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

New York, NY 10022 bloombergsef.com

November 29, 2023 

Submitted via Portal

U.S. Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W. 

Washington, D.C. 20581 

Re: CFTC Regulation 40.6(a) Certification. Product-Related Amendments to the BSEF 

LLC Rulebook 

BSEF Submission No. 2023-R-17

Ladies and Gentlemen: 

Bloomberg SEF LLC (“BSEF”) is certifying to the U.S. Commodity Futures Trading 

Commission (“CFTC” or “Commission”) the amending of Chapter 12 (Rules 1201.A - 

1233.A). The Rule Amendment is effective on December 13, 2023. A concise explanation of 

the Rule Amendment is in the below table. 

Exhibit A provides amendments to the applicable BSEF Rulebook Chapter in redline format.

A clean copy is attached hereto as Exhibit B. 

Bloomberg SEF reviewed the swap execution facility core principles (“Core Principles”) as

set forth in the Commodity Exchange Act (“Act” or “CEA”) and CFTC Regulations and

identified that the amendment of terms in Chapter 12 (Rules 1201.A - 1233.A) may have 

some bearing on the following core principles: 

• Swaps Not Readily Susceptible to Manipulation (Core Principle 3): BSEF believes that

Rule Amendments do not change the prior determination that swaps listed in Rule

1331 are not readily susceptible to manipulation.

• Emergency Authority (Core Principle 6): Contracts are not subject to the mandatory

trading determination under CFTC Rule 37.12. Therefore, there will be no market

disruption related to their delisting.

• Availability of General Information (Core Principle 1 7): Bloomberg SEF will make

publicly available the details of the delisting by publishing this submission on

Bloomberg SEF’s website.

Contract Rulebook 

Chapter

Amendment Explanation

12 Amending the contracts to reflect UPI format 

and attributes.

Chapter 12. Credit Contract 

Terms and Conditions
2 

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), BSEF hereby certifies that the 

Rule Amendments comply with the Act, including all regulations thereunder. There were no 

substantive opposing views to the proposal. 

BSEF certifies that this submission has been concurrently posted on the BSEF website at 

https://www.bloomberg.com/professional/product/sef-compliance/. 

Please contact the undersigned at (212) 617-7331 with any questions regarding this matter. 

cc: Brian Robinson Division of Market Oversight, U.S. Commodity Futures Trading

Commission
3 

Exhibit A
86

Swap Conventions

Same as Tenor

Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket of liquid North America based entities

with a high yield credit rating based upon an agreed upon notional amount.

Any, other than tenors “made available to trade”

Index Factor

CDX.NA.HY: Series 11 to current series other than series “made available to trade”

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

CHAPTER 12.

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS

RULE 1201. CDS Index Contract –RULE 1201.A. CDX North America High

Yield

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Notional Currency

Settlement Method

USD

Financially settled

Index Type

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, (iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Price and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual

Settlement Date is determined by Credit Event Rules.

Ticker

Settlement Currency USD

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to

Trade

Index Version

Mandatory Clearing

Determination

CDX HY CDSI [series number] [tenor]

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing

requirements

Minimum Size

Current version

Trading Hours and

Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

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

Contract Overview

Settlement Procedure As determined by the Clearing House or Bilateral

Trading Conventions

Clearing House

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.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.;

Index Term Value
87

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03

Block Size
88

Unadjusted date at which obligations under the swap come into effect.

Strike Price

Expiration Date

Price

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Underlying Swap

Valuation Method

Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer)

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Vanilla

Option Premium

Currency

CDX North America High Yield (Rule 1201.A.)

Settlement Method

USD

Financially settled

RULE 1201.B. Option – CDX North America High Yield

Final Contractual

Settlement Date

Expiration Date + 2 days, according to market center conventions.

Minimum Increment

Settlement Currency

As agreed by counterparties

USD

Notional Currency

“Made Available to

Trade” Determination

None

Minimum Size

USD

Mandatory Clearing

Determination

As agreed by counterparties

None

Ticker

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

Option Style

Settlement Procedure

European

Bilateral or as determined by a Clearing House

Quoting Convention

Clearing House

CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

ICE Clear Credit LLC; LCH.Clearnet SA.

Option Type

Premium

Block Size

Put (Payer Option)

Call (Receiver Option)

As set forth in Part 43 of the CFTC Regulations

Contract Overview

Speculative Limits Same as for the underlying Swap

Effective Date
89

Reportable Levels Same as for the underlying Swap
90

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket of liquid North America based entities with

an investment grade credit rating based upon an agreed upon notional amount.

Any, other than tenors “made available to trade”

Index Factor

CDX.NA.IG: Series 11 to current other than series “made available to trade”

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1202. CDS Index Contract –

RULE 1202.A. CDX North America Investment Grade

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

USD

Financially settled

Index Type

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,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency USD

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to

Trade

Index Version

Mandatory Clearing

Determination

CDX IG CDSI [series number] [tenor]

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing

requirements

Minimum Size

Current version

Trading Hours and Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

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

Contract Overview

Settlement Procedure As determined by the Clearing House or Bilateral

Trading Conventions

Clearing House

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.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Index Term Value

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

Swap Conventions

Same as Tenor
91

Reportable Levels

Speculative Limits

As set in the CFTC Regulation 15.03

As set in Part 150 of the CFTC Regulations
92

Expiration Date

Spread

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Underlying Swap

Valuation Method

Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer)

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Vanilla

Option Premium

Currency

CDX North America Investment Grade (Rule 1202.A)

Settlement Method

USD

Financially settled

RULE 1202.B. Option – CDX North America Investment Grade

RULE 1203. CDS Index Contract –

Final Contractual

Settlement Date

Expiration date +2 days, according to market center conventions.

Minimum Increment

Settlement Currency

As agreed by counterparties

USD

Notional Currency

“Made Available to

Trade” Determination

None

Minimum Size

USD

Mandatory Clearing

Determination

As agreed by counterparties

None

Ticker

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

Option Style

Settlement Procedure

European

Bilateral or as determined by a Clearing House

Quoting Convention

Clearing House

CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

ICE Clear Credit LLC; LCH.Clearnet SA.

Option Type

Premium

Block Size

Put (Payer Option)

Call (Receiver Option)

As set forth in Part 43 of the CFTC Regulations

Contract Overview

Speculative Limits Same as for the underlying Swap

Effective Date

Reportable Levels

Unadjusted date at which obligations under the swap come into effect.

Same as for the underlying Swap

Strike Price
93

CDX EM CDSI [series number] [tenor]

Minimum Size

Current version

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Contract Overview

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on price

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of sovereign

issuers, domiciled in Latin America based upon an agreed upon notional amount.

