of Position Limits and Position Accountability Levels

(a) No Person may for itself or any Customer or Client maintain a combination of Swaps which 

is, or which when aggregated in accordance with this Rule is, in excess of the limits 

established pursuant to Rule 4101 (or, to the extent ordered not to increase such positions 

pursuant to Rule 4103, a position in excess of the relevant level).

(b) In the event the SEF learns that a Person maintains positions in accounts with more than 

one (1) Person such that the aggregate position in all such accounts exceeds (i) the position 

limits established pursuant to Rule 4101 or (ii) to the extent such Person is ordered not to 

increase such positions pursuant to Rule 4103, the relevant level, the SEF may notify all 

Persons maintaining or carrying such accounts of the total positions of such accounts. Such 

notice may also instruct each such Person to reduce the positions in such accounts 

immediately after receipt of the notice, proportionately or otherwise so that the aggregate 

positions of such accounts does not exceed the position limits and position accountability 

levels established pursuant to Rules 4101 and 4103, unless as provided by Rule 4104(c) 

below, a request for an exemption is made and granted by the SEF pursuant to this Rule 

4104. Any Person receiving such notice shall immediately take such steps as may be 
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necessary to liquidate such number of contracts as shall be determined by the SEF in order 

to cause the aggregate positions of such accounts to comply with the position limits and 

position accountability levels established pursuant to Rules 4101 and 4103. 

Notwithstanding the foregoing, the Persons may reduce the positions of such accounts by 

a different amounts so long as after all reductions have been accomplished, the positions 

comply with the position limits and position accountability levels established pursuant to 

Rules 4101 and 4103.

(c) In the event a Person exceeds its position limit due to sudden unforeseen increases in its 

bona fide hedging needs, such Person shall not be considered in violation of the SEF Rules 

provided that such Person requests a hedge exemption to carry such increased position 

within five (5) Business Days following the day on which the Person’s position limit was 

exceeded and provided that such exemption is granted by the SEF.

(d) Subject to the foregoing provisions of this Rule 4104, in the event that a Person’s position 

exceeds the position limits established pursuant to Rule 4101 or ordered by the SEF such 

Person shall liquidate such amount of Swaps as the SEF shall direct in order to eliminate 

the excess within such time as the SEF may prescribe and shall report to the SEF when 

such liquidations have been completed. If a Person fails so to liquidate contracts within the 

time prescribed by the SEF, then, in addition to any other actions the SEF may take, the 

SEF may take such steps as it may deem necessary or appropriate to liquidate such 

contracts on behalf and at the expense of such Person to the extent necessary to eliminate 

such excess. Without limiting the generality of the foregoing, to the extent applicable, the 

SEF may request the DCO to effect such liquidation in accordance with rules of the DCO. 

In addition, the SEF in its discretion may require any Person carrying an account for itself 

or a Customer or Client to obtain and hold additional original margin in such amount and 

form and by such time as the SEF shall specify until such excess has been eliminated.

Rule 4105 Prime Broker Transactions

(a) General.

(1) All Prime Broker Transactions shall be executed pursuant to this Rule 4105, in 

addition to other applicable provisions of the SEF Rules.

(2) A Prime Broker and each of its Prime Broker Clients must be a Participant approved 

by the SEF.

(3) Each Prime Broker Client may transmit or respond to RFQs, enter Prime Brokerage 

Orders, and execute Permitted Cross Transactions on the SEF in the name of and 

on behalf of the relevant Prime Broker.

(b) Prime Broker Obligations.

(1) Prime Broker Acknowledgment Letter. Each Participant that desires to transact 

Prime Broker Transactions on the SEF as a Prime Broker Client shall cause its 

Prime Broker to provide to the SEF an acknowledgement letter, in a form and 

substance satisfactory to, and approved by, the SEF (a “Prime Broker 
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Acknowledgement Letter”) that the Prime Broker will, subject to the terms of its 

Prime Broker Acknowledgement Letter, the Prime Broker’s right to cancel a Prime 

Broker Transaction in accordance with the provisions of Rule 5103.E and other 

applicable provisions of the SEF Rules, accept and be financially responsible for 

all Prime Broker Transactions executed in its name by such Participant. 

(2) Cancellation of Designation of Prime Broker Client. The designation of a 

Participant as a Prime Broker Client by a Prime Broker and the Prime Broker’s 

obligations in respect of that Prime Broker Client shall continue in full force and 

effect until cancelled or terminated by written notice (a “Cancellation Notice”) to 

the SEF in accordance with the terms of the relevant Prime Broker’s Prime Broker 

Acknowledgement Letter. Any such Cancellation Notice shall become effective 

upon receipt by the SEF. No such termination or cancellation shall in any manner 

affect the Prime Broker’s obligations and liabilities incurred by the Prime Broker 

in respect of the relevant Prime Broker Client prior to the effective date and time 

of the relevant Cancellation Notice.

(3) No Supervisory Responsibilities. A Prime Broker has no responsibility to supervise 

any Prime Broker Client or any of such Prime Broker Client’s Supervised Persons.

(4) Prime Broker Cancellation of Prime Broker Transactions. A Prime Broker shall 

have the right to cancel a Prime Broker Transaction in accordance with the 

provisions of Rule 5103.E within two (2) hours of the time that the SEF provides 

the Prime Broker with a Confirmation of such Transaction in accordance with Rule 

4012.

(c) Prime Broker Client Obligations.

(1) In advance of transmitting or responding to RFQs or submitting each Prime 

Brokerage Order and Permitted Cross Transaction to the SEF pursuant to this Rule 

4105, each Prime Broker Client shall ensure the Prime Brokerage Order or 

Permitted Cross Transaction complies with any relevant Prime Broker Limit then 

in effect.

(2) Upon receiving notice (whether from the SEF, its Prime Broker or otherwise) that 

a Prime Broker has cancelled a Participant’s designation as a Prime Broker Client, 

such Participant shall cancel any unfilled Prime Brokerage Orders and Permitted 

Cross Transactions submitted in the name of and on behalf of the relevant Prime 

Broker and shall not submit any additional Prime Brokerage Orders or Permitted 

Cross Transactions in the name of and on behalf of that Prime Broker.

(d) Fees. Fees for Prime Broker Transactions will be charged to the relevant Prime Broker 

Client, except for Prime Broker Transactions in which the relevant Prime Broker Client 

transacts through an Introducing Broker, in which case fees for such Transaction will be 

charged to the Prime Broker Client’s Introducing Broker.
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Section 5

CONDUCT OF PARTICIPANTS AND OTHER PERSONS

DUTIES AND OBLIGATIONS

Rule 5000 Duties and Responsibilities of Participants, Sponsored Participants, 

Customers and Clients

Each Participant and Sponsored Participant shall (and shall cause all of its respective Supervised 

Persons to) and each Customer and Client shall:

(a) use the SEF and effect Transactions in a responsible manner and not for any improper 

purpose;

(b) use the SEF only to conduct permitted activity as determined by the SEF;

(c) comply with the SEF Rules and conduct all such activity in a manner consistent with the 

SEF Rules and Obligations;

(d) comply with Applicable Law;

(e) settle all Transactions entered into on or pursuant to the SEF Rules;

(f) 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 activity 

on or through the SEF or any aspect of any business connected with or concerning the SEF;

(g) not knowingly mislead or conceal any material fact or matter in any dealings or filings with 

the SEF or in response to any SEF Proceeding;

(h) keep any User IDs, account numbers and passwords related to the SEF confidential;

(i) employ practices to monitor and enforce compliance with risk limits established in 

conformance with Applicable Law; and

(j) keep, or cause to be kept, complete and accurate books and records in accordance with 

Rule 8002.

Rule 5001 Required Disclosures to the SEF

(a) Each Participant, Sponsored Participant, Customer and Client shall immediately notify the 

Market Regulation Department in writing at such time as it becomes aware of the 

occurrence of any of the following events:

(1) any damage to, or failure or inadequacy of, the systems, facilities or equipment of 

such Person to effect Transactions pursuant to the SEF Rules;
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(2) any failure to timely perform such Person’s financial obligations under or in 

connection with Swaps of such Person (or Swaps of any Customer, Client or 

Sponsored Participant of such Person, as applicable);

(3) any violation of Applicable Law in connection with such Person’s access to, or 

activities on the SEF, including the requirements of the CFTC and, if applicable, 

NFA;

(4) a Material Adverse Change in such Person’s financial condition or in the financial 

condition of an Affiliate of such Person if such change materially impacts such 

Person’s ability to satisfy its obligations under the SEF Rules;

(5) any refusal of admission of such Person to any other swap execution facility, 

commodity or securities exchange, DCM, DCO, Self-Regulatory Organization or 

other business or professional association, or withdrawal by such Person of any 

application for participation or membership in any swap execution facility, 

commodity or securities exchange, DCM, DCO, Self-Regulatory Organization or 

other business or professional association;

(6) the indictment or conviction of, or any confession of guilt or plea of guilty or nolo 

contendere by such Person (or, if applicable, any of its respective Supervised 

Persons with access to the SEF) for any felony of any nature or misdemeanor 

involving, arising from, or related to, the purchase or sale of any Swap or other 

financial instrument, or involving or arising from moral turpitude, 

misrepresentation, fraud, deceit, theft, embezzlement, gambling, conversion or 

abuse of a fiduciary relationship;

(7) the issuance of a formal order of investigation (or its equivalent), or the 

commencement, by the issuance or service of a written complaint (or its 

equivalent), of any judicial, administrative or self-regulatory proceeding, as the 

case may be, against such Person (or, if applicable, any of its respective Supervised 

Persons) by the CFTC, the SEC, the securities commission or equivalent authority 

of any state, territory, the District of Columbia or foreign country, or any swap 

execution facility, commodity or securities exchange or related clearing 

organization, DCM, DCO, any Self-Regulatory Organization or other business or 

professional association;

(8) the bankruptcy or insolvency of such Person or any of its Affiliates; or

(9) any suspension, expulsion, bar, fine, censure, cease and desist order, temporary or 

permanent injunction, denial of Trading Privileges or any other sanction or 

discipline imposed on such Person (or, if applicable, any of its respective 

Supervised Persons), whether through an adverse determination, voluntary 

settlement or otherwise, by:

(i) a swap execution facility, commodity or securities exchange, DCM, DCO, 

Self-Regulatory Organization or other business or professional association;
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(ii) the SEC, the CFTC or the securities commission or equivalent authority of 

any state, territory, the District of Columbia or foreign country; or

(iii) any federal court, state court, Government Agency not mentioned above or 

quasi-governmental body.

(b) Each Participant, Sponsored Participant, Customer and Client shall notify the Market 

Regulation Department in writing within ten (10) days of becoming aware of the 

occurrence of any of the following events:

(1) any denial or withdrawal of any application for any registration or license with 

respect to such Person (or, if applicable, any of its respective Supervised Persons) 

by or from the SEC, the CFTC or the securities commission or equivalent authority 

of any state, territory, the District of Columbia or foreign country, or

(2) the issuance of a bar by any agency of the United States from contracting with the 

United States.

TRADING CONDUCT

Rule 5100 Abusive Trading Practices Prohibited

(a) No Participant or Sponsored Participant or any of its respective Supervised Persons, nor 

any Customer or Client, shall engage in, or attempt to engage in, any fraudulent act or 

engage in, or attempt to engage in, any manipulative device, scheme or artifice to defraud, 

deceive, trick or mislead in connection with or related to any SEF activity including, 

without limitation, any of the following trading practices except as otherwise authorized 

under the SEF Rules:

(1) parking;

(2) pre-arranged trading (it being understood that pre-arranged trading does not include 

Transactions resulting from pre-execution communications to the extent permitted 

by Rule 5203(b));

(3) adjusted trading or overtrading;

(4) front-running;

(5) wash trading;

(6) cross transactions;

(7) fictitious transactions;

(8) money passes;

(9) non-competitive transactions (unless otherwise exempt or excluded pursuant to the 

SEF Rules);
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(10) accommodation trading; 

(11) fraudulent trading; or

(12) any other trading practices that the SEF or the CFTC deems to be abusive.

Additionally, no Participant or Sponsored Participant or any of its respective Supervised 

Persons, nor any Customer or Client, shall knowingly execute or accommodate the 

execution of any such activity by direct or indirect means.

(b) No Participant, Sponsored Participant, Customer or Client shall trade any Swap that is not 

authorized to trade on the SEF.

Rule 5101 Good Faith Bids and Offers and RFQs

A Participant or Sponsored Participant shall not knowingly enter, nor shall any Participant, 

Sponsored Participant, Customer or Client, cause to be entered, bids or offers or RFQs into the 

SEF other than in good faith for the purpose of executing bona fide Transactions.

Rule 5102 Invalid Transactions

(a) A Transaction made or purported to be made on or pursuant to the SEF Rules may be 

declared invalid by the SEF in the following circumstances:

(1) Unrepresentative Price. If, taking into consideration current market conditions, the 

SEF determines that a Transaction has taken place at an unrepresentative price, the 

SEF, at its absolute discretion, may declare such Transaction invalid. The SEF may 

take into account such information as it deems appropriate when determining 

whether to invalidate a Transaction, including, without limitation, the following:

(i) price movement of other swap contracts with similar terms;

(ii) current market conditions, including levels of activity and volatility;

(iii) time period between different quotes and between quoted and traded prices;

(iv) market or other information regarding price movement in related swap 

contracts; or

(v) manifest error.

(2) Breach of Applicable Law. If the SEF determines that a Transaction has been made 

in breach of Applicable Law, the SEF may declare the Transaction invalid.

(b) When a Transaction is declared invalid by the SEF, the parties to the Transaction will be 

notified by the SEF of that fact and a message will be broadcast through the SEF 

announcing the Swap contract and price level of the invalid Transaction, and the invalid 

Transaction may be displayed on the SEF as a cancelled Transaction.
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Rule 5103 Trade Cancellation, Correction, Offset and Adjustment

Rule 5103.A. SEF Authority Regarding Trade Cancellation, Correction, Offset and 

Adjustment 

The SEF has authority to cancel, or adjust the price of, any Transaction executed on or pursuant to 

the SEF Rules, or to execute or require the execution of a new or offsetting Transaction:

(a) when the SEF determines in its sole discretion such action is necessary to mitigate market 

disrupting events caused by the improper or erroneous use of the SEF or by system defects;

(b) at any time the SEF determines in its sole discretion that allowing a Transaction to stand 

as executed may have a material adverse effect on the integrity of the market;

(c) in accordance with Rule 4013.A. and this Rule 5103;

(d) where the Transaction was intended to be cleared and was submitted to a DCO via an 

Affirmation Hub or other middleware provider but was not presented to the DCO for 

clearing due to a post-execution processing issue;

(e) where the SEF determines in its sole discretion that a mistake occurred as a result of an 

error by an Execution Specialist; or

(f) to comply with Applicable Law.

Rule 5103.B. Transaction Price Review

(a) Determination to Review a Transaction’s Price.

(1) The SEF may determine to review a Transaction’s price based on its independent 

analysis of market activity or upon a Participant’s request (including a Participant 

that is a Prime Broker Client).

(2) A Participant’s request for review must be made within ten (10) minutes of 

execution the relevant Transaction and must include the USI for the Transaction 

and a statement of the grounds for the review. In the absence of a timely request for 

review, the SEF may determine whether or not a Transaction will be subject to 

review in its sole discretion. Notwithstanding the foregoing, subject to Applicable 

Law, the SEF shall amend the terms of, or cancel, any Transaction that the parties, 

together with the DCO, as applicable, mutually agree to amend or cancel, even in 

the event that such amendment or cancellation is not submitted to the SEF within 

the applicable review period specified above.

(b) Review of a Transaction’s Price.

(1) In reviewing a Transaction’s price, the SEF shall use good faith efforts to determine 

the fair mid-market price for the Swap at the time the Transaction was executed. 

The SEF may consider any relevant information, including, but not limited to, the 
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last transaction price of the Swap or a better bid/offer, a more recent price for a 

different maturity date, the price of the same or related Swap established in another 

venue or another market, the market conditions at the time of the Transaction and 

the theoretical value of an option based on the most recent implied volatility.

(2) Following the SEF’s determination of a Transaction’s fair mid-market price in 

accordance with Rule 5103.B.(b)(1) above, the SEF shall have the right, in its sole 

discretion, to cancel or adjust the price of such Transaction or to require the entry 

into an offsetting Transaction; provided, however, that the SEF shall not make any 

such cancellation or price adjustment or require the entry of an offsetting 

Transaction if such action would, in the SEF’s sole discretion, (i) adversely impact 

market integrity, (ii) facilitate market manipulation or other illegitimate activity or 

(iii) otherwise violate the CEA, CFTC Regulations or the SEF Rules.

(3) The method of adjustment or cancellation of any Cleared Swap that is adjusted or 

cancelled shall be the method provided for by the rules and procedures of the 

relevant DCO.

Rule 5103.C. Review of Transactions for Errors

(a) If a Participant, Sponsored Participant, Client or Customer believes that any Transaction 

was incorrectly executed, cleared or rejected from clearing as a result of an Error (as 

defined in Rule 5103.C.(f) below), such Person may, within ten (10) minutes thereafter, 

request a review of the Transaction by providing the USI for the Transaction and stating 

the grounds for the disagreement.

(b) Upon timely receipt by the SEF of a request for a Transaction review in accordance with 

Rule 5103.C.(a) above, or if the SEF determines on its own initiative to conduct such a 

review, the SEF will review its electronic audit trail and other relevant records to determine 

if an Error occurred. If the request for review is not timely, the SEF may, in its sole 

discretion, perform a review of the Transaction.

(c) If the review described in this Rule 5103.C. reveals that the Transaction was incorrectly 

executed, cleared or rejected from clearing as a result of an Error, the SEF may cancel or 

adjust the Transaction, or execute or require the execution of a new or offsetting 

Transaction (in accordance with the procedures specified in Rule 4013.A. for Cleared 

Swaps), as appropriate; provided, however, that the SEF shall not take any action pursuant 

to this Rule 5103.C.(c) if such action would, in the SEF’s sole discretion, (i) adversely 

impact market integrity, (ii) facilitate market manipulation or other illegitimate activity or 

(iii) otherwise violate the CEA, CFTC Regulations or the SEF Rules.

(d) If the review described in this Rule 5103.C. reveals that the Transaction was not incorrectly 

executed, nor cleared or rejected from clearing as a result of an Error, then no adjustment 

shall be made.

(e) If a Transaction is reviewable for price under Rule 5103.B., the procedures of this Rule 

5103.C. shall not apply. For the avoidance of doubt, if a Transaction was correctly executed 
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but the reporting to the SDR was in error, Rule 8005 shall apply and this Rule 5103.C. shall 

not apply.

(f) For purposes of this Rule 5103.C., an “Error” shall mean the occurrence of any of the 

following:

(1) A mistake made as the result of a malfunction of the SEF or human error, including 

a mistake made by an Execution Specialist;

(2) An Order or RFQ was incorrectly displayed and/or executed;

(3) A clerical or operational error or omission made by the SEF or a Participant 

(including a Prime Broker Client), Sponsored Participant, Client or Customer (or 

any agent of any of the foregoing) that caused a transaction to be rejected from 

clearing and void ab initio;

(4) A Clearing Firm or DCO rejected a leg of a Package Transaction for clearing 

because of the sequencing of submission for clearing of the legs of the applicable 

Package Transaction; or

(5) Where a Transaction was intended to be cleared and was submitted to a DCO via 

an Affirmation Hub or other middleware provider but was not presented to the DCO 

for clearing due to a post-execution processing issue.

Rule 5103.D. Records and Reporting of Cancellations and Price Adjustments

(a) Cancelled Transactions and any prices that have been adjusted shall be cancelled in the 

SEF’s official records.

(b) Transactions that have had their price adjusted shall be reflected in the SEF’s official 

records at the adjusted price.

(c) If a Transaction is either cancelled or adjusted pursuant to Rule 5103, the SEF shall submit 

a cancellation or correction of the Transaction to the same SDR to which the Transaction 

was previously reported.

Rule 5103.E. Cancellation of Prime Brokerage Transactions

(a) Subject to Rule 4105(b)(4), a Prime Broker shall have the right to cancel any Prime Broker 

Transaction within two (2) hours of the time that the SEF provides the Prime Broker with 

a Confirmation of such Transaction in accordance with Rule 4012 (i) that is executed in 

breach of a Prime Broker Limit; (ii) that was executed by a Person that was not authorized 

by the Prime Broker; or (iii) that was executed for an unauthorized product. The Prime 

Broker shall communicate the cancellation directly to the SEF and indicate the reason for 

the cancellation. The SEF shall be entitled to rely on the Prime Broker’s statement that any 

such grounds exist without inquiry and shall have no liability to the Prime Broker, the 

Prime Broker Client, or the counterparty to the cancelled Transaction or any other party in 

so doing. 
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(b) If any Prime Broker Transaction is cancelled by the SEF pursuant to the provisions of this 

Rule 5103.E., the Prime Broker, the Prime Broker Client and the counterparty shall be 

liable for payments in respect of such cancellation in accordance with the terms of their 

agreements or as they may otherwise agree. The SEF shall have no involvement in 

determination of any such payments. 

(c) Notwithstanding anything to the contrary in the SEF Rules, the SEF shall have the right, in 

its sole discretion, to suspend, revoke, limit, condition, restrict or qualify the ability of any 

Participant to transact on the SEF as a Prime Broker or Prime Broker Client following the 

use of the cancellation right in 5103.E.(a).

(d) Nothing in this Rule 5103.E shall restrict the rights of a Prime Broker Client to request a 

review of a Prime Broker Transaction pursuant to the other provisions of Rule 5103. 

Rule 5104 Misuse of the SEF

Misuse of the SEF is strictly prohibited. It shall be a violation of the SEF Rules for any Person to 

willfully or negligently engage in unauthorized access to the SEF, to assist any Person in obtaining 

unauthorized access to the SEF, to trade on the SEF without the authorization of a Participant, to 

alter the equipment associated with the SEF, to interfere with the operation of the SEF, to use or 

configure a component of the SEF in a manner that does not conform to the SEF Rules, to intercept 

or interfere with information provided on or through the SEF, or in any way to use the SEF in a 

manner contrary to the SEF Rules.

VIOLATIONS

Rule 5200 Rule Violations

(a) It shall be a violation for a Participant, Sponsored Participant, Customer or Client or any 

Supervised Person to violate any SEF Rule, to breach any agreement made with the SEF, 

to violate Applicable Law, or to engage in fraud, dishonorable conduct, or in conduct which 

is inconsistent with just and equitable principles of trade.

(b) Participants, Sponsored Participants, Customers and Clients and Supervised Persons shall 

assist the SEF in any investigation into potential violations of Applicable Law. Such 

assistance must be timely and may include, but not be limited to, requiring any Participant, 

Sponsored Participant, Client, Customer or Supervised Person to produce documents, to 

answer questions from the SEF or its designee, and/or to appear in connection with an 

investigation.

(c) If a Participant, Sponsored Participant, Customers or Client has actual or constructive 

notice of a violation in connection with the use of the SEF by a Participant, Sponsored 

Participant, Client, Customer or Supervised Person and such Person fails to notify the 

Market Regulation Department within a reasonable time, such Person may be found to 

have committed an act detrimental to the interest or welfare of the SEF.
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Rule 5201 Fraudulent Acts Prohibited

No Participant, Sponsored Participant, Customer or Client (or any Supervised Persons) shall 

engage in, or attempt to engage in, any fraudulent act or engage in, or attempt to engage in, any 

scheme to defraud, deceive, trick or mislead in connection with or related to any SEF activity.

Rule 5202 [Reserved]

Rule 5203 Fictitious or Wash Transactions; Permitted Pre-Execution Communications

(a) No Participant, Sponsored Participant, Customer or Client (or any Supervised Persons) 

shall create fictitious transactions or wash transactions. 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.

(b) Participants, Sponsored Participants, Customers and Clients (and any of their Supervised 

Persons) may engage in pre-execution communications (including communications with 

respect to Orders) relating to:

(1) Permitted Cross Transactions;

(2) Block Trades executed pursuant to Rule 4016;

(3) Transactions executed pursuant to the procedures specified in Rule 4013.A.(e) and 

(f);

(4) Package Transactions (Order Book Exempt); and

(5) Required Cross Transactions; 

provided that with respect to any pre-execution communications permitted by (1) through 

(5) above:

(i) the parties to the pre-execution communications do not disclose to a nonparty the details of such communications or use the information obtained in 

a manner contrary to Applicable Law, and

(ii) the requirements of Rule 4011 are satisfied to the extent applicable.

Nothing contained in this Rule 5203(b) shall prevent a Person from disclosing 

information as may be required by legal process (including subpoena or demand for 

productions) or to such Person’s agents or advisors (including, but not limited to, 

accountants and auditors and legal counsel).
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Rule 5204 Market Disruptions Prohibited

Orders entered into the SEF for the purpose of upsetting the equilibrium of the market in any Swap 

or creating a condition in which prices do not or will not reflect fair market values are prohibited, 

and any Participant, Sponsored Participant, Customers or Client (or any of their respective 

Supervised Persons) who makes or assists in entering any such Order with knowledge of the 

purpose thereof or who, with such knowledge, in any way assists in carrying out any plan or 

scheme for the entering of any such Order, will be deemed to have engaged in an act detrimental

to the SEF in violation of this Rule 5204.

Rule 5205 Market Manipulation Prohibited

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall attempt to manipulate or manipulate the price of any Swap including, without 

limitation, cornering, “front-running”, “money passes”, trading ahead or against Customer Orders, 

combination or improper cross trading involving, for example and without limitation, a short term 

riskless transaction taking advantage of an incoming Order or the offset of a prior position to avoid 

an adverse market move.

Rule 5206 Disruptive Trading Practices Prohibited

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall engage in any trading, practice or conduct that constitutes a “disruptive trading 

practice,” as such term is defined by the Section 4c(a)(5) of the CEA (7 U.S.C. § 6c(a)(5)) or the 

related CFTC Regulations.

Rule 5207 Prohibition of Misstatements

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall make any knowing misstatement of a material fact to the SEF, any SEF Official, 

any Board committee or SEF Panel, any agent of the SEF (including the Regulatory Services 

Provider) or any Participant, Sponsored Participant, Customer, Client or Supervised Person. All 

swap data or other information submitted from time to time by any Participant, Sponsored 

Participant, Customer or Client (or any of their respective Supervised Persons) to the SEF, or by 

the SEF on behalf of any such Person, to any Clearing Firm, Affirmation Hub, DCO or SDR, shall 

be accurate and complete in all material respects as of the time submitted.

Rule 5208 Acts Detrimental to the SEF Prohibited

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall engage in any act that is detrimental to the SEF.

Rule 5209 Adherence to Law

No Participant, Sponsored Participant, Customer or Client (or any of their respective Supervised 

Persons) shall engage in conduct that is a violation of the Applicable Law.
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Rule 5210 Communications with the Public and Promotional Material

Promotional material and similar information issued by Participants shall comply with Applicable 

Law.

SUPERVISION

Rule 5300 Duty to Supervise

Each Participant shall establish, maintain and administer reasonable supervisory procedures to 

monitor the compliance of its Supervised Persons with the SEF’s Rules and any applicable 

provisions of the CEA or CFTC Regulations and such Participant may be held accountable for the 

actions of such Supervised Persons. As set forth in Rule 4105(b)(3), a Prime Broker shall have no 

responsibility to supervise any Prime Broker Client or any of such Prime Broker Client’s 

Supervised Persons.

INSPECTIONS

Rule 5400 Inspections by the SEF

(a) The SEF and the Regulatory Services Provider (and their respective authorized 

representatives), shall have the right, in connection with determining whether all 

Obligations are being, will be, or have been complied with by a Participant, Sponsored 

Participant, Customer or Client, in accordance with Applicable Law:

(1) inspect books and records, systems, equipment and software operated by such 

Person in connection with any SEF activity, wherever located;

(2) access the systems, equipment, software and the premises on which the systems, 

equipment and software are located and any data stored in any of the systems or 

equipment, during the regular business hours and the Trading Hours of the SEF 

without prior notice to such Person; and/or

(3) remove, copy or reproduce any data to which the SEF has access under the SEF 

Rules.

(b) Each such Person shall provide the Regulatory Services Provider with the same access to 

its books and records and offices as it is required to provide the SEF under the SEF Rules 

and Applicable Law.

(c) The Market Regulation Department may require a Participant to furnish (periodically or on 

a particular occasion) information concerning the Participant’s activity on the SEF. For a 

Participant, such information includes but is not limited to, the Participant’s open trading 

positions or Swaps to which the Participant is a party.

(d) The SEF shall provide prior notice to a Person in the event of an inspection that has been 

prescheduled by the SEF.
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INFORMATION SHARING

Rule 5500 Information-Sharing

(a) The SEF may enter into information-sharing agreements or other arrangements or 

procedures to establish and enforce rules that will allow the SEF to obtain any necessary 

information to perform any monitoring of trading and trade processing, provide 

information to the CFTC upon request and that allow the SEF 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 5500, the SEF may:

(1) provide market surveillance reports to other markets;

(2) share information and documents concerning current and former Participants with 

other markets;

(3) share information and documents concerning ongoing and completed investigations 

with other markets; and/or

(4) require its current or former Participants, or their Sponsored Participants, 

Customers or Clients, to provide information and documents to the SEF at the 

request of other markets with which the SEF has an information- sharing agreement 

or other arrangements or procedures.

(b) The SEF may enter into any arrangement with any Person or body (including, without 

limitation, the CFTC, the NFA, any Self-Regulatory Organization, any exchange, market, 

Swap Data Repository, reporting services or clearing organization or foreign regulatory 

authority) if the SEF considers such arrangement to be in furtherance of the SEF’s purpose 

or duties under Applicable Law.

(c) The SEF may disclose to any Person or entity information concerning or associated with a 

Participant or other Person where the SEF believes such disclosure is reasonably necessary 

and appropriate in exercising a legal or regulatory function.

(d) Participants, Sponsored Participants, Customers and Clients shall provide the SEF any 

requested information pursuant to the SEF Rules or Applicable Law as necessary for the 

SEF to perform any of the functions described in these SEF Rules.

FINANCIAL REQUIREMENTS

Rule 5600 Minimum Financial and Related Reporting Requirements

(a) Each Participant that is registered with any Government Agency, including the CFTC and 

the SEC, or a Self-Regulatory Organization shall comply with the provisions of Applicable 

Law, including, but not limited to, the rules and regulations such Government Agency or 
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Self-Regulatory Organization imposes on a Participant relating to minimum financial and 

related reporting and recordkeeping requirements.

(b) Each Participant shall qualify as an ECP and undertake to timely update any change to the 

Participant’s status as an ECP.

(c) A copy of any notice or written report that a Participant is required to file with the CFTC 

pursuant to CFTC Regulation 1.12 shall be concurrently provided to the SEF.

(d) A Participant who is subject to and violates CFTC Regulations 1.10, 1.12, 1.17 or 1.18 

shall be deemed to have violated this Rule 5600.

Rule 5601 Confidentiality of Financial and Other Information

All information and data obtained or received by the Market Regulation Department from 

inspections of accounting and other records, quarterly balance sheets and declarations or reports 

on financial condition will be treated as confidential by the SEF; however, this Rule 5601 does not 

supplant Rule 5500 and the SEF Rules in Section 7, Applicable Law, or any other requirement of 

legal process or law.

Rule 5602 Authority to Impose Restrictions

Whenever a Participant is subject to the early warning requirements set forth in CFTC 

Regulation 1.12, the SEF may impose such conditions or restrictions on the business and 

operations of such Participant as the SEF may deem necessary or appropriate for the protection of 

customers, other Participants, or the SEF.

Rule 5603 Additional Disclosure Requirements

Each Participant must comply with all disclosure requirements set forth in applicable CFTC and 

Self-Regulatory Organization rules and regulations. Any such disclosure may be combined with a 

disclosure regarding the existence of financial interests held by the Participant in the SEF or any 

other exchange.

MISCELLANEOUS

Rule 5700 Gifts and Gratuities

Participants shall maintain and enforce gifts policies and procedures to prevent gifts in excess of 

one hundred dollars ($100) to Directors, Officers and SEF employees.

Rule 5701 Anti-Money Laundering and Anti-Terrorism

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. 

Participants will be required to provide sufficient information for Participants and their Customers 

or Clients, if applicable, for SEF to conduct restricted list searches, including, but not limited to, 
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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 5702 Market Data

(a) All Participants, Sponsored Participants, Customers and Clients and all Supervised 

Persons, agents, vendors, and other Persons affiliated with the foregoing understand and 

acknowledge that the SEF has a proprietary interest in:

(1) the price and quantity data from each and every Transaction executed on the SEF 

or subject to the SEF Rules, including the time at which the Transaction was 

executed on, or submitted to, the SEF;

(2) the price and quantity data for each and every Order, RFQ, or Block Trade 

submitted to the SEF, including the time at which the Order or RFQ was entered;

(3) the yield curves and reference prices prepared by the SEF;

(4) any data and information derived from (1), (2) and (3) and the format and 

presentation thereof (except a Participant’s confidential information or data); and

(5) the transmissions and dissemination of the data and information to Participants, any 

publisher of the data or information with whom the SEF has a written agreement, 

and any other Persons.

(b) Except with respect to such Person’s confidential information or data, Participants, 

Sponsored Participants, Customers and Clients and Supervised Persons may not distribute, 

sell or retransmit any other information displayed on the SEF to any third party without the 

express written consent of the SEF.

(c) The SEF may at any time restrict or establish utilization fees in respect of data described 

in Rule 5702(a) with respect to all or any Participants, Sponsored Participants, Customers 

or Clients in order to safeguard the security or operations of the SEF or to preserve market 

integrity, fair and orderly trading, or if otherwise in the public interest, provided, however, 

that view-only access is provided free-of-charge.

Rule 5703 Extension or Waiver of SEF Rules

If necessary and expedient, the SEF may, in its sole discretion, waive, or extend the time period 

for performing, any act or acts designated by the SEF Rules, but only to the extent such waiver or 

extension is not inconsistent with the CEA or the CFTC Regulations.
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SECTION 6

ENFORCEMENT OF RULES AND

DISCIPLINARY PROCEEDINGS

Rule 6000 General

(a) All Participants, Sponsored Participants, Account Managers, Authorized Traders, Clients, 

Customers, Supervised Persons and any other Person using a User ID of a Participant or 

login credentials linked to a Participant or User ID shall be subject to the SEF’s jurisdiction. 

Any Participant, Sponsored Participant, Account Manager, Authorized Trader, Client, 

Customer, Supervised Person or other Person using a User ID of a Participant or login 

credentials linked to a Participant or User ID is subject to this Section 6 if such Person is 

alleged to have violated, to have aided and abetted a violation, to be violating, or to be 

about to violate, any SEF Rule or any other provision of Applicable Law for which the 

SEF has disciplinary jurisdiction.

(b) The SEF, through its Market Regulation Department, Review Panels, Disciplinary Panels 

and Appeals Panels will conduct inquiries, investigations, disciplinary proceedings and 

appeals from disciplinary proceedings, summary impositions of fines, summary 

suspensions or other summary actions in accordance with this Section 6.

(c) The SEF and its Regulatory Services Provider are parties to a Regulatory Service 

Agreement as referenced in Rule 2600, pursuant to which the Regulatory Services Provider 

has agreed to perform certain regulatory services described in this Section 6 on behalf of 

SEF. The SEF Rules that refer to the SEF, SEF staff, the Market Regulation Department 

and other SEF departments should be understood as also referring to the Regulatory 

Services Provider, the Regulatory Services Provider staff and the Regulatory Services 

Provider departments acting on behalf of SEF pursuant to the Regulatory Services 

Agreement. Notwithstanding the fact that the SEF has entered into the Regulatory Services 

Agreement with its Regulatory Services Provider to perform some of the SEF’s functions, 

the SEF shall retain ultimate legal responsibility for, and control of, such functions.

(d) No SEF Official will interfere with or attempt to influence the process or resolution of a 

Disciplinary Action except to the extent provided under the SEF Rules with respect to a 

proceeding in which the SEF Official is a member of the relevant panel.

(e) Any Participant, Sponsored Participant, Account Manager, Authorized Trader, Client, 

Customer or Supervised Person may be represented by counsel during any Disciplinary 

Action pursuant to this Section 6.

(f) The SEF may hold a Participant or any Customer or Client liable for, and impose sanctions 

against such Participant, Customer or Client, for such Participant’s, Customer’s or Client’s 

own acts and omissions that constitute a violation as well as for, in the case of a Participant, 

the acts and omissions of each (A) Authorized Trader of such Participant, (B) other 

Supervised Person of such Participant, (C) other Person using a User ID of such Participant 

or login credentials linked to the Participant or User ID, (D) agent or representative of such 
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Participant, in each case, that constitute a violation as if such violation were that of the 

Participant, or (E) Sponsored Participant, Client or Customer of such Participant.

(g) The SEF may hold an Authorized Trader liable for, and impose sanctions against such 

Authorized Trader for, such Authorized Trader’s own acts and omissions that constitute a 

violation as well as or for the acts and omissions of any agent or representative of such 

Authorized Trader that constitute a violation as if such violation were that of the 

Authorized Trader.

Rule 6001 Inquiries and Investigations

(a) The Market Regulation Department shall investigate potential or alleged violations of the 

SEF Rules. The Market Regulation Department will commence an investigation (i) upon 

the receipt of a request from CFTC staff or (ii) upon the discovery or receipt of information 

that, in the judgment of the Market Regulation Department, indicates a reasonable basis 

for finding that a violation may have occurred or will occur. The Market Regulation 

Department will determine the nature and scope of its inquiries and investigations and will 

function independently of any commercial interests of the SEF.

(b) The Market Regulation Department may:

(1) initiate and conduct inquiries and investigations, and engage such third-party 

advisors, include legal counsel, as it deems appropriate;

(2) prepare Investigation Reports and make recommendations concerning initiating 

disciplinary proceedings;

(3) prosecute alleged violations within the SEF’s disciplinary jurisdiction; and

(4) represent the SEF on summary imposition of fines, summary suspension or other 

summary action.

(c) Each Clearing Firm, Participant, Sponsored Participant, Account Manager, Authorized 

Trader, Customer, Client and Supervised Person and any other Person that is subject to the 

SEF’s jurisdiction:

(1) is obligated to appear and testify and respond in writing to interrogatories within 

the time period required by the SEF in connection with:

(i) any SEF Rule or any other provision of Applicable Law for which the SEF 

has disciplinary jurisdiction;

(ii) any Disciplinary Action; or

(iii) any preparation for and presentation during a Disciplinary Action; 
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(2) 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 SEF in connection with:

(i) any SEF Rule or any other provision of Applicable Law for which the SEF 

has disciplinary jurisdiction;

(ii) any situation in which such books, records, papers, documents or other 

tangible evidence would be useful to the SEF in determining if a violation 

of a SEF Rule has occurred;

(iii) any Disciplinary Action; or

(iv) any preparation for and presentation during a Disciplinary Action; and

(3) may not impede or delay any Disciplinary Action.

(d) Each investigation must be completed in a timely manner. Absent mitigating factors, a 

timely manner is no later than twelve (12) months after the date that an investigation is 

opened. Mitigating factors that may reasonably justify an investigation taking longer than 

twelve (12) months to complete include the complexity of the investigation, the number of 

firms 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 Market Regulation Department.

Rule 6002 Reports of Investigations

(a) The Market Regulation Department will maintain a log of all investigations and the 

disposition of each. The Market Regulation Department will prepare an Investigation 

Report, regardless of whether the evidence gathered during any inquiry or investigation 

forms a reasonable basis to believe that a violation within the SEF’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) The Investigation Report will include the reasons for initiating the investigation (including 

a summary of the complaint, if any), all relevant facts and evidence gathered, Market 

Regulation Department’s analysis and conclusions, the potential respondent’s disciplinary 

history at the SEF, and the recommendation of the Market Regulation Department. For 

each potential respondent, the Market Regulation Department will recommend:

(1) closing the investigation without further action;

(2) settlement;

(3) summary action;

(4) the preparation and service of a Notice of Charges for initiating a disciplinary 

proceeding;
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(5) resolving the investigation through an informal disposition, including the issuance 

of a warning letter (an informal disposition (including the issuance of a warning 

letter) will not constitute a finding of a violation or a sanction);

(6) forwarding the Investigation Report to a Review Panel as discussed in Rule 6004; 

or

(7) in the case of one of the violations described in Rule 6016(a)(1) through (4), 

forwarding the Investigation Report to the Regulatory Oversight Committee for 

determination regarding whether to impose a summary fine under Rule 6016.

(c) After reviewing the Investigation Report, the Chief Compliance Officer will:

(1) proceed with the Market Regulation Department’s recommendation;

(2) forward the Investigation Report to a Review Panel as discussed in Rule 6004; or

(3) in the case of one of the violations described in Rule 6016(a)(1) through (4), 

forward the Investigation Report to the Regulatory Oversight Committee for 

determination regarding whether to impose a summary fine under Rule 6016.

Rule 6003 Opportunity to Respond

(a) If the Review Panel authorizes disciplinary proceedings or the Chief Compliance Officer 

determines to proceed with the Market Regulation Department’s recommendation to 

initiate disciplinary proceedings, the Market Regulation Department will notify each 

potential respondent that the Market Regulation Department or Review Panel has 

recommended formal disciplinary charges against the potential respondent.

(b) The SEF may allow a potential respondent to propose a settlement of the matter or to submit 

a written statement explaining why a disciplinary proceeding should not be instituted or 

one or more of the potential charges should not be brought. The potential respondent shall 

submit such written statement within the time limit established by the Market Regulation 

Department.

Rule 6004 Review of Investigation Reports

(a) The Chief Compliance Officer may, in his/her discretion, convene a Review Panel to 

review the Investigation Report.

(b) The Review Panel shall be appointed by the Chief Compliance Officer or the SEF’s 

Regulatory Services Provider and shall be comprised of three individuals, at least two of 

whom would not be disqualified from serving as Public Directors. Each Review Panel must 

include members who have had relevant experience in some capacity (whether as a current 

or former employee, officer, director, principal, consultant, advisor, service provider or 

otherwise) working with or for sufficient different Membership Interests so as to ensure 

fairness and to prevent special treatment or preference for any Person in the conduct of the 

Review Panel’s responsibilities, and no member of the Review Panel may be involved in 
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the adjudication of any other stage of the same proceeding. If a vacancy occurs on a Review 

Panel after it has begun a proceeding, the remaining members of the panel shall complete 

consideration and disposition of the matter. Once the Review Panel has provided its 

decision, it shall be dissolved automatically.

(c) The Review Panel will review the Investigation Report and any reports of additional 

investigation or evidence provided by the Market Regulation Department pursuant to Rule 

6004(c)(1) below and, within thirty (30) days of receiving the Investigation Report or 

report of additional investigation or evidence, as applicable, will take one of the following 

actions:

(1) If the Review Panel determines that additional investigation or evidence is needed, 

it will promptly direct the Market Regulation Department to conduct further 

investigation or obtain additional evidence.

(2) If the Review Panel determines that no reasonable basis exists for finding a 

violation of the SEF Rules or any other provision of Applicable Law for which the 

SEF has disciplinary jurisdiction has occurred or is about to occur or that 

adjudication is otherwise unwarranted, it may direct that no further action be taken. 

Such determination will be in writing, and will include the reason the investigation 

was initiated, a summary of the complaint, a written statement setting forth the facts 

and analysis supporting the decision and, if applicable, any recommendations. The 

Review Panel shall also provide the written statement to any applicable Regulatory 

Services Provider.

(3) If the Review Panel determines that a reasonable basis exists for finding a violation 

of the SEF Rules or any other provision of Applicable Law for which the SEF has 

disciplinary jurisdiction has occurred or is about to occur and adjudication is 

warranted, the Review Panel will determine for each potential respondent whether 

to authorize:

(i) the informal disposition of the investigation (by issuing a warning letter or 

otherwise) because disciplinary proceedings are unwarranted, in which case 

the Review Panel shall provide a written explanation to any Regulatory 

Services Provider;

(ii) the closing of the investigation without any action because no reasonable 

basis exists to believe that a violation within the SEF’s jurisdiction has 

occurred or is about to occur in which case the Review Panel shall provide 

a written explanation to any Regulatory Services Provider; or

(iii) the commencement of disciplinary proceedings because a reasonable basis 

exists to believe that a violation within the SEF’s jurisdiction has occurred 

or is about to occur.

(d) A failure of the Review Panel to act within the time prescribed above shall not prevent the 

appointment of a Disciplinary Panel. The Chief Compliance Officer shall inform the ROC 

of any such failure of the Review Panel to act. The ROC shall, within thirty (30) days of 
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the date by which the Review Panel was required to act review the failure and take 

appropriate action and may itself take any of the actions which the Review Panel could 

have taken under Rule 6004(c), including appointment of a Disciplinary Panel.

Rule 6005 Notice of Charges

(a) If the Review Panel (or the ROC in the event of a failure of the Review Panel to act within 

the requisite time period) authorizes disciplinary proceedings or the Chief Compliance 

Officer elects to follow the recommendation of the Market Regulation Department to 

commence a disciplinary proceeding, the Chief Compliance Officer will appoint a 

Disciplinary Panel as provided in Rule 6009. In addition, the Market Regulation 

Department will prepare, and serve in accordance with Rule 6007, a notice of charges (a 

“Notice of Charges”).

(b) A Notice of Charges will:

(1) state the acts, practices or conduct that the respondent is alleged to have engaged 

in;

(2) state the SEF Rule or other provision of Applicable Law alleged to have been 

violated or about to be violated;

(3) state the proposed sanctions;

(4) advise the respondent of its right to a hearing;

(5) advise the respondent of its right to be represented by legal counsel of its choosing 

in all succeeding stages of the disciplinary process;

(6) state the period of time within which the respondent can request a hearing on the 

Notice of Charges, which will not be less than twenty (20) days after service of the 

Notice of Charges;

(7) 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; and

(8) advise the respondent that any allegation in the Notice of Charges that is not 

expressly denied or answered will be deemed to be admitted.

Rule 6006 Answer to Notice of Charges

(a) If the respondent determines to answer a Notice of Charges, the respondent must file 

answers within twenty (20) days after being served with such notice, or within such longer 

time period determined by the Disciplinary Panel in accordance with Rule 6012.
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(b) To answer a Notice of Charges, the respondent must in writing:

(1) specify the allegations that the respondent denies or admits;

(2) specify the allegations that the respondent does not have sufficient information to 

either deny or admit;

(3) specify any specific facts that contradict the Notice of Charges;

(4) specify any affirmative defenses to the Notice of Charges; and

(5) sign and serve the answer on the Disciplinary Panel.

(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 general denial by the 

respondent, without more, will not satisfy the foregoing requirements.

Rule 6007 Service of Notice of Charges

(a) Any Notice of Charges or other documents to be served pursuant to this Section 6 may be 

served on the respondent personally or may be served (and service shall be deemed 

complete) by leaving the same at his or her place of business, by entrusting the same to 

reputable overnight courier for tracked delivery, or by depositing the same in the United 

States mail, postage prepaid, via registered or certified mail, in either case addressed to 

respondent at the address as it appears on the books and records of the SEF.

(b) Any Notice of Charges or other documents contemplated to be served pursuant to this 

Section 6 may also be served upon the respondent and service shall be deemed complete 

via electronic mail to the electronic mail address as it appears on the books and records of 

the SEF.

Rule 6008 Settlement Offers

(a) A respondent or potential respondent may, at any time after completion of an Investigation 

Report and before disciplinary proceedings have concluded, propose in writing an offer of 

settlement related to anticipated or instituted disciplinary proceedings.

(b) Any offer of settlement should contain proposed findings and sanctions and be signed by 

the respondent or potential respondent and submitted to the Market Regulation 

Department.

(c) A respondent or potential respondent may offer to settle disciplinary proceedings without 

admitting or denying the findings contained in the Notice of Charges but must accept the 

jurisdiction of the SEF over it and over the subject matter of the proceedings and consent 

to the entry of the findings and sanctions imposed.
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(d) If a respondent or potential respondent submits an offer of settlement in accordance with 

Rule 6008(a) above, the Market Regulation Department will forward the offer to the Chief 

Compliance Officer and the Chief Compliance Officer will in turn forward the offer to the 

Disciplinary Panel with a recommendation on whether to accept or reject the offer.

(e) If an offer of settlement is forwarded to it pursuant to Rule 6008(d) above, the Disciplinary 

Panel must review the offer of settlement within ninety (90) Business Days after receipt of 

the offer of settlement by the Chief Compliance Officer unless an extension has been 

agreed by the respondent in writing. The Disciplinary Panel may accept the offer of 

settlement, but may not alter the terms of a settlement offer unless the respondent agrees. 

A Disciplinary Panel, in its discretion, may permit the respondent to accept a sanction 

without admitting or denying the rule violation on which the sanction is based.

(f) If an offer of settlement is accepted by the Disciplinary Panel, it shall issue a written 

decision specifying:

(1) the rule violations it has reason to believe were committed, including the basis or 

reasons for the panel’s conclusions;

(2) any sanction to be imposed, which must include full customer restitution where 

customer harm is demonstrated, except where the amount of restitution or to whom 

it should be provided cannot be reasonably determined; and

(3) if applicable, that the respondent has accepted the sanctions imposed without either 

admitting or denying the rule violations.

(g) In the event that the Disciplinary Panel accepts an offer of settlement without the agreement 

of the Chief Compliance Officer, the Disciplinary Panel’s written decision must adequately 

support such acceptance.

(h) If an offer of settlement is accepted and the related decision becomes final, the respondent’s 

submission of the offer will be deemed to constitute a waiver of the right to notice, 

opportunity for a hearing and review and appeal under the SEF Rules.

(i) The respondent may withdraw his, her or its offer of settlement at any time before final 

acceptance by the Disciplinary Panel. If an offer is withdrawn after submission, or is 

rejected by the Disciplinary Panel, the respondent must not be deemed to have made any 

admissions by reason of the offer of settlement and must not be otherwise prejudiced by 

having submitted the offer of settlement.

(j) If the offer of settlement of a respondent or potential respondent is not accepted by the 

Disciplinary Panel, fails to become final or is withdrawn by the respondent or potential 

respondent, the matter will proceed as if the offer had not been made and the offer and all 

documents relating to it will not become part of the record. Neither a respondent or 

potential respondent nor the Market Regulation Department may use an unaccepted offer 

of settlement as an admission or in any other manner at a hearing of disciplinary 

proceedings.
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Rule 6009 Disciplinary Panel

(a) The Chief Compliance Officer or the SEF’s Regulatory Services Provider will appoint a 

Disciplinary Panel (a) to conduct hearings in connection with any disciplinary proceedings 

authorized by the Chief Compliance Officer or a Review Panel to make findings and 

impose sanctions and/or (b) to review any offer of settlement made by a respondent or 

potential respondent after completion of an Investigation Report. The Disciplinary Panel 

will be comprised of three individuals, at least two of whom would not be disqualified from 

serving as Public Directors. In addition, each Disciplinary Panel must include members 

who have had relevant experience in some capacity (whether as a current or former 

employee, officer, director, principal, consultant, advisor, service provider or otherwise) 

working with or for sufficient different Membership Interests so as to ensure fairness and 

to prevent special treatment or preference for any Person in the conduct of the Disciplinary 

Panel’s responsibilities. A Disciplinary Panel may not include any members of the SEF’s 

compliance staff or any Person involved in adjudicating any other stage of the same 

proceeding. If a vacancy shall occur on a Disciplinary Panel after it has begun its 

proceedings, the remaining members shall complete consideration and disposition of the 

matter. Once a Disciplinary Panel has made its decision and notified all relevant parties, it 

shall be dissolved automatically. The chair of the Disciplinary Panel shall be appointed by 

the Chief Compliance Officer.

(b) Within ten (10) days of being notified of the appointment of the Disciplinary Panel, a 

respondent may seek to disqualify any individual named to the Disciplinary Panel for the 

reasons identified in the SEF Rules or for any other reasonable grounds by serving written 

notice on the Chief Compliance Officer. By not timely filing a request for disqualification, 

the respondent will be deemed to have waived any objection to the composition of a 

Disciplinary Panel. The Chief Compliance Officer, in consultation with the General 

Counsel, of the SEF 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.

(c) No Person shall serve on a Disciplinary Panel unless that Person has agreed in writing that 

he or she will not publish, divulge, or make known in any manner, any facts or information 

regarding the business of any Person or any other information which may come to his 

attention in his official capacity as a member of the Disciplinary Panel, except when 

reporting to the Board or to a committee concerned with such information or to the Market 

Regulation Department, when requested by the CFTC or other Government Agency or 

when compelled to testify in any judicial or administrative proceeding.

(d) All information, records, materials and documents provided to the Disciplinary Panel and 

all deliberations, testimony, information, records, materials and documents related thereto 

shall be treated as non-public and confidential and shall not be disclosed, except as 

necessary to further a SEF investigation or as required by law.

Rule 6010 Convening Hearings of Disciplinary Proceedings

(a) A hearing will be conducted privately and confidentially. Notwithstanding the 

confidentiality of hearings, the Disciplinary Panel may appoint an expert to attend any 
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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 Market Regulation 

Department.

(c) The chair of the Disciplinary Panel may continue, adjourn or otherwise conduct the 

hearing, as he or she may deem appropriate. The chair of the Disciplinary Panel will 

determine all procedural and evidentiary matters, including the admissibility and relevance 

of any evidence proffered.

(d) In determining procedural and evidentiary matters, the chair 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 General Counsel of the SEF, or his or her designee, 

may provide guidance to the chair of the Disciplinary Panel on the conduct of the hearing.

(e) Except for procedural and evidentiary matters decided by the chair of the Disciplinary 

Panel pursuant to Rule 6010(c) above and Rule 6012, unless each respondent otherwise 

consents, the entire Disciplinary Panel must be present during the entire hearing and any 

related deliberations.

Rule 6011 Respondent Review of Evidence

(a) Prior to the commencement of a 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 the SEF that the Market Regulation 

Department will use to support the allegations and proposed sanctions in the Notice of 

Charges or which the chair of the Disciplinary Panel deems relevant to the disciplinary 

proceedings. Notwithstanding the foregoing, no respondent will have the right to review, 

and the SEF will have no obligation to disclose, any documents that:

(1) are privileged or constitute attorney work product;

(2) were prepared by an employee of the SEF but will not be offered in evidence in the 

disciplinary proceedings;

(3) may disclose a technique or guideline used in examinations, investigations or 

enforcement proceedings; or 

(4) 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 Market Regulation Department, the Market 
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Regulation Department may redact, edit or code such information before furnishing it to 

the respondent.

(c) Notwithstanding anything in Rule 6011(b) above to the contrary, the Market Regulation 

Department:

(1) 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

(2) will provide the respondent with access to the information and portions of the 

documents that the Market Regulation Department intends to rely on to support the 

allegations or proposed sanctions in the Notice of Charges.

(d) For purposes of this Rule 6011, information that could adversely affect competitive 

positions may include positions in Swaps or other positions currently held, trading 

strategies employed in establishing or liquidating positions, the identity of any Customer, 

Client, Sponsored Participant, Participant or Authorized Trader and the personal finances 

of the Person providing the information.

Rule 6012 Conducting Hearings of Disciplinary Proceedings

(a) At a hearing conducted in connection with any disciplinary proceedings, the Market 

Regulation Department will present its case supporting the allegations and proposed 

sanctions in the Notice of Charges to the Disciplinary Panel. 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 Market Regulation Department and each respondent may:

(1) present evidence and facts determined relevant and admissible by the chair of the 

Disciplinary Panel;

(2) call and examine witnesses; and

(3) cross-examine witnesses called by other parties.

(c) 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 chair 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 6006.
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(d) If the respondent has requested a hearing on a charge that the respondent denies, or on a 

sanction set by the Disciplinary Panel under Rule 6014, the respondent will be given an 

opportunity for a hearing in accordance with the SEF Rules. Except for good cause, such 

hearing will be limited to addressing those charges denied by the respondent and/or 

sanctions set by the Disciplinary Panel under Rule 6014 for which a hearing has been 

requested.

(e) Any Person entitled, or required or called upon, to attend a hearing before a Disciplinary 

Panel pursuant to Rule 6012(b)(2) will be given reasonable notice, confirmed in writing, 

specifying the date, time and place of the hearing, and the caption of the disciplinary 

proceedings. All Persons subject to the SEF’s jurisdiction that are called as witnesses are 

required to appear at the hearing and, where applicable, produce evidence. The SEF 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 the SEF Rules or 

any other provision of Applicable Law for which the SEF has disciplinary jurisdiction 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 6006. In connection with considering 

apparent violations pursuant to this Rule 6012(f), the Disciplinary Panel may request that 

the Market Regulation Department provide the Disciplinary Panel with any additional 

information related to the violations at issue.

(g) The Disciplinary Panel may provide that a sanction be summarily imposed upon any Person 

within its jurisdiction whose actions impede the progress of a hearing.

(h) If the respondent has requested the hearing, a copy of the hearing must be made and must 

become a part of the record of the proceedings. The SEF will arrange for any hearing 

conducted in connection with disciplinary proceedings to be recorded 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 chair of the Disciplinary 

Panel may within his or her sole discretion require the respondent to pay the costs for 

transcribing the recording of the hearing.

(i) No interlocutory appeals of rulings of any Disciplinary Panel or chair of the Disciplinary 

Panel are permitted.

Rule 6013 Decision of Disciplinary Panel

(a) Promptly following a hearing, the Disciplinary Panel will issue a written order rendering 

its final 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 final decision of the Disciplinary Panel.
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(b) The Disciplinary Panel will serve a copy of the order of the disciplinary proceedings on 

the respondent and the Market Regulation Department. The order will include:

(1) The name of the respondent;

(2) the Notice of Charges or summary of the charges;

(3) the answer, if any, or a summary of the answer;

(4) a summary of the evidence produced at the hearing or, where appropriate, 

incorporation by reference of the Investigation Report;

(5) a statement of findings of fact and conclusions with respect to each charge, 

including a complete explanation of the evidentiary and other basis for such 

findings and conclusions with respect to each charge;

(6) each specific SEF Rule and/or other provision of Applicable Law that the 

respondent was found to have violated;

(7) a declaration of all sanctions imposed against the respondent, if any, including the 

basis for such sanctions and the effective date of each sanction;

(8) notice of respondent’s right to appeal; and

(9) a statement informing the respondent of the availability of CFTC review of the 

action pursuant to Part 9 of the CFTC Regulations.

(c) The written decision of the Disciplinary Panel will become effective upon the expiration 

of fifteen (15) days after it is served on the respondent and provided to the Market 

Regulation Department; provided, however, that the SEF may cause the decision to become 

effective prior to that time to the extent permitted under Part 9 of the CFTC Regulations.

Rule 6014 Sanctions

(a) After notice and opportunity for hearing in accordance with the SEF Rules, the SEF will 

impose sanctions on any Person subject to the SEF’s jurisdiction, including any Clearing 

Firm, Customer, Client, Sponsored Participant, Participant, Account Manager, Authorized 

Trader or Supervised Person, or any Person using a Participant’s User ID or login 

credentials linked to a Participant or User ID, if such Person is found to have violated or to 

have attempted to violate a SEF Rule or other provision of Applicable Law for which the 

SEF has disciplinary jurisdiction. All sanctions, including those imposed pursuant to an 

accepted settlement offer, must take into account the respondent’s disciplinary history. In 

the event of demonstrated customer harm, any sanction must also include full customer 

restitution, except where the amount of restitution or to whom it should be provided cannot 

be reasonably determined. Any such sanction (including any fine) shall be commensurate 

with the violation committed and clearly sufficient to deter recidivism or similar violations 

by other market participants.
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The SEF may impose one or more of the following sanctions or remedies:

(1) censure;

(2) limitation on Trading Privileges, ability to otherwise access the SEF, and/or other 

activities, functions or operations;

(3) suspension of Trading Privileges and/or ability to otherwise access the SEF;

(4) fine (subject to Rule 6014(b) below);

(5) restitution and/or disgorgement;

(6) termination of Trading Privileges and/or ability to otherwise access the SEF; 

(7) limitation, suspension or termination of rights as a Clearing Firm; or

(8) any other sanction or remedy deemed to be appropriate.

(b) The SEF may impose a fine of up to $100,000, unless aggravating or mitigating 

circumstances otherwise warrant as determined by the SEF, for each violation of the SEF 

Rules or other provision of Applicable Law for which the SEF has disciplinary jurisdiction. 

The minimum fine for any one violation is $1,000. If a fine or other amount is not paid 

within thirty (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 lesser of (i) the quoted prime rate plus three 

percent, and (ii) the maximum rate of interest permitted by Applicable Law. The SEF has 

sole discretion to select the bank on whose quotations it will base the prime rate. A 

Participant will be responsible for paying any fine or other amount imposed on, but not 

paid by, any of its Supervised Persons.

Rule 6015 Right to Appeal from Disciplinary Panel Decision, Summary Impositions of 

Fines and Other Summary Actions

(a) Each respondent found by the Disciplinary Panel to have violated the SEF Rules or other 

provision of Applicable Law for which the SEF has disciplinary jurisdiction or who is 

subject to termination or limitation of Trading Privileges, any summary fine imposed 

pursuant to Rule 6016 or any other summary action may appeal the decision within twenty 

(20) days of receiving the order 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) The SEF 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 twenty 

(20) days of receiving the order 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 order of the Disciplinary Panel or the summary 

action (including any sanctions, remedies or costs imposed thereby) shall be suspended.
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(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 

order of the Disciplinary Panel or any summary action on the grounds that:

(1) the order or summary action was arbitrary, capricious, an abuse of discretion or not 

in accordance with the SEF Rules;

(2) the order or summary action exceeded the authority or jurisdiction of the 

Disciplinary Panel, the Chief Compliance Officer or the SEF;

(3) the order or summary action failed to observe required procedures;

(4) the order or summary action was unsupported by the facts or evidence; or

(5) the sanctions, remedies or costs imposed were inappropriate or unsupported by the 

record.

(e) The Chief Compliance Officer will forward copies of any notice of appeal received by him 

or her to all parties to the disciplinary proceeding or summary action, as the case may be, 

except the appellant. On or before the twentieth (20th) day after filing a notice of appeal, 

the appellant must file with the Chief Compliance Officer and serve on the appellee a brief 

supporting the notice of appeal and documents supporting the brief. On or before the 

twentieth (20th) day after the date on which the appellant serves its supporting brief, the 

appellee must file and serve its brief in opposition on the Chief Compliance Officer and 

the appellant. On or before the tenth (10th) day after the date on which the appellee serves 

its brief in opposition, the appellant may file and serve on the SEF a brief in reply.

(f) In connection with any appeal, the Market Regulation Department will furnish to the Chief 

Compliance Officer and to the appellant and appellee a transcript of the hearing and any 

exhibits introduced at the hearing.

(g) No later than thirty (30) days after the last submission filed pursuant to paragraph (e) of 

this Rule 6015, the Chief Compliance Officer or the SEF’s Regulatory Services Provider 

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 Market 

Regulation Department or have been a member of the Disciplinary Panel involved in the 

matters on appeal and at least two of whom would not be disqualified from serving as 

Public Directors. In addition, each Appeals Panel must include members who have had 

relevant experience in some capacity (whether as a current or former employee, officer, 

director, principal, consultant, advisor, service provider or otherwise) working with or for 

sufficient different Membership Interests so as to ensure fairness and to prevent special 

treatment or preference for any Person in the conduct of the Appeals Panel’s 

responsibilities. The chair of the Appeals Panel shall be an individual who would not be 

disqualified from serving as a Public Director.

(h) Within ten (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 or any Person 

designated as chair thereof for the reasons identified in Rule 2500 or in the definition of 
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Public Director (as the case may be) or on other reasonable grounds, 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 and appointment of its chair. 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 order 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 the SEF 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 and will provide a copy to the Chief Compliance 

Officer, the appellant and the appellee. 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 SEF Rule and other provision of Applicable 

Law for which the SEF has disciplinary jurisdiction 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 cost) will be the final action of the SEF and will not be subject to appeal within the 

SEF; provided, however, that any suspension, expulsion, disciplinary or access denial 

action or other adverse action by the SEF may (to the extent required thereby) be subject 

to review by the CFTC pursuant to Part 9 of the CFTC Regulations.
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Rule 6016 Summary Imposition of Fines

(a) Notwithstanding any other provision of this Chapter 6, the SEF may, based on a 

determination made by the Regulatory Oversight Committee and without the need for any 

formal disciplinary procedures, summarily impose a fine against a Participant, Sponsored 

Participant, Account Manager, Authorized Trader, Client, Customer, Supervised Person or 

any other Person using a User ID of a Participant or login credentials linked to a Participant 

or User ID for failure to:

(1) comply with the requirements set forth in Rule 4013.A.(k)(1)(ii);

(2) make timely and accurate submissions to the SEF of notices, reports or other 

information required by the SEF Rules;

(3) make timely payments of assessments, fees, costs, charges or fines to the SEF; or

(4) keep any books and records required by the SEF Rules.

Investigations of possible violations of any of the foregoing shall be conducted by the 

Market Regulation Department in accordance with Rule 6001, but otherwise actions 

taken pursuant to this Rule 6016 shall be made in accordance with the procedures set 

forth herein rather than the procedures set forth in the remainder of this Chapter 6. The 

authority to impose a summary fine under this Rule 6016 does not prevent the Chief 

Compliance Officer from submitting any Investigation Report to a Review Panel in 

accordance with the formal disciplinary procedures of this Chapter 6 if the Regulatory 

Oversight Committee elects not to impose such a summary fine.

(b) The Market Regulation Department will give notice of any fine determined to be imposed 

by the Regulatory Oversight Committee pursuant to this Rule 6016 to each Participant or 

other Person subject thereto. The notice will specify:

(1) the violations of the SEF Rules for which the fine is being imposed;

(2) the date of the violation for which the fine is being imposed; and

(3) the amount of the fine.

(c) Within twenty (20) days of serving the notice of fine, the Participant or other Person subject 

thereto, as the case may be, must either pay or cause the payment of the fine. If a fine or 

other amount is not paid within twenty (20) days of the date that it becomes payable, then 

interest will accrue on the sum from the date that it became payable at the lesser of (i) the 

quoted prime rate plus three percent, and (ii) the maximum rate of interest permitted by 

Applicable Law. The SEF has sole discretion to select the bank on whose quotations it will 

base the prime rate. A Participant will be responsible for paying any fine or other amount 

imposed on, but not paid by, any of its Supervised Persons.

(d) The SEF will set the amount of any fines imposed pursuant to this Rule 6016 at no less 

than $1,000 per violation, with the maximum fine for each violation not to exceed $5,000. 
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Recurring violations will be subject to progressively larger fines. Summary imposition of 

fines pursuant to this Rule 6016 will not preclude the SEF from bringing any other action 

against the Participant or any other Person.

Rule 6017 Warning Letters

The SEF authorizes the Market Regulation Department to issue a warning letter to a Person or 

entity under investigation or to recommend that a Disciplinary Panel take such an action. A 

warning letter issued in accordance with this Rule 6017 is not a penalty or an indication that a 

finding of a violation has been made. A copy of a warning letter issued by the Market Regulation 

Department will be included in the Investigation Report. No more than one warning letter for the 

same potential violation may be issued to the same Person or entity during a rolling 12-month 

period.

Rule 6018 Summary Access Denial Actions

(a) The Chief Compliance Officer, upon a good faith determination that there is a reasonable 

belief that such immediate action is necessary to protect the best interests of the SEF, may 

summarily suspend, revoke, limit, condition, restrict or qualify the Trading Privileges of a 

Participant, Sponsored Participant or any Supervised Person, including denial of access to 

the SEF.

(b) Non-Participants, including Customers and Clients, may be denied access to the SEF by 

the Chief Compliance Officer upon a good faith determination that there are substantial 

reasons to believe that such immediate action is necessary to protect the best interests of 

the SEF.

(c) If practicable, a respondent must be served with a notice before the action is taken or 

otherwise at the earliest possible opportunity. The notice must state the action taken, the 

reasons for the action, and the effective date, time and the duration of the action taken. The 

party shall be advised of his right to a hearing, as soon as reasonably practicable, before a 

Disciplinary Panel by filing notice of intent with the Market Regulation Department within 

ten (10) Business Days of the notice date.

(d) Any suspension, revocation, limitation, condition, restriction or qualification imposed on 

any Participant, Supervised Person or non-Participant (including Sponsored Participants, 

Customers and Clients) pursuant to this Rule 6018 will be impartially enforced.

(e) Any denial, conditioning or termination that represents a suspension, expulsion, 

disciplinary or access denial action or other adverse action within the meaning of Part 9 of 

the CFTC Regulations may (to the extent required thereby) be subject to review by the 

CFTC pursuant to Part 9 of the CFTC Regulations.

Rule 6019 Rights and Responsibilities after Suspension, Temporary Deactivation or 

Termination

(a) When a Person’s Trading Privileges and/or ability to otherwise access the SEF are 

suspended or temporarily deactivated in accordance with Rule 3105(c), none of its rights 
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(including the right to hold oneself out to the public as a Participant or Authorized Trader, 

enter Orders into the SEF, submit Block Trades to the SEF, and receive Participant rates 

for fees, costs, and charges) will apply during the period of the suspension or deactivation, 

except for the right of the Person in question to assert claims against others as provided in 

the SEF Rules. Any such suspension or deactivation will not affect the rights of creditors 

under the SEF Rules or relieve the Person in question of its, his or her obligations under 

the SEF Rules to perform any Swaps entered into before the suspension or deactivation, or 

for any SEF fees, costs, or charges incurred during the suspension or deactivation. The SEF 

may discipline a suspended or deactivated Person under this Section 6 for any violation of 

the SEF Rules or other provision of Applicable Law committed by such Person before, 

during or after the suspension or deactivation.

(b) When a Person’s Trading Privileges and/or ability to otherwise access the SEF are 

terminated, all of its related rights will terminate, except for the right of the Person in 

question to assert claims against others, as provided in the SEF Rules. Any such 

termination will not affect the rights of creditors under the SEF Rules.

(c) When a Person’s Trading Privileges and/or ability to otherwise access the SEF are 

terminated, such person will pay to the SEF all assessments, fees, costs, charges and fines 

due through the termination date (unless such Person shall have previously provided the 

SEF with written notice of a bona fide dispute in assessments, fees, costs and charges in 

which case such Person will pay all undisputed fees due through the termination date or 

unless any such fine is then the subject of an appeal, in which case such fine shall be due 

in accordance with the procedures applicable to such appeal).

(d) The SEF will not consider the application of a terminated Participant or Authorized Trader 

if such Participant or Authorized Trader, as the case may be, continues to fail to appear at 

disciplinary proceedings without good cause or continues to impede the progress of 

disciplinary proceedings.

(e) A suspended, deactivated or terminated Person remains bound by the SEF Rules and 

subject to the jurisdiction of the SEF with respect to any and all matters arising from, 

related to or in connection with, the status, actions or omissions of such Person prior to 

such suspension, deactivation or termination, and must cooperate in any inquiry, 

investigation, disciplinary proceeding, appeal of disciplinary proceedings, summary 

suspension or other summary action as if the suspended, deactivated or terminated Person 

still had Trading Privileges or ability to otherwise access the SEF.

Rule 6020 Notice to the Respondent, the Regulatory Services Provider and the Public; 

Effectiveness of Disciplinary and Access Denial Actions

(a) The SEF will provide written notice of disciplinary proceedings and of any access denial 

actions pursuant to Rule 3103 or 6018 to the relevant parties and the Regulatory Services 

Provider consistent with applicable CFTC Regulations. Whenever the SEF suspends, 

expels, fines or otherwise disciplines or denies any Person access to the SEF, the SEF will 

make the disclosures and notifications required by Part 9 of the CFTC Regulations 
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(including by any of the alternative methods available thereunder) and any other applicable 

CFTC Regulations.

(b) Without limiting the generality of the foregoing, the SEF shall, in accordance with the 

requirements of CFTC Regulation 9.11, provide written notice of its final decision 

regarding any disciplinary or access denial action to the Person against whom the action 

was taken within thirty (30) days of rendering such decision. Pursuant to CFTC Regulation 

9.12, any disciplinary or access denial action taken will not become effective until at least 

fifteen (15) days after the written notice is delivered to the Person disciplined or denied 

access; provided, however, that the SEF may cause a Disciplinary Action to become 

effective prior to that time in accordance with CFTC Regulation 9.12.

Rule 6021 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 if the Disciplinary Panel concludes that the respondent has behaved in a 

manifestly unreasonable manner. Costs may include costs associated with the inquiry or 

investigation, the prosecution by the Market Regulation Department, legal and professional 

assistance, the hearing and administrative and other expenses incurred by the Disciplinary 

Panel.

(b) The Disciplinary Panel may only award costs against the SEF if the panel concludes that 

the SEF 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 the SEF 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. The SEF or the respondent will pay any costs ordered to be paid 

by it by the Disciplinary Panel within thirty (30) days of written notice of the amount 

imposed by the Disciplinary Panel. If costs are not paid within twenty (20) days of the date 

that it becomes payable, then interest will accrue on the sum from the date that it became 

payable at the lesser of (i) the quoted prime rate plus three percent and (ii) the maximum 

rate of interest permitted by applicable law. The SEF has sole discretion to select the bank 

on whose quotations it will base the prime rate. Participant will be responsible for paying 

any costs imposed on, but not paid by, any of its Supervised Persons.

Rule 6022 Ex Parte Communications

(a) A Person subject to a disciplinary proceeding or an appeal from a disciplinary proceeding 

(and any counsel or representative of such Person) and the Market Regulation Department 

(and any counsel or representative of the Market Regulation Department) shall not 

knowingly make or cause to be made an ex parte communication relevant to the merits of

a disciplinary proceeding or an appeal from a disciplinary proceeding to any member of 

the Disciplinary Panel or Appeals Panel hearing such proceeding.
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(b) Members of a Disciplinary Panel or an Appeals Panel shall not knowingly make or cause 

to be made an ex parte communication relevant to the merits of a disciplinary proceeding 

or an appeal from a disciplinary proceeding to any Person subject to such proceeding (and 

any counsel or representative of such Person) or the Market Regulation Department (and 

any counsel or representative of the Market Regulation Department).

(c) Any Person who receives, makes or learns of any communication that is prohibited by this 

Rule 6022 shall promptly give notice of such communication and any response thereto to 

the Market Regulation Department and all parties to the proceeding to which the 

communication relates.

(d) A Person shall not be deemed to have violated this Rule 6022 if the Person refuses an 

attempted communication concerning the merits of a proceeding as soon as it becomes 

apparent the communication concerns the merits.

Rule 6023 [Reserved]

Rule 6024 Extension or Waiver of the SEF Rules

If necessary and expedient, the Chief Compliance Officer may, in his or her sole discretion, waive, 

or extend the time period for performing, any act or acts designated by the SEF Rules, but only to 

the extent such waiver or extension is not inconsistent with the CEA, CFTC Regulations or other 

applicable regulations.

Rule 6025 Effect of Amendment, Repeal or New SEF Rule

(a) If an amendment or repeal of a SEF Rule or adoption of a new SEF 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 SEF Rule or adoption of a new SEF 

Rule relating to Swaps is binding on all Swaps entered into before and after the effective 

date of such amendment, repeal or adoption.

(b) If an amendment or repeal of a SEF Rule or adoption of a new SEF Rule materially changes 

the terms or conditions of a Swap or affects the value of open Swaps, then the amendment, 

repeal or new SEF Rule is binding only on 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 6026 [Reserved]

Rule 6027 Governing Law, Jurisdiction and Dispute Resolution

(a) The law of the State of New York governs the SEF Rules regardless of the laws that would 

otherwise apply under applicable choice-of-law principles.

(b) Any dispute between the SEF and a Person arising from or in connection with the SEF 

Rules or use of the SEF must be brought to arbitration pursuant to subsection (c) of this 
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Rule 6027 within two (2) years from the occurrence of the event giving rise to the dispute. 

This Rule 6027 shall in no way create a cause of action nor authorize an action that would 

otherwise be prohibited by the SEF Rules.

(c) Any dispute between the SEF and a Person arising from or in connection with the SEF 

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 6027 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 the SEF and each Person 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 6027 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 

SEF and the Person 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 Persons unconditionally and irrevocably waive any and 

all right to trial by jury in connection with any such dispute.

Rule 6028 Limitation of Liability, Indemnity

(a) UNLESS ARISING OUT OF THE GROSS NEGLIGENCE, WILLFUL MISCONDUCT 

OR FRAUD OF THE SEF, THE SEF, ITS SUBSIDIARIES AND AFFILIATES AND 

THEIR RESPECTIVE OFFICERS, DIRECTORS, EMPLOYEES, AND AGENTS 

(EACH A “RELATED PARTY” AND COLLECTIVELY “RELATED PARTIES”) 

HAVE NO LIABILITY, CONTINGENT OR OTHERWISE, TO PARTICIPANTS OR 

TO THIRD PARTIES, FOR THE CORRECTNESS, QUALITY, ACCURACY, 

SECURITY, COMPLETENESS, RELIABILITY, PERFORMANCE, TIMELINESS, 

PRICING OR CONTINUED AVAILABILITY OF THE SEF SERVICES OR FOR 

DELAYS OR OMISSIONS OF THE SEF SERVICES, OR FOR THE FAILURE OF ANY 

CONNECTION OR COMMUNICATION SERVICE TO PROVIDE OR MAINTAIN 

PARTICIPANT ACCESS TO THE SEF SERVICES, OR FOR ANY INTERRUPTION 

IN OR DISRUPTION OF A PARTICIPANT’S ACCESS OR ANY ERRONEOUS 

COMMUNICATIONS BETWEEN THE SEF AND A PARTICIPANT. THE SEF AND 

ITS RELATED PARTIES ARE NOT LIABLE FOR ANY SPECIAL, INDIRECT, 

INCIDENTAL OR CONSEQUENTIAL DAMAGES WHICH A PARTICIPANT OR 

ANY THIRD PARTY MAY INCUR OR EXPERIENCE BECAUSE THE 

PARTICIPANT ENTERED INTO THESE TERMS OR RELIED ON THE SEF 
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SERVICES, EVEN IF THE SEF KNOWS OF THE POSSIBILITY OF THOSE 

DAMAGES. THE SEF AND ITS RELATED PARTIES ARE NOT RESPONSIBLE FOR 

INFORMING A PARTICIPANT OF ANY DIFFICULTIES THE SEF OR OTHER 

THIRD PARTIES EXPERIENCE CONCERNING USE OF THE SEF SERVICES OR TO 

TAKE ANY ACTION IN CONNECTION WITH THOSE DIFFICULTIES. THE SEF 

AND ITS RELATED PARTIES ALSO HAVE NO DUTY OR OBLIGATION TO 

VERIFY, CORRECT, COMPLETE OR UPDATE ANY INFORMATION DISPLAYED 

IN THE SEF SERVICES. EACH PARTICIPANT IS SOLELY RESPONSIBLE FOR 

ANY LOSSES, DAMAGES OR COSTS RESULTING FROM THE PARTICIPANT’S 

RELIANCE ON ANY DATA OR INFORMATION THAT THE SEF MAY PROVIDE 

IN CONNECTION WITH A PARTICIPANT’S USE OF THE SEF SERVICES.

(b) THE SEF DOES NOT MAKE ANY RECOMMENDATION AS TO THE SUITABILITY 

OF ANY INVESTMENT OR PROPOSED TRANSACTION. EACH PARTICIPANT 

ACKNOWLEDGES THAT THE SEF WILL NOT, AND ARE UNDER NO DUTY TO, 

PROVIDE ADVICE IN RELATION TO ANY SUCH TRANSACTION OR PROPOSED 

TRANSACTION THROUGH ANY SEF SERVICE. EACH PARTICIPANT AGREES 

THAT (i) THE SEF SERVICES ARE NOT AND WILL NOT BE THE BASIS FOR ANY 

OF INVESTMENT DECISIONS BY A PARTICIPANT AND (ii) PARTICIPANTS ARE 

SOLELY RESPONSIBLE FOR (A) ANY INVESTMENT OR TRADING DECISIONS 

THAT THE PARTICIPANT MAKES WITH RESPECT TO THE PRODUCTS 

AVAILABLE VIA ANY SEF SERVICE AND (B) DETERMINING WHETHER ANY 

TRANSACTION IS SUITABLE, APPROPRIATE OR ADVISABLE FOR THE 

PARTICIPANT OR SPONSORED PARTICIPANT OR CLIENTS OR CUSTOMERS. 

PROVISION OF THE SEF SERVICES DOES NOT MAKE THE SEF AN ADVISOR OR 

FIDUCIARY FOR A PARTICIPANT, SPONSORED PARTICIPANT, CLIENT OR 

CUSTOMER. THESE TERMS DO NOT CONSTITUTE AN OFFER TO SELL OR 

SOLICITATION OF AN OFFER TO BUY SECURITIES OR OTHER INSTRUMENTS. 

IN ADDITION, THE SEF SERVICES DO NOT INCLUDE ANY INVESTMENT, 

FINANCIAL, LEGAL OR TAX ADVICE WHICH PARTICIPANT MAY DESIRE OR 

NEED IN CONNECTION WITH ANY TRANSACTION. PARTICIPANTS ARE 

RESPONSIBLE FOR OBTAINING ANY LEGAL OR TAX ADVICE.

(c) IF A THIRD PARTY CLAIMS THAT THE SEF SERVICES INFRINGE UPON ITS 

PATENT COPYRIGHT, OR TRADE SECRET, OR ANY SIMILAR INTELLECTUAL 

PROPERTY RIGHT, THE SEF WILL DEFEND THE PARTICIPANT AGAINST THAT 

CLAIM AT THE SEF’S EXPENSE AND PAY ALL DAMAGES THAT A COURT 

FINALLY AWARDS, PROVIDED THAT THE PARTICIPANT PROMPTLY NOTIFY 

THE SEF IN WRITING OF THE CLAIM AND COOPERATE WITH THE SEF IN THE 

DEFENSE OR ANY RELATED SETTLEMENT NEGOTIATIONS. THE SEF SHALL 

HAVE SOLE CONTROL OVER THE DEFENSE AND ANY NEGOTIATION FOR ITS 

SETTLEMENT OR COMPROMISE. IF SUCH A CLAIM IS MADE OR IS LIKELY TO 

BE MADE, THE SEF SHALL, AT THE SEF’S SOLE OPTION, HAVE THE RIGHT TO 

TAKE ONE OR MORE OF THE FOLLOWING ACTIONS AT NO ADDITIONAL 

COST TO THE PARTICIPANT: (i) PROCURE THE RIGHT FOR THE PARTICIPANT 

TO CONTINUE THE USE OF THE SEF SERVICES; (ii) REPLACE THE SEF 

SERVICES WITH NON-INFRINGING SOFTWARE; OR (iii) MODIFY THE SEF 
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SERVICES SO AS TO BE NON-INFRINGING. IF THE SEF DETERMINE THAT 

NONE OF THESE ALTERNATIVES IS REASONABLY AVAILABLE, THE 

PARTICIPANT AGREES TO IMMEDIATELY TERMINATE ITS USE OF THE SEF 

SERVICES ON THE SEF’S WRITTEN REQUEST. HOWEVER, THE SEF HAS NO 

OBLIGATION FOR ANY CLAIM BASED ON THE SEF’S USE OF THE SEF 

SERVICES IN ANY MANNER INCONSISTENT WITH THESE TERMS, 

PARTICIPANT’S MODIFICATION OF THE SEF SERVICES OR PARTICIPANT’S 

COMBINATION, OPERATION, OR USE OF THE SEF SERVICES WITH ANY 

PRODUCT, DATA, OR APPARATUS NOT SPECIFIED OR PROVIDED BY THE SEF, 

PROVIDED THAT SUCH CLAIM SOLELY AND NECESSARILY IS BASED ON 

SUCH COMBINATION, OPERATION OR USE, OR FOR CONTINUED ALLEGEDLY 

INFRINGING ACTIVITY BY THE PARTICIPANT AFTER THE PARTICIPANT 

HAVE BEEN NOTIFIED OF POSSIBLE INFRINGEMENT, UNLESS APPROVED IN 

ADVANCE BY THE SEF. THE FOREGOING REPRESENTS THE SOLE AND 

EXCLUSIVE REMEDY FOR PARTICIPANTS WITH REGARD TO ANY OF THE 

ABOVE INFRINGEMENTS OR ALLEGED INFRINGEMENTS.

(d) WITH THE EXCEPTION OF THE PROVISIONS OF RULE 6028(c), THE SEF’S 

LIABILITY AND THE COLLECTIVE LIABILITY OF THE SEF’S RELATED 

PARTIES AND THE THIRD PARTY SERVICE PROVIDERS SELECTED BY THE 

SEF, IF ANY, ARISING OUT OF ANY KIND OF LEGAL CLAIM (WHETHER IN 

CONTRACT, TORT, OR OTHERWISE) OR IN ANY WAY CONNECTED TO A 

PARTICIPANT’S USE OF THE SEF SERVICES WILL NOT EXCEED $500,000 

UNLESS CAUSED DIRECTLY BY THE SEF’S GROSS NEGLIGENCE OR WILLFUL 

MISCONDUCT.

(e) NONE OF THE ABOVE WILL LIMIT PARTICIPANT’S RIGHTS AND REMEDIES 

OTHERWISE AVAILABLE UNDER THE STATE OR FEDERAL SECURITIES 

LAWS, CFTC REGULATIONS OR THE CEA.
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Section 7

EMERGENCIES

Rule 7000 Emergency Rules

(a) During an Emergency, the Board and/or the CEO (or, if the CEO is not available, the most 

senior Officer that is available), in consultation with the CFTC and/or any relevant DCO, 

as necessary, may implement temporary emergency procedures and rules (“Emergency 

Rules”), subject to the applicable provisions of the CEA and CFTC Regulations. 

Emergency Rules may require or authorize the SEF, the Board, any committee of the 

Board, the CEO or any other Officer to take Emergency Action necessary or appropriate 

to respond to the Emergency. If applicable, the SEF may provide for the carrying out of 

Emergency Actions through its agreements with its Regulatory Services Provider.

(b) Before any Emergency Rule may be adopted and enforced, a required vote of the Board 

must approve the enforcement of such Emergency Rule at a duly convened meeting. 

Directors may attend such a meeting by teleconference and such meeting may, if necessary, 

be conducted pursuant to Rule 2100(c). Notwithstanding, if the CEO (or, if the CEO is not 

available, the most senior Officer that is available) determines that Emergency Rules must 

be implemented with respect to an Emergency before a meeting of the Board can

reasonably be convened, then the CEO (or such seniormost 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. 

In such circumstances, the CEO (or such seniormost Officer) must convene a meeting of 

the Board (which may, if necessary, be conducted pursuant to Rule 2100(c)) as soon as 

practicable thereafter. Notwithstanding that the Board does not ratify or approve extending 

or making permanent any Emergency Rules implemented by the CEO or seniormost 

Officer pending convening of the Board meeting, all actions previously taken in accordance 

with such Emergency Rules shall remain binding and valid.

(c) Whenever the SEF, the Board, any committee of the Board, the CEO or any other Officer 

takes actions necessary or appropriate to respond to an Emergency in accordance with any 

Emergency Rule, a duly authorized representative of the SEF, where possible, will post an 

announcement in a Notice to Participants. When the Board and/or the CEO (or, if the CEO 

is not available, the most senior Officer that is available) determines that the Emergency 

has been reduced sufficiently to allow the SEF to resume normal functioning, any such 

actions responding to an Emergency will be terminated.

(d) The SEF 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, 

the SEF 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, the SEF will document the decisionmaking process related to such action. Such documentation will be kept for at least five (5) 
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years following the date on which the Emergency ceases to exist or to affect the SEF, and 

all such documentation will be provided to the CFTC upon request.
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Section 8

RECORDKEEPING AND REPORTING

Rule 8000 Maintenance of Books and Records by the SEF

(a) The SEF shall keep, or cause to be kept, all books and records required to be maintained 

by it pursuant to the CEA and the CFTC Regulations, including CFTC Regulations 37.1001 

and 45.2. Such records shall include, without limitation, a complete audit trail for all Swaps 

executed on or subject to the SEF Rules, investigatory files and disciplinary files.

(b) The SEF shall retain all books and records related to a Swap executed on or pursuant to the 

SEF Rules throughout the life of the Swap and for a period of at least five (5) years 

following the final termination of the Swap and shall retain all other books and records for 

a period of at least five (5) years, in each case, in the form and manner required under the 

CEA and CFTC Regulations, including CFTC Regulations 1.31, 45.2 and 37.1001.

(c) All books and records required to be maintained by the SEF shall be open to inspection 

upon request by any representative of the CFTC, the United States Department of Justice 

or the SEC or by any representative of a prudential regulator as authorized by the CFTC. 

In addition, all audit trail data and reconstructions shall be made available to the CFTC or 

the United States Department of Justice in a form, manner and time that is acceptable to 

the CFTC or the United States Department of Justice, as applicable.

(d) The SEF may disclose, to any Government Agency, Self-Regulatory Organization or other 

Person, information concerning or associated with a Participant or other Person if the SEF 

believes such disclosure is necessary and appropriate in exercising a legal or regulatory 

function, whether or not a formal arrangement governing the disclosure exists or a request 

for information was made.

Rule 8001 Order Information

(a) Each Authorized Trader entering an Order with respect to any Swap traded on or subject 

to the SEF Rules must include with the Order, all data required to enable the SEF to meet 

its reporting obligations under Parts 43 and 45 of the CFTC Regulations, including without 

limitation:

(1) the User ID;

(2) the Participant ID;

(3) the Legal Entity Identifier of the Participant and, where the Participant is acting as 

agent, of the Customer or Client, with respect to the Swap for which the Order is 

placed;

(4) the price or yield, quantity and maturity or expiration date of the Swap;

(5) side of the Order;
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(6) the Customer Type Indicator Code (as specified below);

(7) a yes/no indication of whether the Participant, Customer or Client is a Swap Dealer;

(8) a yes/no indication of whether the Participant, Customer or Client is a Major Swap 

Participant;

(9) a yes/no indication of whether the Participant, Customer or Client is a Financial 

Entity;

(10) a yes/no indication of whether the Participant, Customer or Client is a U.S. person;

(11) if the Swap will be allocated:

(i) an indication that the Swap will be allocated;

(ii) the Legal Entity Identifier of the Account Manager acting as agent;

(iii) a yes/no indication of whether the Account Manager acting as agent is a 

U.S. person;

(iv) an indication of whether the Swap is a post-allocation Swap;

(v) if the Swap is a post-allocation Swap, the account and Legal Entity 

Identifier for each Client that received allocations; and

(vi) if the Swap is a post-allocation Swap, the USI of the original Transaction 

between the Reporting Counterparty and the Account Manager acting as 

agent;

(12) if applicable, an indication that the Participant, Customer or Client will elect to rely 

on a Clearing Exception for any Swap resulting from the Order and a description 

of the applicable Clearing Exception; 

(13) a yes/no indication of whether the Order is part of a Package Transaction; 

(14) if the Order is part of a Package Transaction, a description of the Transaction; 

(15) an indication of whether the Order is a Prime Brokerage Order; and

(16) if a Prime Brokerage Order, the identity of the relevant Prime Broker.

For purposes of this Rule 8001(a), the “Customer Type Indicator Codes” are as follows:

• CTI 1 – Orders for the proprietary account of a Participant that is natural person.

• CTI 2 – Orders for the proprietary account of a Participant that is not a natural 

person.
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• CTI 3 – Order entered by a Participant for the proprietary account of another 

Participant or for an account which the other Participant controls or has an 

ownership or financial interest in.

• CTI 4 – Any order not meeting the definition of CTI 1, 2 or 3, including those 

entered by Introducing Brokers on behalf of a Customer.

(b) Participants and ISVs that operate systems that route orders to the SEF are responsible for 

maintaining or causing to be maintained a routing/front-end audit trail for all Orders, which 

shall include Order entry, modification and cancellation and any SEF responses to such 

messages. For executed Orders, such audit trail must record the execution time of the 

Transaction, along with all fill information. Participants and ISVs shall maintain audit trail 

information as required by Applicable Law and must have the ability to produce audit trail 

data in a reasonably usable format upon request of the SEF. The SEF will enforce these 

audit trail and recordkeeping requirements by conducting an annual review of all 

Participants to verify their compliance with the SEF’s audit trail and recordkeeping 

requirements.

Rule 8002 Books and Records

(a) Each Member, Customer, Client and Clearing Member must prepare and keep, or cause to 

be kept, all books, ledgers and other records relating to its activity on the SEF required to 

be kept by it pursuant to Applicable Law, and must prepare and keep such other books and 

records relating to its SEF activity as the SEF may from time to time prescribe. Such books 

and records must include, as applicable, records of such Person’s trading, including records 

of the Person’s activity in the index or instrument used as a reference price, the underlying 

commodity and related derivatives markets, and records of all non-swap components of 

Package Transactions. Each such Person shall retain all required books and records in 

accordance with Applicable Law, including the applicable provisions of CFTC Regulations 

1.31 and 45.2, and shall make such books and records available, upon request, to the SEF, 

the SEF’s Regulatory Services Provider, the CFTC or the United States Department of 

Justice and as otherwise required by Applicable Law.

(b) In addition to the information required by subsection (a) of this Rule 8002, each Member 

must comply with all applicable requirements of CFTC Regulation 1.35.

(c) If a Participant cannot enter an Order received from its Customer into the SEF, either 

directly or indirectly through an Execution Specialist, the Participant must immediately 

create an electronic record that includes the account identifier that relates to the Customer, 

time of receipt and terms of the Order.

(d) Each Person required to keep records in accordance with this Rule 8002 shall keep all 

books and records in accordance with the SEF Rules for a period of five (5) years from the 

date on which they are first prepared unless otherwise provided in the SEF Rules or other 

Applicable Law. Such books and records shall be readily accessible during the first two (2) 

years of such five-year period, unless otherwise provided in the SEF Rules or other 

Applicable Law. Each such Person that is a counterparty to a Swap on the SEF or pursuant 
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to the SEF Rules shall retain all books and records related to such Swap for the life of the 

Swap and for a period of at least five (5) years following the final termination of the Swap. 

Each such Person that is a counterparty to an Uncleared Swap on the SEF or pursuant to 

the SEF Rules shall notify the SEF of any extension of the final termination of the Swap 

beyond the original stated maturity in order to enable the SEF to comply with Rule 8000(b) 

and the SEF’s obligations under Applicable Law.

(e) The SEF may require a Member, Customer or Client to furnish any information in 

connection with such Person’s activities on the SEF including (i) information relating to 

Swaps executed on the SEF or pursuant to the SEF Rules , on or pursuant to the rules of 

other swap execution facilities, DCMs or in related derivatives markets or to transactions 

or positions in the products underlying, related to or indexed to those Swaps or to which 

those Swaps are indexed (in whole or in part), and (ii) information requested by a 

Government Agency relating to the SEF and/or the SEF’s compliance with Applicable Law 

that the SEF believes is maintained by, or otherwise in the possession or control of, such 

Person.

(f) Each Authorized Trader shall prepare and keep, or cause to be kept, all books, ledgers and 

other records relating to its activity on the SEF as may be required to enable its related 

Member to comply with such Member’s obligations under this Rule 8002. Each Authorized 

Trader shall not knowingly take any action that would cause its associated Member to fail 

to comply with Rule 8002(d), and each Authorized Trader shall cooperate as necessary to 

enable its associated Member to comply with such Member’s obligations under Rule 

8002(e).

(g) Without limiting the generality of the foregoing, with respect to any Swap that has been 

allocated following execution on the SEF or pursuant to the SEF Rules, all Members, 

Customers and Clients must prepare and keep, or cause to be kept, all books, ledgers and 

other records as may be necessary to provide relevant information with respect to such 

post-trade allocation and will furnish such information to the SEF if the SEF, at the request 

of the CFTC or otherwise, requests such information. This Rule 8002(g) is intended to 

comply with the conditions of the no-action relief granted by the CFTC’s Division of 

Market Oversight in No-Action Letter 17-54, expiring at 11:59 p.m. (Eastern Time) on 

November 15, 2020. If such no-action relief is extended, upon and to the extent of such 

extension, the provisions of this Rule 8002(g) will continue apply.

Rule 8003 Recordkeeping Requirements for Block Trades

Block Trades submitted to the SEF in accordance with Rule 4016(b) must comply with the 

following recordkeeping requirements:

(a) Block Trades must be submitted in the form of a written or electronic record and must 

include information meeting the requirements of Rule 8001, including, without limiting the 

generality of the foregoing, Legal Entity Identifier information required by Rule 8001(8) 

with respect to parties and, where required, their agents, and a timestamp reflecting the 

date and time that the submission was received by the SEF. 
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TP ICAP Classification: Public

(b) The record shall also include a timestamp reflecting the date and time that the Transaction 

was executed or cancelled to the nearest millisecond.

Rule 8004 Access to Position Information

Without limiting any provision of these SEF Rules, the SEF and any Regulatory Services Provider, 

shall have the authority to obtain from any Participant, Sponsored Participant, Account Manager, 

Customer or Client, or Supervised Person information with respect to positions of such Person or 

any Sponsored Participant, Customer or Client, or Supervised Person. This authority shall include 

the authority to obtain information concerning positions maintained at other firms, and it shall be 

the obligation of a Participant receiving such an inquiry to obtain such information from its 

Account Manager, Sponsored Participant, Customer, Client, or any Supervised Person. In the event 

a Participant Sponsored Participant, Customer, Client, or any Supervised Person fails to provide 

the requested information the SEF, in addition to any other remedy provided in these SEF Rules, 

may order that the Participant, Account Managers, Sponsored Participant, Customer, Client, or 

any Supervised Person liquidate the positions that are related to the inquiry.

Rule 8005 Reporting to a Swap Data Repository

(a) The SEF will report each Swap executed on the SEF or pursuant to the SEF Rules as soon 

as technologically practicable after execution to an Approved SDR in compliance with 

Parts 43 and 45 of the CFTC Regulations. For all Swaps executed on the SEF or pursuant 

to the SEF Rules, the SEF will report all swap transaction and pricing data required to be 

reported by Part 43 of the CFTC Regulations and all “primary economic terms data” (as 

defined in CFTC Regulation 45.1) required by Part 45 of the CFTC Regulations. In 

addition, for Uncleared Swaps, the SEF will report any “confirmation data” (as defined in 

CFTC Regulation 45.1) that is readily available and collected by the SEF.

(b) All Swaps executed on the SEF or pursuant to the SEF Rules will be reported to DTCC 

Data Repository (U.S.) LLC (“DDR”), except that Swaps in the commodities asset class 

will be reported to the Approved SDR selected by the parties prior to executing the relevant 

Swap. The SDRs that are currently “Approved SDRs” are: (i) DDR; (ii) Chicago 

Mercantile Exchange Inc.; and (iii) ICE Trade Vault.

(c) The Reporting Counterparty for each Swap shall be established pursuant to CFTC 

Regulation 45.8. If the identity of the Reporting Counterparty cannot be established under 

CFTC Regulation 45.8, the ISDA Reporting Counterparty Rules shall be applied as 

provided in Appendix A hereto.

(d) If at any time the Reporting Counterparty for a Transaction that was executed on the SEF 

or pursuant to the SEF Rules becomes aware of an error or omission in the swap transaction 

or pricing data that was reported with respect to such Transaction, either through its own 

initiative or through notice by the other party to the Transaction, such party shall promptly 

notify the SEF of the error and/or correction. Upon receiving a notification from the 

Reporting Counterparty or otherwise becoming aware of an error or omission in the swap 

transaction or pricing data reported with respect to a Transaction executed on the SEF or 

pursuant to the SEF Rules, the SEF shall promptly submit corrected data to the same Swap 
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TP ICAP Classification: Public

Data Repository to which the Transaction was previously reported. For the avoidance of 

doubt, if a Transaction was incorrectly executed, Rule 5103 shall apply.

(e) No Person 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 Applicable 

Law, including the reporting requirements set forth in Part 43 of the CFTC Regulations.

Rule 8006 Timely Publication of Trading Information

The SEF will publish trading information as required by Core Principle 9 of Part 37 and by Part 16 

of the CFTC Regulations.

ACTIVE 218045559
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TP ICAP Classification: Public

Section 9

SYSTEM PROTOCOLS

Rule 9000 Voice RFQ System Protocol

Definitions

“Indication of Interest” means a price provided by a Voice RFQ Participant at the beginning start 

of the trading day that is not the initiation of an RFQ or an Order.

“Initiator” means a Participant that begins an RFQ by contacting an Execution Specialist.

“Initiation” means an RFQ that is submitted by a Participant to an Execution Specialist.

“Interest Stack” means the order of Indications of Interest received from Participants at the start 

of the trading day in price, time priority.

“Responder” means a Recipient of an Initiator’s RFQ who subsequently provides an Order to the 

Execution Specialist in response.

“Response” means an Order provided by a Responder to an Execution Specialist.

“RFQ Stack” means the order of RFQ Initiations and Responses that are received in price, time 

priority.

“Outright Spreadover” means a Package Transaction that has only two components: (i) a Swap 

component; and (ii) a U.S. Treasury Security component.

“Voice RFQ” or “vRFQ” means a RFQ that is submitted in accordance with the procedures in Rule 

4003.D. All RFQs are considered Non-Directed unless otherwise instructed by the Participant 

(Participants may request Directed RFQs).

“Voice RFQ Participant” means a Participant that on a particular trading day is in the Interest 

Stack or the RFQ Stack.

All capitalized terms not otherwise defined in this Voice RFQ System Protocol shall have the 

meanings ascribed to them in the SEF Rulebook.

Trading Hours

RFQ market operates 24 hours a day, Monday through Friday.

Contracts Offered for Trading

All Required USD, GBP and EUR denominated Interest Rate Swap products.

Required Interest Rate Swap vRFQ System Protocol
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TP ICAP Classification: Public

(a) General Provisions. In cases where an Initiator or Responder does not provide a notional 

size in the Initiation or Response, the Execution Specialist will assume the instrument’s 

Voice RFQ market size for the specific tenor or for butterflies and strategies as listed in 

Appendix A to this Rule 9000 for butterflies and strategies. Voice RFQ market sizes may 

change from time to time at the discretion of the SEF and upon notice to Participants. All 

Initiations and Responses must be made via the SEF’s recorded telephone lines or 

electronic instant messaging communications.

(1) The identity of the Initiator and Responder will be disclosed by Execution 

Specialists for all Initiations and Responses, including Non-Directed Voice RFQs 

and Directed Voice RFQs pursuant to Rule 4003.D.

(2) Intermediaries initiating a Voice RFQ or responding to a Voice RFQ on behalf of 

a Customer must provide the Execution Specialist with the identity of the Customer.

(3) Except as provided in Rule 9000(b) below, increments for Voice RFQs are as 

follows:

(i) Instruments quoted as a rate rather than a spread to another rate are quoted 

in 1/8 basis point increments (i.e. 1.01%, 1.010625%, 1.011875%, 

1.012500);

(ii) Instruments quoted as a spread to another rate (other than 

CME/LCH.Clearnet Spreads), including the rate of another leg to the 

transaction, are quoted in 1/8 basis point increments (i.e. 12.00, 12.125, 

12.25, 12.375, 12.50); and

(iii) CME/LCH.Clearnet Spreads (outrights, curves and butterflies) are quoted 

in 1/400 basis point increments (i.e. 1.80, 1.8025, 1.805).

(b) RFQs for Outright Spreadovers.

(1) Initiations of Outright Spreadovers may be in increments of 1/8 of a basis point.

(2) Responses to an Initiation for an Outright Spreadover in a 1/8 of a basis point 

increment include any resting Order in the Order Book.

(c) Interest Stack.

(1) Upon the start of the trading day, Execution Specialists may canvass the market for 

Indications of Interest from Participants which may be used to identify potential 

Voice RFQ Initiators and Responders.

(i) Indications of Interest are announced to other Execution Specialists and 

maintained manually in an Interest Stack.

(ii) The order of the Interest Stack is based on price, time priority.
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TP ICAP Classification: Public

(2) Upon request by a Participant, an Execution Specialist may provide current 

Indications of Interest by stating the best prices among the Indications of Interest 

on the bid and offer side of the market for that instrument.

(d) RFQ Stack.

(1) The RFQ Stack begins at the start of the first Voice RFQ of the trading day.

(2) Voice RFQ Initiations will be maintained in price, time priority per instrument.

(i) Initiators will be placed at the top of an RFQ Stack if:

A. the Initiator traded the last best price in the most recent RFQ and 

indicates to the Execution Specialist that it wants to remain in the 

RFQ Stack; or

B. the Initiator initiates a new Voice RFQ that is better than any other 

current RFQ and any current Order Book price and that new Voice 

RFQ is available to the market for a minimum of 30 seconds without 

trading (“Untraded Initiator”).

(ii) Responses to Voice RFQs may become new Initiations upon request of the 

Responder. Such new Initiations will be placed in the RFQ Stack.

(e) Voice RFQ Initiation.

(1) An Initiator may initiate a Voice RFQ by contacting an Execution Specialist.

(2) Initiation of a Voice RFQ begins when the Initiator identifies the desired instrument 

and can include the direction, price, and/or size. RFQs that are initiated by an 

Intermediary must also provide the Customer identity to the Execution Specialist

(this is not disclosed in a Non-Directed RFQ).

(i) If requested by a Participant, an Execution Specialist may assist a 

Participant in arriving at an initiation price by referencing the last 

transaction rate, indicating the mid-price of the current RFQs, referencing 

the prices of correlated tenors, and referencing recent transactions from 

other swap execution facilities posted by the SDR.

(ii) A Execution Specialist shall not amend, enter or cancel any Initiation unless 

instructed by the Participant. Participants may instruct Execution 

Specialists to amend, enter or cancel any Initiation by contacting the 

Execution Specialist via the SEF’s recorded telephone lines or electronic 

instant messaging communications.

(3) Initiations are entered into the SEF’s internal Voice RFQ tool.
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TP ICAP Classification: Public

(i) When required, pre-trade limit checks must be conducted prior to entry of 

the Initiation details into the Voice RFQ tool and prior to announcement of 

the details to other Execution Specialists.

(4) The Execution Specialist must announce the details of the Voice RFQ to other 

Execution Specialists who in turn contact all Voice RFQ Participants in a NonDirected Voice RFQ unless the Voice RFQ Participant has requested that initiations 

of a certain contract, size, or price be withheld.

(5) Indications of Interest in the Interest Stack will be used as potential responses after 

the Initiation has been announced to the vRFQ Participants.

(6) Initiations in the RFQ Stack on the opposite side of a new Voice RFQ will receive 

priority in Responding to all Initiations subsequent to the first Voice RFQ of the 

trading day. Such priority expires after approximately 5 seconds.

(i) Prices in the Order Book at or better than the Initiation price will be included 

in the RFQ Stack of potential Responders.

(f) Voice RFQ Responses.

(1) Responders must provide the Execution Specialist the price and size of the Order if 

above or below the assumed market size as described in Rule 9000 within 

approximately 5 seconds of communication of the Initiation.

(i) Orders are provided by the Execution Specialist to the Initiator in price, time 

priority.

A. Along with the first response, any resting Orders in the Order Book 

must be communicated to the Initiator.

B. Only the price is communicated to the Initiator unless otherwise 

instructed by the Responder.

(ii) A SEF Execution Specialist shall not amend, enter or cancel any Response 

unless instructed by the Participant. Participants may instruct Execution 

Specialists to amend, enter or cancel any Response by contacting the 

Execution Specialist via the SEF’s recorded telephone lines or electronic 

instant messaging communications.

(2) The Initiator has approximately 5 seconds to accept or reject each Response 

provided upon communication of such Response.

(g) Acceptance of Order.

(1) If, prior to the expiration of the time period described in Rule 9000(f)(2), the 

Initiator accepts an Order, the details of the Order are entered into the internal Voice 

RFQ tool.
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TP ICAP Classification: Public

(i) If required, a pre-trade limit check will be conducted on the Response prior 

to entry into the vRFQ Tool and Execution.

(2) The trade will be immediately reported to the SDR. Execution Specialists may not 

disclose the details of a transaction until the trade is sent to the SDR. Execution 

Specialists shall not disclose the identities of the counterparties to a trade to any 

other Participant at any time.

(3) If there is only one Initiator and one Responder at the chosen price, that Initiator 

and Responder may trade the entire amount provided by the Responder (see Rule 

9000(f)(1)).

(4) Stack Rules. If there are multiple Participants on either side of the market interested 

in trading at the chosen price, the initial transaction between Initiator and 

Responder may be for the double the Voice RFQ market size as listed in Appendix 

A to this Rule 9000. Each other Participant in the RFQ Stack will be eligible for a 

transaction at the Voice RFQ market size as listed in Appendix A in accordance 

with this Rule 9000(g)(4) and Rule 9000(d).

(i) If the Responder does not provide a size but post-execution of the market 

size indicates a desire to continue trading beyond the Tranche size (where 

the Initiator’s interest has been exhausted), the Responder may initiate a 

new RFQ that is announced to the market. The announcement of the new 

Voice RFQ ends the initial Voice RFQ.

(ii) Unless the Responder indicates a desire to continue trading an additional 

amount beyond the initial Tranche as described in Rule 9000(g)(4)(i), the 

order of the RFQ Stack will be followed with the Execution Specialist 

confirming that each Participant remains interested in trading at that price. 

A Responder may indicate a desire to continue trading by communicating a 

desire to “pay on” or “sell on” to the Execution Specialist. The Execution 

Specialist will then announce to the market that the Participant has indicated 

a desire to continue trading at that level.

(iii) The Initiator of the Voice RFQ receives priority to trade one more 

Tranche(s) offered by the Responder at the top of the RFQ stack. 

Subsequent trades in the work-up will be in individual tranches through the 

voice RFQ stack until interest at that price level is exhausted.

(iv) Any Order Book Order incorporated in the RFQ Stack in time priority will 

be filled in its entirety before another Responder is offered a tranche.

(v) All trades are entered into the vRFQ tool, with the exception of those 

executed on the Order Book, and reported to the SDR.

(vi) If there is any remaining unfilled interest, that Participant can request that 

the Execution Specialist initiate a new Voice RFQ and enter the Initiation 

into the RFQ Stack.
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TP ICAP Classification: Public

(h) Rejection of an Order.

(1) If after the expiration of the time period described in Rule 9000(f)(2), there is no 

acceptance from the Initiator or Responses are rejected, the Responses can, with 

the agreement of the Responder, become an Initiation of a Voice RFQ and be 

announced to the market.

(2) If there are no remaining Initiations, then the Interest Stack is used as a guide to the 

potential market prices.

(3) Counter requests by the Initiator are considered rejections of the Responses and 

new RFQ Initiations.
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TP ICAP Classification: Public

Appendix A to Rule 9000

tpSEF Inc.

Appendix A - Voice RFQ and Order Book Size

I. Voice RFQ

Market Size

All Contracts other than Butterflies Butterflies Only

Tenor USD (m) Tenor USD (m)

1y NA 1y 500

2y 200 2y 250

3y 150 3y 150

4y 100 4y 100

5y 100 5y 100

6y 85 6y 85

7y 75 7y 75

8y 75 8y 75

9y 50 9y 50

10y 50 10y 50

12y 50 12y 50

15y 50 15y 50

20y 35 20y 35

25y 25 25y 25

30y 25 30y 25

40y 20 40y 20

50y 15

Note: Tenor for a Butterfly is determined by 

subtracting the first leg from the second leg of the 

Butterfly (i.e. the first wing from the body).

Minimum Sizes

All Instruments

Instruments are set to a minimum of $5m including each leg of an instrument.

II. Order Book

Minimum Sizes

Outrights and Spread-Overs

USD instruments are set to the weighted value of $200m 1 year equivalent notional.

Strategies

Spreads and Switches are set to the far leg’s outright level.

Butterflies are set the same as two times body’s outright level.

Certain Strategies with a leg that is below 5m have their minimum size adjusted to ensure no leg is below this 

amount.
Mr. Christopher J. Kirkpatrick

October 29, 2020

EXHIBIT IV

List of Added Product

1. Equity Index Swaps -- S&P/TSX Composite Energy Index Total Return Swap 
Mr. Christopher J. Kirkpatrick

October 29, 2020

EXHIBIT V

tpSEF Rulebook – Appendix B (Clean)
tpSEF Inc. Rulebook

Appendix B

tpSEF Inc.