Any

Index Factor

CDX Emerging Markets: all series

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1203.A. CDX Emerging Markets

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

USD

Financially settled

Index Type

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,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Price and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency USD

Quoting Convention

and

Minimum Increment

“Made Available to

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

None

Index Version
94

As determined by the Clearing House or Bilateral

Mandatory Clearing

Determination

Clearing House

None

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size

Trade” Determination

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

Trading Hours and Venue

Speculative Limits

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

As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03

Settlement Procedure
95

Expiration Date

Price

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Underlying Swap

Valuation Method

Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer)

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Vanilla

Option Premium

Currency

CDX Emerging Markets (Rule 1203.A)

Settlement Method

USD

Financially settled

RULE 1203.B. Option – CDX Emerging Markets

RULE 1204. CDS Index Contract –

Final Contractual

Settlement Date

Expiration Date + 2 days, according to market center conventions.

Minimum Increment

Settlement Currency

As agreed by counterparties

USD

Notional Currency

“Made Available to

Trade” Determination

None

Minimum Size

USD

Mandatory Clearing

Determination

As agreed by counterparties

None

Ticker

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

Option Style

Settlement Procedure

European

Bilateral or as determined by a Clearing House

Quoting Convention

Clearing House

CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

ICE Clear Credit LLC; LCH.Clearnet SA.

Option Type

Premium

Block Size

Put (Payer Option)

Call (Receiver Option)

As set forth in Part 43 of the CFTC Regulations

Contract Overview

Speculative Limits Same as for the underlying Swap

Effective Date

Reportable Levels

Unadjusted date at which obligations under the swap come into effect.

Same as for the underlying Swap

Strike Price
96

ITRX EUR CDSI [series number] [tenor]

Minimum Size

Current version

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Contract Overview

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket of liquid European based entities with an

investment grade credit rating based upon an agreed upon notional amount.

Any, other than tenors “made available to trade”

Index Factor

iTRAXX.EUROPE: Series 7 to current, other than series “made available to trade”

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1204.A. iTraxx Europe

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

EUR

Financially settled

Index Type

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,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency EUR

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to

Trade

Index Version
97

Clearing House

Trading Hours and Venue

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Mandatory Clearing

Determination

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

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

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing

requirements

Speculative Limits

Settlement Procedure

As set in Part 150 of the CFTC Regulations

As determined by the Clearing House or Bilateral

Reportable Levels As set in the CFTC Regulation 15.03
98

Maturity/Expiration

Date

Spread

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Underlying Swap

Valuation Method

Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer)

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Vanilla

Option Premium

Currency

iTraxx Europe (Rule 1204.A.)

Settlement Method

EUR

Financially settled

RULE 1204.B. Option – iTraxx Europe

RULE 1205. CDS Index Contract –

Final Contractual

Settlement Date

Expiration date +2 days, according to market center conventions.

Minimum Increment

Settlement Currency

As agreed by counterparties

EUR

Notional Currency

“Made Available to

Trade” Determination

None

Minimum Size

EUR

Mandatory Clearing

Determination

As agreed by counterparties

None

Ticker

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

Option Style

Settlement Procedure

European

Bilateral or as determined by a Clearing House

Quoting Convention

Clearing House

ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

ICE Clear Credit LLC; LCH.Clearnet SA.Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited;

LCH.Clearnet SA. or Bilateral

Option Type

Premium

Block Size

Put (Payer Option)

Call (Receiver Option)

As set forth in Part 43 of the CFTC Regulations

Contract Overview

Speculative Limits Same as for the underlying Swap

Effective Date

Reportable Levels

Unadjusted date at which obligations under the swap come into effect.

Same as for the underlying Swap

Strike Price
99

Quoting Convention

and

Minimum Increment

CLOB: $0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Index Version

ITRX XOVER CDSI [series number] [tenor]

Minimum Size

Current version

CLOB: $1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Contract Overview

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. The European Crossover index comprises 75 equally weighted credit default swaps on the most

liquid sub-investment grade European corporate entities based upon an agreed upon notional amount.

Any, other than tenors “made available to trade”

Index Factor

iTRAXX.EUROPE CROSSOVERiTraxx Europe Crossover: Series 10 to current, other than series “made

available to trade”

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1205.A. iTraxx Europe Crossover

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

EUR

Financially settled

Index Type

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,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement Date

Ticker
100

is determined by Credit Event Rules.

Settlement Procedure

“Made Available to

Trade” Determination

As determined by the Clearing House or Bilateral

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to Trade

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Block Size

Mandatory Clearing

Determination

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

Settlement Currency

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing

requirements

Speculative Limits

Settlement Date

As set in Part 150 of the CFTC Regulations

EUR

Reportable Levels

Trading Hours and Venue

As set in the CFTC Regulation 15.03

00:01 -24:00 Sunday-Friday; Eastern Time
101

Maturity/Expiration

Date

Spread

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Underlying Swap

Valuation Method

Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer)

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Vanilla

Option Premium

Currency

iTraxx Europe Crossover (Rule 1205.A.)

Settlement Method

EUR

Financially settled

RULE 1205.B. Option – iTraxx Europe Crossover

RULE 1206. CDS Index Contract –

Final Contractual

Settlement Date

Expiration Date + 2 days, according to market center conventions.

Minimum Increment

Settlement Currency

As agreed by counterparties

EUR

Notional Currency

“Made Available to

Trade” Determination

None

Minimum Size

EUR

Mandatory Clearing

Determination

As agreed by counterparties

None

Ticker

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

Option Style

Settlement Procedure

European

Bilateral or as determined by a Clearing House

Quoting Convention

Clearing House

ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

ICE Clear Credit LLC; LCH.Clearnet SA.

Option Type

Premium

Block Size

Put (Payer Option)

Call (Receiver Option)

As set forth in Part 43 of the CFTC Regulations

Contract Overview

Speculative Limits Same as for the underlying Swap

Effective Date

Reportable Levels

Unadjusted date at which obligations under the swap come into effect.

Same as for the underlying Swap

Strike Price
102

Quoting Convention

and

Minimum Increment

CLOB: $0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Index Version

HIVOL CDSI [series number] [tenor]

Minimum Size

Current version

CLOB: $1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Contract Overview

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap.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 based upon an agreed upon notional

amount.

Any

Index Factor

iTraxx Europe HiVol

iTRAXX.EUROPE HIVOL:

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1206.A. iTraxx Europe HiVol

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

EUR

Financially settled

Index Type

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,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker
103

Settlement Procedure As determined by the Clearing House or Bilateral

EUR

Clearing House

Mandatory Clearing

Determination

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

None

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

Speculative Limits

Trading Hours and Venue

As set in Part 150 of the CFTC Regulations

“Made Available to

Trade” Determination

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

Reportable Levels

Settlement Currency

As set in the CFTC Regulation 15.03

None
104

Maturity/Expiration

Date

Spread

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Underlying Swap

Valuation Method

Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer)

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Vanilla

Option Premium

Currency

iTraxx European HiVol (Rule 1206.A.)

Settlement Method

EUR

Financially settled

RULE 1206.B. Option – iTraxx Europe HiVol

RULE 1207. CDS Index Contract –

Final Contractual

Settlement Date

Expiration Date + 2 days, according to market center conventions.

Minimum Increment

Settlement Currency

As agreed by counterparties

EUR

Notional Currency

“Made Available to

Trade” Determination

None

Minimum Size

EUR

Mandatory Clearing

Determination

As agreed by counterparties

None

Ticker

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

Option Style

Settlement Procedure

European

Bilateral or as determined by a Clearing House

Quoting Convention

Clearing House

HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

ICE Clear Credit LLC; LCH.Clearnet SA.

Option Type

Premium

Block Size

Put (Payer Option)

Call (Receiver Option)

As set forth in Part 43 of the CFTC Regulations

Contract Overview

Speculative Limits Same as for the underlying Swap

Effective Date

Reportable Levels

Unadjusted date at which obligations under the swap come into effect.

Same as for the underlying Swap

Strike Price
105

Spread and/or upfront payment

Index Version

SNRFIN CDSI [series number] [tenor]

Quoting Convention

and

Minimum Increment

Current version

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Contract Overview

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Index Term Value

Trading Conventions

Same as Tenor

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.

Index

Swap Conventions

Credit Default Swap. An agreement to buy or sell protection on a basket of 25 equally weighted credit default

swaps on investment grade European entities based upon an agreed upon notional amount.

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index Factor

iTraxx Europe Senior Financial

Swap Tenor

Current factor

Any

RULE 1207.A. iTraxx Europe Senior Financial

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

Index

Maturity/Expiration Date

iTRAXX EUROPE SENIOR FINANCIAL

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Index Type

Settlement Method Financially settled

Notional Currency

Corporate; Untranched

Settlement

EUR

 Contingent payment -: Payments related to credit event settlement will be determined pursuant to

the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Ticker

Final Contractual

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Quoting Convention
106

Settlement Procedure As determined by the Clearing House or Bilateral

EUR

Clearing House

Mandatory Clearing

Determination

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

None

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

Speculative Limits

Trading Hours and Venue

As set in Part 150 of the CFTC Regulations

“Made Available to

Trade” Determination

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

Reportable Levels

Settlement Currency

As set in the CFTC Regulation 15.03

None
107

Spread and/or upfront payment

Ticker

Quoting Convention

and

Minimum Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Index Version

ITRX SOVX WE CDSI [series number] [tenor]

Minimum Size

Current version

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Contract Overview

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone

region plus Denmark, Norway, Sweden and United Kingdom that trade on Western European documentation based

upon an agreed upon notional amount.

Any

Index Factor

iTRAXXiTraxx SovX Western Europe: all series

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1208. CDS Index Contract –

RULE 1208.A. iTraxx SovX Western Europe

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

USD

Financially settled

Index Type

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,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Quoting Convention

Corporate; Untranched
108

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Settlement Procedure

“Made Available to

Trade” Determination

As determined by the Clearing Housen/a; or Bilateral

None

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

Block Size

Mandatory Clearing

Determination

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

Settlement Currency

None

Speculative Limits

Final Contractual

Settlement Date

As set in Part 150 of the CFTC Regulations

USD

Reportable Levels

Trading Hours and Venue

As set in the CFTC Regulation 15.03

00:01 -24:00 Sunday-Friday; Eastern Time
109

Effective Date

Spread

Unadjusted date at which obligations under the swap come into effect.

Underlying Swap

Maturity/Expiration

Date

Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer)

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Option Premium

Currency

iTraxx SovX Western Europe (Rule 1208.A)

Settlement Method

USD

Financially settled

RULE 1208.B. Option – iTraxx SovX Western Europe

RULE 1209. CDS Index Contract –

Final Contractual

Settlement Date

Expiration Date + 2 days, according to market center conventions.

Minimum Increment

Settlement Currency

As agreed by counterparties

USD

Notional Currency

“Made Available to

Trade” Determination

None

Minimum Size

USD

Mandatory Clearing

Determination

As agreed by counterparties

None

Ticker

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

Option Style

Settlement Procedure

European

Bilateral or as determined by a Clearing House

Quoting Convention

Clearing House

ITRAX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

ICE Clear Credit LLC; LCH.Clearnet SA.

Option Type

Premium

Block Size

Put (Payer Option)

Call (Receiver Option)

As set forth in Part 43 of the CFTC Regulations

Contract Overview

Speculative Limits Same as for the underlying Swap

Valuation Method

Reportable Levels

Vanilla

Same as for the underlying Swap

Strike Price
110

SUBFIN CDSI [series number] [tenor]

Quoting Convention

and

Minimum Increment

Current version

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Contract Overview

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Index Term Value

Trading Conventions

Same as Tenor

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.

Index

Swap Conventions

Credit Default Swap. An agreement to buy or sell protection on a basket of 25 equally weighted credit default

swaps on investment grade European entities based upon an agreed upon notional amount.

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index Factor

iTraxx Europe Subordinated Financial: all series

Swap Tenor

Current factor

Any

RULE 1209.A. iTraxx Europe Subordinated Financial

Effective Date TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

Index

Maturity/Expiration Date

iTRAXX EUROPE SUBORDINATED FINANCIAL : All Series

The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Index Type

Settlement Method Financially settled

Notional Currency

Corporate; Untranched

Settlement

EUR

 Contingent payment -: Payments related to credit event settlement will be determined pursuant to

the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Ticker

Final Contractual

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Quoting Convention

Settlement Currency

Spread and/or upfront payment

EUR

Index Version
111

Settlement Procedure

None

As determined by the Clearing House or Bilateral

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Mandatory Clearing

Determination

Block Size

None

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Trading Hours and Venue

Reportable Levels

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

As set in the CFTC Regulation 15.03

“Made Available to

Trade” Determination
112

Spread and/or upfront payment

Ticker

Quoting Convention

and

Minimum Increment

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Index Version

ITRX JAPAN CDSI [series number] [tenor]

Minimum Size

Current version

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Contract Overview

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of 50 equally-weighted

investment grade Japanese entities based upon an agreed upon notional amount.

Any

Index Factor

iTraxx Japan: all series

iTRAXX.JAPAN: All Series.

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1210. CDS Index Contract –

RULE 1210.A. iTraxx Japan

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

JPY

Financially settled

Index Type

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,

(iei.e., the Big Bang Protocol).

 Fixed Quarterlyquarterly cash payments - reflected: 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.

Quoting Convention

Corporate; Untranched
113

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Settlement Procedure

“Made Available to

Trade” Determination

As determined by the Clearing House or Bilateral

None

Clearing House Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral

Block Size

Mandatory Clearing

Determination

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

Settlement Currency

None

Speculative Limits

Final Contractual

Settlement Date

As set in Part 150 of the CFTC Regulations

JPY

Reportable Levels

Trading Hours and Venue

As set in the CFTC Regulation 15.03

00:01 -24:00 Sunday-Friday; Eastern Time
114

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

ITRX AUS CDSI [series number] [tenor]

Maturity Date

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours

and Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

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

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of 25 equally-weighted investment grade Australian

entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.; Bilateral

Trading

Conventions

ITRAXX.AUSTRALIA : All Series

Block Size

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

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

RULE 1211. CDS Index Contract –

RULE 1211.A. iTraxx Australia

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
115

Swap Tenor

USD

5Y

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

Quoting

Convention and

Minimum Price

Increment

CDX IG CDSI [series number] 5Y

Maturity Date

CLOB: 0.0025 Basis Points

RFQS: 0.01 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

Settlement

Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours

and Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

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

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid North America based entities with an investment grade

credit rating.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

CDX.NA.IG: at any time, the then-current on-the-run series and the preceding series that was replaced by the

current one

Block Size

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.