Swap Specifications

Effective October 28, 2020

ACTIVE 246164622
2

TABLE OF CONTENTS

Page

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

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

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

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

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

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

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

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

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

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

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

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

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

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions54

CDS Index Contracts – CMBX......................................................................................................57

CDS Index Contracts – iTraxx Australia.......................................................................................59

CDS Index Contracts – iTraxx Japan.............................................................................................61

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade) .....................63

CDS Index Contracts – MCDX Index ...........................................................................................64

Commodity Index Swaps...............................................................................................................66

Deliverable Foreign Exchange Options.........................................................................................71

Equity Index Swaps .......................................................................................................................75

Equity Index Variance Swaps........................................................................................................88

Equity Index Volatility Swaps.......................................................................................................91
3

Fixed for Floating Agricultural Swaptions....................................................................................94

Fixed for Floating Agricultural Swap Contracts............................................................................98

Fixed for Floating Interest Rate Swaps........................................................................................101

Fixed for Floating Interest Rate Swaptions .................................................................................124

Forward Rate Agreements (Uncleared) .......................................................................................140

Forward Rate Agreements – CME Cleared .................................................................................144

Forward Rate Agreements – LCH Cleared..................................................................................146

iBoxx Index Swaps......................................................................................................................148

Inflation Swaps ............................................................................................................................156

Interest Rate Caps/Floors.............................................................................................................161

Interest Rate Swaps – ASX Cleared ............................................................................................173

Interest Rate Swaps – Eurex Cleared...........................................................................................175

Interest Rate Swaps – JSCC Cleared ...........................................................................................178

IOS Index Contracts.....................................................................................................................180

MBX Index Contracts..................................................................................................................182

Municipal Market Data Rate Lock Transactions.........................................................................184

Natural Gas Date/Instrument Spread Contracts...........................................................................187

Natural Gas – Financial Basis Swap Contracts............................................................................189

Natural Gas – Fixed/Floating Swap Contracts.............................................................................191

Natural Gas – Swing Swap Contracts..........................................................................................192

Non-Deliverable Swaps...............................................................................................................194

Non-Deliverable Foreign Exchange Options...............................................................................203

Non-Deliverable Forward Foreign Exchange Contracts..............................................................207

PO Index Contracts......................................................................................................................209

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared ...................................211
4

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared ...................................213

U.S. Electricity – Fixed/Floating Swap Contracts.......................................................................215

USD Equity Basket Swap (Broad Based)....................................................................................229
Agricultural Options

5

Agricultural Options

Terms and Conditions

Summary: This covers uncleared agricultural options (“Agricultural 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which Agricultural Options may be 

traded are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Commodity: As specified by the parties from among the Available 

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

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

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

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

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

among the Available Business Day Conventions.

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

Option Styles.

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

Option Types.

Buyer: As specified by the parties.

Seller: As specified by the parties.

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

Commodity Reference Prices.

Business Day: As specified by the parties.

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

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

otherwise per the Commodity Definitions.

Strike Price per Unit: As specified by the parties.

Total Premium: As specified by the parties.

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

accordance with the Business Day Convention.

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

Business Days as the parties specify.

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

Business Day Conventions or otherwise per the 

Commodity Definitions.
Agricultural Options

6

Procedure for Exercise:

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

times on such days specified by the parties.

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties.

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

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

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

Written Confirmation: As specified by the parties.

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

Market Disruption:

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

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

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

Commodity Definitions.

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

Commodity Definitions.

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

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

Commodity Definitions.

Cash Settlement Terms:

Cash Settlement: Applicable

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

accordance with the Business Day Convention.

Calculation Agent: As agreed by the parties.

Agricultural Option Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Agricultural Options Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Agricultural Option Available Option Style

ISDA Name

American

European

Bermuda

Asian
Agricultural Options

7

Agricultural Options Available Commodity Reference Prices

ISDA Definitions

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

Exchange Definitions

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

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT

 

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

8

Basis Swaps

Terms and Conditions

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

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap may be traded are 

as specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of

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

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

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

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

and will apply unless the parties vary them.

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

variety of currencies. Since each national market has its 

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

Terms” may vary by currency.

In some cases, the same contract might have different 

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

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

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: None
Basis Swaps

9

Terms:

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

below) agreed by the parties.

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

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

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

Business Days.

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

Business Day Conventions.

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

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

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

Effective Date (“relativeTerminationDate”).

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

Business Day Conventions.

Floating Amount 1 (“FA1”):

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

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

FA1 Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

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

Calculation Period.

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

FA1 initial Floating Rate: As specified by the parties.

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

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

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

FA1 Shorter Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA1 Longer Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA1 Spread: As specified by the parties.

FA1 Day Count Fraction: As specified by the parties.

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

FA1 Method of Averaging: As specified by the parties.

FA1 Compounding: As specified by the parties.

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

parties.

FA1 Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

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

Business Days.

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

Business Day Conventions.

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

Business Days, subject to any Required Business Days

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

Business Day Conventions.

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

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

10

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

Business Day Conventions.

Floating Amount 2 (“FA2”):

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

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

FA2 Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

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

Calculation Period.

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

FA2 initial Floating Rate: As specified by the parties.

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

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

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

FA2 Shorter Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA2 Longer Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA2 Spread: As specified by the parties.

FA2 Day Count Fraction: As specified by the parties.

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

FA2 Method of Averaging: As specified by the parties.

FA2 Compounding: As specified by the parties.

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

parties.

FA2 Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

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

Business Days.

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

Business Day Conventions.

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

Business Days, subject to any Required Business Days.

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

Business Day Conventions.

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

Business Days, subject to any Required Business Days.

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

Business Day Conventions.

Mark-to-Market Currency Swap:

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

in different Currencies.

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

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

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

applicable. 

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

Initial Exchange:

Initial Exchange Date: As specified by the parties.

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

11

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

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

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

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

Final Exchanges:

Final Exchange Date: As specified by the parties.

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

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

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

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

terminate.

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

terminate.

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

terminate.

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

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

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

American.

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

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

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

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

or Bermuda.

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

Exercise is specified.

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

specified.

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

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

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

applicable to a single currency Transaction.

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

applicable to a cross currency Transaction whose 

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

Currency Settlement Matrix.

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

parties, directly or via the ISDA Settlement Matrix.

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

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

12

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

parties, directly or via the ISDA Settlement Matrix.

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

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

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

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

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

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

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

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

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

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

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

applicable.

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

parties.

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

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Basis Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

JPY Japanese Yen JPTO

MXN New Mexican Peso MXMC

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO
Basis Swaps

13

Basis Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Basis Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

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

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

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

Basis Default Effective Dates

Currency Default Effective Date

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

MXN Plus One Banking Day

CAD, GBP, ZAR Plus Zero

Basis Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

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

Basis Notional Amounts

Currency Minimum Increment Maximum Default

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

14

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

Basis Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

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

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

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

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

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

AUD-BBR-BBSY 

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

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

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

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

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

AUD-Quarterly Swap 

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

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

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

AUD-Semi-Annual 

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

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

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

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

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

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

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

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

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

CAD-ISDA-Swap 

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

15

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

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

Legs)

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

Legs)

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

Legs)

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

Legs)

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

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

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

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

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

CHF USD-Basis 

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

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

CHF-OIS-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

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

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

CLP-Unidad de 

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

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

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

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

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

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

16

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

DKNA13

DKK-CITADKNA14-

COMPOUND

All quoted tenors N/A Per ISDA 2006 N

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

EUR USD-Basis 

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

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-10:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-11:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

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

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

17

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

EUR-ISDAEURIBOR Swap 

Rate-11:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-12:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

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

EUR-ISDA-LIBOR 

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

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

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

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

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

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

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

EUR-TEC10-

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

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

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

EUR-TEC5-

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

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

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

18

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

Swaps-11:00-ICAP

GBP-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

GBP-Semi-Annual 

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

GBP-Semi-Annual 

Swap Rate-11:00-

ICAP

All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

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

GBP-WMBARONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

GBP-WMBASONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

HKD-ISDA-Swap 

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

HKD-ISDA-Swap 

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

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

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

19

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

4:00-BGCANTOR

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

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

JPY USD-Basis 

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

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

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

JPY-ISDA-Swap 

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

JPY-ISDA-Swap 

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

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

Legs)

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

Legs)

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

Legs)

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

Legs)

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

Legs)

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

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

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

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

JPY-TIBOR-TIBM 

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

JPY-TIBOR-TIBM 

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

JPY-TIBOR-TIBM 

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

JPY-TIBOR-TIBM 

(All Banks)-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

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

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

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

20

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

MXN-Unidades de 

Inversión (UDI) N/A N/A See below N

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

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

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

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

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

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

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

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

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

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

NZD-Swap RateICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

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

SEK-Annual Swap 

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

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

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

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

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

21

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

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

SGD-Semi-Annual 

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

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

SGD-SONAR-OISVWAPCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

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

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA 

Municipal Swap 

Index

All quoted tenors N/A Per ISDA 2006 N

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

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

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

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

22

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

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

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

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

USD-COF11-

FHLBSF All quoted tenors N/A Per ISDA 2006 N

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

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

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

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

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

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

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

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

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

USD-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

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

USD-ISDAFIX3-

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

USD-ISDAFIX3-

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

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

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

Legs)

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

Legs)

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

Legs)

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

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-

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

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

USD-OIS-3:00-

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

23

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

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

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

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

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

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

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

USD-SIFMA 

Municipal Swap 

Index

All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006

No

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

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

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

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

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

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

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

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

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

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

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

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

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

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

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

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

de Chile for such Reset Date.
Basis Swaps

24

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

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

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

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

the Calculation Agent shall determine the CLP-Unidad de Fomento 

(UF/CLF) for such day.

Definition of MXN-Unidades de Inversión (UDI)

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

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

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

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

such Reset Date.

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

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

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

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

Basis Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix Applicable (to Mark-to-Market 

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date
Basis Swaps

25

Final Exchange Date Business Day 

Convention:

Modified Following

Definition of USD-SOFR-COMPOUND

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

Prior to such date:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

were references to the FOMC Target Rate.

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

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

[∏(1+

SOFRi × ni

360 )

do

i=1

-1] ×

360

d

where:

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

relevant Calculation Period;

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

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

relevant Calculation Period;

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

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

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

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

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

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

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

26

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

on the Federal Reserve’s Website;

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

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

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

events:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Basis Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention:

Modified Following
Basis Swaps

27

Basis Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Basis Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement 

Matrix:

Applicable, if cross currency swap 

with currency pair included in 

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but one Valuation 

Business Day before 

Mandatory/Optional Early 

Termination Date for MXN and 

same day for CAD, GBP or DKK 

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

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks
Basis Swaps

28

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Basis Swaps – CME Cleared

29

Basis Swaps – CME Cleared

Terms and Conditions

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

(“basis”) swaps cleared by Chicago Mercantile 

Exchange Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap/CME Cleared may 

be traded are as specified in these terms and conditions 

and which incorporate the CME Rulebook, in particular 

Chapters 900 and 901 (and any successor provisions) 

and the CME Cleared IRS Product Scope (or any 

successor).

By electing to trade a Basis Swap/CME Cleared, 

participants are representing that they are familiar 

with the CME Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Basis

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

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

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

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

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

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

maximum tenor in the CME Rulebook.

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

30

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook.

Floating Rate Payer 1 Floating Rate Payer Payment 

Dates:

As per the CME Rulebook.

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

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

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

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

limited set of Designated Maturities than does the 

related rate source page.

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

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

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

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

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

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

Floating Rate Payer 2 Floating Rate Payer Payment 

Dates:

As per the CME Rulebook.

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

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

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

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

limited set of Designated Maturities than does the 

related rate source page.

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

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

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

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

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

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

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

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

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

CME Rulebook.

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

CME Rulebook.

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

CME Rulebook.
Basis Swaps – LCH Cleared

31

Basis Swaps – LCH Cleared

Terms and Conditions

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

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

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap/LCH Cleared may 

be traded are as specified in these terms and conditions 

and which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions).

By electing to trade a Basis Swap/LCH Cleared, 

participants are representing that they are familiar 

with the LCH Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. Be aware that the timing 

of effectiveness of amendments or supplements to the 

ISDA standards may vary between bilateral and 

LCH contracts, since the LCH may reserve the right 

to select when and how such changes become 

effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

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

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

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

maximum tenor in the LCH Rulebook.

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

the LCH Rulebook.

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

the LCH Rulebook.

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

the LCH Rulebook, which may limit the earliest or latest 

day on which such fees may be paid based on Currency 

or other factors.

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

32

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH 

Rulebook.

Floating Rate Payer 1: As determined by the parties.

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

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

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

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

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

limited set of Designated Maturities than does the 

related rate source page.

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

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

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

Floating Rate Payer 2: As determined by the parties.

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

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

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

which may provide a more limited list of available 

options than are available for a Currency than does the 

Definition Set.

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

limited set of Designated Maturities than does the 

related rate source page.

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

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

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

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

single method.

Withholding and Tax: As per the LCH Rulebook.

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

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

Swaptions

33

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

Swaptions

Terms and Conditions

Summary: This covers BRL CDI Deliverable and Non-Deliverable 

Interest Rate Swap Contracts and Physically-Settled 

Swaptions Thereon (the “Contracts”). 

Non-Deliverable Contracts are paid in USD, and 

Deliverable Contracts are paid in BRL.

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

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

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

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

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

and will apply unless the parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

(d) the Recommended EMTA-ISDA Market Practice for 

BRL CDI Non-Deliverable Interest Rate Swap 

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

Best Practices”)

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

2006 (the “NDF Template”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

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

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

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

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

Swaptions

34

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

Business Day Conventions.

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

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

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

Effective Date (“relativeTerminationDate”).

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

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only.

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties.

Termination Date Business Day Convention: Following

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

determined in accordance with the NDF Template, 

treating the Business Day preceding the day of 

calculation of the relevant Fixed Amount or Floating 

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

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

(BRL09) rate in the first instance.)

In the case of a Deliverable Contract, 1.0.

Fixed Amount:

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

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

specified by the parties.

If the parties do not specify a Notional Amount or a 

Trade Date Present Value Notional Amount but specify 

a Termination Date Future Value Notional Amount, then 

the Notional Amount will be the Trade Date present 

value of the Termination Date Future Value Notional 

Amount discounted at the Fixed Rate.

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

determined based on the Trade Date Present Value 

Notional Amount specified by them), subject to the 

Minimum Notional Amount and Increment specified 

below.

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

amount shall be subject to the Minimum Notional 

Amount and Increment implied by the Future Value 

Notional Amount.

Fixed Rate: As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal:

FX Factor × Notional Amount × (1 +Fixed Rate)

Calculation Days

252 ⁄

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

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

Day Count Fraction: 1/1

Floating Amount:

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

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

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

Swaptions

35

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

Notional Amount × Floating Rate

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

Floating Rate: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

FX Factor ×∏(1 + Relevant Ratej)

1

252 ⁄

N

j=1

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset 

Date

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

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

tenors.

Spread: Zero

Day Count Fraction: 1/1

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

Best Practices).

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

BR Business Days.

Floating Rate Payment Dates: The Termination Date.

Calculation Agent: As agreed by the parties.

Swaption Terms:

Option Style: European

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller’s Agent: As specified by the parties.

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

USD specified by the parties.

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

specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Dates: Following

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

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only.

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties.

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

Days.

Swaption Procedure for Exercise:

General: The parties may enter into swaptions with respect to 

which a BRL CDI Swap is the Underlying Swap 

Transaction.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Partial Exercise: As specified by the parties.

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

Swaptions

36

Date Future Value Notional Amount.

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

Date Future Value Notional Amount.

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

Date Future Value Notional Amount.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is 

applicable.

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

Swaption Settlement Terms:

Physical Settlement: Applicable

BRL CDI Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

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

otherwise declared a financial 

market holiday by the BM&F

BRL CDI Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

BRL CDI Floating Rate Options

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

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

DIOVER- EXTRA Group as published by CETIP (Câmara de 

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

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

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

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

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

not be taken into account.

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

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

Reset Date will be the overnight deposit rate published for such 

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

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

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

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

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

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

Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. If CDI for a Reset Date is not so determined 

by a CDI Reference Dealer Poll, BRL-CDI-Reference Dealers 
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

37

shall apply.

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

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

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

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

highest and lowest quotations will be disregarded and CDI for 

the relevant Reset Date will equal the arithmetic mean of the 

remaining quotations. If fewer than four such quotations are 

obtained from a poll, the Calculation Agent shall conduct 

additional such polls until four such quotations are obtained in 

any poll; provided that the Calculation Agent shall not conduct 

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

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

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

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

determined by a CDI Reference Dealer Poll.

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

the CDI market selected by the Calculation Agent.

BRL CDI Notionals

Currency Minimum 

(expressed as 

Termination Date 

Future Value 

Notional Amount)

Increment

(expressed as 

Termination Date 

Future Value 

Notional Amount)

Maximum Default

BRL (Termination 

Date Future Value 

Notional Amount)

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

BRL (Trade Date 

Present Value 

Notional Amount)

As implied by Termination Date Future Value Notional Amount

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

38

Bullion Options

Terms and Conditions

Summary: This covers uncleared bullion options (“Bullion 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which Bullion Options may be traded 

are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2000 ISDA Definitions

2005 ISDA Commodity Derivatives Definitions 

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

thereto.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Metals

ISDA OTC Sub-Product: Precious

ISDA OTC Transaction type: Option

ISDA OTC Settlement type: Cash or Physical

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Bullion: As specified by the parties from among the Available 

Bullion.

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

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

in the list of Available Bullion unless otherwise agreed 

by the parties.

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

Bullion Option Styles.

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

Bullion Option Types.

Bullion Option Seller: As specified by the parties.

Bullion Option Buyer: As specified by the parties.

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

one of the Available Currencies.

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

one of the Available Currencies.

Bullion Premium Payment Date: As specified by the parties.

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

Business Days as the parties specify.

Bullion Premium Payment Date Business Day 

Convention:

As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.

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

Definitions, save that the reference to “New York” 

therein shall be deemed to be a reference to the relevant 

financial center for the Applicable Currency in which the 

Bullion Strike Price is denominated.

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

otherwise per the Commodity Definitions.

Procedure for Exercise:
Bullion Options

39

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

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

For any other Bullion Option Style, the times on the 

Expiration Date or Potential Exercise Date specified by 

the parties.

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

by the parties.

Bullion Expiration Date: As specified by the parties.

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

parties.

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

Commodity Definitions, unless specified by the parties.

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

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

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

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

Settlement by Delivery is applicable, one percent of the 

Bullion Strike Price (as specified in Section 

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

other amount as specified by the parties.

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

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

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

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

Commodity Definitions) unless otherwise specified by 

the parties.

Written Confirmation: As specified by the parties.

Settlement: As specified by the parties from among the Available 

Settlement Types; provided, however, that Cash 

Settlement will only be available for Available 

Currencies for which it is specified as such.

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

Section 10.11 of the Commodity Definitions.

Market Disruption:

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

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

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

Commodity Definitions.

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

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

Commodity Definitions.

Provisions Relating to Cash Settlement:

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

Commodity Reference Price.

Bullion Transaction Settlement Date: As specified by the parties.

Provisions Relating to Settlement by Delivery:

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

below.

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

Negotiation is applicable.

Miscellaneous:

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

apply if specified by the parties, unless the Bullion 

Option Transaction is an Allocated Transaction. 
Bullion Options

40

Novation Netting: For Bullion Options subject to Settlement by Delivery 

and is not an Allocated Transaction, as agreed by the 

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

basis.

Calculation Agent: As agreed by the parties.

Bullion Option Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day 

Locations For Currency 

(FpML Codes)

Available Settlement 

Type

AUD Australian Dollar AUSY Physical Only

CHF Swiss Franc CHZU Physical Only

EUR Euro EUTA Cash or Physical

GBP Sterling GBLO Cash or Physical

JPY Japanese Yen JATO Physical Only

USD United States Dollars USNY Cash or Physical

Bullion Options Available Bullion Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Bullion Option Available Bullion Option Style

ISDA Name

American

European

Bermuda

Bullion Option Available Bullion Option Type

ISDA Name

Bullion Put Option

Bullion Call Option

Bermuda

Bullion Options Available Bullion

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

Metal Ounce Delivery Loco/Rules

Gold Fine troy ounce London/LBMA

Palladium Troy ounce Zurich/LPPM or London/LPPM

Platinum Troy ounce Zurich/LPPM or London/LPPM

Silver Troy ounce London/LBMA

ISDA Definition

GOLD-A.M. FIX

GOLD-P.M. FIX

PALLADIUM-A.M. FIX
Bullion Options

41

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

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

reference to the relevant Available Currency.

PALLADIUM-P.M. FIX

PLATINUM-A.M. FIX

PLATINUM-P.M. FIX

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

42

CDS – ABX Indices (Broad Based) Contracts

Terms and Conditions

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

indices (“CDS – ABX Indices (Broad Based) 

Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which CDS – ABX Indices (Broad 

Based) Contracts may be traded are shown below or in 

the attached table(s) or the Relevant Annexes 

promulgated by the index sponsor and referenced below 

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

may be amended from time to time by the Index 

Sponsor.

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2003 ISDA Credit Derivatives Definitions, as 

published by the International Swaps and Derivatives 

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

NOT including supplements thereto; and

(b) the ABX Transactions Standard Terms Supplement, 

as published by CDS IndexCo LLC on July 19, 2006 

(the “ABX Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: ABX

ISDA OTC Transaction type: ABX.HE

Further Limitations: None

Terms:

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

Available ABX Indices.

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

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

Available ABX Indices.

Trade Date: As agreed by the parties.

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

parties).

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

in the Relevant Annex.

Floating Rate Payer: As specified by the parties.

Fixed Rate Payer: As specified by the parties.

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

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

Coupon” as specified for the applicable Index on the 

Relevant Annex.

Initial Payment Payer: As selected by the parties.

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

43

the contrary contained in the ABX Standard Terms, the 

Initial Payment Amount shall be paid by the Initial 

Payment Payer on the date that is three Business Days 

following the Trade Date, unless otherwise specified by 

the parties.

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

Index Relevant Annex

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

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

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

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

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

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

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

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

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

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

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

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

44

CDS Index Contract – Emerging Markets Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – Emerging Markets 

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

buy or sell protection on a broad-based basket of 

emerging markets sovereign entities.

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

Index is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

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

bps and exchanged on a quarterly basis.

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

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

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

and the final payment occurs.

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

Inc.:

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Little Bang Protocols). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

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

the Index on the terms described herein.

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

expiration.

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

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

45

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

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

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

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

46

CDS Index Contract – European Crossover 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European Crossover 

5Y Swaps and Swaptions”. The European Crossover 

index comprises 50 equally weighted credit default 

swaps on the most liquid sub-investment grade European 

corporate entities.

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

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of 500 

bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

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

and the final payment occurs.

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

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

the Index on the terms described herein.

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

expiration.

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

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

47

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

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

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

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

48

CDS Index Contract – European HiVol 5Y Swaps and Swaptions

Terms and Conditions

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

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

protection on a basket comprised of 30 equally weighted 

credit default swaps on the widest spread non-financial 

European corporate entities.

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

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

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

and the final payment occurs.

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

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

the Index on the terms described herein.

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

expiration.

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

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

49

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

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

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

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

50

CDS Index Contract – European IG 5Y Swaps and Swaptions

Terms and Conditions

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

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

protection on a basket of liquid European based entities 

with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 10 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

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

and the final payment occurs.

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

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

the Index on the terms described herein.

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

expiration.

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

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

51

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

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

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

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

52

CDS Index Contract – European IG 10Y Swaps and Swaptions

Terms and Conditions

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

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

protection on a basket of liquid European based entities 

with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 7 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: 10Y

Effective Date: The date on which parties begin calculating accrued

obligations such as fixed payments. Also known as the 

start date of the swap.

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

and the final payment occurs.

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

Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees and 

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

Protocol). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

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

the Index on the terms described herein.

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

expiration.

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – European IG 10Y Swaps and Swaptions

53

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

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

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades 

will convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is 

the SEFs understanding that the DCOs will be 

converting all trades to the 2014 definitions, with 

individual component excluded as describe above. 

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

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

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

54

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

Terms and Conditions

Contract Overview: An agreement to buy or sell protection on a basket of 

liquid North America based entities with a high yield 

credit rating (CDX.NA.HY, CDX.NA.HY.B and 

CDX.NA.HY.BB) or an investment grade credit rating 

(CDX.NA.IG).

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

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

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

CDX.NA.IG: Series 8 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Credit events include Bankruptcy, Failure to Pay and 

Restructuring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

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

on price.

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

traded on spread.

Swap Conventions: For CDX.NA.HY, CDX.NA.HY.B and 

CDX.NA.HY.BB, fixed coupon payments are calculated 

at a spread of 500 bps and exchanged on a quarterly 

basis.

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

at a spread of 100 bps and exchanged on a quarterly 

basis.

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

parties.

Tranching: Transactions may have only one tranche, where all 

losses are allocated to the protection seller, starting with 

the first dollar of loss and ending only when the entire 

notional of the transaction has been exhausted or the 

Transaction itself expires.

Transactions may also be tranched in a way in which 

losses are allocated to the protection seller only after a 

certain amount of losses have occurred on the Index (the 

“attachment point”) and cease being allocated to the 

protection seller after a certain additional amount of 

losses have occurred on the Index (the “detachment 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

55

point”).

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

CDX.NA.HY.B or CDX.NA.HY.BB, the tranches 

include:

Attachment Point Detachment Point

0 10%

0 15%

10% 15%

15% 25%

25% 35%

35% 100%

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

the tranches include:

Attachment Point Detachment Point

0 3%

3% 7%

7% 10%

7% 15%

10% 15%

15% 30%

15% 100%

In addition to the customary tranches enumerated above, 

the parties may agree to custom attachment and 

detachment points.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

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

and the final payment occurs.

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

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the relevant 

ISDA Definitions (see below). 

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

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

payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

56

to the seller.

Swaptions on the Above

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

each of the CDX.NA.HY, CDX.NA.HY.B, 

CDX.NA.HY.BB and CDX.NA.IG on the terms 

described herein.

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

expiration.

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

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

Tranching: Swaptions may be written on tranched or untranched 

transactions.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions)

2014/2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: IHS Markit Ltd, which sponsors the Index, has 

published information on treatment of both legacy and 

future indices.

The parties should consult IHS Markit Ltd’s 

documentation to determine the exact treatment. It is the 

SEF’s understanding that, in general, all CDS index 

trades will convert to the 2014 Definitions, with 

individual components being excluded if they would be 

impacted by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by the 

parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting all 

trades to the 2014 definitions, with individual 

component excluded as describe above. 

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

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contracts – CMBX

57

CDS Index Contracts – CMBX

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “CMBX Indices” (“CDS Index Contracts –

CMBX”). The terms under which CDS Index Contracts 

– CMBX may be traded are shown below.

Contract Overview: An agreement to buy or sell protection on one of the IHS 

Markit Ltd CMBX Indices listed under the heading 

“Index” immediately below. Each such index is 

composed of twenty-five (25) equally-weighted 

reference obligations that are tranches of commercial 

mortgage-backed securities offerings that meet the 

relevant eligibility criteria published by IHS Markit Ltd 

from time to time.

Index: CMBX.NA.AAA: Series 6 to current.

CMBX.NA.AS: Series 6 to current.

CMBX.NA.AA: Series 6 to current.

CMBX.NA.A: Series 6 to current.

CMBX.NA.BBB-: Series 6 to current.

CMBX.NA.BB: Series 6 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

premium to the seller and receives a payment from the 

seller of protection in the case of a credit event 

occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer and 

makes a payment to the buyer of protection in the case of 

a credit event occurring. The Seller owns the credit risk 

of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at the applicable 

spread specified below:

• CMBX.NA.AAA: 50 bps 

• CMBX.NA.AS: 100 bps

• CMBX.NA.AA: 150 bps

• CMBX.NA.A: 200 bps

• CMBX.NA.BBB-: 300 bps

• CMBX.NA.BB: 500 bps

Fixed coupon payments are exchanged on a monthly

basis.
CDS Index Contracts – CMBX

58

Swap Tenor: As agreed by counterparties, subject to applicable law.

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

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

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

which the obligations no longer accrue and the final 

payment occurs.

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

Inc.:

• Outrights

• Roll Trades

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. 

Such payments are paid by the protection seller to the 

protection buyer.

Fixed Monthly Cash Payments: Reflected in basis points 

and paid by the protection buyer to the protection seller.

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

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

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

59

CDS Index Contracts – iTraxx Australia

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

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

Contracts – iTraxx Australia”). The terms under which 

CDS Index Contracts – iTraxx Australia may be traded 

are shown below.

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

composed of twenty five (25) liquid Australian entities 

with investment grade credit ratings that trade in the 

CDS market or have significant domestic bond issuance

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

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

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

The indices are traded on spread.

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

bps and exchanged on a quarterly basis.

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

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

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

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

which the obligations no longer accrue and the final 

payment occurs.

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

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.
CDS Index Contracts – iTraxx Australia

60

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

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

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

61

CDS Index Contracts – iTraxx Japan

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

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

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

Index Contracts – iTraxx Japan may be traded are shown 

below.

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

composed of forty (40) Japanese entities with investment 

grade credit ratings that trade in the CDS market as 

published by IHS Markit Ltd. from time to time.

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

Currency: JPY

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

The indices are traded on spread.

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

bps and exchanged on a quarterly basis.

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

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

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

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

which the obligations no longer accrue and the final 

payment occurs.

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

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.

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

62

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

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

63

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

Terms and Conditions

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

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

agreement to buy or sell protection on a broad-based 

basket of investment grade Asian corporate and 

sovereign/agency issuers (excluding Japanese issuers).

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

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

is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

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

bps and exchanged on a quarterly basis.

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

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

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

and the final payment occurs.

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

Inc.:

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2003 

ISDA Credit Derivatives Definitions, as modified by the 

2009 ISDA Credit Derivatives Determination 

Committees and Auction Settlement Supplement (i.e., 

the Big Bang and Little Bang Protocols) and the ISDA 

2014 Credit Derivatives Protocol (for Series 21 and 

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

later).

Fixed Quarterly cash payments - reflected in basis points 

and paid by the protection buyer to the protection seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.
CDS Index Contracts – MCDX Index

64

CDS Index Contracts – MCDX Index

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

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

MCDX Index”). The terms under which CDS Index 

Contracts – MCDX Index may be traded are shown 

below.

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

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

municipal credits.

Beginning with MCDX.NA Series 31 in October 2018, 

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

index composed of twenty (20) municipal credits.

Index: MCDX: all series

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

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

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

Credit events include “Bankruptcy” and “Failure to 

Pay.”

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

MCDX indices are traded on spread.

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

bps coupon and exchanged on a quarterly basis at 75% 

recovery.

Swap Tenor: 3 years, 5 years, 10 years

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

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

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

which the obligations no longer accrue and the final 

payment occurs.

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

Inc.:

• Outrights

• Roll Trades

• Curve Trades
CDS Index Contracts – MCDX Index

65

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2003 ISDA 

Credit Derivatives Definitions, as modified by the 2009 

ISDA Credit Derivatives Determinations Committees 

and Auction Settlement Supplement thereto.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.

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

payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the 

seller.
Commodity Index Swaps

66

Commodity Index Swaps

Terms and Conditions

Summary: This covers commodity index swaps (each, a 

“Commodity Index Swap”).

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Index

ISDA OTC Transaction type: Swap

ISDA OTC Settlement type: Cash

Terms:

Trade Date: The date on which the contract is entered into.

Effective Date: As specified by the parties.

Termination Date: As specified by the parties.

Commodity: The index specified by the parties from among the 

indices listed in the table below titled “Commodity Index 

Swap Available Indices.”

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

Period.

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

Basis.

Calculation Periods: As specified by the parties.

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

parties.

Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

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

Floating Amount:

Floating Price Payer: As specified by the parties.

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

specified Available Commodity Index at the end of the 

such Calculation Period less the level of the specified 

Available Commodity Index at the start of the such 

Calculation Period, the result of which is divided by the 

level of the specified Available Commodity Index at the 

start of the such Calculation Period.

Market Disruption:

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

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

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

Commodity Definitions.

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

Commodity Definitions.

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

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

Commodity Definitions.
Commodity Index Swaps

67

Minimum and Incremental Price: The minimum price is $10,000,000 and the minimum 

incremental price is $1,000,000.

Calculation Agent: As agreed by the parties.

Commodity Index Swap Available Commodity Indices

Abbr Name

BCOM BCOM ER

BCOMF1 BCOM F1 ER

BCOMF2 BCOM F2 ER

BCOMF3 BCOM F3 ER

BCOMF4 BCOM F4 ER

BCOMF5 BCOM F5 ER

BCOMF6 BCOM F6 ER

BCOMAG BCOM Agriculture ER

BCOMEN BCOM Energy ER

BCOMGR BCOM Grains ER

BCOMIN BCOM Industrial Metals ER

BCOMLI BCOM Livestock ER

BCOMPE BCOM Petroleum ER

BCOMPR BCOM Precious Metals ER

BCOMSO BCOM Softs ER

BCOMXAG BCOM ex-Agriculture ER

BCOMXAL BCOM ex-Agriculture and Livestock ER

BCOMXE BCOM ex-Energy ER

BCOMXGR BCOM ex-Grains ER

BCOMXIM BCOM ex-Industrial Metals ER

BCOMXLI BCOM ex-Livestock ER

BCOMXPE BCOM ex-Petroleum ER

BCOMXPM BCOM ex-Precious Metals ER

BCOMXSO BCOM ex-Softs ER

BCOMAL BCOM Aluminum ER

BCOMCO BCOM Brent Crude ER

BCOMCC BCOM Cocoa ER

BCOMKC BCOM Coffee ER

BCOMHG BCOM Copper ER

BCOMCN BCOM Corn ER

BCOMCT BCOM Cotton ER

BCOMFC BCOM Feeder Cattle ER

BCOMGO BCOM Gas Oil ER

BCOMGC BCOM Gold ER

BCOMHO BCOM Heating Oil ER

BCOMPB BCOM Lead ER

BCOMLH BCOM Lean Hogs ER

BCOMLC BCOM Live Cattle ER
Commodity Index Swaps

68

Abbr Name

BCOMNG BCOM Natural Gas ER

BCOMNI BCOM Nickel ER

BCOMOJ BCOM Orange Juice ER

BCOMPA BCOM Palladium ER

BCOMPL BCOM Platinum ER

BCOMSI BCOM Silver ER

BCOMSM BCOM Soybean Meal ER

BCOMSM1 Bloomberg Soybean Meal Subindex 1 Month Forward

BCOMBO BCOM Soybean Oil ER

BCOMSY BCOM Soybeans ER

BCOMSB BCOM Sugar ER

BCOMSN BCOM Tin ER

BCOMRB BCOM Unleaded Gas ER

BCOMWH BCOM Wheat ER

BCOMKW BCOM Kansas Wheat ER

BCOMCL BCOM WTI Crude Oil ER

BCOMZS BCOM Zinc ER

BCOMAU BCOM AUD ER

BCOMEU BCOM EUR ER

BCOMGB BCOM GBP ER

BCOMCH BCOM CHF ER

BCOMJY BCOM JPY ER

BCOMALC BCOM Aluminum Capped ER

BCOMKCC BCOM Coffee Capped ER

BCOMHGC BCOM Copper Capped ER

BCOMCLC BCOM WTI Crude Oil Capped ER

BCOMCNC BCOM Corn Capped ER

BCOMLCC BCOM Cattle Capped ER

BCOMCTC BCOM Cotton Capped ER

BCOMGCC BCOM Gold Capped ER

BCOMLHC BCOM Lean Hogs Capped ER

BCOMHOC BCOM Heating Oil Capped ER

BCOMKWC BCOM Kansas Wheat Capped ER

BCOMCOC BCOM Brent Crude Capped ER

BCOMNGC BCOM Natural Gas Capped ER

BCOMNIC BCOM Nickel Capped ER

BCOMSYC BCOM Soybeans Capped ER

BCOMBOC BCOM Soybean Oil Capped ER

BCOMSIC BCOM Silver Capped ER

BCOMSBC BCOM Sugar Capped ER

BCOMSMC BCOM Soybean Meal Capped ER

BCOMRBC BCOM Unleaded Gas Capped ER
Commodity Index Swaps

69

Abbr Name

BCOMWHC BCOM Wheat Capped ER

BCOMZSC BCOM Zinc Capped ER

BCOMTR BCOM TR

BCOMF1T BCOM F1 TR

BCOMF2T BCOM F2 TR

BCOMF3T BCOM F3 TR

BCOMF4T BCOM F4 TR

BCOMF5T BCOM F5 TR

BCOMF6T BCOM F6 TR

BCOMRS BCOM Roll Select

DJCICN Dow Jones Commodity Index Corn

DJCISB Dow Jones Commodity Index Sugar

DJCILC Dow Jones Commodity Index Live Cattle

DJCIAW Dow Jones Commodity Index All Wheat

SPGCCI S&P GSCI

SPGCBO S&P GSCI Soybean Oil

SPGCBR S&P GSCI Brent Crude

SPGCCC S&P GSCI Cocoa

SPGCCL S&P GSCI Crude Oil

SPGCCN S&P GSCI Corn

SPGCCT S&P GSCI Cotton

SPGCFC S&P GSCI Feeder Cattle

SPGCGC S&P GSCI Gold

SPGCGO S&P GSCI Gasoline

SPGCHG S&P GSCI North American Copper

SPGCHO S&P GSCI Heating Oil

SPGCHU S&P GSCI Unleaded Gasoline

SPGCIA S&P GSCI Aluminum

SPGCIC S&P GSCI Copper

SPGCIK S&P GSCI Nickel

SPGCIL S&P GSCI Lead

SPGCIN S&P GSCI Industrial Metals

SPGCIZ S&P GSCI Zinc

SPGCKC S&P GSCI Coffee

SPGCKW S&P GSCI Kansas Wheat

SPGCLC S&P GSCI Live Cattle

SPGCLH S&P GSCI Lean Hogs

SPGCNG S&P GSCI Natural Gas

SPGCPA S&P GSCI Palladium

SPGCPL S&P GSCI Platinum

SPGCSB S&P GSCI Sugar

SPGCSI S&P GSCI Silver
Commodity Index Swaps

70

Abbr Name

SPGCSO S&P GSCI Soybeans

SPGCWH S&P GSCI Wheat

SPGSES S&P GSCI Enhanced Commodity

SPGSSM S&P GSCI Soybean Meal

SPGCCIP S&P GSCI ER

SPGCBRP S&P GSCI Brent Crude ER

SPGCCCP S&P GSCI Cocoa ER

SPGCCLP S&P GSCI Crude Oil ER

SPGCCNP S&P GSCI Corn ER

SPGCCTP S&P GSCI Cotton ER

SPGCENP S&P GSCI Energy ER

SPGCFCP S&P GSCI Feeder Cattle ER

SPGCGCP S&P GSCI Gold ER

SPGCGOP S&P GSCI Gasoil ER

SPGCHGP S&P GSCI North American Copper ER

SPGCHOP S&P GSCI Heating Oil ER

SPGCHUP S&P GSCI Unleaded Gasoline ER

SPGCIAP S&P GSCI Aluminum ER

SPGCICP S&P GSCI Copper ER

SPGCIKP S&P GSCI Nickel ER

SPGCILP S&P GSCI Lead ER

SPGCINP S&P GSCI Industrial Metals ER

SPGCNGP S&P GSCI Natural Gas ER

SG3MCI S&P GSCI 3 Month Forward
Deliverable Foreign Exchange Options

71

Deliverable Foreign Exchange Options

Terms and Conditions

Summary: This covers “Deliverable Foreign Exchange Options”.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards:

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”); 

and

(b) ISDA OTC Taxonomies.

Contract Types: Each Deliverable Foreign Exchange Option traded is 

bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge. 

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Vanilla Option, Simple Exotic or Complex Exotic

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties.

Commencement Date: The Trade Date, unless otherwise specified by the parties. 

This applies only where the Currency Option Style is 

American.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Currency Option Style: As specified by the parties.

(An American option can be exercised any time up to and 

including the Expiration Date; a European option can 

only be exercised on the Expiration Date.)

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a binary 
Deliverable Foreign Exchange Options

72

or digital option.

Call Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price.

Put Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price.

Strike Price: As specified by the parties (if only one of the Put 

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions.

Settlement Rate Option: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

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

Settlement: Deliverable or Cash Settlement

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier Event: As specified by the parties.
Deliverable Foreign Exchange Options

73

Calculation Agent: As specified by the parties.

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions.

Deliverable Foreign Exchange Option Available Currency Pairs

AUD/CAD CNH/AUD EUR/SAR JPY/CNH THB/HKD

AUD/CHF CNH/CAD EUR/SEK JPY/HKD THB/JPY

AUD/CNH CNH/EUR EUR/SGD JPY/SGD THB/NZD

AUD/HKD CNH/GBP EUR/THB JPY/THB THB/SGD

AUD/JPY CNH/HKD EUR/TRY MXN/JPY TRY/JPY

AUD/MXN CNH/JPY EUR/USD NOK/JPY USD/AED

AUD/NOK CNH/NZD EUR/ZAR NOK/SEK USD/BHD

AUD/NZD CNH/SGD GBP/AUD NZD/CAD USD/CAD

AUD/SEK CNH/THB GBP/CAD NZD/CHF USD/CHF

AUD/SGD EUR/AED GBP/CHF NZD/CNH USD/CNH

AUD/THB EUR/AUD GBP/CNH NZD/HKD USD/CZK

AUD/USD EUR/BHD GBP/HKD NZD/JPY USD/DKK

AUD/ZAR EUR/CAD GBP/JPY NZD/NOK USD/HKD

CAD/CHF EUR/CHF GBP/MXN NZD/SEK USD/HUF

CAD/CNH EUR/CNH GBP/NOK NZD/SGD USD/ILS

CAD/HKD EUR/CZK GBP/NZD NZD/THB USD/ISK

CAD/JPY EUR/DKK GBP/SEK NZD/USD USD/JPY

CAD/MXN EUR/GBP GBP/SGD SEK/JPY USD/KWD

CAD/NOK EUR/HKD GBP/THB SGD/AUD USD/MXN

CAD/SEK EUR/HUF GBP/TRY SGD/CAD USD/NOK

CAD/SGD EUR/ILS GBP/USD SGD/CNH USD/OMR

CAD/THB EUR/ISK GBP/ZAR SGD/EUR USD/PLN

CHF/CNH EUR/JPY HKD/AUD SGD/GBP USD/QAR

CHF/HKD EUR/KWD HKD/CAD SGD/HKD USD/RON

CHF/JPY EUR/MXN HKD/CHF SGD/JPY USD/RUB

CHF/MXN EUR/NOK HKD/CNH SGD/NZD USD/SAR

CHF/NOK EUR/NZD HKD/EUR SGD/THB USD/SEK
Deliverable Foreign Exchange Options

74

CHF/PLN EUR/OMR HKD/GBP THB/AUD USD/SGD

CHF/SEK EUR/PLN HKD/JPY THB/CHF USD/THB

CHF/SGD EUR/QAR HKD/NZD THB/CNH USD/TRY

CHF/THB EUR/RON HKD/SGD THB/EUR USD/ZAR

CHF/TRY EUR/RUB HKD/THB THB/GBP ZAR/JPY
Equity Index Swaps

75

Equity Index Swaps

Terms and Conditions

Summary: This covers equity index swaps (each, an “Equity Index 

Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Swap may be 

traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

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

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

and will apply unless the parties vary them.

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

variety of currencies. Since each national market has its 

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

Terms” may vary by currency.

In some cases, the same contract might have different 

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

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

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions (“Equity 

Definitions”)

(c) Annex IS to 2009 Americas Master Equity 

Derivatives Confirmation, to 2007 European Master 

Equity Derivatives Confirmation Agreement (for EMEA 

indices, as indicated on the Equity Index Available 

Indices attached) or to Second Revised 2005 AEJ 

Interdealer Master Equity Derivatives Confirmation 

Agreement (for AEJ indices, as indicated on the Equity 

Index Available Indices attached)

(d) the Revised ISDA AEJ Reference Price Source 
Equity Index Swaps

76

Matrix (June 25, 2009, or as updated effective prior to 

the Trade Date) (“AEJ Source”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Strike Date: For a Forward Starting Transaction, as agreed by the 

parties (only for EMEA Indices).

Forward Starting: As per Annex IS (only for EMEA Indices).

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

below) agreed by the parties.

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

accordance with any applicable Business Day 

Convention, or (ii) in the case of AEJ Indices, per Annex 

IS.

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

Business Days (except for AEJ Indices).

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

Business Day Conventions (except for AEJ Indices).

Termination Date (“terminationDate”): Per Annex IS, unless otherwise specified by the parties.

Index: As specified by the parties from among the Available 

Indices.

Number of Index Units: As specified by the parties or, if not so specified, 

determined by Annex IS (except for AEJ Indices).

Index Unit: Per Annex IS (except for AEJ Indices and EMEA 

Indices).

Exchange(s): (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Multiple Exchange Index Annex/Component Security 

Index Annex:

Per Annex IS (EMEA Indices only).

Related Exchanges: (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Hedging Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Determining Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Equity Amounts:

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

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: As per Annex IS.

Type of Return: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless specified by the parties.

Initial Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Initial Price: As specified by the parties and (other than in the case of 

AEJ Indices) adjusted in accordance with Annex IS.
Equity Index Swaps

77

Final Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Final Price: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Time: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Dates: As specified by the parties.

Averaging Dates: In the case of AEJ Indices, as and if specified by the 

parties.

Floating Amount:

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

Notional Amount (“notionalAmount”): (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Payment Dates: As per Annex IS, unless otherwise specified by the 

parties.

Initial Floating Rate: As specified by the parties.

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

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

Linear Interpolation: For the Calculation Periods specified by the parties to the 

extent permitted by Annex IS.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As per Annex IS.

Payment Dates Business Days: As per Annex IS.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment Dates): As per Annex IS, unless otherwise specified by the 

parties.

Compounding: As specified by the parties (EMEA Indices only).

Compounding Dates: As specified by the parties if Compounding is applicable 

(EMEA Indices only).

Futures Price Valuation:

Futures Price Valuation: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties or, if not so specified, per the Equity 

Definitions.

Exchange-traded Contract: As specified in the Transaction Supplement.

Adjustment to Section 6.8 of the Equity Definitions: As per Annex IS (other than in the case of AEJ Indices).

Settlement Terms:

Cash Settlement: As per Annex IS.

Settlement Currency: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties.

FX Rate: As agreed by the parties or as specified by the parties 

from among the Available FX Rates.
Equity Index Swaps

78

Dividends:

Dividend Payment Date(s): If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as agreed by the parties or, absent such 

agreement, per the Equity Definitions.

Dividend Period: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Dividend Amount: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Relevant Dividend: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Reinvestment of Dividends: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties.

Dividend Recovery: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Declared Cash Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, (ii) in the case of 

AEJ Indices, as and if agreed by the parties, or (iii) in the 

case of EMEA Indices, as agreed by the parties.

Declared Cash Equivalent Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as and if agreed by the parties.

Index Adjustment Events:

Index Cancellation: As per Annex IS.

Index Modification: As per Annex IS.

Index Disruption: As per Annex IS.

Additional Disruption Events:

Change in Law: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS unless otherwise agreed by the parties.

Insolvency Filing: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties or, absent such agreement, per the 

Equity Definitions.

Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS (as applicable to the relevant country of 

underlier) unless otherwise agreed by the parties.

Increased Cost of Hedging: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Consequences of Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Loss of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.
Equity Index Swaps

79

Increased Cost of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Cancellation Amount: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Non-Reliance: As per Annex IS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IS.

Additional Acknowledgements: As per Annex IS.

Index Disclaimer: As per Annex IS.

Optional Early Termination: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, inapplicable.

Break Funding Recovery: If Optional Early Termination is applicable, as specified 

by the parties.

Break Fee: As specified by the parties in the case of EMEA Indices.

Calculation Agent: (i) As agreed by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless otherwise agreed by the 

parties.

Equity Index Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

JPY Japanese Yen JPTO

KRW Korean Won KRSE

SEK Swedish Krona SEST

USD United States Dollars USNY

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices

Abbr Name

AEX AEX Index (EMEA)

AMZX Alerian MLP Index Total Return

AMZIXVWAP Alerian MLP Infrastructure Index Total Return VWAP

AS51 S&P/ASX 200 (AEJ)

BEL20 BEL20 Index (EMEA)

CAC Cotation Assistée en Continu 40 (EMEA)
Equity Index Swaps

80

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

EWTRGSPC REUTERS – REU - S&P EW 500 INDEX

FTSEMIB FTSE MIB Index (EMEA)

GCUDCA MSCI Daily TR Gross Small Cap Canada USD

GCUDUS MSCI Daily Total Return Gross Small Cap USA USD

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUCA MSCI Canada Index USD Daily Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ)

HSI Hang Seng Index (AEJ)

IBEX IBEX 35 Index(EMEA)

IBOV BOVESPA Index

IXBTR S&P 500 Material Select Sector Total Return

IXCPR Communication Services Select Sector Index

IXCTR Communication Services Select Sector Index TR

IXETR S&P 500 Energy Select Sector Total Return

IXITR S&P 500 Industrials Select Sector Total Return

IXMTR S&P 500 Financials Select Sector Total Return

IXRTR S&P 500 Consumer Staples Select Sector Total Return

IXTTR S&P 500 Technology Select Sector Total Return

IXUTR S&P 500 Utilities Select Sector Total Return

IXVTR S&P 500 Health Care Select Sector Total Return

IXYTR S&P 500 Consumer Discretionary Select Sector Total Return

KOSPI Korea Composite Stock Price Index (AEJ)

M1CNA MSCI China A Inclusion USD Index (Net)

MEXBOL Mexican IPC Index (Indice de Precios y Cotizaciones)

MSLUELAN MSCI Emerging Markets Latin America Small Cap Index (USD) (Net Dividends)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUEAFE MSCI EAFE Net Total Return USD Index

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDDUJN MSCI Japan Index Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDEUSPR MSCI Peru Index Total Return (Net Dividends)

NDUEBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

OEXT S&P 100 Total Return

OMX OMX Stockholm 30 (EMEA)

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return
Equity Index Swaps

81

SP5LVIT S&P 500 Low Volatility Total Return Index

SPSIBITR S&P Biotechnology Select Industry Total Return Index

SPSIOP S&P Oil & Gas Exploration & Production Select Industry Index

SPTRCOND S&P 500 Consumer Discretionary Sector Total Return Index

SPTRCONS S&P 500 Consumer Staples Sector Total Return Index

SPTRENRS S&P 500 Energy Sector Total Return Index

SPTRFINL S&P 500 Financials Sector Total Return Index

SPTRHLTH S&P 500 Health Care Sector Total Return Index

SPTRINDU S&P 500 Industrials Sector Total Return Index

SPTRMATR S&P 500 Materials Sector Total Return Index

SPTRMDCP S&P MidCap 400 Total Return

SPTRRLST S&P 500 Real Estate Sector Total Return Index

SPTRSMCP S&P SmallCap 600 Total Return

SPTRSVX S&P 500 Value Total Return Index

SPTRUTIL S&P 500 Utilities Sector Total Return Index

SPXT S&P 500 Total Return

STENRSR S&P/TSX Composite Energy Index Total Return Swap

SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return

XSOX PHLX Semiconductor Sector Index Total Return

Equity Index Available FX Rates

Currency Pair Available FX Rates

KRW/USD BB: The rate implied by sourcing the Index on 

Bloomberg via “KOSPI>USD>GO”

ISDA: The rate determined in accordance with the AEJ 

Source

Equity Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

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

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

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

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

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

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A
Equity Index Swaps

82

Equity Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

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

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

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

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

AUD-BBR-BBSW-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY (BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-SwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

83

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-Annual Swap Rate-10:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-AVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUNDBloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-Swap-Index All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

84

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDC-COMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis Swaps-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-ATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

85

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

Rate-11:00-BGCANTOR

HKD-Quarterly-Annual Swap 

Rate-4:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-MUTANCALL-TONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks)-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

KRW-Quarterly Annual Swap 

Rate-3:30-ICAP 3M N/A Per ISDA 2006 N

KRW-Bond-3222 3M N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

86

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

SEK-Annual Swap Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap Rate-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference BanksICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Equity Index Swaps

87

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SOFR-Compound N/A N/A N/A N

USD-SIFMA Municipal Swap 

Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-Secondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-ICAP 

BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T500 All quoted tenors N/A Per ISDA 2006 N

Equity Index Requirements and Defaults

Date Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
Equity Index Variance Swaps

88

Equity Index Variance Swaps

Terms and Conditions

Summary/Contract Description: This covers equity index variance swaps (each, an 

“Equity Index Variance Swap”). An Equity Index 

Variance Swap is a product used to hedge or take a direct 

view on the volatility of an underlying equity index by 

paying or receiving an amount based on the difference 

between the actual realized variance of an index over the 

life of the contract and the variance strike price agreed at 

contract inception.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Variance

ISDA OTC Transaction type: Single Index

Available Underlying Indices: The index specified by the parties from among the 

indices listed in the table below titled “Equity Index 

Variance Swap Available Indices.”

Contract Size: The contracts are quoted in “Vega” amounts. The 

minimum contract size is 1,000 of the currency of which 

the underlying index settles in.

Quoting Convention: The contracts are quoted in volatility percentage points.

Leg Conventions: Floating Leg Rate – The realized variance rate that is 

calculated on the Expiration Date.

Fixed Leg Rate – The agreed fixed rate of variance 

(Traded Price).

Tenor: Tenors of any duration greater than 0 years and less than 

50 years.

Trade Types: Capped – the maximum payout of the contract is capped 

at an agreed price.

Uncapped – there is no maximum payout on the contract.

Trade Start Types: Immediate – the observation period of the contract

begins on the Trade Date.

Forward – the observation period of the contract begins 

on an agreed-upon date after the Trade Date.

Trade Date: The date on which the contract is entered into.

Observation Start Date: The Trade Date or, in the case of a forward starting 

transaction, an agreed-upon date after the Trade Date.

Valuation Date: The date upon which the final rate of volatility will be 

calculated on using the “Applicable Formula” below.

Settlement: The contracts are cash settled. If the difference between 

the realized variance and the “Variance Strike” (as 

agreed by the parties) is positive the seller pays the 
Equity Index Variance Swaps

89

difference to the buyer. If the difference between the 

realized variance and the Variance Strike is negative the 

buyer pays the difference to the seller.

Settlement of the contract occurs after the Valuation

Date and in line with the settlement convention of the 

underlying equity index.

Settlement Payments/Payment Date: T+2 (adjustments according to following business day 

convention).

Minimum Price or Incremental Price: The contracts are quoted in volatility percentage points. 

There is no minimum price or minimum incremental 

price for the contract.

Payment Frequency: One time.

Payment Exchange: The buyer of a variance swap pays a fixed rate (the 

Variance Strike) in exchange for a payout based on the 

daily realized variance.

The seller of a variance swap receives a fixed rate (the 

Variance Strike) in exchange for a payout based on the 

daily realized variance.

Day Count: Business Days Per Year = 252

Business Day Convention: Following business day convention.

Applicable Formula: The final realized rate of variance will be calculated 

using the following formula:

100x√

252 × ∑ (Return(i))

2 n

i=1

N

Where:

Return(i) = ln(

Indexi

Indexi−1

)

n = the number of observations excluding the initial 

observation on the Observation Start Date, but including 

the Valuation Date;

i = the relevant observation day;

Indexi = the closing level of the underlying index “i” 

business days from the Observation Start Date, except 

for (i) Index0 which shall equal the initial index level, 

and (ii) Indexn which shall equal the closing level of the 

underlying index on the Valuation Date. Indexi-1 will be 

modified by deducting the dividend in case it is an exdate.

If applicable, the volatility cap will be set at 2.5x the 

Volatility Strike.

N = Expected number of observations as agreed by the 

parties.
Equity Index Variance Swaps

90

ln = the natural logarithm.

Market Disruption: As specified by the parties.

Equity Index Variance Swap Available Indices

Abbr Name

DAX Deutscher Aktien Index

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

FTXIN25 FTSE China 50 Index

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index

HSI Hang Seng Index

IBOV BOVESPA Index

KOSPI Korea Composite Stock Price Index

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDUEEGF MSCI Emerging Markets Index

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

OEXT S&P 100 Total Return

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index

UKX FTSE 100 Index
Equity Index Volatility Swaps

91

Equity Index Volatility Swaps

Terms and Conditions

Summary: This covers equity index volatility swaps (each, an 

“Equity Index Volatility Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Volatility Swap 

may be traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions

(c) Annex IVS to: (i) the 2006 Japan Master Variance 

Swap Confirmation Agreement for Japan Indices, (ii) the 

2007 Americas Master Variance Swap Confirmation 

Agreement, (iii) the Revised 2007 AEJ Master Variance 

Swap Confirmation Agreement for AEJ indices, or (iv) 

the 2007 European Variance Swap Master Confirmation 

Agreement for EMEA Indices (as indicated on the 

Equity Index Volatility Swap –Available Indices below)

(d) the Market Practice Statement for Variance Swap 

Transactions Involving Japanese Shares or Indices 

Regarding When Exchange-Imposed Daily Price 

Limitations Would Constitute a Market Disruption Event 

Due To a Trading Disruption published by ISDA on 

October 22, 2009 (the “Japan Index Market Practice 

Statement”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.
Equity Index Volatility Swaps

92

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Volatility

ISDA OTC Transaction Type: Single Index

Further Limitations: None.

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): As per Annex IVS (other than for a Japan Index).

Termination Date (“terminationDate”): As per Annex IVS.

Exchanges: As specified by the parties.

Related Exchanges: As per Annex IVS.

Volatility Buyer: Not applicable.