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

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
116

Swap Tenor

USD

5Y

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

Quoting

Convention and

Minimum

Increment

CDX HY CDSI [series number] 5Y

Maturity Date

CLOB: $0.0025

RFQS: $0.0025

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours

and Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

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

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid North America based entities with a high yield credit

rating.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

CDX.NA.HY: at any time, the then-current on-the-run series and the preceding series that was replaced by the

current one

Block Size

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.

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

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
117

Swap Tenor

EUR

5Y

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date

of the swap.

Quoting

Convention and

Minimum

Increment

ITRX EUR CDSI [series number] 5Y

Maturity Date

CLOB: 0.0025 Basis Points

RFQS: 0.001 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract

Overview

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie, the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours

and Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

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

Index

Clearing House

An agreement to buy or sell protection on a basket of liquid European based entities with an investment grade credit

rating.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTRAXX.EUROPE: at any time, the then-current on-the-run series and the preceding series that was replaced by the

current one

Block Size

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

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

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
118

Swap Tenor

EUR

5Y

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start date of

the swap.

Quoting

Convention

and

Minimum

Increment

ITRX XOVER CDSI [series number] 5Y

Maturity Date

CLOB: 0.0025 Basis Points

RFQS: 0.001 Basis Points

Trading Protocols other than CLOB and RFQS: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA Credit

Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours

and Venue

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

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

Index

Clearing House

The European Crossover index comprises 75 equally weighted credit default swaps on the most liquid sub-investment

grade European corporate entities.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTRAXX.EUROPE CROSSOVER: at any time, the then-current on-the-run series and the preceding series that was

replaced by the current one

Block Size

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument

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

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
119

Trading

Conventions

CDX.NA.HY: Series 11 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract

Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

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

Underlying Swap

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or

Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – North America High Yield.

Block Size

As agreed by counterparties

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

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

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
120

Trading

Conventions

CDX.NA.IG: Series 11 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract

Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

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

Underlying Swap

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or

Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – North America Investment Grade.

Block Size

As agreed by counterparties

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

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

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
121

Trading

Conventions

CDX.EM: all series

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract

Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

USD

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

Underlying Swap

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or

Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – CDX Emerging Markets

Block Size

As agreed by counterparties

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

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

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
122

Trading

Conventions

ITRAXX.EUROPE: Series 10 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract

Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

EUR

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

Underlying Swap

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or

Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – European Investment Grade. An agreement to buy or sell protection on a basket of liquid

European based entities with an investment grade credit rating.

Block Size

As agreed by counterparties

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

RULE 1219. Option – CDS Index Contract – iTraxx Europe

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
123

Trading

Conventions

ITRAXX.EUROPE CROSSOVER: Series 10 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract

Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

EUR

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

Underlying Swap

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or

Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – Europe Crossover. An index comprising 75 equally weighted credit default swaps on the

most liquid sub-investment grade European corporate entities.

Block Size

As agreed by counterparties

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

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

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
124

Trading

Conventions

ITRAXX.EUROPE HIVOL: Series 10 to current

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

Ticker

Option Strike

Price

Fixed coupon of the underlying swap

Tenor of

Underlying Swap

HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Option Expiry

Date

Any

As agreed by the parties

Contract

Overview

Exercise method

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

Currency

Trading Hours

and Venue

EUR

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

Underlying Swap

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

n/a; Bilateral

Quoting

Convention and

Minimum

Increment

CDS Index Contract – European HiVol.

Block Size

As agreed by counterparties

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

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

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap
125

Swap Tenor

USD

Any

Ticker

Effective Date The date on which parties begin calculating accrued obligations such as fixed payments. Also known as the start

date of the swap.

Quoting

Convention

and

Minimum

Increment

ITRX Corp CEEMEA CDSI [series number] [tenor]

Maturity Date

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

The final date on which the obligations no longer accrue and the final payment occurs.

Contract Overview

Settlement Contingent payment - Payments related to credit event settlement will be determined pursuant to the 2009 ISDA

Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie the Big Bang Protocol).

Fixed Quarterly cash payments - reflected in basis points and paid by the protection buyer to the protection seller.

Upfront fee payment - The upfront fee is a portion of the payments, expressed in percentage points of the notional,

which is present valued and paid immediately to the seller.

Minimum Size

Trading Hours

and Venue

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

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

Index

Clearing House

An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most liquid corporate and

quasi-sovereign entities from Central & Eastern European, Middle Eastern and African countries.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA.

Trading

Conventions

iTraxx CEEMEA: all series

Block Size

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer. The Seller

owns the credit risk of the instrument.

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

RULE 1222. CDS Index Contract – iTraxx Corp CEEMEA

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Conventions

Reportable Levels

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

As set in the CFTC Regulation 15.03

Currency
126

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of

sovereign issues domiciled in Asia, EEMEA (Eastern Europe, Middle East, Africa), and Latin America

with an investment grade rating.

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as

the start date of the swap.

Index Factor

CDX Emerging Markets Investment Grade; all series

Maturity Date/Expiration Date

Current factor

The final date on which the obligations no longer accrue, and the final payment occurs.

RULE 1223. CDS Index Contract – CDX Emerging Markets Investment Grade

Delivery Type Cash

Currency

Settlement

USD

Contingent payment – Payments related to credit event settlement will be determined pursuant to the

2014 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives

Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

Index Type

Settlement Date Same as Expiration Date

Quoting Convention

Corporate; Untranched

Settlement Currency

Price

USD

Ticker

“Made Available to Trade”

Determination

None

Minimum Increment

Mandatory Clearing Determination

Order Book: $0.0025

Trading Protocols other than Order Book: As agreed by counterparties

None

Index Version

Trading Hours

CDX EM IG CDSI [series number] [tenor]

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

Minimum Size

Current version

Settlement Procedure

Order Book: $1,000,000

Trading Protocols other than Order Book: As agreed by counterparties

Bilateral

Contract Overview

Clearing House Bilateral

Trading Conventions

Block Size

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer.

The seller owns the credit risk of the instrument.

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set forth in CFTC Regulation 15.03

Index
127

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of

sovereign issues domiciled in Asia, EEMEA (Eastern Europe, Middle East, Africa), and Latin America

with credit ratings below “BBB-” or “Baa3” that trade in the CDS market.

The date on which parties begin calculating accrued obligations such as fixed payments. Also known as

the start date of the swap.