Volatility Seller: Not applicable.

Volatility Cap: If applicable, as specified by the parties.

Index: As specified by the parties from among the Equity Index 

Volatility Swap – Available Indices (see below).

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): The Volatility Seller.

Equity Notional Amount: As specified by the parties (other than for an EMEA 

Index).

Equity Notional Reset: As per Annex IVS.

Type of Return: As per Annex IVS.

Initial Price: As per Annex IVS.

Final Price: As per Annex IVS.

Valuation Time: As per Annex IVS.

Observation Start Date: As specified by the parties or otherwise as per Annex 

IVS.

Observation End Date: As per Annex IVS.

Observation Day: As per Annex IVS (with Disrupted Date being 

determined, in the case of a Japan Index, in accordance 

with the Japan Index Market Practice Statement).

Non-Disrupted Observation Day: As per Annex IVS.

Observation Period: As per Annex IVS.

Futures Price Valuation: As specified by the parties or determined in accordance 

with Annex IVS.

Default Exchange-traded Contract: As per Annex IVS.

Equity Amount: The product of the Equity Notional Amount and the 

Final Realized Volatility (or, if there is a Volatility Cap, 

the lesser of the Realized Volatility or the Volatility 

Cap).

Variance Strike Price: Not applicable.

Variance Cap: Not applicable.

Final Realized Volatility: As per Annex IVS.

Initial Index Level: As specified by the parties.

Closing Index Level: If specified by the parties, and determined per Annex 

IVS.

Expiring Contract Level: If specified by the parties or as determined per Annex 

IVS.

Variance Amount: Not applicable.

Volatility Strike Price: Not applicable.

Variance Strike Price: Not applicable.

Variance Cap Amount: Not applicable.

Final Realized Volatility (“FRV”): Per Annex IVS.
Equity Index Volatility Swaps

93

N: As specified by the parties or otherwise per Annex IVS 

(other than for an AEJ Index).

Expected N: As specified by the parties or otherwise per Annex IVS 

(only for an AEJ Index).

Market Disruption Event: As per Annex IVS.

Fixed Amount:

Fixed Amount Payer: The Volatility Buyer.

Fixed Amount: The product of the Equity Notional Amount and the 

Volatility Strike.

Volatility Strike: As specified by the parties.

Settlement Terms:

Cash Settlement: As per Annex IVS.

Settlement Currency: As per Annex IVS.

Cash Settlement Payment Date: As per Annex IVS.

Index Adjustment Events:

Index Cancellation: As per Annex IVS.

Index Modification: As per Annex IVS.

Index Disruption: As per Annex IVS.

IVS Cancellation and Payment: As per Annex IVS.

Additional Disruption Events:

Change in Law: As per Annex IVS.

Non-Reliance: As per Annex IVS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IVS.

Additional Acknowledgements: As per Annex IVS.

Index Disclaimer: As per Annex IVS.

Calculation Agent: As agreed by the parties.

Equity Index Volatility Swap – Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

Equity Index Volatility Swap – Available Indices

Abbr Name

SPX S&P 500 Index

SPXT S&P 500 Total Return
Fixed for Floating Agricultural Swaptions

94

Fixed for Floating Agricultural Swaptions

Terms and Conditions

Summary: This covers uncleared fixed for floating agricultural 

swaptions (“Fixed for Floating Agricultural Swaptions”).

Limitations on Available Selections and Default 

Settings:

The terms under which Fixed for Floating Agricultural 

Swaptions may be traded are shown below and in the 

attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Trade Date: As agreed by the parties.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: Swaption

Buyer: As specified by the parties.

Seller: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.

Physical/Contract Settlement: Applicable

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the 

times on such days specified by the parties.

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Terms of the Underlying Transaction to which the Swaption Relates:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.
Fixed for Floating Agricultural Swaptions

95

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available 

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.
Fixed for Floating Agricultural Swaptions

96

Fixed for Floating Agricultural Swaptions Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swaptions Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

 

1 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT
Fixed for Floating Agricultural Swaptions

97

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price
Fixed for Floating Agricultural Swap Contracts

98

Fixed for Floating Agricultural Swap Contracts

Terms and Conditions

Summary: This covers uncleared fixed-for-floating agricultural 

swaps (“Fixed for Floating Agricultural Swap 

Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which Fixed for Floating Agricultural 

Swap Contracts may be traded are shown below and in 

the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available 

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.
Fixed for Floating Agricultural Swap Contracts

99

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.

Fixed-for-Floating Agricultural Swap Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swap Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

ISDA Definition

COCOA-GBP-EURONEXT
Fixed for Floating Agricultural Swap Contracts

100

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

 

1 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT
Fixed for Floating Interest Rate Swaps

101

Fixed for Floating Interest Rate Swaps

Terms and Conditions

Summary: This covers uncleared fixed for floating interest rate 

swaps (“Fixed for Floating Interest Rate Swap

(Uncleared)”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Fixed for Floating Interest Rate 

Swap (Uncleared) contract may be traded are as 

specified in these terms and conditions or in the attached 

tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.
Fixed for Floating Interest Rate Swaps

102

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 
Fixed for Floating Interest Rate Swaps

103

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are 

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is not 

applicable.

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.

Final Exchange:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.
Fixed for Floating Interest Rate Swaps

104

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller’s Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a cross currency Transaction whose 

currencies are listed as a “currency pair” in the Cross 

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 
Fixed for Floating Interest Rate Swaps

105

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

BRL Brazilian Reai Any of BR{SP,RJ,BR} and not 

otherwise declared a market 

holiday by the BM&F

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CNH Chinese Renminbi (HK) HKHK and CNBE

CNY Chinese Renminbi CNBE

COP Colombian Peso COBO

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

INR Indian Rupee INMU

JPY Japanese Yen JPTO

KRW Korean Won KRSE

MXN Mexican Peso (New) MXMC

MYR Malaysian Ringgit MYKL

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PHP Phillipine Peso PHMA

PLN Polish Zloty PLWA

RON Romanian Leu ROBU

RUB Russian Ruble RUMO

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

THB Thai Baht THBA
Fixed for Floating Interest Rate Swaps

106

TRY Turkish Lira TRIS

TWD Taiwan Dollar TWTA

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

BRL 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CNH 5,000,000 100,000 N/A N/A

CNY 5,000,000 100,000 N/A N/A

COP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

HKD 25,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A
Fixed for Floating Interest Rate Swaps

107

INR 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

KRW 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

MYR 5,000,000 100,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PHP 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

RON 5,000,000 100,000 N/A N/A

RUB 5,000,000 100,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

THB 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

TWD 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPAll quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

108

Reference Banks

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

BRL-CDI-CETIP See below N/A See below See below

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

109

CLP-CLICPBloomberg All quoted tenors N/A Per ISDA 2006 N

CNH-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CNH-HIBOR-TMA All quoted tenors N/A Per ISDA 2006 N

CNYCNREPOFIX=CFXSReuters

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

CNY-SHIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

COP-IBR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBOR-PRBO All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2-

DKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CITA-DKNA14-

COMPOUND All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

110

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

111

Swap Rate-10:00

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

112

GRD-ATHIBORTelerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKABBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual 

Swap Rate-4:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HUF-BUBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

INR-FBIL-MIBOROIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis Swaps11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

113

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All 

Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDABloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

114

MXN-TIIE-BanxicoReference Banks All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBOR-BNM All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

PLN-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLN-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

RON-RBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIMENFEA All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIMEReference Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

115

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

116

THB-THBFIX-Reuters All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

TWD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

TWD-Reuters-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-Telerate-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-TWCPBA All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

117

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006

No

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

118

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary 

FX Rate × Currency Amount × [∏(1 +

Relevant Ratej

252 ) −1

N

j=1

]

252

N

⁄

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de 
Fixed for Floating Interest Rate Swaps

119

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties. 

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days). 

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F.
Fixed for Floating Interest Rate Swaps

120

Definition of USD-SOFR-COMPOUND

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the 

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it 

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as 

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the 

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which 

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is 

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of OBFR 

has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be permanently 

or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or other official 

sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to, Swap 

Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period occurring on 

or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR 

were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if 

necessary, in accordance with the method set forth in Section 8.1(a):

[∏(1+

SOFRi × ni

360 )

do

i=1

-1] ×

360

d

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the 

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities 

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in the 

relevant Calculation Period;

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New 

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of 

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day 

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities 

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a 

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as 

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was published 

on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi; 
Fixed for Floating Interest Rate Swaps

121

“d” is the number of calendar days in the relevant Calculation Period;

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following 

events:

(d) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR) 

announcing that it has ceased or will cease to provide SOFR permanently or indefinitely, provided that, at that 

time, there is no successor administrator that will continue to provide SOFR; 

(e) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a 

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely, 

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(f) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to, but 

need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor 

administrator of SOFR) ceases to publish SOFR or the date as of which SOFR may no longer be used; and

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York, 

as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and published 

on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single rate, the midpoint of the short-term interest rate target range set by the Federal Open Markets Committee and published on the 

Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target range and the lower 

bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at 

http://www.federalreserve.gov, or any Successor Source.

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates
Fixed for Floating Interest Rate Swaps

122

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix: Applicable (to Mark-to-Market 

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Fixed Floating Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement 

Matrix:

Applicable, if cross currency swap 

with currency pair included in 

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:
Fixed for Floating Interest Rate Swaps

123

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Fixed for Floating Interest Rate Swaptions

124

Fixed for Floating Interest Rate Swaptions

Terms and Conditions

Summary: This covers fixed for floating interest rate swaptions

(“Fixed for Floating Interest Rate Swaptions”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Fixed for Floating Interest Rate 

Swaption may be traded are as specified in these terms 

and conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Terms of “Underlying Swap Transaction”:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 
Fixed for Floating Interest Rate Swaptions

125

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

Compounding Dates In the event Compounding is selected, as selected by the 
Fixed for Floating Interest Rate Swaptions

126

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Swaption Terms:

Option Style: As specified by the parties.

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller's Agent: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Swaption Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is 

specified.

Fallback Exercise: As specified by the parties (if required) .

Swaption Settlement Terms:

Cash Settlement As specified by the parties.

Physical Settlement As specified by the parties.

Cleared Physical Settlement As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 
Fixed for Floating Interest Rate Swaptions

127

applicable to a single currency Underlying Swap 

Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable and the Underlying Swap Transaction is a 

cross-currency Transaction where the currency pair is 

included in the Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.
Fixed for Floating Interest Rate Swaptions

128

Fixed Floating Swaptions Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Swaptions Underlying Swap Transaction Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Swaptions Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A
Fixed for Floating Interest Rate Swaptions

129

Fixed Floating Swaptions Underlying Swap Transaction Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 10,000,000 1,000,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Swaptions Underlying Swap Transaction Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

130

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

Reuters

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBASwapMarker

All quoted tenors N/A Per ISDA 2006 N

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

131

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

132

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

133

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

11:00-ICAP

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis Swaps11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All 

Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

134

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

135

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap 

Rate-11:15-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

136

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

H.15-Bloomberg

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

137

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

Bloomberg

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Fixed Floating Swaption Underlying Swap Transaction Requirements and Defaults

Variable Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Termination Date Business Day 

Convention

No Adjustment

Period End Dates Payment Dates

Payment Date Business Day 

Convention

Modified Following

Linear Interpolation Applicable only to long or short stub 

periods
Fixed for Floating Interest Rate Swaptions

138

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding Inapplicable

Compounding Business Day 

Convention

Same as Business Day Convention 

for Period End Dates

Method of Averaging Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method Compounding or Flat Compounding Compounding

Fixed Floating Swaption Requirements and Defaults

Setting Requirement Default

Option Style: American, Bermuda, European

Premium Payment Date Business 

Day Convention

Following

Fixed Floating Swaption Requirements and Defaults

(Swaption—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Automatic Exercise

Threshold

Fixed Floating Swaption Requirements and Defaults

(Swaption Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount

ISDA Settlement Matrix Applicable, if single currency swap 

with Currency included in Matrix

ISDA Cross Currency Settlement 

Matrix

Applicable, if cross currency swap 

with currency pair included in 

Matrix

Cash Settlement Valuation Time

Cash Settlement Valuation Date Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)
Fixed for Floating Interest Rate Swaptions

139

Cash Settlement Payment Date 

Business Day Convention

Following

Cash Settlement Method Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks Fallbacks per ISDA 2006 

Definitions

Quotation Rate bid

ask

mid
Forward Rate Agreements (Uncleared)

140

Forward Rate Agreements (Uncleared)

Terms and Conditions

Summary: This covers uncleared forward rate agreements 

(“Forward Rate Agreements” or “FRAs”).

Limitations on Available Selections and Default 

Settings:

The terms under which an FRA may be traded are as 

specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET”/EUTA is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or 

“Default Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: These terms and conditions incorporate by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.2.4 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: None
Forward Rate Agreements (Uncleared)

141

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“adjustedEffectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“adjustedTerminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Rate Payer (“buyerPartyReference”): As specified by the parties.

Fixed Rate (“fixedRate”): As specified by the parties.

Floating Rate Payer (“sellerPartyReference”): As specified by the parties.

Payment Date (“paymentDate”): As specified by the parties.

Floating Rate Option (“floatingIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Spread: As specified by the parties.

Floating Rate Day Count Fraction 

(“dayCountFraction”):

As specified by the parties.

Reset Date: The Effective Date.

Discounting (“fraDiscounting”): As specified by the parties.

Business Days: As specified by the parties.

Calculation Agent: As specified by the parties.

FRA Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO

FRA Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding
Forward Rate Agreements (Uncleared)

142

FRA Available Day Count Fractions

ISDA Name

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

1/1

FRA Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 500,000,000 10,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

FRA Floating Rate Options and Defaults

Currency Floating Rate 

Option (any 

from ISDA 

2006 if not 

specified)

Available 

Tenors

Default 

Tenor

Default Day 

Count Fraction

Additional 

Business 

Day 

Locations

Default for 

Currency 

(Y/N)

AUD Actual/360 N

CAD

CHF

CZK Actual/360 N

DKK

EUR

GBP

HUF

ILS ILSTELBOR01-

Reuters

All quoted N Per ISDA 2006 N Y

JPY

NOK

NZD NZD-BBRFRAAll quoted N Per ISDA 2006 N Y

PLN
Forward Rate Agreements (Uncleared)

143

SEK

USD USD-LIBORBBA3M Actual/360 GBLO Y

ZAR

FRA Discounting Types

ISDA Name FpML Default for (Currency)

FRA Discounting ISDA All but AUD

FRA Yield Discounting AFMA AUD

None NONE None
Forward Rate Agreements – CME Cleared

144

Forward Rate Agreements – CME Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared 

by the Chicago Mercantile Exchange Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Forward Rate Agreement/CME 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the CME Rulebook, 

in particular Chapters 900 and 901 (and any successor 

provisions) and the CME Cleared IRS Product Scope (or 

any successor).

By electing to trade a Forward Rate 

Agreement/CME Cleared, participants are 

representing that they are familiar with the CME 

Rulebook and the limitations on transaction terms 

contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product(s): N/A

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to the limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Settlement: As per the CME Rulebook, in advance or arrears.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 
Forward Rate Agreements – CME Cleared

145

limitations based on other terms of the transaction.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

FRA Discounting: As per CME Rulebook, which may require different 

discounting conventions depending on payment 

convention.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.
Forward Rate Agreements – LCH Cleared

146

Forward Rate Agreements – LCH Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared 

by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Forward Rate Agreement/LCH 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the LCH Rulebook, in 

particular Schedule 4A (or any successor provisions).

By electing to trade a Forward Rate Agreement/LCH 

Cleared, participants are representing that they are 

familiar with the LCH Rulebook and the limitations 

on transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, since 

the LCH may reserve the right to select when and 

how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to the limitation in

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the LCH Rulebook, which may limit the earliest or latest 

day on which such fees may be paid based on Currency 

or other factors.

Business Days: As per the LCH Rulebook, which may require certain 
Forward Rate Agreements – LCH Cleared

147

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

LCH Rulebook.

Floating Rate Payer: As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

FRA Discounting: As per the LCH Rulebook.

Discount Rate As per the LCH Rulebook.

FRA Yield Discounting: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
iBoxx Index Swaps

148

iBoxx Index Swaps

Terms and Conditions

Summary: This covers iBoxx index swaps (each, an “iBoxx Index 

Swap”) on a bilateral basis.

Limitations on Available Selections and Default 

Settings:

The terms under which an iBoxx Index Swap may be 

traded are shown below and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency and any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) the iBoxx Index Transaction Standard Terms 

Supplement (current version or as specified by the 

parties) (“iBoxx STS”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Total Return Swap Index

ISDA OTC Sub-Product: iBoxx

ISDA OTC Transaction type: N/A
iBoxx Index Swaps

149

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): The Business Day following the Trade Date, unless 

otherwise agreed by the parties.

Effective Date Business Days: The Business Days specified below, unless otherwise 

specified by the parties.

Effective Date Business Day Convention: The Business Day Convention specified below, unless 

otherwise specified by the parties.

Termination Date (“terminationDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Notional Amount (“notional”): An amount specified by the parties, which will be in the 

relevant Settlement Currency (unless otherwise agreed 

by the parties).

Index As specified by the parties from among the Available 

Indices.

Index Buyer: As agreed by the parties.

Index Seller: As agreed by the parties.

Calculation Agent: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Settlement Currency: The currency in which the Index is denominated.

Business Days: As specified in the iBoxx STS for the relevant 

Settlement Currency, unless otherwise agreed by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): Index Buyer

Floating Rate Payer Period End Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Floating Rate Payer Payment Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Linear Interpolation: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, per the Definitions unless otherwise agreed by 

the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies per the Definitions unless otherwise agreed by 

the parties.

Floating Rate Option: As specified by the parties.

Floating Rate for the initial Calculation Period As specified by the parties.

Spread: As specified by the parties.

Designated Maturity (“indexTenor”) As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Floating Rate Day Count Fraction: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Reset Dates (“resetDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Payment Dates Business Days: The Business Days specified above, unless otherwise 

agreed by the parties.

Business Days (Other Than Payment Dates): The Business Days specified above, unless otherwise 

agreed by the parties.

Business Day Convention (Other Than Payment Dates): The Business Day Convention specified above, unless 

otherwise specified by the parties.
iBoxx Index Swaps

150

Index Return Amount:

Index Return Amount Payment Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Initial Fixing Amount: As agreed by the parties and rounded as specified in the 

iBoxx STS (unless the parties otherwise agree).

Final Fixing Amount: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Scheduled Final Fixing Date: As specified by the parties, subject to the Business Day 

Convention (unless the parties otherwise agree).

Final Fixing Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Index Adjustment and Index Discontinuance Events: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

iBoxx Index Available Currencies and Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA and GBLO

GBP Sterling EUTA and GBLO

USD United States Dollars USNY

iBoxx Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

iBoxx Index Available Indices

Name Currency

iBoxx EUR Corporates EUR

iBoxx EUR Liquid High Yield Index EUR

iBoxx GBP Corporates GBP

iBoxx USD Domestic Corporates USD

iBoxx USD Liquid High Yield Index USD

iBoxx USD Liquid Investment Grade Index USD

iBoxx USD Liquid Leveraged Loans Index USD

iBoxx Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)
iBoxx Index Swaps

151

iBoxx Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

152

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

153

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

154

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

155

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N
Inflation Swaps

156

Inflation Swaps

Terms and Conditions

Summary: This covers inflation swaps (“Inflation Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Inflation Swap may be traded 

are as specified in these terms and conditions or in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2008 ISDA Inflation Derivatives Definitions, 

including Supplements 1 and 2 thereto and any other 

Supplements through Trade Date

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Inflation

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 
Inflation Swaps

157

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Fixed Amount: As specified by the parties (in lieu of all items other than 

Payment Date(s)).

Fixed Rate Payment Date (“unadjustedPaymentDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate (“floatingRate”): Notwithstanding the 2006 Definitions, “Floating Rate” 

will equal:

Index_Final

Index_Initial − 1

rounded in accordance with the 2008 ISDA Inflation 

Derivatives Definitions and subject to the Negative 

Interest Rate Treatment.

Index: As specified by the parties from among the Available 

Inflation Indices.

Index_Initial (“initialIndexLevel”): As specified by the parties.

Index_Final: The Index level for the Reference Month(s) specified by 

the parties in the Reference Year(s) specified by the 

parties.

Reference Month(s): As specified by the parties.

Reference Year(s) As specified by the parties.

Day Count Fraction: 1/1

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.
Inflation Swaps

158

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Negative Interest Rates (“negativeInterestRateMethod”): As selected by the parties from among the Available 

Treatments.

Related Bond: The bond, if any, specified by the parties as such.

Fallback Bond (“fallbackBondApplicable”): As selected by the parties if no Related Bond is selected.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

USD United States Dollars USNY

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

Inflation Swap Indices
Inflation Swaps

159

Index Name Description

AUD-CPI Australia: AUD – Non-revised Consumer Price Index (CPI)

AUS-CPI Austria: AUS – Non-revised Consumer Price Index (CPI)

AUS-HICP Austria: AUS – Non-revised Harmonised Indices of Consumer Prices (HICP)

BLG-CPI-GI Belgium: BLG – Non-revised Consumer Price Index - General Index (CPI)

BLG-CPI-HI Belgium: BLG – Non-revised Consumer Price Index - Health Index (CPI)

BLG-HICP Belgium: BLG – Non-revised Harmonised Consumer Price Index (HICP)

DEM-CPI Germany: DEM – Non-revised Consumer Price Index (CPI)

DEM-CPI-NRW Germany: DEM – Non-revised Consumer Price Index for North Rhine-Westphalia

DEM-HICP Germany: DEM – Non-revised Harmonised Consumer Price Index (HICP)

ESP-CPI Spain: ESP – National-Non-revised Consumer Price Index (CPI)

ESP-HICP Spain: ESP – Harmonised-Non-revised Consumer Price Index (HICP)

ESP-R-CPI Spain: ESP – National-Revised Consumer Price Index (CPI).

ESP-R-HICP Spain: ESP – Harmonised-Revised Consumer Price Index (HICP)

EUR-AI-CPI European Union: EUR – All Items-Non-revised Consumer Price Index

EUR-AI-R-CPI European Union: EUR – All Items–Revised Consumer Price Index

EUR-EXT-CPI European Union: EUR – Excluding Tobacco-Non-revised Consumer Price Index

EUR-EXT-RCPI European Union: EUR – Excluding Tobacco–Revised Consumer Price Index

FRC-EXT-CPI France: FRC – Excluding Tobacco-Non-Revised Consumer Price Index

FRC-HICP France: FRC – Harmonised-Non-revised Consumer Price Index (HICP)

GRD-CPI Greece: GRD – Non-revised Consumer Price Index (CPI)

GRD-HICP Greece: GRD – Harmonised-Non-revised Consumer Price Index (HICP)

ILS-CPI Israel: ILS – Non-revised Consumer Price Index (CPI)

IRL-CPI Ireland: IRL – Non-revised Consumer Price Index (CPI)

IRL-HICP Ireland: IRL – Harmonised-Non-revised Consumer Price Index (HICP)
Inflation Swaps

160

ITL-BC-EXTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees–Excluding Tobacco Consumer 

Price Index

ITL-BC-INTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees-Including Tobacco Consumer 

Price Index

ITL-HICP Italy: ITL – Non-revised Harmonised Consumer Price Index (HICP)

ITL-WC-EXTCPI Italy: ITL – Whole Community –Excluding Tobacco Consumer Price Index

ITL-WC-INTCPI Italy: ITL – Whole Community –Including Tobacco Consumer Price Index

LUX-CPI Luxembourg: LUX – Non-revised Consumer Price Index (CPI)

LUX-HICP Luxembourg: LUX – Harmonised-Non-revised Consumer Price Index (HICP)

NLG-CPI Netherlands: NLG – Non-revised Consumer Price Index (CPI)

NLG-HICP Netherlands: NLG – Harmonised-Non-revised Consumer Price Index (HICP)

POR-CPI Portugal: POR – Non-revised Consumer Price Index (CPI)

POR-HICP Portugal: POR – Harmonised-Non-revised Consumer Price Index (HICP)

UK-HICP United Kingdom: GBP – Harmonised-Non-revised Consumer Price Index (HICP)

UK-RPI United Kingdom: GBP – Non-revised Retail Price Index (UKRPI)

UK-RPIX United Kingdom: GBP – Non-revised Retail Price Index Excluding Mortgage Interest Payments 

(UKRPIX)

USA-CPI-U United States: USA – Non-revised Consumer Price Index – Urban (CPI-U)

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Fallback Bond: Applicable
Interest Rate Caps/Floors

161

Interest Rate Caps/Floors

Terms and Conditions

Summary: This covers interest rate caps and floors (“Interest Rate 

Caps/Floors”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Cap/Floor may 

be traded are as specified in these terms and conditions 

and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Cap/Floor

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 
Interest Rate Caps/Floors

162

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount 1:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Cap Rate: As specified by the parties.

Floor Rate: As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.
Interest Rate Caps/Floors

163

Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller’s Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.
Interest Rate Caps/Floors

164

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Cap/Floor Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA

GBP Pound Sterling GBLO

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO
Interest Rate Caps/Floors

165

Cap/Floor Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Cap/Floor Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Cap/Floor Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Cap/Floor Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Cap/Floor Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Cap/Floor Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

166

Rate-10:00-Bloomberg

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OIS- All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

167

COMPOUND

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

168

Rate-11:00-

BGCANTOR

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Interest Rate Caps/Floors

169

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

170

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Cap/Floor Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Compounding or Flat Compounding Compounding

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)
Interest Rate Caps/Floors

171

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Cap/Floor Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days before 

Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks
Interest Rate Caps/Floors

172

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Interest Rate Swaps – ASX Cleared

173

Interest Rate Swaps – ASX Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by ASX Clear 

(Futures) Pty Limited (“ASX”) (such swaps, “Interest 

Rate Swaps – ASX Cleared”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Swap – ASX 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the ASX OTC 

Rulebook and the ASX OTC Handbook (collectively, 

the “ASX Rules”), in particular Schedule 1 to the ASX 

OTC Handbook (and any successor provisions).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap – ASX Cleared, 

participants are representing that they are familiar 

with the ASX Rules and the limitations on 

transaction terms contained therein. 

In particular, participants represent that they are 

familiar with the limitations on transactions for US 

Persons set forth in Section 4.3 of the ASX OTC 

Handbook (or any successor provisions).

Incorporated Standards: This contract description incorporates by reference the 

ASX Rules as in effect from time to time.

The ASX Rules themselves may incorporate certain 

additional standards, such as the 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and ASX-cleared 

contracts, since ASX may reserve the right to select 

when and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the ASX Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2006, as amended) 

binding on the parties in accordance with the ASX 

Rules.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the ASX Rules.

This may vary from period to period to the extent 

permitted by the ASX Rules.

The ASX Rules may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the ASX Rules.

Business Days: As per the ASX Rules, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the ASX Rules.

Trade Date: As per the ASX Rules.

Effective Date: As per the ASX Rules.
Interest Rate Swaps – ASX Cleared

174

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the ASX Rules.

Termination Date Business Day Convention: As per the ASX Rules, and thus subject to limitations 

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the ASX Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the ASX 

Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the ASX 

Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

ASX Rules and any other restrictions in the ASX Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the ASX Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page.

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the ASX Rules and any other restrictions in the ASX 

Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties.

Compounding: As per the ASX Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations

in the ASX Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the ASX Rules.

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations 

in the ASX Rules.
Interest Rate Swaps – Eurex Cleared

175

Interest Rate Swaps – Eurex Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Eurex 

Clearing AG (“Eurex”) (such swaps, “Interest Rate 

Swaps – Eurex Cleared”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Swap – Eurex 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the Eurex Clearing 

Conditions (Clearing-Bedingungen) (collectively, the 

“Eurex Rules”).

By electing to trade an Interest Rate Swap – Eurex 

Cleared, participants are representing that they are 

familiar with the Eurex Rules and the limitations on 

transaction terms contained therein.

Incorporated Standards: This contract description incorporates by reference the 

Eurex Rules as in effect from time to time.

The Eurex Rules themselves may incorporate certain 

additional standards, such as the 2000 ISDA Definitions, 

the 2006 ISDA Definitions or the Rahmenvertrag für 

Finanztermingeschäfte (“DRV”). Be aware that the 

timing of effectiveness of amendments or 

supplements to the ISDA standards may vary 

between bilateral and Eurex-cleared contracts, since 

Eurex may reserve the right to select when and how 

such changes become effective. Also be aware that 

Eurex has elected to make the 2006 ISDA Definitions 

applicable to certain classes of transactions, 

regardless of the parties’ election to use the 2000 

ISDA Definitions.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, Inflation, OIS and Basis

Further Limitations: Must comply with the Eurex Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 Definitions, ISDA 

2006 Definitions, each as amended, the DRV) binding 

on the parties in accordance with the Eurex Rules.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the Eurex Rules.

This may vary from period to period to the extent 

permitted by the Eurex Rules.

The Eurex Rules may limit the Floating Rate Options 

and other terms for which variable notionals are 

permitted.
Interest Rate Swaps – Eurex Cleared

176

Currency: One of the currencies permitted for the relevant 

transaction type per the Eurex Rules.

Business Days: As per the Eurex Rules, which may require certain 

Business Days be applicable on a per Currency or

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the Eurex Rules.

Trade Date: As per the Eurex Rules.

Effective Date: As per the Eurex Rules.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the Eurex Rules for the related type 

of transaction and Currency.

Termination Date Business Day Convention: As per the Eurex Rules, and thus subject to limitations 

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the Eurex Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

Eurex Rules and any other restrictions in the Eurex 

Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the Eurex Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page.

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the Eurex Rules and any other restrictions in the Eurex 

Rules.
Interest Rate Swaps – Eurex Cleared

177

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties.

Compounding: As per the Eurex Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.
Interest Rate Swaps – JSCC Cleared

178

Interest Rate Swaps – JSCC Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Japan Securities 

Clearing Corporation (“JSCC”) (such swaps, “Interest Rate 

Swaps – JSCC Cleared”).

Limitations on Available Selections and 

Default Settings:

The terms under which an Interest Rate Swap – JSCC Cleared 

may be traded are as specified in these terms and conditions, 

which incorporate the JSCC Interest Rate Swap Clearing 

Business Rules 

(金利スワップ取引清算業務に関する業務方法書)and the 

JSCC Handling Procedures of Interest Rate Swap Business 

Rules 

(金利スワップ取引清算業務に関する業務方法書の取扱い) 

(collectively, the “JSCC Rules”).

By electing to trade an Interest Rate Swap – JSCC Cleared, 

participants are representing that they are familiar with the 

JSCC Rules and the limitations on transaction terms 

contained therein. 

In particular, participants represent that they are familiar 

with the limitations on transactions for US Persons set forth 

in Article 47-2 of the JSCC Handling Procedures of Interest 

Rate Swap Business Rules (or any successor provisions).

Incorporated Standards: This contract description incorporates by reference the JSCC 

Rules as in effect from time to time.

The JSCC Rules themselves may incorporate certain additional 

standards, such as the 2000 ISDA Definitions or 2006 ISDA 

Definitions. 

Be aware that the timing of effectiveness of amendments or 

supplements to the ISDA standards may vary between 

bilateral and JSCC-cleared contracts, since JSCC may 

reserve the right to select when and how such changes 

become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the JSCC Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 or ISDA 2006, each as 

amended) binding on the parties in accordance with the JSCC 

Rules.

Notional Amount: An amount in Currency determined by the parties subject to 

limitations in the JSCC Rules.

This may vary from period to period to the extent permitted by 

the JSCC Rules.

The JSCC Rules may limit the Currencies and Floating Rate 

Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant transaction type 

per the JSCC Rules.

Business Days: As per the JSCC Rules, which may require certain Business 

Days be applicable on a per Currency or Floating Rate Option 

Basis and may otherwise limit the available Business Day 

locations which can be elected.
Interest Rate Swaps – JSCC Cleared

179

Business Day Convention: As per the JSCC Rules.

Trade Date: As per the JSCC Rules.

Effective Date: As per the JSCC Rules.

Termination Date: As agreed by the parties, subject to any minimum or maximum 

tenor in the JSCC Rules.

Termination Date Business Day Convention: As per the JSCC Rules, and thus subject to limitations based on 

other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the JSCC Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or maximum 

rate and per-period variability permitted in the JSCC Rules and 

any other restrictions in the JSCC Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to the JSCC Rules, which may provide a more 

limited list of available options for a Currency than does the 

Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules, 

which may provide a more limited set of Designated Maturities 

than does the related rate source page.

Spread: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to any minimum or maximum rate and perperiod variability permitted by the JSCC Rules and any other 

restrictions in the JSCC Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined by the 

parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties.

Compounding: As per the JSCC Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules.

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations in the 

JSCC Rules.
IOS Index Contracts

180

IOS Index Contracts

Terms and Conditions

Summary: This covers Markit IOS Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) the Markit IOS Standard Terms Supplement (March 

12, 2010 version) or any subsequent Standard Terms 

Supplement (the “Standard Terms”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: IOS

ISDA OTC Transaction Type: IOS

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit IOS Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:

Initial Payment: Per the Standard Terms.
IOS Index Contracts

181

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
MBX Index Contracts

182

MBX Index Contracts

Terms and Conditions

Summary: This covers Markit MBX Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit MBX Standard Terms Supplement 

(September 12, 2010 version) or any subsequent 

Standard Terms Supplement (the “Standard 

Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: MBX

ISDA OTC Transaction Type: MBX

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit MBX Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.
MBX Index Contracts

183

Initial Payment:

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
Municipal Market Data Rate Lock Transactions

184

Municipal Market Data Rate Lock Transactions

Terms and Conditions

Summary: This covers rate lock transactions indexed to the 

Thomson Reuters Municipal Market Data (“MMD”) 

AAA Curve (“MMD Rate Lock Transactions”).

Limitations on Available Selections and Default 

Settings:

The terms under which a MMD Rate Lock Transaction 

may be traded are as specified in these terms and 

conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the

Effective Date (“relativeTerminationDate”).
Municipal Market Data Rate Lock Transactions

185

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

DV01: As specified by the parties.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal:

DV01 × Fixed Rate × Currency Amount × Day Count Fraction

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Floating Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

DV01 × Calculation Amount × (Floating Rate +Spread) × Floating Rate Day Count Fraction

Payment Dates (“unadjustedPaymentDate”): The Termination Date

Relevant Rate: The Relevant Rate for a Reset Date will be the level of 

the Thomson Reuters Municipal index for a tenor of the 

Designated Maturity which represents the offer-side of 

5.00% coupon “AAA” rated state general obligation 

bonds based on institutional block size ($2 million+) 

market activity in both the primary and secondary 

municipal bond market, as of at 3:00 p.m. eastern 

standard time as published on the Thomson Reuters 

TM3 page.

Designated Maturity (‘indexTenor”) As specified by the parties from among the available 

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): The second Business Day preceding the Floating Rate 

Payment Date.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY
Municipal Market Data Rate Lock Transactions

186

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Notional Amounts

Currency Minimum Increment Maximum Default

USD 25,000,000 1,000,000 N/A N/A
Natural Gas Date/Instrument Spread Contracts

187

Natural Gas Date/Instrument Spread Contracts

Terms and Conditions

Summary: This covers “Natural Gas Date/Instrument Spread Contracts”. 

A natural-gas date/instrument spread contract is a cash-settled agreement

between two counterparties whereby one counterparty agrees to pay a

floating amount to the other counterparty on a given date, and then

receive a different floating amount from the other counterparty on a 

different, later date.

The difference between the two floating amounts is the spread, which is 

the quoted price for the contract.

The floating amounts are based on the notional quantity traded and the

price of natural gas a stated hub published by one of a series of industry.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a 

given issue of the publication source (e.g., monthly based on the first 

issue of the month) or an average of prices (e.g., average of weekly

bid prices for each weekly issue), as agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate 

(IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) 

(IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention and Minimum 

Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.
Natural Gas Date/Instrument Spread Contracts

188

Notional Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell on the near leg and Buy or Sell on the far leg. 

These would be reversed so that if the first leg is buying the second leg 

must be selling, for instance.

Calculation Periods: Two calculation periods – one for each leg of the spread. 

A single date or date range over which the reference price of the 

commodity will be calculated. 

If a date range the reference price will be averaged across the days, 

contracts or publication source issues as agreed by the counterparties.

Settlement Date(s): Specified settlement or payment date when the floating amounts are 

exchanged.

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Natural Gas – Financial Basis Swap Contracts

189

Natural Gas – Financial Basis Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Financial Basis Swap Contracts”. 

A natural gas financial basis swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated based on 

the reported price for natural gas at a given hub, and in exchange, the second 

counterparty will pay a floating amount to the first counterparty on the same given 

date(s) based on the maturity price of a natural gas futures contract tied to a 

different hub. 

The floating amounts paid are determined based on the notional quantity and, in the 

case of the first floating amount, the price of natural gas a stated hub published by 

one of a series of industry publications and, in the case of the second floating 

amount, an applicable futures contract based on the reference commodity.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given issue of 

the Publication Source (e.g., monthly based on the first issue of the month) or an 

average of prices (e.g., average of weekly bid prices for each weekly issue), as 

agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Contracts on Reference 

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future) Last Day Settlement

For transactions where the settlement currency is CAD, this price will be converted 

to CAD at then-current spot.

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention Notional amount, as agreed by counterparties.
Natural Gas – Financial Basis Swap Contracts

190

and Minimum 

Increment:

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-futures based floating amount is 

paid (buy) or received (sell).

Calculation Period: A single date or date range over which the reference price of the commodity will be 

calculated. 

If a date range the reference price will be averaged across the days, contracts or 

Publication Source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and the 

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Natural Gas – Fixed/Floating Swap Contracts

191

Natural Gas – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Fixed/Floating Swap Contracts”. 

A fixed/floating natural gas swap contract is a cash settled agreement between 

two counterparties whereby one counterparty agrees to pay a fixed amount to 

the other counterparty on a given date, and in exchange the second counterparty 

will pay a floating amount to the first counterparty on the same given date. 

The fixed amount paid is determined based on the notional quantity traded and 

the price of the reference commodity. 

The floating amount paid is determined based on the notional quantity and the 

price of an applicable futures contract based on the reference commodity over 

an agreed future calculation period.

Reference Commodities: • Henry Hub Natural Gas

• Waha Natural Gas

• Permian Natural Gas Basis Swap

• TTF Natural Gas

Contracts on Reference 

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future)

• NYMEX Waha Natural Gas Basis Swap

• NYMEX Permian Natural Gas Basis Swap

• ICE TTF Natural Gas (Monthly)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD (Other than TTF)

• EUR (TTF)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties

Minimum Size: Notional amount, as agreed by counterparties

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD (Other than TTF)

• EUR (TTF)

Trading Conventions: Buy or Sell which refers to whether or not the fixed amount is paid (buy) or 

received (sell).

Calculation Periods: A single date or date range over which the reference price of the commodity will 

be calculated. 

If a date range the reference price will be averaged across all days.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date when the fixed payment amount and the 

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency. 

The contracts settle on both the NYMEX Last Day and NYMEX Penultimate 

publications.
Natural Gas – Swing Swap Contracts

192

Natural Gas – Swing Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Swing Swap Contracts”. 

A natural gas swing swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated 

based on the daily reported price for natural gas at a given hub, and in 

exchange the second counterparty will pay a floating amount to the first 

counterparty on the same given date(s) based on the price at the same hub 

reported for a different period (e.g., weekly or monthly). 

The floating amounts paid are determined based on the notional quantity and, 

in the case of the first floating amount, the daily price of natural gas a stated 

hub published by one of a series of industry publications and, in the case of the 

second floating amount, a price of natural gas the same hub published with 

respect to a different periodicity.

Publication Sources (Non-Daily): • CGPR—Canadian Gas Price Reporter

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given 

issue of the Publication Source (e.g., monthly based on the first issue of the 

month) or an average of prices (e.g., average of weekly bid prices for each 

weekly issue), as agreed by the parties.

Publication Sources (Daily): • Gas Daily –Platt’s Gas Daily’s Daily Report

Reference Commodities and NonDaily Publication Source:

• AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.
Natural Gas – Swing Swap Contracts

193

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-daily price based floating 

amount is paid(buy) or received (sell).

Calculation Period: The reference price may be averaged across the days, contracts or publication 

source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and 

the floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Non-Deliverable Swaps

194

Non-Deliverable Swaps

Terms and Conditions

Summary: This covers non-deliverable single-currency swaps 

(“Non-Deliverable Single-Currency Swaps”) and nondeliverable cross-currency swaps (“Non-Deliverable 

Cross-Currency Swaps” and, together with NonDeliverable Single-Currency Swaps, “Non-Deliverable 

Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which Non-Deliverable SingleCurrency Swaps and Non-Deliverable Cross-Currency 

Swaps may be traded are as specified in these terms and 

conditions or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions (including Supplement 31 

thereto);

(b) ISDA OTC Taxonomies;

(c) FpML Location Codes;

(d) the ISDA/EMTA 1998 FX and Currency Option 

Definitions (“1998 Definitions”);

(e) the EMTA Non-Deliverable Forward Templates;

(f) the EMTA-ISDA Market Practice for NonDeliverable CLP “Cámara” (CLP TNA) Interest 

Rate Swap Transactions (“CLP TNA Best 

Practices”); 

(g) the Recommended EMTA-ISDA Market Practice 

for BRL CDI Non-Deliverable Interest Rate Swap 

Transactions (Amended March 13, 2009) (“BRL 

CDI Best Practices”); 

(h) The current ISDA Revised Non-Deliverable Swap 

Transaction Standard Terms Supplement (“Asian 

STS”); and

(i) The current ISDA Non-Deliverable Swap 

Transaction Fallback Matrix (the “Asian Matrix,” 

and, together with the Asian STS, the “Asian 

Terms”).
Non-Deliverable Swaps

195

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Settlement Currency: With respect to Non-Deliverable Single-Currency 

Swaps, USD.

With respect to any Non-Deliverable Cross-Currency 

Swap, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Index Currency: With respect to any Non-Deliverable Single-Currency 

Swaps, the currency elected by the parties from among 

those specified in the list of Available Single Currencies.

With respect to any Non-Deliverable Cross-Currency 

Swaps, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FX Rate: The amount of Index Currency corresponding to one unit 

of the Settlement Currency.

The FX Rate will be determined on the date determined 

as specified for the relevant Available Single Currency 

or Available Currency Pair and in accordance:

(a) in the case of Index Currencies not identified as 

subject to Asian Terms, with the specified NDF 

Template and Rate Sources and Fallback Rates, treating 

the scheduled date of determination of the FX Rate as 

the “Valuation Date” under the NDF Template; and

(b) in the case of Index Currencies identified as subject 

to Asian Terms, in accordance with the Asian Terms.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction or for any Non-Deliverable Cross-Currency 

Swap Transaction involving ARS or PEN, an amount in 

the Index Currency agreed by the parties.
Non-Deliverable Swaps

196

For any other Non-Deliverable Cross-Currency Swap 

Transaction, an amount in the Index Currency or 

Settlement Currency agreed by the parties.

Fixed Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions.

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is not

identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal an amount in the Settlement Currency equal to:

FX Rate × Fixed Rate × Currency Amount × Day Count Fraction

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Fixed Amount shall be calculated in accordance with the

Asian Terms.

Fixed Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Fixed Rate Payer Period End Date 

Business Day Convention.

Fixed Rate Payer Period End Date Business Days: If a Fixed Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Fixed Rate 

Payer Period End Dates will not be adjusted.

Fixed Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Fixed Rate Payer Payment Date 

Business Day Convention.

Fixed Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction, an amount in the Index Currency agreed by 

the parties.

For any Non-Deliverable Cross-Currency Swap, an 

amount in the Settlement Currency agreed by the parties.

For any other Non-Deliverable Cross-Currency Swap, an 

amount agreed by the parties in whichever of the Index 

Currency or Settlement Currency is not the currency in 

which the Fixed Rate Payer Currency Amount is 

denominated.

Floating Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions.

If the Currency Amount is denominated in BRL, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 
Non-Deliverable Swaps

197

be calculated as set forth under Definition of BRL 

Floating Rate Option.

If the Currency Amount is not denominated in the 

Settlement Currency or BRL and the Index Currency is 

not identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal an amount in the Settlement Currency equal to:

FX Rate × Currency Amount × (Floating Rate +Spread) × Floating Rate Day Count Fraction

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Floating Amount shall be calculated in accordance with 

the Asian Terms.

Floating Rate Option: For the relevant Currency, as selected by the parties 

from among the Available Floating Rate Options for 

such Currency.

Designated Maturity (‘indexTenor”): As specified by the parties from among the available 

tenors.

Spread: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Floating Rate Payer Period End 

Date Business Day Convention.

Floating Rate Payer Period End Date Business Days: If a Floating Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Floating Rate 

Payer Period End Dates will not be adjusted.

Floating Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Floating Rate Payer Payment Date 

Business Day Convention.

Floating Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions.

Compounding: As specified by the parties.

Method of Averaging: As specified by the parties.

Final Exchange:

Final Exchange Date: As specified by the parties.

Final Exchange Business Days: As specified by the parties from among the Available 

Business Days.

Final Exchange Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Rate Payer Final Exchange Amount: If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Fixed Rate 

Payer Final Exchange Amount.
Non-Deliverable Swaps

198

If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms, an amount in the Settlement Currency equal to:

FX Rate × Currency Amount

If the Fixed Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Fixed Rate Payer Final Exchange Amount shall 

be calculated in accordance with the Asian Terms.

Floating Rate Payer Final Exchange Amount: If the Floating Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Floating 

Rate Payer Final Exchange Amount.

If the Floating Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms an amount in the Settlement Currency equal to:

FX Rate × Currency Amount

If the Floating Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Floating Rate Payer Final Exchange Amount 

shall be calculated in accordance with the Asian Terms.

Non-Deliverable Swap Settlement Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

Non-Deliverable Swap Available Currencies

Index Currency NDF Template Rate Source Fallback Rate 

Source(s) (in 

order)

Determination 

Date

Business Days

INR N/A N/A N/A N/A INMU

MYR N/A N/A N/A N/A MYKL

THB N/A N/A N/A N/A THBA

Non-Deliverable Cross-Currency Swap Available Currency Pairs

Index 

Currency

Settlement 

Currency

NDF 

Template

Rate Source Fallback Rate 

Source(s) (in 

order)

Determination 

Date

Business 

Days

ARS USD 17 May 06 ARS03 ARS04 Payment – 2 

BD

ARBA

USNY

BRL USD 17 May 06 BRL09 BRL12, 

BRL13

Payment – 2 

BD

USNY and 

any of 

BR{SP,RJ, 

BR}

CLP USD 01 Aug 06 CLP10 CLP11 Payment – 2 

BD

CLSA 

USNY

COP USD 01 Aug 06 COP02 COP03 Payment – 2 

BD

USNY

COBO

PEN USD 03 Dec 07 PEN05 PEN04 Payment – 2 USNY
Non-Deliverable Swaps

199

BD PELI

Applicability of Asian Terms

Index Currency Asian Terms

ARS Not Applicable

BRL Not Applicable

CLP Not Applicable

COP Not Applicable

INR Applicable

MYR Applicable

PEN Not Applicable

THB Applicable

Non-Deliverable Swap Floating Rate Options

Index Currency Floating Rate Option Defined In Business Days

ARS Not Applicable—Fixed Leg ONLY ARBA

USNY

BRL BRL-CDI-CETIP See below USNY and any of 

BR{SP,RJ, BR}

CLP CLP-Indice Cámara 

Promedio (ICP)

CLP TNA Best Practices USNY

CLSA

CLP CLP-Unidad de Fomentos

(UF/CLF)

See below USNY 

CLSA

COP COP-IBR-OISCOMPOUNDISDA 2006 USNY

COBO

COP COP-Unidad de Valor Real 

(UVR)

See below USNY 

COBO

INR INR-FBIL-MIBOR-OISCOMPOUNDISDA 2006 INMU

INR INR-MITOR-OISCOMPOUNDISDA 2006 INMU

MYR MYR-KLIBOR-BNM ISDA 2006 MYKL

PEN Not Applicable—Fixed Leg ONLY USNY

PELI

THB THB-THBFIX-Reuters ISDA 2006 THBA

USD Any USD Floating Rate 

Option available under 

tpSEF’s Fixed/Floating 

Swap Listing 

See tpSEF’s Fixed/Floating 

Swap Listing

See tpSEF’s 

Fixed/Floating Swap 

Listing

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary 

FX Rate × Currency Amount × [∏(1 +

Relevant Ratej

252 ) − 1

N

j=1

]

252

N

⁄

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 
Non-Deliverable Swaps

200

DIOVER- EXTRA Group as published by CETIP (Câmara de 

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties.

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days).

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F.

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF): For any Reset Date, the difference between the value of the 

unidad de fomento (UF/CLF) as certified by the Chilean Banco 

Central de Chile for the calendar day preceding such Reset Date 
Non-Deliverable Swaps

201

and the value of the unidad de fomento (UF/CLF) as certified by 

the Chilean Banco Central de Chile for such Reset Date.

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the CLP-Unidad de 

Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad 

de fomento (UF/CLF) as certified by the Chilean Banco Central 

de Chile, the Calculation Agent shall determine the CLP-Unidad 

de Fomento (UF/CLF) for such day.

Definition of COP-Unidad de Valor Real (UVR)

COP-Unidad de Valor Real (UVR): For any Reset Date, the difference between the value of the 

unidad de valor real (UVR) as certified by the Colombian 

Banco de Republica for the calendar day preceding such Reset 

Date and the value of unidad de valor real (UVR) as certified by 

the Colombian Banco de Republica for such Reset Date.

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the COP-Unidad de 

Valor Real (UVR).

If for any Reset Date there is no published the difference 

between the value of the unidad de valor real (UVR) as certified 

by the Colombian Banco de Republica, the Calculation Agent 

shall determine the COP-Unidad de Valor Real (UVR) for such 

day.

Non-Deliverable Swap Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Non-Deliverable Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Non-Deliverable Single-Currency Swap Notional Amounts

Currency Minimum Increment

INR 5,000,000 100,000

MYR 5,000,000 100,000

RHB 5,000,000 100,000
Non-Deliverable Swaps

202

Non-Deliverable Cross-Currency Swap Notional Amounts

Currency Minimum Increment

ARS As implied by the USD minimum As implied by the USD increment

BRL As implied by the USD minimum As implied by the USD increment

CLP As implied by the USD minimum As implied by the USD increment

COP As implied by the USD minimum As implied by the USD increment

PEN As implied by the USD minimum As implied by the USD increment

USD 1,000,000 100,000
Non-Deliverable Foreign Exchange Options

203

Non-Deliverable Foreign Exchange Options

Terms and Conditions

Summary: This covers “Non-Deliverable Foreign Exchange 

Options”.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards:

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”);

(b) the current EMTA Template Terms for NonDeliverable Currency Option Transactions applicable to 

the Reference Currency and Settlement Currency (to the 

extent available for a particular Currency Pair) (available 

at: https://www.emta.org/ndftt.aspx); and

(c) ISDA OTC Taxonomies.

Contract Types: Each Non-Deliverable Foreign Exchange Option traded is 

bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge.

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Vanilla Option, NDO, Simple Exotic or Complex Exotic

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties.

Commencement Date: The Trade Date, unless otherwise specified by the parties. 

This applies only where the Currency Option Style is 

American.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Currency Option Style: As specified by the parties.
Non-Deliverable Foreign Exchange Options

204

(An American option can be exercised any time up to and 

including the Expiration Date; a European option can 

only be exercised on the Expiration Date.)

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a binary 

or digital option.

Call Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price.

Put Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price.

Strike Price: As specified by the parties (if only one of the Put 

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions.

Settlement Rate Option: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Settlement: Non-Deliverable

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.
Non-Deliverable Foreign Exchange Options

205

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier Event: As specified by the parties.

Calculation Agent: As specified by the parties.

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions.

Non-Deliverable Foreign Exchange Option Available Currency Pairs

AUD/CNY CNY/THB IDR/PHP MYR/CNH THB/INR

AUD/IDR CNY/TWD IDR/THB MYR/CNY THB/KRW

AUD/INR EUR/ARS IDR/TWD MYR/EUR THB/MYR

AUD/KRW EUR/BRL INR/AUD MYR/GBP THB/PHP

AUD/MYR EUR/CLP INR/CAD MYR/IDR THB/TWD

AUD/PHP EUR/CNY INR/CHF MYR/INR TWD/AUD

AUD/TWD EUR/COP INR/CNH MYR/JPY TWD/CAD

BRL/JPY EUR/IDR INR/CNY MYR/KRW TWD/CHF

BRL/MXN EUR/INR INR/EUR MYR/NZD TWD/CNH

CAD/BRL EUR/KRW INR/GBP MYR/PHP TWD/CNY

CAD/CNY EUR/KZT INR/HKD MYR/SGD TWD/EUR

CAD/IDR EUR/MYR INR/IDR MYR/TWD TWD/GBP

CAD/INR EUR/PEN INR/JPY NZD/CNY TWD/HKD

CAD/KRW EUR/PHP INR/KRW NZD/IDR TWD/IDR

CAD/MYR EUR/TWD INR/NZD NZD/INR TWD/INR

CAD/PHP EUR/UAH INR/PHP NZD/KRW TWD/JPY

CAD/TWD GBP/BRL INR/SGD NZD/MYR TWD/KRW

CHF/BRL GBP/CNY INR/TWD NZD/PHP TWD/MYR

CHF/CNY GBP/IDR JPY/CNY NZD/TWD TWD/NZD

CHF/IDR GBP/INR JPY/IDR PHP/AUD TWD/PHP

CHF/INR GBP/KRW JPY/INR PHP/CAD TWD/SGD

CHF/KRW GBP/MYR JPY/KRW PHP/CHF TWD/THB

CHF/MYR GBP/PHP JPY/MYR PHP/CNH USD/ARS

CHF/PHP GBP/TWD JPY/PHP PHP/CNY USD/BRL

CHF/TWD HKD/CNY JPY/TWD PHP/EUR USD/CLP
Non-Deliverable Foreign Exchange Options

206

CNH/IDR HKD/IDR KRW/AUD PHP/GBP USD/CNY

CNH/INR HKD/INR KRW/CAD PHP/HKD USD/COP

CNH/KRW HKD/KRW KRW/CHF PHP/IDR USD/EGP

CNH/MYR HKD/MYR KRW/CNH PHP/INR USD/GHS

CNH/PHP HKD/PHP KRW/CNY PHP/JPY USD/IDR

CNH/TWD HKD/TWD KRW/EUR PHP/KRW USD/INR

CNY/AUD IDR/AUD KRW/GBP PHP/MYR USD/KES

CNY/CAD IDR/CAD KRW/IDR PHP/NZD USD/KRW

CNY/CHF IDR/CHF KRW/INR PHP/THB USD/KZT

CNY/EUR IDR/CNH KRW/JPY PHP/TWD USD/MYR

CNY/GBP IDR/CNY KRW/MYR SGD/CNY USD/NGN

CNY/HKD IDR/EUR KRW/NZD SGD/IDR USD/PEN

CNY/IDR IDR/GBP KRW/PHP SGD/INR USD/PHP

CNY/INR IDR/HKD KRW/SGD SGD/KRW USD/RUB

CNY/JPY IDR/INR KRW/THB SGD/MYR USD/TWD

CNY/KRW IDR/JPY KRW/TWD SGD/PHP USD/UAH

CNY/MYR IDR/KRW MYR/AUD SGD/TWD USD/VND

CNY/NZD IDR/MYR MYR/CAD THB/CNY USD/ZMW

CNY/PHP IDR/NZD MYR/CHF THB/IDR
Non-Deliverable Forward Foreign Exchange Contracts

207

Non-Deliverable Forward Foreign Exchange Contracts

Terms and Conditions

Summary: A non-deliverable forward (“NDF”) is an outright 

forward in which the counterparties settle the difference 

between the contracted NDF price or rate and the 

prevailing spot price or rate on an agreed notional 

amount in an agreed settlement currency.

Reference Currency

(i.e., Non-Delivery Currency):

• AOA Angolan Kwanza

• ARS Argentine Peso 

• BDT Bangladeshi Taka

• BRL Brazilian Real 

• CLP Chilean Peso 

• COP Colombian Peso 

• CNY Chinese Renminbi 

• DZD Algerian Dinar

• EGP Egyptian pound 

• GHS Ghanaian Cedi

• GTQ Guatemalan quetzal 

• IDR Indonesian Rupiah 

• INR Indian Rupee 

• KES Kenyan Shilling

• KRW South Korean Won 

• KZT Kazakh tenge 

• LKR Sri Lankan Rupee

• MAD Moroccan Dirham

• MUR Mauritian Rupee

• MYR Malaysian Ringgit 

• MZN Mozambican Metical

• NGN Nigerian Naira

• PEN Peruvian nuevo sol 

• PHP Philippine Peso 

• PKR Pakistani Rupee

• RUB Russian ruble 

• TND Tunisian Dinar

• TWD Taiwan Dollar 

• TZS Tanzanian Shilling
Non-Deliverable Forward Foreign Exchange Contracts

208

• UAH Ukrainian Hryvnia

• UGX Ugandan Shilling

• UYU Uruguayan peso 

• VEB Venezuelan bolívar

• VND Vietnamese đồng 

• XAF Central African CFA Franc

• XOF West African CFA Franc

• ZMW Zambian Kwacha

Settlement Currency: • AUD Australian Dollar

• CAD Canadian Dollar

• EUR Euro

• GBP British Pound

• JPY Japanese Yen

• USD US Dollar

• CHF Swiss Franc

Quoting Convention and Minimum Increment: Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which contract size is expressed, as agreed 

by counterparties.

Trading Conventions: Buy or Sell which refers to the contract size expressed 

in notional currency.

Forward Rates: Currency exchange rate expressed as the amount of 

reference currency per unit of settlement currency.

Trade Date: The date on which parties enter into the contract.

Settlement Date: Specified settlement or payment date, as agreed by 

counterparties.

Fixing Date: The date at which the difference between the prevailing 

market exchange rate and the agreed upon exchange 

rate is calculated.

Settlement Procedure: Bilateral settlement performed in settlement currency.

Disruption Events: Unless otherwise specified by the parties, as set forth in 

the EMTA Template Terms for Non-Deliverable FX 

Forward Transactions applicable to the Reference 

Currency and Settlement Currency:

http://www.emta.org/ndftt.aspx
PO Index Contracts

209

PO Index Contracts

Terms and Conditions

Summary: This covers Markit PO Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit PO Standard Terms Supplement (June 

12, 2010 version) or any subsequent Standard 

Terms Supplement (the “Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: PO

ISDA OTC Transaction Type: PO

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit PO Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:
PO Index Contracts

210

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

211

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating interest 

rate swaps cleared by the Chicago Mercantile Exchange 

Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared may be traded 

are as specified in these terms and conditions, which 

incorporate the CME Rulebook, in particular Chapters 

900 and 901 (and any successor provisions) and the 

CME Cleared IRS Product Scope (or any successor).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared, 

participants are representing that they are familiar 

with the CME Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

212

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate for Initial Calculation Period: As per the CME Rulebook.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Compounding: As per the CME Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the CME Rulebook.
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

213

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating swaps 

cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swaps/LCH Cleared contract may 

be traded are as specified in these terms and conditions, 

which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/LCH Cleared, participants 

are representing that they are familiar with the LCH 

Rulebook and the limitations on transaction terms 

contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, since 

the LCH may reserve the right to select when and how 

such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with LCH Clearing Requirements

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA 2006) elected 

by, or otherwise binding on, the parties in accordance with 

the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties subject 

to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant transaction 

type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in the 

LCH Rulebook, which may limit the earliest or latest day 

on which such fees may be paid based on Currency or 

other factors.
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

214

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or Floating 

Rate Option Basis and may otherwise limit the available 

Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

LCH Rulebook.

Floating Rate Payer As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Rate Payer Compounding Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the related 

rate source page.

Spread: Subject to any minimum or maximum rate and per-period 

variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction.
U.S. Electricity – Fixed/Floating Swap Contracts

215

U.S. Electricity – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers fixed-for-floating U.S. electricity swaps 

(“U.S. Electricity – Fixed/Floating Swap Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which U.S. Electricity – Fixed/Floating 

Swap Contracts may be traded are shown below or in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy

ISDA OTC Sub-Product: Elec

ISDA OTC Transaction type: Swap

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: USNY

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: USNY

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Commodity As specified by the parties from among the Available 

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Settlement Periods: If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein.

Parties may specify one of the Available Set Tenors as a 

Settlement Period or may specify another period.
U.S. Electricity – Fixed/Floating Swap Contracts

216

Applicable Days: If applicable to the relevant Commodity Reference Price 

and specified therein or if applicable to the relevant 

Available Set Tenor and specified therein (i.e., Month).

Applicable Days does not apply to Commodity 

Reference Prices under the headings “ISDA Definition” 

or “Exchange Definition”.

Duration: Hourly

Start Time(s)/End Time(s): If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.

Payment Date Business Days: USNY

Payment Date Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.

U.S. Electricity – Fixed/Floating Swap Contracts Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

U.S. Electricity – Fixed/Floating Swap Contracts Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

U.S. Electricity – Fixed/Floating Swap Contracts Available Set Tenors
U.S. Electricity – Fixed/Floating Swap Contracts

217

Set Tenor Settlement Period

Month The specified calendar month; if OFF PEAK/PEAK is 

not specified, PEAK is assumed

Season Season Days in Specified Year

Winter 1 January through the last 

day of February in the 

specified year

Spring 1 March through 30 April 

in the specified year

Summer 1 July through 31 August 

in the specified year

Quarter Quarter Number Days in Specified Year

Q1 1 January through 31 

March

Q2 1 April through 30 June

Q3 1 July through 30 

September

Q4 1 October through 31 

December

Calendar Year 1 January through 31 December in the specified year

Planning Year 1 June in the specified beginning calendar year through 

31 May in the specified ending calendar year

U.S. Electricity – Fixed/Floating Swap Contracts Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

Note that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the 

Clock”); for the equivalent Peak and Off-Peak prices, see below.

ISDA Definition

ELECTRICITY-NYISO-ZONE A (WEST)-DAY AHEAD

ELECTRICITY-NYISO-ZONE G (HUD VL)-DAY AHEAD

ELECTRICITY-NYISO-ZONE J (N.Y.C.)-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-MASS HUB-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-NE MASS BOSTON-DAY AHEAD

ELECTRICITY-PJM-EASTERN HUB-DAY AHEAD

ELECTRICITY-PJM-PSEG-DAY AHEAD

ELECTRICITY-PJM-WESTERN HUB-DAY AHEAD

Exchange Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. Note 

that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the Clock”); 

for the equivalent Peak and Off-Peak prices, see below.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

ELECTRICITY Electricity MwH ICE USD 0.01 "ELECTRICIT
U.S. Electricity – Fixed/Floating Swap Contracts

218

-NP15 DAY 

AHEAD PEAKICE

Y-CAISONP15-DAY 

AHEAD"

ELECTRICITY

-NP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISONP15-DAY 

AHEAD"

ELECTRICITY

-SP15 DAY 

AHEAD OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY 

AHEAD"

ELECTRICITY

-SP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICIT

Y-CAISOSP15-DAY 

AHEAD"

ELECTRICITY

-PALO VERDE 

OFF PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE 

OFF-PEAK-ICE

ELECTRICITY

-PALO VERDE 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-PALO VERDE 

PEAK-ICE

ELECTRICITY

-MID C OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C OFFPEAK-ICE

ELECTRICITY

-MID C PEAKICE

Electricity MwH ICE USD 0.01 ELECTRICITY

-MID C PEAKICE

Non-ISDA, Non-Exchange Definitions

For any of the Commodity Reference Prices below, the price for the Settlement Period specified for that Pricing Date 

will be that hour’s Specified Price per MWh of electricity for delivery on an Applicable Day specified for that 

Commodity Reference Price, published by the specified Source on the specified Page under the specified Heading 

(or any successor Source, Page or Heading), that reports prices effective on such Applicable Day.

Commodity 

Reference Price

Settlement 

Period

Source Page Heading

ELECTRICITYPJM-AEP 

DAYTON HUBATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBN/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspx

AEP DAYTON 

HUB, TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

219

ATC 

REALTIME

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

REAL TIME

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK 

REAL TIME

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON 

HUB, TotalLMP

ELECTRICITYPJM-COMED 

HUB-ATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYPJM-COMED 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYPJM-COMED 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYMISOINDIANA HUBATC DAY 

AHEAD

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBPEAK DAY 

AHEAD

Eastern 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBATC REAL 

TIME

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBOFF PEAK 

REAL TIME

Eastern Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISOINDIANA HUBPEAK REAL Eastern 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)
U.S. Electricity – Fixed/Floating Swap Contracts

220

TIME

ELECTRICITYMISOMICHIGAN 

HUB-ATC DAY 

AHEAD

N/A MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISOMICHIGAN

HUB-OFF 

PEAK DAY 

AHEAD

Central Off 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISOMICHIGAN 

HUB-PEAK 

DAY AHEAD

Central 

Peak

MISO https://www.misoenergy.org/Library/Ma

rketReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: 

Name: Day Ahead Pricing (pdf))

Michigan Hub, 

LMP Prices ($ per 

MW)

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK 

DAY AHEAD

Central Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK DAY 

AHEAD

Central 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC REAL 

TIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK 

REAL TIME

Central Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK REAL 

TIME

Central 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYISO NEW N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate.Z.CONNECTICUT

, Locational 
U.S. Electricity – Fixed/Floating Swap Contracts

221

ENGLANDCONNECTICU

T ZONE-ATC 

DAY AHEAD

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDCONNECTICU

T ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT

, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW See ISDA Definition
U.S. Electricity – Fixed/Floating Swap Contracts

222

ENGLANDMASS HUBATC DAY 

AHEAD

ELECTRICITYISO NEW 

ENGLANDMASS HUBOFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HU

B, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMASS HUBPEAK DAY 

AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HU

B, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-DAY 

AHEAD

See ISDA Definition

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh

ELECTRICITY- N/A ISO NE http://www.iso- .Z.WCMASS, 
U.S. Electricity – Fixed/Floating Swap Contracts

223

ISO NEW 

ENGLANDWCMASS 

ZONE-DAY 

AHEAD

ne.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?cate

gory=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYPJMATLANTIC 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJMATLANTIC 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJMATLANTIC 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJMBALTIMORE 

GAS AND 

ELECTRIC 

ZONE-PEAK 

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

224

DAY AHEAD

ELECTRICITYPJM-DPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-DPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-DPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-EASTERN 

HUB-ATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYPJM-EASTERN 

HUB-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP

ELECTRICITYPJM-EASTERN 

HUB- PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP

ELECTRICITYPJM-JCPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-JCPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-JCPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-PECO N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

225

ZONE-ATC 

DAY AHEAD

ELECTRICITYPJM-PECO 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PECO 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-ATC 

DAY AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-OFF 

PEAK DAY 

AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PPL 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, 

TotalLMP

ELECTRICITYPJM-PSEG 

ZONE-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITY- Eastern PJM http://www.pjm.com/markets-and- PSEG ZONE, 
U.S. Electricity – Fixed/Floating Swap Contracts

226

PJM-PSEG 

ZONE-OFF 

PEAK DAY 

AHEAD

Off-Peak operations/energy/day-ahead/lmpda.aspx TotalLMP

ELECTRICITYPJM-PSEG 

ZONE-PEAK 

DAY AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPSEG ZONE, 

TotalLMP

ELECTRICITYPJM-WESTATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYPJM-WESTOFF PEAK 

DAY AHEAD

Eastern 

Off-Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP

ELECTRICITYPJM-WESTPEAK DAY 

AHEAD

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP

ELECTRICITYPJM-WEST 

HUB-ATC 

REALTIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYPJM-WEST 

HUB-OFF 

PEAK REAL 

TIME

Eastern Off

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYPJM-WEST 

HUB-OFF 

PEAK REAL 

TIME

Eastern 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYNYISO-NY 

ZONE A-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY

ZONE A-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE A- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE A-ATC 

DAY AHEAD

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

WEST, LBMP 

($/MWHr)
U.S. Electricity – Fixed/Floating Swap Contracts

227

ZONE A-OFF 

PEAK DAY 

AHEAD

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

ELECTRICITYNYISO-NY 

ZONE A- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C-ATC 

DAY AHEAD

ATC NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE C- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE G-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY 

ZONE G-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

HUD VL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE G- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

HUD VL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE H-ATC 

DAY AHEAD

See ISDA 

Definition

ELECTRICITYNYISO-NY 

ZONE H-OFF 

PEAK DAY 

AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

N.Y.C., LBMP 

($/MWHr)

ELECTRICITYNYISO-NY 

ZONE H- PEAK 

DAY AHEAD

Eastern 

Peak

NYISO http://www.nyiso.com/public/markets_o

perations/market_data/pricing_data/inde

x.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

N.Y.C., LBMP 

($/MWHr)

ELECTRICITYCAISO-NP 15 

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-NP15- PEAK-ICE and ELECTRICITY-NP15- OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 
U.S. Electricity – Fixed/Floating Swap Contracts

228

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange).

ELECTRICITYCAISO-SP 15 

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-SP15- PEAK-ICE and ELECTRICITY-SP15- OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange).

ELECTRICITYPALO VERDE 

ATC-ICE

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-PALO VERDE PEAK-ICE and ELECTRICITY-PALO VERDE OFFPEAK-ICE Commodity Reference Prices for the relevant period, weighted on the basis of the 

number of hourly periods in the relevant period which are peak and off-peak respectively 

(with peak and off peak having the meaning specified in the definition of the Commodity 

Reference Price by the Exchange)

ELECTRICITYMID C ATCICENotwithstanding the Commodity Definitions, will be calculated as the weighted average of 

the ELECTRICITY-MID C PEAK-ICE and ELECTRICITY-MID C OFF-PEAK-ICE 

Commodity Reference Prices for the relevant period, weighted on the basis of the number of 

hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange)

U.S. Electricity – Fixed/Floating Swap Contracts Specified Time Periods

Non-FERC Holidays (all times are 

Hours Ending and use 24-hour 

clock)

FERC Holidays

California Off Peak Excludes 0700 through 2200 Pacific 

Prevailing Time

Includes all hours on FERC 

Holidays

California Peak Includes 0700 through 2200 Pacific 

Prevailing Time

Excludes all hours on FERC 

Holidays

Eastern Off Peak1 Excludes 0800 through 2300 Eastern 

Prevailing Time

Includes all hours on FERC 

Holidays

Eastern Peak Includes 0800 through 2300 Eastern 

Prevailing Time

Excludes all hours on FERC 

Holidays

 

1 Times for Commodity Reference Prices reported for Central Timezone (e.g., Illinois, Michigan) will be converted 

to their Eastern time equivalents
USD Equity Basket Swap (Broad Based)

229

USD Equity Basket Swap (Broad Based)

Terms and Conditions

Summary: This covers equity total-return swaps on broad-based 

baskets of equities traded in USD. 

For purposes of relevant CFTC and SEC regulations, such 

basket shall be on a broad-based index.

Limitations on Available Selections and Default 

Settings:

The terms under which USD Equity Basket Swap (Broad 

Based) may be traded are shown below or in the attached 

tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate Options.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and standards:

(a) 2006 ISDA Definitions;

(b) 2002 ISDA Equity Derivatives Definitions; and

(c) Annex SS to 2004 Americas Interdealer Master Equity 

Derivatives Confirmation (except that references therein 

to the 2000 ISDA Definitions shall be deemed references 

to the 2006 ISDA Definitions).

For convenience, certain terms are mapped to their FpML 

5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Basket

Further Limitations: None

Terms:

Type of Transaction: Share Basket Swap Transaction

Trade Date: As agreed by the parties.

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): Per Annex SS, unless otherwise agreed by the parties.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): Per Annex SS, unless otherwise specified by the parties.

Basket: As specified by the parties in compliance with the rules 
USD Equity Basket Swap (Broad Based)

230

and regulations of the CFTC and SEC applicable to 

broad-based indices.

Exchange(s): As specified by the parties with respect to each Share 

comprised in the Basket.

Related Exchanges: Per Annex SS, unless otherwise agreed by the parties.

Hedging Party: As specified by the parties.

Determining Party: As specified by the parties.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: Per Annex SS.

Type of Return: Total Return

Initial Price: As specified by the parties and adjusted in accordance 

with Annex SS.

Final Price: As per Annex SS unless otherwise agreed by the parties.

Valuation Time: As per Annex SS unless otherwise agreed by the parties.

Valuation Date: As specified by the parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): As per Annex SS.

Payment Dates: As per Annex SS, unless otherwise agreed by the parties.

Floating Rate Option (“floatingRateIndex”): As per Annex SS, unless otherwise agreed by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: Actual/360

Reset Date (“resetDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment 

Dates):

As per Annex SS, unless otherwise specified by the 

parties.

Settlement Terms:

Cash Settlement: Applicable

Settlement Currency: USD

Dividends:

Dividend Payment Date(s): As per Annex SS unless otherwise agreed by the parties.

Dividend Period: As per Annex SS unless otherwise agreed by the parties.

Dividend Amount: As per Annex SS unless otherwise agreed by the parties.

Relevant Dividend: If type of return is “Total Return” as per Annex SS unless 

otherwise agreed by the parties.

Reinvestment of Dividends: Inapplicable

Dividend Recovery: As per Annex SS unless otherwise agreed by the parties.

Adjustment Events:

Method of Adjustment: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Consequences of Merger Events:

Share-for-Share: As per Annex SS unless otherwise agreed by the parties.

Share-for-Other: As per Annex SS unless otherwise agreed by the parties.

Share-for-Combined: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Consequences of Tender Offers:

Tender Offer: As per Annex SS, unless otherwise agreed by the parties.

Share-for-Share As agreed by the parties if Tender Offer is applicable.
USD Equity Basket Swap (Broad Based)

231

Share-for-Other: As agreed by the parties if Tender Offer is applicable.

Share-for-Combined: As agreed by the parties if Tender Offer is applicable.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Composition of Combined Consideration: Per Annex SS unless otherwise agreed by the parties.

Nationalization, Insolvency or Delisting: Per Annex SS unless otherwise agreed by the parties.

Additional Disruption Events:

Change in Law: As per Annex SS, unless otherwise agreed by the parties.

Insolvency Filing: As per Annex SS, unless otherwise agreed by the parties.

Hedging Disruption: As per Annex SS.

Increased Cost of Hedging: As per Annex SS unless otherwise agreed by the parties.

Loss of Stock Borrow: Inapplicable

Increased Cost of Stock Borrow: Inapplicable

Non-Reliance: As per Annex SS unless otherwise agreed by the parties.

Agreements and Acknowledgements Regarding 

Hedging Activities:

As per Annex SS.

Additional Acknowledgements: As per Annex SS unless otherwise agreed by the parties.

Index Disclaimer: As per Annex SS unless otherwise agreed by the parties.

Mutual Early Termination Right: As agreed by the parties.

Interest Breakage Cost: If Mutual Early Termination Right is applicable, as 

specified by the parties.

Calculation Agent: As agreed by the parties.

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A One Year from 

Effective Date

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Requirements and Defaults

Date Requirement Default

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
Mr. Christopher J. Kirkpatrick

October 29, 2020

EXHIBIT VI

tpSEF Rulebook – Appendix B (Marked)
tpSEF Inc. Rulebook

Appendix B

tpSEF Inc.

Swap Specifications

Effective May 15October 28, 2020

ACTIVE 246164622
2

TABLE OF CONTENTS

Page

Agricultural Options ........................................................................................................................5

Basis Swaps .....................................................................................................................................8

Basis Swaps – CME Cleared .........................................................................................................29

Basis Swaps – LCH Cleared ..........................................................................................................31

BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions...........................................................................................................................33

Bullion Options..............................................................................................................................38

CDS – ABX Indices (Broad Based) Contracts..............................................................................42

CDS Index Contract – Emerging Markets Swaps and Swaptions.................................................44

CDS Index Contract – European Crossover 5Y Swaps and Swaptions.........................................46

CDS Index Contract – European HiVol 5Y Swaps and Swaptions...............................................48

CDS Index Contract – European IG 5Y Swaps and Swaptions.....................................................50

CDS Index Contract – European IG 10Y Swaps and Swaptions...................................................52

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions54

CDS Index Contracts – CMBX......................................................................................................57

CDS Index Contracts – iTraxx Australia.......................................................................................59

CDS Index Contracts – iTraxx Japan.............................................................................................61

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade) .....................63

CDS Index Contracts – MCDX Index ...........................................................................................64

Commodity Index Swaps...............................................................................................................66

Deliverable Foreign Exchange Options.........................................................................................71

Equity Index Swaps .......................................................................................................................75

Equity Index Variance Swaps........................................................................................................88

Equity Index Volatility Swaps.......................................................................................................91
3

Fixed for Floating Agricultural Swaptions....................................................................................94

Fixed for Floating Agricultural Swap Contracts............................................................................98

Fixed for Floating Interest Rate Swaps........................................................................................101

Fixed for Floating Interest Rate Swaptions .................................................................................124

Forward Rate Agreements (Uncleared) .......................................................................................140

Forward Rate Agreements – CME Cleared .................................................................................144

Forward Rate Agreements – LCH Cleared..................................................................................146

iBoxx Index Swaps......................................................................................................................148

Inflation Swaps ............................................................................................................................156

Interest Rate Caps/Floors.............................................................................................................161

Interest Rate Swaps – ASX Cleared ............................................................................................173

Interest Rate Swaps – Eurex Cleared...........................................................................................175

Interest Rate Swaps – JSCC Cleared ...........................................................................................178

IOS Index Contracts.....................................................................................................................180

MBX Index Contracts..................................................................................................................182

Municipal Market Data Rate Lock Transactions.........................................................................184

Natural Gas Date/Instrument Spread Contracts...........................................................................187

Natural Gas – Financial Basis Swap Contracts............................................................................189

Natural Gas – Fixed/Floating Swap Contracts.............................................................................191

Natural Gas – Swing Swap Contracts..........................................................................................192

Non-Deliverable Swaps...............................................................................................................194

Non-Deliverable Foreign Exchange Options...............................................................................203

Non-Deliverable Forward Foreign Exchange Contracts..............................................................207

PO Index Contracts......................................................................................................................209

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared ...................................211
4

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared ...................................213

U.S. Electricity – Fixed/Floating Swap Contracts.......................................................................215

USD Equity Basket Swap (Broad Based)....................................................................................229
Agricultural Options

5

Agricultural Options

Terms and Conditions

Summary: This covers uncleared agricultural options (“Agricultural 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which Agricultural Options may be 

traded are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Commodity: As specified by the parties from among the Available 

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: For an Asian Option, as specified by the parties on a perCalculation-Period Basis.

Calculation Period(s): For an Asian Option, as specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: For an Asian Option, as specified by the parties from 

among the Available Business Day Conventions.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: As specified by the parties from among the Available 

Option Types.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Business Day: As specified by the parties.

Pricing Date(s): As specified by the parties.

Method of Averaging: For Asian Options, as specified by the parties or 

otherwise per the Commodity Definitions.

Strike Price per Unit: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.
Agricultural Options

6

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the 

times on such days specified by the parties.

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Cash Settlement Terms:

Cash Settlement: Applicable

Settlement Dates: As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Calculation Agent: As agreed by the parties.

Agricultural Option Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Agricultural Options Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Agricultural Option Available Option Style

ISDA Name

American

European

Bermuda

Asian

Agricultural Options Available Commodity Reference Prices

ISDA Definitions
Agricultural Options

7

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING WHEATMGEX

Wheat Bushel Minneapolis Grain 

Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry Milk Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT

 

1The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.
Basis Swaps

8

Basis Swaps

Terms and Conditions

Summary: This covers basis swaps (“Basis Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap may be traded are 

as specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: None
Basis Swaps

9

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount 1 (“FA1”):

FA1 Payer (“payerPartyReference”): As specified by the parties.

FA1 Currency Amount (“notionalAmount”): As specified by the parties.

FA1 Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

FA1 first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

FA1 Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

FA1 initial Floating Rate: As specified by the parties.

FA1 Floating Rate Option (“floatingRateIndex”): As specified by the parties.

FA1 Designated Maturity (‘indexTenor”): As specified by the parties.

FA1 Linear Interpolation: For the Calculation Periods specified by the parties.

FA1 Shorter Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA1 Longer Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA1 Spread: As specified by the parties.

FA1 Day Count Fraction: As specified by the parties.

FA1 Reset Dates (“resetDate”): As specified by the parties.

FA1 Method of Averaging: As specified by the parties.

FA1 Compounding: As specified by the parties.

FA1 Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

FA1 Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

FA1 Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

FA1 Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA1 Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days

FA1 Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA1 Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.
Basis Swaps

10

FA1 Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount 2 (“FA2”):

FA2 Payer (“payerPartyReference”): As specified by the parties.

FA2 Currency Amount (“notionalAmount”): As specified by the parties.

FA2 Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

FA2 first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

FA2 Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

FA2 initial Floating Rate: As specified by the parties.

FA2 Floating Rate Option (“floatingRateIndex”): As specified by the parties.

FA2 Designated Maturity (“indexTenor”): As specified by the parties.

FA2 Linear Interpolation: For the Calculation Periods specified by the parties.

FA2 Shorter Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA2 Longer Designated Maturity for Linear 

Interpolation:

For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

FA2 Spread: As specified by the parties.

FA2 Day Count Fraction: As specified by the parties.

FA2 Reset Dates (“resetDate”): As specified by the parties.

FA2 Method of Averaging: As specified by the parties.

FA2 Compounding: As specified by the parties.

FA2 Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

FA2 Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

FA2 Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

FA2 Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA2 Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

FA2 Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FA2 Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

FA2 Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are 

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap. 

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is not 

applicable. 

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

FA1 Payer Initial Exchange Amount: As specified by the parties.
Basis Swaps

11

FA2 Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

FA1 Payer Interim Exchange Amount: As specified by the parties.

FA2 Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

FA1 Payer Final Exchange Amount: As specified by the parties.

FA2 Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller's Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a cross currency Transaction whose 

currencies are listed as a “currency pair” in the Cross 

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.
Basis Swaps

12

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Basis Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

JPY Japanese Yen JPTO

MXN New Mexican Peso MXMC

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO
Basis Swaps

13

Basis Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Basis Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Basis Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN, ZAR Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP, ZAR Plus Zero

Basis Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Basis Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HKD 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

JPY 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 5,000,000 100,000 N/A N/A
Basis Swaps

14

ZAR 5,000,000 100,000 N/A N/A

Basis Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBRAUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBA- All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 
Basis Swaps

15

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

SwapMarker Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CLP-CLICPBloomberg All quoted tenors N/A A/360 N

CLP-Unidad de 

Fomento (UF/CLF) All quoted tenors N/A A/360 N

CZK-PRIBOR-PRBO All quoted tenors N/A A/360 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2-

DKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CITADKNA14-

COMPOUND

All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

16

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

Rate-10:00-

Bloomberg

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIAOIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

17

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-ISDAEURIBOR Swap 

Rate-11:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDAEURIBOR Swap 

Rate-12:00

All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-

ICAP

All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBARONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

18

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

GBP-WMBASONIACOMPOUND

All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate4:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap 

Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

19

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks)-

Bloomberg

All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBORZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIEReference Banks All quoted tenors N/A Per ISDA 2006 N

MXN-Unidades de 

Inversión (UDI) N/A N/A See below N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap Rate- All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

20

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

ICAP-Reference 

Banks

PLN-WIBOR_WIBO All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAPCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA 

Municipal Swap 

Index

All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

21

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-

FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-

Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-

Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-

LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00- All quoted tenors N/A Per ISDA 2006 N
Basis Swaps

22

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

BGCANTOR

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-PrimeReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P IndexHigh Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap 

Index

All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006

No

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF) For any Reset Date, the difference between the value of the unidad de 

fomento (UF/CLF) as certified by the Chilean Banco Central de Chile

for the calendar day preceding such Reset Date and the value of the 

unidad de fomento (UF/CLF) as certified by the Chilean Banco Central 

de Chile for such Reset Date.

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

payable by reference to the CLP-Unidad de Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad de 
Basis Swaps

23

fomento (UF/CLF) as certified by the Chilean Banco Central de Chile, 

the Calculation Agent shall determine the CLP-Unidad de Fomento 

(UF/CLF) for such day.

Definition of MXN-Unidades de Inversión (UDI)

MXN-Unidades de Inversión (UDI) For any Reset Date, the difference between the value of the unidad de 

inversión (UDI) as published by the Mexican Banco de México for the 

calendar day preceding such Reset Date and the value of the unidad de 

inversión (UDI) as published by the Mexican Banco de México for 

such Reset Date.

The Calculation Agent shall convert such difference to the appropriate 

annualized percentage based on the terms of the Floating Amount 

payable by reference to the CLP MXN-Unidades de Inversión (UDI).

If for any Reset Date there is no published value of the MXNUnidades de Inversión (UDI) as certified by the Mexican Banco de 

México, the Calculation Agent shall determine the CLP MXNUnidades de Inversión (UDI) for such day.

Basis Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix Applicable (to Mark-to-Market 

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day

Convention:

Modified Following

Definition of USD-SOFR-COMPOUND
Basis Swaps

24

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006.

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the 

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it 

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as 

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the 

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which 

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is 

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of OBFR 

has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be permanently 

or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or other official 

sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to, Swap 

Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period occurring on 

or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR 

were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if 

necessary, in accordance with the method set forth in Section 8.1(a):

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the 

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities 

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in the 

relevant Calculation Period;

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New 

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of 

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day 

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities 

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a 

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as 

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was published 

on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi; 
Basis Swaps

25

“d” is the number of calendar days in the relevant Calculation Period;

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following 

events:

(a) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR) announcing 

that it has ceased or will cease to provide SOFR permanently or indefinitely, provided that, at that time, there is 

no successor administrator that will continue to provide SOFR; 

(b) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a 

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely, 

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(c) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to, but 

need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor 

administrator of SOFR) ceases to publish SOFR or the date as of which SOFR may no longer be used; and

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York, as 

the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and published 

on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single rate, the midpoint of the short-term interest rate target range set by the Federal Open Markets Committee and published on the 

Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target range and the lower 

bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at 

http://www.federalreserve.gov, or any Successor Source.

Basis Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention:

Modified Following

Basis Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default
Basis Swaps

26

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Basis Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement 

Matrix:

Applicable, if cross currency swap 

with currency pair included in 

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but one Valuation 

Business Day before 

Mandatory/Optional Early 

Termination Date for MXN and 

same day for CAD, GBP or DKK 

with Floating Rate Option of “DKKCIBOR-DKNA13” or “DKKCIBOR-DKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid

ask

mid
Basis Swaps

27

Exercising Party Pays (Optional 

Early Termination Only)
Basis Swaps – CME Cleared

28

Basis Swaps – CME Cleared

Terms and Conditions

Summary: This covers single-currency floating-for-floating 

(“basis”) swaps cleared by Chicago Mercantile 

Exchange Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap/CME Cleared 

may be traded are as specified in these terms and 

conditions and which incorporate the CME Rulebook, 

in particular Chapters 900 and 901 (and any successor 

provisions) and the CME Cleared IRS Product Scope 

(or any successor).

By electing to trade a Basis Swap/CME Cleared, 

participants are representing that they are familiar 

with the CME Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA 

Definitions. Be aware that the timing of effectiveness 

of amendments or supplements to the ISDA 

standards may vary between bilateral and CME 

contracts, since the CME may reserve the right to 

select when and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Basis

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.
Basis Swaps – CME Cleared

29

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook.

Floating Rate Payer 1 Floating Rate Payer Payment 

Dates:

As per the CME Rulebook.

Floating Rate Payer 1 Floating Amount: As per the CME Rulebook.

Floating Rate Payer 1 Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set.

Floating Rate Payer 1 Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 1 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Floating Rate Payer 1 Reset Dates: As the per CME Rulebook.

Floating Rate Payer 1 Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate Payer 1 Compounding: As per the CME Rulebook.

Floating Rate Payer 1 Averaging Method: As per the CME Rulebook.

Floating Rate Payer 1 Initial Floating Rate: As per the CME Rulebook.

Floating Rate Payer 2 Floating Rate Payer Payment 

Dates:

As per the CME Rulebook.

Floating Rate Payer 2 Floating Amount: As per the CME Rulebook.

Floating Rate Payer 2 Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set.

Floating Rate Payer 2 Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 2 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Floating Rate Payer 2 Reset Dates: As the per CME Rulebook.

Floating Rate Payer 2 Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate Payer 2 Compounding: As per the CME Rulebook.

Floating Rate Payer 2 Averaging Method As per the CME Rulebook.

Floating Rate Payer 2 Initial Floating Rate As per the CME Rulebook.

Floating Rate 1 Floating Rate Payer: As determined by the parties.

Floating Rate 2 Floating Rate Payer As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitation in the 

CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitation in the 

CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitation in the 

CME Rulebook.
Basis Swaps – LCH Cleared

30

Basis Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single-currency floating-for-floating 

(“basis”) cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Basis Swap/LCH Cleared may 

be traded are as specified in these terms and conditions 

and which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions).

By electing to trade a Basis Swap/LCH Cleared, 

participants are representing that they are familiar 

with the LCH Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. Be aware that the timing 

of effectiveness of amendments or supplements to 

the ISDA standards may vary between bilateral and 

LCH contracts, since the LCH may reserve the right 

to select when and how such changes become 

effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Basis

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the LCH Rulebook, which may limit the earliest or 

latest day on which such fees may be paid based on 

Currency or other factors.
Basis Swaps – LCH Cleared

31

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH 

Rulebook.

Floating Rate Payer 1: As determined by the parties.

Floating Rate Payer 1 Payment Dates: As per the LCH Rulebook.

Floating Rate Payer 1 Compounding Dates: As per the LCH Rulebook.

Floating Rate Payer 1 Floating Rate Option: As determined by the parties, subject to LCH Rulebook, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Floating Rate Payer 1 Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 1 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Floating Rate Payer 1 Reset Dates: As the per LCH Rulebook.

Floating Rate Payer 1 Floating Rate Daycount Fraction: As per the LCH Rulebook.

Floating Rate Payer 2: As determined by the parties.

Floating Rate Payer 2 Payment Dates: As per the LCH Rulebook.

Floating Rate Payer 2 Compounding Dates: As per the LCH Rulebook.

Floating Rate Payer 2 Floating Rate Option: As determined by the parties, subject to LCH Rulebook, 

which may provide a more limited list of available 

options than are available for a Currency than does the 

Definition Set.

Floating Rate Payer 2 Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Floating Rate Payer 2 Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Floating Rate Payer 2 Reset Dates: As the per LCH Rulebook.

Floating Rate Payer 2 Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

32

BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

Terms and Conditions

Summary: This covers BRL CDI Deliverable and Non-Deliverable 

Interest Rate Swap Contracts and Physically-Settled 

Swaptions Thereon (the “Contracts”). 

Non-Deliverable Contracts are paid in USD, and 

Deliverable Contracts are paid in BRL.

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

(d) the Recommended EMTA-ISDA Market Practice for 

BRL CDI Non-Deliverable Interest Rate Swap 

Transactions (Amended March 13, 2009) (“BRL CDI 

Best Practices”)

(e) the EMTA BRL/USD NDF Template dated May 17, 

2006 (the “NDF Template”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

33

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Days: In the case of a Non-Deliverable Contract, USNY and 

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only.

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties.

Termination Date Business Day Convention: Following

Fx Factor: In the case of a Non-Deliverable Contract, rate 

determined in accordance with the NDF Template, 

treating the Business Day preceding the day of 

calculation of the relevant Fixed Amount or Floating 

Amount as the “Valuation Date” thereunder. (Under the 

NDF Template, this will result in use of the BRL PTAX 

(BRL09) rate in the first instance.)

In the case of a Deliverable Contract, 1.0.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): The Trade Date Present Value Notional Amount 

specified by the parties.

If the parties do not specify a Notional Amount or a 

Trade Date Present Value Notional Amount but specify 

a Termination Date Future Value Notional Amount, then 

the Notional Amount will be the Trade Date present 

value of the Termination Date Future Value Notional 

Amount discounted at the Fixed Rate.

Future Value Notional Amount: An amount in BRL as specified by the parties (or 

determined based on the Trade Date Present Value 

Notional Amount specified by them), subject to the 

Minimum Notional Amount and Increment specified 

below.

Trade Date Present Value Notional Amount: An amount in BRL as specified by the parties; such 

amount shall be subject to the Minimum Notional 

Amount and Increment implied by the Future Value 

Notional Amount.

Fixed Rate: As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal:

Calculation Days: As defined in the BRL CDI Best Practices.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date.

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): Same as the Fixed Rate Payer Payment Amount.
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

34

Floating Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

Payment Dates (“unadjustedPaymentDate”): The Termination Date.

Floating Rate: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset 

Date

Relevant Rate: CDI-Rate (as defined in the attachment).

Designated Maturity (‘indexTenor”): As specified by the parties from among the available 

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI 

Best Practices).

Reset Dates Business Days: As specified by the parties from among the Available 

BR Business Days.

Floating Rate Payment Dates: The Termination Date.

Calculation Agent: As agreed by the parties.

Swaption Terms:

Option Style: European

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller’s Agent: As specified by the parties.

Premium: In the case of a Non-Deliverable Contract, an amount in 

USD specified by the parties.

In the case of a Deliverable Contract, an amount in USD 

specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Dates: Following

Business Days for Payments: In the case of a Non-Deliverable Contract, USNY and 

the BR Business Day selected by the parties, unless there 

is an Unscheduled Holiday (as defined in the NDF 

Template) following the Trade Date, in which case 

USNY only.

In the case of a Deliverable Contract, the BR Business 

Day selected by the parties.

Exercise Business Days: As specified by the parties from among the BR Business 

Days.

Swaption Procedure for Exercise:

General: The parties may enter into swaptions with respect to 

which a BRL CDI Swap is the Underlying Swap 

Transaction.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Partial Exercise: As specified by the parties.
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

35

Minimum Notional Amount: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.

Maximum Notional Amount: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.

Integral Multiple: As specified by the parties and expressed as Termination 

Date Future Value Notional Amount.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is 

applicable.

Fallback Exercise: As specified by the parties (if required).

Swaption Settlement Terms:

Physical Settlement: Applicable

BRL CDI Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

BRL Brazilian Reai Any of BR{SP, RJ, BR} and not 

otherwise declared a financial 

market holiday by the BM&F

BRL CDI Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

BRL CDI Floating Rate Options

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). If the BM&F 

does not publish such a rate for such date, CDI for the relevant 

Reset Date shall be determined jointly by the parties. If the 

parties do not agree on a determination of such rate within one 

Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 
BRL CDI Deliverable and Non-Deliverable Interest Rate Swap Contracts and Physically-Settled 

Swaptions

36

described herein. If CDI for a Reset Date is not so determined 

by a CDI Reference Dealer Poll, BRL-CDI-Reference Dealers 

shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. If at least four such quotations 

are obtained from CDI Reference Dealers in any such poll, the 

highest and lowest quotations will be disregarded and CDI for 

the relevant Reset Date will equal the arithmetic mean of the 

remaining quotations. If fewer than four such quotations are 

obtained from a poll, the Calculation Agent shall conduct 

additional such polls until four such quotations are obtained in 

any poll; provided that the Calculation Agent shall not conduct 

more than four polls in the aggregate (with not more than two 

polls on any day and with such polls conducted over not more 

than two Brazil Business Days). If four quotations are not 

obtained from any of such four polls, CDI shall CDI shall not be 

determined by a CDI Reference Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

BRL CDI Notionals

Currency Minimum 

(expressed as 

Termination Date 

Future Value 

Notional Amount)

Increment

(expressed as 

Termination Date 

Future Value 

Notional Amount)

Maximum Default

BRL (Termination 

Date Future Value 

Notional Amount)

BRL 5,000,000 BRL 5,000,000 N/A N/A

BRL (Trade Date 

Present Value 

Notional Amount)

As implied by Termination Date Future Value Notional Amount

USD As implied by BRL Termination Date Future Value Notional Amount
Bullion Options

37

Bullion Options

Terms and Conditions

Summary: This covers uncleared bullion options (“Bullion 

Options”).

Limitations on Available Selections and Default 

Settings:

The terms under which Bullion Options may be traded 

are shown below and in the attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2000 ISDA Definitions

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”), including Sub-Annex B 

thereto.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Metals

ISDA OTC Sub-Product: Precious

ISDA OTC Transaction type: Option

ISDA OTC Settlement type: Cash or Physical

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Bullion: As specified by the parties from among the Available 

Bullion.

Number of Ounces: As specified by the parties. For any type of Bullion, the 

meaning of “Ounce” will be as specified for that Bullion 

in the list of Available Bullion unless otherwise agreed 

by the parties.

Bullion Option Style: As specified by the parties from among the Available 

Bullion Option Styles.

Bullion Option Type: As specified by the parties from among the Available 

Bullion Option Types.

Bullion Option Seller: As specified by the parties.

Bullion Option Buyer: As specified by the parties.

Bullion Strike Price: As specified by the parties as a number of units of the 

one of the Available Currencies.

Bullion Premium: As specified by the parties as a number of units of the 

one of the Available Currencies.

Bullion Premium Payment Date: As specified by the parties.

Bullion Premium Payment Date Business Days Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Bullion Premium Payment Date Business Day 

Convention:

As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.

Bullion Business Day: Shall have the meaning specified in the Commodity 

Definitions, save that the reference to “New York” 

therein shall be deemed to be a reference to the relevant 

financial center for the Applicable Currency in which the 

Bullion Strike Price is denominated.

Method of Averaging: For Asian Options, as specified by the parties or 

otherwise per the Commodity Definitions.

Procedure for Exercise:
Bullion Options

38

Bullion Exercise Period: For an American Style Bullion Option, the period of 

days and the times on such days specified by the parties.

For any other Bullion Option Style, the times on the 

Expiration Date or Potential Exercise Date specified by 

the parties.

Bullion Potential Exercise Dates: For a Bermuda Style Bullion Option, the days specified 

by the parties.

Bullion Expiration Date: As specified by the parties.

Bullion Expiration Time: For a European Style Bullion Option, as specified by the 

parties.

Bullion Settlement Date: In accordance with Section 10.4(b)(xvii) of the 

Commodity Definitions, unless specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

In-the-Moniness for Automatic Exercise: In the case of a Bullion Option for which Automatic 

Exercise is, or is deemed to be, applicable, and to which 

Settlement by Delivery is applicable, one percent of the 

Bullion Strike Price (as specified in Section 

10.4(c)(ii)(B)(x) of the Commodity Definitions) or such 

other amount as specified by the parties.

Price Source for Automatic Exercise: In the case of a Bullion Option for which Automatic 

Exercise is, or is deemed to be, applicable, and to which 

Settlement by Delivery is applicable, the Seller’s bid or 

offer price (as specified in Section 10.4(c)(ii)(B) of the 

Commodity Definitions) unless otherwise specified by 

the parties.

Written Confirmation: As specified by the parties.

Settlement: As specified by the parties from among the Available 

Settlement Types; provided, however, that Cash 

Settlement will only be available for Available 

Currencies for which it is specified as such.

Additional Provisions for Tax: None, unless specified by the parties in accordance with 

Section 10.11 of the Commodity Definitions.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Provisions Relating to Cash Settlement:

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Price.

Bullion Transaction Settlement Date: As specified by the parties.

Provisions Relating to Settlement by Delivery:

Delivery Location: Per the Delivery Loco specified in the Available Bullion 

below.

Consequences of Bullion Settlement Disruption Events: Cancellation and Payment unless the parties agree that 

Negotiation is applicable.

Miscellaneous:

Discharge and Termination: Section 10.4(c)(iv) of the Commodity Definitions will 

apply if specified by the parties, unless the Bullion 

Option Transaction is an Allocated Transaction. 
Bullion Options

39

Novation Netting: For Bullion Options subject to Settlement by Delivery 

and is not an Allocated Transaction, as agreed by the 

parties on a “Type of Obligation” or “Matched Pair” 

basis.

Calculation Agent: As agreed by the parties.

Bullion Option Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day 

Locations For Currency 

(FpML Codes)

Available Settlement 

Type

AUD Australian Dollar AUSY Physical Only

CHF Swiss Franc CHZU Physical Only

EUR Euro EUTA Cash or Physical

GBP Sterling GBLO Cash or Physical

JPY Japanese Yen JATO Physical Only

USD United States Dollars USNY Cash or Physical

Bullion Options Available Bullion Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Bullion Option Available Bullion Option Style

ISDA Name

American

European

Bermuda

Bullion Option Available Bullion Option Type

ISDA Name

Bullion Put Option

Bullion Call Option

Bermuda

Bullion Options Available Bullion

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

Metal Ounce Delivery Loco/Rules

Gold Fine troy ounce London/LBMA

Palladium Troy ounce Zurich/LPPM or London/LPPM

Platinum Troy ounce Zurich/LPPM or London/LPPM

Silver Troy ounce London/LBMA

ISDA Definition

GOLD-A.M. FIX

GOLD-P.M. FIX

PALLADIUM-A.M. FIX
Bullion Options

40

For any Available Currency other than USD and any Bullion Option to which Cash Settlement is applicable, the 

Commodity Reference Price shall be per Sub-Annex A, save that the reference to U.S. Dollars shall be replaced by a 

reference to the relevant Available Currency.

PALLADIUM-P.M. FIX

PLATINUM-A.M. FIX

PLATINUM-P.M. FIX

SILVER-FIX
CDS – ABX Indices (Broad Based) Contracts

41

CDS – ABX Indices (Broad Based) Contracts

Terms and Conditions

Summary: This covers credit default swaps on broad-based ABX 

indices (“CDS – ABX Indices (Broad Based) 

Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which CDS – ABX Indices (Broad 

Based) Contracts may be traded are shown below or in 

the attached table(s) or the Relevant Annexes 

promulgated by the index sponsor and referenced below 

or in the attached table(s), as such Relevant Annexes 

may be amended from time to time by the Index 

Sponsor.

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2003 ISDA Credit Derivatives Definitions, as 

published by the International Swaps and Derivatives 

Association, Inc. (the “Credit Derivatives Definitions”), 

NOT including supplements thereto; and

(b) the ABX Transactions Standard Terms Supplement, 

as published by CDS IndexCo LLC on July 19, 2006 

(the “ABX Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: ABX

ISDA OTC Transaction type: ABX.HE

Further Limitations: None

Terms:

Index: The ABX Index selected by the parties from among the 

Available ABX Indices.

NO ABX INDEX WILL BE TRADED ON THE SEF 

ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.

Annex Date: As specified for the applicable Index on the list of 

Available ABX Indices.

Trade Date: As agreed by the parties.

Effective Date: The Trade Date (unless otherwise specified by the 

parties).

Scheduled Termination Date: The “Legal Final Maturity Date of the Index” specified 

in the Relevant Annex.

Floating Rate Payer: As specified by the parties.

Fixed Rate Payer: As specified by the parties.

Aggregate Floating Rate Payer Calculation Amount: An amount is USD specified by the parties.

Fixed Rate: A number of basis points equal to the “Applicable 

Coupon” as specified for the applicable Index on the 

Relevant Annex.

Initial Payment Payer: As selected by the parties.
CDS – ABX Indices (Broad Based) Contracts

42

Initial Payment Amount: As specified by the parties. Notwithstanding anything to 

the contrary contained in the ABX Standard Terms, the 

Initial Payment Amount shall be paid by the Initial 

Payment Payer on the date that is three Business Days 

following the Trade Date, unless otherwise specified by 

the parties.

Available ABX Indices for CDS - ABX Indices (Broad Based) Contracts

Index Relevant Annex

ABX.HE.A.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.A.06-1.pdf

ABX.HE.AA.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AA.06-1.pdf

ABX.HE.AAA.06-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.06-1.pdf

ABX.HE.AA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AA.06-2.pdf

ABX.HE.AAA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.06-2.pdf

ABX.HE.AAA.07-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.07-1.pdf

ABX.HE.AAA.07-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.AAA.07-2.pdf

ABX.HE.PENAAA.06-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.06-2.pdf

ABX.HE.PENAAA.07-1 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.07-1.pdf

ABX.HE.PENAAA.07-2 http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/ABX.HE.PENAAA.07-2.pdf

NO ABX INDEX WILL BE TRADED ON THE SEF ONCE IT HAS CEASED TO BE A BROAD BASED 

INDEX UNDER CFTC REGULATIONS.
CDS Index Contract – Emerging Markets Swaps and Swaptions

43

CDS Index Contract – Emerging Markets Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – Emerging Markets 

Swaps and Swaptions” contracts – i.e., an agreement to 

buy or sell protection on a broad-based basket of 

emerging markets sovereign entities.

Index: CDX.EM: Series 12 through current, so long as such 

Index is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event 

occurring. Credit events include Bankruptcy and Failure 

to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 

500 bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by the parties, subject to Applicable Law.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer 

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement (i.e., the Big Bang 

and Little Bang Protocols). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – Emerging Markets Swaps and Swaptions

44

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is 

the SEFs understanding that the DCOs will be 

converting all trades to the 2014 definitions, with 

individual component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European Crossover 5Y Swaps and Swaptions

45

CDS Index Contract – European Crossover 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European 

Crossover 5Y Swaps and Swaptions”. The European 

Crossover index comprises 50 equally weighted credit 

default swaps on the most liquid sub-investment grade 

European corporate entities.

Index: ITRAXX.EUROPE CROSSOVER: Series 10 to 

current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of 

500 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the 

tpSEF Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – European Crossover 5Y Swaps and Swaptions

46

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting 

all trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European HiVol 5Y Swaps and Swaptions

47

CDS Index Contract – European HiVol 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European HiVol 5Y 

Swaps and Swaptions” – i.e., an agreement to buy or 

sell protection on a basket comprised of 30 equally 

weighted credit default swaps on the widest spread nonfinancial European corporate entities.

Index: ITRAXX.EUROPE HIVOL: Series 10 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European crossover indices are traded on spread.

Fixed coupon payments are calculated at a spread of 

100 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the 

tpSEF Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – European HiVol 5Y Swaps and Swaptions

48

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting 

all trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European IG 5Y Swaps and Swaptions

49

CDS Index Contract – European IG 5Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European IG 5Y 

Swaps and Swaptions” – i.e., an agreement to buy or 

sell protection on a basket of liquid European based 

entities with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 10 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of 

100 bps and exchanged on a quarterly basis.

Swap Tenor: 5Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the 

tpSEF Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.
CDS Index Contract – European IG 5Y Swaps and Swaptions

50

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades will 

convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting 

all trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – European IG 10Y Swaps and Swaptions

51

CDS Index Contract – European IG 10Y Swaps and Swaptions

Terms and Conditions

Summary: This covers “CDS Index Contract – European IG 10Y 

Swaps and Swaptions” – i.e., an agreement to buy or 

sell protection on a basket of liquid European based 

entities with an investment grade credit rating.

Index: ITRAXX.EUROPE: Series 7 to current. 

Currency: EUR

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

Swap Conventions: European IG indices are traded on spread.

Fixed coupon payments are calculated at a spread of 

100 bps and exchanged on a quarterly basis.

Swap Tenor: 10Y

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the 

tpSEF Inc.: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2009 

ISDA Credit Derivatives Determination Committees 

and Auction Settlement Supplement, (i.e., the Big Bang 

Protocol). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above:

Swaptions: The SEF is also listing Physically-Settled Swaptions 

on the Index on the terms described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.
CDS Index Contract – European IG 10Y Swaps and Swaptions

52

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions):

2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference 

Entities with no deliverable obligations).

Index Sponsor: Markit, which sponsors the Index, has published 

information on treatment of both legacy and future 

indices.

The parties should consult Markit’s documentation to 

determine the exact treatment. It is the SEF’s 

understanding that, in general, all CDS index trades 

will convert to the 2014 Definitions, with individual 

components being excluded if they would be impacted 

by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is 

the SEFs understanding that the DCOs will be 

converting all trades to the 2014 definitions, with 

individual component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part 

of their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

53

CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

Terms and Conditions

Contract Overview: An agreement to buy or sell protection on a basket of 

liquid North America based entities with a high yield 

credit rating (CDX.NA.HY, CDX.NA.HY.B and 

CDX.NA.HY.BB) or an investment grade credit rating 

(CDX.NA.IG).

Index: CDX.NA.HY: Series 8 to current.

CDX.NA.HY.B: Series 8 to current.

CDX.NA.HY.BB: Series 8 to current.

CDX.NA.IG: Series 8 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include Bankruptcy, Failure to Pay and 

Restructuring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

High Yield indices such as the CDX.NA.HY are traded 

on price.

Investment Grade indices such as the CDX.NA.IG are 

traded on spread.

Swap Conventions: For CDX.NA.HY, CDX.NA.HY.B and 

CDX.NA.HY.BB, fixed coupon payments are 

calculated at a spread of 500 bps and exchanged on a 

quarterly basis.

For CDX.NA.IG, fixed coupon payments are calculated 

at a spread of 100 bps and exchanged on a quarterly 

basis.

Swap Tenor: 3Y, 5Y, 7Y and 10Y or as otherwise agreed by the 

parties.

Tranching: Transactions may have only one tranche, where all 

losses are allocated to the protection seller, starting with 

the first dollar of loss and ending only when the entire 

notional of the transaction has been exhausted or the 

Transaction itself expires.

Transactions may also be tranched in a way in which 

losses are allocated to the protection seller only after a 

certain amount of losses have occurred on the Index 

(the “attachment point”) and cease being allocated to 

the protection seller after a certain additional amount of 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

54

losses have occurred on the Index (the “detachment 

point”).

In the case of tranched transactions in the CDX.NA.HY, 

CDX.NA.HY.B or CDX.NA.HY.BB, the tranches 

include:

Attachment Point Detachment Point

0 10%

0 15%

10% 15%

15% 25%

25% 35%

35% 100%

In the case of tranched transactions in the CDX.NA.IG, 

the tranches include:

Attachment Point Detachment Point

0 3%

3% 7%

7% 10%

7% 15%

10% 15%

15% 30%

15% 100%

In addition to the customary tranches enumerated 

above, the parties may agree to custom attachment and 

detachment points.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer accrue 

and the final payment occurs.

Trade Types: The following swap types may be executed on the SEF: 

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the relevant 

ISDA Definitions (see below). 

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 
CDS Index Contract – North America Investment Grade and High Yield Swaps and Swaptions

55

Upfront fee payment - The upfront fee is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.

Swaptions on the Above

Swaptions: The SEF is also listing Physically-Settled Swaptions on 

each of the CDX.NA.HY, CDX.NA.HY.B, 

CDX.NA.HY.BB and CDX.NA.IG on the terms 

described herein.

Swaption Option Style: European; the Swaptions may be exercised only on 

expiration.

Swaption Tenor: The tenor of the Swaptions will be selected by the 

parties and will be no shorter than three months and no 

longer than three months less than the Swap Tenor.

Settlement: The Swaption will be Physically Settled and, if 

exercised, will result in the parties entering into a swap 

on the Index on the terms described herein.

Tranching: Swaptions may be written on tranched or untranched 

transactions.

ISDA Definitions (2003 v. 2014 Credit Derivatives 

Definitions)

2014/2003 Definitions: ISDA has published 2014 Credit Derivatives 

Definitions, which alter the treatment accorded certain 

events, particularly as relates to sovereigns and 

financials and certain “orphan” CDS (Reference Entities 

with no deliverable obligations).

Index Sponsor: IHS Markit Ltd, which sponsors the Index, has 

published information on treatment of both legacy and 

future indices.

The parties should consult IHS Markit Ltd’s 

documentation to determine the exact treatment. It is the 

SEF’s understanding that, in general, all CDS index 

trades will convert to the 2014 Definitions, with 

individual components being excluded if they would be 

impacted by the differences between the two.

Cleared Transactions: Transactions intended to be cleared will use the 

Definitions required by the relevant DCO selected by 

the parties.

The parties should consult the relevant DCO’s 

documentation to determine the exact treatment. It is the 

SEFs understanding that the DCOs will be converting 

all trades to the 2014 definitions, with individual 

component excluded as describe above. 

Choice of Definitions: The parties can elect which Definitions to use as part of 

their Confirmation process. However, this may limit 

clearability and result in creation of a bespoke Index 

transaction.
CDS Index Contracts – CMBX

56

CDS Index Contracts – CMBX

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “CMBX Indices” (“CDS Index Contracts –

CMBX”). The terms under which CDS Index Contracts 

– CMBX may be traded are shown below.

Contract Overview: An agreement to buy or sell protection on one of the IHS 

Markit Ltd CMBX Indices listed under the heading 

“Index” immediately below. Each such index is 

composed of twenty-five (25) equally-weighted 

reference obligations that are tranches of commercial 

mortgage-backed securities offerings that meet the 

relevant eligibility criteria published by IHS Markit Ltd 

from time to time.

Index: CMBX.NA.AAA: Series 6 to current.

CMBX.NA.AS: Series 6 to current.

CMBX.NA.AA: Series 6 to current.

CMBX.NA.A: Series 6 to current.

CMBX.NA.BBB-: Series 6 to current.

CMBX.NA.BB: Series 6 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller and receives a payment from the 

seller of protection in the case of a credit event 

occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer and

makes a payment to the buyer of protection in the case of 

a credit event occurring. The Seller owns the credit risk 

of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at the applicable 

spread specified below:

• CMBX.NA.AAA: 50 bps 

• CMBX.NA.AS: 100 bps

• CMBX.NA.AA: 150 bps

• CMBX.NA.A: 200 bps

• CMBX.NA.BBB-: 300 bps

• CMBX.NA.BB: 500 bps

Fixed coupon payments are exchanged on a monthly 

basis.
CDS Index Contracts – CMBX

57

Swap Tenor: As agreed by counterparties, subject to applicable law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

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. 