Index Factor

CDX Emerging Markets High Yield; all series

Maturity Date/Expiration Date

Current factor

The final date on which the obligations no longer accrue and the final payment occurs.

RULE 1224. CDS Index Contract – CDX Emerging Markets High Yield

Delivery Type Cash

Currency

Settlement

USD

Contingent payment – Payments related to credit event settlement will be determined pursuant to the

2014 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives

Association, Inc.

Fixed Quarterly cash payments – Reflected in basis points and paid by the protection buyer to the

protection seller.

Upfront fee payment – The upfront fee is a portion of the payments, expressed in percentage points of

the notional, which is present valued and paid immediately to the seller.

Index Type

Settlement Date Same as Expiration Date

Quoting Convention

Corporate; Untranched

Settlement Currency

Price

USD

Ticker

“Made Available to Trade”

Determination

None

Minimum Increment

Mandatory Clearing Determination

Order Book: $0.0025

Trading Protocols other than Order Book: As agreed by counterparties

None

Index Version

Trading Hours

CDX EM HY CDSI [series number] [tenor]

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

Minimum Size

Current version

Settlement Procedure

Order Book: $1,000,000

Trading Protocols other than Order Book: As agreed by counterparties

Bilateral

Contract Overview

Clearing House Bilateral

Trading Conventions

Block Size

Buy = Buy Protection, the buyer of protection pays a premium to the seller in case of a credit event

occurring.

Sell = Sell Protection, the seller of protection receives the premium payments from the protection buyer.

The seller owns the credit risk of the instrument.

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set forth in CFTC Regulation 15.03

Index
128

Speculative Limits Same as for the underlying Swap

Minimum Size

Reportable Levels

As agreed by counterparties

Same as for the underlying Swap

Index of

Underlying Swap

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of 25 equally-weighted

investment grade Australian entities based upon an agreed upon notional amount.

Trading

Conventions

iTRAXX SovX Western Europe: all series

Ticker

Payer Option=right but not the obligation to buy protection by purchasing the underlying Swap whereby the buyer of

protection pays a premium to the seller in case of a credit event occurring. Credit events include bankruptcy and

failure to pay.

Receiver Option= right but not the obligation to Sell Protection by selling the underlying Swap whereby the seller

receives the premium payments from the protection buyer. The seller owns the credit risk of the underlying swap.

ITRX AUS CDSI [series number] [tenor]

Ticker

Index iTraxx Australia: all series

Option Strike

Price

Index Type

Fixed coupon of the underlying swap

Corporate; Untranched

Tenor of

Underlying Swap

Index Version

ITRAX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Current version

Option Expiry

Date

Any

Index Term Value

As agreed by the parties

Same as Tenor

Contract

Overview

Index Factor Current factor

Exercise method

Notional Currency

The owner must notify the writer of the option of its intent to exercise the option during regular business hours on

the Expiry Date. The form and method of notification shall be as agreed by the counterparties. Upon exercise of the

option, the counterparties must submit the underlying Swap for clearing to the Clearing House.

USD

Currency

Quoting Convention Spread and/or upfront payment

Trading Hours

and Venue

USD

Minimum Increment

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

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Underlying Swap

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Clearing House

for the underlying

Swap

An agreement granting the owner the right, but not the obligation, to enter into a Swap listed for trading on BSEF

which is exercisable only on a specific date. Upon exercise of the option, the counterparties enter into and submit

the underlying swap for clearing by a derivative clearing organization set forth below (the “Clearing House”).

Trading Conventions

None.

Buy = Buy Protection

Sell = Sell Protection

Quoting

Convention and

Minimum

Increment

Swap Tenor

CDS Index Contract – iTRAXX SovX Western Europe

Any

Block Size

As agreed by counterparties

Effective Date

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

Unadjusted date at which obligations under the swap come into effect.

RULE 1225. Option – CDS Index Contract – iTraxx SovX Western Europe
129

Mandatory Clearing

Determination

None

Trading Hours

Final Contractual

Settlement Date

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

Settlement Method

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Settlement Procedure

Maturity/Expiration Date

As determined by the Clearing House or Bilateral

Financially settled

Clearing House

Settlement Currency

ICE Clear Credit LLC; LCH.Clearnet SA.

USD

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

Unadjusted date at which obligations under the swap stop being effective.

Speculative Limits

“Made Available to

Trade” Determination

As set in Part 150 of the CFTC Regulations

Settlement

None

Reportable Levels As set in the CFTC Regulation 15.03

 Contingent payment: Payments related to credit event settlement will be determined pursuant to the

2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (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.
130

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket of North American based

entities with a BB credit rating based upon an agreed upon notional amount.

Unadjusted date at which obligations under the swap come into effect.

Index Factor

CDX.NA.HY.BB: Series 33 to current series

Maturity Date/Expiration Date

Current factor

Unadjusted date at which obligations under the swap stop being effective.

RULE 1226.

RULE 1212.A. CDS Index Contract – CDX North American High Yield (BB) Index Contract

Settlement Method Financially settled

Currency

Settlement

USD

 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.

Index Type

Final Contractual Settlement

Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual

Settlement Date is determined by Credit Event Rules.

Quoting Convention

Corporate; Untranched

Settlement Currency

Price and/or upfront payment.

USD

Ticker

“Made Available to Trade”

Determination

None

Minimum Increment

Mandatory Clearing

Determination

CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

None

Index Version

Trading Hours

CDX HYBB CDSI [series number] [tenor]

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

Minimum Size

Current version

Settlement Procedure

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

As determined by the Clearing House or Bilateral

Contract Overview

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

Trading Conventions

Block Size

Buy = Buy Protection

Sell = Sell Protection

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set in the CFTC Regulation 15.03

Index
RULE 1213. [Reserved]

RULE 1214. [Reserved]

RULE 1215. [Reserved]

RULE 1216. [Reserved]

RULE 1217. [Reserved]

RULE 1218. [Reserved]

RULE 1219. [Reserved]

RULE 1220. [Reserved]

RULE 1221. [Reserved]

131
132

Effective Date

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most

liquid corporate and quasi-sovereign entities from Central & Eastern European, Middle Eastern and African

countries based upon an agreed upon notional amount.

Unadjusted date at which obligations under the swap come into effect.

Index Factor

iTraxx CEEMEA: all series

Maturity/Expiration Date

Current factor

Unadjusted date at which obligations under the swap stop being effective.

RULE 1222.A. iTraxx Corp CEEMEA

Settlement Method Financially settled

Notional Currency

Settlement

USD

 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.