Such payments are paid by the protection seller to the 

protection buyer.

Fixed Monthly Cash Payments: Reflected in basis points 

and paid by the protection buyer to the protection seller.

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – iTraxx Australia

58

CDS Index Contracts – iTraxx Australia

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “iTraxx® Australia Index” (“CDS Index 

Contracts – iTraxx Australia”). The terms under which 

CDS Index Contracts – iTraxx Australia may be traded 

are shown below.

Contract Overview: An agreement to buy or sell protection on an index 

composed of twenty five (25) liquid Australian entities 

with investment grade credit ratings that trade in the 

CDS market or have significant domestic bond issuance 

as published by IHS Markit Ltd. from time to time.

Index: iTraxx® Australia Index: Series 30 to current.

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by counterparties, subject to Applicable Law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.
CDS Index Contracts – iTraxx Australia

59

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – iTraxx Japan

60

CDS Index Contracts – iTraxx Japan

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s “Markit iTraxx® Japan Index” (“CDS Index 

Contracts – iTraxx Japan”). The terms under which CDS 

Index Contracts – iTraxx Japan may be traded are shown 

below.

Contract Overview: An agreement to buy or sell protection on an index 

composed of forty (40) Japanese entities with investment 

grade credit ratings that trade in the CDS market as 

published by IHS Markit Ltd. from time to time.

Index: Markit iTraxx® Japan Index: Series 30 to current.

Currency: JPY

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

The indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by counterparties, subject to Applicable Law.

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2014 ISDA 

Credit Derivatives Definitions as published by the 

International Swaps and Derivatives Association, Inc.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.
CDS Index Contracts – iTraxx Japan

61

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid at the inception of the 

Contract by the protection buyer to the protection seller.
CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade)

62

CDS Index Contracts – ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment Grade)

Terms and Conditions

Summary: This covers “CDS Index Contracts – ITRXAEJ.IG 

(iTraxx® Asia ex-Japan Investment Grade)” – i.e., an 

agreement to buy or sell protection on a broad-based 

basket of investment grade Asian corporate and 

sovereign/agency issuers (excluding Japanese issuers).

Index: ITRXAEJ.IG (iTraxx® Asia ex-Japan Investment 

Grade): Series 14 through current, so long as such Index 

is not a narrow-based Index. 

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include Bankruptcy and Failure to Pay. 

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument. 

Investment Grade indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 

100 bps and exchanged on a quarterly basis.

Swap Tenor: As agreed by the parties, subject to Applicable Law.

Effective Date: The date on which parties begin calculating accrued 

obligations such as fixed payments. Also known as the 

start date of the swap.

Maturity Date: The final date on which the obligations no longer 

accrue and the final payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights 

• Roll Trades 

• Curve Trades

Settlement: Contingent payment - Payments related to credit event 

settlement will be determined pursuant to the 2003 

ISDA Credit Derivatives Definitions, as modified by 

the 2009 ISDA Credit Derivatives Determination 

Committees and Auction Settlement Supplement (i.e., 

the Big Bang and Little Bang Protocols) and the ISDA 

2014 Credit Derivatives Protocol (for Series 21 and 

prior) and the ISDA 2014 Definitions (for Series 22 and 

later).

Fixed Quarterly cash payments - reflected in basis 

points and paid by the protection buyer to the protection 

seller. 

Upfront payment - The upfront payment is a portion of 

the payments, expressed in percentage points of the 

notional, which is present valued and paid immediately 

to the seller.
CDS Index Contracts – MCDX Index

63

CDS Index Contracts – MCDX Index

Terms and Conditions

Summary: This covers uncleared credit default swaps on IHS 

Markit Ltd’s MCDX Index (“CDS Index Contracts –

MCDX Index”). The terms under which CDS Index 

Contracts – MCDX Index may be traded are shown 

below.

Contract Overview: Until October 2018, an agreement to buy or sell

protection on a broad-based index composed of fifty (50) 

municipal credits.

Beginning with MCDX.NA Series 31 in October 2018, 

an agreement to buy or sell protection on a broad-based 

index composed of twenty (20) municipal credits.

Index: MCDX: all series

Currency: USD

Quoting Convention and Minimum Increment: As agreed by counterparties.

Minimum Size: As agreed by counterparties.

Trading Conventions: Buy = Buy Protection, the buyer of protection pays a 

premium to the seller in case of a credit event occurring. 

Credit events include “Bankruptcy” and “Failure to 

Pay.”

Sell = Sell Protection, the seller of protection receives 

the premium payments from the protection buyer. The 

Seller owns the credit risk of the instrument.

MCDX indices are traded on spread.

Swap Conventions: Fixed coupon payments are calculated at a spread of 100 

bps coupon and exchanged on a quarterly basis at 75% 

recovery.

Swap Tenor: 3 years, 5 years, 10 years

Effective Date: The date (to be agreed by the counterparties) on which 

parties begin calculating accrued obligations such as 

fixed payments. Also known as the start date of the 

swap.

Maturity Date: The final date (to be agreed by the counterparties) on 

which the obligations no longer accrue and the final 

payment occurs.

Trade Types: The following swap types may be executed on tpSEF 

Inc.:

• Outrights

• Roll Trades

• Curve Trades
CDS Index Contracts – MCDX Index

64

Settlement: Contingent Payment: Payments related to credit event 

settlement will be determined pursuant to the 2003 ISDA 

Credit Derivatives Definitions, as modified by the 2009 

ISDA Credit Derivatives Determinations Committees 

and Auction Settlement Supplement thereto.

Fixed Quarterly Cash Payments: Reflected in basis 

points and paid by the protection buyer to the protection 

seller.

Upfront Fee Payment: The upfront fee is a portion of the 

payments, expressed in percentage points of the notional, 

which is present valued and paid immediately to the 

seller.
Commodity Index Swaps

65

Commodity Index Swaps

Terms and Conditions

Summary: This covers commodity index swaps (each, a 

“Commodity Index Swap”).

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Index

ISDA OTC Transaction type: Swap

ISDA OTC Settlement type: Cash

Terms:

Trade Date: The date on which the contract is entered into.

Effective Date: As specified by the parties.

Termination Date: As specified by the parties.

Commodity: The index specified by the parties from among the 

indices listed in the table below titled “Commodity Index 

Swap Available Indices.”

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties.

Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties, expressed as a rate or overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Floating Price: In relation to each Calculation Period, the level of the 

specified Available Commodity Index at the end of the 

such Calculation Period less the level of the specified 

Available Commodity Index at the start of the such 

Calculation Period, the result of which is divided by the 

level of the specified Available Commodity Index at the 

start of the such Calculation Period.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.
Commodity Index Swaps

66

Minimum and Incremental Price: The minimum price is $10,000,000 and the minimum 

incremental price is $1,000,000.

Calculation Agent: As agreed by the parties.

Commodity Index Swap Available Commodity Indices

Abbr Name

BCOM BCOM ER

BCOMF1 BCOM F1 ER

BCOMF2 BCOM F2 ER

BCOMF3 BCOM F3 ER

BCOMF4 BCOM F4 ER

BCOMF5 BCOM F5 ER

BCOMF6 BCOM F6 ER

BCOMAG BCOM Agriculture ER

BCOMEN BCOM Energy ER

BCOMGR BCOM Grains ER

BCOMIN BCOM Industrial Metals ER

BCOMLI BCOM Livestock ER

BCOMPE BCOM Petroleum ER

BCOMPR BCOM Precious Metals ER

BCOMSO BCOM Softs ER

BCOMXAG BCOM ex-Agriculture ER

BCOMXAL BCOM ex-Agriculture and Livestock ER

BCOMXE BCOM ex-Energy ER

BCOMXGR BCOM ex-Grains ER

BCOMXIM BCOM ex-Industrial Metals ER

BCOMXLI BCOM ex-Livestock ER

BCOMXPE BCOM ex-Petroleum ER

BCOMXPM BCOM ex-Precious Metals ER

BCOMXSO BCOM ex-Softs ER

BCOMAL BCOM Aluminum ER

BCOMCO BCOM Brent Crude ER

BCOMCC BCOM Cocoa ER

BCOMKC BCOM Coffee ER

BCOMHG BCOM Copper ER

BCOMCN BCOM Corn ER

BCOMCT BCOM Cotton ER

BCOMFC BCOM Feeder Cattle ER

BCOMGO BCOM Gas Oil ER

BCOMGC BCOM Gold ER

BCOMHO BCOM Heating Oil ER

BCOMPB BCOM Lead ER

BCOMLH BCOM Lean Hogs ER

BCOMLC BCOM Live Cattle ER
Commodity Index Swaps

67

Abbr Name

BCOMNG BCOM Natural Gas ER

BCOMNI BCOM Nickel ER

BCOMOJ BCOM Orange Juice ER

BCOMPA BCOM Palladium ER

BCOMPL BCOM Platinum ER

BCOMSI BCOM Silver ER

BCOMSM BCOM Soybean Meal ER

BCOMSM1 Bloomberg Soybean Meal Subindex 1 Month Forward

BCOMBO BCOM Soybean Oil ER

BCOMSY BCOM Soybeans ER

BCOMSB BCOM Sugar ER

BCOMSN BCOM Tin ER

BCOMRB BCOM Unleaded Gas ER

BCOMWH BCOM Wheat ER

BCOMKW BCOM Kansas Wheat ER

BCOMCL BCOM WTI Crude Oil ER

BCOMZS BCOM Zinc ER

BCOMAU BCOM AUD ER

BCOMEU BCOM EUR ER

BCOMGB BCOM GBP ER

BCOMCH BCOM CHF ER

BCOMJY BCOM JPY ER

BCOMALC BCOM Aluminum Capped ER

BCOMKCC BCOM Coffee Capped ER

BCOMHGC BCOM Copper Capped ER

BCOMCLC BCOM WTI Crude Oil Capped ER

BCOMCNC BCOM Corn Capped ER

BCOMLCC BCOM Cattle Capped ER

BCOMCTC BCOM Cotton Capped ER

BCOMGCC BCOM Gold Capped ER

BCOMLHC BCOM Lean Hogs Capped ER

BCOMHOC BCOM Heating Oil Capped ER

BCOMKWC BCOM Kansas Wheat Capped ER

BCOMCOC BCOM Brent Crude Capped ER

BCOMNGC BCOM Natural Gas Capped ER

BCOMNIC BCOM Nickel Capped ER

BCOMSYC BCOM Soybeans Capped ER

BCOMBOC BCOM Soybean Oil Capped ER

BCOMSIC BCOM Silver Capped ER

BCOMSBC BCOM Sugar Capped ER

BCOMSMC BCOM Soybean Meal Capped ER

BCOMRBC BCOM Unleaded Gas Capped ER
Commodity Index Swaps

68

Abbr Name

BCOMWHC BCOM Wheat Capped ER

BCOMZSC BCOM Zinc Capped ER

BCOMTR BCOM TR

BCOMF1T BCOM F1 TR

BCOMF2T BCOM F2 TR

BCOMF3T BCOM F3 TR

BCOMF4T BCOM F4 TR

BCOMF5T BCOM F5 TR

BCOMF6T BCOM F6 TR

BCOMRS BCOM Roll Select

DJCICN Dow Jones Commodity Index Corn

DJCISB Dow Jones Commodity Index Sugar

DJCILC Dow Jones Commodity Index Live Cattle

DJCIAW Dow Jones Commodity Index All Wheat

SPGCCI S&P GSCI

SPGCBO S&P GSCI Soybean Oil

SPGCBR S&P GSCI Brent Crude

SPGCCC S&P GSCI Cocoa

SPGCCL S&P GSCI Crude Oil

SPGCCN S&P GSCI Corn

SPGCCT S&P GSCI Cotton

SPGCFC S&P GSCI Feeder Cattle

SPGCGC S&P GSCI Gold

SPGCGO S&P GSCI Gasoline

SPGCHG S&P GSCI North American Copper

SPGCHO S&P GSCI Heating Oil

SPGCHU S&P GSCI Unleaded Gasoline

SPGCIA S&P GSCI Aluminum

SPGCIC S&P GSCI Copper

SPGCIK S&P GSCI Nickel

SPGCIL S&P GSCI Lead

SPGCIN S&P GSCI Industrial Metals

SPGCIZ S&P GSCI Zinc

SPGCKC S&P GSCI Coffee

SPGCKW S&P GSCI Kansas Wheat

SPGCLC S&P GSCI Live Cattle

SPGCLH S&P GSCI Lean Hogs

SPGCNG S&P GSCI Natural Gas

SPGCPA S&P GSCI Palladium

SPGCPL S&P GSCI Platinum

SPGCSB S&P GSCI Sugar

SPGCSI S&P GSCI Silver
Commodity Index Swaps

69

Abbr Name

SPGCSO S&P GSCI Soybeans

SPGCWH S&P GSCI Wheat

SPGSES S&P GSCI Enhanced Commodity

SPGSSM S&P GSCI Soybean Meal

SPGCCIP S&P GSCI ER

SPGCBRP S&P GSCI Brent Crude ER

SPGCCCP S&P GSCI Cocoa ER

SPGCCLP S&P GSCI Crude Oil ER

SPGCCNP S&P GSCI Corn ER

SPGCCTP S&P GSCI Cotton ER

SPGCENP S&P GSCI Energy ER

SPGCFCP S&P GSCI Feeder Cattle ER

SPGCGCP S&P GSCI Gold ER

SPGCGOP S&P GSCI Gasoil ER

SPGCHGP S&P GSCI North American Copper ER

SPGCHOP S&P GSCI Heating Oil ER

SPGCHUP S&P GSCI Unleaded Gasoline ER

SPGCIAP S&P GSCI Aluminum ER

SPGCICP S&P GSCI Copper ER

SPGCIKP S&P GSCI Nickel ER

SPGCILP S&P GSCI Lead ER

SPGCINP S&P GSCI Industrial Metals ER

SPGCNGP S&P GSCI Natural Gas ER

SG3MCI S&P GSCI 3 Month Forward
Deliverable Foreign Exchange Options

70

Deliverable Foreign Exchange Options

Terms and Conditions

Summary: This covers “Deliverable Foreign Exchange Options”.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”); 

and

(b) ISDA OTC Taxonomies.

Contract Types: Each Deliverable Foreign Exchange Option traded is 

bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge. 

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Vanilla Option, Simple Exotic or Complex Exotic

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties.

Commencement Date: The Trade Date, unless otherwise specified by the 

parties. This applies only where the Currency Option

Style is American.

Buyer: As specified by the parties.

Seller: As specified by the parties.

Currency Option Style: As specified by the parties.

(An American option can be exercised any time up to 

and including the Expiration Date; a European option 

can only be exercised on the Expiration Date.)
Deliverable Foreign Exchange Options

71

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a 

binary or digital option.

Call Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price.

Put Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price.

Strike Price: As specified by the parties (if only one of the Put 

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions.

Settlement Rate Option: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Settlement: Deliverable or Cash Settlement

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.
Deliverable Foreign Exchange Options

72

Barrier Event: As specified by the parties.

Calculation Agent: As specified by the parties.

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions.

Deliverable Foreign Exchange Option Available Currency Pairs

AUD/CAD CNH/AUD EUR/SAR JPY/CNH THB/HKD

AUD/CHF CNH/CAD EUR/SEK JPY/HKD THB/JPY

AUD/CNH CNH/EUR EUR/SGD JPY/SGD THB/NZD

AUD/HKD CNH/GBP EUR/THB JPY/THB THB/SGD

AUD/JPY CNH/HKD EUR/TRY MXN/JPY TRY/JPY

AUD/MXN CNH/JPY EUR/USD NOK/JPY USD/AED

AUD/NOK CNH/NZD EUR/ZAR NOK/SEK USD/BHD

AUD/NZD CNH/SGD GBP/AUD NZD/CAD USD/CAD

AUD/SEK CNH/THB GBP/CAD NZD/CHF USD/CHF

AUD/SGD EUR/AED GBP/CHF NZD/CNH USD/CNH

AUD/THB EUR/AUD GBP/CNH NZD/HKD USD/CZK

AUD/USD EUR/BHD GBP/HKD NZD/JPY USD/DKK

AUD/ZAR EUR/CAD GBP/JPY NZD/NOK USD/HKD

CAD/CHF EUR/CHF GBP/MXN NZD/SEK USD/HUF

CAD/CNH EUR/CNH GBP/NOK NZD/SGD USD/ILS

CAD/HKD EUR/CZK GBP/NZD NZD/THB USD/ISK

CAD/JPY EUR/DKK GBP/SEK NZD/USD USD/JPY

CAD/MXN EUR/GBP GBP/SGD SEK/JPY USD/KWD

CAD/NOK EUR/HKD GBP/THB SGD/AUD USD/MXN

CAD/SEK EUR/HUF GBP/TRY SGD/CAD USD/NOK

CAD/SGD EUR/ILS GBP/USD SGD/CNH USD/OMR

CAD/THB EUR/ISK GBP/ZAR SGD/EUR USD/PLN

CHF/CNH EUR/JPY HKD/AUD SGD/GBP USD/QAR

CHF/HKD EUR/KWD HKD/CAD SGD/HKD USD/RON

CHF/JPY EUR/MXN HKD/CHF SGD/JPY USD/RUB

CHF/MXN EUR/NOK HKD/CNH SGD/NZD USD/SAR
Deliverable Foreign Exchange Options

73

CHF/NOK EUR/NZD HKD/EUR SGD/THB USD/SEK

CHF/PLN EUR/OMR HKD/GBP THB/AUD USD/SGD

CHF/SEK EUR/PLN HKD/JPY THB/CHF USD/THB

CHF/SGD EUR/QAR HKD/NZD THB/CNH USD/TRY

CHF/THB EUR/RON HKD/SGD THB/EUR USD/ZAR

CHF/TRY EUR/RUB HKD/THB THB/GBP ZAR/JPY
Equity Index Swaps

74

Equity Index Swaps

Terms and Conditions

Summary: This covers equity index swaps (each, an “Equity Index 

Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Swap may be 

traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions (“Equity 

Definitions”)

(c) Annex IS to 2009 Americas Master Equity 

Derivatives Confirmation, to 2007 European Master 

Equity Derivatives Confirmation Agreement (for EMEA 

indices, as indicated on the Equity Index Available 

Indices attached) or to Second Revised 2005 AEJ 

Interdealer Master Equity Derivatives Confirmation 

Agreement (for AEJ indices, as indicated on the Equity 

Index Available Indices attached)
Equity Index Swaps

75

(d) the Revised ISDA AEJ Reference Price Source 

Matrix (June 25, 2009, or as updated effective prior to 

the Trade Date) (“AEJ Source”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Single Index

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Strike Date: For a Forward Starting Transaction, as agreed by the 

parties (only for EMEA Indices).

Forward Starting: As per Annex IS (only for EMEA Indices).

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): (i) The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention, or (ii) in the case of AEJ Indices, per Annex 

IS.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days (except for AEJ Indices).

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions (except for AEJ Indices).

Termination Date (“terminationDate”): Per Annex IS, unless otherwise specified by the parties.

Index: As specified by the parties from among the Available 

Indices.

Number of Index Units: As specified by the parties or, if not so specified, 

determined by Annex IS (except for AEJ Indices).

Index Unit: Per Annex IS (except for AEJ Indices and EMEA 

Indices).

Exchange(s): (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Multiple Exchange Index Annex/Component Security 

Index Annex:

Per Annex IS (EMEA Indices only).

Related Exchanges: (i) Per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties.

Hedging Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Determining Party: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: As per Annex IS.

Type of Return: (i) As specified by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless specified by the parties.

Initial Price Election: As specified by the parties (in the case of an EMEA 

Index only).
Equity Index Swaps

76

Initial Price: As specified by the parties and (other than in the case of 

AEJ Indices) adjusted in accordance with Annex IS.

Final Price Election: As specified by the parties (in the case of an EMEA 

Index only).

Final Price: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Time: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Valuation Dates: As specified by the parties.

Averaging Dates: In the case of AEJ Indices, as and if specified by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

specified by the parties or, if not so specified, per the 

Equity Definitions.

Payment Dates: As per Annex IS, unless otherwise specified by the 

parties.

Initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties to the 

extent permitted by Annex IS.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As per Annex IS.

Payment Dates Business Days: As per Annex IS.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment Dates): As per Annex IS, unless otherwise specified by the 

parties.

Compounding: As specified by the parties (EMEA Indices only).

Compounding Dates: As specified by the parties if Compounding is applicable 

(EMEA Indices only).

Futures Price Valuation:

Futures Price Valuation: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as specified by 

the parties or, if not so specified, per the Equity 

Definitions.

Exchange-traded Contract: As specified in the Transaction Supplement.

Adjustment to Section 6.8 of the Equity Definitions: As per Annex IS (other than in the case of AEJ Indices).

Settlement Terms:

Cash Settlement: As per Annex IS.

Settlement Currency: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties.

FX Rate: As agreed by the parties or as specified by the parties 

from among the Available FX Rates.
Equity Index Swaps

77

Dividends:

Dividend Payment Date(s): If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as agreed by the parties or, absent such 

agreement, per the Equity Definitions.

Dividend Period: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Dividend Amount: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Relevant Dividend: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Reinvestment of Dividends: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties.

Dividend Recovery: If type of return is “Total Return” (i) as per Annex IS, or 

(ii) in the case of AEJ Indices, as agreed by the parties 

or, absent such agreement, per the Equity Definitions.

Declared Cash Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, (ii) in the case of 

AEJ Indices, as and if agreed by the parties, or (iii) in the 

case of EMEA Indices, as agreed by the parties.

Declared Cash Equivalent Dividend Percentage: If type of return is “Total Return” (i) as per Annex IS 

unless otherwise agreed by the parties, or (ii) in the case 

of AEJ Indices, as and if agreed by the parties.

Index Adjustment Events:

Index Cancellation: As per Annex IS.

Index Modification: As per Annex IS.

Index Disruption: As per Annex IS.

Additional Disruption Events:

Change in Law: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS unless otherwise agreed by the parties.

Insolvency Filing: (i) As per Annex IS, or (ii) in the case of AEJ Indices, as 

agreed by the parties or, absent such agreement, per the 

Equity Definitions.

Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as per 

Annex IS (as applicable to the relevant country of 

underlier) unless otherwise agreed by the parties.

Increased Cost of Hedging: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Consequences of Hedging Disruption: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Loss of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.
Equity Index Swaps

78

Increased Cost of Stock Borrow: (i) As per Annex IS, unless otherwise specified by the 

parties, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Cancellation Amount: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, as agreed by 

the parties or, absent such agreement, per the Equity 

Definition.

Non-Reliance: As per Annex IS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IS.

Additional Acknowledgements: As per Annex IS.

Index Disclaimer: As per Annex IS.

Optional Early Termination: (i) As agreed by the parties from among the provisions in 

Annex IS, or (ii) in the case of AEJ Indices, inapplicable.

Break Funding Recovery: If Optional Early Termination is applicable, as specified 

by the parties.

Break Fee: As specified by the parties in the case of EMEA Indices.

Calculation Agent: (i) As agreed by the parties, or (ii) in the case of AEJ 

Indices, per Annex IS unless otherwise agreed by the 

parties.

Equity Index Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

JPY Japanese Yen JPTO

KRW Korean Won KRSE

SEK Swedish Krona SEST

USD United States Dollars USNY

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Available Indices

Abbr Name

AEX AEX Index (EMEA)

AMZX Alerian MLP Index Total Return

AMZIXVWAP Alerian MLP Infrastructure Index Total Return VWAP

AS51 S&P/ASX 200 (AEJ)

BEL20 BEL20 Index (EMEA)

CAC Cotation Assistée en Continu 40 (EMEA)
Equity Index Swaps

79

DAX Deutscher Aktien Index (EMEA)

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

EWTRGSPC REUTERS – REU - S&P EW 500 INDEX

FTSEMIB FTSE MIB Index (EMEA)

GCUDCA MSCI Daily TR Gross Small Cap Canada USD

GCUDUS MSCI Daily Total Return Gross Small Cap USA USD

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUCA MSCI Canada Index USD Daily Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index (AEJ)

HSI Hang Seng Index (AEJ)

IBEX IBEX 35 Index(EMEA)

IBOV BOVESPA Index

IXBTR S&P 500 Material Select Sector Total Return

IXCPR Communication Services Select Sector Index

IXCTR Communication Services Select Sector Index TR

IXETR S&P 500 Energy Select Sector Total Return

IXITR S&P 500 Industrials Select Sector Total Return

IXMTR S&P 500 Financials Select Sector Total Return

IXRTR S&P 500 Consumer Staples Select Sector Total Return

IXTTR S&P 500 Technology Select Sector Total Return

IXUTR S&P 500 Utilities Select Sector Total Return

IXVTR S&P 500 Health Care Select Sector Total Return

IXYTR S&P 500 Consumer Discretionary Select Sector Total Return

KOSPI Korea Composite Stock Price Index (AEJ)

M1CNA MSCI China A Inclusion USD Index (Net)

MEXBOL Mexican IPC Index (Indice de Precios y Cotizaciones)

MSLUELAN MSCI Emerging Markets Latin America Small Cap Index (USD) (Net Dividends)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUEAFE MSCI EAFE Net Total Return USD Index

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDDUJN MSCI Japan Index Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDEUSPR MSCI Peru Index Total Return (Net Dividends)

NDUEBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

NKY Nikkei 225 Index (AEJ)

OEXT S&P 100 Total Return

OMX OMX Stockholm 30 (EMEA)

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return
Equity Index Swaps

80

SP5LVIT S&P 500 Low Volatility Total Return Index

SPSIBITR S&P Biotechnology Select Industry Total Return Index

SPSIOP S&P Oil & Gas Exploration & Production Select Industry Index

SPTRCOND S&P 500 Consumer Discretionary Sector Total Return Index

SPTRCONS S&P 500 Consumer Staples Sector Total Return Index

SPTRENRS S&P 500 Energy Sector Total Return Index

SPTRFINL S&P 500 Financials Sector Total Return Index

SPTRHLTH S&P 500 Health Care Sector Total Return Index

SPTRINDU S&P 500 Industrials Sector Total Return Index

SPTRMATR S&P 500 Materials Sector Total Return Index

SPTRMDCP S&P MidCap 400 Total Return

SPTRRLST S&P 500 Real Estate Sector Total Return Index

SPTRSMCP S&P SmallCap 600 Total Return

SPTRSVX S&P 500 Value Total Return Index

SPTRUTIL S&P 500 Utilities Sector Total Return Index

SPXT S&P 500 Total Return

STENRSR S&P/TSX Composite Energy Index Total Return Swap

SX5E Eurostoxx 50 Index (EMEA)

TSX69 S&P/TSX 60 Index

UKX FTSE 100 Index (EMEA)

XNDX NASDAQ-100 Total Return

XSOX PHLX Semiconductor Sector Index Total Return

Equity Index Available FX Rates

Currency Pair Available FX Rates

KRW/USD BB: The rate implied by sourcing the Index on 

Bloomberg via “KOSPI>USD>GO”

ISDA: The rate determined in accordance with the AEJ 

Source

Equity Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A
Equity Index Swaps

81

Equity Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

AUD-AONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUND-SwapMarker All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY (BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap Rate-ICAPReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual Swap RateICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Swap Rate-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-BBA-SwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

82

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-Annual Swap Rate-10:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-10:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-11:00-

SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap Rate-3 MonthSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-AVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS-COMPOUNDBloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-Swap-Index All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Act/365-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR Swap 

Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR Swap Rate11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

83

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO-SwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDC-COMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis Swaps-11:00-

ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap Rate11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual Swap RateReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-ATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMID-Reuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB-Bloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap Rate-4:00 All quoted tenors N/A Per ISDA 2006 N
Equity Index Swaps

84

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

HKD-Quarterly-Annual Swap 

Rate-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-4:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

HKD-Quarterly-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSF-Bloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-FRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

JPY-MUTANCALL-TONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (All Banks)-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate-15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDA-Bloomberg All quoted tenors N/A Per ISDA 2006 N

KRW-Quarterly Annual Swap 

Rate-3:30-ICAP 3M N/A Per ISDA 2006 N

KRW-Bond-3222 3M N/A Per ISDA 2006 N
Equity Index Swaps

85

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Bloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap Rate-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference BanksICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-H.15-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

USD-Federal Funds-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA-Bloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)
Equity Index Swaps

86

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LON-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NY-ICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SOFR-Compound N/A N/A N/A N

USD-SIFMA Municipal Swap 

Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-Secondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-Reference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-ICAP 

BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate-T500 All quoted tenors N/A Per ISDA 2006 N

Equity Index Requirements and Defaults

Date Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
Equity Index Variance Swaps

87

Equity Index Variance Swaps

Terms and Conditions

Summary/Contract Description: This covers equity index variance swaps (each, an 

“Equity Index Variance Swap”). An Equity Index 

Variance Swap is a product used to hedge or take a direct 

view on the volatility of an underlying equity index by 

paying or receiving an amount based on the difference 

between the actual realized variance of an index over the 

life of the contract and the variance strike price agreed at 

contract inception.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Variance

ISDA OTC Transaction type: Single Index

Available Underlying Indices: The index specified by the parties from among the 

indices listed in the table below titled “Equity Index 

Variance Swap Available Indices.”

Contract Size: The contracts are quoted in “Vega” amounts. The 

minimum contract size is 1,000 of the currency of which 

the underlying index settles in.

Quoting Convention: The contracts are quoted in volatility percentage points.

Leg Conventions: Floating Leg Rate – The realized variance rate that is 

calculated on the Expiration Date.

Fixed Leg Rate – The agreed fixed rate of variance 

(Traded Price).

Tenor: Tenors of any duration greater than 0 years and less than 

50 years.

Trade Types: Capped – the maximum payout of the contract is capped 

at an agreed price.

Uncapped – there is no maximum payout on the contract.

Trade Start Types: Immediate – the observation period of the contract 

begins on the Trade Date.

Forward – the observation period of the contract begins 

on an agreed-upon date after the Trade Date.

Trade Date: The date on which the contract is entered into.

Observation Start Date: The Trade Date or, in the case of a forward starting 

transaction, an agreed-upon date after the Trade Date.

Valuation Date: The date upon which the final rate of volatility will be 

calculated on using the “Applicable Formula” below.

Settlement: The contracts are cash settled. If the difference between 

the realized variance and the “Variance Strike” (as 

agreed by the parties) is positive the seller pays the 
Equity Index Variance Swaps

88

difference to the buyer. If the difference between the 

realized variance and the Variance Strike is negative the 

buyer pays the difference to the seller.

Settlement of the contract occurs after the Valuation 

Date and in line with the settlement convention of the 

underlying equity index.

Settlement Payments/Payment Date: T+2 (adjustments according to following business day 

convention).

Minimum Price or Incremental Price: The contracts are quoted in volatility percentage points. 

There is no minimum price or minimum incremental 

price for the contract.

Payment Frequency: One time.

Payment Exchange: The buyer of a variance swap pays a fixed rate (the 

Variance Strike) in exchange for a payout based on the 

daily realized variance.

The seller of a variance swap receives a fixed rate (the 

Variance Strike) in exchange for a payout based on the 

daily realized variance.

Day Count: Business Days Per Year = 252

Business Day Convention: Following business day convention.

Applicable Formula: The final realized rate of variance will be calculated 

using the following formula:

Where:

n = the number of observations excluding the initial 

observation on the Observation Start Date, but including 

the Valuation Date;

i = the relevant observation day;

Indexi = the closing level of the underlying index “i” 

business days from the Observation Start Date, except 

for (i) Index0 which shall equal the initial index level, 

and (ii) Indexn which shall equal the closing level of the 

underlying index on the Valuation Date. Indexi-1 will be 

modified by deducting the dividend in case it is an exdate.

If applicable, the volatility cap will be set at 2.5x the 

Volatility Strike.

N = Expected number of observations as agreed by the 

parties.
Equity Index Variance Swaps

89

ln = the natural logarithm.

Market Disruption: As specified by the parties.

Equity Index Variance Swap Available Indices

Abbr Name

DAX Deutscher Aktien Index

DJITR Dow Jones Industrial Average Total Return

DJUSRE Dow Jones U.S. Real Estate Index

FTXIN25 FTSE China 50 Index

GDDLCA MSCI Canada Index CAD Total Return (Gross Dividends)

GDDUEAFE MSCI EAFE Index Total Return (Gross Dividends)

GDDUNA MSCI North American Index USD Total Return (Gross Dividends)

GDDUUS MSCI US Index Total Return (Gross Dividends)

HSCEI Hang Seng China Enterprises Index

HSI Hang Seng Index

IBOV BOVESPA Index

KOSPI Korea Composite Stock Price Index

MDCPSPTR S&P MidCap 400 Total Return

MEXBOL Mexican IPC index (Indice de Precios y Cotizaciones)

NDDLCA MSCI Canada Index CAD Total Return (Net Dividends)

NDDUNA MSCI North American Index USD Total Return (Net Dividends)

NDDUUS MSCI US Index Total Return (Net Dividends)

NDEUBRAF MSCI Brazil Index USD Total Return (Net Dividends)

NDEUMXF MSCI Mexico Index USD Total Return (Net Dividends)

NDEUSCH MSCI Chile Index Total Return (Net Dividends)

NDEUSCO MSCI Colombia Index Total Return (Net Dividends)

NDUEEGF MSCI Emerging Markets Index

NDUEEGFL MSCI Emerging Markets Latin America USD

NDX NASDAQ-100

OEXT S&P 100 Total Return

RGUSFL Russell 1000 Financial 

RU10GRTR Russell 1000 Growth Total Return

RU10INTR Russell 1000 Total Return

RU10VATR Russell 1000 Value Total Return

RU20GRTR Russell 2000 Growth Total Return

RU20INTR Russell 2000 Total Return

RU20VATR Russell 2000 Value Total Return

SMCPSPTR S&P SmallCap 600 Total Return

SPXT S&P 500 Total Return

SX5E Eurostoxx 50 Index

UKX FTSE 100 Index
Equity Index Volatility Swaps

90

Equity Index Volatility Swaps

Terms and Conditions

Summary: This covers equity index volatility swaps (each, an 

“Equity Index Volatility Swap”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Equity Index Volatility Swap 

may be traded are shown below or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2002 ISDA Equity Derivatives Definitions

(c) Annex IVS to: (i) the 2006 Japan Master Variance 

Swap Confirmation Agreement for Japan Indices, (ii) the 

2007 Americas Master Variance Swap Confirmation 

Agreement, (iii) the Revised 2007 AEJ Master Variance 

Swap Confirmation Agreement for AEJ indices, or (iv) 

the 2007 European Variance Swap Master Confirmation 

Agreement for EMEA Indices (as indicated on the 

Equity Index Volatility Swap –Available Indices below)

(d) the Market Practice Statement for Variance Swap 

Transactions Involving Japanese Shares or Indices

Regarding When Exchange-Imposed Daily Price 

Limitations Would Constitute a Market Disruption Event 

Due To a Trading Disruption published by ISDA on 

October 22, 2009 (the “Japan Index Market Practice 

Statement”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.
Equity Index Volatility Swaps

91

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Parameter Return Volatility

ISDA OTC Transaction Type: Single Index

Further Limitations: None.

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): As per Annex IVS (other than for a Japan Index).

Termination Date (“terminationDate”): As per Annex IVS.

Exchanges: As specified by the parties.

Related Exchanges: As per Annex IVS.

Volatility Buyer: Not applicable.

Volatility Seller: Not applicable.

Volatility Cap: If applicable, as specified by the parties.

Index: As specified by the parties from among the Equity Index 

Volatility Swap – Available Indices (see below).

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): The Volatility Seller.

Equity Notional Amount: As specified by the parties (other than for an EMEA 

Index).

Equity Notional Reset: As per Annex IVS.

Type of Return: As per Annex IVS.

Initial Price: As per Annex IVS.

Final Price: As per Annex IVS.

Valuation Time: As per Annex IVS.

Observation Start Date: As specified by the parties or otherwise as per Annex 

IVS.

Observation End Date: As per Annex IVS.

Observation Day: As per Annex IVS (with Disrupted Date being 

determined, in the case of a Japan Index, in accordance 

with the Japan Index Market Practice Statement).

Non-Disrupted Observation Day: As per Annex IVS.

Observation Period: As per Annex IVS.

Futures Price Valuation: As specified by the parties or determined in accordance 

with Annex IVS.

Default Exchange-traded Contract: As per Annex IVS.

Equity Amount: The product of the Equity Notional Amount and the 

Final Realized Volatility (or, if there is a Volatility Cap, 

the lesser of the Realized Volatility or the Volatility 

Cap).

Variance Strike Price: Not applicable.

Variance Cap: Not applicable.

Final Realized Volatility: As per Annex IVS.

Initial Index Level: As specified by the parties.

Closing Index Level: If specified by the parties, and determined per Annex 

IVS.

Expiring Contract Level: If specified by the parties or as determined per Annex 

IVS.

Variance Amount: Not applicable.

Volatility Strike Price: Not applicable.

Variance Strike Price: Not applicable.

Variance Cap Amount: Not applicable.

Final Realized Volatility (“FRV”): Per Annex IVS.
Equity Index Volatility Swaps

92

N: As specified by the parties or otherwise per Annex IVS 

(other than for an AEJ Index).

Expected N: As specified by the parties or otherwise per Annex IVS 

(only for an AEJ Index).

Market Disruption Event: As per Annex IVS.

Fixed Amount:

Fixed Amount Payer: The Volatility Buyer.

Fixed Amount: The product of the Equity Notional Amount and the 

Volatility Strike.

Volatility Strike: As specified by the parties.

Settlement Terms:

Cash Settlement: As per Annex IVS.

Settlement Currency: As per Annex IVS.

Cash Settlement Payment Date: As per Annex IVS.

Index Adjustment Events:

Index Cancellation: As per Annex IVS.

Index Modification: As per Annex IVS.

Index Disruption: As per Annex IVS.

IVS Cancellation and Payment: As per Annex IVS.

Additional Disruption Events:

Change in Law: As per Annex IVS.

Non-Reliance: As per Annex IVS.

Agreements and Acknowledgements Regarding Hedging 

Activities:

As per Annex IVS.

Additional Acknowledgements: As per Annex IVS.

Index Disclaimer: As per Annex IVS.

Calculation Agent: As agreed by the parties.

Equity Index Volatility Swap – Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

Equity Index Volatility Swap – Available Indices

Abbr Name

SPX S&P 500 Index

SPXT S&P 500 Total Return
Fixed for Floating Agricultural Swaptions

93

Fixed for Floating Agricultural Swaptions

Terms and Conditions

Summary: This covers uncleared fixed for floating agricultural 

swaptions (“Fixed for Floating Agricultural Swaptions”).

Limitations on Available Selections and Default 

Settings:

The terms under which Fixed for Floating Agricultural 

Swaptions may be traded are shown below and in the 

attached tables.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Trade Date: As agreed by the parties.

Option Style: As specified by the parties from among the Available 

Option Styles.

Option Type: Swaption

Buyer: As specified by the parties.

Seller: As specified by the parties.

Total Premium: As specified by the parties.

Premium Payment Date(s): As specified by the parties, subject to adjustment in 

accordance with the Business Day Convention.

Premium Payment Date Business Days: Per the Available Currencies, plus such additional 

Business Days as the parties specify.

Premium Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions or otherwise per the 

Commodity Definitions.

Physical/Contract Settlement: Applicable

Procedure for Exercise:

Exercise Period: For an American Option, the period of days and the 

times on such days specified by the parties.

For any other Option Style, the times on the Expiration 

Date or Potential Exercise Date specified by the parties.

Potential Exercise Dates: For a Bermuda Option, the days specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Written Confirmation: As specified by the parties.

Seller’s Notice Information: As specified by the Seller.

Terms of the Underlying Transaction to which the Swaption Relates:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.
Fixed for Floating Agricultural Swaptions

94

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available 

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.
Fixed for Floating Agricultural Swaptions

95

Fixed for Floating Agricultural Swaptions Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swaptions Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions.

 

1 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

ISDA Definition

COCOA-GBP-EURONEXT

COCOA-NYBOT1

COFFEE ARABICA-NYBOT1

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOT1

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOT1

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOT1

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT
Fixed for Floating Agricultural Swaptions

96

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price
Fixed for Floating Agricultural Swap Contracts

97

Fixed for Floating Agricultural Swap Contracts

Terms and Conditions

Summary: This covers uncleared fixed-for-floating agricultural 

swaps (“Fixed for Floating Agricultural Swap 

Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which Fixed for Floating Agricultural 

Swap Contracts may be traded are shown below and in 

the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Agricultural

ISDA OTC Settlement type: Cash

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: None, unless specified by the parties.

Effective Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: None, unless specified by the parties.

Termination Date Business Day Convention: None, unless specified by the parties from among the 

Available Business Day Conventions.

Commodity: As specified by the parties from among the Available 

Commodities.

Total Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Calculation Periods: As specified by the parties.

Calculation Period Business Days: None, unless specified by the parties.

Calculation Period Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.
Fixed for Floating Agricultural Swap Contracts

98

Payment Date Business Days: The Business Days specified for the relevant 

Commodity, plus any additional Business Days specified 

by the parties from among the Available Business Days.

Payment Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity or 

overall.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.

Fixed-for-Floating Agricultural Swap Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

EUR Euro EUTA

GBP Sterling GBLO

Fixed-for-Floating Agricultural Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding

Fixed-for-Floating Agricultural Swap Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

ISDA Definition

COCOA-GBP-EURONEXT
Fixed for Floating Agricultural Swap Contracts

99

Exchange Definitions

The following Commodity Reference Prices are as defined in the Commodity Price Reference Framework in SubAnnex A to the Commodity Definitions.

ISDA Definition

Commodity 

Reference 

Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price

BUTTER-CME Butter Pound CME Globex USD 0.01 Settlement Price

CHEESE-CME Cheese Pound CME Globex USD 0.01 Settlement Price

CRUDE PALM 

OIL-CME

Crude Palm Oil Metric Ton CME Globex USD 0.01 Settlement Price

DRY WHEYCMEDry Whey Pound CME Globex USD 0.01 Settlement Price

HARD RED 

SPRING 

WHEATMGEX

Wheat Bushel Minneapolis 

Grain Exchange

USD 0.01 Settlement Price

MILLING 

WHEATEURONEXT

Wheat Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

NONFAT DRY 

MILK-CME

Non-Fat Dry 

Milk

Pound CME Globex USD 0.01 Settlement Price

RAPESEEDEURONEXTRapeseed Tonne EURONEXT 

LIFFE

EUR 0.01 Settlement Price

 

1 The New York Board of Trade (NYBOT) was renamed ICE Futures US in 2007.

COCOA-NYBOT1

COFFEE ARABICA-NYBOTError! Unknown switch argument.

COFFEE ROBUSTA-EURONEXT

CORN-CBOT

COTTON NO. 2-NYBOTError! Unknown switch argument.

FROZEN CONCENTRATED ORANGE JUICE NO. 1-NYBOTError! Unknown switch argument.

LEAN HOGS-CME

MILK-CLASS III-CME

MILK-CLASS IV-CME

SOYBEAN-CBOT

SOYBEAN MEAL-CBOT

SOYBEAN OIL-CBOT

SUGAR #11 (WORLD)-NYBOTError! Unknown switch argument.

WHEAT-CBOT

WHEAT HRM-KCBOT

WHITE SUGAR-EURONEXT
Fixed for Floating Interest Rate Swaps

100

Fixed for Floating Interest Rate Swaps

Terms and Conditions

Summary: This covers uncleared fixed for floating interest rate 

swaps (“Fixed for Floating Interest Rate Swap 

(Uncleared)”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Fixed for Floating Interest Rate 

Swap (Uncleared) contract may be traded are as 

specified in these terms and conditions or in the attached 

tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.
Fixed for Floating Interest Rate Swaps

101

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”): As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 
Fixed for Floating Interest Rate Swaps

102

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.

Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Mark-to-Market Currency Swap:

Mark-to-Market Currency Swap: As specified by the parties, if the Currency Amounts are 

in different Currencies.

Variable Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Constant Currency Payer: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Currency Exchange Rate: As specified by the parties if the transaction is a Markto-Market Currency Swap and ISDA MTM Matrix is not 

applicable.

ISDA MTM Matrix: As specified by the parties if the transaction is a Markto-Market Currency Swap.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.

Final Exchange:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Currency: As specified from the parties from the Available 

Currencies.
Fixed for Floating Interest Rate Swaps

103

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller’s Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a cross currency Transaction whose 

currencies are listed as a “currency pair” in the Cross 

Currency Settlement Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 
Fixed for Floating Interest Rate Swaps

104

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

BRL Brazilian Reai Any of BR{SP,RJ,BR} and not 

otherwise declared a market 

holiday by the BM&F

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CLP Chilean Peso CLSA

CNH Chinese Renminbi (HK) HKHK and CNBE

CNY Chinese Renminbi CNBE

COP Colombian Peso COBO

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HKD Hong Kong Dollar HKHK

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

INR Indian Rupee INMU

JPY Japanese Yen JPTO

KRW Korean Won KRSE

MXN Mexican Peso (New) MXMC

MYR Malaysian Ringgit MYKL

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PHP Phillipine Peso PHMA

PLN Polish Zloty PLWA

RON Romanian Leu ROBU

RUB Russian Ruble RUMO

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

THB Thai Baht THBA
Fixed for Floating Interest Rate Swaps

105

TRY Turkish Lira TRIS

TWD Taiwan Dollar TWTA

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

BRL 5,000,000 100,000 N/A N/A

CAD 25,000,000 1,000,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CLP 5,000,000 100,000 N/A N/A

CNH 5,000,000 100,000 N/A N/A

CNY 5,000,000 100,000 N/A N/A

COP 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

HKD 25,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A
Fixed for Floating Interest Rate Swaps

106

INR 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

KRW 5,000,000 100,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

MYR 5,000,000 100,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PHP 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

RON 5,000,000 100,000 N/A N/A

RUB 5,000,000 100,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

THB 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

TWD 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

107

BRL-CDI-CETIP See below N/A See below See below

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-BA-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Telerate All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-ISDD All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Telerate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CLP-CLICPBloomberg All quoted tenors N/A Per ISDA 2006 N

CNH-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CNH-HIBOR-TMA All quoted tenors N/A Per ISDA 2006 N

CNYCNREPOFIX=CFXSReuters

All quoted tenors N/A Per ISDA 2006 N

CNY-Semi-Annual 

Swap Rate-11:00-

All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

108

BGCANTOR

CNY-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

CNY-SHIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

COP-IBR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

CZK-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBOR-PRBO All quoted tenors N/A Per ISDA 2006 N

CZK-PRIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORDKNA13-Bloomberg All quoted tenors N/A Per ISDA 2006 N

DKK-CIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

DKK-CIBOR2-

DKNA13 All quoted tenors N/A Per ISDA 2006 N

DKK-CITA-DKNA14-

COMPOUND All quoted tenors N/A Per ISDA 2006 N

DKK-DKKOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

109

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

110

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORATHIBOR All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIBORTelerate All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReference Banks All quoted tenors N/A Per ISDA 2006 N

GRD-ATHIMIDReuters All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORHIBOR= All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKAB All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-HKABBloomberg All quoted tenors N/A Per ISDA 2006 N

HKD-HIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

HKD-HIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HKD-HONIX-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

HKD-ISDA-Swap 

Rate-4:00 All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

HKD-QuarterlyAnnual Swap RateAll quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

111

4:00-BGCANTOR

HKD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

HUF-BUBORReference Banks All quoted tenors N/A Per ISDA 2006 N

HUF-BUBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

INR-FBIL-MIBOROIS-COMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

112

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-3220 All quoted tenors N/A Per ISDA 2006 N

KRW-CD-KSDABloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoBloomberg All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-BanxicoReference Banks All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBOR-BNM All quoted tenors N/A Per ISDA 2006 N

MYR-KLIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBR All quoted tenors N/A Per ISDA 2006 N

NOK-NIBOR-NIBRReference Banks All quoted tenors N/A Per ISDA 2006 N

NOK-NIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-BID All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-FRA All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

NZD-BBR-Telerate All quoted tenors N/A Per ISDA 2006 N

NZD-NZIONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

NZD-Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

NZD-Swap RateICAP-Reference Banks All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

PHP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

PLN-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLN-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

PLZ-WIBOR-WIBO All quoted tenors N/A Per ISDA 2006 N

RON-RBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

RUB-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

113

RUB-MOSPRIMENFEA All quoted tenors N/A Per ISDA 2006 N

RUB-MOSPRIMEReference Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIORReference Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

THB-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

THB-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

114

THB-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

THB-THBFIX-Reuters All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap Rate11:00-BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TWD-QuarterlyAnnual Swap RateReference Banks

All quoted tenors N/A Per ISDA 2006 N

TWD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

TWD-Reuters-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-Telerate-6165 All quoted tenors N/A Per ISDA 2006 N

TWD-TWCPBA All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

115

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-SOFRCOMPOUND All quoted tenors N/A

Prior to publication of a 

supplement to ISDA 

2006 including USDSOFR-COMPOUND, 

not applicable and 

thereafter, per ISDA 

2006

No

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury Rate- All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaps

116

SwapMarker99

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary 

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de 

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties. 

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 
Fixed for Floating Interest Rate Swaps

117

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days). 

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F.

Definition of USD-SOFR-COMPOUND

From and after the date on which ISDA publishes a supplement to ISDA 2006 containing a definition of USDSOFR-COMPOUND, per ISDA 2006

Prior to such date:

“USD-SOFR-COMPOUND” means that the rate for a Reset Date, calculated in accordance with the 

formula set forth below in this subparagraph, will be the rate of return of a daily compound interest investment (it 

being understood that the reference rate for the calculation of interest is SOFR). Upon the occurrence of a USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to the rate (inclusive of any spreads or adjustments) formally designated, nominated or recommended as 

the replacement for SOFR by the Federal Reserve Board or a committee officially endorsed or convened by the 

Federal Reserve Board for purposes of designating, nominating or recommending a replacement for SOFR (which 

rate may be produced by the Federal Reserve Bank of New York or another administrator). If no such rate is 

formally designated, nominated or recommended within one U.S. Government Securities Business Day of the USDSOFR-COMPOUND Index Cessation Event, the rate for each day in a Calculation Period occurring on or after the 

USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR were 

references to OBFR. If at the time of the USD-SOFR-COMPOUND Index Cessation Event, publication of OBFR 

has been permanently or indefinitely discontinued, it has been publicly announced that OBFR will be permanently 

or indefinitely discontinued as of a specific date or there has been a public statement by a regulator or other official 

sector entity prohibiting the use of OBFR (which statement applies to, but need not be limited to, Swap 

Transactions, including existing Swap Transactions), then the rate for each day in a Calculation Period occurring on 
Fixed for Floating Interest Rate Swaps

118

or after the USD-SOFR-COMPOUND Index Cessation Effective Date will be determined as if references to SOFR 

were references to the FOMC Target Rate.

“USD-SOFR-COMPOUND” will be calculated as follows, and the resulting percentage will be rounded, if 

necessary, in accordance with the method set forth in Section 8.1(a):

where:

“d0”, for any Calculation Period, is the number of U.S. Government Securities Business Days in the 

relevant Calculation Period;

“i” is a series of whole numbers from one to d0, each representing the relevant U.S. Government Securities 

Business Days in chronological order from, and including, the first U.S. Government Securities Business Day in the 

relevant Calculation Period;

“SOFR” is the daily Secured Overnight Financing Rate provided by the Federal Reserve Bank of New 

York, as the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website;

“SOFRi”, for any day “i” in the relevant Calculation Period, is a reference rate equal to SOFR in respect of 

that day as published on or about 8:00 a.m., New York City time, on the U.S. Government Securities Business Day 

immediately following that day “i”. If, by 5:00 p.m., New York City time, on the U.S. Government Securities 

Business Day immediately following any day “i”, SOFR in respect of such day “i” has not been published and a 

USD-SOFR-COMPOUND Index Cessation Event has not occurred, then SOFRi for that day “i” will be SOFR as 

published in respect of the first preceding U.S. Government Securities Business Day for which SOFR was published 

on the Federal Reserve’s Website;

 “ni” is the number of calendar days in the relevant Calculation Period on which the rate is SOFRi; 

“d” is the number of calendar days in the relevant Calculation Period;

“USD-SOFR-COMPOUND Index Cessation Event” means the occurrence of one or more of the following 

events:

(d) a public statement by the Federal Reserve Bank of New York (or a successor administrator of SOFR) announcing 

that it has ceased or will cease to provide SOFR permanently or indefinitely, provided that, at that time, there is 

no successor administrator that will continue to provide SOFR; 

(e) the publication of information which reasonably confirms that the Federal Reserve Bank of New York (or a 

successor administrator of SOFR) has ceased or will cease to provide SOFR permanently or indefinitely, 

provided that, at that time, there is no successor administrator that will continue to provide SOFR; or

(f) a public statement by a regulator or other official sector entity prohibiting the use of SOFR that applies to, but 

need not be limited to, Swap Transactions, including existing Swap Transactions;

“USD-SOFR-COMPOUND Index Cessation Effective Date” means, in respect of a USD-SOFRCOMPOUND Index Cessation Event, the date on which the Federal Reserve Bank of New York (or a successor 

administrator of SOFR) ceases to publish SOFR or the date as of which SOFR may no longer be used; and
Fixed for Floating Interest Rate Swaps

119

“OBFR” is the daily Overnight Bank Funding Rate as provided by the Federal Reserve Bank of New York, as 

the administrator of the benchmark, (or a successor administrator) on the Federal Reserve’s Website.

“FOMC Target Rate” is the short-term interest rate target set by the Federal Open Markets Committee and published 

on the Federal Reserve’s Website or, if the Federal Open Markets Committee does not target a single rate, the midpoint of the short-term interest rate target range set by the Federal Open Markets Committee and published on the 

Federal Reserve’s Website (calculated as the arithmetic average of the upper bound of the target range and the lower 

bound of the target range, rounded, if necessary, in accordance with the method set forth in Section 8.1(c))

“Federal Reserve’s Website” means the website of the Board of Governors of the Federal Reserve System at 

http://www.federalreserve.gov, or any Successor Source.

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation:

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Straight Compounding, Flat 

Compounding, Spread Exclusive 

Compounding 

ISDA MTM Matrix: Applicable (to Mark-to-Market 

Cross Currency Swaps)

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early Applicable (i.e., Transaction is not
Fixed for Floating Interest Rate Swaps

120

Termination “torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention

Modified Following

Fixed Floating Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Fixed Floating Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Cross Currency Settlement 

Matrix:

Applicable, if cross currency swap 

with currency pair included in 

Matrix

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 
Fixed for Floating Interest Rate Swaps

121

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 

Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Fixed for Floating Interest Rate Swaptions

122

Fixed for Floating Interest Rate Swaptions

Terms and Conditions

Summary: This covers fixed for floating interest rate swaptions 

(“Fixed for Floating Interest Rate Swaptions”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Fixed for Floating Interest Rate 

Swaption may be traded are as specified in these terms 

and conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. 

Since each national market has its own peculiarities, the 

“Available Terms” and/or “Default Terms” may vary by 

currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Fixed Floating

Further Limitations: None

Terms:

Terms of “Underlying Swap Transaction”:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.
Fixed for Floating Interest Rate Swaptions

123

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period. 

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.
Fixed for Floating Interest Rate Swaptions

124

Compounding Dates In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Swaption Terms:

Option Style: As specified by the parties.

Seller: As specified by the parties.

Buyer: As specified by the parties.

Seller's Agent: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Business Day Convention for Premium Payment Date: As specified by the parties.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Swaption Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Automatic Exercise: As specified by the parties.

Threshold: As specified by the parties if Automatic Exercise is 

specified.

Fallback Exercise: As specified by the parties (if required) .

Swaption Settlement Terms:

Cash Settlement As specified by the parties.

Physical Settlement As specified by the parties.

Cleared Physical Settlement As specified by the parties.
Fixed for Floating Interest Rate Swaptions

125

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable to a single currency Underlying Swap 

Transaction.

ISDA Cross Currency Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable and the Underlying Swap Transaction is a 

cross-currency Transaction where the currency pair is 

included in the Matrix.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties, if Settlement Rate is 

applicable.

Cash Settlement Reference Banks: If Cash Settlement is applicable, as specified by the 

parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.
Fixed for Floating Interest Rate Swaptions

126

Fixed Floating Swaptions Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SAR Saudi Arabian Riyal SARI

SEK Swedish Krona SEST

SGD Singapore Dollar SGSI

TRY Turkish Lira TRIS

USD United States Dollars USNY

ZAR South African Rand ZAJO

Fixed Floating Swaptions Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Swaptions Underlying Swap Transaction Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Fixed Floating Swaptions Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A
Fixed for Floating Interest Rate Swaptions

127

Fixed Floating Swaptions Underlying Swap Transaction Notional Amounts

Currency Minimum Increment Maximum Default

AUD 25,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 10,000,000 1,000,000 N/A N/A

EUR 25,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SAR 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

SGD 5,000,000 100,000 N/A N/A

TRY 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Fixed Floating Swaptions Underlying Swap Transaction Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

AUD-AONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

AUD-AONIA-OISCOMPOUNDSwapMarker

All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-AUBBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSW All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSWBloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-BBSY 

(BID) All quoted tenors N/A Per ISDA 2006 N

AUD-BBR-ISDC All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

AUD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

AUD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Quarterly Swap 

Rate-ICAP-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

AUD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

AUD-Swap RateReuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDOR All quoted tenors N/A Per ISDA 2006 N

CAD-BA-CDORBloomberg All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

128

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

CAD-BA-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-BA-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

CAD-TBILL-Reuters All quoted tenors N/A Per ISDA 2006 N

CAD-TBILLReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CAD-LIBOR-BBASwapMarker All quoted tenors N/A Per ISDA 2006 N

CAD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CAD-REPO-CORRA All quoted tenors N/A Per ISDA 2006 N

CAD-CORRA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

CAD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

CHF USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-ISDAFIX-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

CHF-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

CHF-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

CHF-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

CHF-TOIS-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

129

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

130

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

ILS-TELBORReference Banks All quoted tenors N/A Per ISDA 2006 N

ILS-TELBOR01-

Reuters All quoted tenors N/A Per ISDA 2006 N

JPY USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-BBSFBloomberg-15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-ISDA-Swap Rate15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)
Fixed for Floating Interest Rate Swaptions

131

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

JPY-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBORFRASETT All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

JPY-LIBOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both Legs)

JPY-MUTANCALLTONAR All quoted tenors N/A Per ISDA 2006 N

JPY-OIS-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (10 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM (5 

Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks) All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBM 

(All Banks)-Bloomberg All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-TIBMReference Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-ZTIBOR All quoted tenors N/A Per ISDA 2006 N

JPY-TONA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Reuters15:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate10:00 All quoted tenors N/A Per ISDA 2006 N

JPY-TSR-Telerate15:00 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SAR-SRIORReference Banks All quoted tenors N/A Per ISDA 2006 N

SAR-SRIOR-SUAA All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

132

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

SGD-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAP All quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-ICAPReference BanksAll quoted tenors N/A Per ISDA 2006 N

SGD-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

SGD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SIBOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SONAR-OISVWAP-COMPOUND All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Reuters All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-Telerate All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAP All quoted tenors N/A Per ISDA 2006 N

SGD-SOR-VWAPReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap 

Rate-11:15-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

TRY-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

TRY-TRYIBORReuters All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

133

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N
Fixed for Floating Interest Rate Swaptions

134

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Fixed Floating Swaption Underlying Swap Transaction Requirements and Defaults

Variable Requirement Default

Effective Date Business Day 

Convention

No Adjustment

Termination Date Business Day 

Convention

No Adjustment

Period End Dates Payment Dates

Payment Date Business Day 

Convention

Modified Following
Fixed for Floating Interest Rate Swaptions

135

Linear Interpolation Applicable only to long or short stub 

periods

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length

Compounding Inapplicable

Compounding Business Day 

Convention

Same as Business Day Convention 

for Period End Dates

Method of Averaging Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method Compounding or Flat Compounding Compounding

Fixed Floating Swaption Requirements and Defaults

Setting Requirement Default

Option Style: American, Bermuda, European

Premium Payment Date Business 

Day Convention

Following

Fixed Floating Swaption Requirements and Defaults

(Swaption—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Automatic Exercise

Threshold

Fixed Floating Swaption Requirements and Defaults

(Swaption Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount

ISDA Settlement Matrix Applicable, if single currency swap 

with Currency included in Matrix

ISDA Cross Currency Settlement 

Matrix

Applicable, if cross currency swap 

with currency pair included in 

Matrix

Cash Settlement Valuation Time

Cash Settlement Valuation Date Two Valuation Business Days 

before Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 
Fixed for Floating Interest Rate Swaptions

136

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention

Following

Cash Settlement Method Cash Price

Cash Price—Alternate Method

Collateralized Cash Price

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks Fallbacks per ISDA 2006 

Definitions

Quotation Rate bid

ask

mid
Forward Rate Agreements (Uncleared)

137

Forward Rate Agreements (Uncleared)

Terms and Conditions

Summary: This covers uncleared forward rate agreements 

(“Forward Rate Agreements” or “FRAs”).

Limitations on Available Selections and Default 

Settings:

The terms under which an FRA may be traded are as 

specified in these terms and conditions and in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET”/EUTA is considered a location.

In many cases there are normal “vanilla” terms on 

which the parties will transact. These are shown as 

“Default” and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or 

“Default Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded 

(e.g., London versus NY). In that case the default 

settings may vary by market.

Incorporated Standards: These terms and conditions incorporate by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.2.4 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: None
Forward Rate Agreements (Uncleared)

138

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“adjustedEffectiveDate”): The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“adjustedTerminationDate”): The date specified by the parties, adjusted in 

accordance with any applicable Business Day 

Convention.

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Rate Payer (“buyerPartyReference”): As specified by the parties.

Fixed Rate (“fixedRate”): As specified by the parties.

Floating Rate Payer (“sellerPartyReference”): As specified by the parties.

Payment Date (“paymentDate”): As specified by the parties.

Floating Rate Option (“floatingIndex”): As specified by the parties.

Designated Maturity (“indexTenor”): As specified by the parties.

Spread: As specified by the parties.

Floating Rate Day Count Fraction 

(“dayCountFraction”):

As specified by the parties.

Reset Date: The Effective Date.

Discounting (“fraDiscounting”): As specified by the parties.

Business Days: As specified by the parties.

Calculation Agent: As specified by the parties.

FRA Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

CAD Canadian Dollar CATO

CHF Swiss Franc CHZU

CZK Czech Koruna CZPR

DKK Danish Krone DKCO

EUR Euro EUTA

GBP Sterling GBLO

HUF Hungarian Forint HUBU

ILS Israeli Shekel ILTA

JPY Japanese Yen JPTO

NOK Norwegian Krone NOOS

NZD New Zealand Dollar NZAU and NZWE

PLN Polish Zloty PLWA

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO

FRA Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment
Forward Rate Agreements (Uncleared)

139

Preceding

FRA Available Day Count Fractions

ISDA Name

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

1/1

FRA Notional Amounts

Currency Minimum Increment Maximum Default

AUD 5,000,000 100,000 N/A N/A

CAD 5,000,000 100,000 N/A N/A

CHF 5,000,000 100,000 N/A N/A

CZK 5,000,000 100,000 N/A N/A

DKK 5,000,000 100,000 N/A N/A

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

HUF 5,000,000 100,000 N/A N/A

ILS 5,000,000 100,000 N/A N/A

JPY 500,000,000 10,000,000 N/A N/A

NOK 5,000,000 100,000 N/A N/A

NZD 5,000,000 100,000 N/A N/A

PLN 5,000,000 100,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

FRA Floating Rate Options and Defaults

Currency Floating Rate 

Option (any 

from ISDA 

2006 if not 

specified)

Available 

Tenors

Default 

Tenor

Default Day 

Count Fraction

Additional 

Business 

Day 

Locations

Default for 

Currency 

(Y/N)

AUD Actual/360 N

CAD

CHF

CZK Actual/360 N

DKK

EUR

GBP

HUF

ILS ILSTELBOR01-

Reuters

All quoted N Per ISDA 2006 N Y

JPY

NOK

NZD NZD-BBRFRAAll quoted N Per ISDA 2006 N Y
Forward Rate Agreements (Uncleared)

140

PLN

SEK

USD USD-LIBORBBA3M Actual/360 GBLO Y

ZAR

FRA Discounting Types

ISDA Name FpML Default for (Currency)

FRA Discounting ISDA All but AUD

FRA Yield Discounting AFMA AUD

None NONE None
Forward Rate Agreements – CME Cleared

141

Forward Rate Agreements – CME Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared 

by the Chicago Mercantile Exchange Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Forward Rate 

Agreement/CME Cleared may be traded are as specified 

in these terms and conditions, which incorporate the 

CME Rulebook, in particular Chapters 900 and 901 

(and any successor provisions) and the CME Cleared 

IRS Product Scope (or any successor).

By electing to trade a Forward Rate 

Agreement/CME Cleared, participants are 

representing that they are familiar with the CME 

Rulebook and the limitations on transaction terms 

contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2006 ISDA 

Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product(s): N/A

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to the limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.

Settlement: As per the CME Rulebook, in advance or arrears.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.
Forward Rate Agreements – CME Cleared

142

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

FRA Discounting: As per CME Rulebook, which may require different 

discounting conventions depending on payment 

convention.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to limitations in

the CME Rulebook.
Forward Rate Agreements – LCH Cleared

143

Forward Rate Agreements – LCH Cleared

Terms and Conditions

Summary: This covers forward rate agreements (“FRAs”) cleared 

by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Forward Rate 

Agreement/LCH Cleared may be traded are as specified 

in these terms and conditions, which incorporate the 

LCH Rulebook, in particular Schedule 4A (or any 

successor provisions).

By electing to trade a Forward Rate 

Agreement/LCH Cleared, participants are 

representing that they are familiar with the LCH 

Rulebook and the limitations on transaction terms 

contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, 

since the LCH may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: FRA

ISDA OTC Sub-Product: N/A

Further Limitations: Must comply with LCH Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to the limitation in 

the LCH Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the LCH Rulebook, which may limit the earliest or 
Forward Rate Agreements – LCH Cleared

144

latest day on which such fees may be paid based on 

Currency or other factors.

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the LCH Rulebook.

Floating Rate Payer: As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

FRA Discounting: As per the LCH Rulebook.

Discount Rate As per the LCH Rulebook.

FRA Yield Discounting: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction. 
iBoxx Index Swaps

145

iBoxx Index Swaps

Terms and Conditions

Summary: This covers iBoxx index swaps (each, an “iBoxx Index 

Swap”) on a bilateral basis.

Limitations on Available Selections and Default 

Settings:

The terms under which an iBoxx Index Swap may be 

traded are shown below and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency and any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of the 

other locations, so long as there is at least one location in 

which payment may be made.

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) the iBoxx Index Transaction Standard Terms 

Supplement (current version or as specified by the 

parties) (“iBoxx STS”)

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Total Return Swap Index

ISDA OTC Sub-Product: iBoxx

ISDA OTC Transaction type: N/A
iBoxx Index Swaps

146

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date (“effectiveDate”): The Business Day following the Trade Date, unless 

otherwise agreed by the parties.

Effective Date Business Days: The Business Days specified below, unless otherwise 

specified by the parties.

Effective Date Business Day Convention: The Business Day Convention specified below, unless 

otherwise specified by the parties.

Termination Date (“terminationDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Notional Amount (“notional”): An amount specified by the parties, which will be in the 

relevant Settlement Currency (unless otherwise agreed 

by the parties).

Index As specified by the parties from among the Available 

Indices.

Index Buyer: As agreed by the parties.

Index Seller: As agreed by the parties.

Calculation Agent: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Settlement Currency: The currency in which the Index is denominated.

Business Days: As specified in the iBoxx STS for the relevant 

Settlement Currency, unless otherwise agreed by the 

parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): Index Buyer

Floating Rate Payer Period End Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Floating Rate Payer Payment Dates: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Linear Interpolation: As specified in the iBoxx STS, unless otherwise agreed 

by the parties

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, per the Definitions unless otherwise agreed by 

the parties.

Longer Designated Maturity for Linear Interpolation For a Calculation Period to which Linear Interpolation 

applies per the Definitions unless otherwise agreed by 

the parties.

Floating Rate Option: As specified by the parties.

Floating Rate for the initial Calculation Period As specified by the parties.

Spread: As specified by the parties.

Designated Maturity (“indexTenor”) As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Floating Rate Day Count Fraction: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Reset Dates (“resetDate”): As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Payment Dates Business Days: The Business Days specified above, unless otherwise 

agreed by the parties.

Business Days (Other Than Payment Dates): The Business Days specified above, unless otherwise 

agreed by the parties.

Business Day Convention (Other Than Payment Dates): The Business Day Convention specified above, unless 

otherwise specified by the parties.
iBoxx Index Swaps

147

Index Return Amount:

Index Return Amount Payment Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Initial Fixing Amount: As agreed by the parties and rounded as specified in the 

iBoxx STS (unless the parties otherwise agree).

Final Fixing Amount: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Scheduled Final Fixing Date: As specified by the parties, subject to the Business Day 

Convention (unless the parties otherwise agree).

Final Fixing Date: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

Index Adjustment and Index Discontinuance Events: As specified in the iBoxx STS, unless otherwise agreed 

by the parties.

iBoxx Index Available Currencies and Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA and GBLO

GBP Sterling EUTA and GBLO

USD United States Dollars USNY

iBoxx Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

iBoxx Index Available Indices

Name Currency

iBoxx EUR Corporates EUR

iBoxx EUR Liquid High Yield Index EUR

iBoxx GBP Corporates GBP

iBoxx USD Domestic Corporates USD

iBoxx USD Liquid High Yield Index USD

iBoxx USD Liquid Investment Grade Index USD

iBoxx USD Liquid Leveraged Loans Index USD

iBoxx Index Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)
iBoxx Index Swaps

148

iBoxx Index Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional Business 

Day Locations

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)
iBoxx Index Swaps

149

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to Both 

Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

150

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
iBoxx Index Swaps

151

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 N

GBP-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

GBP-SONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-RONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N
Inflation Swaps

152

Inflation Swaps

Terms and Conditions

Summary: This covers inflation swaps (“Inflation Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Inflation Swap may be traded 

are as specified in these terms and conditions or in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default ” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) 2008 ISDA Inflation Derivatives Definitions, 

including Supplements 1 and 2 thereto and any other 

Supplements through Trade Date

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Inflation

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 
Inflation Swaps

153

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Fixed Amount: As specified by the parties (in lieu of all items other than 

Payment Date(s)).

Fixed Rate Payment Date (“unadjustedPaymentDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate (“floatingRate”): Notwithstanding the 2006 Definitions, “Floating Rate” 

will equal:

rounded in accordance with the 2008 ISDA Inflation

Derivatives Definitions and subject to the Negative 

Interest Rate Treatment.

Index: As specified by the parties from among the Available 

Inflation Indices.

Index_Initial (“initialIndexLevel”): As specified by the parties.

Index_Final: The Index level for the Reference Month(s) specified by 

the parties in the Reference Year(s) specified by the 

parties.

Reference Month(s): As specified by the parties.

Reference Year(s) As specified by the parties.

Day Count Fraction: 1/1

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.
Inflation Swaps

154

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Negative Interest Rates (“negativeInterestRateMethod”): As selected by the parties from among the Available 

Treatments.

Related Bond: The bond, if any, specified by the parties as such.

Fallback Bond (“fallbackBondApplicable”): As selected by the parties if no Related Bond is selected.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

AUD Australian Dollar AUSY

EUR Euro EUTA

GBP Sterling GBLO

ILS Israeli Shekel ILTA

USD United States Dollars USNY

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Fixed Floating Available Day Count Fractions

ISDA Name

1/1

Fixed Floating Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP Plus Two Banking Days

CAD, GBP Plus Zero

Fixed Floating Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Fixed Floating Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 5,000,000 100,000 N/A N/A

USD 10,000,000 1,000,000 N/A N/A

Inflation Swap Indices
Inflation Swaps

155

Index Name Description

AUD-CPI Australia: AUD – Non-revised Consumer Price Index (CPI)

AUS-CPI Austria: AUS – Non-revised Consumer Price Index (CPI)

AUS-HICP Austria: AUS – Non-revised Harmonised Indices of Consumer Prices (HICP)

BLG-CPI-GI Belgium: BLG – Non-revised Consumer Price Index - General Index (CPI)

BLG-CPI-HI Belgium: BLG – Non-revised Consumer Price Index - Health Index (CPI)

BLG-HICP Belgium: BLG – Non-revised Harmonised Consumer Price Index (HICP)

DEM-CPI Germany: DEM – Non-revised Consumer Price Index (CPI)

DEM-CPI-NRW Germany: DEM – Non-revised Consumer Price Index for North Rhine-Westphalia

DEM-HICP Germany: DEM – Non-revised Harmonised Consumer Price Index (HICP)

ESP-CPI Spain: ESP – National-Non-revised Consumer Price Index (CPI)

ESP-HICP Spain: ESP – Harmonised-Non-revised Consumer Price Index (HICP)

ESP-R-CPI Spain: ESP – National-Revised Consumer Price Index (CPI).

ESP-R-HICP Spain: ESP – Harmonised-Revised Consumer Price Index (HICP)

EUR-AI-CPI European Union: EUR – All Items-Non-revised Consumer Price Index

EUR-AI-R-CPI European Union: EUR – All Items–Revised Consumer Price Index

EUR-EXT-CPI European Union: EUR – Excluding Tobacco-Non-revised Consumer Price Index

EUR-EXT-RCPI European Union: EUR – Excluding Tobacco–Revised Consumer Price Index

FRC-EXT-CPI France: FRC – Excluding Tobacco-Non-Revised Consumer Price Index

FRC-HICP France: FRC – Harmonised-Non-revised Consumer Price Index (HICP)

GRD-CPI Greece: GRD – Non-revised Consumer Price Index (CPI)

GRD-HICP Greece: GRD – Harmonised-Non-revised Consumer Price Index (HICP)

ILS-CPI Israel: ILS – Non-revised Consumer Price Index (CPI)

IRL-CPI Ireland: IRL – Non-revised Consumer Price Index (CPI)

IRL-HICP Ireland: IRL – Harmonised-Non-revised Consumer Price Index (HICP)
Inflation Swaps

156

ITL-BC-EXTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees–Excluding Tobacco Consumer 

Price Index

ITL-BC-INTCPIItaly: ITL – Inflation for Blue Collar Workers and Employees-Including Tobacco Consumer 

Price Index

ITL-HICP Italy: ITL – Non-revised Harmonised Consumer Price Index (HICP)

ITL-WC-EXTCPI Italy: ITL – Whole Community –Excluding Tobacco Consumer Price Index

ITL-WC-INTCPI Italy: ITL – Whole Community –Including Tobacco Consumer Price Index

LUX-CPI Luxembourg: LUX – Non-revised Consumer Price Index (CPI)

LUX-HICP Luxembourg: LUX – Harmonised-Non-revised Consumer Price Index (HICP)

NLG-CPI Netherlands: NLG – Non-revised Consumer Price Index (CPI)

NLG-HICP Netherlands: NLG – Harmonised-Non-revised Consumer Price Index (HICP)

POR-CPI Portugal: POR – Non-revised Consumer Price Index (CPI)

POR-HICP Portugal: POR – Harmonised-Non-revised Consumer Price Index (HICP)

UK-HICP United Kingdom: GBP – Harmonised-Non-revised Consumer Price Index (HICP)

UK-RPI United Kingdom: GBP – Non-revised Retail Price Index (UKRPI)

UK-RPIX United Kingdom: GBP – Non-revised Retail Price Index Excluding Mortgage Interest 

Payments (UKRPIX)

USA-CPI-U United States: USA – Non-revised Consumer Price Index – Urban (CPI-U)

Fixed Floating Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Fallback Bond: Applicable
Interest Rate Caps/Floors

157

Interest Rate Caps/Floors

Terms and Conditions

Summary: This covers interest rate caps and floors (“Interest Rate 

Caps/Floors”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Cap/Floor may 

be traded are as specified in these terms and conditions 

and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. For these 

purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. These are shown as “Default” 

and will apply unless the parties vary them.

It should be noted that these contracts can be traded in a 

variety of currencies. Since each national market has its 

own peculiarities, the “Available Terms” and/or “Default 

Terms” may vary by currency.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). In that case the default settings may 

vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA Settlement Matrix (if Optional Early 

Termination applies)

(c) ISDA OTC Taxonomies

(d) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Cap/Floor

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in one of the Available Currencies (see 

below) agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Effective Date as 
Interest Rate Caps/Floors

158

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention. 

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Fixed Amount 1:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Rate Period End Dates (“unadjustedCalculation 

Period Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Fixed Rate Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Period End Dates (“unadjustedCalculation Period 

Date”):

As specified by the parties.

first Period End Date: As specified by the parties if there is a short initial 

Calculation Period.

Payment Dates (“unadjustedPaymentDate”): As specified by the parties.

Cap Rate: As specified by the parties.

Floor Rate: As specified by the parties.

initial Floating Rate: As specified by the parties.

Floating Rate Option (“floatingRateIndex”): As specified by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Linear Interpolation: For the Calculation Periods specified by the parties.

Shorter Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Longer Designated Maturity for Linear Interpolation: For a Calculation Period to which Linear Interpolation 

applies, as specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Method of Averaging: As specified by the parties.

Compounding: As specified by the parties.
Interest Rate Caps/Floors

159

Compounding Dates: In the event Compounding is selected, as selected by the 

parties.

Compounding Method (Compounding OR Flat 

Compounding):

In the event Compounding is selected, as selected by the 

parties.

Period End Dates Business Days: As specified by the parties from among the Available 

Business Days.

Period End Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Payment Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Payment Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Initial Exchange:

Initial Exchange Date: As specified by the parties.

Fixed Rate Payer Initial Exchange Amount: As specified by the parties.

Floating Payer Initial Exchange Amount: As specified by the parties.

Interim Exchanges:

Interim Exchange Dates: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Fixed Rate Payer Interim Exchange Amount: As specified by the parties.

Final Exchanges:

Final Exchange Date: As specified by the parties.

Fixed Rate Payer Final Exchange Amount: As specified by the parties.

Fixed Payer Final Exchange Amount: As specified by the parties.

Optional Early Termination:

Optional Early Termination: As specified by the parties.

Option Style: As specified by the parties.

Optional Early Termination Date: As specified by the parties.

Seller: As specified by the parties if only one party can 

terminate.

Buyer: As specified by the parties, if only one party can 

terminate.

Seller’s Agent: As specified by the parties, if only one party can 

terminate.

Business Days for Payments: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Exercise Business Days: As specified by the parties.

Optional Early Termination Procedure for Exercise:

Commencement Date: As specified by the parties, if the Option Style is 

American.

Bermuda Option Exercise Dates: As specified by the parties, if the Option Style is 

Bermuda.

Expiration Date: As specified by the parties.

Expiration Time: As specified by the parties.

Earliest Exercise Time: As specified by the parties.

Latest Exercise Time: As specified by the parties.

Exercise Business Day: As specified by the parties.

Partial Exercise: As specified by the parties, if Option Style is European.

Multiple Exercise: As specified by the parties, if Option Style is American 

or Bermuda.
Interest Rate Caps/Floors

160

Minimum Notional Amount: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Maximum Notional Amount: As specified by the parties if Multiple Exercise is 

specified.

Integral Multiple: As specified by the parties if Partial Exercise or Multiple 

Exercise is specified.

Optional Early Termination Settlement Terms:

Cash Settlement: As specified by the parties.

ISDA Settlement Matrix: As specified by the parties, if Cash Settlement is 

applicable.

Cash Settlement Valuation Time: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Valuation Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Valuation Business Days: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date: If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Payment Date Business Days 

Convention:

If Cash Settlement is applicable, as specified by the 

parties, directly or via the ISDA Settlement Matrix.

Cash Settlement Method: If Cash Settlement is applicable, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Cash Settlement Currency: If Cash Settlement is applicable, and “Cash Price” or 

“Cash Price—Alternate” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix.

Settlement Rate: If Cash Settlement is applicable, and “Par Yield Curve—

Adjusted,” “Par Yield Curve—Unadjusted” or “Zero 

Coupon Curve—Adjusted” apply, as specified by the 

parties from Available Cash Settlement Methods, 

directly or via the ISDA Settlement Matrix parties from 

Available Cash Settlement Methods, directly or via the 

ISDA Settlement Matrix.

Cash Settlement Reference Banks: As specified by the parties.

Quotation Rate: If Cash Settlement is applicable, as specified by the 

parties from among the Available Quotation Rates.

Calculation Agent: As agreed by the parties.

Cap/Floor Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

EUR Euro EUTA

GBP Pound Sterling GBLO

JPY Japanese Yen JPTO

MXN Mexican Peso (New) MXMC

SEK Swedish Krona SEST

USD United States Dollars USNY

ZAR South African Rand ZAJO
Interest Rate Caps/Floors

161

Cap/Floor Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Cap/Floor Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Cap/Floor Default Effective Dates

Currency Default Effective Date

All Currencies Other than CAD, GBP, MXN Plus Two Banking Days

MXN Plus One Banking Day

CAD, GBP Plus Zero

Cap/Floor Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective 

Date

Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A N/A

Cap/Floor Notional Amounts

Currency Minimum Increment Maximum Default

EUR 5,000,000 100,000 N/A N/A

GBP 25,000,000 100,000 N/A N/A

JPY 2,500,000,000 100,000,000 N/A N/A

MXN 10,000,000 1,000,000 N/A N/A

SEK 5,000,000 100,000 N/A N/A

USD 25,000,000 1,000,000 N/A N/A

ZAR 5,000,000 100,000 N/A N/A

Cap/Floor Floating Rate Options and Defaults

Floating Rate Option Available Tenors Default Tenor Default Day Count 

Fraction

Additional 

Business Day 

Locations

EUR USD-Basis 

Swaps-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

162

EUR-Annual Swap 

Rate-10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-10:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-11:00-

SwapMarker

All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 Month All quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-3 MonthSwapMarkerAll quoted tenors N/A Per ISDA 2006 N

EUR-Annual Swap 

Rate-Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EONIAAVERAGE All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-BGCANTOR All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS10:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OIS11:00-ICAP All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-OISCOMPOUNDBloomberg

All quoted tenors N/A Per ISDA 2006 N

EUR-EONIA-SwapIndex All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365 All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORAct/365-Bloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORReuters All quoted tenors N/A Per ISDA 2006 N

EUR-EURIBORTelerate All quoted tenors N/A Per ISDA 2006 N

EUR-EURONIA-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-EURIBOR 

Swap Rate-12:00 All quoted tenors N/A Per ISDA 2006 N

EUR-ISDA-LIBOR 

Swap Rate-10:00 All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

163

EUR-ISDA-LIBOR 

Swap Rate-11:00 All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

EUR-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 N

EUR-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TAM-CDC All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC10-

Reference Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNO All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-CNOSwapMarker All quoted tenors N/A Per ISDA 2006 N

EUR-TEC5-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

EUR-TMM-CDCCOMPOUND All quoted tenors N/A Per ISDA 2006 N

GBP-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

GBP-WMBA-SONIACOMPOUND All quoted tenors N/A Per ISDA 2006 N

JPY-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17096 All quoted tenors N/A Per ISDA 2006 N

JPY-TIBOR-17097 All quoted tenors N/A Per ISDA 2006 N

MXN-TIIE-Banxico All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

SEK-Annual Swap 

Rate-SESWFI All quoted tenors N/A Per ISDA 2006 N

SEK-SIOR-OISCOMPOUND All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORBloomberg All quoted tenors N/A Per ISDA 2006 N

SEK-STIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

SEK-STIBOR-SIDE All quoted tenors N/A Per ISDA 2006 N

USD-Annual Swap 

Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

USD-BA-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-BA-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-BMA Municipal 

Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-CD-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CD-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Reference 

Banks-ICAP SwapPX All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

164

USD-CMS-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-CMS-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7051 All quoted tenors N/A Per ISDA 2006 N

USD-CMT-T7052 All quoted tenors N/A Per ISDA 2006 N

USD-COF11-FHLBSF All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Reuters All quoted tenors N/A Per ISDA 2006 N

USD-COF11-Telerate All quoted tenors N/A Per ISDA 2006 N

USD-CP-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-CP-Reference 

Dealers All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15 All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsH.15-OISCOMPOUND

All quoted tenors N/A Per ISDA 2006 N

USD-Federal FundsReference Dealers All quoted tenors N/A Per ISDA 2006 N

USD-FFCB-DISCO All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDA-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate All quoted tenors N/A Per ISDA 2006 N

USD-ISDAFIX3-Swap 

Rate-3:00 All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBA All quoted tenors N/A Per ISDA 2006 N

USD-LIBOR-BBABloomberg All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-ISDA All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBOR-LIBO All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-LIBORReference Banks All quoted tenors N/A Per ISDA 2006 GBLO (Applies to 

Both Legs)

USD-OIS-11:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-LONICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-11:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-

BGCANTOR All quoted tenors N/A Per ISDA 2006 N

USD-OIS-3:00-NYICAP All quoted tenors N/A Per ISDA 2006 N

USD-Prime-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-Prime-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

USD-S&P Index-High 

Grade All quoted tenors N/A Per ISDA 2006 N

USD-SIBORReference Banks All quoted tenors N/A Per ISDA 2006 N
Interest Rate Caps/Floors

165

USD-SIBOR-SIBO All quoted tenors N/A Per ISDA 2006 N

USD-SIFMA 

Municipal Swap Index All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15 All quoted tenors N/A Per ISDA 2006 N

USD-TBILL-H.15-

Bloomberg All quoted tenors N/A Per ISDA 2006 N

USD-TBILLSecondary Market All quoted tenors N/A Per ISDA 2006 N

USD-TIBOR-ISDC All quoted tenors N/A Per ISDA 2006 N

USD-TIBORReference Banks All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateICAP BrokerTec All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker100 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateSwapMarker99 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT19901 All quoted tenors N/A Per ISDA 2006 N

USD-Treasury RateT500 All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-11:00-

BGCANTOR

All quoted tenors N/A Per ISDA 2006 N

VND-Semi-Annual 

Swap Rate-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITReference Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-DEPOSITSAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-Reference 

Banks All quoted tenors N/A Per ISDA 2006 N

ZAR-JIBAR-SAFEX All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE All quoted tenors N/A Per ISDA 2006 N

ZAR-PRIMEAVERAGE-Reference 

Banks

All quoted tenors N/A Per ISDA 2006 N

Cap/Floor Requirements and Defaults

(Excluding Optional Early Termination and Mandatory Early Termination)

Variable Requirement Default

Effective Date Business Day 

Convention:

No Adjustment

Termination Date Business Day 

Convention:

No Adjustment

Period End Dates: Payment Dates

Payment Date Business Day 

Convention:

Modified Following

Linear Interpolation: Applicable only to long or short stub 

periods

Designated Maturities for Linear Tenors quoted next shorter and 
Interest Rate Caps/Floors

166

Interpolation: longer than the actual Calculation 

Period length

Compounding: Inapplicable

Compounding Business Day 

Convention:

Same as Business Day Convention 

for Period End Dates

Method of Averaging: Weighted Average or Unweighted 

Average

Unweighted Average

Compounding Method: Compounding or Flat Compounding Compounding

Initial Exchange Date: Effective Date

Initial Exchange Date Business Day 

Convention:

Following

Interim Exchange Date Business 

Day Convention:

Modified Following

Final Exchange Date: Termination Date

Final Exchange Date Business Day 

Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination and Mandatory Early Termination)

Setting Requirement Default

Optional Early Termination: Inapplicable

Mandatory Early Termination: Inapplicable

Option Style: American, Bermuda, European

Cash Settlement: Required for Mandatory Early 

Termination

Applicable (i.e., Transaction is not

“torn up for no value”)

Optional Early Termination Date: Cash Settlement Payment Date

Optional Early Termination Date 

Business Day Convention:

Following

Mandatory Early Termination Date 

Business Day Convention:

Modified Following

Cap/Floor Requirements and Defaults

(Optional Early Termination—Exercise)

Setting Requirement Default

Commencement Date: American only

Partial Exercise: Inapplicable

Multiple Exercise: Inapplicable

Exercise Business Day: Banking Day for cash Settlement 

Currency (TARGET Settlement Day 

for EUR)

Latest Exercise Time: On Expiration Date, the Expiration 

Time

Other than Expiration Date, the 

Expiration Time

Cap/Floor Requirements and Defaults

(Cash Settlement)

Setting Requirement/Choices Default

Cash Settlement Amount:

ISDA Settlement Matrix: Applicable, if single currency swap 

with Currency included in Matrix
Interest Rate Caps/Floors

167

Cash Settlement Valuation Time:

Cash Settlement Valuation Date: Two Valuation Business Days before 

Mandatory/Optional Early 

Termination Date but same day for 

CAD, GBP or DKK with Floating 

Rate Option of “DKK-CIBORDKNA13” or “DKK-CIBORDKNA13-Bloomberg”

Valuation Business Day: Banking Days in locations per the 

Business Day Location Table, plus 

additional days required by for 

fixings under the Floating Rate 

Option(s)

Cash Settlement Payment Date 

Business Day Convention:

Following

Cash Settlement Method: Cash Price

Cash Price—Alternate Method

Par Yield Curve—Adjusted

Par Yield Curve—Unadjusted

Zero Coupon Yield—Adjusted

Cash Settlement Currency: For single currency, same as 

Notional Amount, otherwise as 

specified in ISDA Master 

Agreement, or otherwise same as 

Notional Amount for Fixed Amount

Settlement Rate: ISDA Source/Other Price 

Source/Reference Banks

Cash Settlement Reference Banks: Fallbacks per ISDA 2006 Definitions

Quotation Rate: bid

ask

mid

Exercising Party Pays (Optional 

Early Termination Only)
Interest Rate Swaps – ASX Cleared

168

Interest Rate Swaps – ASX Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by ASX Clear 

(Futures) Pty Limited (“ASX”) (such swaps, “Interest 

Rate Swaps – ASX Cleared”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Swap – ASX 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the ASX OTC 

Rulebook and the ASX OTC Handbook (collectively, 

the “ASX Rules”), in particular Schedule 1 to the ASX 

OTC Handbook (and any successor provisions).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap – ASX Cleared, 

participants are representing that they are familiar 

with the ASX Rules and the limitations on 

transaction terms contained therein. 

In particular, participants represent that they are 

familiar with the limitations on transactions for US 

Persons set forth in Section 4.3 of the ASX OTC 

Handbook (or any successor provisions).

Incorporated Standards: This contract description incorporates by reference the 

ASX Rules as in effect from time to time.

The ASX Rules themselves may incorporate certain 

additional standards, such as the 2006 ISDA 

Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and ASX-cleared 

contracts, since ASX may reserve the right to select 

when and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the ASX Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2006, as amended) 

binding on the parties in accordance with the ASX 

Rules.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the ASX Rules.

This may vary from period to period to the extent 

permitted by the ASX Rules.

The ASX Rules may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the ASX Rules.

Business Days: As per the ASX Rules, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the ASX Rules.

Trade Date: As per the ASX Rules.
Interest Rate Swaps – ASX Cleared

169

Effective Date: As per the ASX Rules.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the ASX Rules.

Termination Date Business Day Convention: As per the ASX Rules, and thus subject to limitations 

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the ASX Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the 

ASX Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the 

ASX Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the ASX Rules and any other restrictions in the ASX 

Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the ASX Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page.

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the ASX Rules and any other restrictions in the ASX 

Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

ASX Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties.

Compounding: As per the ASX Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the ASX Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the ASX Rules.
Interest Rate Swaps – ASX Cleared

170

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations 

in the ASX Rules.
Interest Rate Swaps – Eurex Cleared

171

Interest Rate Swaps – Eurex Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Eurex 

Clearing AG (“Eurex”) (such swaps, “Interest Rate 

Swaps – Eurex Cleared”).

Limitations on Available Selections and Default 

Settings:

The terms under which an Interest Rate Swap – Eurex 

Cleared may be traded are as specified in these terms 

and conditions, which incorporate the Eurex Clearing 

Conditions (Clearing-Bedingungen) (collectively, the 

“Eurex Rules”).

By electing to trade an Interest Rate Swap – Eurex 

Cleared, participants are representing that they are 

familiar with the Eurex Rules and the limitations on 

transaction terms contained therein.

Incorporated Standards: This contract description incorporates by reference the 

Eurex Rules as in effect from time to time.

The Eurex Rules themselves may incorporate certain 

additional standards, such as the 2000 ISDA 

Definitions, the 2006 ISDA Definitions or the 

Rahmenvertrag für Finanztermingeschäfte (“DRV”). Be 

aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and Eurex-cleared 

contracts, since Eurex may reserve the right to select 

when and how such changes become effective. Also 

be aware that Eurex has elected to make the 2006 

ISDA Definitions applicable to certain classes of 

transactions, regardless of the parties’ election to use 

the 2000 ISDA Definitions.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, Inflation, OIS and Basis

Further Limitations: Must comply with the Eurex Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 Definitions, ISDA 

2006 Definitions, each as amended, the DRV) binding 

on the parties in accordance with the Eurex Rules.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the Eurex Rules.

This may vary from period to period to the extent 

permitted by the Eurex Rules.

The Eurex Rules may limit the Floating Rate Options 

and other terms for which variable notionals are 

permitted.
Interest Rate Swaps – Eurex Cleared

172

Currency: One of the currencies permitted for the relevant 

transaction type per the Eurex Rules.

Business Days: As per the Eurex Rules, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the Eurex Rules.

Trade Date: As per the Eurex Rules.

Effective Date: As per the Eurex Rules.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the Eurex Rules for the related type 

of transaction and Currency.

Termination Date Business Day Convention: As per the Eurex Rules, and thus subject to limitations 

based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the Eurex Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the 

Eurex Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the Eurex Rules and any other restrictions in the Eurex 

Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to the Eurex Rules, 

which may provide a more limited list of available 

options for a Currency than does the Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules, which may provide a more limited set of 

Designated Maturities than does the related rate source 

page.

Spread: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties, subject to any minimum or 

maximum rate and per-period variability permitted by 

the Eurex Rules and any other restrictions in the Eurex 

Rules.
Interest Rate Swaps – Eurex Cleared

173

Reset Dates: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as per the 

Eurex Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined 

by the parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate 

swap or for each floating leg of a basis swap, as 

determined by the parties.

Compounding: As per the Eurex Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.

Payment Date for Additional Payment/Fees: As determined by the parties, subject to any limitations 

in the Eurex Rules.
Interest Rate Swaps – JSCC Cleared

174

Interest Rate Swaps – JSCC Cleared

Terms and Conditions

Summary: This covers interest rate swaps cleared by Japan Securities 

Clearing Corporation (“JSCC”) (such swaps, “Interest Rate 

Swaps – JSCC Cleared”).

Limitations on Available Selections and 

Default Settings:

The terms under which an Interest Rate Swap – JSCC Cleared 

may be traded are as specified in these terms and conditions, 

which incorporate the JSCC Interest Rate Swap Clearing 

Business Rules (‹à— ̃ƒXƒƒbƒvŽæˆø ́ŽZ‹Æ–±‚ÉŠÖ‚·‚é‹

Æ–±•û–@‘)and the JSCC Handling Procedures of Interest 

Rate Swap Business Rules (‹à— ̃ƒXƒƒbƒvŽæˆø ́ŽZ‹Æ–±

‚ÉŠÖ‚·‚é‹Æ–±•û–@‘‚ÌŽæˆμ‚¢) (collectively, the “JSCC 

Rules”).

By electing to trade an Interest Rate Swap – JSCC Cleared, 

participants are representing that they are familiar with 

the JSCC Rules and the limitations on transaction terms 

contained therein. 

In particular, participants represent that they are familiar 

with the limitations on transactions for US Persons set 

forth in Article 47-2 of the JSCC Handling Procedures of 

Interest Rate Swap Business Rules (or any successor 

provisions).

Incorporated Standards: This contract description incorporates by reference the JSCC 

Rules as in effect from time to time.

The JSCC Rules themselves may incorporate certain additional 

standards, such as the 2000 ISDA Definitions or 2006 ISDA 

Definitions.

Be aware that the timing of effectiveness of amendments or 

supplements to the ISDA standards may vary between 

bilateral and JSCC-cleared contracts, since JSCC may 

reserve the right to select when and how such changes 

become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float, OIS and Basis

Further Limitations: Must comply with the JSCC Rules.

Terms:

Definition Set: The definition set (e.g., ISDA 2000 or ISDA 2006, each as 

amended) binding on the parties in accordance with the JSCC 

Rules.

Notional Amount: An amount in Currency determined by the parties subject to 

limitations in the JSCC Rules.

This may vary from period to period to the extent permitted by 

the JSCC Rules.

The JSCC Rules may limit the Currencies and Floating Rate 

Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant transaction 

type per the JSCC Rules.

Business Days: As per the JSCC Rules, which may require certain Business 

Days be applicable on a per Currency or Floating Rate Option 
Interest Rate Swaps – JSCC Cleared

175

Basis and may otherwise limit the available Business Day 

locations which can be elected.

Business Day Convention: As per the JSCC Rules.

Trade Date: As per the JSCC Rules.

Effective Date: As per the JSCC Rules.

Termination Date: As agreed by the parties, subject to any minimum or maximum 

tenor in the JSCC Rules.

Termination Date Business Day Convention: As per the JSCC Rules, and thus subject to limitations based on 

other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the JSCC Rules.

Fixed Rate Payer Payment Dates: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules.

Fixed Amount: For fixed-for-floating interest rate swaps, as per the JSCC 

Rules.

Fixed Rate: As agreed by the parties, subject to any minimum or maximum 

rate and per-period variability permitted in the JSCC Rules and 

any other restrictions in the JSCC Rules.

Floating Rate Payer Payment Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Amount: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Option: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to the JSCC Rules, which may provide a more 

limited list of available options for a Currency than does the 

Definition Set.

Designated Maturity: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules, 

which may provide a more limited set of Designated Maturities 

than does the related rate source page.

Spread: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties, subject to any minimum or maximum rate and perperiod variability permitted by the JSCC Rules and any other 

restrictions in the JSCC Rules.

Reset Dates: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate Daycount Fraction: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Floating Rate for Initial Calculation Period: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as per the JSCC Rules.

Fixed Rate Payer: For fixed-for-floating interest rate swaps, as determined by the 

parties.

Floating Rate Payer: For the floating leg of a fixed-for-floating interest rate swap or 

for each floating leg of a basis swap, as determined by the 

parties.

Compounding: As per the JSCC Rules.

Payer for Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules.

Additional Payment/Fees: As determined by the parties, subject to any limitations in the 

JSCC Rules.

Payment Date for Additional Payment/Fees As determined by the parties, subject to any limitations in the 

JSCC Rules.
IOS Index Contracts

176

IOS Index Contracts

Terms and Conditions

Summary: This covers Markit IOS Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) the Markit IOS Standard Terms Supplement (March 

12, 2010 version) or any subsequent Standard Terms 

Supplement (the “Standard Terms”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: IOS

ISDA OTC Transaction Type: IOS

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit IOS Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:

Initial Payment: Per the Standard Terms.
IOS Index Contracts

177

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
MBX Index Contracts

178

MBX Index Contracts

Terms and Conditions

Summary: This covers Markit MBX Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit MBX Standard Terms Supplement 

(September 12, 2010 version) or any subsequent 

Standard Terms Supplement (the “Standard 

Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: MBX

ISDA OTC Transaction Type: MBX

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit MBX Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.
MBX Index Contracts

179

Initial Payment:

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments:

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Interest Payment: Per the Standard Terms.

Interest Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
Municipal Market Data Rate Lock Transactions

180

Municipal Market Data Rate Lock Transactions

Terms and Conditions

Summary: This covers rate lock transactions indexed to the 

Thomson Reuters Municipal Market Data (“MMD”) 

AAA Curve (“MMD Rate Lock Transactions”).

Limitations on Available Selections and Default 

Settings:

The terms under which a MMD Rate Lock Transaction 

may be traded are as specified in these terms and 

conditions and in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions

(b) ISDA OTC Taxonomies

(c) FpML Location Codes

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).
Municipal Market Data Rate Lock Transactions

181

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

DV01: As specified by the parties.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Fixed Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal:

Fixed Rate Payment Dates (“unadjustedPaymentDate”): The Termination Date

Day Count Fraction: 1/1

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notionalAmount”): As specified by the parties.

Floating Amount: Notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal:

Payment Dates (“unadjustedPaymentDate”): The Termination Date

Relevant Rate: The Relevant Rate for a Reset Date will be the level of 

the Thomson Reuters Municipal index for a tenor of the 

Designated Maturity which represents the offer-side of 

5.00% coupon “AAA” rated state general obligation 

bonds based on institutional block size ($2 million+) 

market activity in both the primary and secondary 

municipal bond market, as of at 3:00 p.m. eastern 

standard time as published on the Thomson Reuters 

TM3 page.

Designated Maturity (‘indexTenor”) As specified by the parties from among the available 

tenors.

Spread: Zero

Day Count Fraction: 1/1

Reset Dates (“resetDate”): The second Business Day preceding the Floating Rate 

Payment Date.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Calculation Agent: As agreed by the parties.

Fixed Floating Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY
Municipal Market Data Rate Lock Transactions

182

Fixed Floating Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Notional Amounts

Currency Minimum Increment Maximum Default

USD 25,000,000 1,000,000 N/A N/A
Natural Gas Date/Instrument Spread Contracts

183

Natural Gas Date/Instrument Spread Contracts

Terms and Conditions

Summary: This covers “Natural Gas Date/Instrument Spread Contracts”. 

A natural-gas date/instrument spread contract is a cash-settled agreement

between two counterparties whereby one counterparty agrees to pay a

floating amount to the other counterparty on a given date, and then

receive a different floating amount from the other counterparty on a 

different, later date.

The difference between the two floating amounts is the spread, which is 

the quoted price for the contract.

The floating amounts are based on the notional quantity traded and the

price of natural gas a stated hub published by one of a series of industry.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a 

given issue of the publication source (e.g., monthly based on the first 

issue of the month) or an average of prices (e.g., average of weekly

bid prices for each weekly issue), as agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate 

(IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY)

(IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention and Minimum 

Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.
Natural Gas Date/Instrument Spread Contracts

184

Notional Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell on the near leg and Buy or Sell on the far leg. 

These would be reversed so that if the first leg is buying the second leg 

must be selling, for instance.

Calculation Periods: Two calculation periods – one for each leg of the spread. 

A single date or date range over which the reference price of the 

commodity will be calculated. 

If a date range the reference price will be averaged across the days, 

contracts or publication source issues as agreed by the counterparties.

Settlement Date(s): Specified settlement or payment date when the floating amounts are 

exchanged.

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Natural Gas – Financial Basis Swap Contracts

185

Natural Gas – Financial Basis Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Financial Basis Swap Contracts”. 

A natural gas financial basis swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated based on 

the reported price for natural gas at a given hub, and in exchange, the second 

counterparty will pay a floating amount to the first counterparty on the same given 

date(s) based on the maturity price of a natural gas futures contract tied to a 

different hub. 

The floating amounts paid are determined based on the notional quantity and, in the 

case of the first floating amount, the price of natural gas a stated hub published by 

one of a series of industry publications and, in the case of the second floating 

amount, an applicable futures contract based on the reference commodity.

Publication Sources: • CGPR—Canadian Gas Price Reporter

• Gas Daily—Platt’s Gas Daily’s Daily Report

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given issue of 

the Publication Source (e.g., monthly based on the first issue of the month) or an 

average of prices (e.g., average of weekly bid prices for each weekly issue), as 

agreed by the parties.

Reference Commodities: • AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Contracts on Reference 

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future) Last Day Settlement

For transactions where the settlement currency is CAD, this price will be converted 

to CAD at then-current spot.

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)
Natural Gas – Financial Basis Swap Contracts

186

Quoting Convention 

and Minimum 

Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD 

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-futures based floating amount is 

paid (buy) or received (sell).

Calculation Period: A single date or date range over which the reference price of the commodity will be 

calculated. 

If a date range the reference price will be averaged across the days, contracts or 

Publication Source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and the 

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Natural Gas – Fixed/Floating Swap Contracts

187

Natural Gas – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Fixed/Floating Swap Contracts”. 

A fixed/floating natural gas swap contract is a cash settled agreement between 

two counterparties whereby one counterparty agrees to pay a fixed amount to 

the other counterparty on a given date, and in exchange the second counterparty 

will pay a floating amount to the first counterparty on the same given date. 

The fixed amount paid is determined based on the notional quantity traded and 

the price of the reference commodity. 

The floating amount paid is determined based on the notional quantity and the 

price of an applicable futures contract based on the reference commodity over 

an agreed future calculation period.

Reference Commodities: • Henry Hub Natural Gas

• Waha Natural Gas

• Permian Natural Gas Basis Swap

• TTF Natural Gas

Contracts on Reference 

Commodities:

• NYMEX Henry Hub Natural Gas (Index Swap Future)

• NYMEX Waha Natural Gas Basis Swap

• NYMEX Permian Natural Gas Basis Swap

• ICE TTF Natural Gas (Monthly)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD (Other than TTF)

• EUR (TTF)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties

Minimum Size: Notional amount, as agreed by counterparties

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD (Other than TTF)

• EUR (TTF)

Trading Conventions: Buy or Sell which refers to whether or not the fixed amount is paid (buy) or 

received (sell).

Calculation Periods: A single date or date range over which the reference price of the commodity will 

be calculated. 

If a date range the reference price will be averaged across all days.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date when the fixed payment amount and the 

floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency. 

The contracts settle on both the NYMEX Last Day and NYMEX Penultimate 

publications.
Natural Gas – Swing Swap Contracts

188

Natural Gas – Swing Swap Contracts

Terms and Conditions

Summary: This covers “Natural Gas – Swing Swap Contracts”. 

A natural gas swing swap contract is a cash settled agreement between two 

counterparties whereby one counterparty agrees to pay a floating amount to the 

other counterparty on a given date(s), which floating amount is calculated 

based on the daily reported price for natural gas at a given hub, and in 

exchange the second counterparty will pay a floating amount to the first 

counterparty on the same given date(s) based on the price at the same hub 

reported for a different period (e.g., weekly or monthly). 

The floating amounts paid are determined based on the notional quantity and, 

in the case of the first floating amount, the daily price of natural gas a stated 

hub published by one of a series of industry publications and, in the case of the 

second floating amount, a price of natural gas the same hub published with 

respect to a different periodicity.

Publication Sources (Non-Daily): • CGPR—Canadian Gas Price Reporter

• IFERC—Platt’s Inside FERC Gas Market Reporter

• NGI—Natural Gas Intelligence’s Bidweek Survey

The floating amount can be based on the price for a given period in a given 

issue of the Publication Source (e.g., monthly based on the first issue of the 

month) or an average of prices (e.g., average of weekly bid prices for each 

weekly issue), as agreed by the parties.

Publication Sources (Daily): • Gas Daily –Platt’s Gas Daily’s Daily Report

Reference Commodities and NonDaily Publication Source:

• AECO—Alberta Energy Co. (CGPR)

• ALG—Algonquin Energy Co. (IFERC)

• Chicago—Chicago City Gate (IFERC)

• CIG—Colorado Interstate Gas, North Mainline (IFERC)

• DOM—Dominion Transmission Co. (IFERC)

• HSC—Houston Ship Channel (IFERC)

• Malin—Pacific Gas Transmission Co., Malin (IFERC)

• Michigan—Michigan Consolidated Gas Company Citygate (IFERC)

• NGPC Mid Con—Natural Gas Pipeline Co of America (IFERC)

• Panhandle—Panhandle Eastern Pipeline Co. (IFERC)

• Permian—El Paso Natural Gas Co. Permian Basin Pool (IFERC)

• PG&E Citygate—PG&E Citygate (IFERC)

• Rockies—Northwest Pipeline, Rocky Mountain Pool (IFERC)

• San Juan— El Paso Natural Gas Co. San Juan Basin Pool (IFERC)

• Socal—Socal Citygate (IFERC)

• Sumas—Northwest Pipeline, Sumas (IFERC)

• TCO—Columbia Gas Transmission Company (IFERC)

• TETCO M3—Texas Eastern Transmission Corp M3 Zone (IFERC)

• Texok— Natural Gas Pipeline Co of Americak TexOK (IFERC)

• Trans Z6 NY—Transcontinenal Gas Pipeline, Zone 6 (NY) (IFERC)

• Ventura—Northern Border Pipeline, Ventura (IFERC)

• Waha—Waha Hub, West Texas (IFERC)

Settlement Currency: Currency in which payments are made between the two counterparties:

• USD 

• CAD (AECO only)

Quoting Convention and

Minimum Increment:

Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.
Natural Gas – Swing Swap Contracts

189

Notional Currency: Currency in which the fixed and floating prices are quoted:

• USD

• CAD (AECO only)

Trading Conventions: Buy or Sell which refers to whether or not the non-daily price based floating 

amount is paid(buy) or received (sell).

Calculation Period: The reference price may be averaged across the days, contracts or publication 

source issues as agreed by the counterparties.

Trade Date: The date on which counterparties enter into the contract.

Settlement Date(s): Specified settlement or payment date(s) when the fixed payment amount and 

the floating payment amount are exchanged (can be netted).

Settlement Procedure: Bilateral cash settlement performed in settlement currency.
Non-Deliverable Swaps

190

Non-Deliverable Swaps

Terms and Conditions

Summary: This covers non-deliverable single-currency swaps 

(“Non-Deliverable Single-Currency Swaps”) and nondeliverable cross-currency swaps (“Non-Deliverable 

Cross-Currency Swaps” and, together with NonDeliverable Single-Currency Swaps, “Non-Deliverable 

Swaps”).

Limitations on Available Selections and Default 

Settings:

The terms under which Non-Deliverable SingleCurrency Swaps and Non-Deliverable Cross-Currency 

Swaps may be traded are as specified in these terms and 

conditions or in the attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified.

The parties may add additional locations from the 

Available Locations and may eliminate some or all of 

the other locations, so long as there is at least one 

location in which payment may be made. 

For these purposes “TARGET” is considered a location.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions (including Supplement 31 

thereto);

(b) ISDA OTC Taxonomies;

(c) FpML Location Codes;

(d) the ISDA/EMTA 1998 FX and Currency Option 

Definitions (“1998 Definitions”);

(e) the EMTA Non-Deliverable Forward Templates;

(f) the EMTA-ISDA Market Practice for NonDeliverable CLP “Cámara” (CLP TNA) Interest 

Rate Swap Transactions (“CLP TNA Best 

Practices”); 

(g) the Recommended EMTA-ISDA Market Practice 

for BRL CDI Non-Deliverable Interest Rate Swap 

Transactions (Amended March 13, 2009) (“BRL 

CDI Best Practices”); 

(h) The current ISDA Revised Non-Deliverable Swap 

Transaction Standard Terms Supplement (“Asian 

STS”); and

(i) The current ISDA Non-Deliverable Swap 

Transaction Fallback Matrix (the “Asian Matrix,” 

and, together with the Asian STS, the “Asian 

Terms”).
Non-Deliverable Swaps

191

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product: Exotic

Further Limitations: None

Terms:

Settlement Currency: With respect to Non-Deliverable Single-Currency 

Swaps, USD.

With respect to any Non-Deliverable Cross-Currency 

Swap, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Index Currency: With respect to any Non-Deliverable Single-Currency 

Swaps, the currency elected by the parties from among 

those specified in the list of Available Single Currencies.

With respect to any Non-Deliverable Cross-Currency 

Swaps, for any currency pair selected by the parties from 

among those specified in the list of Available Currency 

Pairs, the currency specified as such in that list.

Effective Date (“effectiveDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Effective Date as 

a number of Business Days or Banking Days from the 

Trade Date (“relativeEffectiveDate”).

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date (“terminationDate”): The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

The parties may express the unadjusted Termination 

Date as a number of days, months or years from the 

Effective Date (“relativeTerminationDate”).

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

FX Rate: The amount of Index Currency corresponding to one unit 

of the Settlement Currency.

The FX Rate will be determined on the date determined 

as specified for the relevant Available Single Currency 

or Available Currency Pair and in accordance:

(a) in the case of Index Currencies not identified as 

subject to Asian Terms, with the specified NDF 

Template and Rate Sources and Fallback Rates, treating 

the scheduled date of determination of the FX Rate as 

the “Valuation Date” under the NDF Template; and

(b) in the case of Index Currencies identified as subject 

to Asian Terms, in accordance with the Asian Terms.

Fixed Amount:

Fixed Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction or for any Non-Deliverable Cross-Currency 

Swap Transaction involving ARS or PEN, an amount in 

the Index Currency agreed by the parties.
Non-Deliverable Swaps

192

For any other Non-Deliverable Cross-Currency Swap 

Transaction, an amount in the Index Currency or 

Settlement Currency agreed by the parties.

Fixed Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions.

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is not 

identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Fixed Amount shall 

equal an amount in the Settlement Currency equal to:

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Fixed Amount shall be calculated in accordance with the 

Asian Terms.

Fixed Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Fixed Rate Payer Period End Date 

Business Day Convention.

Fixed Rate Payer Period End Date Business Days: If a Fixed Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Fixed Rate

Payer Period End Dates will not be adjusted.