Index Type

Final Contractual

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Quoting Convention

Corporate; Untranched

Settlement Currency

Spread and/or upfront payment

USD

Ticker

“Made Available to

Trade” Determination

None

Minimum Increment

Mandatory Clearing

Determination

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

None

Index Version

Trading Hours

ITRX Corp CEEMEA CDSI [series number] [tenor]

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

Minimum Size

Current version

Settlement Procedure

CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

As determined by the Clearing House or Bilateral

Contract Overview

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

Trading Conventions

Block Size

Buy = Buy Protection

Sell = Sell Protection

As set forth in Part 43 of the CFTC Regulations

Index Term Value

Speculative Limits As set in Part 150 of the CFTC Regulations

Swap Tenor

Same as Tenor

Reportable Levels

Any

As set in the CFTC Regulation 15.03

Index
RULE 1223. [Reserved]

RULE 1224. [Reserved]

RULE 1225. [Reserved]

RULE 1226. [Reserved]

RULE 1227. RULE 1227. [Reserved]

133
134

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian

(excluding Japanese) entities with primarily investment grade credit ratings that trade in the CDS market based

upon an agreed upon notional amount.

Any

Index Factor

iTraxx Asia exEx-Japan; all series

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

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

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

USD

Financially settled

Index Type

Settlement

 Contingent payment –: Payments related to credit event settlement will be determined pursuant to

the 20142009 ISDA Credit Derivatives Definitions, as published by the International Swaps and

Derivatives Association, IncDetermination Committees and Auction Settlement Supplement, (i.e., the

Big Bang Protocol).

 Fixed Quarterlyquarterly 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency USD

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

Minimum Increment: As agreed by counterparties

None

Index Version

Mandatory Clearing

Determination

ITRX EXJP IG CDSI [series number] [tenor]

None

Minimum Size

Current version

Trading Hours and Venue

Minimum Size: As agreed by counterparties

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

Contract Overview

Settlement Procedure As determined by the Clearing House or Bilateral

Trading Conventions

Clearing House

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.

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SSA.A. or

Index Term Value
135

Bilateral

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels

Block Size

As set forth in CFTC Regulation 15.03

As set forth in Appendix F to Part 43 of the CFTC Regulations
136

CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by the counterparties

Contract Overview

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket of one hundred (100) equally weighted

credit default swaps on investment grade European entities based upon an agreed upon notional amount.

Any

Index Factor

iTraxx Europe Non-Financial

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

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

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

EUR

Financially settled

Index Type

Settlement

 Contingent payment -: Payments related to credit event settlement will be determined pursuant to

the 20142009 ISDA Credit Derivatives Definitions, as published by the International Swaps and

Derivatives Association, IncDetermination Committees and Auction Settlement Supplement, (i.e., the

Big Bang Protocol).

 Fixed Quarterlyquarterly 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency EUR

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by the counterparties

None

Index Version

Mandatory Clearing

Determination

ITRX Europe NONFIN CDSI [series number] [tenor]

None

Minimum Size

Current version
137

Block Size

Settlement Procedure

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

Trading Hours and Venue

As determined by the Clearing House or Bilateral

Speculative Limits As set forth in Part 150 of the CFTC Regulations

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

Reportable Levels

Clearing House

As set forth in CFTC Regulation 15.03

Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; LCH.Clearnet SA. or Bilateral
138

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket of equally weighted European entities from

the iTraxx MSCI ESG Screened Europe Index with an MSCI ESG Rating above BBB based upon an agreed upon

notional amount.

Any

Index Factor

iTRAXX.EUROPE MSCI ESG Screened: All Series.all series

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1230. CDS Index Contract -

RULE 1230.A. iTraxx MSCI ESG Screened Europe Index

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

EUR

Financially settled

Index Type

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 Quarterlyquarterly 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency EUR

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

As agreed by the counterparties

None

Index Version

Mandatory Clearing

Determination

ITRX EUR MSCIESG CDSI [series number] [tenor]

None

Minimum Size

Current version

Trading Hours

As agreed by the counterparties

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

Contract Overview
139

ICE Clear Credit LLC; LCH.Clearnet SA.

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

Settlement Procedure

Speculative Limits

As determined by the Clearing House or Bilateral

As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03

Clearing House
140

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket of North American entities with an

investment grade rating of BBB based upon an agreed upon notional amount.

Any

Index Factor

CDX.NA.IG.BBB: Allall series

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1231. CDS Index Contract -

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

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Notional Currency

Settlement Method

USD

Financially settled

Index Type

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 Quarterlyquarterly 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency USD

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

As agreed by the counterparties

None

Index Version

Mandatory Clearing

Determination

CDX IGBBB CDSI [series number] [tenor]

None

Minimum Size

Current version

Trading Hours

As agreed by the counterparties

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

Contract Overview
141

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

Speculative Limits

Clearing House

As set forth in Part 150 of the CFTC Regulations

Settlement Procedure

ICE Clear Credit LLC; LCH.Clearnet SA.

Reportable Levels As set forth in CFTC Regulation 15.03

As determined by the Clearing House or Bilateral
142

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.

Index Term Value

Swap Conventions

Same as Tenor

Traded on price

Fixed coupon payments are calculated at a spread of 500 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket of high yield North American entities with

credit ratings higher than BB based upon an agreed upon notional amount.

Any

Index Factor

CDX.NA.HY.EXBB: Allall series.

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1232. CDS Index Contract -

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

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder the

swap stop being effective.

Notional Currency

Settlement Method

USD

Financially settled

Index Type

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 Quarterlyquarterly 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Price and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency USD

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

As agreed by the counterparties

None

Index Version

Mandatory Clearing

Determination

CDX HYEXBB CDSI [series number] [tenor]

None

Minimum Size

Current version

Trading Hours

As agreed by the counterparties

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

Contract Overview

Settlement Procedure As determined by the Clearing House or Bilateral

Trading Conventions
143

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Clearing House

Reportable Levels

ICE Clear Credit LLC; LCH.Clearnet SA.

As set forth in CFTC Regulation 15.03
RULE 1233. CDS Index Contract –

144
145

Traded on spread

Fixed coupon payments are calculated at a spread of 100 bps and exchanged on a quarterly basis.

Index

Swap Tenor

Credit Default Swap. An agreement to buy or sell protection on a basket comprised of thirty-eight (38) liquid

Asian (excluding Japanese or U.S. sanctioned) entities with primarily investment grade credit ratings that trade

in the CDS market based upon an agreed upon notional amount.

Any

Index Factor

iTraxx Asia exEx-Japan IG Restricted; all series

Effective Date

Current factor

TheUnadjusted date onat which parties begin calculating accrued obligations such as fixed payments. Also

known as the start date ofunder the swap come into effect.

RULE 1233.A. iTraxx Asia Ex-Japan IG (Restricted) Index Contract

Maturity/Expiration Date The finalUnadjusted date onat which the obligations no longer accrue and the final payment occursunder

the swap stop being effective.

Notional Currency

Settlement Method

USD

Financially settled

Index Type

Settlement

 Contingent payment –: Payments related to credit event settlement will be determined pursuant

to the 20142009 ISDA Credit Derivatives Definitions, as published by the International Swaps and

Derivatives Association, IncDetermination Committees and Auction Settlement Supplement, (ie

the Big Bang Protocol).

 Fixed Quarterlyquarterly 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.