Fixed Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Fixed Rate Payer Payment Date 

Business Day Convention.

Fixed Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days.

Fixed Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Currency Amount (“notional”): For any Non-Deliverable Single-Currency Swap 

Transaction, an amount in the Index Currency agreed by 

the parties.

For any Non-Deliverable Cross-Currency Swap, an 

amount in the Settlement Currency agreed by the parties.

For any other Non-Deliverable Cross-Currency Swap, an 

amount agreed by the parties in whichever of the Index 

Currency or Settlement Currency is not the currency in 

which the Fixed Rate Payer Currency Amount is 

denominated.

Floating Amount: If the Currency Amount is denominated in the 

Settlement Currency, an amount calculated in 

accordance with the 2006 ISDA Definitions.

If the Currency Amount is denominated in BRL, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 
Non-Deliverable Swaps

193

be calculated as set forth under Definition of BRL 

Floating Rate Option.

If the Currency Amount is not denominated in the 

Settlement Currency or BRL and the Index Currency is 

not identified as being subject to Asian Terms, then 

notwithstanding anything to the contrary contained in 

the 2006 ISDA Definitions, the Floating Amount shall 

equal an amount in the Settlement Currency equal to:

If the Currency Amount is not denominated in the 

Settlement Currency and the Index Currency is 

identified as being subject to Asian Terms, then the 

Floating Amount shall be calculated in accordance with 

the Asian Terms.

Floating Rate Option: For the relevant Currency, as selected by the parties 

from among the Available Floating Rate Options for 

such Currency.

Designated Maturity (‘indexTenor”): As specified by the parties from among the available 

tenors.

Spread: As specified by the parties.

Reset Dates (“resetDate”): As specified by the parties.

Reset Dates Business Days: As specified by the parties from among the Available 

Business Days, subject to any Required Business Days.

Reset Dates Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Floating Rate Period End Dates: As specified by the parties, subject to adjustment in 

accordance with any Floating Rate Payer Period End 

Date Business Day Convention.

Floating Rate Payer Period End Date Business Days: If a Floating Rate Payer Period End Date Business Day 

Convention is applicable, as specified by the parties 

from among the Available Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

If “No Adjustment” is specified, then the Floating Rate 

Payer Period End Dates will not be adjusted.

Floating Rate Payment Dates: As specified by the parties, subject to adjustment in 

accordance with the Floating Rate Payer Payment Date 

Business Day Convention.

Floating Rate Payer Payment Date Business Days: As specified by the parties from among the Available 

Business Days.

Floating Rate Payer Payment Date Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Day Count Fraction: As specified by the parties from among the Available 

Day Count Fractions.

Compounding: As specified by the parties.

Method of Averaging: As specified by the parties.

Final Exchange:

Final Exchange Date: As specified by the parties.

Final Exchange Business Days: As specified by the parties from among the Available 

Business Days.

Final Exchange Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions. 

Fixed Rate Payer Final Exchange Amount: If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Fixed Rate 

Payer Final Exchange Amount.
Non-Deliverable Swaps

194

If the Fixed Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms, an amount in the Settlement Currency equal to:

If the Fixed Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Fixed Rate Payer Final Exchange Amount shall 

be calculated in accordance with the Asian Terms.

Floating Rate Payer Final Exchange Amount: If the Floating Rate Payer Final Exchange Amount is 

denominated in the Settlement Currency, the Floating 

Rate Payer Final Exchange Amount.

If the Floating Rate Payer Final Exchange Amount is 

denominated in the Index Currency and the Index 

Currency is not identified as being subject to Asian 

Terms an amount in the Settlement Currency equal to:

If the Floating Rate Payer Final Exchange Amount is not 

denominated in the Settlement Currency and the Index 

Currency is identified as being subject to Asian Terms, 

then the Floating Rate Payer Final Exchange Amount 

shall be calculated in accordance with the Asian Terms.

Non-Deliverable Swap Settlement Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

Non-Deliverable Swap Available Currencies

Index Currency NDF Template Rate Source Fallback Rate 

Source(s) (in 

order)

Determination 

Date

Business Days

INR N/A N/A N/A N/A INMU

MYR N/A N/A N/A N/A MYKL

THB N/A N/A N/A N/A THBA

Non-Deliverable Cross-Currency Swap Available Currency Pairs

Index 

Currency

Settlement 

Currency

NDF 

Template

Rate Source Fallback Rate 

Source(s) (in 

order)

Determination 

Date

Business 

Days

ARS USD 17 May 06 ARS03 ARS04 Payment – 2 

BD

ARBA

USNY

BRL USD 17 May 06 BRL09 BRL12, 

BRL13

Payment – 2 

BD

USNY and 

any of 

BR{SP,RJ, 

BR}

CLP USD 01 Aug 06 CLP10 CLP11 Payment – 2 

BD

CLSA 

USNY

COP USD 01 Aug 06 COP02 COP03 Payment – 2 

BD

USNY

COBO
Non-Deliverable Swaps

195

PEN USD 03 Dec 07 PEN05 PEN04 Payment – 2 

BD

USNY

PELI

Applicability of Asian Terms

Index Currency Asian Terms

ARS Not Applicable

BRL Not Applicable

CLP Not Applicable

COP Not Applicable

INR Applicable

MYR Applicable

PEN Not Applicable

THB Applicable

Non-Deliverable Swap Floating Rate Options

Index Currency Floating Rate Option Defined In Business Days

ARS Not Applicable—Fixed Leg ONLY ARBA

USNY

BRL BRL-CDI-CETIP See below USNY and any of 

BR{SP,RJ, BR}

CLP CLP-Indice Cámara 

Promedio (ICP)

CLP TNA Best Practices USNY

CLSA

CLP CLP-Unidad de Fomentos

(UF/CLF)

See below USNY 

CLSA

COP COP-IBR-OISCOMPOUNDISDA 2006 USNY

COBO

COP COP-Unidad de Valor Real 

(UVR)

See below USNY 

COBO

INR INR-FBIL-MIBOR-OISCOMPOUNDISDA 2006 INMU

INR INR-MITOR-OISCOMPOUNDISDA 2006 INMU

MYR MYR-KLIBOR-BNM ISDA 2006 MYKL

PEN Not Applicable—Fixed Leg ONLY USNY

PELI

THB THB-THBFIX-Reuters ISDA 2006 THBA

USD Any USD Floating Rate 

Option available under 

tpSEF’s Fixed/Floating 

Swap Listing 

See tpSEF’s Fixed/Floating 

Swap Listing

See tpSEF’s 

Fixed/Floating Swap 

Listing

Definition of BRL Floating Rate Option

Floating Amount: Notwithstanding anything to the contrary 

Where:

N=number of Reset Dates in the Calculation Period

j=a particular Reset Date

Relevant Rate=the Relevant Rate for instance j of Reset Date

BRL-CDI-CETIP: For any Reset Date, the Overnight Brazilian Interbank Deposit 
Non-Deliverable Swaps

196

Rate Annualized, known as the average (“Media”) of the 

DIOVER- EXTRA Group as published by CETIP (Câmara de 

Custódia e Liquidação) (the “Overnight CDI Rate”) for such 

date; provided that (i) such rate is published not later than 12:00 

p.m. on the Brazil Business Day next following such Reset Date 

and (ii) any adjustments made by CETIP to such rate at any time 

later than the end of the business day on such Reset Date shall 

not be taken into account.

If for any Reset Date there is no published Overnight CDI Rate 

(including as a result of the proviso above), CDI for the relevant 

Reset Date will be the overnight deposit rate published for such 

date by the BM&F in accordance with its rules (see 

http://www.bmf.com.br/portal/pages/boletim1/bd_manual/indica 

doreFinanceiros1.asp, or any successor page). 

If the BM&F does not publish such a rate for such date, CDI for 

the relevant Reset Date shall be determined jointly by the 

parties.

If the parties do not agree on a determination of such rate within 

one Brazil Business Day following the relevant Reset Date, CDI 

shall be determined through a CDI Reference Dealer Poll as 

described herein. 

If CDI for a Reset Date is not so determined by a CDI Reference 

Dealer Poll, BRL-CDI-Reference Dealers shall apply.

BRL-CDI-Reference Dealers: If applicable for a Reset Date as set forth above, the Calculation 

Agent shall conduct up to four dealer polls commencing on the 

Brazil Business Day following the relevant Reset Date, in each 

case by requesting each of the CDI Reference Dealers to 

provide a quotation of the CDI. 

If at least four such quotations are obtained from CDI Reference 

Dealers in any such poll, the highest and lowest quotations will 

be disregarded and CDI for the relevant Reset Date will equal 

the arithmetic mean of the remaining quotations. 

If fewer than four such quotations are obtained from a poll, the 

Calculation Agent shall conduct additional such polls until four 

such quotations are obtained in any poll; provided that the 

Calculation Agent shall not conduct more than four polls in the 

aggregate (with not more than two polls on any day and with 

such polls conducted over not more than two Brazil Business 

Days).

If four quotations are not obtained from any of such four polls, 

CDI shall CDI shall not be determined by a CDI Reference 

Dealer Poll.

CDI Reference Dealers: At least six and not more than eight leading onshore dealers in 

the CDI market selected by the Calculation Agent.

Reset Dates (“resetDate”): Each Scheduled Reset Date (as defined in the BRL CDI Best 

Practices).

Reset Dates Business Days: As specified by the parties from among the Available BR 

Business Days.

Available BR Business Days: Any of BR{SP,RJ, BR} and not otherwise declared a financial 

market holiday by the BM&F.

Definition of CLP-Unidad de Fomento (UF/CLF)

CLP-Unidad de Fomento (UF/CLF): For any Reset Date, the difference between the value of the 

unidad de fomento (UF/CLF) as certified by the Chilean Banco 
Non-Deliverable Swaps

197

Central de Chile for the calendar day preceding such Reset 

Date and the value of the unidad de fomento (UF/CLF) as 

certified by the Chilean Banco Central de Chile for such Reset 

Date.

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the CLP-Unidad de 

Fomento (UF/CLF).

If for any Reset Date there is no published value of the unidad 

de fomento (UF/CLF) as certified by the Chilean Banco 

Central de Chile, the Calculation Agent shall determine the 

CLP-Unidad de Fomento (UF/CLF) for such day.

Definition of COP-Unidad de Valor Real (UVR)

COP-Unidad de Valor Real (UVR): For any Reset Date, the difference between the value of the 

unidad de valor real (UVR) as certified by the Colombian 

Banco de Republica for the calendar day preceding such Reset 

Date and the value of unidad de valor real (UVR) as certified 

by the Colombian Banco de Republica for such Reset Date.

The Calculation Agent shall convert such difference to the 

appropriate annualized percentage based on the terms of the 

Floating Amount payable by reference to the COP-Unidad de 

Valor Real (UVR).

If for any Reset Date there is no published the difference 

between the value of the unidad de valor real (UVR) as 

certified by the Colombian Banco de Republica, the 

Calculation Agent shall determine the COP-Unidad de Valor 

Real (UVR) for such day.

Non-Deliverable Swap Available Day Count Fractions

ISDA Name

1/1

30/360, 360/360, Bond Basis

Actual/360

Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F

Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA)

Actual/Actual (ICMA), Act/Act, Act/Act (ICMA)

Non-Deliverable Swap Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Non-Deliverable Single-Currency Swap Notional Amounts

Currency Minimum Increment

INR 5,000,000 100,000

MYR 5,000,000 100,000

RHB 5,000,000 100,000
Non-Deliverable Swaps

198

Non-Deliverable Cross-Currency Swap Notional Amounts

Currency Minimum Increment

ARS As implied by the USD minimum As implied by the USD increment

BRL As implied by the USD minimum As implied by the USD increment

CLP As implied by the USD minimum As implied by the USD increment

COP As implied by the USD minimum As implied by the USD increment

PEN As implied by the USD minimum As implied by the USD increment

USD 1,000,000 100,000
Non-Deliverable Foreign Exchange Options

199

Non-Deliverable Foreign Exchange Options

Terms and Conditions

Summary: This covers “Non-Deliverable Foreign Exchange 

Options”.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) the 1998 FX and Currency Option Definitions, as 

amended and supplemented from time to time, including 

the 2005 Barrier Option Supplement to the 1998 FX and 

Currency Option Definitions (the “1998 Definitions”);

(b) the current EMTA Template Terms for NonDeliverable Currency Option Transactions applicable to 

the Reference Currency and Settlement Currency (to the 

extent available for a particular Currency Pair) (available 

at: https://www.emta.org/ndftt.aspx); and

(c) ISDA OTC Taxonomies.

Contract Types: Each Non-Deliverable Foreign Exchange Option traded 

is bespoke and the terms agreed between the Buyer and 

Seller. All option strategies result in call options and/or 

put options executed with the following strategies traded 

as agreed between the parties: 

Vanilla: Outright Call / Put, Straddle, Strangle, Butterfly, 

Risk Reversal, Calendar (tenor) spread, Cross Currency 

Spread, Condor, Call Spread, Put Spread, Live Trading 

with no delta hedge. 

Exotic: Barriers, Baskets, Digitals (or Binary), Knockins, 

Knockouts, Reverse Knockins/Kockouts, No Touch, 

Double No Touch, Average Price, Worst of Options, 

Compound Options; trades may be with or without delta 

hedges and some structures may also be bilaterally 

negotiated with additional options as part of the package 

to form a vega hedge.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Foreign Exchange

ISDA OTC Base Product: Vanilla Option, NDO, Simple Exotic or Complex Exotic

Terms:

Trade Date: The date the transaction is agreed between and becomes 

legally binding on the parties.

Commencement Date: The Trade Date, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Buyer: As specified by the parties.

Seller: As specified by the parties.
Non-Deliverable Foreign Exchange Options

200

Currency Option Style: As specified by the parties.

(An American option can be exercised any time up to 

and including the Expiration Date; a European option can 

only be exercised on the Expiration Date.)

Currency Option Type: A Call with respect to the Call Currency and a Put with 

respect to the Put Currency; Binary in the case of a 

binary or digital option.

Call Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Call Currency Amount: As specified by the parties or, if not so specified, derived 

from the Put Currency Amount and Strike Price.

Put Currency: The currency as specified by the parties from among 

those included in the list of available Currency Pairs.

The Put Currency and Call Currency must represent a 

traded pair included in the list of available Currency 

Pairs.

Put Currency Amount: As specified by the parties or, if not so specified, derived 

from the Call Currency Amount and Strike Price.

Strike Price: As specified by the parties (if only one of the Put 

Currency or Call Currency is specified).

If no Strike Price is specified and Automatic Exercise is 

applicable, the Strike Price will be calculated using the 

Put Currency and Call Currency in order to determine if 

the option is to be automatically exercised.

Reference Currency: As specified by the parties.

Settlement Currency: As specified by the parties.

Settlement Rate: As specified by the parties or otherwise per the 1998 

Definitions.

Settlement Rate Option: As specified by the parties.

Expiration Date: As specified by the parties.

Expiration Time: The time in the location specified by the parities.

Latest Exercise Time: The Expiration Time, unless otherwise specified by the 

parties. This applies only where the Currency Option 

Style is American.

Automatic Exercise: Applicable, unless otherwise specified by the parties.

Settlement: Non-Deliverable

Settlement Amount: In the case of a digital or binary option, as specified by 

the parties.

Settlement Date: As specified by the parties.

Valuation Date: As specified by the parties.
Non-Deliverable Foreign Exchange Options

201

Averaging Dates: As specified by the parties.

Premium: As specified by the parties.

Premium Payment Date: As specified by the parties.

Barrier Event: As specified by the parties.

Calculation Agent: As specified by the parties.

Business Day: As specified by the parties.

Business Day Convention: As specified by the parties.

Disruption Events: As specified by the parties.

Disruption Fallbacks: As specified by the parties for each applicable Disruption 

Event or otherwise per the 1998 Definitions.

Non-Deliverable Foreign Exchange Option Available Currency Pairs

AUD/CNY CNY/THB IDR/PHP MYR/CNH THB/INR

AUD/IDR CNY/TWD IDR/THB MYR/CNY THB/KRW

AUD/INR EUR/ARS IDR/TWD MYR/EUR THB/MYR

AUD/KRW EUR/BRL INR/AUD MYR/GBP THB/PHP

AUD/MYR EUR/CLP INR/CAD MYR/IDR THB/TWD

AUD/PHP EUR/CNY INR/CHF MYR/INR TWD/AUD

AUD/TWD EUR/COP INR/CNH MYR/JPY TWD/CAD

BRL/JPY EUR/IDR INR/CNY MYR/KRW TWD/CHF

BRL/MXN EUR/INR INR/EUR MYR/NZD TWD/CNH

CAD/BRL EUR/KRW INR/GBP MYR/PHP TWD/CNY

CAD/CNY EUR/KZT INR/HKD MYR/SGD TWD/EUR

CAD/IDR EUR/MYR INR/IDR MYR/TWD TWD/GBP

CAD/INR EUR/PEN INR/JPY NZD/CNY TWD/HKD

CAD/KRW EUR/PHP INR/KRW NZD/IDR TWD/IDR

CAD/MYR EUR/TWD INR/NZD NZD/INR TWD/INR

CAD/PHP EUR/UAH INR/PHP NZD/KRW TWD/JPY

CAD/TWD GBP/BRL INR/SGD NZD/MYR TWD/KRW

CHF/BRL GBP/CNY INR/TWD NZD/PHP TWD/MYR

CHF/CNY GBP/IDR JPY/CNY NZD/TWD TWD/NZD

CHF/IDR GBP/INR JPY/IDR PHP/AUD TWD/PHP

CHF/INR GBP/KRW JPY/INR PHP/CAD TWD/SGD

CHF/KRW GBP/MYR JPY/KRW PHP/CHF TWD/THB

CHF/MYR GBP/PHP JPY/MYR PHP/CNH USD/ARS

CHF/PHP GBP/TWD JPY/PHP PHP/CNY USD/BRL
Non-Deliverable Foreign Exchange Options

202

CHF/TWD HKD/CNY JPY/TWD PHP/EUR USD/CLP

CNH/IDR HKD/IDR KRW/AUD PHP/GBP USD/CNY

CNH/INR HKD/INR KRW/CAD PHP/HKD USD/COP

CNH/KRW HKD/KRW KRW/CHF PHP/IDR USD/EGP

CNH/MYR HKD/MYR KRW/CNH PHP/INR USD/GHS

CNH/PHP HKD/PHP KRW/CNY PHP/JPY USD/IDR

CNH/TWD HKD/TWD KRW/EUR PHP/KRW USD/INR

CNY/AUD IDR/AUD KRW/GBP PHP/MYR USD/KES

CNY/CAD IDR/CAD KRW/IDR PHP/NZD USD/KRW

CNY/CHF IDR/CHF KRW/INR PHP/THB USD/KZT

CNY/EUR IDR/CNH KRW/JPY PHP/TWD USD/MYR

CNY/GBP IDR/CNY KRW/MYR SGD/CNY USD/NGN

CNY/HKD IDR/EUR KRW/NZD SGD/IDR USD/PEN

CNY/IDR IDR/GBP KRW/PHP SGD/INR USD/PHP

CNY/INR IDR/HKD KRW/SGD SGD/KRW USD/RUB

CNY/JPY IDR/INR KRW/THB SGD/MYR USD/TWD

CNY/KRW IDR/JPY KRW/TWD SGD/PHP USD/UAH

CNY/MYR IDR/KRW MYR/AUD SGD/TWD USD/VND

CNY/NZD IDR/MYR MYR/CAD THB/CNY USD/ZMW

CNY/PHP IDR/NZD MYR/CHF THB/IDR
Non-Deliverable Forward Foreign Exchange Contracts

203

Non-Deliverable Forward Foreign Exchange Contracts

Terms and Conditions

Summary: A non-deliverable forward (“NDF”) is an outright 

forward in which the counterparties settle the difference 

between the contracted NDF price or rate and the 

prevailing spot price or rate on an agreed notional 

amount in an agreed settlement currency.

Reference Currency

(i.e., Non-Delivery Currency):

• AOA Angolan Kwanza

• ARS Argentine Peso 

• BDT Bangladeshi Taka

• BRL Brazilian Real 

• CLP Chilean Peso 

• COP Colombian Peso 

• CNY Chinese Renminbi 

• DZD Algerian Dinar

• EGP Egyptian pound 

• GHS Ghanaian Cedi

• GTQ Guatemalan quetzal 

• IDR Indonesian Rupiah 

• INR Indian Rupee 

• KES Kenyan Shilling

• KRW South Korean Won 

• KZT Kazakh tenge 

• LKR Sri Lankan Rupee

• MAD Moroccan Dirham

• MUR Mauritian Rupee

• MYR Malaysian Ringgit 

• MZN Mozambican Metical

• NGN Nigerian Naira

• PEN Peruvian nuevo sol 

• PHP Philippine Peso 

• PKR Pakistani Rupee

• RUB Russian ruble 

• TND Tunisian Dinar

• TWD Taiwan Dollar 

• TZS Tanzanian Shilling
Non-Deliverable Forward Foreign Exchange Contracts

204

• UAH Ukrainian Hryvnia

• UGX Ugandan Shilling

• UYU Uruguayan peso 

• VEB Venezuelan bolívar

• VND Vietnamese đồng 

• XAF Central African CFA Franc

• XOF West African CFA Franc

• ZMW Zambian Kwacha

Settlement Currency: • AUD Australian Dollar

• CAD Canadian Dollar

• EUR Euro

• GBP British Pound

• JPY Japanese Yen

• USD US Dollar

• CHF Swiss Franc

Quoting Convention and Minimum Increment: Notional amount, as agreed by counterparties.

Minimum Size: Notional amount, as agreed by counterparties.

Notional Currency: Currency in which contract size is expressed, as agreed 

by counterparties.

Trading Conventions: Buy or Sell which refers to the contract size expressed 

in notional currency.

Forward Rates: Currency exchange rate expressed as the amount of 

reference currency per unit of settlement currency.

Trade Date: The date on which parties enter into the contract.

Settlement Date: Specified settlement or payment date, as agreed by 

counterparties.

Fixing Date: The date at which the difference between the prevailing 

market exchange rate and the agreed upon exchange 

rate is calculated.

Settlement Procedure: Bilateral settlement performed in settlement currency.

Disruption Events: Unless otherwise specified by the parties, as set forth in 

the EMTA Template Terms for Non-Deliverable FX 

Forward Transactions applicable to the Reference 

Currency and Settlement Currency:

http://www.emta.org/ndftt.aspx
PO Index Contracts

205

PO Index Contracts

Terms and Conditions

Summary: This covers Markit PO Fixed for Floating Swap 

Transactions (the “Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which the Contracts may be traded are 

as specified in these terms and conditions.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) ISDA OTC Taxonomies; and

(c) the Markit PO Standard Terms Supplement (June 

12, 2010 version) or any subsequent Standard 

Terms Supplement (the “Standard Terms”).

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Credit

ISDA OTC Base Product: Index

ISDA OTC Sub-Product: PO

ISDA OTC Transaction Type: PO

Further Limitations: None

Terms:

Effective Date: As specified by the parties, subject to adjustment in 

accordance with the Standard Terms.

Scheduled Termination Date: As agreed by the parties.

Termination Date: Per the Standard Terms.

Notional Amount: An amount is USD agreed by the parties.

Index: One of the Markit PO Index series, as specified by the 

parties from all then-available series (to the extent such 

series is not then a narrow-based index within the 

meaning of the CFTC’s regulations).

Annex Date: As agreed by the parties.

Index Provider: Per the Standard Terms.

Fixed Rate Payer: As agreed by the parties.

Floating Rate Payer: As agreed by the parties.

Period End Dates: Per the Standard Terms.

Reset Dates: Per the Standard Terms

Payment Dates: Per the Standard Terms.

Calculation Agent: As agreed by the parties or, if not so agreed, per the 

Standard Terms.

Day Count Fraction: Per the Standard Terms.

Business Days: For any purpose, per the Standard Terms.

Business Day Convention: Per the Standard Terms.

Initial Payment:
PO Index Contracts

206

Initial Payment: Per the Standard Terms.

Initial Payment Amount: An amount in USD as specified by the parties.

Initial Payment Payer: As specified by the parties.

Initial Payment Date: Per the Standard Terms.

Settlement Payments

Mark to Market Amount Payment: Per the Standard Terms.

Mark to Market Amount Payer: Per the Standard Terms.

Mark to Market Amount: Per the Standard Terms.

Financing Payment: Per the Standard Terms.

Financing Payment Amount: Per the Standard Terms.

Principal Payment: Per the Standard Terms.

Principal Payment Amount: Per the Standard Terms.

Net Payment: Per the Standard Terms.

Net Payment Amount Payer: Per the Standard Terms.

Net Payment Amount: Per the Standard Terms.

Agency Coupon: Per the Standard Terms.

Index LIBOR: Per the Standard Terms.

Index Factor: Per the Standard Terms.

Commencing Index Factor: Per the Standard Terms.

Period End Index Factor: Per the Standard Terms.

Index Price: Per the Standard Terms.

Commencing Index Price: Per the Standard Terms.

Period End Index Price: Per the Standard Terms.

Event Affecting the Index:

Events and Adjustments: All are per the Standard Terms.
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

207

Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating interest 

rate swaps cleared by the Chicago Mercantile Exchange 

Inc. (“CME”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared may be 

traded are as specified in these terms and conditions, 

which incorporate the CME Rulebook, in particular 

Chapters 900 and 901 (and any successor provisions) 

and the CME Cleared IRS Product Scope (or any 

successor).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/CME Cleared, 

participants are representing that they are familiar 

with the CME Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

CME Rulebook as in effect from time to time.

The CME Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and CME contracts, 

since the CME may reserve the right to select when 

and how such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with CME Clearing Requirements.

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA2006) elected 

by, or otherwise binding on, the parties in accordance 

with the CME Rulebook.

Effective Date: As per the CME Rulebook.

Notional Amount: An amount in Currency determined by the parties 

subject to limitations in the CME Rulebook.

This may vary from period to period to the extent 

permitted by the CME Rulebook.

The CME Rulebook may limit the Currencies and 

Floating Rate Options for which variable notionals are 

permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the CME Rulebook.

Business Days: As per the CME Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the CME Rulebook.

Trade Date: As per the CME Rulebook.
Single Currency Fixed for Floating Interest Rate Swaps - CME Cleared

208

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the CME Rulebook.

Termination Date Business Day Convention: As per the CME Rulebook, and thus subject to 

limitations based on other terms of the transaction.

Stub Periods: Permitted to the extent allowed under the CME 

Rulebook.

Fixed Rate Payer Payment Dates: As per the CME Rulebook.

Fixed Amount: As per the CME Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in 

the CME Rulebook.

Floating Rate Payer Payment Dates: As per the CME Rulebook.

Floating Amount: As per the CME Rulebook.

Floating Rate Option: As determined by the parties, subject to the CME 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the 

Definition Set.

Designated Maturity: As per the CME Rulebook, which may provide a more 

limited set of Designated Maturities than does the 

related rate source page.

Spread: Subject to any minimum or maximum rate and perperiod variability permitted by the CME Rulebook.

Reset Dates: As the per CME Rulebook.

Floating Rate Daycount Fraction: As per the CME Rulebook.

Floating Rate for Initial Calculation Period: As per the CME Rulebook.

Fixed Rate Payer: As determined by the parties.

Floating Rate Payer: As determined by the parties.

Compounding: As per the CME Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in 

the CME Rulebook.

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in 

the CME Rulebook.
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

209

Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

Terms and Conditions

Summary: This covers single currency fixed for floating swaps 

cleared by LCH.Clearnet (“LCH”).

Limitations on Available Selections and Default 

Settings:

The terms under which a Single Currency Fixed for 

Floating Interest Rate Swaps/LCH Cleared contract may 

be traded are as specified in these terms and conditions, 

which incorporate the LCH Rulebook, in particular 

Schedule 4A (or any successor provisions).

By electing to trade a Single Currency Fixed for 

Floating Interest Rate Swap/LCH Cleared, 

participants are representing that they are familiar 

with the LCH Rulebook and the limitations on 

transaction terms contained in it.

Incorporated Standards: This contract description incorporates by reference the 

LCH Rulebook as in effect from time to time.

The LCH Rulebook itself may incorporate certain 

additional standards, such as the 2000 ISDA Definitions 

and 2006 ISDA Definitions. 

Be aware that the timing of effectiveness of 

amendments or supplements to the ISDA standards 

may vary between bilateral and LCH contracts, since 

the LCH may reserve the right to select when and how 

such changes become effective.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Interest Rate

ISDA OTC Base Product: IR Swap

ISDA OTC Sub-Product(s): Fixed Float and OIS

Further Limitations: Must comply with LCH Clearing Requirements

Terms:

Definition Set: The definition set (e.g., ISDA 2000/ISDA 2006) elected 

by, or otherwise binding on, the parties in accordance 

with the LCH Rulebook.

Notional Amount: An amount in Currency determined by the parties subject 

to limitations in the LCH Rulebook.

This may vary from period to period to the extent 

permitted by the LCH Rulebook.

The LCH Rulebook may limit the Currencies and Floating 

Rate Options for which variable notionals are permitted.

Currency: One of the currencies permitted for the relevant 

transaction type per the LCH Rulebook.

Trade Date: As per the LCH Rulebook.

Effective Date: As per the LCH Rulebook.

Termination Date: As agreed by the parties, subject to any minimum or 

maximum tenor in the LCH Rulebook.

Payer for Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook.

Additional Payment/Fees: As determined by the parties, subject to limitations in the 

LCH Rulebook

Payment Date for Additional Payment/Fees As determined by the parties, subject to limitations in the 

LCH Rulebook, which may limit the earliest or latest day 

on which such fees may be paid based on Currency or 

other factors.
Single Currency Fixed for Floating Interest Rate Swaps – LCH Cleared

210

Business Days: As per the LCH Rulebook, which may require certain 

Business Days be applicable on a per Currency or 

Floating Rate Option Basis and may otherwise limit the 

available Business Day locations which can be elected.

Business Day Convention: As per the LCH Rulebook.

Stub Periods: Permitted to the extent allowed under the LCH Rulebook.

Fixed Rate Payer: As determined by the parties.

Fixed Rate Payer Payment Dates: As per the LCH Rulebook.

Fixed Amount: As per the LCH Rulebook, which may permit use of a 

schedule.

Fixed Rate: As agreed by the parties, subject to any minimum or 

maximum rate and per-period variability permitted in the 

LCH Rulebook.

Floating Rate Payer As determined by the parties.

Floating Rate Payer Payment Dates: As per the LCH Rulebook.

Floating Rate Payer Compounding Dates: As per the LCH Rulebook.

Floating Amount: As per the LCH Rulebook.

Floating Rate Option: As determined by the parties, subject to the LCH 

Rulebook, which may provide a more limited list of 

available options for a Currency than does the Definition 

Set.

Designated Maturity: As per the LCH Rulebook, which may provide a more 

limited set of Designated Maturities than does the related 

rate source page.

Spread: Subject to any minimum or maximum rate and per-period 

variability permitted by the LCH Rulebook.

Reset Dates: As the per LCH Rulebook.

Floating Rate Daycount Fraction: As per the LCH Rulebook.

Negative Interest Rates: As per the LCH Rulebook, which may require use of a 

single method.

Withholding and Tax: As per the LCH Rulebook.

Governing Law: As per the LCH Rulebook, which may dictate the law 

applicable to the Transaction.
U.S. Electricity – Fixed/Floating Swap Contracts

211

U.S. Electricity – Fixed/Floating Swap Contracts

Terms and Conditions

Summary: This covers fixed-for-floating U.S. electricity swaps 

(“U.S. Electricity – Fixed/Floating Swap Contracts”).

Limitations on Available Selections and Default 

Settings:

The terms under which U.S. Electricity – Fixed/Floating 

Swap Contracts may be traded are shown below or in the 

attached tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default” and will apply unless the 

parties vary them.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

2005 ISDA Commodity Derivatives Definitions 

(“Commodity Definitions”)

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Commodity

ISDA OTC Base Product: Energy

ISDA OTC Sub-Product: Elec

ISDA OTC Transaction type: Swap

Further Limitations: None

Terms:

Trade Date: As agreed by the parties.

Effective Date: The date specified by the parties, adjusted in accordance 

with any applicable Business Day Convention.

Effective Date Business Days: USNY

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Termination Date: As specified by the parties.

Termination Date Business Days: USNY

Termination Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.

Commodity As specified by the parties from among the Available 

Commodities.

Notional Quantity: The sum of the Notional Quantities per Calculation 

Period.

Notional Quantity per Calculation Period: As specified by the parties on a per-Calculation-Period 

Basis.

Settlement Periods: If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein.

Parties may specify one of the Available Set Tenors as a 

Settlement Period or may specify another period.
U.S. Electricity – Fixed/Floating Swap Contracts

212

Applicable Days: If applicable to the relevant Commodity Reference Price 

and specified therein or if applicable to the relevant 

Available Set Tenor and specified therein (i.e., Month).

Applicable Days does not apply to Commodity 

Reference Prices under the headings “ISDA Definition” 

or “Exchange Definition”.

Duration: Hourly

Start Time(s)/End Time(s): If specified by the parties or if applicable to the relevant 

Commodity Reference Price and specified herein.

Payment Dates: In relation to each Calculation Period, as specified by the 

parties, each such day being subject to adjustment in 

accordance with the Payment Date Business Day 

Convention.

Payment Date Business Days: USNY

Payment Date Business Day Convention: As specified by the parties.

Fixed Amount:

Fixed Price Payer: As specified by the parties.

Fixed Price or Fixed Amount: As specified by the parties per Unit of the Commodity.

Floating Amount:

Floating Price Payer: As specified by the parties.

Applicable Spread: As specified by the parties.

Commodity Reference Price: As specified by the parties from among the Available 

Commodity Reference Prices.

Market Disruption:

Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Additional Market Disruption Events: As specified by the parties.

Consequences of Market Disruption Events: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Disruption Fallbacks: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Fallback Reference Price: None, unless specified by the parties.

Maximum Days of Disruption: Unless otherwise specified by the parties, per the 

Commodity Definitions.

Calculation Agent: As agreed by the parties.

U.S. Electricity – Fixed/Floating Swap Contracts Available Currencies and Required Business Days

Three Letter Currency Code 

(ISDA/ISO)

Currency Name (ISDA) Basic Business Day Locations 

For Currency (FpML Codes)

USD United States Dollars USNY

U.S. Electricity – Fixed/Floating Swap Contracts Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

Nearest

Preceding
U.S. Electricity – Fixed/Floating Swap Contracts

213

U.S. Electricity – Fixed/Floating Swap Contracts Available Set Tenors

Set Tenor Settlement Period

Month The specified calendar month; if OFF PEAK/PEAK is 

not specified, PEAK is assumed

Season Season Days in Specified Year

Winter 1 January through the last 

day of February in the 

specified year

Spring 1 March through 30 April 

in the specified year

Summer 1 July through 31 August 

in the specified year

Quarter Quarter Number Days in Specified Year

Q1 1 January through 31 

March

Q2 1 April through 30 June

Q3 1 July through 30 

September

Q4 1 October through 31 

December

Calendar Year 1 January through 31 December in the specified year

Planning Year 1 June in the specified beginning calendar year through 

31 May in the specified ending calendar year

U.S. Electricity – Fixed/Floating Swap Contracts Available Commodity Reference Prices

ISDA Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. 

Note that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the 

Clock”); for the equivalent Peak and Off-Peak prices, see below.

ISDA Definition

ELECTRICITY-NYISO-ZONE A (WEST)-DAY AHEAD

ELECTRICITY-NYISO-ZONE G (HUD VL)-DAY AHEAD

ELECTRICITY-NYISO-ZONE J (N.Y.C.)-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-MASS HUB-DAY AHEAD

ELECTRICITY-ISO NEW ENGLAND-NE MASS BOSTON-DAY AHEAD

ELECTRICITY-PJM-EASTERN HUB-DAY AHEAD

ELECTRICITY-PJM-PSEG-DAY AHEAD

ELECTRICITY-PJM-WESTERN HUB-DAY AHEAD

Exchange Definitions

The following Commodity Reference Prices are as defined in Sub-Annex A to the Commodity Definitions. Note 

that these Commodity Reference Prices relate to all hours in the Pricing Date (i.e., are “Around the Clock”); 

for the equivalent Peak and Off-Peak prices, see below.

ISDA Definition

Commodity 

Reference Price

Relevant 

Commodity

Relevant Unit Exchange Currency Specified Price
U.S. Electricity – Fixed/Floating Swap Contracts

214

ELECTRICITYNP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICITYCAISO-NP15-

DAY AHEAD"

ELECTRICITYNP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICITYCAISO-NP15-

DAY AHEAD"

ELECTRICITYSP15 DAY 

AHEAD OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 "ELECTRICITYCAISO-SP15-

DAY AHEAD"

ELECTRICITYSP15 DAY 

AHEAD PEAKICE

Electricity MwH ICE USD 0.01 "ELECTRICITYCAISO-SP15-

DAY AHEAD"

ELECTRICITYPALO VERDE 

OFF PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITYPALO VERDE 

OFF-PEAK-ICE

ELECTRICITYPALO VERDE 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITYPALO VERDE 

PEAK-ICE

ELECTRICITYMID C OFF 

PEAK-ICE

Electricity MwH ICE USD 0.01 ELECTRICITYMID C OFFPEAK-ICE

ELECTRICITYMID C PEAK-ICEElectricity MwH ICE USD 0.01 ELECTRICITYMID C PEAK-ICE

Non-ISDA, Non-Exchange Definitions

For any of the Commodity Reference Prices below, the price for the Settlement Period specified for that Pricing Date 

will be that hour’s Specified Price per MWh of electricity for delivery on an Applicable Day specified for that 

Commodity Reference Price, published by the specified Source on the specified Page under the specified Heading 

(or any successor Source, Page or Heading), that reports prices effective on such Applicable Day.
U.S. Electricity – Fixed/Floating Swap Contracts

215

Commodity 

Reference Price

Settlement 

Period

Source Page Heading

ELECTRICITYPJM-AEP 

DAYTON HUBATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON HUB, 

TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON HUB, 

TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAEP DAYTON HUB, 

TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBATC REALTIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON HUB, 

TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK REAL 

TIME

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON HUB, 

TotalLMP

ELECTRICITYPJM-AEP 

DAYTON HUBOFF PEAK REAL 

TIME

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxAEP DAYTON HUB, 

TotalLMP

ELECTRICITYPJM-COMED 

HUB-ATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYPJM-COMED 

HUB-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYPJM-COMED 

HUB-OFF PEAK 

DAY AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxCOMED, TotalLMP

ELECTRICITYMISO-INDIANA 

HUB-ATC DAY 

AHEAD

N/A MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: Name: 

Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISO-INDIANA 

HUB-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: Name: 

Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISO-INDIANA 

HUB- PEAK DAY 

AHEAD

Eastern Peak MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: Name: 

Day Ahead Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)
U.S. Electricity – Fixed/Floating Swap Contracts

216

ELECTRICITYMISO-INDIANA 

HUB-ATC REAL 

TIME

N/A MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISO-INDIANA 

HUB-OFF PEAK 

REAL TIME

Eastern Off 

Peak

MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISO-INDIANA 

HUB-PEAK REAL 

TIME

Eastern Peak MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Real -Time, Report: RealTime Pricing (pdf))

Indiana Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISO-MICHIGAN 

HUB-ATC DAY 

AHEAD

N/A MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: Name: 

Day Ahead Pricing (pdf))

Michigan Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISO-MICHIGAN

HUB-OFF PEAK 

DAY AHEAD

Central Off 

Peak

MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: Name: 

Day Ahead Pricing (pdf))

Michigan Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISO-MICHIGAN 

HUB-PEAK DAY 

AHEAD

Central Peak MISO https://www.misoenergy.org/Library/Mark

etReports/Pages/MarketReports.aspx

(Report Type: Day-Ahead, Report: Name: 

Day Ahead Pricing (pdf))

Michigan Hub, LMP 

Prices ($ per MW)

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK DAY 

AHEAD

Central Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK DAY 

AHEAD

Central Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBATC REAL TIME

N/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYMISONORTHERN 

ILLINOIS HUBOFF PEAK REAL 

TIME

Central Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

217

ELECTRICITYMISONORTHERN 

ILLINOIS HUBPEAK REAL 

TIME

Central Peak PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxN ILLINOIS HUB, 

TotalLMP

ELECTRICITYISO NEW 

ENGLANDCONNECTICUT 

ZONE-ATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDCONNECTICUT 

ZONE-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDCONNECTICUT 

ZONE-PEAK DAY 

AHEAD

Eastern Peak ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.CONNECTICUT, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD

Eastern Peak ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEATC DAY 

AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, Locational 

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLANDMAINE ZONEOFF PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.MAINE, Locational 

Marginal Pricing 

$/MWh

ELECTRICITY- Eastern Peak ISO NE http://www.iso- .Z.MAINE, Locational 
U.S. Electricity – Fixed/Floating Swap Contracts

218

ISO NEW 

ENGLANDMAINE ZONEPEAK DAY 

AHEAD

ne.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

Marginal Pricing 

$/MWh

ELECTRICITYISO NEW 

ENGLAND-MASS 

HUB-ATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYISO NEW 

ENGLAND-MASS 

HUB-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HUB, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLAND-MASS 

HUB-PEAK DAY 

AHEAD

Eastern Peak ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.H.INTERNAL_HUB, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS ZONEDAY AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS ZONEOFF PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDSEMASS ZONEPEAK DAY 

AHEAD

Eastern Peak ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.SEMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-DAY 

AHEAD

See ISDA Definition

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDNEMASSBOST 

ZONE-PEAK DAY 

AHEAD

Eastern Peak ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.NEMASSBOST, 

Locational Marginal 

Pricing $/MWh
U.S. Electricity – Fixed/Floating Swap Contracts

219

ELECTRICITYISO NEW 

ENGLANDWCMASS ZONEDAY AHEAD

N/A ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS ZONEOFF PEAK DAY 

AHEAD

Eastern Off 

Peak

ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYISO NEW 

ENGLANDWCMASS ZONEPEAK DAY 

AHEAD

Eastern Peak ISO NE http://www.isone.com/markets/hst_rpts/hstRpts.do?catego

ry=Hourly

Report Type: Hourly Data; Report DayAhead LMPs (March 2003 - Present)

.Z.WCMASS, 

Locational Marginal 

Pricing $/MWh

ELECTRICITYPJM-ATLANTIC 

ZONE-ATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJM-ATLANTIC 

ZONE-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJM-ATLANTIC 

ZONE-PEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxAECO ZONE, 

TotalLMP

ELECTRICITYPJM-BALTIMORE 

GAS AND 

ELECTRIC ZONEATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJM-BALTIMORE 

GAS AND 

ELECTRIC ZONEOFF PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJM-BALTIMORE 

GAS AND 

ELECTRIC ZONEPEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxBGE ZONE, 

TotalLMP

ELECTRICITYPJM-DPL ZONEATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-DPL ZONEOFF PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

220

ELECTRICITYPJM-DPL ZONEPEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxDPL ZONE, 

TotalLMP

ELECTRICITYPJM-EASTERN 

HUB-ATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYPJM-EASTERN 

HUB-OFF PEAK 

DAY AHEAD

Eastern OffPeakPJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP

ELECTRICITYPJM-EASTERN 

HUB- PEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxEASTERN HUB, 

TotalLMP

ELECTRICITYPJM-JCPL ZONEATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-JCPL ZONEOFF PEAK DAY 

AHEAD

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-JCPL ZONEPEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxJCPL ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-ATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-OFF PEAK 

DAY AHEAD

Eastern OffPeakPJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-METED 

ZONE-PEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxMETED ZONE, 

TotalLMP

ELECTRICITYPJM-PECO ZONEATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PECO ZONEOFF PEAK DAY 

AHEAD

Eastern OffPeakPJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PECO ZONEPEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPECO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-ATC DAY 

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

221

AHEAD

ELECTRICITYPJM-PEPCO 

ZONE-OFF PEAK 

DAY AHEAD

Eastern OffPeakPJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PEPCO 

ZONE-PEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPEPCO ZONE, 

TotalLMP

ELECTRICITYPJM-PPL ZONEATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, TotalLMP

ELECTRICITYPJM-PPL ZONEOFF PEAK DAY 

AHEAD

Eastern OffPeakPJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, TotalLMP

ELECTRICITYPJM-PPL ZONEPEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, TotalLMP

ELECTRICITYPJM-PPL ZONEATC DAY 

AHEAD

N/A PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, TotalLMP

ELECTRICITYPJM-PPL ZONEOFF PEAK DAY 

AHEAD

Eastern OffPeakPJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, TotalLMP

ELECTRICITYPJM-PPL ZONEPEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPPL ZONE, TotalLMP

ELECTRICITYPJM-PSEG ZONEATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYPJM-PSEG ZONEOFF PEAK DAY 

AHEAD

Eastern OffPeakPJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPSEG ZONE, 

TotalLMP

ELECTRICITYPJM-PSEG ZONEPEAK DAY 

AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxPSEG ZONE, 

TotalLMP

ELECTRICITYPJM-WEST-ATC 

DAY AHEAD

See ISDA Definition

ELECTRICITYPJM-WEST-OFF 

PEAK DAY 

AHEAD

Eastern OffPeakPJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP

ELECTRICITYPJM-WEST-PEAK 

DAY AHEAD

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/day-ahead/lmpda.aspxWESTERN HUB, 

TotalLMP
U.S. Electricity – Fixed/Floating Swap Contracts

222

ELECTRICITYPJM-WEST HUBATC REALTIMEN/A PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYPJM-WEST HUBOFF PEAK REAL 

TIME

Eastern Off 

Peak

PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYPJM-WEST HUBOFF PEAK REAL 

TIME

Eastern Peak PJM http://www.pjm.com/markets-andoperations/energy/real-time/lmp.aspxWESTERN HUB 

HUB, TotalLMP

ELECTRICITYNYISO-NY ZONE 

A-ATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY ZONE 

A-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

A- PEAK DAY 

AHEAD

Eastern Peak NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

A-ATC DAY 

AHEAD

ATC NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

A-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

WEST, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

A- PEAK DAY 

AHEAD

Eastern Peak NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

C-ATC DAY 

AHEAD

ATC NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

C-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

C- PEAK DAY 

AHEAD

Eastern Peak NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

CENTRL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

G-ATC DAY 

AHEAD

See ISDA Definition

ELECTRICITYNYISO-NY ZONE 

G-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

HUD VL, LBMP 

($/MWHr)
U.S. Electricity – Fixed/Floating Swap Contracts

223

ELECTRICITYNYISO-NY ZONE 

G- PEAK DAY 

AHEAD

Eastern Peak NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

HUD VL, LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

H-ATC DAY 

AHEAD

See ISDA 

Definition

ELECTRICITYNYISO-NY ZONE 

H-OFF PEAK 

DAY AHEAD

Eastern Off 

Peak

NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

N.Y.C., LBMP 

($/MWHr)

ELECTRICITYNYISO-NY ZONE 

H- PEAK DAY 

AHEAD

Eastern Peak NYISO http://www.nyiso.com/public/markets_oper

ations/market_data/pricing_data/index.jsp

(Report Type: Day-Ahead Market 

LBMP/Zonal)

N.Y.C., LBMP 

($/MWHr)

ELECTRICITYCAISO-NP 15 

ATC

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of the 

ELECTRICITY-NP15- PEAK-ICE and ELECTRICITY-NP15- OFF-PEAK-ICE Commodity 

Reference Prices for the relevant period, weighted on the basis of the number of hourly periods 

in the relevant period which are peak and off-peak respectively (with peak and off peak having 

the meaning specified in the definition of the Commodity Reference Price by the Exchange).

ELECTRICITYCAISO-SP 15 ATCNotwithstanding the Commodity Definitions, will be calculated as the weighted average of the 

ELECTRICITY-SP15- PEAK-ICE and ELECTRICITY-SP15- OFF-PEAK-ICE Commodity 

Reference Prices for the relevant period, weighted on the basis of the number of hourly periods 

in the relevant period which are peak and off-peak respectively (with peak and off peak having 

the meaning specified in the definition of the Commodity Reference Price by the Exchange).

ELECTRICITYPALO VERDE 

ATC-ICE

Notwithstanding the Commodity Definitions, will be calculated as the weighted average of the 

ELECTRICITY-PALO VERDE PEAK-ICE and ELECTRICITY-PALO VERDE OFF-PEAKICE Commodity Reference Prices for the relevant period, weighted on the basis of the number 

of hourly periods in the relevant period which are peak and off-peak respectively (with peak and 

off peak having the meaning specified in the definition of the Commodity Reference Price by 

the Exchange)

ELECTRICITYMID C ATC-ICENotwithstanding the Commodity Definitions, will be calculated as the weighted average of the 

ELECTRICITY-MID C PEAK-ICE and ELECTRICITY-MID C OFF-PEAK-ICE Commodity 

Reference Prices for the relevant period, weighted on the basis of the number of hourly periods 

in the relevant period which are peak and off-peak respectively (with peak and off peak having 

the meaning specified in the definition of the Commodity Reference Price by the Exchange)

U.S. Electricity – Fixed/Floating Swap Contracts Specified Time Periods

Non-FERC Holidays (all times are 

Hours Ending and use 24-hour 

clock)

FERC Holidays

California Off Peak Excludes 0700 through 2200 Pacific 

Prevailing Time

Includes all hours on FERC 

Holidays

California Peak Includes 0700 through 2200 Pacific 

Prevailing Time

Excludes all hours on FERC 

Holidays

Eastern Off Peak1 Excludes 0800 through 2300 Eastern 

Prevailing Time

Includes all hours on FERC 

Holidays

Eastern Peak Includes 0800 through 2300 Eastern 

Prevailing Time

Excludes all hours on FERC 

Holidays

 

1 Times for Commodity Reference Prices reported for Central Timezone (e.g., Illinois, Michigan) will be converted 

to their Eastern time equivalents
USD Equity Basket Swap (Broad Based)

224

USD Equity Basket Swap (Broad Based)

Terms and Conditions

Summary: This covers equity total-return swaps on broad-based 

baskets of equities traded in USD. 

For purposes of relevant CFTC and SEC regulations, 

such basket shall be on a broad-based index.

Limitations on Available Selections and Default 

Settings:

The terms under which USD Equity Basket Swap (Broad 

Based) may be traded are shown below or in the attached 

tables.

For amounts or rates, the relevant term cannot be less 

than the specified Minimum, must represent an even 

Increment and cannot exceed the Maximum; for a date, 

the date cannot be earlier than Earliest nor later than 

Latest.

For Business Days, the defaults shall be the locations 

specified for the relevant currency, any additional 

locations specified for the relevant Floating Rate 

Options.

In many cases there are normal “vanilla” terms on which 

the parties will transact. 

These are shown as “Default ” and will apply unless the 

parties vary them.

In some cases, the same contract might have different 

terms depending on the market in which it is traded (e.g., 

London versus NY). 

In that case the default settings may vary by market.

Incorporated Standards: This contract description incorporates by reference the 

following industry standard documentation and 

standards:

(a) 2006 ISDA Definitions;

(b) 2002 ISDA Equity Derivatives Definitions; and

(c) Annex SS to 2004 Americas Interdealer Master 

Equity Derivatives Confirmation (except that references 

therein to the 2000 ISDA Definitions shall be deemed 

references to the 2006 ISDA Definitions).

For convenience, certain terms are mapped to their 

FpML 5.5 equivalent.

Product Type/ISDA OTC Taxonomy:

ISDA OTC Asset Class: Equity

ISDA OTC Base Product: Swap

ISDA OTC Sub-Product: Price Return Basic Performance

ISDA OTC Transaction type: Basket

Further Limitations: None

Terms:

Type of Transaction: Share Basket Swap Transaction

Trade Date: As agreed by the parties.

Notional Amount (“notional”): An amount in USD agreed by the parties.

Effective Date (“effectiveDate”): Per Annex SS, unless otherwise agreed by the parties.

Effective Date Business Days: As specified by the parties from among the Available 

Business Days.

Effective Date Business Day Convention: As specified by the parties from among the Available 

Business Day Conventions.
USD Equity Basket Swap (Broad Based)

225

Termination Date (“terminationDate”): Per Annex SS, unless otherwise specified by the parties.

Basket: As specified by the parties in compliance with the rules 

and regulations of the CFTC and SEC applicable to 

broad-based indices.

Exchange(s): As specified by the parties with respect to each Share 

comprised in the Basket.

Related Exchanges: Per Annex SS, unless otherwise agreed by the parties.

Hedging Party: As specified by the parties.

Determining Party: As specified by the parties.

Equity Amounts:

Equity Amount Payer (“payerPartyReference”): As specified by the parties.

Equity Notional Amount: As specified by the parties.

Equity Notional Reset: Per Annex SS.

Type of Return: Total Return

Initial Price: As specified by the parties and adjusted in accordance 

with Annex SS.

Final Price: As per Annex SS unless otherwise agreed by the parties.

Valuation Time: As per Annex SS unless otherwise agreed by the parties.

Valuation Date: As specified by the parties.

Floating Amount:

Floating Rate Payer (“payerPartyReference”): As specified by the parties.

Notional Amount (“notionalAmount”): As per Annex SS.

Payment Dates: As per Annex SS, unless otherwise agreed by the parties.

Floating Rate Option (“floatingRateIndex”): As per Annex SS, unless otherwise agreed by the parties.

Designated Maturity (‘indexTenor”) As specified by the parties.

Spread: As specified by the parties.

Day Count Fraction: Actual/360

Reset Date (“resetDate”): As specified by the parties.

Payment Dates Business Days: As specified by the parties.

Business Days (Other Than Payment Dates): As specified by the parties.

Business Day Convention (Other Than Payment 

Dates):

As per Annex SS, unless otherwise specified by the 

parties.

Settlement Terms:

Cash Settlement: Applicable

Settlement Currency: USD

Dividends:

Dividend Payment Date(s): As per Annex SS unless otherwise agreed by the parties.

Dividend Period: As per Annex SS unless otherwise agreed by the parties.

Dividend Amount: As per Annex SS unless otherwise agreed by the parties.

Relevant Dividend: If type of return is “Total Return” as per Annex SS 

unless otherwise agreed by the parties.

Reinvestment of Dividends: Inapplicable

Dividend Recovery: As per Annex SS unless otherwise agreed by the parties.

Adjustment Events:

Method of Adjustment: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Consequences of Merger Events:

Share-for-Share: As per Annex SS unless otherwise agreed by the parties.

Share-for-Other: As per Annex SS unless otherwise agreed by the parties.

Share-for-Combined: As per Annex SS unless otherwise agreed by the parties.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Consequences of Tender Offers:
USD Equity Basket Swap (Broad Based)

226

Tender Offer: As per Annex SS, unless otherwise agreed by the parties.

Share-for-Share As agreed by the parties if Tender Offer is applicable.

Share-for-Other: As agreed by the parties if Tender Offer is applicable.

Share-for-Combined: As agreed by the parties if Tender Offer is applicable.

Options Exchange: As agreed by the parties if “Options Exchange 

Adjustment” is applicable.

Composition of Combined Consideration: Per Annex SS unless otherwise agreed by the parties.

Nationalization, Insolvency or Delisting: Per Annex SS unless otherwise agreed by the parties.

Additional Disruption Events:

Change in Law: As per Annex SS, unless otherwise agreed by the parties.

Insolvency Filing: As per Annex SS, unless otherwise agreed by the parties.

Hedging Disruption: As per Annex SS.

Increased Cost of Hedging: As per Annex SS unless otherwise agreed by the parties.

Loss of Stock Borrow: Inapplicable

Increased Cost of Stock Borrow: Inapplicable

Non-Reliance: As per Annex SS unless otherwise agreed by the parties.

Agreements and Acknowledgements Regarding 

Hedging Activities:

As per Annex SS.

Additional Acknowledgements: As per Annex SS unless otherwise agreed by the parties.

Index Disclaimer: As per Annex SS unless otherwise agreed by the parties.

Mutual Early Termination Right: As agreed by the parties.

Interest Breakage Cost: If Mutual Early Termination Right is applicable, as 

specified by the parties.

Calculation Agent: As agreed by the parties.

Equity Index Available Business Day Conventions

ISDA Name

Following

Modified/Modified Following

No Adjustment

Preceding

FRN Convention/Eurodollar Convention

Equity Index Earliest and Latest Effective and Termination Dates

Currency Earliest Effective 

Date

Latest Effective Date Earliest Termination 

Date

Latest Termination 

Date

N/A N/A N/A N/A One Year from 

Effective Date

Equity Index Notional Amounts

Currency Minimum Increment Maximum Default

USD 10,000,000 1,000,000 N/A N/A

Equity Index Requirements and Defaults

Date Requirement Default

Designated Maturities for Linear 

Interpolation

Tenors quoted next shorter and 

longer than the actual Calculation 

Period length
USD Equity Basket Swap (Broad Based)

227