Quoting Convention

Corporate; Untranched

Final Contractual

Settlement Date

Spread and/or upfront payment

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement

Date is determined by Credit Event Rules.

Ticker

Settlement Currency USD

Quoting Convention

and

Minimum Increment

“Made Available to

Trade” Determination

Minimum Increment: As agreed by counterparties

None

Index Version

Mandatory Clearing

Determination

iTraxx EXJPR IG CDSI [series number] [tenor]

None

Minimum Size

Current version

Trading Hours and Venue

Minimum Size: As agreed by counterparties

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

Contract Overview

Settlement Procedure

Clearing House

Chicago Mercantile Exchange, Inc.; ICE Clear US, Inc.; ICE Clear Europe Limited; LCH.Clearnet S.A.As

determined by the Clearing House or Bilateral

Trading Conventions

Clearing House

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.

ICE Clear Credit LLC; LCH.Clearnet SA.

Index Term Value

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

Swap Conventions

Same as Tenor
146

Reportable Levels

Speculative Limits

As set forth in CFTC Regulation 15.03

As set forth in Part 150 of the CFTC Regulations
Exhibit B
85

CHAPTER 12. CREDIT CONTRACTS TERMS AND CONDITIONS

RULE 1201.A. CDX North America High Yield

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of liquid North America based entities 

with a high yield credit rating based upon an agreed upon notional amount.

Ticker CDX HY CDSI [series number] [tenor]

Index CDX.NA.HY: Series 11 to current series 

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Price and/or upfront payment

Minimum Increment CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual 

Settlement Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to 

Trade

Mandatory Clearing 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

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

Settlement Procedure As determined by the Clearing House or Bilateral 

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
86

RULE 1201.B. Option – CDX North America High Yield

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) 

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to 

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker CDX HY CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDX North America High Yield (Rule 1201.A.)

Notional Currency USD

Quoting Convention Premium 

Strike Price Price

Option Premium 

Currency

USD

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Expiration Date Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
87

RULE 1202.A. CDX North America Investment Grade

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of liquid North America based entities with 

an investment grade credit rating based upon an agreed upon notional amount.

Ticker CDX IG CDSI [series number] [tenor]

Index CDX.NA.IG: Series 11 to current series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to 

Trade

Mandatory Clearing 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
88

RULE 1202.B. Option – CDX North America Investment Grade

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) 

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to 

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker CDX IG CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDX North America Investment Grade (Rule 1202.A)

Notional Currency USD

Quoting Convention Premium 

Strike Price Spread

Option Premium 

Currency

USD

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Expiration Date Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration date +2 days, according to market center conventions.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
89

RULE 1203.A. CDX Emerging Markets

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of a number of sovereign 

issuers, domiciled in Latin America based upon an agreed upon notional amount.

Ticker CDX EM CDSI [series number] [tenor]

Index CDX Emerging Markets: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Price and/or upfront payment

Minimum Increment CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral 

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
90

RULE 1203.B. Option – CDX Emerging Markets 

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) 

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to 

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker CDX EM CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap CDX Emerging Markets (Rule 1203.A)

Notional Currency USD

Quoting Convention Premium 

Strike Price Price

Option Premium 

Currency

USD

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Expiration Date Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
91

RULE 1204.A. iTraxx Europe

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of liquid European based entities with an 

investment grade credit rating based upon an agreed upon notional amount.

Ticker ITRX EUR CDSI [series number] [tenor]

Index iTRAXX.EUROPE: Series 7 to current series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to 

Trade

Mandatory Clearing 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
92

RULE 1204.B. Option – iTraxx Europe

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) 

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to 

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker ITRX EUR CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap iTraxx Europe (Rule 1204.A.)

Notional Currency EUR

Quoting Convention Premium

Strike Price Spread

Option Premium 

Currency

EUR

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration date +2 days, according to market center conventions.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.Chicago Mercantile Exchange, Inc.; ICE Clear Credit LLC; ICE Clear Europe Limited; 

LCH.Clearnet SA. or Bilateral

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
93

RULE 1205.A. iTraxx Europe Crossover

Contract Overview Credit Default Swap. The European Crossover index comprises 75 equally weighted credit default swaps on the most 

liquid sub-investment grade European corporate entities based upon an agreed upon notional amount.

Ticker ITRX XOVER CDSI [series number] [tenor]

Index iTraxx Europe Crossover: Series 10 to current series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Made Available to Trade

Mandatory Clearing 

Determination

See https://www.cftc.gov/IndustryOversight/IndustryFilings/index.htm > Products > Swaps Subject to Clearing 

requirements

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
94

RULE 1205.B. Option – iTraxx Europe Crossover

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) 

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to 

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker ITRX XOVER CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap iTraxx Europe Crossover (Rule 1205.A.)

Notional Currency EUR

Quoting Convention Premium

Strike Price Spread

Option Premium 

Currency

EUR

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
95

RULE 1206.A. iTraxx Europe HiVol

Contract Overview Credit Default Swap.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 based upon an agreed upon notional 

amount. 

Ticker HIVOL CDSI [series number] [tenor]

Index iTraxx Europe HiVol

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
96

RULE 1206.B. Option – iTraxx Europe HiVol 

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) 

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to 

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker HIVOL CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap iTraxx European HiVol (Rule 1206.A.)

Notional Currency EUR

Quoting Convention Premium

Strike Price Spread 

Option Premium 

Currency

EUR

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Valuation Method Vanilla

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
97

RULE 1207.A. iTraxx Europe Senior Financial 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of 25 equally weighted credit default 

swaps on investment grade European entities based upon an agreed upon notional amount.

Ticker SNRFIN CDSI [series number] [tenor]

Index iTraxx Europe Senior Financial 

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
98

RULE 1208.A. iTraxx SovX Western Europe 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on an index comprised of 14 names from the Eurozone 

region plus Denmark, Norway, Sweden and United Kingdom that trade on Western European documentation based 

upon an agreed upon notional amount.

Ticker ITRX SOVX WE CDSI [series number] [tenor]

Index iTraxx SovX Western Europe: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD 

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
99

RULE 1208.B. Option – iTraxx SovX Western Europe 

Contract Overview Swaption on a Credit Default Swap. An agreement granting the owner the right, but not the obligation, to enter into an 

underlying Swap. A payer (put) option allows the option holder to enter into a fixed rate payer (protection buyer) 

position in the underlying Swap at the agreed strike level. A receiver (call) option gives the option holder the right to 

enter into a fixed rate receiver (protection seller) position in the underlying Swap at the agreed strike level.

Ticker ITRAX SovX Western Europe CDSI [Series] [Tenor] [Expiry] [Direction] [Strike]

Underlying Swap iTraxx SovX Western Europe (Rule 1208.A)

Notional Currency USD

Quoting Convention Premium

Strike Price Spread

Option Premium 

Currency

USD

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties 

Option Style European

Option Type Put (Payer Option)

Call (Receiver Option)

Valuation Method Vanilla

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration 

Date

Unadjusted date at which obligations under the swap stop being effective; Third Wednesday of the Expiration Month

Settlement Method Financially settled

Final Contractual 

Settlement Date

Expiration Date + 2 days, according to market center conventions. 

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure Bilateral or as determined by a Clearing House

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits Same as for the underlying Swap

Reportable Levels Same as for the underlying Swap
100

RULE 1209.A. iTraxx Europe Subordinated Financial 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of 25 equally weighted credit default 

swaps on investment grade European entities based upon an agreed upon notional amount.

Ticker SUBFIN CDSI [series number] [tenor]

Index iTraxx Europe Subordinated Financial: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
101

RULE 1210.A. iTraxx Japan 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of 50 equally-weighted 

investment grade Japanese entities based upon an agreed upon notional amount.

Ticker ITRX JAPAN CDSI [series number] [tenor]

Index iTraxx Japan: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency JPY

Quoting Convention Spread and/or upfront payment 

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency JPY

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
102

RULE 1211.A. iTraxx Australia 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of 25 equally-weighted 

investment grade Australian entities based upon an agreed upon notional amount.

Ticker ITRX AUS CDSI [series number] [tenor]

Index iTraxx Australia: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD 

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
103

RULE 1212.A. CDS Index Contract – CDX North American High Yield (BB) Index Contract

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of North American based 

entities with a BB credit rating based upon an agreed upon notional amount.

Ticker CDX HYBB CDSI [series number] [tenor]

Index CDX.NA.HY.BB: Series 33 to current series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Currency USD

Quoting Convention Price and/or upfront payment.

Minimum Increment CLOB: $0.0025

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity Date/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual Settlement 

Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual 

Settlement Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to Trade” 

Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral 

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
104

RULE 1213. [Reserved]

RULE 1214. [Reserved]

RULE 1215. [Reserved]

RULE 1216. [Reserved]

RULE 1217. [Reserved]

RULE 1218. [Reserved]

RULE 1219. [Reserved]

RULE 1220. [Reserved]

RULE 1221. [Reserved]
105

RULE 1222.A. iTraxx Corp CEEMEA

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of twenty five (25) of the most 

liquid corporate and quasi-sovereign entities from Central & Eastern European, Middle Eastern and African 

countries based upon an agreed upon notional amount.

Ticker ITRX Corp CEEMEA CDSI [series number] [tenor]

Index iTraxx CEEMEA: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Minimum Size CLOB: 1,000,000 Basis Points

Trading Protocols other than CLOB: As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD 

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set in Part 150 of the CFTC Regulations

Reportable Levels As set in the CFTC Regulation 15.03
106

RULE 1223. [Reserved]

RULE 1224. [Reserved]

RULE 1225. [Reserved]

RULE 1226. [Reserved]

RULE 1227. [Reserved]
107

RULE 1228.A. iTraxx Asia Ex-Japan

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of forty (40) liquid Asian 

(excluding Japanese) entities with primarily investment grade credit ratings that trade in the CDS market based 

upon an agreed upon notional amount.

Ticker ITRX EXJP IG CDSI [series number] [tenor]

Index iTraxx Asia Ex-Japan; all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
108

RULE 1229.A. iTraxx Europe Non-Financial 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of one hundred (100) equally weighted 

credit default swaps on investment grade European entities based upon an agreed upon notional amount.

Ticker ITRX Europe NONFIN CDSI [series number] [tenor]

Index iTraxx Europe Non-Financial

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment CLOB: 0.0025 Basis Points

Trading Protocols other than CLOB: As agreed by the counterparties

Minimum Size CLOB: $1,000,000

Trading Protocols other than CLOB: As agreed by the counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
109

RULE 1230.A. iTraxx MSCI ESG Screened Europe 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of equally weighted European entities 

from the iTraxx Europe Index with an MSCI ESG Rating above BBB based upon an agreed upon notional amount.

Ticker ITRX EUR MSCIESG CDSI [series number] [tenor]

Index iTRAXX.EUROPE MSCI ESG Screened: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency EUR

Quoting Convention Spread and/or upfront payment

Minimum Increment As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect.

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency EUR

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
110

RULE 1231.A. CDX North American Investment Grade (BBB-rated) 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of North American entities with an 

investment grade rating of BBB based upon an agreed upon notional amount.

Ticker CDX IGBBB CDSI [series number] [tenor]

Index CDX.NA.IG.BBB: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
111

RULE 1232.A. CDX North American High Yield (Ex-BB) 

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket of high yield North American entities with 

credit ratings higher than BB based upon an agreed upon notional amount.

Ticker CDX HYEXBB CDSI [series number] [tenor]

Index CDX.NA.HY.EXBB: all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Price and/or upfront payment

Minimum Increment As agreed by the counterparties

Minimum Size As agreed by the counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

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.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03
112

RULE 1233.A. iTraxx Asia Ex-Japan IG (Restricted)

Contract Overview Credit Default Swap. An agreement to buy or sell protection on a basket comprised of thirty-eight (38) liquid 

Asian (excluding Japanese or U.S. sanctioned) entities with primarily investment grade credit ratings that trade 

in the CDS market based upon an agreed upon notional amount.

Ticker iTraxx EXJPR IG CDSI [series number] [tenor]

Index iTraxx Asia Ex-Japan IG Restricted; all series

Index Type Corporate; Untranched

Index Version Current version

Index Term Value Same as Tenor

Index Factor Current factor

Notional Currency USD

Quoting Convention Spread and/or upfront payment

Minimum Increment As agreed by counterparties

Minimum Size As agreed by counterparties

Trading Conventions Buy = Buy Protection

Sell = Sell Protection

Swap Tenor Any 

Effective Date Unadjusted date at which obligations under the swap come into effect. 

Maturity/Expiration Date Unadjusted date at which obligations under the swap stop being effective.

Settlement Method Financially settled

Settlement • Contingent payment: Payments related to credit event settlement will be determined pursuant to 

the 2009 ISDA Credit Derivatives Determination Committees and Auction Settlement Supplement, (ie 

the Big Bang Protocol).

• Fixed quarterly cash payments: Reflected in basis points and paid by the protection buyer to the 

protection seller. 

• Upfront fee payment: The upfront fee is a portion of the payments, expressed in percentage points 

of the notional, which is present valued and paid immediately to the seller.

Final Contractual 

Settlement Date

Same as Expiration Date, unless there is a Credit Event. If there is Credit Event, the final Contractual Settlement 

Date is determined by Credit Event Rules.

Settlement Currency USD

“Made Available to 

Trade” Determination 

None

Mandatory Clearing 

Determination

None

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

Settlement Procedure As determined by the Clearing House or Bilateral

Clearing House ICE Clear Credit LLC; LCH.Clearnet SA.

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

Speculative Limits As set forth in Part 150 of the CFTC Regulations

Reportable Levels As set forth in CFTC Regulation 15.03